NPORT-P false 0000810893 XXXXXXXX S000032698 C000100916 C000100920 C000100919 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS International Fund S000032698 FRE2ROMRMC2BDS43QJ31 2024-03-31 2024-03-31 N 219879116.020000 61681395.620000 158197720.400000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4196513.650000 ARS MXN CAD AUD GBP JPY USD EUR DKK BRL N MSCI EAFE Value Total Return Index M1EA000V FANNIE MAE REMICS 2007-22 N/A 31396PT92 129849.830000 PA USD 9465.230000 0.0059832 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 0.61513 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 1902379.220000 PA USD 822403.670000 0.519858 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.55389 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341SF7 51832.280000 PA USD 45397.130000 0.0286965 Long ABS-MBS CORP US N 3 2035-09-25 Floating 5.4729 N N N N N N N/A N/A 000000000 1.000000 NC 884.160000 0.0005589 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 704485.000000 BRL 140912.500000 USD 2024-05-03 884.160000 N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933Y105 665.000000 NS USD 87746.750000 0.0554665 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 451.830000 0.0002856 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 75000.000000 EUR 81365.570000 USD 2024-04-02 451.830000 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 1532813.930000 PA USD 624238.780000 0.394594 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.74389 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 128583.300000 PA USD 87495.300000 0.0553076 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.62596 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 200000.000000 PA USD 200379.120000 0.126664 Long DBT CORP US N 2 2024-06-28 Floating 6.48968 N N N N N N N/A N/A 000000000 1.000000 NC 89.040000 0.0000563 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 80522.070000 BRL 16144.000000 USD 2024-04-02 89.040000 N N N COCA COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 665.000000 NS USD 40684.700000 0.0257176 Long EC CORP US N 1 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 200000.000000 PA USD 195710.710000 0.123713 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N N/A N/A 000000000 1.000000 NC 166.520000 0.0001053 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40054800.000000 KRW 29886.000000 USD 2024-04-29 166.520000 N N N CREDIT SUISSE AG/NEW YORK BRANCH 549300D0YARF5HYP1809 22550L2L4 400000.000000 PA USD 406722.880000 0.257098 Long DBT CORP CH N 2 2025-01-09 Fixed 7.95 N N N N N N N/A N/A 000000000 1.000000 NC 395.270000 0.0002499 N/A DFE DK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 376523.740000 DKK 54854.610000 USD 2024-04-02 395.270000 N N N BANK OF AMERICA AUTO TRUST 2023-1A N/A 06428AAB4 473247.660000 PA USD 473753.660000 0.299469 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.83 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 400000.000000 PA USD 398409.880000 0.251843 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 400000.000000 PA USD 382041.430000 0.241496 Long DBT CORP US N 2 2027-06-17 Floating 3.196 N N N N N N N/A N/A 000000000 1.000000 NC 132176.920000 0.0835517 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -7543.160000 AUD 7900000.000000 AUD 139720.080000 N N N DRYDEN 60 CLO LTD N/A 26251NAB6 481148.520000 PA USD 481268.770000 0.30422 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.6256 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 27409.260000 PA USD 26528.910000 0.0167695 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.78 N N N N N N N/A N/A 000000000 1.000000 NC -8617.900000 -0.0054476 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 309393.070000 USD 1508507.790000 BRL 2024-04-02 -8617.900000 N N N N/A N/A 000000000 1.000000 NC -8.710000 -0.0000055 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 104374899.000000 IDR 6562.000000 USD 2024-04-30 -8.710000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 600000.000000 PA USD 608182.390000 0.384445 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 137100.150000 PA USD 69988.420000 0.0442411 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G2Z0 28912.090000 PA USD 27237.940000 0.0172177 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.2 N N N N N N N/A N/A 000000000 1.000000 NC 8614.590000 0.0054455 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7744891.000000 TWD 251531.000000 USD 2024-06-20 8614.590000 N N N N/A N/A 000000000 1.000000 NC 10018.670000 0.006333 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 372614851.000000 KRW 287292.000000 USD 2024-06-20 10018.670000 N N N OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A N/A 67592CAL0 1000000.000000 PA USD 999746.600000 0.63196 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.48251 N N N N N N N/A N/A 000000000 1.000000 NC 209.320000 0.0001323 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 147325.750000 BRL 29584.000000 USD 2024-04-02 209.320000 N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 1016629.820000 PA USD 879048.190000 0.555664 Long ABS-MBS CORP US N 2 2047-02-25 Floating 5.83905 N N N N N N MORGAN STANLEY DEAN WITTER CAP I2002-AM3 N/A 61746WWR7 124899.300000 PA USD 120487.830000 0.0761628 Long ABS-MBS CORP US N 3 2033-02-25 Floating 6.42389 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAD6 435892.520000 PA USD 105246.250000 0.0665283 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.66389 N N N N N N ENCORE CREDIT RECEIVABLES TRUST 2005-2 N/A 126673J37 35895.780000 PA USD 35259.590000 0.0222883 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.17889 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI2MSWK6 4200000.000000 PA 593856.680000 0.375389 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N ALBACORE EURO CLO I DAC A N/A ACI2MJBJ2 500000.000000 PA 534233.090000 0.3377 Long ABS-CBDO CORP IE N 2 2034-10-18 Floating 4.974 N N N N N N MORGAN STANLEY MTGE LN TRUST 2006-11 N/A 61749WAP2 122248.650000 PA USD 51629.000000 0.0326357 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N N/A N/A 000000000 8100000.000000 NC USD 6950.610000 0.0043936 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 10/21/24-1Y LCH 2025-10-21 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-10-17 XXXX 2252.610000 N N N N/A N/A 000000000 1.000000 NC USD 19775.700000 0.0125006 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-20 27293.250000 USD 0.000000 USD 3000000.000000 USD -7517.550000 N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 158376.950000 PA USD 149373.410000 0.094422 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.08389 N N N N N N N/A N/A 000000000 1.000000 NC 3275.100000 0.0020703 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2112822.350000 CNY 294333.000000 USD 2024-04-19 3275.100000 N N N LIBERTY LENDING ABS TRUST 2022-2A N/A 75526GAA9 39224.680000 PA USD 39241.500000 0.0248054 Long ABS-O CORP US N 2 2030-05-15 Fixed 6.63 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 710609.950000 PA USD 553523.440000 0.349893 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.94389 N N N N N N CIFC FUNDING 2018-III LTD 2018-3A N/A 12551YAA1 487929.870000 PA USD 489107.770000 0.309175 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 6.65952 N N N N N N N/A N/A 000000000 -1.000000 NC USD -379.530000 -0.0002399 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 111.500000 USD 2024-04-26 XXXX -21.880000 N N N AVON FINANCE 4A N/A ACI2JTXR2 546902.340000 PA 690422.790000 0.43643 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 6.09252 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAE2 472765.350000 PA USD 473501.350000 0.29931 Long ABS-O CORP US N 2 2026-10-15 Floating 5.98864 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 100000.000000 PA USD 92569.710000 0.0585152 Long DBT CORP US N 2 2027-02-04 Floating 1.04 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20C N/A 83162CRR6 7193.930000 PA USD 7066.940000 0.0044672 Long ABS-O CORP US N 2 2028-03-01 Fixed 5.49 N N N N N N N/A N/A 000000000 -200000.000000 NC -109.200000 -0.000069 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.86000 04/24/24-5Y LCH 2029-04-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.860000 EUR 2024-04-22 XXXX 197.500000 N N N N/A N/A 000000000 1.000000 NC 9.680000 0.0000061 N/A DFE CH N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 21882.070000 CHF 24351.350000 USD 2024-05-02 9.680000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 400000.000000 PA USD 412777.590000 0.260925 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N N/A N/A 000000000 1.000000 NC USD 5915355.120000 3.73922 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2024-09-04 0.000000 USD 0.000000 USD 97236924.180000 USD 5915355.120000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI1VBJN4 3600000.000000 PA 700883.770000 0.443043 Long DBT NUSS BR N 2 2024-07-01 None 0 N N N N N N N/A N/A 000000000 22900000.000000 PA USD 22900000.000000 14.4756 Long RA US N 2 Repurchase N 5.400000 2024-04-01 23358000.000000 USD 23083361.070000 USD UST N N N N/A N/A 000000000 -100000.000000 NC USD -321.090000 -0.000203 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67800 04/29/24-10Y LCH 2034-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2024-04-25 XXXX -34.840000 N N N SBNA AUTO LEASE TRUST 2024-A N/A 78414SAE4 700000.000000 PA USD 700304.360000 0.442677 Long ABS-O CORP US N 2 2026-11-20 Fixed 5.39 N N N N N N N/A N/A 000000000 1.000000 NC -3723.880000 -0.0023539 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 941229.000000 USD 78362302.760000 INR 2024-06-20 -3723.880000 N N N COUNTRYWIDE HOME LOANS 2004-15 N/A 12669FL50 17946.830000 PA USD 17645.340000 0.011154 Long ABS-MBS CORP US N 2 2034-10-20 Floating 6.05071 N N N N N N N/A N/A 000000000 1.000000 NC -97.020000 -0.0000613 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 107537.840000 USD 780263.380000 CNY 2024-04-02 -97.020000 N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 193062.870000 PA USD 189674.890000 0.119897 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.65389 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 7186.100000 PA USD 6711.700000 0.0042426 Long ABS-MBS CORP US N 3 2035-11-25 Floating 4.7037 N N N N N N N/A N/A 000000000 1.000000 NC -2562.440000 -0.0016198 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-22 0.000000 EUR -359.550000 EUR 100000.000000 EUR -2202.890000 N N N FREDDIE MAC 3218 N/A 31397BJY8 155135.710000 PA USD 12049.500000 0.0076167 Long ABS-MBS USGSE US N 2 2036-09-15 Floating 1.13688 N N N N N N N/A N/A 000000000 -2.000000 NC -6021.300000 -0.0038062 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-06-06 -293015.630000 EUR -6021.300000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 100000.000000 PA USD 86793.210000 0.0548638 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAD7 300000.000000 PA USD 299383.350000 0.189246 Long ABS-O CORP US N 2 2028-12-18 Fixed 4.85 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 200000.000000 PA USD 191937.190000 0.121327 Long DBT CORP US N 2 2026-11-16 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2312665.050000 1.46188 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 1552991.990000 USD 0.000000 USD 13100000.000000 USD 759673.060000 N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 69114.340000 PA USD 65079.120000 0.0411378 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.78389 N N N N N N N/A N/A 000000000 1.000000 NC 65849.320000 0.0416247 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-09-18 48185.640000 EUR 0.000000 EUR 2900000.000000 EUR 17663.680000 N N N N/A N/A 000000000 1.000000 NC -4933.310000 -0.0031184 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1046480.000000 USD 5240039.300000 BRL 2024-05-03 -4933.310000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 54291.280000 PA USD 49212.230000 0.0311081 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.48905 N N N N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 632836.400000 PA USD 633500.880000 0.400449 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.59814 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAB0 227778.910000 PA USD 190702.590000 0.120547 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.38664 N N N N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 287517.340000 PA USD 96291.340000 0.0608677 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.58389 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -22.510000 -0.0000142 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 04/15/24-10Y LCH 2034-04-15 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-04-11 XXXX 354.990000 N N N N/A N/A 000000000 1.000000 NC -151.370000 -0.0000957 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 100000.000000 CAD 73674.960000 USD 2024-04-02 -151.370000 N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 28.780000 PA USD 41.730000 0.0000264 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N CHASE ISSUANCE TRUST 2024-A2 N/A 161571HW7 800000.000000 PA USD 797987.680000 0.504424 Long ABS-MBS CORP US N 2 2031-01-15 Fixed 4.63 N N N N N N N/A N/A 000000000 1.000000 NC USD 22124.550000 0.0139854 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.42 Y Single Leg Swap 2029-06-20 20940.000000 USD 0.000000 USD 300000.000000 USD 1184.550000 N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAL5 119722.550000 PA USD 93146.090000 0.0588795 Long ABS-MBS CORP US N 3 2037-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -363.050000 -0.0002295 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 169675.060000 CAD 124900.000000 USD 2024-04-01 -363.050000 N N N N/A N/A 000000000 1.000000 NC USD 212866.740000 0.134557 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 66377.000000 USD 0.000000 USD 4400000.000000 USD 146489.740000 N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 477240.030000 PA USD 455142.810000 0.287705 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.89389 N N N N N N FIFTH THIRD AUTO TRUST 2023-1 N/A 31680EAB7 451264.750000 PA USD 451669.990000 0.28551 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC 233.610000 0.0001477 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 201249.890000 BRL 40360.000000 USD 2024-04-02 233.610000 N N N N/A N/A 000000000 -200000.000000 NC -42.850000 -0.0000271 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.50000 04/10/24-5Y LCH 2029-04-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2024-04-08 XXXX 324.970000 N N N N/A N/A 000000000 1.000000 NC USD 520528.500000 0.329037 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2024-04-24 0.000000 USD 0.000000 USD 18417025.850000 USD 520528.500000 N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR6 N/A 25150RAF2 853407.490000 PA USD 726048.540000 0.45895 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.82389 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 158613.950000 PA USD 147357.830000 0.0931479 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.75389 N N N N N N NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1 N/A 66988UAA8 957288.340000 PA USD 333792.370000 0.210997 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.85389 N N N N N N FANNIE MAE REMICS 2011-40 N/A 31397SWJ9 3332.990000 PA USD 2095.460000 0.0013246 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 0 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR2 N/A 93934FMN9 87027.580000 PA USD 67497.580000 0.0426666 Long ABS-MBS CORP US N 2 2046-04-25 Floating 6.02905 N N N N N N N/A N/A 000000000 1.000000 NC -696.490000 -0.0004403 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 123872.010000 USD 617774.490000 BRL 2024-04-02 -696.490000 N N N N/A N/A 000000000 1.000000 NC 4987.480000 0.0031527 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4034960.990000 DKK 588593.000000 USD 2024-04-02 4987.480000 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343V104 665.000000 NS USD 27903.400000 0.0176383 Long EC CORP US N 1 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 665.000000 NS USD 328975.500000 0.207952 Long EC CORP US N 1 N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 72546.800000 PA USD 71844.550000 0.0454144 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 255815.320000 PA USD 255617.640000 0.161581 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.61942 N N N N N N UPSTART SECURITIZATION TRUST 2022-3 N/A 91683TAB5 302024.820000 PA USD 299956.400000 0.189609 Long ABS-O CORP US N 2 2032-06-20 Fixed 5.5 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 2782955.510000 PA USD 502811.320000 0.317837 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7W4 250000.000000 PA USD 254881.150000 0.161116 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 187961.750000 0.118814 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 183296.460000 USD 0.000000 USD 8200000.000000 USD 4665.290000 N N N DOW INC 5493003S21INSLK2IP73 260557103 665.000000 NS USD 38523.450000 0.0243515 Long EC CORP US N 1 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2NGGQ6 1180000.000000 PA 1639.190000 0.0010362 Long DBT NUSS AR N 2 2025-06-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2805.890000 -0.0017737 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR -2474.540000 N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 5643.050000 PA USD 5496.910000 0.0034747 Long ABS-MBS CORP US N 2 2036-06-25 Floating 7.1242 N N N N N N N/A N/A 000000000 1.000000 NC USD -442814.050000 -0.279912 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-06-15 0.000000 USD -468943.890000 USD 11800000.000000 USD 26129.840000 N N N N/A N/A 000000000 1.000000 NC USD 1715.450000 0.0010844 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-03 0.000000 USD -457.500000 USD 100000.000000 USD 2172.950000 N N N USAA AUTO OWNER TRUST 2023-A N/A 90291VAB6 300000.000000 PA USD 300343.050000 0.189853 Long ABS-O CORP US N 2 2026-07-15 Fixed 5.83 N N N N N N N/A N/A 000000000 1.000000 NC USD 664942.920000 0.420324 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 516498.300000 USD 0.000000 USD 7900000.000000 USD 148444.620000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DN1 250000.000000 PA USD 249047.070000 0.157428 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N SARANAC CLO II LTD 2014-2A N/A 80317EAA7 117322.870000 PA USD 117568.250000 0.0743173 Long ABS-CBDO CORP JE N 2 2029-11-20 Floating 6.8107 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 444341.850000 PA USD 445953.030000 0.281896 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1 N/A 59023YAG9 78530.230000 PA USD 27469.940000 0.0173643 Long ABS-MBS CORP US N 3 2037-03-25 Fixed 6 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-4 N/A 885220GF4 114909.100000 PA USD 104652.170000 0.0661528 Long ABS-MBS CORP US N 3 2044-12-25 Floating 5.61435 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 300000.000000 PA USD 305864.760000 0.193343 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 500000.000000 PA USD 500364.000000 0.31629 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 900000.000000 PA USD 892314.900000 0.56405 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N MARLETTE FUNDING TRUST 2023-1A N/A 57110PAA9 288543.520000 PA USD 288594.620000 0.182426 Long ABS-O CORP US N 2 2033-04-15 Fixed 6.07 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -233.340000 -0.0001475 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95000 04/16/24-10Y LCH 2034-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.950000 USD 2024-04-12 XXXX 111.660000 N N N N/A N/A 000000000 1.000000 NC 12527.720000 0.007919 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11586856.000000 TWD 375112.690000 USD 2024-05-20 12527.720000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 100000.000000 PA USD 100437.030000 0.0634883 Long DBT CORP US N 2 2026-08-10 Floating 6.39887 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 256760.160000 PA USD 123751.230000 0.0782257 Long ABS-MBS CORP US N 2 2036-11-25 Floating 6 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR5 N/A 45660LGV5 506018.760000 PA USD 349993.340000 0.221238 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.02011 N N N N N N N/A N/A 000000000 1.000000 NC 1212.870000 0.0007667 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 64516903.000000 KRW 49221.740000 USD 2024-06-20 1212.870000 N N N CPS AUTO RECEIVABLES TRUST 2023-C N/A 223928AA0 354618.200000 PA USD 355091.930000 0.224461 Long ABS-O CORP US N 2 2026-09-15 Fixed 6.13 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 57239.590000 PA USD 49198.920000 0.0310996 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.98928 N N N N N N N/A N/A 000000000 1.000000 NC -351.240000 -0.000222 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 49298.090000 USD 778599244.000000 IDR 2024-06-20 -351.240000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAB4 216325.460000 PA USD 216506.220000 0.136858 Long ABS-O CORP US N 2 2026-08-10 Fixed 5.98 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDP1 750000.000000 PA USD 746952.000000 0.472164 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-1A N/A 36269HAB8 700000.000000 PA USD 699533.100000 0.442189 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.57 N N N N N N N/A N/A 000000000 1.000000 NC USD 673.840000 0.0004259 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -432.500000 USD 100000.000000 USD 1106.340000 N N N FREDDIE MAC 2764 N/A 31394TYD1 101918.260000 PA USD 100984.170000 0.0638341 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1153.780000 0.0007293 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 780230.010000 CNY 108590.000000 USD 2024-04-02 1153.780000 N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 254367.180000 PA USD 216933.950000 0.137128 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6 N N N N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 632976.560000 PA USD 638382.940000 0.403535 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N N/A N/A 000000000 1.000000 NC 360.410000 0.0002278 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 100000.000000 CAD 74194.270000 USD 2024-04-09 360.410000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 108017.090000 PA USD 102966.370000 0.0650871 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 5.79007 N N N N N N N/A N/A 000000000 1.000000 NC 12053.270000 0.0076191 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-10-03 0.000000 EUR -765.930000 EUR 200000.000000 EUR 12819.200000 N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 65623.590000 PA USD 57087.890000 0.0360864 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.11953 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -237.820000 -0.0001503 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10500 04/24/24-10Y LCH 2034-04-24 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2024-04-22 XXXX 427.180000 N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAF3 568029.890000 PA USD 260619.730000 0.164743 Long ABS-MBS CORP US N 2 2047-04-25 Floating 6.08389 N N N N N N N/A N/A 000000000 1.000000 NC -1039.910000 -0.0006573 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 368986.170000 USD 2543925.240000 DKK 2024-04-02 -1039.910000 N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 29729.110000 PA USD 24182.250000 0.0152861 Long ABS-MBS CORP US N 3 2037-06-20 Floating 4.34524 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 324844.040000 PA USD 186515.990000 0.117901 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.04389 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 113168.830000 PA USD 113016.520000 0.07144 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 6.61981 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 988383.600000 PA USD 574939.680000 0.363431 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 300000.000000 PA USD 299444.090000 0.189285 Long DBT CORP CA N 2 2027-01-19 Fixed 4.875 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 N/A 802927AC7 732893.780000 PA USD 734318.160000 0.464178 Long ABS-O CORP US N 2 2027-02-16 Fixed 6.18 N N N N N N FREDDIE MAC REMICS 3848 N/A 3137A9D52 214781.150000 PA USD 216689.700000 0.136974 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 87369.720000 PA USD 84814.900000 0.0536132 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -545.640000 -0.0003449 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1155288.620000 BRL 229087.570000 USD 2024-05-03 -545.640000 N N N N/A N/A 000000000 1.000000 NC USD 22530.560000 0.014242 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -91747.000000 USD 6400000.000000 USD 114277.560000 N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AN0 150000.000000 PA USD 149498.190000 0.0945008 Long DBT CORP US N 2 2025-01-17 Fixed 5.2 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-2A N/A 379928AC8 365233.550000 PA USD 364601.510000 0.230472 Long ABS-O CORP US N 2 2027-01-15 Fixed 5.7 N N N N N N DLLAA LLC 2023 1A N/A 23292HAB7 462665.980000 PA USD 463652.570000 0.293084 Long ABS-O CORP US N 2 2026-07-20 Fixed 5.93 N N N N N N FREDDIE MAC REMICS 3951 N/A 3137AHVF2 109515.310000 PA USD 94453.860000 0.0597062 Long ABS-MBS USGSE US N 2 2040-02-15 Floating 0 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -181.150000 -0.0001145 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68000 04/17/24-10Y LCH 2034-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2024-04-15 XXXX 159.350000 N N N MADISON PARK FUNDING XI LTD 2013-11A N/A 55818KAV3 984331.400000 PA USD 984625.960000 0.622402 Long ABS-CBDO CORP KY N 2 2029-07-23 Floating 6.47741 N N N N N N N/A N/A 000000000 1.000000 NC 942.270000 0.0005956 N/A DFE ID N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 864670247.000000 IDR 55300.000000 USD 2024-06-20 942.270000 N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 720272.270000 PA USD 722695.700000 0.456831 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N N/A N/A 000000000 1.000000 NC -3681.690000 -0.0023273 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 267873.000000 USD 1329151.000000 BRL 2024-05-03 -3681.690000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 200000.000000 PA USD 200824.840000 0.126945 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM) VGRQXHF3J8VDLUA7XE92 459200101 665.000000 NS USD 126988.400000 0.080272 Long EC CORP US N 1 N N N ARES XXXIV CLO LTD 2015-2A N/A 04015GAX7 1000000.000000 PA USD 1000027.310000 0.632138 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 89.000000 0.0000563 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 398583280.000000 IDR 25181.000000 USD 2024-04-30 89.000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 500000.000000 PA USD 490100.510000 0.309802 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-1 N/A 29375JAB0 287961.070000 PA USD 284067.460000 0.179565 Long ABS-O CORP US N 2 2028-01-20 Fixed 3.03 N N N N N N N/A N/A 000000000 1.000000 NC 227.780000 0.000144 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 994000.000000 EUR 1073850.420000 USD 2024-05-02 227.780000 N N N N/A N/A 000000000 1.000000 NC USD 256571.230000 0.162184 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 92819.510000 USD 0.000000 USD 3700000.000000 USD 163751.720000 N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 1692.670000 PA USD 1646.820000 0.001041 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.3537 N N N N N N FANNIE MAE 2009-87 N/A 31398FR45 71628.660000 PA USD 5338.580000 0.0033746 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 0.71513 N N N N N N N/A N/A 000000000 1.000000 NC 3209.650000 0.0020289 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2351693.990000 CNY 327174.000000 USD 2024-04-19 3209.650000 N N N N/A N/A 000000000 1.000000 NC 56.660000 0.0000358 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 53556.160000 BRL 10735.000000 USD 2024-04-02 56.660000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 2603820.000000 PA USD 2559517.510000 1.61792 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N N/A N/A 000000000 1.000000 NC 6160.610000 0.0038942 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 6700.030000 N N N N/A N/A 000000000 1.000000 NC 720.130000 0.0004552 N/A DFE CH N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 21943.010000 CHF 25051.240000 USD 2024-04-02 720.130000 N N N N/A N/A 000000000 1.000000 NC 1654.750000 0.001046 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 216000.000000 EUR 234686.330000 USD 2024-04-02 1654.750000 N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 38090.570000 PA USD 31748.340000 0.0200688 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.39929 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAM7 200000.000000 PA USD 197722.370000 0.124984 Long DBT CORP IE N 2 2024-08-14 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 22936.930000 0.0144989 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 1360000.000000 USD 22936.930000 N N N N/A N/A 000000000 1294000.000000 PA USD 1294000.000000 0.817964 Long RA US N 2 Repurchase N 2.600000 2024-04-01 1284000.000000 USD 1319887.210000 USD UST N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 284112.630000 PA USD 237994.160000 0.150441 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 8600000.000000 PA USD 8677286.220000 5.48509 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1590.250000 0.0010052 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 64800801.000000 KRW 49810.370000 USD 2024-06-20 1590.250000 N N N N/A N/A 000000000 1.000000 NC -369.340000 -0.0002335 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -366.790000 EUR 100000.000000 EUR -2.550000 N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 460149.440000 PA USD 460737.230000 0.291241 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -243.720000 -0.0001541 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68500 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-18 XXXX 151.280000 N N N N/A N/A 000000000 1.000000 NC 11411.280000 0.0072133 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1295252.000000 USD 21994026.590000 MXN 2024-06-20 11411.280000 N N N N/A N/A 000000000 -300000.000000 NC USD -519.210000 -0.0003282 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-26 XXXX 328.290000 N N N N/A N/A 000000000 1.000000 NC 97.530000 0.0000617 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 80479.450000 BRL 16144.000000 USD 2024-04-02 97.530000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 100000.000000 PA 108162.150000 0.0683715 Long DBT CORP US N 2 2027-03-19 Floating 4.585 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2 N/A 80287JAB0 335115.170000 PA USD 335271.940000 0.211932 Long ABS-O CORP US N 2 2026-03-16 Fixed 5.87 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAD3 658717.440000 PA USD 490673.550000 0.310165 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.74389 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A3 N/A 59023CAK8 104556.290000 PA USD 93300.970000 0.0589774 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.62042 N N N N N N N/A N/A 000000000 1.000000 NC 62.020000 0.0000392 N/A DFE HK N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 496513.570000 HKD 63533.000000 USD 2024-04-19 62.020000 N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 1483248.650000 PA USD 1239536.360000 0.783536 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.04389 N N N N N N N/A N/A 000000000 1.000000 NC -1833.020000 -0.0011587 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 136689.260000 USD 125000.000000 EUR 2024-04-02 -1833.020000 N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 665.000000 NS USD 279778.800000 0.176854 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 73.640000 0.0000465 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 23524329.000000 KRW 17528.000000 USD 2024-04-29 73.640000 N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275R102 665.000000 NS USD 33190.150000 0.0209802 Long EC CORP US N 1 N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 900000.000000 PA USD 876996.540000 0.554367 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.58948 N N N N N N UMBS PASS THRU POOLS N/A 01F052656 7200000.000000 PA USD 7164823.680000 4.52903 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET N/A 126438AE0 900000.000000 PA USD 836577.090000 0.528817 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.8159 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 374383.900000 PA USD 381062.610000 0.240877 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.66389 N N N N N N N/A N/A 000000000 1.000000 NC 1091.670000 0.0006901 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 496000.000000 GBP 627217.200000 USD 2024-05-02 1091.670000 N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 173443.270000 PA USD 146420.670000 0.0925555 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.85298 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 278391.420000 PA USD 278706.640000 0.176176 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.43389 N N N N N N N/A N/A 000000000 1.000000 NC USD 27763.660000 0.01755 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 1600000.000000 USD 27763.660000 N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140100 665.000000 NS USD 29373.050000 0.0185673 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 8210.910000 0.0051903 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 900000.000000 CAD 672929.700000 USD 2024-05-01 8210.910000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 200000.000000 PA USD 200888.530000 0.126986 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-NC2 N/A 61744CPK6 36838.640000 PA USD 36665.770000 0.0231772 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.35889 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 433.980000 PA USD 424.160000 0.0002681 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.90795 N N N N N N N/A N/A 000000000 -200000.000000 NC -393.910000 -0.000249 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.56000 04/24/24-5Y LCH 2029-04-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.560000 EUR 2024-04-22 XXXX -87.210000 N N N STRUCTURED ASSET INVEST LN TR 2003-BC8 N/A 86358EEC6 420029.270000 PA USD 387632.410000 0.24503 Long ABS-MBS CORP US N 2 2033-08-25 Floating 8.59389 N N N N N N N/A N/A 000000000 1.000000 NC USD 52780.840000 0.0333638 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2024-05-15 0.000000 USD 0.000000 USD 1871838.200000 USD 52780.840000 N N N GSR MORTGAGE LOAN TRUST 2004-4 N/A 36228FD45 18593.950000 PA USD 14857.920000 0.009392 Long ABS-MBS CORP US N 3 2032-04-25 Floating 6.97 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 300000.000000 PA USD 303465.000000 0.191826 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC 108.210000 0.0000684 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 454319925.000000 IDR 28709.000000 USD 2024-04-30 108.210000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 189616.510000 PA USD 160999.700000 0.101771 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.82389 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAC9 10204.260000 PA USD 9387.940000 0.0059343 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.54724 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-31 N/A 12667GZB2 668483.310000 PA USD 610840.190000 0.386124 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.04389 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 43612.720000 PA USD 40164.730000 0.0253889 Long ABS-MBS CORP US N 2 2032-08-15 Floating 6.29981 N N N N N N CHEVRON CORPORATION N/A 166764100 665.000000 NS USD 104897.100000 0.0663076 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -201.310000 -0.0001273 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35551.000000 USD 177292.840000 BRL 2024-04-02 -201.310000 N N N N/A N/A 000000000 1.000000 NC 878.380000 0.0005552 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 10000000.000000 JPY 66947.380000 USD 2024-04-02 878.380000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A N/A ACI2N0W91 500000.000000 PA 539359.140000 0.34094 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 5.195 N N N N N N CHASE FUNDING MTGE LN ASSET BK 2002-3 N/A 161546DB9 36700.630000 PA USD 35611.660000 0.0225109 Long ABS-MBS CORP US N 2 2032-08-25 Floating 6.08389 N N N N N N BANC OF AMERICA FUNDING CORP 2006-6 N/A 05950RBJ7 25446.650000 PA USD 22254.940000 0.0140678 Long ABS-MBS CORP US N 3 2036-08-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1893.110000 0.0011967 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 443000.000000 EUR 479823.620000 USD 2024-04-02 1893.110000 N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 675812.850000 PA USD 680511.510000 0.430165 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.88141 N N N N N N N/A N/A 000000000 1.000000 NC 254.880000 0.0001611 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 75927.000000 AUD 49773.940000 USD 2024-05-02 254.880000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 7800Z8SA9 200000.000000 PA 146949.170000 0.0928896 Long DBT CORP CA N 2 2024-05-01 None 0 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 300000.000000 PA USD 301332.710000 0.190479 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N FANNIE MAE 2010-2 N/A 31398G7B9 424471.420000 PA USD 28404.610000 0.0179551 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 0.96513 N N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 112967.000000 PA USD 101836.510000 0.0643729 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.96496 N N N N N N UMBS PASS THRU POOLS N/A 01F042640 2900000.000000 PA USD 2761898.030000 1.74585 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 4.5 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 900000.000000 PA USD 893274.130000 0.564657 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.96864 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAB5 297493.780000 PA USD 298091.450000 0.18843 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.13 N N N N N N LOANCORE ISSUER LTD 2021-CRE6 N/A 53948HAA4 843752.110000 PA USD 832150.520000 0.526019 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 6.73981 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 13443CE15 250000.000000 PA USD 248644.500000 0.157173 Long DBT CORP US N 2 2024-05-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -210.960000 -0.0001334 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 51200.000000 USD 4261969.920000 INR 2024-06-20 -210.960000 N N N N/A N/A 000000000 1.000000 NC -434.110000 -0.0002744 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 48962.640000 USD 771944982.000000 IDR 2024-06-20 -434.110000 N N N N/A N/A 000000000 1.000000 NC 435.510000 0.0002753 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 785679074.000000 IDR 49827.440000 USD 2024-06-20 435.510000 N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 1566.900000 PA USD 1501.420000 0.0009491 Long ABS-MBS CORP US N 3 2036-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -4802.920000 -0.003036 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-20 0.000000 EUR -398.500000 EUR 100000.000000 EUR -4404.420000 N N N N/A N/A 000000000 1.000000 NC -1666.450000 -0.0010534 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 992686.550000 USD 149312962.000000 JPY 2024-05-02 -1666.450000 N N N N/A N/A 000000000 1.000000 NC USD -5603.220000 -0.0035419 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-22 0.000000 USD -910.000000 USD 200000.000000 USD -4693.220000 N N N N/A N/A 000000000 1.000000 NC 173.000000 0.0001094 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2900000.000000 DKK 428141.330000 USD 2025-04-01 173.000000 N N N N/A N/A 000000000 1.000000 NC -1856.720000 -0.0011737 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 230679.000000 USD 3639883941.000000 IDR 2024-06-20 -1856.720000 N N N MORGAN STANLEY REREMIC TRUST 2011-R2 N/A 61760JAA8 112672.390000 PA USD 54169.430000 0.0342416 Long ABS-MBS CORP US N 2 2037-05-26 Floating 5.25 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 600000.000000 PA USD 597894.350000 0.377941 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N N/A N/A 000000000 1.000000 NC -6332.950000 -0.0040032 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -431.440000 EUR 100000.000000 EUR -5901.510000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WFA4 300000.000000 PA USD 300567.320000 0.189995 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 -1502.700000 -0.0009499 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-13 0.000000 EUR -378.890000 EUR 200000.000000 EUR -1123.810000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 793946.210000 PA USD 613507.170000 0.38781 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.01658 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833100 665.000000 NS USD 114034.200000 0.0720833 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 1994.970000 0.0012611 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -455.000000 USD 100000.000000 USD 2449.970000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 3732712.820000 PA 435496.210000 0.275286 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1122.160000 0.0007093 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 100000.000000 USD 1122.160000 N N N N/A N/A 000000000 1.000000 NC 129.860000 0.0000821 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 60000.000000 CAD 44425.660000 USD 2024-04-02 129.860000 N N N OCTANE RECEIVABLES TRUST 2023-1A N/A 67571BAA1 434109.320000 PA USD 434626.820000 0.274736 Long ABS-O CORP US N 2 2029-05-21 Fixed 5.87 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EW9 58438.450000 PA USD 56777.410000 0.0358902 Long ABS-MBS CORP US N 2 2044-03-25 Floating 3.5068 N N N N N N DIAMETER CAPITAL CLO 2024-6A N/A 25255UAA0 1000000.000000 PA USD 1000000.000000 0.63212 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 6.93557 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023105 665.000000 NS USD 128338.350000 0.0811253 Long EC CORP US N 1 N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 455524.790000 PA USD 34294.590000 0.0216783 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24184 N N N N N N N/A N/A 000000000 -3.000000 NC USD -302.110000 -0.000191 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 113.000000 USD 2024-04-26 XXXX 1344.710000 N N N TRAVELERS COMPANIES INC 549300Y650407RU8B149 89417E109 665.000000 NS USD 153043.100000 0.0967417 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 1600000.000000 PA USD 1477187.500000 0.93376 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 334458.320000 PA USD 318943.100000 0.20161 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.84389 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 200000.000000 PA USD 185457.790000 0.117232 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 289347.760000 PA USD 261974.560000 0.1656 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.92389 N N N N N N N/A N/A 000000000 1.000000 NC USD 1178110.930000 0.744708 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 744696.700000 USD 0.000000 USD 3300000.000000 USD 433414.230000 N N N N/A N/A 000000000 -5.000000 NC -10489.710000 -0.0066308 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-06-06 -719485.000000 EUR -10489.710000 N N N PAGAYA AI DEBT TRUST 2023-5 N/A 69546PAA8 300262.110000 PA USD 301082.130000 0.19032 Long ABS-O CORP US N 2 2031-04-15 Fixed 7.179 N N N N N N N/A N/A 000000000 1.000000 NC -4130.140000 -0.0026107 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -3748.000000 N N N PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 665.000000 NS USD 107896.250000 0.0682034 Long EC CORP US N 1 N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 41612.570000 PA USD 41426.720000 0.0261867 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.02700 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 4.030000 USD 2024-04-01 XXXX 729.980000 N N N N/A N/A 000000000 -100000.000000 NC USD -70.790000 -0.0000447 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.15000 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 4.150000 USD 2024-04-18 XXXX 277.960000 N N N N/A N/A 000000000 1.000000 NC 1223.590000 0.0007735 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7405000.000000 DKK 1073815.550000 USD 2024-05-02 1223.590000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAC6 139567.820000 PA USD 79280.850000 0.050115 Long ABS-MBS CORP US N 3 2036-08-25 Floating 6 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDB8 250000.000000 PA USD 249463.130000 0.157691 Long DBT CORP CA N 2 2024-04-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 254.350000 0.0001608 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 201145.890000 BRL 40360.000000 USD 2024-04-02 254.350000 N N N N/A N/A 000000000 225.000000 NC USD -20556.220000 -0.012994 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 24913476.450000 USD -20556.220000 N N N N/A N/A 000000000 1.000000 NC 14964.750000 0.0094595 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5240234.180000 CAD 3883637.330000 USD 2024-04-02 14964.750000 N N N N/A N/A 000000000 1.000000 NC -1017.870000 -0.0006434 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-29 0.000000 EUR -161.260000 EUR 100000.000000 EUR -856.610000 N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 580135101 665.000000 NS USD 187496.750000 0.118521 Long EC CORP US N 1 N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAD6 129242.650000 PA USD 75184.130000 0.0475254 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.74389 N N N N N N N/A N/A 000000000 1.000000 NC 398.300000 0.0002518 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 107279.000000 USD 1812446.520000 MXN 2024-06-20 398.300000 N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106103 665.000000 NS USD 62496.700000 0.0395054 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 209.060000 0.0001322 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 178796.640000 BRL 35551.000000 USD 2024-07-02 209.060000 N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 49252.200000 PA USD 42439.610000 0.0268269 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.86389 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-11CB N/A 12667GJJ3 338286.740000 PA USD 270459.640000 0.170963 Long ABS-MBS CORP US N 2 2025-06-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 14585.890000 0.00922 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 7968.290000 USD 0.000000 USD 700000.000000 USD 6617.600000 N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2DN7 250000.000000 PA USD 249040.510000 0.157424 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFH3 127241.390000 PA USD 73550.880000 0.046493 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 125067.450000 0.0790577 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 117962.050000 USD 0.000000 USD 5400000.000000 USD 7105.400000 N N N N/A N/A 000000000 1.000000 NC USD -847.720000 -0.0005359 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-19 0.000000 USD -840.000000 USD 200000.000000 USD -7.720000 N N N N/A N/A 000000000 1.000000 NC -29.870000 -0.0000189 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 295281847.000000 IDR 18559.000000 USD 2024-04-30 -29.870000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 200000.000000 PA USD 184431.900000 0.116583 Long DBT CORP US N 2 2027-07-22 Floating 1.734 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 264755.000000 PA USD 256994.770000 0.162452 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N JOHNSON & JOHNSON COMPANY 549300G0CFPGEF6X2043 478160104 665.000000 NS USD 105196.350000 0.0664968 Long EC CORP US N 1 N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 500000.000000 PA USD 500827.670000 0.316583 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.69942 N N N N N N HILTON ORLANDO TRUST 2018-ORL N/A 432885AG6 700000.000000 PA USD 699735.820000 0.442317 Long ABS-MBS CORP US N 2 2034-12-15 Floating 6.67233 N N N N N N N/A N/A 000000000 1.000000 NC 4155.970000 0.0026271 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 199459800.000000 KRW 152579.690000 USD 2024-06-20 4155.970000 N N N N/A N/A 000000000 1.000000 NC 1009.140000 0.0006379 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 600676.140000 CNY 83757.000000 USD 2024-04-19 1009.140000 N N N COUNTRYWIDE HOME LOANS 2007-5 N/A 12544VCN7 12965.710000 PA USD 6707.510000 0.00424 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 89236TKY0 400000.000000 PA USD 400565.340000 0.253205 Long DBT CORP US N 2 2024-08-22 Floating 5.86 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -88.510000 -0.0000559 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08000 04/17/24-10Y LCH 2034-04-17 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-15 XXXX 251.990000 N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 100000.000000 PA USD 99941.740000 0.0631752 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826C839 665.000000 NS USD 185588.200000 0.117314 Long EC CORP US N 1 N N N FREDDIE MAC REMICS 3922 N/A 3137AFHT2 468428.140000 PA USD 397668.840000 0.251375 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 0 N N N N N N N/A N/A 000000000 1.000000 NC -1891.850000 -0.0011959 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 280720.000000 USD 1924984.060000 DKK 2024-05-02 -1891.850000 N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 477068.630000 PA USD 369474.820000 0.233553 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.79533 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 20512.560000 PA USD 9347.600000 0.0059088 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 56737.610000 PA USD 56995.060000 0.0360277 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AB8 779849.760000 PA USD 780017.120000 0.493065 Long ABS-O CORP US N 2 2026-01-20 Fixed 5.58 N N N N N N EMC MORTGAGE LOAN TRUST 2002-B N/A 268668BD1 14059.670000 PA USD 13597.910000 0.0085955 Long ABS-MBS CORP US N 3 2041-02-25 Floating 6.74389 N N N N N N CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2022-2 N/A 14043GAC8 109474.750000 PA USD 109540.040000 0.0692425 Long ABS-O CORP US N 2 2025-09-15 Floating 5.96864 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162100 665.000000 NS USD 189072.800000 0.119517 Long EC CORP US N 1 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PE25 250000.000000 PA USD 248585.010000 0.157136 Long DBT CORP US N 2 2024-05-02 None 0 N N N N N N N/A N/A 000000000 8100000.000000 NC USD 5866.020000 0.003708 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 07/19/24-1Y LCH 2025-07-19 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-07-17 XXXX 2423.520000 N N N FANNIE MAE REMICS 2007-70 N/A 31396WRQ1 6051.940000 PA USD 5963.700000 0.0037698 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.78487 N N N N N N N/A N/A 000000000 1.000000 NC USD 49764.890000 0.0314574 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2051-12-07 43000.000000 USD 0.000000 USD 1000000.000000 USD 6764.890000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPSA6 900000.000000 PA 661251.340000 0.41799 Long DBT CORP CA N 2 2024-05-01 None 0 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 243777.290000 PA USD 215319.830000 0.136108 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.89342 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAA7 69617.440000 PA USD 69511.820000 0.0439398 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.18 N N N N N N N/A N/A 000000000 7.000000 NC USD 6989.010000 0.0044179 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 900921.880000 USD 6989.010000 N N N N/A N/A 000000000 1.000000 NC 68.650000 0.0000434 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1301898093.000000 IDR 82027.000000 USD 2024-04-30 68.650000 N N N N/A N/A 000000000 1.000000 NC USD 62045.880000 0.0392205 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -22278.770000 USD 9300000.000000 USD 84324.650000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAD8 42765.430000 PA USD 38276.770000 0.0241955 Long ABS-MBS CORP US N 2 2046-09-20 Floating 5.65323 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 460472.340000 PA USD 463581.360000 0.293039 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 483905.420000 PA USD 485396.910000 0.306829 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -1.920000 -0.0000012 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-04-02 XXXX 712.830000 N N N N/A N/A 000000000 1.000000 NC 101.040000 0.0000639 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 80461.860000 BRL 16144.000000 USD 2024-04-02 101.040000 N N N N/A N/A 000000000 1.000000 NC 3212.800000 0.0020309 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2367430.660000 CNY 329345.000000 USD 2024-04-19 3212.800000 N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AD9 516630.280000 PA USD 132909.550000 0.0840148 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.79548 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAJ9 26456.990000 PA USD 21519.870000 0.0136031 Long ABS-MBS CORP US N 3 2036-08-25 Fixed 5.75 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAK9 673796.610000 PA USD 586436.120000 0.370698 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.62826 N N N N N N N/A N/A 000000000 -20.000000 NC USD -94867.230000 -0.0599675 N/A DE US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A DOW JONES INDUSTRIAL AVERAGE 2024-06-21 -4017600.000000 USD -94867.230000 N N N N/A N/A 000000000 1.000000 NC -1437.090000 -0.0009084 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 356423.650000 USD 2450769.340000 DKK 2024-05-02 -1437.090000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2MFLJ9 230000000.000000 PA 1519365.900000 0.960422 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 7866.960000 0.0049729 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-21 0.000000 EUR -394.200000 EUR 100000.000000 EUR 8261.160000 N N N HONDA AUTO RECEIVABLES OWNER TRUST 2023-3 N/A 43815QAB3 500000.000000 PA USD 500469.200000 0.316357 Long ABS-O CORP US N 2 2026-03-18 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC USD -63988.070000 -0.0404482 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -287731.240000 USD 1100934.270000 USD 223743.170000 N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 496883.180000 PA USD 469260.000000 0.296629 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.22389 N N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 94796.710000 PA USD 85835.090000 0.0542581 Long ABS-MBS CORP US N 2 2033-06-25 Floating 6.02389 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -325.400000 -0.0002057 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/15/24-10Y LCH 2034-04-15 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2024-04-11 XXXX 52.100000 N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 21737.680000 PA USD 19384.380000 0.0122533 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.49575 N N N N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAA1 200951.590000 PA USD 200307.460000 0.126618 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.32 N N N N N N MF1 2021-FL7 LTD N/A 55284AAA6 377122.760000 PA USD 374765.740000 0.236897 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.52115 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAC0 432123.290000 PA USD 432923.540000 0.27366 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.04 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 460852.460000 PA USD 438244.140000 0.277023 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.04389 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 390350.950000 PA USD 392001.670000 0.247792 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N N/A N/A 000000000 1.000000 NC 1685.000000 0.0010651 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 149994937.000000 JPY 992686.550000 USD 2024-04-02 1685.000000 N N N FANNIE MAE REMICS 2007-32 N/A 31396VDT2 794906.520000 PA USD 84693.870000 0.0535367 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 1.35513 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAA4 355725.420000 PA USD 355334.830000 0.224614 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N N/A N/A 000000000 1.000000 NC USD 2345.200000 0.0014824 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -457.500000 USD 100000.000000 USD 2802.700000 N N N N/A N/A 000000000 1.000000 NC -2908.640000 -0.0018386 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 122067.800000 USD 1895468798.000000 IDR 2024-06-20 -2908.640000 N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GYY1 122520.010000 PA USD 101117.880000 0.0639187 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.04389 N N N N N N N/A N/A 000000000 1.000000 NC 50496.310000 0.0319197 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54782034.000000 TWD 1768720.000000 USD 2024-06-20 50496.310000 N N N GSPA MONETIZATION TRUST N/A 36298GAA7 34724.130000 PA USD 33399.770000 0.0211127 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N N/A N/A 000000000 1.000000 NC -2020.550000 -0.0012772 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 610811.670000 USD 50886414.820000 INR 2024-06-20 -2020.550000 N N N N/A N/A 000000000 -300000.000000 NC USD -1094.070000 -0.0006916 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-26 XXXX -246.570000 N N N N/A N/A 000000000 1.000000 NC -269.180000 -0.0001702 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 361862.210000 USD 2500000.000000 DKK 2024-04-02 -269.180000 N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 46551.710000 PA USD 45691.410000 0.0288825 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.41419 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACP8 98179.280000 PA USD 88974.420000 0.0562425 Long ABS-MBS CORP US N 2 2035-11-20 Floating 6.04323 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 8098.740000 PA USD 7884.980000 0.0049843 Long ABS-MBS CORP US N 3 2034-05-20 Floating 6.41652 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 997280.710000 PA USD 521802.500000 0.329842 Long ABS-MBS CORP US N 2 2035-10-19 Floating 7.08905 N N N N N N N/A N/A 000000000 1.000000 NC 2974.460000 0.0018802 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 124777566.000000 KRW 95825.000000 USD 2024-06-20 2974.460000 N N N N/A N/A 000000000 1.000000 NC 5921.700000 0.0037432 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 239571926.000000 KRW 184194.000000 USD 2024-06-20 5921.700000 N N N N/A N/A 000000000 1.000000 NC USD 328.020000 0.0002073 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -431.250000 USD 100000.000000 USD 759.270000 N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 665.000000 NS USD 119952.700000 0.0758245 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 165.160000 0.0001044 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 140866.730000 BRL 28252.000000 USD 2024-04-02 165.160000 N N N N/A N/A 000000000 1.000000 NC -4115.820000 -0.0026017 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 592789.280000 USD 4070000.000000 DKK 2024-04-02 -4115.820000 N N N N/A N/A 000000000 1.000000 NC 2869.940000 0.0018141 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2343346.280000 CNY 325767.000000 USD 2024-04-26 2869.940000 N N N N/A N/A 000000000 1.000000 NC -16.940000 -0.0000107 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 326020286.000000 IDR 20507.000000 USD 2024-04-30 -16.940000 N N N MF1 2022-FL9 LLC N/A 55285AAA5 1000000.000000 PA USD 1001197.340000 0.632877 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.47632 N N N N N N FREDDIE MAC 3311 N/A 31397H6P8 5730.750000 PA USD 5631.200000 0.0035596 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.73312 N N N N N N FANNIE MAE REMICS 2007-25 N/A 31396VCB2 3509.640000 PA USD 3432.430000 0.0021697 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 5.76487 N N N N N N N/A N/A 000000000 1.000000 NC 4651.010000 0.00294 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1100000.000000 BRL 222083.140000 USD 2024-07-02 4651.010000 N N N N/A N/A 000000000 1.000000 NC -974.340000 -0.0006159 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 304131.160000 USD 281000.000000 EUR 2024-04-02 -974.340000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 472765.350000 PA USD 473201.150000 0.29912 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 207121.320000 PA USD 188724.060000 0.119296 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.56905 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 192699.200000 PA USD 164640.620000 0.104073 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 2273.100000 0.0014369 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3155183.150000 DKK 458630.000000 USD 2024-04-02 2273.100000 N N N N/A N/A 000000000 1.000000 NC 3487.720000 0.0022047 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2048683.560000 CNY 285710.000000 USD 2024-04-19 3487.720000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 4703.940000 PA USD 4487.100000 0.0028364 Long ABS-MBS CORP US N 3 2047-06-25 Floating 7.00197 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141G104 665.000000 NS USD 277763.850000 0.17558 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 4013.710000 0.0025371 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2025998.940000 CNY 283111.000000 USD 2024-04-19 4013.710000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 200000.000000 PA USD 201793.400000 0.127558 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 47744.550000 PA USD 46501.080000 0.0293943 Long ABS-MBS CORP US N 3 2035-08-25 Floating 5.22588 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 400000.000000 PA USD 399415.720000 0.252479 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-1 N/A 02008FAA2 700000.000000 PA USD 700101.500000 0.442548 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.528 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -224.400000 -0.0001418 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/10/24-10Y LCH 2034-04-10 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2024-04-08 XXXX 150.600000 N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 ACI2MMBZ9 100000.000000 PA 108493.250000 0.0685808 Long DBT CORP US N 2 2025-05-29 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TT5 1200000.000000 PA USD 1153687.500000 0.729269 Long DBT UST US N 2 2053-08-15 Fixed 4.125 N N N N N N N/A N/A 000000000 -100000.000000 NC -28.620000 -0.0000181 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.43000 04/16/24-5Y LCH 2029-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.430000 EUR 2024-04-12 XXXX 137.990000 N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAA1 1057244.540000 PA USD 695125.700000 0.439403 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.63389 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 7700000.000000 PA USD 7515614.340000 4.75077 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 42777.890000 0.0270408 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 97509.090000 USD 0.000000 USD 1300000.000000 USD -54731.200000 N N N N/A N/A 000000000 1.000000 NC 167.150000 0.0001057 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 73659.180000 USD 100000.000000 CAD 2024-04-02 167.150000 N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 605000.000000 PA USD 495291.780000 0.313084 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.67389 N N N N N N N/A N/A 000000000 1.000000 NC 268.570000 0.0001698 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 230704.840000 USD 183000.000000 GBP 2024-04-02 268.570000 N N N N/A N/A 000000000 1.000000 NC USD 347135.230000 0.219431 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 106045.970000 USD 0.000000 USD 1980000.000000 USD 241089.260000 N N N N/A N/A 000000000 1.000000 NC 473.040000 0.000299 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 132721.000000 USD 2241949.680000 MXN 2024-06-20 473.040000 N N N N/A N/A 000000000 1.000000 NC 1095.170000 0.0006923 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200000.000000 CAD 148810.460000 USD 2024-05-01 1095.170000 N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 500000.000000 PA USD 503780.020000 0.31845 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 7.49397 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 865258.110000 PA USD 847781.600000 0.5359 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 6.63981 N N N N N N N/A N/A 000000000 1.000000 NC USD 1572.680000 0.0009941 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -529.360000 USD 100000.000000 USD 2102.040000 N N N N/A N/A 000000000 -100000.000000 NC -69.810000 -0.0000441 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.77000 04/16/24-5Y LCH 2029-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.770000 EUR 2024-04-12 XXXX 96.800000 N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 100000.000000 PA USD 99942.360000 0.0631756 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAD6 300000.000000 PA USD 301615.080000 0.190657 Long DBT CORP US N 2 2025-08-18 Floating 6.11271 N N N N N N N/A N/A 000000000 1.000000 NC 3045.110000 0.0019249 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2012566.630000 CNY 280292.000000 USD 2024-04-19 3045.110000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 N/A 80285XAB1 395394.510000 PA USD 395898.160000 0.250255 Long ABS-O CORP US N 2 2026-08-17 Fixed 6.08 N N N N N N N/A N/A 000000000 1.000000 NC -2788.190000 -0.0017625 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-03-20 0.000000 CAD 0.000000 CAD 5700000.000000 CAD -2788.190000 N N N N/A N/A 000000000 1.000000 NC -792.840000 -0.0005012 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 233401.000000 USD 3700106053.000000 IDR 2024-06-20 -792.840000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVL6 17997.100000 PA USD 15743.280000 0.0099516 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.70389 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -46.630000 -0.0000295 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55000 04/16/24-10Y LCH 2034-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.550000 USD 2024-04-12 XXXX 298.370000 N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 77511LDB6 250000.000000 PA USD 249468.740000 0.157694 Long DBT CORP CA N 2 2024-04-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 186.380000 0.0001178 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3040.850000 USD 53792.640000 MXN 2024-04-19 186.380000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 422428.680000 PA USD 390379.780000 0.246767 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.40389 N N N N N N N/A N/A 000000000 1.000000 NC 1095.290000 0.0006924 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200000.000000 CAD 148812.560000 USD 2024-05-02 1095.290000 N N N N/A N/A 000000000 1.000000 NC 531.710000 0.0003361 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 64148738.000000 KRW 48266.610000 USD 2024-06-20 531.710000 N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FF6 543644.480000 PA USD 92145.730000 0.0582472 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.16411 N N N N N N N/A N/A 000000000 -100000.000000 NC -150.260000 -0.000095 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.77000 04/29/24-10Y LCH 2034-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.770000 EUR 2024-04-25 XXXX 134.280000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 749560.250000 PA USD 303428.060000 0.191803 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.92389 N N N N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAA5 458505.740000 PA USD 266465.200000 0.168438 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.58389 N N N N N N N/A N/A 000000000 1.000000 NC 62.500000 0.0000395 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 64905.000000 AUD 42393.090000 USD 2024-05-02 62.500000 N N N N/A N/A 000000000 1.000000 NC 11.910000 0.0000075 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 71467403.000000 IDR 4511.000000 USD 2024-04-30 11.910000 N N N N/A N/A 000000000 1.000000 NC -101.390000 -0.0000641 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 48969.640000 USD 777348962.000000 IDR 2024-06-20 -101.390000 N N N N/A N/A 000000000 1.000000 NC USD 61.830000 0.0000391 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-13 15287.570000 USD 0.000000 USD 280000.000000 USD -15225.740000 N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19 N/A 12543XAG1 342276.800000 PA USD 168457.410000 0.106485 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPR90 100000.000000 PA 73700.490000 0.0465876 Long DBT CORP CA N 2 2024-04-09 None 0 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 9544.260000 PA USD 8376.320000 0.0052948 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.10389 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 100000.000000 PA USD 97610.330000 0.0617015 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -11183.460000 -0.0070693 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 714821.460000 USD 106500477.000000 JPY 2024-04-02 -11183.460000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 131092.640000 PA USD 1275138.120000 0.806041 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC USD 441.780000 0.0002793 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -425.000000 USD 100000.000000 USD 866.780000 N N N N/A N/A 000000000 1.000000 NC 82176.190000 0.0519452 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 230000000.000000 JPY 1604778.050000 USD 2024-04-15 82176.190000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 141022.040000 PA USD 122118.780000 0.0771938 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.7813 N N N N N N N/A N/A 000000000 1.000000 NC 72.340000 0.0000457 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 23526082.000000 KRW 17528.000000 USD 2024-04-29 72.340000 N N N N/A N/A 000000000 1.000000 NC 12.060000 0.0000076 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 45397972.000000 IDR 2870.000000 USD 2024-04-30 12.060000 N N N N/A N/A 000000000 1.000000 NC -254.360000 -0.0001608 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 49732.190000 USD 75927.000000 AUD 2024-04-02 -254.360000 N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 300000.000000 PA USD 300644.850000 0.190044 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N N/A N/A 000000000 1.000000 NC -58.360000 -0.0000369 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 69690062.000000 KRW 51800.000000 USD 2024-06-20 -58.360000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 3506409.000000 PA USD 3510751.160000 2.21922 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 17139.290000 PA USD 16052.380000 0.010147 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 10069.240000 0.006365 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 417135969.000000 KRW 320472.000000 USD 2024-06-20 10069.240000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR12 N/A 94984GAD9 5635.240000 PA USD 5255.320000 0.003322 Long ABS-MBS CORP US N 2 2036-09-25 Floating 6.13024 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A N/A 76088TAA9 236861.410000 PA USD 235548.350000 0.148895 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N CBAM 2018-5 LTD 8A N/A 12478CAA9 227193.110000 PA USD 227408.940000 0.14375 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 6.69942 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6C6 300000.000000 PA USD 301447.470000 0.190551 Long DBT CORP US N 2 2025-08-01 Floating 6.13749 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2019-3A N/A 14686XAG4 289567.770000 PA USD 288334.730000 0.182262 Long ABS-O CORP US N 2 2026-07-15 Fixed 4.6 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2KW5L7 3033667.200000 PA 3199.930000 0.0020227 Long DBT NUSS AR N 2 2024-05-20 Fixed 3.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1 N/A 12668BZM8 74094.350000 PA USD 36857.290000 0.0232982 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1 N/A 03067BAC3 325920.370000 PA USD 326497.800000 0.206386 Long ABS-O CORP US N 2 2026-10-19 Floating 6.04864 N N N N N N N/A N/A 000000000 1.000000 NC -6.860000 -0.0000043 N/A DFE CH N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 24351.350000 USD 21955.080000 CHF 2024-04-02 -6.860000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2M2QV6 3800000.000000 PA 537210.960000 0.339582 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAN8 21889.930000 PA USD 29694.760000 0.0187707 Long ABS-MBS CORP US N 3 2037-01-25 Fixed 5.5 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 500000.000000 PA USD 507458.400000 0.320775 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC 1594.550000 0.0010079 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-04 0.000000 EUR -309.380000 EUR 100000.000000 EUR 1903.930000 N N N N/A N/A 000000000 1.000000 NC -15.500000 -0.0000098 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 16316.000000 MXN 953.830000 USD 2024-06-20 -15.500000 N N N N/A N/A 000000000 1.000000 NC -197.710000 -0.000125 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 35496.290000 USD 54168.000000 AUD 2024-04-02 -197.710000 N N N MASTR ASSET SECURITIZATION TRUST 2006-2 N/A 55274QBB0 167886.320000 PA USD 96406.770000 0.0609407 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 319.100000 0.0002017 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1915556.000000 TWD 60400.000000 USD 2024-06-20 319.100000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 388667.070000 PA USD 371658.110000 0.234933 Long ABS-MBS CORP US N 2 2047-08-25 Floating 6.18389 N N N N N N N/A N/A 000000000 1.000000 NC 2751.960000 0.0017396 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2344728.230000 CNY 325839.440000 USD 2024-04-26 2751.960000 N N N N/A N/A 000000000 1.000000 NC -237.900000 -0.0001504 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 158862.380000 USD 2670000.000000 MXN 2024-06-20 -237.900000 N N N N/A N/A 000000000 1.000000 NC -7245.500000 -0.00458 N/A DFE N/A N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 1086095.400000 USD 1000000.000000 EUR 2024-04-02 -7245.500000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 278425.460000 PA USD 279612.000000 0.176748 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N N/A N/A 000000000 1.000000 NC -884.950000 -0.0005594 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 141349.320000 USD 704485.000000 BRL 2024-04-02 -884.950000 N N N LIBERTY LENDING ABS TRUST 2022-1A N/A 50203YAA3 52395.630000 PA USD 52255.310000 0.0330316 Long ABS-O CORP US N 2 2029-11-15 Fixed 3.76 N N N N N N FANNIE MAE 2007-15 N/A 31396PWK3 171098.830000 PA USD 12812.100000 0.0080988 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 0.94513 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 9273.500000 PA USD 8997.800000 0.0056877 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.52864 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M96 24868.510000 PA USD 22769.050000 0.0143928 Long ABS-MBS CORP US N 3 2033-02-25 Floating 7.21513 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 1000000.000000 PA USD 1006088.900000 0.635969 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.726 N N N N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634EDJ8 250000.000000 PA USD 249153.580000 0.157495 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1145656.520000 PA USD 600083.890000 0.379325 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.57389 N N N N N N FREDDIE MAC REMICS 3828 N/A 3137A7VH0 2985.410000 PA USD 1751.230000 0.001107 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 0 N N N N N N N/A N/A 000000000 1.000000 NC 551.380000 0.0003485 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 1400000.000000 BRL 277283.180000 USD 2024-07-02 551.380000 N N N N/A N/A 000000000 -100000.000000 NC USD -364.690000 -0.0002305 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-26 XXXX -87.190000 N N N CREDIT SUISSE MORTGAGE TRUST 2010-16 N/A 12644WAT3 915710.180000 PA USD 788165.400000 0.498215 Long ABS-MBS CORP US N 2 2050-06-25 Variable 4.4204 N N N N N N N/A N/A 000000000 1.000000 NC 198.200000 0.0001253 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 54168.000000 AUD 35526.190000 USD 2024-05-02 198.200000 N N N N/A N/A 000000000 1.000000 NC -4838.300000 -0.0030584 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5442906.350000 CAD 4015218.070000 USD 2024-05-02 -4838.300000 N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 665.000000 NS USD 81369.400000 0.0514353 Long EC CORP US N 1 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDG7 250000.000000 PA USD 249268.770000 0.157568 Long DBT CORP CA N 2 2024-04-16 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -273.490000 -0.0001729 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 144000.000000 CAD 106036.430000 USD 2024-04-02 -273.490000 N N N N/A N/A 000000000 1.000000 NC -6807.100000 -0.0043029 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-08 0.000000 EUR -712.710000 EUR 300000.000000 EUR -6094.390000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VV7 44621.880000 PA USD 24805.760000 0.0156802 Long ABS-MBS CORP US N 3 2035-08-25 Variable 5.71222 N N N N N N N/A N/A 000000000 1.000000 NC 5172.530000 0.0032697 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-09 0.000000 EUR -473.200000 EUR 200000.000000 EUR 5645.730000 N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 61072.110000 PA USD 55056.890000 0.0348026 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.3078 N N N N N N N/A N/A 000000000 1.000000 NC -71545.510000 -0.0452254 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2054-09-18 0.000000 EUR -72940.850000 EUR 1400000.000000 EUR 1395.340000 N N N SUNTRUST ADJR MRTG LN TR 2007-S1 N/A 855541AA6 122144.530000 PA USD 85192.230000 0.0538517 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.8949 N N N N N N N/A N/A 000000000 1.000000 NC 4814.040000 0.0030431 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4015218.070000 USD 5445255.250000 CAD 2024-04-02 4814.040000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 358143.000000 PA USD 349304.900000 0.220803 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N THEOREM FUNDING TRUST 2022-2A N/A 88339FAA1 209916.930000 PA USD 209334.980000 0.132325 Long ABS-O CORP US N 2 2028-12-15 Fixed 6.06 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 446704.100000 PA USD 324878.510000 0.205362 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 5989.100000 PA USD 5566.850000 0.0035189 Long ABS-MBS CORP US N 2 2036-02-25 Floating 7.66 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD37 450000.000000 PA USD 449593.340000 0.284197 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N FANNIE MAE 2003-66 N/A 31393C4W0 42320.460000 PA USD 3568.110000 0.0022555 Long ABS-MBS USGSE US N 2 2033-07-25 Floating 2.21513 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WEJ6 400000.000000 PA USD 398425.410000 0.251853 Long DBT CORP US N 2 2025-05-23 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 3425.150000 0.0021651 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 200000.000000 USD 3425.150000 N N N N/A N/A 000000000 1.000000 NC 19.410000 0.0000123 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 154377.510000 HKD 19754.000000 USD 2024-04-19 19.410000 N N N N/A N/A 000000000 1.000000 NC 567.040000 0.0003584 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 109000.000000 AUD 71596.890000 USD 2024-04-02 567.040000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 209.060000 PA USD 194.720000 0.0001231 Long ABS-MBS CORP US N 3 2033-05-25 Floating 4.84978 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 260642.540000 PA USD 232708.180000 0.1471 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.6733 N N N N N N MASTER CREDIT CARD TRUST II 2023-2A N/A 576339DJ1 500000.000000 PA USD 502445.200000 0.317606 Long ABS-MBS CORP CA N 2 2027-01-21 Floating 6.16864 N N N N N N N/A N/A 000000000 1.000000 NC USD 46492.550000 0.0293889 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-03-20 41502.150000 USD 0.000000 USD 4200000.000000 USD 4990.400000 N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAB5 200000.000000 PA USD 199663.700000 0.126212 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N FANNIE MAE 2007-4 N/A 31396PMQ1 73888.280000 PA USD 7616.760000 0.0048147 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 1.76513 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -0.750000 -0.0000005 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2024-04-02 XXXX 714.000000 N N N N/A N/A 000000000 1.000000 NC 10486.200000 0.0066285 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2663910.930000 BRL 541632.460000 USD 2024-04-02 10486.200000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAD7 142941.640000 PA USD 131518.710000 0.0831357 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.54724 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 6573.710000 PA USD 5949.290000 0.0037607 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.56241 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAA3 47366.940000 PA USD 36254.190000 0.022917 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 763.990000 0.0004829 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12500000.000000 JPY 83350.240000 USD 2024-04-02 763.990000 N N N N/A N/A 000000000 1.000000 NC 1345.170000 0.0008503 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 61353424.000000 KRW 47000.000000 USD 2024-06-20 1345.170000 N N N CARMAX AUTO OWNER TRUST 2022-4 N/A 14318UAC5 156308.870000 PA USD 156485.260000 0.0989175 Long ABS-O CORP US N 2 2025-12-15 Floating 6.21864 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -114.670000 -0.0000725 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08500 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-18 XXXX 280.330000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBP4 200000.000000 PA USD 200824.010000 0.126945 Long DBT CORP US N 2 2025-03-01 Fixed 6.051 N N N N N N N/A N/A 000000000 8200000.000000 NC USD 13407.000000 0.0084748 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 01/15/25-1Y LCH 2026-01-15 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-01-13 XXXX 6129.500000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAB1 500000.000000 PA USD 498941.550000 0.315391 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.12 N N N N N N N/A N/A 000000000 1.000000 NC 133.710000 0.0000845 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 779174.020000 CNY 107537.840000 USD 2024-05-06 133.710000 N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 12771.200000 PA USD 10966.460000 0.0069321 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.85662 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 400000.000000 PA USD 409437.200000 0.258814 Long DBT CORP US N 2 2028-03-15 Floating 7.1779 N N N N N N N/A N/A 000000000 1.000000 NC 3607.710000 0.0022805 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 498000.000000 EUR 540874.960000 USD 2024-04-02 3607.710000 N N N N/A N/A 000000000 1.000000 NC 62.460000 0.0000395 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 22550144.000000 KRW 16794.000000 USD 2024-04-29 62.460000 N N N N/A N/A 000000000 1.000000 NC 1046.950000 0.0006618 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 62960963.000000 KRW 47898.000000 USD 2024-06-20 1046.950000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAK3 153304.060000 PA USD 56003.200000 0.0354008 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 N N N N N N FANNIE MAE 2010-111 N/A 31398NWE0 16431.950000 PA USD 16271.960000 0.0102858 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 5.95487 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911Z1S26 200000.000000 PA 146918.160000 0.09287 Long DBT CORP CA N 2 2024-05-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 13.480000 0.0000085 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4517048.000000 KRW 3365.000000 USD 2024-04-29 13.480000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JDH7 250000.000000 PA USD 249239.450000 0.157549 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 1815.390000 0.0011475 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 500000.000000 BRL 100648.170000 USD 2024-07-02 1815.390000 N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26244HE66 700000.000000 PA USD 695780.630000 0.439817 Long DBT CORP US N 2 2024-05-06 None 0 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 26208WAB0 500000.000000 PA USD 500405.550000 0.316317 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10 N/A 32051GA88 60456.050000 PA USD 45950.070000 0.029046 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.0545 N N N N N N N/A N/A 000000000 1.000000 NC USD 137992.100000 0.0872276 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2025-03-12 0.000000 USD 0.000000 USD 30278867.740000 USD 137992.100000 N N N N/A N/A 000000000 1.000000 NC 520.720000 0.0003292 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 229087.570000 USD 1151577.400000 BRL 2024-04-02 520.720000 N N N N/A N/A 000000000 1.000000 NC USD 6848.000000 0.0043288 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 10340.960000 USD 0.000000 USD 600000.000000 USD -3492.960000 N N N N/A N/A 000000000 1.000000 NC USD 167383.460000 0.105807 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 47983.680000 USD 0.000000 USD 5790000.000000 USD 119399.780000 N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123101 665.000000 NS USD 243675.950000 0.154032 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 2403.170000 0.0015191 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2120115.000000 TWD 68900.000000 USD 2024-06-20 2403.170000 N N N N/A N/A 000000000 1.000000 NC -204.120000 -0.000129 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7074.000000 USD 219032.000000 TWD 2024-06-20 -204.120000 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 967837.290000 PA USD 876686.660000 0.554172 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.84389 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAA4 623162.940000 PA USD 197049.980000 0.124559 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.54389 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 100000.000000 PA USD 99738.770000 0.0630469 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 48949.110000 PA USD 46151.050000 0.029173 Long ABS-MBS CORP US N 3 2035-02-25 Floating 5.94389 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 135732.140000 PA USD 133387.730000 0.0843171 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.60389 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62700 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2024-04-01 XXXX 729.980000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WBA0 700000.000000 PA USD 607204.640000 0.383826 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.5487 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -5.380000 -0.0000034 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 04/10/24-10Y LCH 2034-04-10 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-04-08 XXXX 369.620000 N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 36987.990000 PA USD 36123.260000 0.0228342 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N N/A N/A 000000000 -1.000000 NC USD -99.650000 -0.000063 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 108.500000 USD 2024-04-26 XXXX 243.230000 N N N N/A N/A 000000000 1.000000 NC 1045.500000 0.0006609 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 274151.200000 SEK 26657.530000 USD 2024-04-02 1045.500000 N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF10 N/A 32027NWP2 717710.670000 PA USD 650709.800000 0.411327 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.16389 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAJ9 270713.400000 PA USD 142080.210000 0.0898118 Long ABS-MBS CORP US N 3 2037-03-25 Fixed 5.75 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 665.000000 NS USD 151413.850000 0.0957118 Long EC CORP US N 1 N N N N/A N/A 000000000 -100000.000000 NC USD -395.290000 -0.0002499 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-04-18 XXXX -46.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 2043213.000000 PA USD 2030655.390000 1.28362 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 400000.000000 PA USD 399803.160000 0.252724 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N N/A N/A 000000000 1.000000 NC 152.600000 0.0000965 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 140929.730000 BRL 28252.000000 USD 2024-04-02 152.600000 N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZE3 8885.420000 PA USD 8474.390000 0.0053568 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.7233 N N N N N N N/A N/A 000000000 1.000000 NC 723.540000 0.0004574 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 623014.270000 BRL 123872.010000 USD 2024-07-02 723.540000 N N N N/A N/A 000000000 1.000000 NC -527.960000 -0.0003337 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 410789.100000 USD 2836484.000000 DKK 2024-04-02 -527.960000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 28208.060000 PA USD 25502.310000 0.0161205 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.94389 N N N N N N N/A N/A 000000000 -200000.000000 NC -16.610000 -0.0000105 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.85000 04/10/24-5Y LCH 2029-04-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.850000 EUR 2024-04-08 XXXX 351.210000 N N N N/A N/A 000000000 1.000000 NC -21.630000 -0.0000137 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 156698493.000000 IDR 9843.000000 USD 2024-04-30 -21.630000 N N N N/A N/A 000000000 1.000000 NC 162.430000 0.0001027 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 140880.410000 BRL 28252.000000 USD 2024-04-02 162.430000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAE3 809531.570000 PA USD 707055.560000 0.446944 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.49389 N N N N N N N/A N/A 000000000 1.000000 NC 900.010000 0.0005689 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 64986673.000000 KRW 49258.450000 USD 2024-06-20 900.010000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 1200000.000000 PA USD 1213137.860000 0.766849 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N N/A N/A 000000000 1.000000 NC USD 299397.090000 0.189255 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 164164.100000 USD 0.000000 USD 11050000.000000 USD 135232.990000 N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 165711.350000 PA USD 161116.120000 0.101845 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.17889 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 209098.220000 PA USD 103891.790000 0.0656721 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.54389 N N N N N N N/A N/A 000000000 1.000000 NC USD 2433.490000 0.0015383 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-09 0.000000 USD 0.000000 USD 100000.000000 USD 2433.490000 N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.02400 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 4.020000 USD 2024-04-01 XXXX 369.990000 N N N N/A N/A 000000000 -100000.000000 NC -43.870000 -0.0000277 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.81000 04/17/24-10Y LCH 2034-04-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.810000 EUR 2024-04-15 XXXX 262.400000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076102 665.000000 NS USD 255094.000000 0.16125 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 671.460000 0.0004244 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2600000.000000 DKK 384367.210000 USD 2025-04-01 671.460000 N N N N/A N/A 000000000 1.000000 NC -0.610000 -0.0000004 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19548036.000000 IDR 1230.000000 USD 2024-04-30 -0.610000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 973998.840000 PA 55939.970000 0.0353608 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 91.760000 0.000058 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 87414.630000 BRL 17521.000000 USD 2024-04-02 91.760000 N N N N/A N/A 000000000 -100000.000000 NC -372.120000 -0.0002352 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.48000 04/29/24-10Y LCH 2034-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.480000 EUR 2024-04-25 XXXX -87.580000 N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 536444.870000 PA USD 530746.430000 0.335496 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 6.56864 N N N N N N N/A N/A 000000000 1.000000 NC -1211.970000 -0.0007661 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-19 0.000000 EUR -374.830000 EUR 200000.000000 EUR -837.140000 N N N N/A N/A 000000000 1.000000 NC 105.850000 0.0000669 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 29464000.000000 JPY 195664.330000 USD 2024-05-02 105.850000 N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAC3 297493.780000 PA USD 298187.860000 0.188491 Long ABS-O CORP US N 2 2026-07-15 Floating 6.26864 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625H100 666.000000 NS USD 133399.800000 0.0843247 Long EC CORP US N 1 N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 500000.000000 PA USD 501564.240000 0.317049 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N NYMT LOAN TRUST 2022-SP1 N/A 62956BAA7 432183.970000 PA USD 422144.980000 0.266846 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.25 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3L0 26844.400000 PA USD 23783.850000 0.0150343 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.60792 N N N N N N N/A N/A 000000000 1.000000 NC -3284.660000 -0.0020763 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-15 0.000000 EUR -377.360000 EUR 100000.000000 EUR -2907.300000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 294228.270000 PA USD 277957.830000 0.175703 Long ABS-MBS CORP US N 2 2047-06-25 Floating 7.00197 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 300000.000000 PA USD 302046.840000 0.19093 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 900000.000000 PA USD 904562.640000 0.571793 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 6177.410000 PA USD 5798.430000 0.0036653 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.89605 N N N N N N WASHINGTON MUTUAL 2003-AR6 N/A 9292274D5 59348.040000 PA USD 55664.160000 0.0351864 Long ABS-MBS CORP US N 3 2033-06-25 Floating 5.38676 N N N N N N FHLMC PASS THRU POOLS N/A 3133BH3J3 387303.920000 PA USD 370613.270000 0.234272 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -66415.610000 -0.0419827 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-03-21 0.000000 JPY -4867.160000 JPY 630000000.000000 JPY -61548.450000 N N N N/A N/A 000000000 1.000000 NC -871.410000 -0.0005508 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 440890.950000 USD 66600000.000000 JPY 2024-04-02 -871.410000 N N N N/A N/A 000000000 1.000000 NC -72.340000 -0.0000457 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 86000.000000 AUD 55969.560000 USD 2024-04-02 -72.340000 N N N N/A N/A 000000000 1.000000 NC 159.620000 0.0001009 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 140894.500000 BRL 28252.000000 USD 2024-04-02 159.620000 N N N N/A N/A 000000000 1.000000 NC 4930.650000 0.0031168 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 679000.000000 GBP 861930.340000 USD 2024-04-02 4930.650000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 3287439.210000 PA USD 821410.080000 0.51923 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.84389 N N N N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAW5 359576.390000 PA USD 179148.040000 0.113243 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62400 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2024-04-01 XXXX 369.990000 N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 707183.720000 PA USD 707641.060000 0.447314 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N N/A N/A 000000000 1.000000 NC 4231.210000 0.0026746 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3631253.070000 CNY 504593.000000 USD 2024-04-26 4231.210000 N N N N/A N/A 000000000 77.000000 NC USD -20253.930000 -0.0128029 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-28 15741988.260000 USD -20253.930000 N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 442786.700000 PA USD 419615.760000 0.265248 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 7975.170000 0.0050413 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 374341038.000000 KRW 286533.000000 USD 2024-06-20 7975.170000 N N N WALMART INC Y87794H0US1R65VBXU25 931142103 665.000000 NS USD 40013.050000 0.0252931 Long EC CORP US N 1 N N N HONEYWELL INTERNATIONAL INC ISRPG12PN4EIEOEMW547 438516106 665.000000 NS USD 136491.250000 0.0862789 Long EC CORP US N 1 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 500000.000000 PA USD 501751.200000 0.317167 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 193682.590000 PA USD 154328.460000 0.0975542 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.36539 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UD44 250000.000000 PA USD 249732.880000 0.157861 Long DBT CORP CA N 2 2024-04-04 None 0 N N N N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 1182547.160000 PA USD 1154438.610000 0.729744 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.25389 N N N N N N UMBS PASS THRU POOLS N/A 01F062648 7600000.000000 PA USD 7765485.670000 4.90872 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 6.5 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LL N/A 05377RDL5 300000.000000 PA USD 298243.500000 0.188526 Long ABS-O CORP US N 2 2025-09-22 Fixed 3.35 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAG1 173021.770000 PA USD 151083.220000 0.0955028 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 78258.880000 PA USD 68399.460000 0.0432367 Long ABS-MBS CORP US N 2 2046-02-25 Floating 6.08905 N N N N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 498364.710000 PA 537660.720000 0.339866 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 5.145 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 200000.000000 PA USD 195306.690000 0.123457 Long DBT CORP US N 2 2027-01-29 Floating 3.96 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 1409411.480000 PA USD 13727667.790000 8.67754 Long STIV RF US N 1 N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 40086.020000 PA USD 20710.630000 0.0130916 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AB3 500000.000000 PA USD 499708.700000 0.315876 Long ABS-O CORP US N 2 2027-04-15 Fixed 5.29 N N N N N N N/A N/A 000000000 1.000000 NC USD 1808.160000 0.001143 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -470.000000 USD 100000.000000 USD 2278.160000 N N N N/A N/A 000000000 -100000.000000 NC USD -175.300000 -0.0001108 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07800 04/29/24-10Y LCH 2034-04-29 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-25 XXXX 110.950000 N N N N/A N/A 000000000 -3.000000 NC USD -448.880000 -0.0002837 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 109.000000 USD 2024-04-26 XXXX 427.750000 N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHA1 14552.400000 PA USD 13488.380000 0.0085263 Long ABS-MBS CORP US N 3 2034-06-25 Floating 4.993 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 4951160.770000 PA 256693.760000 0.162261 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 606.270000 0.0003832 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 600000.000000 BRL 119205.610000 USD 2024-07-02 606.270000 N N N N/A N/A 000000000 -200000.000000 NC USD -646.120000 -0.0004084 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70500 04/24/24-10Y LCH 2034-04-24 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2024-04-22 XXXX 18.880000 N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 666.000000 NS USD 70642.620000 0.0446546 Long EC CORP US N 1 N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466L302 665.000000 NS USD 200284.700000 0.126604 Long EC CORP US N 1 N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 19596.860000 PA USD 19164.430000 0.0121142 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.98389 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAA2 364216.650000 PA USD 79314.770000 0.0501365 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.532 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 400000.000000 PA USD 402325.690000 0.254318 Long DBT CORP US N 2 2025-08-04 Floating 6.48663 N N N N N N AMCOR FLEXIBLES NORTH AMERICA INC PTVU09TE3QPJPL7K4E13 02343BDF1 250000.000000 PA USD 249299.000000 0.157587 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 -3442.540000 -0.0021761 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR -3064.160000 N N N N/A N/A 000000000 1.000000 NC 3038.000000 0.0019204 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-20 0.000000 EUR -193.030000 EUR 100000.000000 EUR 3231.030000 N N N N/A N/A 000000000 1.000000 NC 62.680000 0.0000396 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19995841.000000 KRW 14899.000000 USD 2024-04-29 62.680000 N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAB3 717766.650000 PA USD 197250.170000 0.124686 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.60389 N N N N N N N/A N/A 000000000 1.000000 NC -19376.000000 -0.012248 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1544327.240000 USD 28919071.900000 ZAR 2024-04-19 -19376.000000 N N N N/A N/A 000000000 -45.000000 NC USD -23929.530000 -0.0151263 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-28 -4813417.980000 USD -23929.530000 N N N N/A N/A 000000000 -100000.000000 NC -427.790000 -0.0002704 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.55000 04/17/24-10Y LCH 2034-04-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.550000 EUR 2024-04-15 XXXX -121.520000 N N N N/A N/A 000000000 1.000000 NC -2668.000000 -0.0016865 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 75335.000000 USD 2316838.000000 TWD 2024-06-20 -2668.000000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 40115.950000 PA USD 34916.160000 0.0220712 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.437 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PD91 250000.000000 PA USD 249521.300000 0.157727 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 7511.280000 0.004748 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1168000.000000 EUR 1267607.970000 USD 2024-04-02 7511.280000 N N N N/A N/A 000000000 -100000.000000 NC USD -173.070000 -0.0001094 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-26 XXXX 104.430000 N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 11174.690000 PA USD 10568.340000 0.0066805 Long ABS-MBS CORP US N 3 2034-02-25 Fixed 5.67668 N N N N N N N/A N/A 000000000 1.000000 NC -1387.020000 -0.0008768 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 223010.000000 USD 3525364381.000000 IDR 2024-06-20 -1387.020000 N N N FANNIE MAE REMICS 2007-32 N/A 31396VDR6 443002.180000 PA USD 33754.510000 0.0213369 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 0.66513 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAB9 24652.450000 PA USD 24627.270000 0.0155674 Long ABS-O CORP US N 2 2026-01-15 Fixed 3.55 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A2 N/A 16162WPX1 16242.320000 PA USD 14236.810000 0.0089994 Long ABS-MBS CORP US N 3 2036-01-25 Floating 4.83941 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 342003.710000 PA USD 144817.540000 0.0915421 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.54389 N N N N N N N/A N/A 000000000 1.000000 NC 8503.180000 0.005375 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 385848445.000000 KRW 295624.000000 USD 2024-06-20 8503.180000 N N N N/A N/A 000000000 1.000000 NC -163.520000 -0.0001034 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 2500000.000000 DKK 368774.700000 USD 2025-04-01 -163.520000 N N N 2024-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer