NPORT-P false 0000810893 XXXXXXXX S000009704 C000026632 C000026634 C000064152 C000200449 C000026636 C000026630 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Fund S000009704 C0FSZ71JI1IAVNM4U731 2025-03-31 2024-06-30 N 3154274023.090000 571506029.060000 2582767994.030000 0.000000 0.000000 516076.870000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4100000.000000 0.000000 0.000000 122122787.960000 GBP CAD DKK EUR BRL USD JPY N S&P 500 Index SPTR CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PH14 2200000.000000 PA USD 2187891.400000 0.0847111 Long DBT CORP US N 2 2024-08-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 496657.030000 0.0192296 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-09-25 0.000000 USD 0.000000 USD 15747733.520000 USD 496657.030000 N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 96360.790000 PA 103231.040000 0.0039969 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.586 N N N N N N N/A N/A 000000000 1.000000 NC 38419.060000 0.0014875 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2946974.000000 USD 54724717.790000 MXN 2024-07-15 38419.060000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DP1 1100000.000000 PA USD 1095293.970000 0.0424078 Long DBT CORP US N 2 2028-02-16 Floating 5.098 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 254268.000000 PA USD 194893.370000 0.0075459 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N MOUNTAIN VIEW CLO XVI LTD 2022-1A N/A 62432UAN1 2900000.000000 PA USD 2902795.220000 0.112391 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 6.78856 N N N N N N ARGENT SECURITIES INC 2004-W9 N/A 040104LB5 599693.960000 PA USD 612550.320000 0.0237168 Long ABS-MBS CORP US N 2 2034-06-26 Floating 6.32971 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAB6 171957.540000 PA USD 157429.670000 0.0060954 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.14689 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 445100.200000 PA USD 415299.360000 0.0160796 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.95471 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 50900000.000000 PA USD 51778820.570000 2.00478 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -4659.730000 -0.0001804 N/A DFE NZ N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 866526.210000 USD 1414970.000000 NZD 2024-08-02 -4659.730000 N N N N/A N/A 000000000 1.000000 NC 83464.520000 0.0032316 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2950702.920000 USD 56181000.000000 MXN 2024-09-18 83464.520000 N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 N/A 107933AC7 500000.000000 PA USD 499101.250000 0.0193243 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.53 N N N N N N N/A N/A 000000000 1.000000 NC 262.230000 0.0000102 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 137850.000000 USD 2259562072.000000 IDR 2024-07-22 262.230000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UG25 600000.000000 PA USD 599633.950000 0.0232167 Long DBT CORP CA N 2 2024-07-02 None 0 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAB5 2922053.400000 PA USD 2926167.360000 0.113296 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.13 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 2568.560000 PA USD 1819.370000 0.0000704 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.24999 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 2356000.000000 PA USD 2302121.270000 0.0891339 Long DBT CORP US N 2 2027-01-29 Floating 3.96 N N N N N N TRAVELERS COMPANIES INC 549300Y650407RU8B149 89417E109 21380.000000 NS USD 4347409.200000 0.168324 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 36006148.000000 PA USD 34826062.700000 1.3484 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7W4 3700000.000000 PA USD 3746457.640000 0.145056 Long DBT CORP US N 2 2026-10-30 Fixed 5.882 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JU8 1990.460000 PA USD 1978.900000 0.0000766 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 290898.980000 0.0112631 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1978000000.000000 JPY 12622413.640000 USD 2024-07-22 290898.980000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141G104 21380.000000 NS USD 9670601.600000 0.374428 Long EC CORP US N 1 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 1800000.000000 PA USD 1680414.570000 0.0650625 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UG33 1750000.000000 PA USD 1748665.100000 0.0677051 Long DBT CORP CA N 2 2024-07-03 None 0 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 325514.830000 PA USD 223693.240000 0.008661 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.51971 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 100000.000000 PA USD 95268.930000 0.0036886 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI2MSWK6 67500000.000000 PA 9530004.740000 0.368984 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N FNMA PASS THRU POOLS N/A 31384WV31 2355.680000 PA USD 2355.290000 0.0000912 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 2093.210000 0.000081 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16000000.000000 JPY 101540.040000 USD 2024-07-02 2093.210000 N N N N/A N/A 000000000 1.000000 NC USD 898691.670000 0.0347957 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-01-15 0.000000 USD -27252.570000 USD 7700000.000000 USD 925944.240000 N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JGG8 1550000.000000 PA USD 1545747.580000 0.0598485 Long DBT CORP US N 2 2024-07-16 None 0 N N N N N N FREDDIE MAC 3609 N/A 31398LN38 46642.420000 PA USD 46830.030000 0.0018132 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 6.19751 N N N N N N N/A N/A 000000000 1.000000 NC -83.100000 -0.0000032 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 81000.000000 SGD 59651.410000 USD 2024-07-02 -83.100000 N N N N/A N/A 000000000 1.000000 NC 377683.220000 0.0146232 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 19700000.000000 BRL 3901770.450000 USD 2024-07-02 377683.220000 N N N LIBERTY LENDING ABS TRUST 2023-1A N/A 75525AAA3 622906.640000 PA USD 624338.330000 0.0241732 Long ABS-O CORP US N 2 2031-02-18 Fixed 7.05 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 4500000.000000 PA USD 4558538.250000 0.176498 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8A1 100000.000000 PA USD 99269.010000 0.0038435 Long DBT CORP US N 2 2028-01-14 Floating 4.952 N N N N N N N/A N/A 000000000 1.000000 NC USD 1746564.100000 0.0676237 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 275272.340000 USD 0.000000 USD 44800000.000000 USD 1471291.760000 N N N N/A N/A 000000000 1.000000 NC 1836.110000 0.0000711 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 490606.090000 USD 41072756.890000 INR 2024-07-15 1836.110000 N N N WALMART INC Y87794H0US1R65VBXU25 931142103 21380.000000 NS USD 1447639.800000 0.0560499 Long EC CORP US N 1 N N N BX COMMERCIAL MORTGAGE TRUST 2021-MC N/A 05608GAA7 10500000.000000 PA USD 10119216.450000 0.391797 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.14348 N N N N N N N/A N/A 000000000 1.000000 NC 1467.480000 0.0000568 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 392486.000000 USD 32858182.200000 INR 2024-07-15 1467.480000 N N N NELNET STUDENT LOAN TRUST 2017-3A N/A 64032KAA1 905593.230000 PA USD 903053.310000 0.0349646 Long ABS-O CORP US N 2 2066-02-25 Floating 6.29983 N N N N N N N/A N/A 000000000 1.000000 NC USD 28719166.810000 1.11195 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2024-07-24 0.000000 USD 0.000000 USD 140315534.940000 USD 28719166.810000 N N N CSMC 2018-RPL9 TRUST N/A 12654PAA6 2696759.300000 PA USD 2611731.830000 0.101121 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85 N N N N N N FHLMC PASS THRU POOLS N/A 31300MNY5 257784.690000 PA USD 264953.840000 0.0102585 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 6.427 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2 N/A 80287JAB0 1120192.800000 PA USD 1120471.730000 0.0433826 Long ABS-O CORP US N 2 2026-03-16 Fixed 5.87 N N N N N N STRUCTURED ASSET SECUR CORP 2004-23XS N/A 86359BU74 1584613.430000 PA USD 1598358.530000 0.0618855 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.28471 N N N N N N N/A N/A 000000000 1.000000 NC USD 293433.730000 0.0113612 N/A DE US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 S&P 500 INDEX N/A N/A Y 2024-08-07 0.000000 USD 0.000000 USD 9299209.060000 USD 293433.730000 N N N FANNIE MAE 2009-111 N/A 31398GRA9 25572.780000 PA USD 25595.290000 0.000991 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 6.19983 N N N N N N FANNIE MAE 2009-111 N/A 31398GQS1 22109.500000 PA USD 22129.300000 0.0008568 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 6.19983 N N N N N N N/A N/A 000000000 1.000000 NC USD 191874.560000 0.007429 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.42 Y Single Leg Swap 2029-06-20 204205.000000 USD 0.000000 USD 3000000.000000 USD -12330.440000 N N N FNMA PASS THRU POOLS N/A 31384UJH8 1389.720000 PA USD 1381.450000 0.0000535 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AB3 4300000.000000 PA USD 4293116.560000 0.166221 Long ABS-O CORP US N 2 2027-04-15 Fixed 5.29 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 400000.000000 PA USD 361953.060000 0.0140142 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N N/A N/A 000000000 3066.000000 NC USD 895320.360000 0.0346651 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2024-09-20 846445950.000000 USD 895320.360000 N N N FNMA PASS THRU POOLS N/A 31362QGF0 1625.600000 PA USD 1593.070000 0.0000617 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.576 N N N N N N N/A N/A 000000000 1.000000 NC 4669.640000 0.0001808 N/A DFE NZ N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1414970.000000 NZD 866527.630000 USD 2024-07-02 4669.640000 N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 2500000.000000 PA USD 2402897.250000 0.0930357 Long ABS-MBS CORP US N 2 2054-05-25 Fixed 4 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 900000.000000 PA USD 867206.300000 0.0335766 Long DBT CORP US N 2 2028-02-01 Floating 3.782 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAD3 503435.460000 PA USD 468876.680000 0.018154 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.75971 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-14 N/A 126670LS5 8900000.000000 PA USD 8319035.590000 0.322098 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.55471 N N N N N N N/A N/A 000000000 1.000000 NC -10960.440000 -0.0004244 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2287801.140000 USD 2126000.000000 EUR 2024-07-02 -10960.440000 N N N N/A N/A 000000000 1.000000 NC -48074.460000 -0.0018614 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1783284.920000 USD 9700000.000000 BRL 2024-07-02 -48074.460000 N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 1821187.570000 PA USD 1787518.730000 0.0692094 Long ABS-MBS CORP US N 2 2060-12-27 Variable 4.03881 N N N N N N N/A N/A 000000000 1.000000 NC 9085.280000 0.0003518 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1491590.860000 USD 2053000.000000 CAD 2024-07-02 9085.280000 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EH17 800000.000000 PA USD 795800.870000 0.0308119 Long DBT CORP US N 2 2024-08-01 None 0 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 7560.260000 PA USD 7228.970000 0.0002799 Long ABS-MBS CORP US N 3 2033-04-25 Floating 6.50002 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 3126090.790000 PA 3345048.720000 0.129514 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 4.626 N N N N N N N/A N/A 000000000 1.000000 NC USD 1543392.110000 0.0597573 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-20 6120.550000 USD 0.000000 USD 108700000.000000 USD 1537271.560000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFP5 100000.000000 PA USD 101013.270000 0.003911 Long DBT CORP US N 2 2028-04-13 Floating 5.652 N N N N N N N/A N/A 000000000 1.000000 NC 279.700000 0.0000108 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 148602.000000 USD 2435754225.000000 IDR 2024-07-22 279.700000 N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAC9 10800000.000000 PA USD 10820825.320000 0.418962 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 7.24017 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 589329.650000 PA USD 590773.510000 0.0228737 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 6.43732 N N N N N N N/A N/A 000000000 1.000000 NC -3861.260000 -0.0001495 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8441000.000000 MXN 452011.850000 USD 2024-09-18 -3861.260000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1QTHL7 2400000.000000 PA 2496191.490000 0.0966479 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 2600000.000000 PA USD 2426256.040000 0.0939401 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C0G20 1800000.000000 PA USD 1798876.710000 0.0696492 Long DBT CORP US N 2 2024-07-02 None 0 N N N N N N N/A N/A 000000000 12700000.000000 PA USD 12700000.000000 0.491721 Long RA US N 2 Repurchase N 5.400000 2024-07-01 13880000.000000 USD 12946081.980000 USD UST N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCW9 2200000.000000 PA USD 2081801.480000 0.0806035 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.37471 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 1077636.070000 PA USD 1078570.510000 0.0417603 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.58617 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI1WKQ05 1600000.000000 PA 1880244.270000 0.0727996 Long DBT CORP GB N 2 2027-07-24 Floating 1.75 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 4632090.770000 PA USD 4646503.060000 0.179904 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2005-2 N/A 367910AV8 5697454.400000 PA USD 5407371.930000 0.209363 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.09971 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EGR1 1350000.000000 PA USD 1344389.400000 0.0520523 Long DBT CORP US N 2 2024-07-25 None 0 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023105 21380.000000 NS USD 3891373.800000 0.150667 Long EC CORP US N 1 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WGK9 250000.000000 PA USD 249185.500000 0.009648 Long DBT CORP US N 2 2024-07-19 None 0 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140100 21380.000000 NS USD 662138.600000 0.0256368 Long EC CORP US N 1 N N N BMO 2022-C1 MORTGAGE TRUST N/A 05609MCJ2 5737000.000000 PA USD 4987970.970000 0.193125 Long ABS-MBS CORP US N 2 2055-02-17 Variable 3.37762 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAE2 4483318.440000 PA USD 4488607.860000 0.173791 Long ABS-O CORP US N 2 2026-10-15 Floating 6.00303 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7 N/A 320277AF3 12141200.000000 PA USD 10050720.900000 0.389145 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.93971 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 26500000.000000 PA USD 26134589.650000 1.01188 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -625.670000 -0.0000242 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2296594.380000 USD 3141000.000000 CAD 2024-07-02 -625.670000 N N N N/A N/A 000000000 1.000000 NC -6731.300000 -0.0002606 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 275062.810000 USD 1500000.000000 BRL 2024-07-02 -6731.300000 N N N DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 26208WAB0 7264168.610000 PA USD 7265711.520000 0.281315 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 4200000.000000 PA USD 3877093.500000 0.150114 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.94348 N N N N N N FANNIE MAE 2009-47 N/A 31396QFA2 24543.480000 PA USD 24787.870000 0.0009597 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 6.34983 N N N N N N N/A N/A 000000000 1.000000 NC 673162.000000 0.0260636 N/A DFE N/A N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 36979748.000000 EUR 40276640.450000 USD 2024-07-02 673162.000000 N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484AL5 1300000.000000 PA USD 1300242.610000 0.050343 Long DBT CORP US N 2 2026-06-10 Floating 6.15485 N N N N N N N/A N/A 000000000 1.000000 NC USD 33847.650000 0.0013105 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 48689.520000 USD 0.000000 USD 2900000.000000 USD -14841.870000 N N N OZLM XIV LTD 2015-14A N/A 67110HBN7 9375000.000000 PA USD 9383174.160000 0.363299 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.84017 N N N N N N FIFTH THIRD AUTO TRUST 2023-1 N/A 31680EAB7 2178903.790000 PA USD 2180970.260000 0.0844431 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.8 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 449314.930000 PA 478755.730000 0.0185365 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.777 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAY7 1500000.000000 PA USD 1319003.910000 0.0510694 Long DBT UST US N 2 2027-11-30 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAU5 300000.000000 PA USD 263390.630000 0.010198 Long DBT UST US N 2 2027-10-31 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2003229.130000 0.0775613 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-20 0.000000 USD -1238005.510000 USD 361100000.000000 USD 3241234.640000 N N N N/A N/A 000000000 1.000000 NC 62.540000 0.0000024 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 87807.520000 USD 610836.830000 DKK 2024-08-02 62.540000 N N N MF1 2024-FL14 LLC N/A 55416AAA7 900000.000000 PA USD 899154.000000 0.0348136 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.07567 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 568185.980000 PA 605742.780000 0.0234532 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.546 N N N N N N N/A N/A 000000000 1.000000 NC -6993.180000 -0.0002708 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1262333.490000 USD 2060956.000000 NZD 2024-08-02 -6993.180000 N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAC3 2443899.210000 PA USD 2448188.500000 0.0947893 Long ABS-O CORP US N 2 2026-07-15 Floating 6.28303 N N N N N N N/A N/A 000000000 1.000000 NC 136.660000 0.0000053 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 60170.000000 USD 419227.320000 DKK 2024-08-02 136.660000 N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023-3 N/A 02530EAA2 2304454.650000 PA USD 2306571.060000 0.0893062 Long ABS-O CORP US N 2 2027-03-12 Fixed 6 N N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 144589.040000 PA USD 144589.040000 0.0055982 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.47617 N N N N N N N/A N/A 000000000 1.000000 NC 197666.050000 0.0076533 N/A DFE GB N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 49577000.000000 GBP 62879327.120000 USD 2024-08-02 197666.050000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAA8 1200660.680000 PA USD 1102230.400000 0.0426763 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94054 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PN2 52.530000 PA USD 53.190000 0.0000021 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 2700000.000000 PA 3422068.090000 0.132496 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 6.13105 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933Y105 21380.000000 NS USD 2646844.000000 0.102481 Long EC CORP US N 1 N N N CPS AUTO RECEIVABLES TRUST 2024-A N/A 22411CAA8 1618362.500000 PA USD 1616818.910000 0.0626002 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC 76795.890000 0.0029734 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 44800000.000000 DKK 6614045.440000 USD 2025-04-01 76795.890000 N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 2279543.980000 PA USD 2184386.010000 0.0845754 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.81971 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 20600GG91 2350000.000000 PA USD 2345916.050000 0.0908295 Long DBT CORP US N 2 2024-07-09 None 0 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JGQ4 250000.000000 PA USD 249005.560000 0.009641 Long DBT CORP US N 2 2024-07-24 None 0 N N N N N N PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 21380.000000 NS USD 3525989.600000 0.13652 Long EC CORP US N 1 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WG86 850000.000000 PA USD 848680.800000 0.0328594 Long DBT CORP US N 2 2024-07-08 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31361ULM1 131.250000 PA USD 129.330000 0.000005 Long ABS-MBS USGSE US N 2 2027-02-01 Floating 4.88 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 368174.620000 PA USD 357781.450000 0.0138526 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 45826CG95 4350000.000000 PA USD 4342785.960000 0.168145 Long DBT CORP US N 2 2024-07-09 None 0 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JGA1 1150000.000000 PA USD 1147909.630000 0.0444449 Long DBT CORP US N 2 2024-07-10 None 0 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 580135101 21380.000000 NS USD 5448479.200000 0.210955 Long EC CORP US N 1 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAA5 7300000.000000 PA USD 6802615.230000 0.263385 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.58387 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 2100000.000000 PA USD 2085188.470000 0.0807346 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 36796914.000000 PA USD 36037722.650000 1.39531 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 27177.310000 PA USD 26882.350000 0.0010408 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.848 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JGF0 500000.000000 PA USD 498705.800000 0.019309 Long DBT CORP US N 2 2024-07-15 None 0 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 2458757.890000 PA USD 2461973.480000 0.0953231 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 6.50868 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRG3 177323.060000 PA USD 178575.070000 0.0069141 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 6.58732 N N N N N N N/A N/A 000000000 1.000000 NC USD 452044.890000 0.0175023 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-09-11 0.000000 USD 0.000000 USD 88634252.030000 USD 452044.890000 N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-2 N/A 89616PAA1 958716.500000 PA USD 959576.470000 0.037153 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.36 N N N N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962AGC4 250000.000000 PA USD 249458.410000 0.0096586 Long DBT CORP US N 2 2024-07-12 None 0 N N N N N N N/A N/A 000000000 -94.000000 NC USD -29629.460000 -0.0011472 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-30 -19196929.660000 USD -29629.460000 N N N STRUCTURED ASSET SEC CORP 2006-WF1 N/A 863576FL3 50877.100000 PA USD 49620.850000 0.0019212 Long ABS-MBS CORP US N 3 2036-02-25 Floating 6.10471 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 2300000.000000 PA USD 276000.000000 0.0106862 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N PRET 2021-NPL6 LLC N/A 69362GAA9 3586237.310000 PA USD 3530993.120000 0.136713 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 6200000.000000 PA USD 6211595.240000 0.240502 Long ABS-MBS CORP US N 2 2055-05-25 Floating 6.58535 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LB7 7312.020000 PA USD 7240.800000 0.0002804 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 5480000.000000 PA USD 5397414.210000 0.208978 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.572 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 793878.000000 PA USD 620149.240000 0.024011 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -40554.610000 -0.0015702 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3770000000.000000 JPY 23712165.260000 USD 2024-09-30 -40554.610000 N N N PAGAYA AI DEBT TRUST 2022-6 N/A 69546NAE5 3700000.000000 PA USD 3702176.340000 0.143341 Long ABS-O CORP US N 2 2030-05-15 Fixed 6.811 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 13736.330000 PA USD 12380.550000 0.0004794 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.61924 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 660297.190000 PA USD 664111.070000 0.0257132 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 6200000.000000 PA 7848812.970000 0.303891 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 6.15373 N N N N N N N/A N/A 000000000 1.000000 NC -2254.480000 -0.0000873 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 700000.000000 CAD 509422.720000 USD 2024-07-02 -2254.480000 N N N BMW VEHICLE OWNER TRUST 2023-A N/A 05592XAD2 3000000.000000 PA USD 3010636.800000 0.116566 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.47 N N N N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 2871731.170000 PA USD 2891401.950000 0.11195 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 N/A 802927AC7 6124331.000000 PA USD 6132407.160000 0.237435 Long ABS-O CORP US N 2 2027-02-16 Fixed 6.18 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 400000.000000 PA USD 48000.000000 0.0018585 Long DBT CORP US N 3 2060-12-31 None 0 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CG18 300000.000000 PA USD 299857.450000 0.0116099 Long DBT CORP US N 2 2024-07-01 None 0 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNNH4 496204.890000 PA 505592.630000 0.0195756 Long ABS-CBDO CORP IE N 2 2031-01-15 Fixed 1.05 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32 N/A 38376RMP8 1136540.300000 PA USD 1134980.630000 0.0439444 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 6.18732 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 830933.360000 PA USD 831840.740000 0.0322073 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LR0 41386.800000 PA USD 37373.700000 0.001447 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 418060.860000 PA USD 418081.090000 0.0161873 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 6.16751 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 12492.810000 PA USD 11557.240000 0.0004475 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.35277 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 600000.000000 PA USD 617065.090000 0.0238916 Long DBT CORP CH N 2 2029-09-22 Floating 6.246 N N N N N N N/A N/A 000000000 1.000000 NC 1424.670000 0.0000552 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 450000.000000 CAD 330360.020000 USD 2024-07-02 1424.670000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBJ9 5000000.000000 PA USD 4390820.300000 0.170004 Long DBT UST US N 2 2028-01-31 Fixed 0.75 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AB9 3989013.090000 PA USD 1976983.610000 0.0765451 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.56971 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BY7 2950000.000000 PA USD 2968725.180000 0.114944 Long DBT CORP US N 2 2025-09-12 Floating 6.26246 N N N N N N N/A N/A 000000000 1.000000 NC USD 1974620.570000 0.0764537 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 78838.010000 USD 0.000000 USD 27200000.000000 USD 1895782.560000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-2A N/A 379924AC7 3100000.000000 PA USD 3102254.630000 0.120114 Long ABS-O CORP US N 2 2030-06-17 Fixed 5.58 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 132958.200000 PA USD 129546.940000 0.0050158 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.00833 N N N N N N VOLKSWAGEN AUTO LEASE TRUST 2024-A N/A 92866EAB5 12000000.000000 PA USD 11994612.000000 0.464409 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.4 N N N N N N TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST N/A 89231FAB6 3662634.510000 PA USD 3662739.260000 0.141815 Long ABS-O CORP US N 2 2026-08-17 Fixed 5.6 N N N N N N N/A N/A 000000000 1.000000 NC USD 12884.530000 0.0004989 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 -4234.890000 USD 800000.000000 USD 17119.420000 N N N N/A N/A 000000000 1.000000 NC -12092.950000 -0.0004682 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 19545271.200000 CAD 14285001.000000 USD 2024-08-02 -12092.950000 N N N MF1 2020-FL4 LTD N/A 58003UAC2 12000000.000000 PA USD 11966400.000000 0.463317 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 7.54332 N N N N N N N/A N/A 000000000 1.000000 NC 5904.370000 0.0002286 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2403364.300000 USD 3296000.000000 CAD 2024-07-02 5904.370000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WGB9 400000.000000 PA USD 399193.000000 0.015456 Long DBT CORP US N 2 2024-07-11 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36225CE69 9359.840000 PA USD 9139.300000 0.0003539 Long ABS-MBS USGSE US N 2 2028-01-20 Floating 4.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 250000.000000 PA USD 233465.940000 0.0090394 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 123247.930000 PA USD 115463.590000 0.0044705 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.75 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WEJ6 5400000.000000 PA USD 5381134.830000 0.208348 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 107816.460000 0.0041745 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 70063230.140000 CAD 51322959.440000 USD 2024-07-03 107816.460000 N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 3040329.680000 PA USD 3022404.500000 0.117022 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 2.43639 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC2 N/A 61746RHS3 604085.110000 PA USD 618370.390000 0.0239422 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.37471 N N N N N N N/A N/A 000000000 1.000000 NC 1943.870000 0.0000753 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 540886.000000 USD 45275403.520000 INR 2024-07-15 1943.870000 N N N N/A N/A 000000000 1.000000 NC USD 125660.460000 0.0048653 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -149872.490000 USD 7700000.000000 USD 275532.950000 N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 895559.390000 PA 959111.450000 0.037135 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.856 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 44075.930000 PA USD 39641.760000 0.0015349 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 74860.320000 PA USD 65275.050000 0.0025273 Long ABS-MBS CORP US N 2 2045-11-25 Floating 5.99971 N N N N N N GSAMP TRUST 2005-HE5 N/A 362341ZE2 346000.000000 PA USD 327737.840000 0.0126894 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.35971 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 380435.580000 PA USD 380480.810000 0.0147315 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 6.16751 N N N N N N N/A N/A 000000000 1.000000 NC -1071.030000 -0.0000415 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1686022.690000 MXN 89986.000000 USD 2024-09-18 -1071.030000 N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 1077419.680000 PA USD 1078975.100000 0.0417759 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 6.53455 N N N N N N N/A N/A 000000000 1.000000 NC -3991.450000 -0.0001545 N/A DFE CA N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1510315.510000 CAD 1100000.000000 USD 2024-07-02 -3991.450000 N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAC1 307730.010000 PA USD 276140.660000 0.0106917 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.38 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 62403.410000 PA USD 59141.530000 0.0022899 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.87971 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAA5 1615519.470000 PA USD 1450312.890000 0.0561534 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.02 N N N N N N N/A N/A 000000000 1.000000 NC -805.570000 -0.0000312 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 59030.000000 USD 405469.090000 DKK 2024-07-02 -805.570000 N N N FREDDIE MAC REMICS 4638 N/A 3137BTH38 228482.790000 PA USD 227472.920000 0.0088073 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 5.88254 N N N N N N FANNIE MAE 2007-14 N/A 31396PZS3 17958.620000 PA USD 17624.150000 0.0006824 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.80983 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAC8 1500000.000000 PA USD 1503241.350000 0.0582027 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.33 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 1500000.000000 PA USD 1507085.720000 0.0583516 Long DBT CORP US N 2 2026-08-10 Floating 6.40789 N N N N N N MHC COMMERCIAL MORTGAGE TRUST 2021 MHC2 N/A 55293AAA5 1088465.270000 PA USD 1080302.320000 0.0418273 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.29348 N N N N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 5226085.110000 PA USD 4948331.750000 0.19159 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 800000.000000 PA USD 691796.660000 0.0267851 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JE4 5767.320000 PA USD 5734.920000 0.000222 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 452772.020000 PA USD 440330.610000 0.0170488 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.37471 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 756736.540000 PA USD 757873.650000 0.0293435 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.63617 N N N N N N EAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-HE9 N/A 073879KC1 5506578.590000 PA USD 5446526.600000 0.210879 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.43471 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DA4 11000000.000000 PA USD 10793548.810000 0.417906 Long DBT CORP GB N 2 2026-03-10 Floating 2.999 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 7900000.000000 PA USD 7986855.130000 0.309236 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAB1 1600000.000000 PA USD 1600397.600000 0.0619644 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N N/A N/A 000000000 1.000000 NC 20319.340000 0.0007867 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 141950721.000000 TWD 4387966.640000 USD 2024-07-15 20319.340000 N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 22550UAF8 3100000.000000 PA USD 3117178.770000 0.120691 Long DBT CORP CH N 2 2025-02-21 Floating 6.60168 N N N N N N N/A N/A 000000000 1.000000 NC 3659.500000 0.0001417 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 500000.000000 BRL 90358.190000 USD 2025-04-02 3659.500000 N N N INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM) VGRQXHF3J8VDLUA7XE92 459200101 21380.000000 NS USD 3697671.000000 0.143167 Long EC CORP US N 1 N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAN2 10500000.000000 PA USD 10515748.640000 0.40715 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 6.88854 N N N N N N N/A N/A 000000000 1.000000 NC -4178.780000 -0.0001618 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2160532.710000 USD 2950000.000000 CAD 2024-07-02 -4178.780000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 4900000.000000 PA USD 4868958.990000 0.188517 Long DBT CORP CA N 2 2027-01-19 Fixed 4.875 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 3400000.000000 PA 3651417.030000 0.141376 Long DBT CORP US N 2 2027-03-19 Floating 4.361 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECP8 400000.000000 PA USD 400731.480000 0.0155156 Long DBT CORP GB N 2 2028-03-12 Floating 5.674 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NZ8M2 7690000000.000000 PA 47795675.300000 1.85056 Long DBT NUSS JP N 2 2024-08-05 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31362JUL7 444.920000 PA USD 436.030000 0.0000169 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 4.517 N N N N N N N/A N/A 000000000 1.000000 NC 62770.620000 0.0024304 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 39500000.000000 DKK 5826640.200000 USD 2025-04-01 62770.620000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DH5 600000.000000 PA USD 604282.240000 0.0233967 Long DBT CORP US N 2 2027-05-01 Fixed 6.259 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 4039637.250000 PA USD 3700729.060000 0.143285 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 4079.770000 PA USD 4057.390000 0.0001571 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 3.875 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6N79 106351.690000 PA USD 108147.000000 0.0041873 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAC7 2500000.000000 PA USD 2500653.500000 0.0968207 Long ABS-O CORP US N 2 2027-08-16 Floating 5.98901 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 130688.900000 PA USD 99467.470000 0.0038512 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.2004 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 446705.720000 PA USD 443327.330000 0.0171648 Long ABS-MBS CORP US N 2 2061-02-25 Variable 4.9917 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N1 N/A 14687QAC7 2314000.000000 PA USD 2310933.950000 0.0894751 Long ABS-O CORP US N 2 2028-03-10 Fixed 5.6 N N N N N N FNMA PASS THRU POOLS N/A 3140H6PA1 9443.360000 PA USD 8537.430000 0.0003306 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 8071.480000 0.0003125 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6769662.860000 USD 10160000.000000 AUD 2024-07-02 8071.480000 N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 615919.050000 PA USD 418184.280000 0.0161913 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.77971 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833100 287334.000000 NS USD 60518287.080000 2.34316 Long EC CORP US N 1 N N N FHLMC PASS THRU POOLS N/A 31292HYL2 2842.030000 PA USD 2896.900000 0.0001122 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3 N/A 021464AA0 1359915.580000 PA USD 1201073.900000 0.0465034 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.81971 N N N N N N N/A N/A 000000000 1.000000 NC USD 176878.230000 0.0068484 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -96443.280000 USD 11300000.000000 USD 273321.510000 N N N N/A N/A 000000000 1.000000 NC 42.210000 0.0000016 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1835100.000000 THB 50116.340000 USD 2024-07-19 42.210000 N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 7582954.100000 PA USD 7600992.430000 0.294296 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAA3 7900000.000000 PA USD 7193880.620000 0.278534 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.84348 N N N N N N N/A N/A 000000000 -502745.730000 PA USD -516076.870000 -0.0199815 Short RA US N 2 Reverse repurchase N 4.300000 2025-11-21 600000.000000 USD 547002.480000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD -16761.460000 -0.000649 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -138699.200000 USD 3772000.000000 USD 121937.740000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 652468.340000 PA 699800.410000 0.027095 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 4.606 N N N N N N ALLY AUTO RECEIVABLES TRUST 2023-1 N/A 02007WAC2 3200000.000000 PA USD 3210056.960000 0.124288 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.46 N N N N N N N/A N/A 000000000 1.000000 NC -60.300000 -0.0000023 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 328240000.000000 IDR 20000.000000 USD 2024-07-29 -60.300000 N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAG2 4225000.000000 PA USD 3949724.770000 0.152926 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.89222 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRJ7 240.940000 PA USD 239.290000 0.0000093 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 6.20732 N N N N N N N/A N/A 000000000 1.000000 NC 4041.860000 0.0001565 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 737910.950000 ILS 199524.370000 USD 2024-07-18 4041.860000 N N N N/A N/A 000000000 1.000000 NC USD 1508.330000 0.0000584 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -652.000000 USD 100000.000000 USD 2160.330000 N N N UNITED AUTO CREDIT SECURITIZATION TRUST 2024-1 N/A 90945DAA8 1628304.570000 PA USD 1629063.030000 0.0630743 Long ABS-O CORP US N 2 2026-08-10 Fixed 6.17 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MGB6 1350000.000000 PA USD 1347337.640000 0.0521664 Long DBT CORP US N 2 2024-07-11 None 0 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1422482.650000 PA USD 1296579.990000 0.0502012 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.77971 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 375144.460000 PA 402218.260000 0.0155731 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 4.537 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 465681.380000 PA USD 466207.980000 0.0180507 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 6.53718 N N N N N N N/A N/A 000000000 1.000000 NC USD 25632.820000 0.0009925 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 12435.110000 USD 0.000000 USD 1200000.000000 USD 13197.710000 N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 8898559.500000 PA USD 8696655.630000 0.336718 Long ABS-MBS CORP US N 2 2051-08-25 Fixed 1.6696 N N N N N N N/A N/A 000000000 1.000000 NC USD 522402.400000 0.0202265 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 413953.170000 USD 0.000000 USD 3440000.000000 USD 108449.230000 N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDN3 30846.550000 PA USD 29372.510000 0.0011372 Long ABS-MBS CORP US N 3 2028-06-25 Floating 6.00971 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 6300000.000000 PA USD 6017618.940000 0.232991 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 21380.000000 NS USD 10887978.800000 0.421562 Long EC CORP US N 1 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 1437761.030000 PA 1532709.610000 0.0593437 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 4.578 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAB1 26909.640000 PA USD 11356.050000 0.0004397 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.61971 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAD3 2894761.990000 PA USD 1081417.370000 0.0418705 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.77971 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WGF0 500000.000000 PA USD 498681.000000 0.019308 Long DBT CORP US N 2 2024-07-15 None 0 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-1 N/A 542514AJ3 2653106.100000 PA USD 2580615.020000 0.0999166 Long ABS-MBS CORP US N 2 2031-04-21 Floating 5.89673 N N N N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123101 21380.000000 NS USD 7121678.000000 0.275738 Long EC CORP US N 1 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 830933.400000 PA USD 832599.880000 0.0322367 Long ABS-O CORP US N 2 2041-02-20 Floating 7.533 N N N N N N GNMA PASS THRU POOLS N/A 36225FC72 653596.920000 PA USD 657758.840000 0.0254672 Long ABS-MBS USGSE US N 2 2041-04-20 Floating 3.875 N N N N N N N/A N/A 000000000 1.000000 NC 3193.290000 0.0001236 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 945000.000000 SGD 700095.940000 USD 2024-07-02 3193.290000 N N N N/A N/A 000000000 65.000000 NC USD 61856.280000 0.002395 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-19 7660859.380000 USD 61856.280000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 6533036.620000 PA USD 6092284.000000 0.235882 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.73971 N N N N N N N/A N/A 000000000 1.000000 NC 1979089.290000 0.0766267 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7980000000.000000 JPY 51940106.160000 USD 2024-08-19 1979089.290000 N N N FANNIE MAE 2007-96 N/A 31396XNT7 95007.180000 PA USD 95024.450000 0.0036792 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 6.16983 N N N N N N N/A N/A 000000000 1.000000 NC -81968.980000 -0.0031737 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10327266.100000 USD 41252274.760000 PLN 2024-07-22 -81968.980000 N N N N/A N/A 000000000 1.000000 NC USD 367628.320000 0.0142339 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-03-20 0.000000 USD -19651.990000 USD 1100000.000000 USD 387280.310000 N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 599254.450000 PA 639370.450000 0.0247552 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.686 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3L5 1100000.000000 PA USD 1109772.100000 0.0429683 Long DBT CORP US N 2 2028-04-22 Floating 5.707 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JHM4 950000.000000 PA USD 942061.330000 0.0364749 Long DBT CORP US N 2 2024-08-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 8772.060000 0.0003396 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 61569152.000000 TWD 1903178.360000 USD 2024-07-15 8772.060000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 U94974KM0 900000.000000 PA 812777.360000 0.0314692 Long DBT CORP US N 2 2030-03-25 Fixed 0.625 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAB8 2352716.900000 PA USD 2348590.710000 0.0909331 Long ABS-O CORP US N 2 2027-06-21 Fixed 5.35 N N N N N N N/A N/A 000000000 1.000000 NC 57.380000 0.0000022 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 59850.040000 USD 81234.460000 SGD 2024-07-02 57.380000 N N N BSREP COMMERCIAL MORTGAGE TRUST 2021-DC N/A 05591UAC1 10709079.000000 PA USD 9695688.490000 0.375399 Long ABS-MBS CORP US N 2 2038-08-15 Floating 6.79348 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 4900000.000000 PA USD 4889744.300000 0.189322 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 2118762.450000 PA USD 1933647.230000 0.0748672 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N N/A N/A 000000000 269.000000 NC USD 224485.070000 0.0086916 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-19 29550070.180000 USD 224485.070000 N N N N/A N/A 000000000 1.000000 NC 33434.150000 0.0012945 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 33300000.000000 BRL 5990393.780000 USD 2024-07-02 33434.150000 N N N N/A N/A 000000000 1.000000 NC USD 64378.600000 0.0024926 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.41 Y Single Leg Swap 2028-12-20 0.000000 USD -1471.950000 USD 990000.000000 USD 65850.550000 N N N FANNIE MAE 2004-11 N/A 31393T7H3 20306.950000 PA USD 20266.770000 0.0007847 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 5.55822 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 1932459.220000 PA 2069614.470000 0.0801316 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.757 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 781646.090000 PA USD 420997.160000 0.0163002 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.77971 N N N N N N N/A N/A 000000000 1.000000 NC USD 629044.350000 0.0243554 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 S&P 500 INDEX N/A N/A Y 2024-07-17 0.000000 USD 0.000000 USD 19977781.650000 USD 629044.350000 N N N N/A N/A 000000000 1.000000 NC 1862.630000 0.0000721 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 490608.000000 USD 41075128.450000 INR 2024-07-15 1862.630000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 2700000.000000 PA USD 2705320.080000 0.104745 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N N/A N/A 000000000 1.000000 NC -46386.880000 -0.001796 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5165989.650000 USD 4050000.000000 GBP 2024-07-02 -46386.880000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418GAH0 8600000.000000 PA USD 8642500.080000 0.334622 Long DBT CORP CA N 2 2027-06-04 Fixed 5.4 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2M2QV6 57700000.000000 PA 8156166.230000 0.315792 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N GSAA HOME EQUITY TRUST 2005-15 N/A 362341D71 737043.020000 PA USD 237111.240000 0.0091805 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.95971 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2900000.000000 PA USD 2756701.140000 0.106734 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.52471 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 64632.990000 PA USD 37334.230000 0.0014455 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.98416 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 2600000.000000 PA USD 2618855.460000 0.101397 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 USD 10531.320000 0.0004078 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-12-20 12475.150000 USD 0.000000 USD 800000.000000 USD -1943.830000 N N N N/A N/A 000000000 1.000000 NC -955.920000 -0.000037 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 441000.000000 CAD 321400.720000 USD 2024-07-02 -955.920000 N N N N/A N/A 000000000 1.000000 NC USD 1544290.870000 0.0597921 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-07-16 0.000000 USD 0.000000 USD 302795301.600000 USD 1544290.870000 N N N CHEVRON CORPORATION N/A 166764100 21380.000000 NS USD 3344259.600000 0.129484 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 7683.490000 0.0002975 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12951951126.000000 KRW 9398344.000000 USD 2024-07-15 7683.490000 N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAG7 6243000.000000 PA USD 6163191.860000 0.238627 Long DBT CORP US N 2 2024-10-01 Fixed 0.95 N N N N N N N/A N/A 000000000 110000000.000000 PA 80406417.890000 3.11319 Long RA CA N 2 Repurchase N 4.700000 2024-07-02 158474000.000000 CAD 110873942.560000 CAD N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 21380.000000 NS USD 2122820.200000 0.0821917 Long EC CORP US N 1 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-B N/A 78449YAA8 2282597.800000 PA USD 2076686.250000 0.0804055 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 873215.460000 PA USD 786162.960000 0.0304388 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAC4 122826.820000 PA USD 112300.130000 0.0043481 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.35311 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C0G12 250000.000000 PA USD 249883.050000 0.009675 Long DBT CORP US N 2 2024-07-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 16966.230000 0.0006569 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 36760748.000000 EUR 39443363.590000 USD 2024-08-02 16966.230000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAJ3 1900000.000000 PA USD 1892297.570000 0.0732663 Long DBT CORP US N 2 2024-08-01 Fixed 1.55 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 4790619.530000 PA USD 4711755.390000 0.182431 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N N/A N/A 000000000 1.000000 NC -62.420000 -0.0000024 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 611917.480000 DKK 87807.520000 USD 2024-07-02 -62.420000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1K2ZL2 1000000.000000 PA 1069788.220000 0.0414202 Long DBT CORP US N 2 2024-07-19 Fixed 1.744 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 1700000.000000 PA USD 1614417.480000 0.0625073 Long DBT CORP US N 2 2027-03-15 Fixed 3.755 N N N N N N HONEYWELL INTERNATIONAL INC ISRPG12PN4EIEOEMW547 438516106 21380.000000 NS USD 4565485.200000 0.176767 Long EC CORP US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 155908.830000 PA USD 155839.000000 0.0060338 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 6.23732 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EG26 800000.000000 PA USD 799520.820000 0.030956 Long DBT CORP US N 2 2024-07-02 None 0 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 5700000.000000 PA USD 5665267.050000 0.219349 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N GNMA PASS THRU POOLS N/A 36202KYK5 1517.700000 PA USD 1495.090000 0.0000579 Long ABS-MBS USGSE US N 2 2026-02-20 Floating 4.625 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343V104 21380.000000 NS USD 881711.200000 0.0341382 Long EC CORP US N 1 N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAA3 351102.910000 PA USD 351120.540000 0.0135947 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.643 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 21380.000000 NS USD 2184822.200000 0.0845923 Long EC CORP US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 400000.000000 PA USD 380246.700000 0.0147224 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAT2 300000.000000 PA USD 299138.160000 0.0115821 Long DBT CORP FR N 2 2027-01-18 Fixed 5.203 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1212536.830000 PA USD 1078690.220000 0.0417649 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.59971 N N N N N N N/A N/A 000000000 1.000000 NC 5060.510000 0.0001959 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1497000.000000 EUR 1608273.360000 USD 2024-07-02 5060.510000 N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 21380.000000 NS USD 4131685.000000 0.159971 Long EC CORP US N 1 N N N FHLMC PASS THRU POOLS N/A 3128P7DU4 3190.550000 PA USD 3164.120000 0.0001225 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 5 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MG83 1250000.000000 PA USD 1248108.290000 0.0483244 Long DBT CORP US N 2 2024-07-08 None 0 N N N N N N FREDDIE MAC 3404 N/A 31397PST8 170613.970000 PA USD 171548.870000 0.0066421 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 6.30251 N N N N N N N/A N/A 000000000 1.000000 NC 2117.260000 0.000082 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3208000.000000 CAD 2347060.790000 USD 2024-07-02 2117.260000 N N N AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR N/A 05223HAA0 3605000.000000 PA USD 3599778.520000 0.139377 Long ABS-MBS CORP US N 2 2032-09-15 Floating 6.426 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 601437.980000 PA USD 541433.020000 0.0209633 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 707687.290000 PA USD 707043.580000 0.0273754 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 6.14751 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAB6 2830012.110000 PA USD 2828250.430000 0.109505 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.53 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A 78449MAA4 5968705.570000 PA USD 5403510.340000 0.209214 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 400000.000000 PA USD 397105.640000 0.0153752 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N HERTZ VEHICLE FINANCING III LLC 2021-1A N/A 42806MAA7 9600000.000000 PA USD 9474118.080000 0.36682 Long ABS-O CORP US N 2 2025-12-26 Fixed 1.21 N N N N N N CROSS 2024-H4 MORTGAGE TRUST N/A 22758HAA8 1800000.000000 PA USD 1804856.580000 0.0698807 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 6.147 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-SP2 N/A 1248MHAG7 1888000.000000 PA USD 1796361.010000 0.0695518 Long ABS-MBS CORP US N 2 2046-03-25 Floating 7.03471 N N N N N N N/A N/A 000000000 1.000000 NC USD 5364320.610000 0.207697 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-06 0.000000 USD -7761.690000 USD 28000000.000000 USD 5372082.300000 N N N N/A N/A 000000000 1.000000 NC 6253.970000 0.0002421 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 42748331.000000 TWD 1321567.000000 USD 2024-07-15 6253.970000 N N N N/A N/A 000000000 1.000000 NC -52728.340000 -0.0020415 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1430163.450000 USD 7700000.000000 BRL 2024-07-02 -52728.340000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PG98 5600000.000000 PA USD 5590173.960000 0.216441 Long DBT CORP US N 2 2024-07-09 None 0 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 500000.000000 PA USD 463552.500000 0.0179479 Long DBT CORP US N 2 2027-07-22 Floating 1.734 N N N N N N N/A N/A 000000000 1.000000 NC -57.600000 -0.0000022 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 81114.820000 SGD 59850.040000 USD 2024-08-02 -57.600000 N N N N/A N/A 000000000 1.000000 NC 11562.280000 0.0004477 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 14285001.000000 USD 19558413.400000 CAD 2024-07-02 11562.280000 N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 21380.000000 NS USD 9555791.000000 0.369983 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -51837.480000 -0.0020071 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1783065.000000 USD 9745876.680000 BRL 2024-09-04 -51837.480000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAD5 1700000.000000 PA USD 1701234.710000 0.0658687 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.56 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 539762.200000 PA USD 530175.380000 0.0205274 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 1.8677 N N N N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 32285083.280000 PA 40815620.820000 1.58031 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 5.91452 N N N N N N N/A N/A 000000000 10000000.000000 PA 7309674.350000 0.283017 Long RA CA N 2 Repurchase N 4.710000 2024-07-08 13034000.000000 CAD 10124995.240000 CAD N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 3346431.600000 PA USD 2299379.670000 0.0890277 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.95277 N N N N N N VASA TRUST 2021-VASA N/A 92230AAA4 4300000.000000 PA USD 3984562.750000 0.154275 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.34348 N N N N N N N/A N/A 000000000 1.000000 NC -64167.500000 -0.0024844 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70072263.010000 CAD 51156374.890000 USD 2024-07-02 -64167.500000 N N N N/A N/A 000000000 1.000000 NC -16816.770000 -0.0006511 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2752327.980000 USD 2164000.000000 GBP 2024-07-02 -16816.770000 N N N N/A N/A 000000000 1.000000 NC 11248.210000 0.0004355 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11203084.060000 BRL 2015341.890000 USD 2024-07-02 11248.210000 N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8B9 2300000.000000 PA USD 2316176.430000 0.0896781 Long DBT CORP US N 2 2028-05-26 Floating 5.504 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 400000.000000 PA USD 397451.270000 0.0153886 Long DBT CORP US N 2 2025-09-29 Floating 3.272 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRVP9 53100000.000000 PA 8793395.720000 0.340464 Long DBT NUSS BR N 2 2025-04-01 None 0 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAB8 5200000.000000 PA USD 5204555.720000 0.201511 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.9 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 7807032.560000 PA USD 7782890.090000 0.301339 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.52348 N N N N N N CHASE AUTO OWNER TRUST 2024-1A N/A 16144BAB4 6900000.000000 PA USD 6895377.690000 0.266976 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N BANK OF AMERICA AUTO TRUST 2023-1A N/A 06428AAB4 4584853.640000 PA USD 4588352.800000 0.177652 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.83 N N N N N N GNMA PASS THRU POOLS N/A 36225CCY0 931.400000 PA USD 931.060000 0.000036 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 3.875 N N N N N N DOW INC 5493003S21INSLK2IP73 260557103 21380.000000 NS USD 1134209.000000 0.0439145 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -5242.510000 -0.000203 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.39 Y Single Leg Swap 2028-06-20 0.000000 USD -20410.000000 USD 300000.000000 USD 15167.490000 N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 12744.400000 PA USD 11859.130000 0.0004592 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.85971 N N N N N N N/A N/A 000000000 1.000000 NC USD 34511.800000 0.0013362 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 15299.190000 USD 0.000000 USD 2000000.000000 USD 19212.610000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAB9 4000000.000000 PA USD 4000401.600000 0.154888 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.75 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 89036.110000 PA USD 82954.320000 0.0032118 Long ABS-MBS CORP US N 2 2034-02-27 Floating 4.448 N N N N N N PAGAYA AI DEBT TRUST 2024-1 N/A 69548AAA9 361569.590000 PA USD 363292.940000 0.014066 Long ABS-O CORP US N 2 2031-07-15 Fixed 6.66 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 70678.850000 PA USD 69499.790000 0.0026909 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.43471 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1347872.420000 PA USD 1379855.680000 0.0534255 Long ABS-MBS CORP US N 2 2058-05-25 Floating 6.45971 N N N N N N N/A N/A 000000000 1.000000 NC 46115.530000 0.0017855 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 13093865.910000 USD 1095956576.670000 INR 2024-07-15 46115.530000 N N N FNMA PASS THRU POOLS N/A 3140H5NN7 119255.560000 PA USD 107839.940000 0.0041754 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 7631592.810000 PA 9648056.980000 0.373555 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 6.10289 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 400000.000000 PA 426105.360000 0.016498 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.556 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 18007.270000 PA USD 17034.610000 0.0006595 Long ABS-MBS CORP US N 3 2035-05-25 Floating 7.41 N N N N N N THEOREM FUNDING TRUST 2023-1A N/A 88338QAA8 787615.990000 PA USD 794732.100000 0.0307706 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.58 N N N N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAL8 3300000.000000 PA USD 3139878.720000 0.12157 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 3.911 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WFA4 5000000.000000 PA USD 5007239.400000 0.193871 Long DBT CORP US N 2 2025-02-12 Floating 5.89272 N N N N N N FANNIE MAE REMICS 2010-109 N/A 31398NRZ9 454919.890000 PA USD 424884.170000 0.0164507 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 867.500000 0.0000336 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4762451.190000 USD 6459060.140000 SGD 2024-07-02 867.500000 N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BGN6 1050000.000000 PA USD 1046150.700000 0.040505 Long DBT CORP US N 2 2024-07-22 None 0 N N N N N N MARLETTE FUNDING TRUST 2023-1A N/A 57110PAA9 1494404.990000 PA USD 1494413.060000 0.0578609 Long ABS-O CORP US N 2 2033-04-15 Fixed 6.07 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 10800000.000000 PA USD 10893229.920000 0.421766 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 700000.000000 PA 684764.040000 0.0265128 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 2903.050000 PA USD 2777.870000 0.0001076 Long ABS-MBS CORP US N 3 2034-01-25 Floating 5.80971 N N N N N N GNMA PASS THRU POOLS N/A 36225CFM3 743.810000 PA USD 732.250000 0.0000284 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 4.625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02 N/A 38376RPV2 2287491.890000 PA USD 2293853.400000 0.0888138 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 6.43732 N N N N N N LAD AUTO RECEIVABLES TRUST 2023-2A N/A 505713AB3 2076259.230000 PA USD 2078499.510000 0.0804757 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC -3666.030000 -0.0001419 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 93109.870000 USD 500000.000000 BRL 2024-07-02 -3666.030000 N N N N/A N/A 000000000 1.000000 NC 11764.540000 0.0004555 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9220696.300000 CHF 10312952.440000 USD 2024-08-02 11764.540000 N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JX7 715123.320000 PA USD 387434.360000 0.0150007 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 1641460.980000 PA USD 1642915.970000 0.0636107 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3 N/A 83611MGU6 717410.890000 PA USD 703630.650000 0.0272433 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.16471 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BGB2 1700000.000000 PA USD 1696653.530000 0.0656913 Long DBT CORP US N 2 2024-07-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 606417.010000 0.0234793 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-17 0.000000 USD -276682.130000 USD 15200000.000000 USD 883099.140000 N N N N/A N/A 000000000 1.000000 NC -53475.500000 -0.0020705 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10160000.000000 AUD 6724258.840000 USD 2024-07-02 -53475.500000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 N/A 46654PAG1 8900000.000000 PA USD 8848719.090000 0.342606 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.95848 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAB4 1417032.960000 PA USD 1163768.500000 0.045059 Long ABS-MBS CORP US N 2 2060-01-25 Variable 1.11456 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 891623.630000 PA USD 886028.690000 0.0343054 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 6.5464 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6C6 4100000.000000 PA USD 4119502.220000 0.159499 Long DBT CORP US N 2 2025-08-01 Floating 6.14556 N N N N N N GNMA PASS THRU POOLS N/A 36202KY33 6469.950000 PA USD 6386.740000 0.0002473 Long ABS-MBS USGSE US N 2 2026-03-20 Floating 4.625 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 1500000.000000 PA USD 1492170.530000 0.0577741 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-2A N/A 379928AC8 3100796.970000 PA USD 3099918.820000 0.120023 Long ABS-O CORP US N 2 2027-01-15 Fixed 5.7 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JG86 500000.000000 PA USD 499244.190000 0.0193298 Long DBT CORP US N 2 2024-07-08 None 0 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 45826CG87 1750000.000000 PA USD 1747361.930000 0.0676546 Long DBT CORP US N 2 2024-07-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -33228.690000 -0.0012866 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 40051698.630000 CAD 29247386.490000 USD 2024-07-08 -33228.690000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3V1 6900000.000000 PA USD 6908165.740000 0.267471 Long DBT CORP US N 2 2026-05-08 Fixed 5.62 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 4300000.000000 PA USD 4118065.150000 0.159444 Long DBT CORP US N 2 2027-06-17 Floating 3.196 N N N N N N GNMA PASS THRU POOLS N/A 36225CB62 9695.600000 PA USD 9569.320000 0.0003705 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 3.875 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 21380.000000 NS USD 4950539.000000 0.191676 Long EC CORP US N 1 N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 57163TH77 250000.000000 PA USD 248455.090000 0.0096197 Long DBT CORP US N 2 2024-08-07 None 0 N N N N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634EGA4 400000.000000 PA USD 399232.920000 0.0154576 Long DBT CORP US N 2 2024-07-10 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LT8 17720.160000 PA USD 17555.450000 0.0006797 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466L302 21380.000000 NS USD 5496798.000000 0.212826 Long EC CORP US N 1 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ADA2 1200000.000000 PA USD 1198596.760000 0.0464074 Long DBT CORP US N 2 2026-06-24 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC USD 2149569.480000 0.0832274 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -3243.920000 USD 11500000.000000 USD 2152813.400000 N N N FREDDIE MAC-3372 N/A 31397KQ61 36014.840000 PA USD 35916.870000 0.0013906 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 6.04751 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 34769126.000000 PA USD 33899096.070000 1.31251 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 282715.870000 PA USD 255152.590000 0.009879 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 35399.370000 PA USD 34911.050000 0.0013517 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 5.89483 N N N N N N N/A N/A 000000000 1.000000 NC 15062.420000 0.0005832 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5514312.550000 SGD 4081664.600000 USD 2024-07-02 15062.420000 N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 5320030.720000 PA USD 5334174.550000 0.206529 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N N/A N/A 000000000 1.000000 NC 1819554.750000 0.0704498 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3770000000.000000 JPY 25251713.370000 USD 2024-07-01 1819554.750000 N N N N/A N/A 000000000 1.000000 NC 40706.430000 0.0015761 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9260000.000000 CHF 10347345.640000 USD 2024-07-02 40706.430000 N N N N/A N/A 000000000 1.000000 NC USD 837213.660000 0.0324154 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-22 0.000000 USD -12676.630000 USD 2200000.000000 USD 849890.290000 N N N N/A N/A 000000000 1.000000 NC -69790.530000 -0.0027022 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1876556.060000 USD 10100000.000000 BRL 2024-07-02 -69790.530000 N N N N/A N/A 000000000 1.000000 NC 793379.470000 0.0307182 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5352000000.000000 JPY 34407204.120000 USD 2024-09-09 793379.470000 N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AC6 592837.660000 PA USD 593040.590000 0.0229614 Long ABS-O CORP US N 2 2026-01-20 Floating 5.783 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 301989AC3 1226810.090000 PA USD 1227079.130000 0.0475102 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.04 N N N N N N FREDDIE MAC-3271 N/A 31397FFP2 1170.200000 PA USD 1147.730000 0.0000444 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.74751 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EGJ9 1550000.000000 PA USD 1545255.280000 0.0598294 Long DBT CORP US N 2 2024-07-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -7037.610000 -0.0002725 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.38 Y Single Leg Swap 2027-12-20 0.000000 USD -42270.000000 USD 500000.000000 USD 35232.390000 N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 4196878.520000 PA USD 4061108.660000 0.157239 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 318492.680000 0.0123314 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 33055.370000 USD 0.000000 USD 9400000.000000 USD 285437.310000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-6 N/A 69548KAA7 2200000.000000 PA USD 2201248.280000 0.0852283 Long ABS-O CORP US N 2 2031-11-15 Fixed 6.093 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CK3 500000.000000 PA USD 420089.530000 0.0162651 Long DBT CORP DE Y 2 2032-05-28 Floating 3.035 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 2700000.000000 PA USD 2592040.910000 0.100359 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 6392.330000 0.0002475 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5959331699.000000 KRW 4327136.000000 USD 2024-07-15 6392.330000 N N N N/A N/A 000000000 90000000.000000 PA 65787069.190000 2.54715 Long RA CA N 2 Repurchase N 4.720000 2024-07-03 107425000.000000 CAD 90521412.610000 CAD N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962AHL3 1350000.000000 PA USD 1338789.840000 0.0518355 Long DBT CORP US N 2 2024-08-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1016.500000 -0.0000394 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6449725.730000 SGD 4762451.190000 USD 2024-08-02 -1016.500000 N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 1690760.070000 PA USD 1649457.340000 0.0638639 Long ABS-O CORP US N 2 2028-04-15 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -166.330000 -0.0000064 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -2346.000000 USD 92000.000000 USD 2179.670000 N N N N/A N/A 000000000 -641.000000 NC USD -1332355.030000 -0.0515863 N/A DE US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A DOW JONES INDUSTRIAL AVERAGE 2024-09-20 -126498145.000000 USD -1332355.030000 N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275R102 21380.000000 NS USD 1015763.800000 0.0393285 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 957.350000 0.0000371 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1186261008.000000 KRW 861042.000000 USD 2024-07-15 957.350000 N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4R0 495.060000 PA USD 377.260000 0.0000146 Long ABS-MBS CORP US N 3 2032-06-25 Floating 0.098 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 15799576.690000 PA USD 15803547.280000 0.611884 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 6.62927 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AA9 122125.430000 PA USD 117828.970000 0.0045621 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.73971 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 110403.560000 PA USD 110359.610000 0.0042729 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 6.15751 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 2092816.780000 PA USD 1918688.980000 0.0742881 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WGG8 850000.000000 PA USD 847625.530000 0.0328185 Long DBT CORP US N 2 2024-07-16 None 0 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 32581.500000 PA USD 29661.190000 0.0011484 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.55277 N N N N N N N/A N/A 000000000 1.000000 NC 9731.330000 0.0003768 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 67847123.000000 TWD 2097303.000000 USD 2024-07-15 9731.330000 N N N MASTER CREDIT CARD TRUST II 2023-2A N/A 576339DJ1 10800000.000000 PA USD 10846299.600000 0.419949 Long ABS-MBS CORP CA N 2 2027-01-21 Floating 6.18303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 6992873.000000 PA USD 6766234.270000 0.261976 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N USAA AUTO OWNER TRUST 2023-A N/A 90291VAB6 2763989.400000 PA USD 2765789.860000 0.107086 Long ABS-O CORP US N 2 2026-07-15 Fixed 5.83 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 100000.000000 PA USD 98491.330000 0.0038134 Long DBT CORP US N 2 2025-04-01 Fixed 3.5 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BS7 100000.000000 PA USD 93653.400000 0.0036261 Long DBT CORP US N 2 2026-03-09 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -1245.060000 -0.0000482 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2000000.000000 CAD 1460689.810000 USD 2024-07-02 -1245.060000 N N N N/A N/A 000000000 1.000000 NC USD 53029528.860000 2.05321 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-09-11 0.000000 USD 0.000000 USD 286964661.720000 USD 53029528.860000 N N N N/A N/A 000000000 1.000000 NC -16214.500000 -0.0006278 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1903814.870000 USD 3099000.000000 NZD 2024-07-02 -16214.500000 N N N N/A N/A 000000000 1.000000 NC USD -39028.840000 -0.0015111 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.40 Y Single Leg Swap 2028-12-20 0.000000 USD -75660.000000 USD 1600000.000000 USD 36631.160000 N N N CITIZENS AUTO RECEIVABLES TRUST 2023-2 N/A 17295FAB0 2297596.630000 PA USD 2301682.680000 0.0891169 Long ABS-O CORP US N 2 2026-10-15 Fixed 6.09 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 3700000.000000 PA USD 3697925.970000 0.143177 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 9933.760000 PA USD 9920.570000 0.0003841 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 6.353 N N N N N N N/A N/A 000000000 1.000000 NC 52511.890000 0.0020332 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11240708.660000 BRL 2055989.000000 USD 2024-08-02 52511.890000 N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2K0 5900000.000000 PA USD 5935930.170000 0.229828 Long DBT CORP US N 2 2025-04-11 Floating 6.71117 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBQ7 6100000.000000 PA USD 6104445.380000 0.236353 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 7.38617 N N N N N N N/A N/A 000000000 1.000000 NC -8030.840000 -0.0003109 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10160000.000000 AUD 6775423.580000 USD 2024-08-02 -8030.840000 N N N N/A N/A 000000000 1.000000 NC 1103.170000 0.0000427 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1189419703.000000 KRW 863478.000000 USD 2024-07-15 1103.170000 N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 3708276.890000 PA 3970779.210000 0.153741 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 4.688 N N N N N N N/A N/A 000000000 1.000000 NC 1888111.870000 0.0731042 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7690000000.000000 JPY 49932146.820000 USD 2024-08-05 1888111.870000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 37958.860000 PA USD 37503.540000 0.0014521 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.82983 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 4896308.400000 PA USD 3723271.840000 0.144158 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAL5 800000.000000 PA USD 701531.250000 0.027162 Long DBT UST US N 2 2027-09-30 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 4000000.000000 PA USD 3030625.000000 0.11734 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 1900000.000000 PA USD 1912582.600000 0.0740517 Long DBT CORP US N 2 2026-04-02 Floating 6.6781 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 643917.500000 PA USD 579532.870000 0.0224384 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 647133.710000 PA USD 644207.240000 0.0249425 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 5430292.900000 PA USD 5328032.070000 0.206291 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.6464 N N N N N N N/A N/A 000000000 171568110.000000 PA USD 171568110.000000 6.6428 Long RA US N 2 Repurchase N 5.340000 2026-03-14 267300000.000000 USD 176324884.000000 USD UST N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 345358.180000 PA USD 323615.410000 0.0125298 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -15042.400000 -0.0005824 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2695145.250000 USD 14982042.950000 BRL 2024-07-02 -15042.400000 N N N N/A N/A 000000000 1.000000 NC 12456.840000 0.0004823 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 80072569.860000 CAD 58552525.830000 USD 2024-07-09 12456.840000 N N N N/A N/A 000000000 1.000000 NC USD 321327.200000 0.0124412 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-16 0.000000 USD -1404.010000 USD 800000.000000 USD 322731.210000 N N N N/A N/A 000000000 1.000000 NC USD 185620.090000 0.0071869 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-07-17 0.000000 USD 0.000000 USD 5885284.350000 USD 185620.090000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 3400000.000000 PA USD 3425319.120000 0.132622 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BT5 700000.000000 PA USD 624386.710000 0.0241751 Long DBT CORP US N 2 2028-03-09 Fixed 2.75 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 600000.000000 PA USD 557644.180000 0.021591 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAA8 5000000.000000 PA USD 4777121.500000 0.184961 Long ABS-MBS CORP US N 2 2036-09-15 Floating 6.69332 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 52421226.000000 PA USD 51898501.450000 2.00941 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N JOHNSON & JOHNSON COMPANY 549300G0CFPGEF6X2043 478160104 21380.000000 NS USD 3124900.800000 0.12099 Long EC CORP US N 1 N N N FNMA PASS THRU POOLS N/A 31363EH73 251.750000 PA USD 246.780000 0.0000096 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 5.6 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAC0 2747493.090000 PA USD 2750569.730000 0.106497 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.04 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAA4 2200000.000000 PA USD 2200713.130000 0.0852075 Long ABS-O CORP US N 2 2025-07-15 Fixed 5.609 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 5500000.000000 PA USD 5478688.600000 0.212125 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 4127185.000000 PA USD 3094956.140000 0.119831 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 163415.570000 PA USD 120257.530000 0.0046561 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.15885 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAC5 14900000.000000 PA USD 14861799.530000 0.575421 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.98617 N N N N N N N/A N/A 000000000 1.000000 NC 51066.830000 0.0019772 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9682042.950000 BRL 1783065.000000 USD 2024-07-02 51066.830000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 78031.000000 PA USD 67971.100000 0.0026317 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.58971 N N N N N N N/A N/A 000000000 1.000000 NC 539.210000 0.0000209 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 413548.000000 USD 6775156884.000000 IDR 2024-07-26 539.210000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAM3 400000.000000 PA USD 376170.260000 0.0145646 Long DBT CORP KY N 2 2026-02-21 Fixed 2.125 N N N N N N IMPAC CMB TR 2005-4 N/A 45254NPA9 3871062.580000 PA USD 3510062.770000 0.135903 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.99971 N N N N N N N/A N/A 000000000 1.000000 NC 340490.090000 0.0131831 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14800000.000000 BRL 2988027.700000 USD 2024-07-02 340490.090000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162100 21380.000000 NS USD 6680181.000000 0.258644 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -41633.650000 -0.001612 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12893000.000000 CAD 9382729.490000 USD 2024-07-02 -41633.650000 N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAD2 2564000.000000 PA USD 2135709.700000 0.0826907 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.175 N N N N N N N/A N/A 000000000 1.000000 NC USD 410435.150000 0.0158913 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-08-07 0.000000 USD 0.000000 USD 13034985.260000 USD 410435.150000 N N N N/A N/A 000000000 1.000000 NC 164243.280000 0.0063592 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 8300000.000000 BRL 1649010.990000 USD 2024-07-02 164243.280000 N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BU5 2650000.000000 PA USD 2656484.150000 0.102854 Long DBT CORP US N 2 2025-09-12 Fixed 5.8 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAC1 815000.000000 PA USD 766103.830000 0.0296621 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.91971 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZW6 200000.000000 PA USD 194725.020000 0.0075394 Long DBT CORP US N 2 2026-08-01 Fixed 4.542 N N N N N N TIKEHAU CLO BV N/A ACI1ZJMY5 4764824.400000 PA 5104014.580000 0.197618 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 4.723 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QD3 2800000.000000 PA USD 2769265.630000 0.107221 Long DBT UST US N 2 2039-11-15 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 459774.120000 0.0178016 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-11-13 0.000000 USD 0.000000 USD 14563779.830000 USD 459774.120000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PGW7 1350000.000000 PA USD 1343008.400000 0.0519988 Long DBT CORP US N 2 2024-07-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1024.320000 -0.0000397 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 91153.140000 USD 627648.070000 DKK 2024-07-02 -1024.320000 N N N N/A N/A 000000000 1.000000 NC -52772.020000 -0.0020432 N/A DFE CA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 110056657.530000 CAD 80395060.680000 USD 2024-07-02 -52772.020000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 36267KAD9 3100000.000000 PA USD 3111253.930000 0.120462 Long ABS-O CORP US N 2 2028-06-16 Fixed 5.45 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 2072015.050000 PA USD 2076448.750000 0.0803963 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 12616.850000 PA USD 12475.520000 0.000483 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 5.185 N N N N N N N/A N/A 000000000 1.000000 NC 40367.800000 0.001563 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7400000.000000 BRL 1323508.370000 USD 2025-04-02 40367.800000 N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1665798.350000 PA USD 1558993.020000 0.0603613 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CGG5 500000.000000 PA USD 498553.260000 0.0193031 Long DBT CORP US N 2 2024-07-16 None 0 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A45 400000.000000 PA USD 385565.660000 0.0149284 Long DBT CORP US N 2 2027-01-09 Fixed 4.271 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 250696.090000 PA USD 217399.260000 0.0084173 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.16027 N N N N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 1750000.000000 PA USD 1751312.500000 0.0678076 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 6.63617 N N N N N N N/A N/A 000000000 1.000000 NC 2175.720000 0.0000842 N/A DFE NZ N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 2719074.000000 NZD 1658363.230000 USD 2024-07-02 2175.720000 N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 91487.460000 PA USD 73838.220000 0.0028589 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.01971 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2021-P3 N/A 14687JAE9 2779696.290000 PA USD 2722433.160000 0.105408 Long ABS-O CORP US N 2 2026-11-10 Fixed 0.7 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1900000.000000 PA USD 1867342.040000 0.0723 Long ABS-MBS CORP US N 2 2032-04-15 Floating 6.36471 N N N N N N N/A N/A 000000000 1.000000 NC -51895.320000 -0.0020093 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2055989.000000 USD 11203084.060000 BRL 2024-07-02 -51895.320000 N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 28771.060000 PA USD 28815.730000 0.0011157 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.61648 N N N N N N BSPRT-2021-FL6 N/A 05601HAA2 7973773.470000 PA USD 7913761.890000 0.306406 Long ABS-CBDO CORP KY N 2 2036-03-15 Floating 6.54332 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 48616.500000 PA USD 46636.700000 0.0018057 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.01971 N N N N N N N/A N/A 000000000 1.000000 NC -28112.810000 -0.0010885 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 5036967.750000 USD 28000000.000000 BRL 2024-07-02 -28112.810000 N N N NAVIENT STUDENT LOAN TRUST 2019-BA N/A 63941LAC7 2548098.280000 PA USD 2545545.600000 0.0985588 Long ABS-O CORP US N 2 2059-12-15 Floating 6.42332 N N N N N N FANNIE MAE 2007-14 N/A 31396PZU8 6651.340000 PA USD 6524.690000 0.0002526 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.79983 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UG82 600000.000000 PA USD 599081.980000 0.0231953 Long DBT CORP CA N 2 2024-07-08 None 0 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 8733.710000 PA USD 8575.950000 0.000332 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.77751 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 30288.220000 PA USD 25371.570000 0.0009823 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAB3 205153.340000 PA USD 184452.810000 0.0071417 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.277 N N N N N N N/A N/A 000000000 392.000000 NC USD 157201.400000 0.0060865 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-30 41755656.150000 USD 157201.400000 N N N N/A N/A 000000000 1.000000 NC 7221.190000 0.0002796 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1600000.000000 BRL 284656.990000 USD 2025-04-02 7221.190000 N N N FNMA PASS THRU POOLS N/A 31362M2L1 814.980000 PA USD 799.860000 0.000031 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.492 N N N N N N N/A N/A 000000000 1.000000 NC USD 1549454.870000 0.059992 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-01-06 0.000000 USD -143045.020000 USD 11300000.000000 USD 1692499.890000 N N N N/A N/A 000000000 1.000000 NC USD -4652044.490000 -0.180119 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A APPLE INC Y 2024-06-28 0.000000 USD 0.000000 USD 51129656.500000 USD -4652044.490000 N N N N/A N/A 000000000 1.000000 NC -6211.180000 -0.0002405 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13703807.720000 MXN 741371.520000 USD 2024-07-15 -6211.180000 N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAM0 800000.000000 PA USD 741050.540000 0.0286921 Long DBT CORP NL N 2 2026-07-12 Variable 1.375 N N N N N N FANNIE MAE 2009-87 N/A 31398FM57 44565.910000 PA USD 44764.920000 0.0017332 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 6.19983 N N N N N N FNMA PASS THRU POOLS N/A 31362L4P2 1583.500000 PA USD 1553.240000 0.0000601 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 4.601 N N N N N N N/A N/A 000000000 1.000000 NC -38690.790000 -0.001498 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1273015.760000 USD 6900000.000000 BRL 2024-07-02 -38690.790000 N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 35105AAB3 2285833.170000 PA USD 2279403.580000 0.0882543 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.49 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAN5 1600000.000000 PA USD 1458673.280000 0.0564771 Long DBT CORP KY N 2 2027-03-08 Variable 2.3 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B93 200000.000000 PA USD 176425.350000 0.0068309 Long DBT CORP US N 2 2029-02-10 Fixed 2.9 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PQ3V5 7340000000.000000 PA 45619087.700000 1.76629 Long DBT NUSS JP N 2 2024-09-24 None 0 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 600000.000000 PA USD 573841.080000 0.0222181 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N N/A N/A 000000000 1.000000 NC USD 386391.540000 0.0149604 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 104028.620000 USD 0.000000 USD 7100000.000000 USD 282362.920000 N N N TRILLIUM CREDIT CARD TRUST II 2023-3A N/A 89621ABT5 10800000.000000 PA USD 10848833.280000 0.420047 Long ABS-MBS CORP CA N 2 2028-08-26 Floating 6.17392 N N N N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 5878478.040000 PA 6297041.410000 0.24381 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 5.091 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 30166DAB4 5900000.000000 PA USD 5900612.420000 0.228461 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC 7007.600000 0.0002713 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2060956.000000 NZD 1262335.550000 USD 2024-07-02 7007.600000 N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 324855.500000 PA USD 326060.840000 0.0126245 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAD6 3700000.000000 PA USD 3718296.980000 0.143966 Long DBT CORP US N 2 2025-08-18 Floating 6.12433 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 404049.650000 PA USD 345035.090000 0.0133591 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.99971 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 1300000.000000 PA USD 1296665.760000 0.0502045 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAZ6 1700000.000000 PA USD 1673961.660000 0.0648127 Long DBT CORP US N 2 2025-03-15 Fixed 3.638 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 1900000.000000 PA USD 1898010.700000 0.0734875 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 45378.380000 PA USD 45682.460000 0.0017687 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 6.26983 N N N N N N FNMA PASS THRU POOLS N/A 31384VZC9 222.600000 PA USD 229.280000 0.0000089 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC USD 35867.960000 0.0013887 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-02-07 0.000000 USD -387.370000 USD 100000.000000 USD 36255.330000 N N N N/A N/A 000000000 1.000000 NC -137.420000 -0.0000053 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 419974.830000 DKK 60170.000000 USD 2024-07-02 -137.420000 N N N N/A N/A 000000000 30000000.000000 PA 21929023.060000 0.849051 Long RA CA N 2 Repurchase N 4.720000 2024-07-08 31110000.000000 CAD 30405314.010000 CAD N N N N/A N/A 000000000 2325000.000000 PA USD 2325000.000000 0.0900197 Long RA US N 2 Repurchase N 2.600000 2024-07-01 1855000.000000 USD 2371688.690000 USD UST N N N ASSET BACKED SEC HOME EQTY LN 2004-HE2 N/A 04541GHW5 1039249.830000 PA USD 1019824.480000 0.0394857 Long ABS-MBS CORP US N 2 2034-04-25 Floating 6.28471 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 5500000.000000 PA USD 5523673.760000 0.213866 Long DBT CORP US N 2 2025-08-04 Floating 6.49408 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P1 N/A 14688NAA7 738609.540000 PA USD 738646.180000 0.028599 Long ABS-O CORP US N 2 2025-04-10 Fixed 5.634 N N N N N N N/A N/A 000000000 1.000000 NC USD 6103.690000 0.0002363 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 3483.550000 USD 0.000000 USD 300000.000000 USD 2620.140000 N N N CROSS 2024-H3 MORTGAGE TRUST N/A 22758DAA7 5638970.300000 PA USD 5657748.070000 0.219057 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.272 N N N N N N FREDDIE MAC 4559 N/A 3137BNCR3 92454.690000 PA USD 94034.370000 0.0036408 Long ABS-MBS USGSE US N 2 2042-03-15 Floating 5.94254 N N N N N N BNPAM-2018-1A N/A ACI1W1J88 1149534.770000 PA 1228681.490000 0.0475723 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 4.506 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JH51 600000.000000 PA USD 596478.460000 0.0230945 Long DBT CORP US N 2 2024-08-05 None 0 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 200000.000000 PA USD 196719.250000 0.0076166 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 1726432.000000 PA USD 1548784.530000 0.0599661 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 1590605.920000 PA USD 1573207.870000 0.0609117 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 6.4964 N N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A 86358HGW3 38761.380000 PA USD 35235.830000 0.0013643 Long ABS-MBS CORP US N 3 2029-06-25 Floating 3.90503 N N N N N N N/A N/A 000000000 1.000000 NC USD 452213.350000 0.0175089 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -240022.100000 USD 10700000.000000 USD 692235.450000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 19540.940000 PA USD 19286.580000 0.0007467 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.79983 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 7800000.000000 PA USD 7222842.900000 0.279655 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAC4 1000000.000000 PA USD 996708.600000 0.0385907 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.31 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038PG91 1950000.000000 PA USD 1946406.230000 0.0753612 Long DBT CORP US N 2 2024-07-09 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 1400000.000000 PA USD 1304595.990000 0.0505115 Long DBT CORP US N 2 2027-02-04 Floating 1.04 N N N N N N N/A N/A 000000000 1.000000 NC 88786.930000 0.0034377 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 90093106.850000 CAD 65945461.530000 USD 2024-07-03 88786.930000 N N N FANNIE MAE 2003-25 N/A 31393APU5 77417.200000 PA USD 75441.450000 0.002921 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAA0 1800000.000000 PA USD 1479417.120000 0.0572803 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.39348 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 1526428.300000 PA USD 1527649.320000 0.0591478 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 6.61017 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961CGJ5 400000.000000 PA USD 398655.560000 0.0154352 Long DBT CORP US N 2 2024-07-18 None 0 N N N N N N VENTURE 36 CLO LTD N/A 92332LAU3 950000.000000 PA USD 950554.960000 0.0368037 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.71617 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 792031.980000 PA USD 7705679.170000 0.29835 Long STIV RF US N 1 N N N ANCHORAGE CAPITAL CLO LTD 2018-10A N/A 03331JAQ5 4100000.000000 PA USD 4100000.000000 0.158744 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.43156 N N N N N N CREDIT-BASED ASSET SERVC SEC 2005-CB3 N/A 12489WLH5 1995000.000000 PA USD 1900240.690000 0.0735738 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.50971 N N N N N N N/A N/A 000000000 1.000000 NC USD 852574.970000 0.0330101 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-10-16 0.000000 USD 0.000000 USD 27012535.600000 USD 852574.970000 N N N N/A N/A 000000000 1.000000 NC USD 32291401.030000 1.25026 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 236664622.440000 USD 32291401.030000 N N N N/A N/A 000000000 1.000000 NC 16736.450000 0.000648 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4839835.230000 CAD 3554498.400000 USD 2024-07-02 16736.450000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87613EGN9 5000000.000000 PA USD 4980263.350000 0.192827 Long DBT CORP US N 2 2024-07-22 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 37783.000000 PA USD 38082.660000 0.0014745 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.066 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-RPL1 N/A 52474HAA8 1707307.050000 PA USD 1607022.390000 0.0622209 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 314152.080000 0.0121634 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 525878.060000 USD 0.000000 USD 2920000.000000 USD -211725.980000 N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAL4 2200000.000000 PA USD 1997561.500000 0.0773419 Long ABS-MBS CORP US N 2 2036-07-25 Floating 6.11971 N N N N N N BEAR STEARNS ALT-A TR 2004-12 N/A 07386HNV9 2247699.220000 PA USD 2090837.690000 0.0809534 Long ABS-MBS CORP US N 2 2035-01-25 Floating 7.03471 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 1392387.320000 PA USD 1394515.640000 0.0539931 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.68617 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 2200000.000000 PA 2789361.840000 0.107999 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 6.3541 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 1892333.980000 PA USD 1773766.390000 0.068677 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.75971 N N N N N N N/A N/A 000000000 1.000000 NC 85446.440000 0.0033083 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 112379000.000000 CNY 15609615.570000 USD 2024-10-25 85446.440000 N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 33084.760000 PA USD 31746.180000 0.0012292 Long ABS-MBS CORP US N 2 2045-10-25 Floating 6.03971 N N N N N N N/A N/A 000000000 1.000000 NC -13025.400000 -0.0005043 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1898798.470000 USD 3096000.000000 NZD 2024-07-02 -13025.400000 N N N IMPAC CMB TR 2003-11 N/A 45254NFY8 661.270000 PA USD 641.920000 0.0000249 Long ABS-MBS CORP US N 3 2033-10-25 Floating 6.21971 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PV609 3770000000.000000 PA 23431221.330000 0.907214 Long DBT NUSS JP N 2 2024-09-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 121956.970000 0.0047219 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10526173.290000 USD 193973995.100000 ZAR 2024-07-19 121956.970000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 237509.540000 PA USD 213134.600000 0.0082522 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.59971 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BGH9 1750000.000000 PA USD 1744941.080000 0.0675609 Long DBT CORP US N 2 2024-07-17 None 0 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-5 N/A 69544LAA9 2000000.000000 PA USD 2002074.800000 0.0775166 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.278 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-N1 N/A 14688FAB2 832820.000000 PA USD 834590.160000 0.0323138 Long ABS-O CORP US N 2 2027-04-12 Fixed 6.36 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 2827462.000000 PA USD 2648454.530000 0.102543 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.76971 N N N N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FBU4 8900000.000000 PA USD 8931936.760000 0.345828 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.67121 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1M35 392257.540000 PA USD 384307.420000 0.0148797 Long ABS-MBS USGSE US N 2 2058-05-25 Floating 5.79254 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAE1 7000000.000000 PA USD 6628878.900000 0.256658 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.98348 N N N N N N N/A N/A 000000000 1.000000 NC 571643.630000 0.022133 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7340000000.000000 JPY 46775277.930000 USD 2024-09-24 571643.630000 N N N FHLMC PASS THRU POOLS N/A 3128M6PB8 1580.720000 PA USD 1626.860000 0.000063 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 80288AAB8 765628.390000 PA USD 765885.110000 0.0296537 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC USD 20158019.620000 0.780481 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 144777152.910000 USD 20158019.620000 N N N VISA INC 549300JZ4OKEHW3DPJ59 92826C839 21380.000000 NS USD 5611608.600000 0.217271 Long EC CORP US N 1 N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 377411.480000 PA USD 377505.830000 0.0146163 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 6.67927 N N N N N N N/A N/A 000000000 1.000000 NC USD 2287612.850000 0.0885721 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 S&P 500 INDEX N/A N/A Y 2024-07-17 0.000000 USD 0.000000 USD 72669468.110000 USD 2287612.850000 N N N N/A N/A 000000000 70000000.000000 PA 51167720.480000 1.98112 Long RA CA N 2 Repurchase N 4.710000 2024-07-02 89971000.000000 CAD 69890743.190000 CAD N N N AT&T INC 549300Z40J86GGSTL398 0020A2GF3 350000.000000 PA USD 349102.760000 0.0135166 Long DBT CORP US N 2 2024-07-15 None 0 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1 N/A 03881CAA9 2422222.780000 PA USD 2413139.440000 0.0934323 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 6.41332 N N N N N N N/A N/A 000000000 1.000000 NC USD -19342.060000 -0.0007489 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-01-08 0.000000 USD 0.000000 USD 5434305.700000 USD -19342.060000 N N N N/A N/A 000000000 1.000000 NC -16517.770000 -0.0006395 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 39385458.060000 USD 36760748.000000 EUR 2024-07-02 -16517.770000 N N N GNMA PASS THRU POOLS N/A 36202KVA0 1739.250000 PA USD 1718.820000 0.0000665 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 3.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 136360.000000 PA USD 102502.880000 0.0039687 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 7000000.000000 PA USD 7000123.270000 0.271032 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N FNMA PASS THRU POOLS N/A 31418CSG0 5931176.700000 PA USD 5559550.220000 0.215255 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 3 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAB5 8200000.000000 PA USD 8203327.560000 0.317618 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.91 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 539783.050000 PA USD 533996.200000 0.0206753 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.99751 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MGA8 1750000.000000 PA USD 1746816.820000 0.0676335 Long DBT CORP US N 2 2024-07-10 None 0 N N N N N N FREDDIE MAC-3271 N/A 31397FFJ6 36611.640000 PA USD 36079.930000 0.0013969 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.78751 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 57163TH69 850000.000000 PA USD 844879.240000 0.0327122 Long DBT CORP US N 2 2024-08-06 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -3555.660000 -0.0001377 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1703785.910000 USD 2326000.000000 CAD 2024-07-02 -3555.660000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-B N/A 78449LAC2 3683335.310000 PA USD 3671213.450000 0.142143 Long ABS-O CORP US N 2 2037-01-15 Floating 6.16332 N N N N N N N/A N/A 000000000 1.000000 NC 152378.970000 0.0058998 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6800000.000000 BRL 1368815.170000 USD 2024-07-02 152378.970000 N N N OPORTUN ISSUANCE TRUST 2024-1A N/A 68377JAA8 3904049.660000 PA USD 3906278.090000 0.151244 Long ABS-O CORP US N 2 2031-04-08 Fixed 6.334 N N N N N N N/A N/A 000000000 1.000000 NC -3286.860000 -0.0001273 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 881000.000000 CAD 640695.450000 USD 2024-07-02 -3286.860000 N N N N/A N/A 000000000 1.000000 NC 1589.200000 0.0000615 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 441548.000000 USD 36960412.490000 INR 2024-07-15 1589.200000 N N N N/A N/A 000000000 80000000.000000 PA USD 80000000.000000 3.09745 Long RA US N 2 Repurchase N 5.400000 2024-07-01 87581000.000000 USD 79803054.880000 USD UST N N N N/A N/A 000000000 1.000000 NC 17.360000 0.0000007 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 779000.000000 CAD 569440.990000 USD 2024-07-02 17.360000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 N/A 80285XAB1 2987364.260000 PA USD 2990247.960000 0.115777 Long ABS-O CORP US N 2 2026-08-17 Fixed 6.08 N N N N N N FANNIE MAE 2007-42 N/A 31396VN53 15241.280000 PA USD 14913.570000 0.0005774 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 5.69983 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 500000.000000 PA USD 459970.750000 0.0178092 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 4976293.000000 PA USD 4841051.440000 0.187437 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 79131.870000 PA USD 78066.220000 0.0030226 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 5.84983 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JGK7 4050000.000000 PA USD 4037039.310000 0.156307 Long DBT CORP US N 2 2024-07-19 None 0 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 18672339.830000 PA USD 18539904.390000 0.717831 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.401 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 400000.000000 PA USD 347599.960000 0.0134584 Long DBT CORP US N 2 2031-02-15 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 154988.310000 0.0060009 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-07-10 0.000000 USD 0.000000 USD 4908235.190000 USD 154988.310000 N N N READY CAPITAL MORTGAGE FINANCING 2021-FL6 LLC N/A 75575TAA1 1424955.830000 PA USD 1418042.370000 0.054904 Long ABS-MBS CORP US N 2 2036-07-25 Floating 6.40971 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 86407.760000 PA USD 88652.810000 0.0034325 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.043 N N N N N N N/A N/A 000000000 1.000000 NC USD 288830.230000 0.011183 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 296436.620000 USD 0.000000 USD 13500000.000000 USD -7606.390000 N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 13443CG13 250000.000000 PA USD 249881.270000 0.0096749 Long DBT CORP US N 2 2024-07-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 72.280000 0.0000028 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 904000.000000 MXN 49426.320000 USD 2024-07-10 72.280000 N N N ALLY AUTO RECEIVABLES TRUST 2024-1 N/A 02008FAA2 1868797.370000 PA USD 1868976.030000 0.0723633 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.528 N N N N N N N/A N/A 000000000 1.000000 NC USD 136052.680000 0.0052677 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-15 0.000000 USD -2775.590000 USD 400000.000000 USD 138828.270000 N N N N/A N/A 000000000 1.000000 NC USD 675850.670000 0.0261677 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 S&P 500 INDEX N/A N/A Y 2024-07-10 0.000000 USD 0.000000 USD 21403123.950000 USD 675850.670000 N N N N/A N/A 000000000 1.000000 NC -28844.370000 -0.0011168 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 35036131.000000 CAD 25583231.760000 USD 2024-07-05 -28844.370000 N N N N/A N/A 000000000 1.000000 NC USD 4084595.690000 0.158148 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-16 1586003.510000 USD 0.000000 USD 8700000.000000 USD 2498592.180000 N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 660268.440000 PA USD 660982.160000 0.025592 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.64017 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 7600000.000000 PA USD 7559479.690000 0.292689 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JG94 1850000.000000 PA USD 1846920.660000 0.0715094 Long DBT CORP US N 2 2024-07-09 None 0 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106103 21380.000000 NS USD 1611410.600000 0.0623908 Long EC CORP US N 1 N N N FNMA PASS THRU POOLS N/A 31418CU77 6694412.120000 PA USD 6024992.930000 0.233277 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 88111.540000 PA USD 85745.780000 0.0033199 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 314365.700000 PA USD 267961.330000 0.010375 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.65971 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 7500000.000000 PA USD 7505068.200000 0.290582 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR2 N/A 251508AA5 2115245.980000 PA USD 1828305.460000 0.0707886 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.69971 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AC2 800000.000000 PA USD 747375.390000 0.028937 Long DBT CORP CH N 2 2027-01-30 Floating 1.364 N N N N N N N/A N/A 000000000 1.000000 NC 78233.190000 0.003029 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40900000.000000 DKK 6046391.820000 USD 2025-04-01 78233.190000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1608679.640000 PA USD 1568665.830000 0.0607358 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NQH75 1978000000.000000 PA 12293966.460000 0.476 Long DBT NUSS JP N 2 2024-07-22 None 0 N N N N N N GSAMP TRUST 2004-WF N/A 36242DKL6 19475.250000 PA USD 18996.220000 0.0007355 Long ABS-MBS CORP US N 3 2034-10-25 Floating 7.10971 N N N N N N GNMA PASS THRU POOLS N/A 36202K5J0 536.860000 PA USD 531.610000 0.0000206 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 3.625 N N N N N N N/A N/A 000000000 1.000000 NC 77858.230000 0.0030145 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14200000.000000 BRL 2540100.950000 USD 2025-04-02 77858.230000 N N N N/A N/A 000000000 1.000000 NC -6696.370000 -0.0002593 N/A DFE CA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2600000.000000 CAD 1893818.960000 USD 2024-07-02 -6696.370000 N N N N/A N/A 000000000 1.000000 NC -38183.220000 -0.0014784 N/A DFE CA N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 35036132.010000 CAD 25573893.650000 USD 2024-07-05 -38183.220000 N N N N/A N/A 000000000 1.000000 NC USD 24741112.740000 0.95793 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2024-07-12 0.000000 USD 0.000000 USD 104411897.140000 USD 24741112.740000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YT4 300000.000000 PA USD 281565.830000 0.0109017 Long DBT CORP US N 2 2027-11-02 Fixed 3.815 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 3800000.000000 PA USD 3737758.510000 0.144719 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 332113.230000 PA USD 331487.330000 0.0128346 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 6.11751 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 600000.000000 PA USD 584641.800000 0.0226362 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2023-B N/A 44933XAD9 3200000.000000 PA USD 3210612.480000 0.124309 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.48 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 566760.320000 PA USD 564417.840000 0.0218532 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N PRESTIGE AUTO RECEIVABLES TRUST 2024-1A N/A 74113QAA9 2369278.840000 PA USD 2369526.190000 0.0917437 Long ABS-O CORP US N 2 2025-04-15 Fixed 5.648 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 10392775.520000 PA USD 101371132.440000 3.9249 Long STIV RF US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 600000.000000 PA USD 580924.790000 0.0224923 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 11037146.330000 PA USD 11057084.930000 0.42811 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N GNMA PASS THRU POOLS N/A 36225CER3 6866.360000 PA USD 6777.810000 0.0002624 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 3.75 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 N/A 107933AB9 357443.840000 PA USD 357425.470000 0.0138389 Long ABS-O CORP US N 2 2026-09-15 Fixed 5.82 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 700000.000000 PA USD 680115.160000 0.0263328 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2H5 400000.000000 PA USD 395497.580000 0.0153129 Long DBT CORP US N 2 2025-10-30 Floating 2.406 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 10490.550000 PA USD 10442.300000 0.0004043 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.736 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 89236TKY0 5500000.000000 PA USD 5502758.750000 0.213057 Long DBT CORP US N 2 2024-08-22 Floating 5.92 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 1578616.940000 PA USD 1479669.550000 0.0572901 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAB5 3462520.150000 PA USD 3239257.890000 0.125418 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.71971 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 111547.620000 PA USD 114740.460000 0.0044425 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 6.567 N N N N N N N/A N/A 000000000 1.000000 NC -2156.690000 -0.0000835 N/A DFE NZ N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1658360.510000 USD 2719074.000000 NZD 2024-08-02 -2156.690000 N N N N/A N/A 000000000 1.000000 NC -11998.590000 -0.0004646 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10312952.440000 USD 9254891.990000 CHF 2024-07-02 -11998.590000 N N N TOWD POINT MORTGAGE TRUST 2022-4 N/A 89180YAA8 4469854.890000 PA USD 4174222.260000 0.161618 Long ABS-MBS CORP US N 2 2062-09-25 Variable 3.75 N N N N N N N/A N/A 000000000 -2.000000 NC -811.070000 -0.0000314 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2024-09-26 -246676.370000 GBP -811.070000 N N N N/A N/A 000000000 1.000000 NC USD 245626.240000 0.0095102 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-02-19 0.000000 USD 0.000000 USD 7793403.890000 USD 245626.240000 N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAA6 1150000.000000 PA USD 1143963.540000 0.0442922 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.69448 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 124421.310000 PA USD 115816.150000 0.0044842 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.95315 N N N N N N N/A N/A 000000000 1.000000 NC USD 879152.710000 0.0340392 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 724755.920000 USD 0.000000 USD 5800000.000000 USD 154396.790000 N N N N/A N/A 000000000 1.000000 NC USD 3830179.330000 0.148298 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 4046306.260000 USD 0.000000 USD 184400000.000000 USD -216126.930000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 2815479.070000 PA USD 2824140.330000 0.109346 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N N/A N/A 000000000 70000000.000000 PA 51167720.480000 1.98112 Long RA CA N 2 Repurchase N 4.710000 2024-07-03 80663000.000000 CAD 70888490.780000 CAD N N N N/A N/A 000000000 1.000000 NC USD 5998909.100000 0.232267 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-16 610464.470000 USD 0.000000 USD 72100000.000000 USD 5388444.630000 N N N COCA COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 21380.000000 NS USD 1360837.000000 0.0526891 Long EC CORP US N 1 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDF3 200000.000000 PA USD 199781.780000 0.0077352 Long DBT CORP JP N 2 2030-07-10 Floating 5.382 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-5 N/A 80286PAB7 927598.310000 PA USD 929909.610000 0.0360044 Long ABS-O CORP US N 2 2027-07-15 Fixed 6.31 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 2891113.920000 PA USD 1562552.530000 0.0604991 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.38557 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 4500000.000000 PA USD 4486603.050000 0.173713 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 4700000.000000 PA USD 4727364.430000 0.183035 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 7105000.000000 PA USD 7046381.620000 0.272823 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.751 N N N N N N FNMA PASS THRU POOLS N/A 3138E0KF5 556017.240000 PA USD 541068.580000 0.0209492 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UGG4 9100000.000000 PA USD 9074779.350000 0.351359 Long DBT CORP CA N 2 2024-07-16 None 0 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A2 N/A 05522RDH8 11000000.000000 PA USD 10999982.400000 0.425899 Long ABS-MBS CORP US N 2 2028-11-15 Fixed 4.98 N N N N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAA3 3768447.700000 PA USD 2407650.680000 0.0932198 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.75971 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 300000.000000 PA USD 300525.690000 0.0116358 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CC61 20454.070000 PA USD 20091.590000 0.0007779 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 3.625 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR5 N/A 94983RAA2 1062434.600000 PA USD 1022130.610000 0.039575 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.68686 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 4588396.210000 PA USD 4593444.360000 0.17785 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 4500000.000000 PA USD 4200604.880000 0.16264 Long DBT CORP US N 2 2027-03-09 Floating 1.431 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 4423.150000 PA USD 3997.560000 0.0001548 Long ABS-MBS CORP US N 3 2034-01-25 Floating 6.25002 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AB8 3227671.750000 PA USD 3228110.070000 0.124987 Long ABS-O CORP US N 2 2026-01-20 Fixed 5.58 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 640956.280000 PA USD 623189.100000 0.0241287 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.89971 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECF0 5100000.000000 PA USD 5109935.870000 0.197847 Long DBT CORP GB N 2 2027-05-09 Floating 5.829 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BC1 1400000.000000 PA USD 1423684.840000 0.0551224 Long DBT CORP CH N 2 2027-12-22 Floating 6.327 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 3451420.300000 PA USD 2643186.020000 0.102339 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.95277 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 200000.000000 PA USD 198820.570000 0.007698 Long DBT CORP US N 2 2024-11-01 Fixed 4.063 N N N N N N TOWD POINT ASSET TRUST 2021-SL1 N/A 89179XAL9 5054242.590000 PA USD 5022026.340000 0.194444 Long ABS-O CORP US N 2 2061-11-20 Floating 6.15315 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 12400000.000000 PA USD 12416426.780000 0.480741 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.67017 N N N N N N N/A N/A 000000000 1.000000 NC 53639.380000 0.0020768 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8000000.000000 BRL 1440818.380000 USD 2025-04-02 53639.380000 N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 2400000.000000 PA USD 2332271.520000 0.0903012 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2023-C N/A 98164FAB8 1203811.960000 PA USD 1203641.620000 0.0466028 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.57 N N N N N N RAMP TRUST 2006-RZ5 N/A 749239AF6 5319591.700000 PA USD 4591642.280000 0.17778 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.81971 N N N N N N GOLDEN CREDIT CARD TRUST 2022-4A N/A 380881FP2 3260000.000000 PA USD 3215062.530000 0.124481 Long ABS-MBS CORP CA N 2 2027-09-15 Fixed 4.31 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076102 21380.000000 NS USD 7359851.200000 0.28496 Long EC CORP US N 1 N N N CHASE ISSUANCE TRUST 2024-A2 N/A 161571HW7 11100000.000000 PA USD 11036260.470000 0.427304 Long ABS-MBS CORP US N 2 2031-01-15 Fixed 4.63 N N N N N N CHASE FUNDING MORTGAGE LOAN AS 2002-4 N/A 161546DQ6 45948.730000 PA USD 44961.740000 0.0017408 Long ABS-MBS CORP US N 2 2032-10-25 Floating 6.19971 N N N N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962AH25 1000000.000000 PA USD 994508.560000 0.0385055 Long DBT CORP US N 2 2024-08-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 328849.900000 0.0127325 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-13 0.000000 USD -2725.240000 USD 1100000.000000 USD 331575.140000 N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962AG26 1100000.000000 PA USD 1099327.690000 0.0425639 Long DBT CORP US N 2 2024-07-02 None 0 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAC4 5400000.000000 PA USD 5328720.540000 0.206318 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.84348 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PGB3 1850000.000000 PA USD 1846157.850000 0.0714798 Long DBT CORP US N 2 2024-07-11 None 0 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 1123599.420000 PA USD 1138487.790000 0.0440801 Long ABS-O CORP US N 2 2052-11-15 Floating 6.88303 N N N N N N N/A N/A 000000000 1.000000 NC -3598.500000 -0.0001393 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200429.170000 USD 743000.000000 ILS 2024-07-18 -3598.500000 N N N UMBS PASS THRU POOLS N/A 01F060683 23300000.000000 PA USD 23357339.670000 0.904353 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N N/A N/A 000000000 28.000000 NC USD 14397.740000 0.0005575 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-19 3172093.740000 USD 14397.740000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAB0 4600000.000000 PA USD 4602914.560000 0.178216 Long ABS-O CORP US N 2 2027-11-10 Fixed 5.63 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2P5NF4 7980000000.000000 PA 49597765.800000 1.92033 Long DBT NUSS JP N 2 2024-08-19 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PFXW4 5352000000.000000 PA 33263666.310000 1.28791 Long DBT NUSS JP N 2 2024-09-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 518785.820000 0.0200864 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 S&P 500 INDEX N/A N/A Y 2024-08-21 0.000000 USD 0.000000 USD 16460404.670000 USD 518785.820000 N N N N/A N/A 000000000 1.000000 NC USD 3943.040000 0.0001527 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 2892.620000 USD 0.000000 USD 1000000.000000 USD 1050.420000 N N N GNMA PASS THRU POOLS N/A 36202KWD3 635.080000 PA USD 626.440000 0.0000243 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -142.110000 -0.0000055 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 105445.540000 USD 424000.000000 PLN 2024-07-22 -142.110000 N N N N/A N/A 000000000 1.000000 NC -198310.520000 -0.0076782 N/A DFE GB N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 62868568.910000 USD 49577000.000000 GBP 2024-07-02 -198310.520000 N N N SREIT TRUST 2021-IND N/A 78473JAG7 9000000.000000 PA USD 8865704.700000 0.343264 Long ABS-MBS CORP US N 2 2038-10-15 Floating 6.54048 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 45770.260000 PA USD 44023.580000 0.0017045 Long ABS-MBS CORP US N 2 2032-01-25 Floating 6.07971 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LUZ2 5200000.000000 PA USD 5191239.870000 0.200995 Long DBT CORP US N 2 2026-04-10 Fixed 5.6 N N N N N N FREDDIE MAC 3597 N/A 31398L5U8 13665.280000 PA USD 13736.290000 0.0005318 Long ABS-MBS USGSE US N 2 2039-11-15 Floating 6.29751 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 1164413.190000 PA USD 1140988.030000 0.0441769 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 6.64332 N N N N N N N/A N/A 000000000 1.000000 NC 7301.710000 0.0002827 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 410000.000000 EUR 446391.400000 USD 2024-07-02 7301.710000 N N N TTAN 2021-MHC N/A 87303TAA5 2083256.440000 PA USD 2068140.120000 0.0800746 Long ABS-MBS CORP US N 2 2038-03-15 Floating 6.29348 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 52360.850000 PA USD 52416.700000 0.0020295 Long ABS-MBS CORP US N 2 2060-09-25 Variable 4.991 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 ACI2MMBZ9 1100000.000000 PA 1183053.980000 0.0458057 Long DBT CORP US N 2 2025-05-29 Fixed 4.375 N N N N N N FNMA PASS THRU POOLS N/A 31373UCE5 1299.100000 PA USD 1280.740000 0.0000496 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.473 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NGK99 3770000000.000000 PA 23432158.620000 0.90725 Long DBT NUSS JP N 2 2024-07-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 52033.500000 0.0020146 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10500000.000000 BRL 1872705.940000 USD 2025-04-02 52033.500000 N N N N/A N/A 000000000 70000000.000000 PA 51167720.480000 1.98112 Long RA CA N 2 Repurchase N 4.710000 2024-07-05 74183000.000000 CAD 71093159.360000 CAD N N N N/A N/A 000000000 1.000000 NC 25545.710000 0.0009891 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 185722134.000000 TWD 5739985.000000 USD 2024-07-15 25545.710000 N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714M5 412914.180000 PA USD 394417.320000 0.0152711 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.85971 N N N N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 787317.670000 PA USD 723474.080000 0.0280116 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N HONDA AUTO RECEIVABLES OWNER TRUST 2023-3 N/A 43815QAB3 4484325.020000 PA USD 4486444.310000 0.173707 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 1867258.430000 0.0722968 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 46872.630000 USD 0.000000 USD 78250000.000000 USD 1820385.800000 N N N BHR 2018-PRME N/A 10482TAA0 84492.490000 PA USD 84411.370000 0.0032683 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.321 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 762074.690000 PA 816756.360000 0.0316233 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.686 N N N N N N 510 ASSET BACKED 2021-NPL1 TRUST N/A 33835CAA3 663292.600000 PA USD 653960.140000 0.0253201 Long ABS-MBS CORP US N 2 2061-06-25 Fixed 5.2395 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 3462618.320000 PA USD 3297169.920000 0.12766 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 73985.670000 0.0028646 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10900000.000000 BRL 1964017.050000 USD 2025-04-02 73985.670000 N N N ACHV ABS TRUST 2024-1PL N/A 00092BAA2 1182490.000000 PA USD 1184709.770000 0.0458698 Long ABS-O CORP US N 2 2031-04-25 Fixed 5.9 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAG2 1300000.000000 PA USD 1211729.870000 0.0469159 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.78587 N N N N N N GNMA PASS THRU POOLS N/A 36202KM77 8.680000 PA USD 8.660000 0.0000003 Long ABS-MBS USGSE US N 2 2024-08-20 Floating 3.625 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625H100 21380.000000 NS USD 4324318.800000 0.16743 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -676708.230000 -0.0262009 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-07-21 8749.030000 USD 0.000000 USD 53900000.000000 USD -685457.260000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D26 200000.000000 PA USD 203922.220000 0.0078955 Long DBT CORP US N 2 2026-06-10 Fixed 6.95 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MG91 1750000.000000 PA USD 1747084.430000 0.0676439 Long DBT CORP US N 2 2024-07-09 None 0 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 400000.000000 PA USD 416988.530000 0.016145 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LL N/A 05377RDL5 150000.000000 PA USD 149506.370000 0.0057886 Long ABS-O CORP US N 2 2025-09-22 Fixed 3.35 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYM0 500000.000000 PA USD 461818.620000 0.0178808 Long DBT CORP US N 2 2027-10-21 Floating 1.948 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 4326000.000000 PA USD 3931377.520000 0.152216 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.38971 N N N N N N N/A N/A 000000000 1.000000 NC 742374.620000 0.0287434 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 55791000.000000 GBP 71267746.990000 USD 2024-07-02 742374.620000 N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAA8 1335489.080000 PA USD 1324785.400000 0.0512932 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.54348 N N N N N N N/A N/A 000000000 1.000000 NC USD -31639.420000 -0.001225 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.41 Y Single Leg Swap 2029-06-20 0.000000 USD -36360.000000 USD 1000000.000000 USD 4720.580000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 400000.000000 PA USD 48000.000000 0.0018585 Long DBT CORP US N 3 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -74466.550000 -0.0028832 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2435783.880000 USD 13200000.000000 BRL 2024-07-02 -74466.550000 N N N N/A N/A 000000000 1.000000 NC 1375.650000 0.0000533 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1700000.000000 CAD 1244020.290000 USD 2024-07-02 1375.650000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 29782.870000 PA USD 27606.840000 0.0010689 Long ABS-MBS CORP US N 2 2032-03-25 Floating 6.05623 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 6915405.940000 PA USD 6863534.860000 0.265743 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 6.58303 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAA8 988445.700000 PA USD 978038.850000 0.0378679 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.6964 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2014-277P N/A 12592FAA3 2700000.000000 PA USD 2595669.570000 0.1005 Long ABS-MBS CORP US N 2 2049-08-10 Variable 3.73168 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAC6 500000.000000 PA USD 497255.650000 0.0192528 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.95 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 1631786.870000 PA USD 1526132.910000 0.059089 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N 2024-08-14 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX