NPORT-P false 0000810893 XXXXXXXX S000022556 C000074976 C000065241 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Global Advantage Strategy Bond Fund S000022556 YPZSSUF52R5JGG5DTZ31 2025-03-31 2024-06-30 N 625403131.070000 317750860.090000 307652270.980000 0.000000 0.000000 31333453.390000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 8191524.960000 KRW DKK CHF BRL CZK INR EUR GBP ILS PLN NOK CNY JPY IDR USD HUF COP CLP NZD SGD PHP MXN AUD MYR THB CAD PEN N Bloomberg Global Aggregate Total Return Unhedged USD Index LEGATRUU N/A N/A 000000000 1.000000 NC -3448.050000 -0.0011208 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 425531.740000 USD 3063545.550000 CNY 2024-09-20 -3448.050000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAF2 300000.000000 PA USD 303562.730000 0.0986707 Long DBT NUSS KY N 2 2028-10-25 Fixed 5.268 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-3 N/A 885220FS7 12634.910000 PA USD 11405.100000 0.0037071 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.19971 N N N N N N PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC 213800QSH7EDGMUDJW25 69828QAD9 700000.000000 PA USD 457618.000000 0.148745 Long DBT CORP GB N 2 2032-04-05 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 146462.770000 0.0476066 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-06-17 31753.500000 GBP 0.000000 GBP 1900000.000000 GBP 114709.270000 N N N EXPORT-IMPORT BANK OF UNITED STATES (EX-IM BANK) 549300NMMHVYCBECJ059 302155AX4 325582.420000 PA USD 322149.250000 0.104712 Long DBT MUN US N 2 2024-11-16 Fixed 1.581 N N N N N N N/A N/A 000000000 1.000000 NC -4183.580000 -0.0013598 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 384000.000000 USD 2739840.000000 CNY 2024-12-10 -4183.580000 N N N N/A N/A 000000000 1.000000 NC -1692.410000 -0.0005501 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 306000.000000 AUD 202440.140000 USD 2024-07-02 -1692.410000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAV4 423857.650000 PA USD 187248.020000 0.0608635 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -33426.360000 -0.010865 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-30 0.000000 USD 0.000000 USD 1420000.000000 USD -11279.200000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAA7 794049.990000 PA USD 212167.460000 0.0689634 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.93971 N N N N N N N/A N/A 000000000 1.000000 NC 143195.820000 0.0465447 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 190000000.000000 JPY 1411485.030000 USD 2026-01-05 143195.820000 N N N FNMA PASS THRU POOLS N/A 3138ANC84 17651.930000 PA USD 17153.060000 0.0055755 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-HY1 N/A 93936AAB7 302427.310000 PA USD 222993.780000 0.0724824 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.77971 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1312490.180000 PA USD 1228337.770000 0.399262 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N N/A N/A 000000000 1.000000 NC USD 20167.200000 0.0065552 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-18 12516.000000 USD 0.000000 USD 2000000.000000 USD 7651.200000 N N N UMBS PASS THRU POOLS N/A 01F042673 20500000.000000 PA USD 19328456.980000 6.28257 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -6966.930000 -0.0022645 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-25 0.000000 USD -2107.500000 USD 300000.000000 USD -4859.430000 N N N N/A N/A 000000000 1.000000 NC -4859.170000 -0.0015794 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 870616.530000 USD 4839670.230000 BRL 2024-07-02 -4859.170000 N N N FNMA PASS THRU POOLS N/A 31417E6Y2 20007.110000 PA USD 20416.530000 0.0066362 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -83525.270000 -0.0271492 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-09-18 0.000000 JPY -42888.450000 JPY 1870000000.000000 JPY -40636.820000 N N N GNMA PASS THRU POOLS N/A 21H022689 3100000.000000 PA USD 2608601.580000 0.847906 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31415VUH6 32792.440000 PA USD 33201.280000 0.0107918 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR5 N/A 17311LAJ0 90441.750000 PA USD 76568.780000 0.0248881 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.71531 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 3729.320000 PA USD 3573.690000 0.0011616 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31371NH57 6453.740000 PA USD 6474.720000 0.0021046 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 77.520000 PA 7.980000 0.0000026 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -132.170000 -0.000043 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 31092.000000 USD 124658.520000 PLN 2024-07-22 -132.170000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AF5 500000.000000 PA USD 472150.010000 0.153469 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1V7HH8 100000.000000 PA 37500.400000 0.0121892 Long DBT NUSS FR N 2 2072-05-25 Fixed 0.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPJII2 400000.000000 PA USD 48000.000000 0.015602 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -44567.220000 -0.0144862 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -4524.880000 EUR 600000.000000 EUR -40042.340000 N N N FNMA PASS THRU POOLS N/A 3140MHSL4 90636.340000 PA USD 71058.210000 0.0230969 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 383363.170000 0.124609 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-20 0.000000 USD -7065.920000 USD 27000000.000000 USD 390429.090000 N N N N/A N/A 000000000 1.000000 NC -568.810000 -0.0001849 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-12-20 0.000000 CAD -147.690000 CAD 30000.000000 CAD -421.120000 N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 ACI1B8GK2 900000.000000 PA USD 837022.500000 0.272068 Long DBT CORP SA N 2 2029-04-16 Fixed 3.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA3 N/A 74923XAA4 245345.540000 PA USD 218936.450000 0.0711636 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.65971 N N N N N N N/A N/A 000000000 60000.000000 NC USD 8573.700000 0.0027868 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-12-10 N/A 7.400000 USD 2024-12-06 XXXX 3113.700000 N N N N/A N/A 000000000 -7.000000 NC USD -965.680000 -0.0003139 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-30 -1429558.590000 USD -965.680000 N N N N/A N/A 000000000 1.000000 NC 98.620000 0.0000321 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 156346250.000000 KRW 113500.000000 USD 2024-07-22 98.620000 N N N N/A N/A 000000000 1.000000 NC USD -12998.840000 -0.0042252 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-15 0.000000 USD -3162.500000 USD 500000.000000 USD -9836.340000 N N N N/A N/A 000000000 1.000000 NC USD -51507.610000 -0.0167422 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-03-20 0.000000 USD -150448.330000 USD 1300000.000000 USD 98940.720000 N N N N/A N/A 000000000 1.000000 NC 186.390000 0.0000606 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 159228.780000 USD 2900359.710000 ZAR 2024-07-02 186.390000 N N N N/A N/A 000000000 1.000000 NC -1035.200000 -0.0003365 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2283968.140000 MXN 123561.930000 USD 2024-07-15 -1035.200000 N N N MFA 2023-NQM4 TRUST N/A 55286LAA0 454808.430000 PA USD 456062.700000 0.14824 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.105 N N N N N N N/A N/A 000000000 1.000000 NC -5950.230000 -0.0019341 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 519174.610000 USD 406000.000000 GBP 2024-07-02 -5950.230000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 5621808.500000 PA USD 5721925.990000 1.85987 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAL6 342642.480000 PA USD 342985.790000 0.111485 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 6.48854 N N N N N N N/A N/A 000000000 1.000000 NC -4519.200000 -0.0014689 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 333310.140000 USD 2370235.070000 CNY 2024-07-05 -4519.200000 N N N N/A N/A 000000000 1.000000 NC -3251.740000 -0.001057 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 305504.670000 USD 2188000.000000 CNY 2024-10-25 -3251.740000 N N N N/A N/A 000000000 1.000000 NC -6267.540000 -0.0020372 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-15 0.000000 EUR 0.000000 EUR 1600000.000000 EUR -6267.540000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CT4 200000.000000 PA USD 167432.210000 0.0544225 Long DBT CORP GB N 2 2032-05-24 Floating 2.804 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 100000.000000 PA USD 94816.490000 0.0308194 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 300000.000000 PA USD 294834.840000 0.0958338 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 100000.000000 PA USD 79333.960000 0.0257869 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -23.600000 -0.0000077 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9356.000000 USD 66589.460000 CNY 2024-07-24 -23.600000 N N N N/A N/A 000000000 1.000000 NC -4171.200000 -0.0013558 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2907740.420000 ZAR 155649.640000 USD 2024-07-02 -4171.200000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TG3 200000.000000 PA USD 146617.190000 0.0476568 Long DBT UST US N 2 2052-05-15 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC -85335.570000 -0.0277377 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2027-03-16 0.000000 AUD -4896.110000 AUD 1700000.000000 AUD -80439.460000 N N N N/A N/A 000000000 1.000000 NC -197.180000 -0.0000641 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2907264.670000 ZAR 159228.780000 USD 2024-08-02 -197.180000 N N N FNMA PASS THRU POOLS N/A 3138EHBB7 14581.350000 PA USD 14413.770000 0.0046851 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5 N N N N N N TEXAS NATURAL GAS SECURITIZATION FINANCE CORP N/A 88258MAA3 194008.030000 PA USD 193912.400000 0.0630297 Long DBT MUN US N 2 2035-04-01 Fixed 5.102 N N N N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 800000.000000 PA USD 800600.000000 0.260229 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 75.450000 0.0000245 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 51699.000000 USD 4328136.880000 INR 2024-09-24 75.450000 N N N N/A N/A 000000000 8.000000 NC -1895.720000 -0.0006162 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2024-09-16 562801.660000 AUD -1895.720000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 407946.720000 PA USD 381533.230000 0.124014 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -8368.720000 -0.0027202 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 349330.800000 USD 1372870.040000 PLN 2024-07-22 -8368.720000 N N N N/A N/A 000000000 1.000000 NC -69.150000 -0.0000225 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 154000.000000 USD 12868003.460000 INR 2024-09-24 -69.150000 N N N N/A N/A 000000000 1.000000 NC -2898.620000 -0.0009422 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 340339.930000 USD 554000.000000 NZD 2024-07-02 -2898.620000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1 N/A 02149JAL0 491059.130000 PA USD 186851.390000 0.0607346 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2PT968 259000000.000000 PA 701791.620000 0.228112 Long DBT MUN HU N 2 2024-07-04 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31410LC91 4161.370000 PA USD 4178.270000 0.0013581 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.5 N N N N N N BANC OF AMERICA FUNDING CORP 2007-5 N/A 059523AG5 140986.240000 PA USD 112473.060000 0.0365585 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3D3 1200000.000000 PA USD 1186757.920000 0.385746 Long DBT CORP US N 2 2034-04-24 Floating 5.389 N N N N N N N/A N/A 000000000 1.000000 NC -68170.090000 -0.0221582 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -4892.620000 EUR 900000.000000 EUR -63277.470000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 1600000.000000 PA USD 876281.250000 0.284828 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N N/A N/A 000000000 1.000000 NC 39.960000 0.000013 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 21228.000000 USD 347950840.000000 IDR 2024-07-22 39.960000 N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NC42 300000.000000 PA USD 290023.950000 0.0942701 Long DBT MUN US N 2 2025-06-01 Fixed 1.958 N N N N N N FNMA PASS THRU POOLS N/A 31371NV69 587.080000 PA USD 576.100000 0.0001873 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -71553.050000 -0.0232578 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2037-09-21 0.000000 EUR -62437.950000 EUR 1140000.000000 EUR -9115.100000 N N N N/A N/A 000000000 1.000000 NC -1.280000 -0.0000004 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 41 Y Single Leg Swap 2034-06-20 0.000000 EUR -479.780000 EUR 100000.000000 EUR 478.500000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PL9 1100000.000000 PA USD 1091795.770000 0.35488 Long DBT CORP US N 2 2035-06-11 Floating 5.449 N N N N N N N/A N/A 000000000 -4600000.000000 NC USD -50740.300000 -0.0164927 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 06/25/25-5Y LCH 2030-06-25 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2025-06-23 XXXX -7040.300000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 BP5D0MII4 168000000.000000 PA 744414.690000 0.241966 Long DBT NUSS JP N 2 2051-06-20 Fixed 0.7 N N N N N N N/A N/A 000000000 1.000000 NC -3968.700000 -0.00129 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 138913.150000 USD 543348.370000 PLN 2024-07-22 -3968.700000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBG3 5400000.000000 PA USD 5308254.000000 1.72541 Long DBT NUSS SA N 2 2034-01-16 Fixed 5 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A B1Z97MII6 80516.000000 PA 86008.850000 0.0279565 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 3.845 N N N N N N N/A N/A 000000000 1.000000 NC USD -8946.920000 -0.0029081 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-25 0.000000 USD -2775.000000 USD 400000.000000 USD -6171.920000 N N N N/A N/A 000000000 1.000000 NC -338.930000 -0.0001102 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 99550.500000 USD 399471.370000 PLN 2024-07-22 -338.930000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 29000.000000 PA USD 12913.700000 0.0041975 Long DBT NUSS AR N 2 2035-07-09 Variable 3.625 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QG2 100000.000000 PA 69815.260000 0.0226929 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.625 N N N N N N N/A N/A 000000000 1.000000 NC 1374.780000 0.0004469 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 906119179.000000 KRW 658603.000000 USD 2024-07-22 1374.780000 N N N N/A N/A 000000000 1.000000 NC -106.570000 -0.0000346 N/A DFE CH N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 17858.210000 CHF 19770.120000 USD 2024-07-02 -106.570000 N N N UMBS PASS THRU POOLS N/A 01F062689 33400000.000000 PA USD 33976672.040000 11.0439 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 USD -12150.550000 -0.0039494 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-08 0.000000 USD -3250.000000 USD 500000.000000 USD -8900.550000 N N N N/A N/A 000000000 1.000000 NC 1416.110000 0.0004603 N/A DIR NO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2024-11-12 0.000000 NOK -13676.730000 NOK 3100000.000000 NOK 15092.840000 N N N FNMA PASS THRU POOLS N/A 31402ETG3 1320.920000 PA USD 1307.900000 0.0004251 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -24179.380000 -0.0078593 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-15 0.000000 CHF 0.000000 CHF 1100000.000000 CHF -24179.380000 N N N N/A N/A 000000000 1.000000 NC -22782.740000 -0.0074054 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1094021.490000 USD 170000000.000000 JPY 2024-10-01 -22782.740000 N N N N/A N/A 000000000 1.000000 NC -388.350000 -0.0001262 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 69580.020000 USD 386788.380000 BRL 2024-07-02 -388.350000 N N N N/A N/A 000000000 1.000000 NC -98008.010000 -0.0318567 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1988429.330000 USD 300000000.000000 JPY 2024-10-01 -98008.010000 N N N N/A N/A 000000000 1.000000 NC USD 31041.030000 0.0100896 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-08-25 0.000000 USD -46680.200000 USD 3900000.000000 USD 77721.230000 N N N N/A N/A 000000000 1.000000 NC 692.100000 0.000225 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2806111.000000 TWD 87233.000000 USD 2024-09-13 692.100000 N N N N/A N/A 000000000 1.000000 NC USD 123518.520000 0.0401487 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-06-21 36278.780000 USD 0.000000 USD 9600000.000000 USD 87239.740000 N N N N/A N/A 000000000 498000.000000 PA USD 498000.000000 0.161871 Long RA US N 2 Repurchase N 2.600000 2024-07-01 397400.000000 USD 508181.910000 USD UST N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 137367.270000 PA USD 115736.070000 0.0376191 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.12199 N N N N N N N/A N/A 000000000 1100000.000000 NC USD 40447.000000 0.013147 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06500 06/26/25-30Y LCH 2055-06-26 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2025-06-24 XXXX 7489.310000 N N N N/A N/A 000000000 1.000000 NC 968.020000 0.0003146 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 176236.300000 SGD 130935.790000 USD 2024-07-02 968.020000 N N N N/A N/A 000000000 1.000000 NC -29384.210000 -0.0095511 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-15 0.000000 EUR 0.000000 EUR 5000000.000000 EUR -29384.210000 N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 3804.280000 PA USD 3471.240000 0.0011283 Long ABS-MBS CORP US N 3 2033-10-25 Floating 6.72428 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI1HYKW8 800000.000000 PA 792876.250000 0.257718 Long DBT CORP CH N 2 2028-01-14 Floating 0.65 N N N N N N N/A N/A 000000000 1.000000 NC -4.170000 -0.0000014 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2912590.580000 INR 34837.100000 USD 2024-09-24 -4.170000 N N N N/A N/A 000000000 1.000000 NC 1990.710000 0.0006471 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 866745.000000 USD 72622830.060000 INR 2024-09-24 1990.710000 N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 284562.680000 PA USD 228332.100000 0.0742176 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.74971 N N N N N N N/A N/A 000000000 1.000000 NC 53049.410000 0.0172433 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-17 7381.620000 EUR 0.000000 EUR 100000.000000 EUR 45667.790000 N N N SPECIALTY UNDERWRITING & RESID 2006-BC2 N/A 84751PLP2 466516.830000 PA USD 159155.440000 0.0517322 Long ABS-MBS CORP US N 2 2037-02-25 Variable 6.3501 N N N N N N FNMA PASS THRU POOLS N/A 3140X7MW6 295327.700000 PA USD 265509.830000 0.0863019 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 950.540000 0.000309 N/A DFE PH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 292753.000000 USD 17174354.750000 PHP 2024-09-20 950.540000 N N N FNMA PASS THRU POOLS N/A 31418U4W1 11055.610000 PA USD 10936.520000 0.0035548 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N N/A N/A 000000000 100000.000000 NC USD 18243.800000 0.00593 N/A DFE LU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-12-10 N/A 7.350000 USD 2024-12-06 XXXX 8593.800000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AX0 800000.000000 PA USD 790961.000000 0.257096 Long DBT NUSS PL N 2 2029-03-18 Fixed 4.625 N N N N N N UMBS PASS THRU POOLS N/A 01F050692 5300000.000000 PA USD 5123195.340000 1.66526 Long ABS-MBS USGSE US N 2 2054-09-16 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -708.190000 -0.0002302 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 910800.000000 USD 76080034.800000 INR 2024-09-24 -708.190000 N N N N/A N/A 000000000 1.000000 NC 154.030000 0.0000501 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 160666.330000 USD 218072.410000 SGD 2024-07-02 154.030000 N N N FNMA PASS THRU POOLS N/A 31418E3F5 1912416.550000 PA USD 1947400.140000 0.632987 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -981.600000 -0.0003191 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 132000.000000 CHF 145938.100000 USD 2024-07-02 -981.600000 N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 791407.590000 PA USD 787945.180000 0.256116 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.97884 N N N N N N FNMA PASS THRU POOLS N/A 31410VSV3 1977.660000 PA USD 1985.660000 0.0006454 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 4300000.000000 NC USD 10869.540000 0.0035331 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 07/12/24-1Y LCH 2025-07-12 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2024-07-10 XXXX -847.960000 N N N N/A N/A 000000000 1.000000 NC -106868.390000 -0.0347367 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-09-18 0.000000 JPY -76373.510000 JPY 2890000000.000000 JPY -30494.880000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI0X6LW2 1987520.000000 PA 1281487.170000 0.416538 Long DBT NUSS AU N 2 2027-11-21 Fixed 0.75 N N N N N N N/A N/A 000000000 1.000000 NC -106509.280000 -0.03462 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9763380.000000 USD 69905800.800000 CNY 2024-10-25 -106509.280000 N N N JP MORGAN MORTGAGE ACQ CORP 2005-RM1 N/A 46629NAC7 3233.240000 PA USD 1364.030000 0.0004434 Long ABS-MBS CORP US N 3 2036-08-25 Floating 5.61971 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2G9 200000.000000 PA USD 185001.570000 0.0601333 Long DBT CORP US N 2 2027-01-06 Fixed 2.25 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172DH9 300000.000000 PA USD 296901.620000 0.0965056 Long DBT CORP US N 2 2031-02-13 Fixed 5.125 N N N N N N N/A N/A 000000000 70000.000000 NC USD 9535.610000 0.0030995 N/A DFE LU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-02-18 N/A 7.380000 USD 2025-02-14 XXXX 2675.610000 N N N N/A N/A 000000000 1.000000 NC -2124.050000 -0.0006904 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110832.580000 USD 789881.640000 CNY 2024-07-02 -2124.050000 N N N N/A N/A 000000000 1.000000 NC -841.620000 -0.0002736 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 936000.000000 EUR 1001568.020000 USD 2024-07-02 -841.620000 N N N FNMA PASS THRU POOLS N/A 3138ABRY7 13547.000000 PA USD 13394.750000 0.0043539 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5 N N N N N N SCULE 6A N/A ACI1ZPWK0 700000.000000 PA 749858.220000 0.243736 Long ABS-CBDO CORP IE N 2 2034-10-15 Floating 4.956 N N N N N N N/A N/A 000000000 1.000000 NC -1406.200000 -0.0004571 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 99421.240000 USD 394653.610000 PLN 2024-07-22 -1406.200000 N N N N/A N/A 000000000 6.000000 NC USD -3952.430000 -0.0012847 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-19 659109.370000 USD -3952.430000 N N N N/A N/A 000000000 1.000000 NC -154.620000 -0.0000503 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 217751.240000 SGD 160666.330000 USD 2024-08-02 -154.620000 N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AR9 164687.650000 PA USD 141781.260000 0.0460849 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.88154 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY77 700000.000000 PA 750602.410000 0.243978 Long DBT CORP US N 2 2030-03-21 Floating 3.79 N N N N N N VENTURE 38 CLO LTD N/A 92332NAS4 900000.000000 PA USD 900807.970000 0.292801 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 6.75111 N N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AD8 45548.680000 PA USD 35477.980000 0.0115318 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.87971 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 446939.910000 PA USD 450001.310000 0.14627 Long ABS-O CORP US N 2 2055-02-16 Floating 6.78303 N N N N N N N/A N/A 000000000 1.000000 NC -24121.010000 -0.0078403 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2029-09-18 0.000000 KRW -18892.040000 KRW 5554870000.000000 KRW -5228.970000 N N N N/A N/A 000000000 1.000000 NC 2504.720000 0.0008141 N/A DFE NZ N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 357808.410000 NZD 220445.760000 USD 2024-07-02 2504.720000 N N N N/A N/A 000000000 1.000000 NC 160.810000 0.0000523 N/A DIR CO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-02-11 0.000000 COP 0.000000 COP 7400000.000000 COP 160.810000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 4194234.000000 PA USD 3953157.820000 1.28494 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 4814.910000 0.001565 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1111752.670000 USD 20340197.710000 ZAR 2024-07-19 4814.910000 N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 300000.000000 PA USD 272735.660000 0.0886506 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI06JNF9 18578000000.000000 PA 1238327.460000 0.402509 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC 269.450000 0.0000876 N/A DFE NZ N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 336732.590000 NZD 205373.210000 USD 2024-07-02 269.450000 N N N N/A N/A 000000000 1.000000 NC 99773.000000 0.0324304 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 300000000.000000 JPY 2051522.620000 USD 2025-05-20 99773.000000 N N N N/A N/A 000000000 1.000000 NC -6422.840000 -0.0020877 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 352094.550000 USD 1304791.980000 ILS 2024-07-19 -6422.840000 N N N DELTA AIR LINES INC / SKYMILES IP LTD N/A 830867AB3 300000.000000 PA USD 292288.990000 0.0950063 Long DBT CORP US N 2 2028-10-20 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -1624.190000 -0.0005279 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -393700000.000000 JPY 2686455.130000 USD 2026-03-19 2139.000000 N N N N/A N/A 000000000 1.000000 NC USD -17231.230000 -0.0056009 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2029-06-20 0.000000 USD -17513.510000 USD 600000.000000 USD 282.280000 N N N TOWD POINT MORTGAGE FUNDING 2019-AUBURN 13 PLC 19-A13X N/A ACI1G4DQ6 375944.000000 PA 475587.030000 0.154586 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 6.57769 N N N N N N N/A N/A 000000000 1.000000 NC USD -10471.740000 -0.0034038 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-31 0.000000 USD -2740.000000 USD 400000.000000 USD -7731.740000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325DP7 200000.000000 PA USD 182947.370000 0.0594656 Long DBT NUSS CO N 2 2029-03-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 23977.690000 0.0077938 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2032-09-15 0.000000 AUD -28897.890000 AUD 17400000.000000 AUD 52875.580000 N N N N/A N/A 000000000 1.000000 NC -2836.910000 -0.0009221 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6371397.070000 TRY 187872.000000 USD 2024-07-23 -2836.910000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY69 1200000.000000 PA 1278300.400000 0.415502 Long DBT CORP US N 2 2035-03-21 Floating 3.955 N N N N N N FHLMC PASS THRU POOLS N/A 3133B53T7 243182.600000 PA USD 190879.900000 0.062044 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD -10713.630000 -0.0034824 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-22 0.000000 USD -2092.500000 USD 600000.000000 USD -8621.130000 N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 476104.310000 PA USD 473031.490000 0.153755 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.19471 N N N N N N N/A N/A 000000000 1.000000 NC -21573.040000 -0.0070122 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1864223.230000 USD 13338890.060000 CNY 2024-10-25 -21573.040000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CU2 700000.000000 PA USD 722228.870000 0.234755 Long DBT CORP GB N 2 2034-07-06 Floating 6.296 N N N N N N N/A N/A 000000000 1.000000 NC -1591.800000 -0.0005174 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 200551.100000 USD 801101.570000 PLN 2024-07-22 -1591.800000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BDDX39II4 1.040000 PA 0.120000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI2B33K5 610000.000000 PA 738456.860000 0.24003 Long DBT CORP CH N 2 2029-03-01 Floating 7.75 N N N N N N N/A N/A 000000000 1.000000 NC 77.030000 0.000025 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59080.000000 USD 967907640.000000 IDR 2024-07-26 77.030000 N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI1G4C46 600000.000000 PA 580870.680000 0.188807 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC -17582.650000 -0.0057151 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-05-25 0.000000 EUR 0.000000 EUR 3600000.000000 EUR -17582.650000 N N N N/A N/A 000000000 1.000000 NC 132.730000 0.0000431 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 586290.000000 TWD 18214.000000 USD 2024-09-13 132.730000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EG6 1100000.000000 PA USD 1103672.600000 0.35874 Long DBT NUSS CO N 2 2034-02-02 Fixed 7.5 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3G6 500000.000000 PA USD 518965.490000 0.168686 Long DBT CORP US N 2 2029-10-23 Floating 6.303 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A1 N/A 59020U5W1 59817.970000 PA USD 28954.440000 0.0094114 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.30342 N N N N N N N/A N/A 000000000 1.000000 NC USD -64136.080000 -0.0208469 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2033-12-20 63690.770000 USD 0.000000 USD 8700000.000000 USD -127826.850000 N N N N/A N/A 000000000 1.000000 NC 79.510000 0.0000258 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 368329.740000 NOK 34577.000000 USD 2024-07-02 79.510000 N N N FIRST FRANKLIN MTG LOAN 2004-FF10 N/A 32027NMJ7 51106.870000 PA USD 50320.750000 0.0163564 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.73471 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 400000.000000 PA USD 387283.200000 0.125883 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC -7901.190000 -0.0025682 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 378822.000000 USD 2695129.120000 CNY 2024-07-02 -7901.190000 N N N N/A N/A 000000000 1.000000 NC 8650.410000 0.0028117 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1083679441.000000 KRW 794667.000000 USD 2024-07-22 8650.410000 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 200000.000000 PA 214301.470000 0.069657 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1 N/A 59021AAD0 579770.720000 PA USD 289710.790000 0.0941683 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.97971 N N N N N N N/A N/A 000000000 1.000000 NC 25776.540000 0.0083785 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 55850082.000000 EUR 59925741.730000 USD 2024-08-02 25776.540000 N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 434638.010000 PA USD 222423.520000 0.0722971 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.67971 N N N N N N N/A N/A 000000000 1.000000 NC 2836.190000 0.0009219 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 839000.000000 EUR 901363.630000 USD 2024-07-02 2836.190000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCZ7 900000.000000 PA USD 888223.130000 0.28871 Long DBT CORP US N 2 2026-04-26 Floating 4.08 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAG3 900000.000000 PA USD 842531.830000 0.273859 Long DBT CORP NL N 2 2027-01-19 Fixed 3.257 N N N N N N N/A N/A 000000000 1.000000 NC 8464.090000 0.0027512 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1074084141.000000 KRW 787521.000000 USD 2024-07-22 8464.090000 N N N AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A N/A ACI21GDS9 797264.720000 PA 853680.060000 0.277482 Long ABS-CBDO CORP IE N 2 2031-01-16 Floating 4.653 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI2P78N0 2885000.000000 PA 2204895.950000 0.716684 Long DBT NUSS SG N 2 2054-06-01 Fixed 3.25 N N N N N N JP MORGAN MORTGAGE TRUST 2021-INV8 N/A 46654RAG7 1615916.160000 PA USD 1341967.470000 0.436196 Long ABS-MBS CORP US N 2 2052-05-25 Variable 3 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009BA5 12349.120000 PA USD 8840.010000 0.0028734 Long ABS-MBS CORP US N 3 2037-06-25 Fixed 6 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A 997DXGII8 35427.040000 PA 44603.050000 0.0144979 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 5.46601 N N N N N N N/A N/A 000000000 -124.000000 NC -54584.370000 -0.0177422 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2024-09-26 -15293934.720000 GBP -54584.370000 N N N N/A N/A 000000000 1.000000 NC USD -41961.010000 -0.0136391 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2034-06-20 0.000000 USD -55134.810000 USD 8800000.000000 USD 13173.800000 N N N N/A N/A 000000000 1.000000 NC -1540.490000 -0.0005007 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 132694.040000 USD 951931.780000 CNY 2024-09-20 -1540.490000 N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 48949.370000 PA USD 44075.890000 0.0143265 Long ABS-MBS CORP US N 2 2045-11-25 Floating 6.01971 N N N N N N N/A N/A 000000000 1.000000 NC 413150.670000 0.134291 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2030-06-17 0.000000 AUD -28859.070000 AUD 3800000.000000 AUD 442009.740000 N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 42886.210000 PA USD 38947.210000 0.0126595 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.55767 N N N N N N FNMA PASS THRU POOLS N/A 3140QUE85 8967100.470000 PA USD 9142938.050000 2.97184 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -27241.330000 -0.0088546 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1504739.210000 USD 15660000.000000 SEK 2024-07-02 -27241.330000 N N N UMBS PASS THRU POOLS N/A 01F020489 -5100000.000000 PA USD -4487003.920000 -1.45847 Short ABS-MBS USGSE US N 2 2039-08-15 Fixed 2 N N N N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAA5 900000.000000 PA USD 865959.840000 0.281474 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.53848 N N N N N N N/A N/A 000000000 1.000000 NC 1005.900000 0.000327 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 909073.000000 USD 76078955.760000 INR 2024-09-24 1005.900000 N N N N/A N/A 000000000 1.000000 NC USD -7411.260000 -0.002409 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -338200000.000000 JPY 2288227.330000 USD 2026-02-03 2227.970000 N N N N/A N/A 000000000 1.000000 NC 13609.240000 0.0044236 N/A DFE CO N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1175777024.000000 COP 293504.000000 USD 2024-09-18 13609.240000 N N N DOMINICAN REPUBLIC GOVT N/A P3579ECH8 500000.000000 PA USD 448815.200000 0.145884 Long DBT NUSS DO N 2 2032-09-23 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 422.380000 0.0001373 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 594171.060000 USD 4140689.290000 DKK 2024-07-02 422.380000 N N N FNMA PASS THRU POOLS N/A 3140MHSS9 434872.450000 PA USD 341252.880000 0.110922 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 34017.310000 0.0110571 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9837103.130000 CAD 7224619.360000 USD 2024-07-02 34017.310000 N N N N/A N/A 000000000 1.000000 NC 4891.290000 0.0015899 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4268000.000000 CNY 594477.900000 USD 2024-10-25 4891.290000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 3044349.000000 PA USD 2981538.200000 0.969126 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N KOMMUNALBANKEN AS I7ETN0QQO2AHZZGHJ389 ACI22XFG5 400000.000000 PA 249037.710000 0.0809478 Long DBT CORP NO N 2 2027-01-19 Fixed 1.9 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 600000.000000 PA USD 589627.160000 0.191654 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N N/A N/A 000000000 1.000000 NC 1920.300000 0.0006242 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 292687.900000 USD 5455000.000000 MXN 2024-09-18 1920.300000 N N N N/A N/A 000000000 1.000000 NC 7715.330000 0.0025078 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 386788.380000 BRL 76907.000000 USD 2024-07-02 7715.330000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI2CSND3 696190000.000000 PA 511615.840000 0.166297 Long DBT NUSS KR N 2 2028-03-10 Fixed 3.25 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 131236.380000 PA USD 77511.760000 0.0251946 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.54971 N N N N N N N/A N/A 000000000 1.000000 NC 304.670000 0.000099 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 250931.250000 USD 21002318.300000 INR 2024-09-24 304.670000 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 300000.000000 PA 306930.760000 0.0997655 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2KL3P4 280000000.000000 PA 1655113.430000 0.537982 Long DBT NUSS JP N 2 2043-09-20 Fixed 1.5 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 3905.970000 PA USD 3523.950000 0.0011454 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.50275 N N N N N N N/A N/A 000000000 1.000000 NC 294527.700000 0.095734 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1564900923.000000 JPY 10021054.660000 USD 2024-07-02 294527.700000 N N N N/A N/A 000000000 -1400000.000000 NC USD -2501.660000 -0.0008131 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64800 07/26/24-10Y LCH 2034-07-26 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2024-07-24 XXXX 2573.340000 N N N N/A N/A 000000000 1.000000 NC 71512.710000 0.0232447 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9800000.000000 BRL 1770806.980000 USD 2025-04-02 71512.710000 N N N PHILIPPINES GOVT 529900RAHBALMYIJ3T08 718286BM8 20000000.000000 PA 322394.500000 0.104792 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.25 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 286573.160000 PA USD 286897.220000 0.0932537 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 10503.800000 0.0034142 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2282300.380000 SGD 1693616.170000 USD 2024-07-02 10503.800000 N N N N/A N/A 000000000 1.000000 NC -1121.880000 -0.0003647 N/A DFE SE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 182742.790000 USD 1925000.000000 SEK 2024-07-02 -1121.880000 N N N FNMA PASS THRU POOLS N/A 3138EGCB8 1659.590000 PA USD 1612.690000 0.0005242 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AN8 1100000.000000 PA USD 1104117.420000 0.358885 Long DBT CORP GB N 2 2035-03-01 Floating 5.778 N N N N N N N/A N/A 000000000 1.000000 NC 12826.280000 0.0041691 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 798858.110000 BRL 155210.000000 USD 2024-08-02 12826.280000 N N N N/A N/A 000000000 1.000000 NC -146058.960000 -0.0474753 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1343325.790000 USD 190000000.000000 JPY 2024-10-01 -146058.960000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI06HZS2 900000.000000 PA 36268.710000 0.0117889 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -87.780000 -0.0000285 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85628.450000 USD 403310.000000 MYR 2024-07-17 -87.780000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A 36263KAB7 161629.770000 PA USD 128650.040000 0.0418167 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI2G3031 800000.000000 PA 904777.510000 0.294091 Long DBT CORP GB N 2 2033-05-23 Floating 4.856 N N N N N N ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC 254900G082ZFKTCR2Q75 00402D2A2 1500000.000000 PA USD 1524631.500000 0.49557 Long DBT CORP AE N 2 2029-05-08 Fixed 5.375 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 22550L2M2 1200000.000000 PA USD 1284406.570000 0.417486 Long DBT CORP CH N 2 2028-02-15 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 3140MGLD1 203542.920000 PA USD 159830.540000 0.0519517 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 31413VSF5 2826.710000 PA USD 2838.140000 0.0009225 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 53588.860000 0.0174186 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-12-20 0.000000 AUD -148614.590000 AUD 14700000.000000 AUD 202203.450000 N N N N/A N/A 000000000 1.000000 NC -165387.220000 -0.0537578 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11670601.710000 USD 83506539.710000 CNY 2024-09-20 -165387.220000 N N N N/A N/A 000000000 1.000000 NC -89956.360000 -0.0292396 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-10-14 0.000000 PLN 0.000000 PLN 3500000.000000 PLN -89956.360000 N N N FNMA PASS THRU POOLS N/A 31410KVV3 3429.750000 PA USD 3446.860000 0.0011204 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630CA4 117555.140000 PA USD 109303.900000 0.0355284 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.80775 N N N N N N N/A N/A 000000000 1.000000 NC 22057.170000 0.0071695 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2092962.000000 USD 38528709.570000 ZAR 2024-07-19 22057.170000 N N N MAGYAR EXPORT-IMPORT BANK RT (AKA: EXPORT-IMPORT BANK OF HUNGARY) 529900O4UGETQ9Q3AA63 55977YAA6 1400000.000000 PA USD 1406399.400000 0.457139 Long DBT MUN HU N 2 2027-12-04 Fixed 6.125 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AE2 180522.280000 PA USD 84562.200000 0.0274863 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.67971 N N N N N N N/A N/A 000000000 1.000000 NC 648.390000 0.0002108 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 306000.000000 SGD 226312.110000 USD 2024-07-02 648.390000 N N N N/A N/A 000000000 1.000000 NC USD 12816.410000 0.0041659 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 8829.190000 USD 0.000000 USD 600000.000000 USD 3987.220000 N N N N/A N/A 000000000 1.000000 NC 301.160000 0.0000979 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1699403.000000 TWD 52711.010000 USD 2024-09-13 301.160000 N N N FHLMC PASS THRU POOLS N/A 3132DWLB7 475050.270000 PA USD 483740.300000 0.157236 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.5 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 L26915AA3 367870.000000 PA USD 342994.260000 0.111488 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -20406.580000 -0.006633 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-17 0.000000 USD -4875.000000 USD 800000.000000 USD -15531.580000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMZ8B6II2 50000.000000 PA 18479.710000 0.0060067 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 12094.630000 0.0039313 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6087593.250000 DKK 886259.000000 USD 2024-07-02 12094.630000 N N N N/A N/A 000000000 1.000000 NC -2417.980000 -0.0007859 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1911139.890000 USD 69950204.460000 THB 2024-07-19 -2417.980000 N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI1FN6F7 400000.000000 PA 200093.340000 0.0650388 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 1160611.440000 0.377248 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 674990000.000000 JPY 5413996.390000 USD 2024-10-01 1160611.440000 N N N CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI 81560029E2CE4D14F425 147918AB2 400000.000000 PA USD 398597.690000 0.129561 Long DBT MUN IT N 2 2026-05-05 Fixed 5.75 N N N N N N GSAMP TRUST 2006-FM1 N/A 362334PK4 559242.700000 PA USD 367504.160000 0.119454 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.99971 N N N N N N N/A N/A 000000000 1.000000 NC 578.290000 0.000188 N/A DFE NZ N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 175230.000000 NZD 107310.850000 USD 2024-07-02 578.290000 N N N MORGAN STANLEY MORTGAGE LN TR-2006-6AR N/A 61749CAM3 126315.590000 PA USD 65486.550000 0.0212859 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.18065 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10 N/A 12668ABJ3 12995.840000 PA USD 8453.920000 0.0027479 Long ABS-MBS CORP US N 3 2035-10-25 Fixed 5.5 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EL5 300000.000000 PA USD 309168.790000 0.100493 Long DBT NUSS CO N 2 2035-11-14 Fixed 8 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 42107.050000 PA USD 43129.460000 0.0140189 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.67971 N N N N N N N/A N/A 000000000 1.000000 NC -12875.540000 -0.0041851 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1534384.810000 USD 1367000.000000 CHF 2024-07-02 -12875.540000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GMA4 600000.000000 PA USD 599613.960000 0.1949 Long DBT CORP US N 2 2035-01-23 Floating 5.468 N N N N N N NEXI SPA 5493000P70CQRQG8SN85 ACI1X59N6 200000.000000 PA 193996.790000 0.0630572 Long DBT CORP IT N 2 2029-04-30 Fixed 2.125 N N N N N N N/A N/A 000000000 200000.000000 NC USD 9159.400000 0.0029772 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.00500 09/29/25-30Y LCH 2055-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2025-09-25 XXXX 1813.250000 N N N N/A N/A 000000000 1.000000 NC -1347.760000 -0.0004381 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 152238.000000 USD 4892655.000000 TWD 2024-09-13 -1347.760000 N N N N/A N/A 000000000 1.000000 NC -985.540000 -0.0003203 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 201304.330000 USD 1395000.000000 DKK 2024-07-02 -985.540000 N N N 37 CAPITAL CLO 4 LTD 2023-2A N/A 883932AA3 600000.000000 PA USD 602334.800000 0.195784 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 7.16735 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 16168.390000 PA USD 10560.160000 0.0034325 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.87971 N N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAM7 249592.030000 PA USD 210158.640000 0.0683104 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.90507 N N N N N N FNMA PASS THRU POOLS N/A 31412NMF0 30661.150000 PA USD 31217.180000 0.0101469 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 37289.790000 0.0121208 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-08-31 0.000000 USD -51167.310000 USD 4550000.000000 USD 88457.100000 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AU3 500000.000000 PA USD 479721.200000 0.15593 Long DBT CORP IT N 2 2026-09-22 Floating 2.569 N N N N N N N/A N/A 000000000 1.000000 NC -423.220000 -0.0001376 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4133376.830000 DKK 594171.060000 USD 2024-08-02 -423.220000 N N N FNMA PASS THRU POOLS N/A 31417MP56 612.680000 PA USD 618.730000 0.0002011 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N N/A N/A 000000000 5600000.000000 NC USD 13764.240000 0.004474 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 07/17/24-1Y LCH 2025-07-17 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2024-07-15 XXXX 2564.240000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 10.000000 PA 0.980000 0.0000003 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 700000.000000 PA USD 674585.070000 0.219269 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N N/A N/A 000000000 1.000000 NC -485.730000 -0.0001579 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3081955.690000 SGD 2275703.520000 USD 2024-08-02 -485.730000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB N/A 12668BFE8 30597.300000 PA USD 17440.150000 0.0056688 Long ABS-MBS CORP US N 3 2036-02-25 Fixed 5.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF94 500000.000000 PA 557472.560000 0.181202 Long DBT NUSS RO N 2 2033-09-18 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 7924.800000 0.0025759 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1932000.000000 USD 2800000.000000 AUD 2029-07-31 7504.310000 N N N COUNTRYWIDE ASSET-BACKED CERT 2004-4 N/A 1266715K8 45749.060000 PA USD 45889.270000 0.014916 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.17971 N N N N N N STRUCTURED ADJ RATE MTG LN 2006-3 N/A 863579Y69 96869.200000 PA USD 50039.270000 0.0162649 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.13293 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TW8 2300000.000000 PA USD 2331265.630000 0.75776 Long DBT UST US N 2 2043-11-15 Fixed 4.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0RRBN4 2100000.000000 PA 524221.350000 0.170394 Long DBT NUSS IL N 2 2027-03-31 Fixed 2 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91086QAZ1 200000.000000 PA USD 165608.740000 0.0538298 Long DBT NUSS MX N 2 2099-12-31 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -2186.200000 -0.0007106 N/A DFE CH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 179157.650000 USD 159000.000000 CHF 2024-07-02 -2186.200000 N N N UMBS PASS THRU POOLS N/A 01F022683 1300000.000000 PA USD 1062800.790000 0.345455 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 2.5 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQDII7 218251.930000 PA 231124.290000 0.0751252 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 4.319 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI0NWWL8 680000.000000 PA 453092.710000 0.147274 Long DBT NUSS SG N 2 2036-08-01 Fixed 2.25 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 817477AJ1 300000.000000 PA USD 295686.900000 0.0961107 Long DBT NUSS RS N 2 2034-06-12 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 129.460000 0.0000421 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 539671.000000 TWD 16773.000000 USD 2024-09-13 129.460000 N N N N/A N/A 000000000 1.000000 NC -3515.690000 -0.0011427 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 701637.000000 USD 4992848.890000 CNY 2024-07-08 -3515.690000 N N N UMBS PASS THRU POOLS N/A 01F030686 -8000000.000000 PA USD -6812500.080000 -2.21435 Short ABS-MBS USGSE US N 2 2054-08-13 Fixed 3 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BS8 934839.190000 PA USD 972869.860000 0.316224 Long DBT CORP US N 2 2032-01-10 Fixed 7.507 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 507122.870000 PA USD 507562.610000 0.164979 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.58617 N N N N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAC7 844390.040000 PA USD 292809.050000 0.0951753 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.731 N N N N N N N/A N/A 000000000 1.000000 NC -3293.160000 -0.0010704 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 150150.870000 USD 591316.650000 PLN 2024-07-22 -3293.160000 N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 BD9H2PII9 1.180000 PA 0.140000 0 Long DBT CORP DK N 2 2050-07-01 Fixed 1.5 N N N N N N BDS 2021-FL10 LTD N/A 07335YAA4 815306.220000 PA USD 812767.340000 0.264184 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 6.7964 N N N N N N OLYMPUS CORPORATION 5299000Y52IFDI1I2A21 68163WAA7 200000.000000 PA USD 185156.160000 0.0601836 Long DBT CORP JP N 2 2026-12-08 Fixed 2.143 N N N N N N RENAISSANCE HOME EQUITY LOAN TRUST 2006-2 N/A 759676AF6 478277.680000 PA USD 180551.930000 0.058687 Long ABS-MBS CORP US N 2 2036-08-25 Variable 5.797 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAB6 464923.970000 PA USD 212062.520000 0.0689293 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.54971 N N N N N N N/A N/A 000000000 1.000000 NC -5344.710000 -0.0017373 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33437329.860000 SEK 3149417.990000 USD 2024-07-02 -5344.710000 N N N N/A N/A 000000000 1.000000 NC 14.640000 0.0000048 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 46118.970000 USD 62464.820000 SGD 2024-08-02 14.640000 N N N LCM 30 LTD N/A 50200YAQ1 800000.000000 PA USD 800445.310000 0.260179 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.66617 N N N N N N N/A N/A 000000000 1.000000 NC -6488.000000 -0.0021089 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 791461.610000 USD 3017051.660000 PEN 2024-07-05 -6488.000000 N N N N/A N/A 000000000 1.000000 NC 3063.620000 0.0009958 N/A DIR MY N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Klibor Interbank Offered Rate Y 2034-09-18 2779.150000 MYR 0.000000 MYR 1420000.000000 MYR 284.470000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 215804.000000 PA USD 193598.070000 0.0629276 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N N/A N/A 000000000 -4300000.000000 NC USD -100.190000 -0.0000326 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 07/12/24-1Y LCH 2025-07-12 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2024-07-10 XXXX 6349.810000 N N N N/A N/A 000000000 1.000000 NC -1.590000 -0.0000005 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21086.530000 USD 150471.990000 CNY 2024-07-31 -1.590000 N N N N/A N/A 000000000 1.000000 NC -7.210000 -0.0000023 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50418894.740000 INR 603118.470000 USD 2024-09-24 -7.210000 N N N N/A N/A 000000000 1.000000 NC -112925.390000 -0.0367055 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-09-18 424923.380000 EUR 0.000000 EUR 39200000.000000 EUR -537848.770000 N N N N/A N/A 000000000 1.000000 NC 55118.460000 0.0179158 N/A DFE JP N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 158000000.000000 JPY 1079327.130000 USD 2025-04-21 55118.460000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAV7 750000.000000 PA USD 748721.300000 0.243366 Long DBT CORP FR N 2 2030-01-18 Floating 5.716 N N N N N N N/A N/A 000000000 1.000000 NC -35572.730000 -0.0115626 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-10 0.000000 CHF -3225.010000 CHF 1600000.000000 CHF -32347.720000 N N N BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5 N/A 07336JAD0 716300.460000 PA USD 594418.000000 0.193211 Long ABS-MBS CORP US N 2 2051-11-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -63388.140000 -0.0206038 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2797078.340000 USD 50617328.180000 MXN 2024-09-18 -63388.140000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 248707740.000000 PA 1617705.570000 0.525823 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC 3472.110000 0.0011286 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2200000.000000 DKK 322900.620000 USD 2025-01-02 3472.110000 N N N EXPORT DEVELOPMENT CANADA (EDC) Z6MHCSLXHKYG4B6PHW02 ACI2N3ML9 46900000.000000 PA 561248.360000 0.182429 Long DBT CORP CA N 2 2029-03-11 Fixed 7.13 N N N N N N N/A N/A 000000000 1.000000 NC -191.800000 -0.0000623 N/A DFE HK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 788985.510000 USD 6156785.310000 HKD 2024-07-19 -191.800000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 2162160.000000 PA USD 2142805.190000 0.696502 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AY8 600000.000000 PA USD 590947.500000 0.192083 Long DBT NUSS PL N 2 2034-09-18 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 670.020000 0.0002178 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 628287.890000 USD 4380000.000000 DKK 2024-07-02 670.020000 N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 314300.590000 PA USD 294261.410000 0.0956474 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI1LTCD5 200000.000000 PA USD 179945.500000 0.0584899 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25 N N N N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 49304.950000 PA USD 37765.100000 0.0122753 Long ABS-MBS CORP US N 2 2047-04-20 Floating 5.87315 N N N N N N N/A N/A 000000000 1.000000 NC -129.120000 -0.000042 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 334000.000000 EUR 358090.380000 USD 2024-08-02 -129.120000 N N N FNMA PASS THRU POOLS N/A 3138AKRH4 562.030000 PA USD 541.360000 0.000176 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 77055.020000 0.0250461 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 4100000.000000 USD 77055.020000 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 13387.800000 PA USD 13357.800000 0.0043418 Long ABS-O CORP US N 2 2038-04-25 Floating 6.55948 N N N N N N GSAA HOME EQUITY TRUST 2007-8 N/A 38144RAC1 26728.700000 PA USD 25564.310000 0.0083095 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.35971 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -12816.960000 -0.0041661 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.28000 06/27/25-5Y LCH 2030-06-27 0.000000 USD 0.000000 USD N/A USD N/A 4.280000 USD 2025-06-25 XXXX -816.960000 N N N N/A N/A 000000000 1.000000 NC 26873.870000 0.0087351 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1347788.010000 BRL 267976.540000 USD 2024-07-02 26873.870000 N N N ATLAS SENIOR LOAN FUND LTD 2018-10A N/A 04942JAC5 405861.930000 PA USD 406279.790000 0.132058 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.68017 N N N N N N N/A N/A 000000000 1.000000 NC 781.790000 0.0002541 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2034-09-18 0.000000 THB -662.250000 THB 29320000.000000 THB 1444.040000 N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAF5 487699.830000 PA USD 123091.970000 0.0400101 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.89971 N N N N N N N/A N/A 000000000 -415.000000 NC USD -313471.550000 -0.101892 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-30 -44205605.370000 USD -313471.550000 N N N N/A N/A 000000000 1.000000 NC -22.720000 -0.0000074 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 332571.220000 USD 2373394.510000 CNY 2024-08-06 -22.720000 N N N N/A N/A 000000000 -44.000000 NC 32944.750000 0.0107084 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2024-09-06 -5801638.550000 EUR 32944.750000 N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 704895.000000 PA 891725.670000 0.289849 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 6.57769 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 2240227.950000 PA 255921.730000 0.0831854 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -12078.780000 -0.0039261 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-10 0.000000 USD -3850.000000 USD 500000.000000 USD -8228.780000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280EE5 1100000.000000 PA USD 1106433.770000 0.359638 Long DBT CORP GB N 2 2035-03-04 Floating 5.719 N N N N N N N/A N/A 000000000 1.000000 NC -48480.650000 -0.0157583 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 489578.960000 USD 70000000.000000 JPY 2024-10-01 -48480.650000 N N N N/A N/A 000000000 1.000000 NC 85635.020000 0.027835 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 50000000.000000 JPY 400705.240000 USD 2024-10-01 85635.020000 N N N N/A N/A 000000000 1.000000 NC -1697.230000 -0.0005517 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 126576.870000 USD 904000.000000 CNY 2024-10-25 -1697.230000 N N N FNMA PASS THRU POOLS N/A 31418E4P2 1447200.830000 PA USD 1473674.290000 0.479007 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -108.630000 -0.0000353 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4160.000000 USD 16312.660000 PLN 2024-07-22 -108.630000 N N N N/A N/A 000000000 115.000000 NC USD -101243.870000 -0.0329085 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2025-12-16 27566218.750000 USD -101243.870000 N N N N/A N/A 000000000 1.000000 NC -7114.510000 -0.0023125 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-06-19 3397.130000 AUD 0.000000 AUD 4400000.000000 AUD -10511.640000 N N N N/A N/A 000000000 1.000000 NC -2586.900000 -0.0008409 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -1863000.000000 USD 2700000.000000 AUD 2029-08-01 7358.380000 N N N N/A N/A 000000000 1.000000 NC 233606.900000 0.0759321 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2029-09-18 99005.300000 CNY 0.000000 CNY 115670000.000000 CNY 134601.600000 N N N N/A N/A 000000000 1.000000 NC -12641.090000 -0.0041089 N/A DFE KZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 308296.140000 USD 141754567.000000 KZT 2024-09-18 -12641.090000 N N N N/A N/A 000000000 1.000000 NC -2928.280000 -0.0009518 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 611228.150000 USD 568000.000000 EUR 2024-07-02 -2928.280000 N N N MF1 2021-FL5 LTD N/A 55282XAA8 75186.030000 PA USD 74961.250000 0.0243656 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 6.29332 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 65480CAD7 300000.000000 PA USD 260449.130000 0.084657 Long DBT CORP US N 2 2028-09-15 Fixed 2.45 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 200000.000000 PA 175012.580000 0.0568865 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 837235.000000 PA 844748.820000 0.274579 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N FNMA PASS THRU POOLS N/A 31409VYE7 309.270000 PA USD 313.320000 0.0001018 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 246472.750000 PA 263521.350000 0.0856556 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 4.566 N N N N N N FNMA PASS THRU POOLS N/A 31410KM92 5854.120000 PA USD 5877.840000 0.0019105 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 605.890000 PA USD 606.120000 0.000197 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.47017 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 616.670000 PA USD 592.380000 0.0001925 Long ABS-MBS CORP US N 3 2036-06-25 Fixed 6 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI20SJP4 110000.000000 PA 62940.490000 0.0204583 Long DBT NUSS SG N 2 2051-10-01 Fixed 1.875 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 575332.410000 PA USD 279989.660000 0.0910085 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.75971 N N N N N N N/A N/A 000000000 1.000000 NC USD -5070.850000 -0.0016482 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-14 0.000000 USD -1327.500000 USD 200000.000000 USD -3743.350000 N N N N/A N/A 000000000 1.000000 NC USD 124096.530000 0.0403366 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-03-31 0.000000 USD -26857.670000 USD 11400000.000000 USD 150954.200000 N N N N/A N/A 000000000 1.000000 NC USD -11666.930000 -0.0037922 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-12-11 0.000000 USD -2187.500000 USD 700000.000000 USD -9479.430000 N N N N/A N/A 000000000 1.000000 NC USD -7118.530000 -0.0023138 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -394200000.000000 JPY 2684371.810000 USD 2026-03-19 2144.560000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2C5W27 400000.000000 PA USD 428066.400000 0.13914 Long DBT NUSS HU N 2 2052-09-25 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 250168.820000 0.0813154 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 140000000.000000 JPY 1132365.430000 USD 2024-10-01 250168.820000 N N N N/A N/A 000000000 1.000000 NC -11070.590000 -0.0035984 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 669983.160000 USD 592000.000000 CHF 2024-07-02 -11070.590000 N N N FANNIE MAE 2006-48 N/A 31395NLE5 16151.210000 PA USD 16000.290000 0.0052008 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 5.84983 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAA6 681538.900000 PA USD 586079.290000 0.190501 Long ABS-MBS CORP US N 2 2060-01-25 Variable 0 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BS6 700000.000000 PA USD 696976.880000 0.226547 Long DBT CORP US N 2 2029-04-04 Fixed 5.371 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRA7 800000.000000 PA USD 720944.000000 0.234337 Long DBT NUSS IL N 2 2033-01-17 Fixed 4.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAE2 517435.720000 PA USD 226645.690000 0.0736694 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.59971 N N N N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XG3 147677.900000 PA USD 113540.970000 0.0369056 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.24009 N N N N N N FHLMC PASS THRU POOLS N/A 3133CLWL6 582099.710000 PA USD 593617.720000 0.192951 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 13438.000000 NS USD 314113.250000 0.1021 Long EC CORP LU N 3 N N N SPAIN GOVT 9598007A56S18711AH60 BYZK81II4 630000.000000 PA 598417.350000 0.194511 Long DBT NUSS ES N 2 2066-07-30 Fixed 3.45 N N N N N N N/A N/A 000000000 1.000000 NC 514.780000 0.0001673 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-04-17 0.000000 THB 0.000000 THB 70200000.000000 THB 514.780000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 05946KAQ4 400000.000000 PA USD 401455.690000 0.13049 Long DBT CORP ES N 2 2029-03-13 Fixed 5.381 N N N N N N N/A N/A 000000000 1.000000 NC -11361.150000 -0.0036929 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2049-03-07 0.000000 CAD -11493.880000 CAD 100000.000000 CAD 132.730000 N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AV1 800000.000000 PA USD 786297.120000 0.25558 Long DBT CORP CO N 2 2036-01-19 Fixed 8.375 N N N N N N N/A N/A 000000000 300000.000000 NC USD 12774.960000 0.0041524 N/A DIR KY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96000 06/27/25-30Y LCH 2055-06-27 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2025-06-25 XXXX 1524.960000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 700000.000000 PA USD 588812.220000 0.191389 Long DBT CORP US N 2 2032-04-22 Floating 2.615 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1HV477 2200000.000000 PA 311958.450000 0.1014 Long DBT CORP DK N 2 2025-01-01 Fixed 1 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3VF1 300000.000000 PA 209140.560000 0.0679795 Long DBT NUSS RO N 2 2042-04-13 Fixed 2.875 N N N N N N EMF-NL BV 2008-APRX N/A B39M0PII2 85729.080000 PA 89570.120000 0.0291141 Long ABS-MBS CORP NL N 2 2041-04-17 Floating 4.688 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 471000.000000 PA USD 423855.580000 0.137771 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC 1316.880000 0.000428 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 166572.550000 USD 676000.000000 PLN 2024-07-22 1316.880000 N N N N/A N/A 000000000 1.000000 NC -4631.750000 -0.0015055 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2024-08-10 0.000000 EUR -1041.360000 EUR 300000.000000 EUR -3590.390000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGP0 300000.000000 PA USD 295464.840000 0.0960386 Long DBT UST US N 2 2028-02-29 Fixed 4 N N N N N N BANCO SANTANDER CHILE SA 3YJP8HORPAEXJ80D6368 05971WAC7 200000.000000 PA USD 196479.580000 0.0638642 Long DBT CORP CL N 2 2025-01-10 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 278284.320000 0.0904542 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -704400000.000000 JPY 5056712.130000 USD 2026-01-21 4948.530000 N N N N/A N/A 000000000 1.000000 NC 231969.230000 0.0753998 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 135010000.000000 JPY 1082721.840000 USD 2024-10-01 231969.230000 N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 BD35RTII6 1000000.000000 PA 977231.590000 0.317642 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -8576.220000 -0.0027876 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-05 0.000000 EUR -2535.980000 EUR 800000.000000 EUR -6040.240000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3U3 600000.000000 PA USD 603456.890000 0.196149 Long DBT CORP US N 2 2027-03-25 Floating 6.54445 N N N N N N N/A N/A 000000000 1.000000 NC -2026.390000 -0.0006587 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 100031.810000 USD 369952.640000 ILS 2024-07-18 -2026.390000 N N N N/A N/A 000000000 1.000000 NC -236464.800000 -0.0768611 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-06-21 0.000000 AUD -186539.240000 AUD 10800000.000000 AUD -49925.560000 N N N N/A N/A 000000000 1.000000 NC 1789.270000 0.0005816 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 322000.000000 SGD 239252.400000 USD 2024-07-02 1789.270000 N N N BANCO SANTANDER CHILE SA 3YJP8HORPAEXJ80D6368 05970FAC5 900000.000000 PA USD 884158.110000 0.287389 Long DBT CORP CL N 2 2025-01-10 Fixed 2.7 N N N N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 1495833.970000 PA 1891071.240000 0.614678 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 5.91452 N N N N N N N/A N/A 000000000 1.000000 NC 1829.020000 0.0005945 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 910111.000000 USD 76234537.800000 INR 2024-09-24 1829.020000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 4.600000 PA 0.480000 0.0000002 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 ACI1MBV00 1100000.000000 PA 1130299.330000 0.367395 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BLH381II0 10000.000000 PA 6113.560000 0.0019872 Long DBT NUSS GB N 2 2051-07-31 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJZ5 2000000.000000 PA USD 1941718.760000 0.631141 Long DBT UST US N 2 2034-02-15 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 1470261.000000 PA USD 1273476.400000 0.413934 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 106100.660000 0.0344872 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1553700000.000000 JPY 10609835.330000 USD 2026-03-19 8437.210000 N N N N/A N/A 000000000 1.000000 NC -206863.390000 -0.0672394 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-09-18 197250.640000 GBP 0.000000 GBP 20750000.000000 GBP -404114.030000 N N N FNMA PASS THRU POOLS N/A 31371MJ57 5782.370000 PA USD 5713.530000 0.0018571 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -5600000.000000 NC USD -202.720000 -0.0000659 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 07/17/24-1Y LCH 2025-07-17 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2024-07-15 XXXX 5397.280000 N N N N/A N/A 000000000 1.000000 NC -7543.970000 -0.0024521 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-12-15 0.000000 JPY -1125.330000 JPY 42720000.000000 JPY -6418.640000 N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAC1 169065.550000 PA USD 108491.490000 0.0352643 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.67971 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2005-6 N/A 92922FX86 46899.180000 PA USD 40179.080000 0.0130599 Long ABS-MBS CORP US N 3 2035-08-25 Fixed 6.5 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DD7 300000.000000 PA USD 296471.400000 0.0963657 Long DBT CORP US N 2 2034-02-15 Fixed 5.45 N N N N N N WMALT MTGE PASS-THRU CERT 2005-9 N/A 93934FEN8 54870.550000 PA USD 47085.770000 0.0153049 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 5000000.000000 PA USD 3423144.550000 1.11267 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS12 N/A 751151AQ4 38188.740000 PA USD 28063.970000 0.009122 Long ABS-MBS CORP US N 3 2036-09-25 Fixed 5 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 143289.500000 PA 153457.830000 0.0498803 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.856 N N N N N N N/A N/A 000000000 1.000000 NC USD -7483.180000 -0.0024323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-13 0.000000 USD -2026.500000 USD 300000.000000 USD -5456.680000 N N N N/A N/A 000000000 1.000000 NC -790.290000 -0.0002569 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 109859.000000 USD 3536581.000000 TWD 2024-09-13 -790.290000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA11 N/A 74922XAA5 144009.430000 PA USD 139340.440000 0.0452915 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.79971 N N N N N N N/A N/A 000000000 1.000000 NC 1264.960000 0.0004112 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1285774.200000 CNY 180000.000000 USD 2025-01-16 1264.960000 N N N N/A N/A 000000000 1.000000 NC USD -38534.100000 -0.0125252 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2033-06-20 36815.820000 USD 0.000000 USD 4000000.000000 USD -75349.920000 N N N N/A N/A 000000000 1.000000 NC -1601.270000 -0.0005205 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2280872.820000 MXN 122827.000000 USD 2024-07-15 -1601.270000 N N N N/A N/A 000000000 1.000000 NC -1369.800000 -0.0004452 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 180000.000000 USD 1285020.000000 CNY 2025-01-16 -1369.800000 N N N FNMA PASS THRU POOLS N/A 3140X47J9 56826.130000 PA USD 53748.680000 0.0174706 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEC6 900000.000000 PA USD 895000.670000 0.290913 Long DBT CORP US N 2 2035-01-23 Floating 5.336 N N N N N N N/A N/A 000000000 1.000000 NC 11127.180000 0.0036168 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2033-09-20 50863.170000 MYR 0.000000 MYR 8030000.000000 MYR -39735.990000 N N N KAZMUNAYGAS NATIONAL COMPANY JSC 2138001H1M69RFJCSH88 Y4596HAD9 200000.000000 PA USD 174555.000000 0.0567378 Long DBT CORP KZ N 2 2047-04-19 Fixed 5.75 N N N N N N BLUEMOUNTAIN CLO LTD 2018-3A N/A 09630AAN6 757818.140000 PA USD 758998.380000 0.246707 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.51355 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 184510.020000 PA USD 164401.930000 0.0534376 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.83971 N N N N N N FNMA PASS THRU POOLS N/A 31416CDJ2 2822.620000 PA USD 2834.090000 0.0009212 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 969.550000 0.0003151 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 373957.320000 CNY 52435.930000 USD 2024-07-02 969.550000 N N N IRB INFRASTRUCTURE DEVELOPERS LIMITED 335800XGO3AITGW6AK27 ACI2N3K07 800000.000000 PA USD 800000.000000 0.260034 Long DBT CORP IN N 2 2032-03-11 Fixed 7.11 N N N N N N N/A N/A 000000000 1.000000 NC -886.300000 -0.0002881 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 49365.460000 USD 183000.000000 ILS 2024-07-18 -886.300000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 ACI21KTC8 500000.000000 PA 470959.570000 0.153082 Long DBT CORP US N 2 2029-05-09 Fixed 0.875 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 ACI1W3TJ9 1000000.000000 PA 804305.220000 0.261433 Long DBT NUSS RS N 2 2033-03-03 Fixed 1.65 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 419889.530000 PA USD 394831.530000 0.128337 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0DG7 100000.000000 PA 69529.320000 0.0226 Long DBT NUSS RO N 2 2041-04-14 Fixed 2.75 N N N N N N FNMA PASS THRU POOLS N/A 31407EBF9 5956.080000 PA USD 5980.220000 0.0019438 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 4045.170000 0.0013149 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2740838.400000 CNY 384000.000000 USD 2024-12-10 4045.170000 N N N N/A N/A 000000000 1.000000 NC 38273.890000 0.0124406 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-03-19 81363.420000 EUR 0.000000 EUR 12120000.000000 EUR -43089.530000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HR1 100000.000000 PA USD 72051.170000 0.0234197 Long DBT CORP US N 2 2046-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -87643.700000 -0.0284879 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-11-30 0.000000 USD -70412.760000 USD 5160000.000000 USD -17230.940000 N N N N/A N/A 000000000 1.000000 NC -206287.730000 -0.0670522 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-07-07 31426.190000 MXN 0.000000 MXN 61200000.000000 MXN -237713.920000 N N N N/A N/A 000000000 1.000000 NC -3584.370000 -0.0011651 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 701637.000000 USD 4992357.750000 CNY 2024-07-08 -3584.370000 N N N N/A N/A 000000000 1.000000 NC 19658.190000 0.0063897 N/A DFE CN N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 7267828.780000 CNY 1019903.000000 USD 2024-07-02 19658.190000 N N N N/A N/A 000000000 1.000000 NC 48427.320000 0.0157409 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70000000.000000 JPY 515691.760000 USD 2026-01-05 48427.320000 N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFS7 1900000.000000 PA 1329736.710000 0.432221 Long DBT NUSS CA N 2 2033-09-01 Fixed 3.6 N N N N N N N/A N/A 000000000 1.000000 NC -32486.310000 -0.0105594 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1598694.000000 USD 11380143.370000 CNY 2024-07-02 -32486.310000 N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBC3 700000.000000 PA USD 707291.620000 0.2299 Long DBT CORP NL N 2 2026-10-13 Floating 6.575 N N N N N N FNMA PASS THRU POOLS N/A 31415REY6 7876.230000 PA USD 7908.220000 0.0025705 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 721.670000 0.0002346 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4801543.000000 TWD 148802.000000 USD 2024-09-13 721.670000 N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 280208.890000 PA 300431.050000 0.0976528 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 4.516 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 200000.000000 PA 158652.740000 0.0515689 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -50899.070000 -0.0165444 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 33685.790000 BRL 0.000000 BRL 3500000.000000 BRL -84584.860000 N N N PRPM 2023-NQM3 TRUST N/A 69380TAA9 457792.620000 PA USD 457674.190000 0.148763 Long ABS-MBS CORP US N 2 2068-11-25 Fixed 6.221 N N N N N N UMBS PASS THRU POOLS N/A 01F060683 19600000.000000 PA USD 19648234.230000 6.38651 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 267.160000 0.0000868 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1141364.000000 TWD 35467.000000 USD 2024-09-13 267.160000 N N N N/A N/A 000000000 1.000000 NC USD 22993.800000 0.007474 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-08-30 0.000000 USD -2061.860000 USD 3800000.000000 USD 25055.660000 N N N N/A N/A 000000000 1.000000 NC 3825.860000 0.0012436 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3374366.550000 CNY 466301.370000 USD 2024-07-08 3825.860000 N N N N/A N/A 000000000 -4.000000 NC USD -381.280000 -0.0001239 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -498187.500000 USD -381.280000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 700000.000000 PA USD 730968.370000 0.237596 Long DBT CORP US N 2 2029-10-24 Floating 6.484 N N N N N N N/A N/A 000000000 1.000000 NC -25682.810000 -0.008348 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 3997669.720000 CHF 4423835.490000 USD 2024-07-02 -25682.810000 N N N N/A N/A 000000000 1.000000 NC 15871.670000 0.005159 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-06-19 0.000000 CAD -453.150000 CAD 7700000.000000 CAD 16324.820000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBJ0 400000.000000 PA USD 331724.050000 0.107824 Long DBT CORP FR N 2 2033-01-21 Floating 3.337 N N N N N N N/A N/A 000000000 1.000000 NC 3608.420000 0.0011729 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3026430.210000 USD 4542106.680000 AUD 2024-07-02 3608.420000 N N N MDGH GMTN (RSC) LTD 213800WRY6FRL9IXLT77 55285GAB0 200000.000000 PA USD 205937.500000 0.0669384 Long DBT MUN AE N 2 2033-04-28 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 59783.510000 PA USD 47570.860000 0.0154625 Long ABS-MBS CORP US N 2 2046-07-20 Floating 5.66315 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AD4 180522.280000 PA USD 84563.420000 0.0274867 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.59971 N N N N N N N/A N/A 000000000 1.000000 NC -7102.750000 -0.0023087 N/A DFE CH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 918672.680000 USD 819000.000000 CHF 2024-07-02 -7102.750000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BNNGP8II6 209408.000000 PA 189986.840000 0.0617538 Long DBT NUSS GB N 2 2051-03-22 Fixed 0.125 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAT2 1400000.000000 PA USD 1439076.140000 0.467761 Long DBT CORP GB N 2 2029-01-10 Floating 6.534 N N N N N N N/A N/A 000000000 1.000000 NC -27134.080000 -0.0088197 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-14 0.000000 CHF 0.000000 CHF 1200000.000000 CHF -27134.080000 N N N BX COMMERCIAL MORTGAGE TRUST 2021-21M N/A 05609CAA5 607423.130000 PA USD 599357.770000 0.194817 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.17348 N N N N N N N/A N/A 000000000 1.000000 NC 104145.330000 0.0338516 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 769275.000000 USD 30736382.630000 TRY 2024-09-09 104145.330000 N N N FNMA PASS THRU POOLS N/A 31418EYP9 2305871.790000 PA USD 2348873.190000 0.763483 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -10281.990000 -0.0033421 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-06-19 0.000000 CAD -18412.150000 CAD 16400000.000000 CAD 8130.160000 N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 507021.030000 PA USD 507752.990000 0.165041 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 6.53455 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 5.140000 PA 0.560000 0.0000002 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 ACI22XZ24 400000.000000 PA 410566.000000 0.133451 Long DBT CORP NL N 2 2026-01-19 Fixed 1.207 N N N N N N N/A N/A 000000000 1.000000 NC USD 35232.020000 0.0114519 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 60176.010000 USD 0.000000 USD 800000.000000 USD -24943.990000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1 N/A 64831HAM5 437867.570000 PA USD 443230.050000 0.144068 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.864 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAA4 94058.670000 PA USD 71778.260000 0.023331 Long ABS-MBS CORP US N 3 2037-06-25 Variable 3.15004 N N N N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3 N/A 316599AD1 876768.020000 PA USD 514365.080000 0.16719 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.75936 N N N N N N N/A N/A 000000000 -1400000.000000 NC USD -9136.120000 -0.0029696 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.99800 07/26/24-10Y LCH 2034-07-26 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2024-07-24 XXXX -4061.120000 N N N ALBA PLC/LONDON 2005-1 N/A B0Q41VII5 237809.740000 PA 297355.440000 0.0966531 Long ABS-MBS CORP GB N 2 2042-11-25 Floating 5.52382 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI2FG9Z3 1200000.000000 PA 190203.760000 0.0618243 Long DBT NUSS CN N 2 2053-04-15 Fixed 3.19 N N N N N N N/A N/A 000000000 1.000000 NC 927580.640000 0.301503 N/A DFE N/A N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 50956081.940000 EUR 55499020.470000 USD 2024-07-02 927580.640000 N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4S3 485107.780000 PA USD 485295.520000 0.157742 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 6.12374 N N N N N N N/A N/A 000000000 1.000000 NC 15964.100000 0.005189 N/A DIR NO N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2025-03-18 0.000000 NOK -15479.760000 NOK 5300000.000000 NOK 31443.860000 N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 36294.660000 PA 45720.390000 0.0148611 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 5.45601 N N N N N N N/A N/A 000000000 1.000000 NC 160550.000000 0.0521855 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2029-09-18 42893.950000 SGD 0.000000 SGD 22800000.000000 SGD 117656.050000 N N N N/A N/A 000000000 1.000000 NC USD 106176.600000 0.0345119 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 -283900000.000000 JPY 2027857.140000 USD 2026-02-03 1826.350000 N N N N/A N/A 000000000 1.000000 NC 30602.010000 0.0099469 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11380143.370000 CNY 1596809.700000 USD 2024-07-02 30602.010000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 300000.000000 PA USD 302322.410000 0.0982676 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N N/A N/A 000000000 1.000000 NC -31716.430000 -0.0103092 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -1872.270000 EUR 500000.000000 EUR -29844.160000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NSJ04 270000000.000000 PA 1676611.220000 0.54497 Long DBT NUSS JP N 2 2025-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -481.270000 -0.0001564 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 90000.000000 USD 642465.000000 CNY 2025-02-18 -481.270000 N N N N/A N/A 000000000 1.000000 NC -1672.040000 -0.0005435 N/A DFE HU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 107648019.000000 HUF 290017.790000 USD 2024-07-19 -1672.040000 N N N SERBIA GOVT 254900W94OCY91V32O78 ACI1MBVD2 300000.000000 PA 308263.450000 0.100199 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.125 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 800000.000000 PA USD 800670.940000 0.260252 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 7.04111 N N N N N N N/A N/A 000000000 1.000000 NC USD -311455.570000 -0.101236 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-01-16 0.000000 USD -32903.230000 USD 10200000.000000 USD -278552.340000 N N N N/A N/A 000000000 1.000000 NC -8034.180000 -0.0026114 N/A DFE CO N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 199070.200000 USD 798490479.220000 COP 2024-08-15 -8034.180000 N N N N/A N/A 000000000 1.000000 NC -188526.380000 -0.061279 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2027-06-17 0.000000 GBP -20208.810000 GBP 8700000.000000 GBP -168317.570000 N N N N/A N/A 000000000 1.000000 NC -1005.600000 -0.0003269 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 52471.980000 USD 373957.320000 CNY 2024-07-02 -1005.600000 N N N N/A N/A 000000000 1.000000 NC 55137.150000 0.0179219 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2025-03-20 0.000000 NZD -1481.860000 NZD 8200000.000000 NZD 56619.010000 N N N N/A N/A 000000000 1.000000 NC USD -7339.520000 -0.0023857 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-24 0.000000 USD -1942.500000 USD 300000.000000 USD -5397.020000 N N N N/A N/A 000000000 -230.000000 NC USD 249907.860000 0.0812306 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-06-17 -54879437.500000 USD 249907.860000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 651612.180000 PA 74373.190000 0.0241744 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -18133.040000 -0.005894 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-09-18 14100.560000 THB 0.000000 THB 278030000.000000 THB -32233.600000 N N N N/A N/A 000000000 1200000.000000 NC USD 52956.240000 0.017213 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.93000 06/25/25-30Y LCH 2055-06-25 0.000000 USD 0.000000 USD N/A USD N/A 3.930000 USD 2025-06-23 XXXX 9802.390000 N N N N/A N/A 000000000 1.000000 NC USD -12405.210000 -0.0040322 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-12-05 0.000000 USD -2170.000000 USD 700000.000000 USD -10235.210000 N N N N/A N/A 000000000 1.000000 NC -7868.180000 -0.0025575 N/A DFE CZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 573285.470000 USD 13221694.260000 CZK 2024-07-19 -7868.180000 N N N N/A N/A 000000000 1.000000 NC 1055.280000 0.000343 N/A DIR MY N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Klibor Interbank Offered Rate Y 2029-09-18 1047.200000 MYR 0.000000 MYR 770000.000000 MYR 8.080000 N N N N/A N/A 000000000 1.000000 NC 3568.500000 0.0011599 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3080500.440000 CNY 425531.740000 USD 2024-07-02 3568.500000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 2245400.500000 PA USD 2184376.870000 0.710015 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N FNMA PASS THRU POOLS N/A 31415R3A0 7594.240000 PA USD 7654.750000 0.0024881 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-2 N/A 17307GRE0 15979.720000 PA USD 15146.570000 0.0049233 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.79038 N N N N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6J43 500000.000000 PA USD 317968.750000 0.103353 Long DBT NUSS EC N 2 2030-07-31 Variable 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -9982.790000 -0.0032448 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-27 0.000000 USD -2750.000000 USD 400000.000000 USD -7232.790000 N N N ELEVATION CLO LTD 2017-8A N/A 28622VAN0 375931.450000 PA USD 376263.910000 0.122302 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.53516 N N N N N N N/A N/A 000000000 1.000000 NC USD 445404.900000 0.144775 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-05-13 57802.980000 USD 0.000000 USD 22600000.000000 USD 387601.920000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MH47 66616.430000 PA USD 61078.700000 0.0198532 Long ABS-MBS CORP US N 3 2034-04-25 Floating 4.91949 N N N N N N N/A N/A 000000000 1.000000 NC -11063.040000 -0.003596 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-15 0.000000 EUR 0.000000 EUR 2100000.000000 EUR -11063.040000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 3576.000000 NS USD 83589.000000 0.02717 Long EC CORP LU Y 3 N N N PRIME MORTGAGE TR 2006-CL1 N/A 74161QAA0 42123.570000 PA USD 41665.680000 0.0135431 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.95971 N N N N N N FORT CRE 2022-FL3 N/A 34706CAA7 568350.000000 PA USD 562565.370000 0.182858 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 7.18535 N N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 153189.580000 PA USD 121951.150000 0.0396393 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AW2 200000.000000 PA USD 196520.500000 0.0638775 Long DBT NUSS PL N 2 2053-04-04 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402WLE6 1136.280000 PA USD 1100.150000 0.0003576 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.5 N N N N N N BANCO DE CREDITO DEL PERU SA 549300EQYQ8SCQZ4BY14 05971U2B2 1200000.000000 PA 310260.050000 0.100848 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65 N N N N N N FHLMC PASS THRU POOLS N/A 3133B6DL1 178396.270000 PA USD 139963.100000 0.0454939 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 1539.930000 0.0005005 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 292494.090000 USD 17193680.090000 PHP 2024-09-20 1539.930000 N N N JP MORGAN MORTGAGE TRUST 2021-LTV4 N/A 46654DAD5 1277322.180000 PA USD 1059978.790000 0.344538 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC -3029.030000 -0.0009846 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 426071.840000 USD 3088381.730000 CNY 2024-07-02 -3029.030000 N N N N/A N/A 000000000 1.000000 NC 1736.490000 0.0005644 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1330000.000000 EUR 1426100.610000 USD 2024-07-02 1736.490000 N N N FNMA PASS THRU POOLS N/A 3138AVPA7 2987.740000 PA USD 2820.720000 0.0009169 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX2R4 400000.000000 PA 436797.860000 0.141978 Long DBT NUSS PL N 2 2043-02-14 Fixed 4.25 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 400000.000000 PA 482314.620000 0.156773 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N FNMA PASS THRU POOLS N/A 31416XHQ6 997.630000 PA USD 976.360000 0.0003174 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 4.5 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 292812.030000 PA USD 293040.490000 0.0952506 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.56516 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QY3 360000.000000 PA 319144.100000 0.103735 Long DBT NUSS RO N 2 2029-12-02 Fixed 1.375 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 7345.840000 PA USD 7065.510000 0.0022966 Long ABS-MBS CORP US N 2 2032-01-25 Floating 6.07971 N N N N N N N/A N/A 000000000 1.000000 NC -163211.990000 -0.0530508 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-09-18 647093.690000 EUR 0.000000 EUR 39400000.000000 EUR -810305.680000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 700000.000000 PA USD 730537.860000 0.237456 Long DBT CORP US N 2 2029-11-01 Floating 6.407 N N N N N N N/A N/A 000000000 1.000000 NC 4906.830000 0.0015949 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 232237.920000 USD 4391000.000000 MXN 2024-09-18 4906.830000 N N N FNMA PASS THRU POOLS N/A 3138A4TN5 5348.440000 PA USD 5049.390000 0.0016413 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV6 N/A 46654FAD0 1238560.270000 PA USD 1032882.100000 0.33573 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 3 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2C5WY7 500000.000000 PA USD 516417.500000 0.167857 Long DBT NUSS HU N 2 2032-09-22 Fixed 6.25 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVX6 186566.190000 PA USD 63041.480000 0.0204911 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.74047 N N N N N N N/A N/A 000000000 1.000000 NC -29802.060000 -0.0096869 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-11 0.000000 EUR -1962.270000 EUR 400000.000000 EUR -27839.790000 N N N UMBS PASS THRU POOLS N/A 01F050684 20200000.000000 PA USD 19521406.050000 6.34528 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI28T967 700000.000000 PA 803836.140000 0.261281 Long DBT NUSS RO N 2 2029-09-27 Fixed 6.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 3275188.000000 PA USD 2877237.530000 0.935224 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -25095.190000 -0.008157 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 59837766.680000 USD 55850082.000000 EUR 2024-07-02 -25095.190000 N N N N/A N/A 000000000 -66.000000 NC USD -25364.000000 -0.0082444 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -7778718.750000 USD -25364.000000 N N N N/A N/A 000000000 1.000000 NC -133.410000 -0.0000434 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23320.800000 USD 93363.070000 PLN 2024-07-22 -133.410000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1 N/A 251510MM2 171417.180000 PA USD 147670.060000 0.047999 Long ABS-MBS CORP US N 2 2036-02-25 Variable 6.445 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 BYN6FXII0 5600000.000000 PA 201561.600000 0.065516 Long DBT NUSS CZ N 2 2030-05-15 Fixed 0.95 N N N N N N N/A N/A 000000000 1.000000 NC -3758.160000 -0.0012216 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 466301.370000 USD 3357206.660000 CNY 2024-09-20 -3758.160000 N N N N/A N/A 000000000 1.000000 NC 385.010000 0.0001251 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 150471.990000 CNY 21093.920000 USD 2024-07-02 385.010000 N N N N/A N/A 000000000 1.000000 NC -5188.470000 -0.0016865 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1502690.210000 USD 15872020.930000 SEK 2024-07-02 -5188.470000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2M7VN7 260000000.000000 PA 1612245.630000 0.524048 Long DBT NUSS JP N 2 2026-01-01 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PNMN9 170000000.000000 PA 1055087.260000 0.342948 Long DBT NUSS JP N 2 2025-06-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 5195.290000 0.0016887 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 15847509.500000 SEK 1502690.210000 USD 2024-08-02 5195.290000 N N N N/A N/A 000000000 1.000000 NC 23685.180000 0.0076987 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2053-06-21 26375.600000 CAD 0.000000 CAD 1400000.000000 CAD -2690.420000 N N N UMBS PASS THRU POOLS N/A 01F032674 -600000.000000 PA USD -531093.750000 -0.172628 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 27617.280000 0.0089768 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 904419.660000 USD 30899497.680000 TRY 2024-07-16 27617.280000 N N N N/A N/A 000000000 1.000000 NC -30461.830000 -0.0099014 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1206837.000000 USD 6576054.810000 BRL 2024-07-02 -30461.830000 N N N N/A N/A 000000000 1.000000 NC USD 3235.510000 0.0010517 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -9739.790000 USD 400000.000000 USD 12975.300000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151ABW9 309463.580000 PA USD 124324.830000 0.0404108 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.5 N N N N N N MORGAN STANLEY MTGE LN TR 2006-2 N/A 61748HVH1 18804.610000 PA USD 16956.320000 0.0055115 Long ABS-MBS CORP US N 3 2036-02-25 Floating 5.75 N N N N N N N/A N/A 000000000 -52.000000 NC USD -44761.340000 -0.0145493 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -5891031.220000 USD -44761.340000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2JND14 900000.000000 PA 1002130.120000 0.325735 Long DBT NUSS HU N 2 2033-09-12 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 154.650000 0.0000503 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 579720.000000 USD 48475200.880000 INR 2024-09-24 154.650000 N N N N/A N/A 000000000 -28.000000 NC -79.710000 -0.0000259 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2024-09-16 -2121331.560000 AUD -79.710000 N N N GUATEMALA GOVT 529900QKDFFU9UWW5315 P5015VAK2 200000.000000 PA USD 191039.640000 0.062096 Long DBT NUSS GT N 2 2032-04-24 Fixed 5.375 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B3MYD3II6 253645.000000 PA 292497.000000 0.0950739 Long DBT NUSS GB N 2 2042-11-22 Fixed 0.625 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 43000.000000 PA USD 23757.500000 0.0077222 Long DBT NUSS AR N 2 2030-07-09 Variable 0.75 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 B2QK2VII4 360000000.000000 PA 286235.840000 0.0930388 Long DBT NUSS KR N 2 2028-03-10 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 239845.460000 PA USD 13926.170000 0.0045266 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 0.553498 N N N N N N N/A N/A 000000000 1.000000 NC USD 176553.820000 0.0573875 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 186608.620000 USD 0.000000 USD 8500000.000000 USD -10054.800000 N N N N/A N/A 000000000 1.000000 NC USD -207758.310000 -0.0675302 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-20 158755.820000 USD 0.000000 USD 13900000.000000 USD -366514.130000 N N N FNMA PASS THRU POOLS N/A 31418VQ96 1606.980000 PA USD 1478.030000 0.0004804 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 3.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AV4 300000.000000 PA USD 293060.400000 0.095257 Long DBT NUSS PL N 2 2033-10-04 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -45750.520000 -0.0148709 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 896421.210000 USD 134997000.000000 JPY 2024-10-01 -45750.520000 N N N N/A N/A 000000000 1.000000 NC 3127.130000 0.0010164 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2033-09-20 0.000000 JPY -232.700000 JPY 100000000.000000 JPY 3359.830000 N N N FHLMC PASS THRU POOLS N/A 3133W6LE5 61403.750000 PA USD 62672.590000 0.0203712 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N N/A N/A 000000000 -5000000.000000 NC USD -52074.000000 -0.0169263 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30000 06/27/25-5Y LCH 2030-06-27 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2025-06-25 XXXX -8074.000000 N N N N/A N/A 000000000 1.000000 NC -3437.770000 -0.0011174 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 345751.650000 USD 2478000.000000 CNY 2024-10-25 -3437.770000 N N N KAZMUNAYGAS NATIONAL COMPANY JSC 2138001H1M69RFJCSH88 Y44709AG1 200000.000000 PA USD 188604.250000 0.0613044 Long DBT CORP KZ N 2 2048-10-24 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 235.490000 0.0000765 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1175497.000000 TWD 36488.000000 USD 2024-09-13 235.490000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 32190.000000 NS USD 752441.250000 0.244575 Long EC CORP LU Y 3 N N N N/A N/A 000000000 1.000000 NC -32857.130000 -0.01068 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3031104.000000 USD 21704220.190000 CNY 2024-10-25 -32857.130000 N N N N/A N/A 000000000 1.000000 NC -1067.090000 -0.0003468 N/A DFE CN N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1019903.000000 USD 7270888.490000 CNY 2024-07-31 -1067.090000 N N N N/A N/A 000000000 1.000000 NC 765.000000 0.0002487 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 119824.140000 USD 166256000.000000 KRW 2024-07-22 765.000000 N N N N/A N/A 000000000 1.000000 NC 330.930000 0.0001076 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 907042.000000 USD 75852747.810000 INR 2024-09-24 330.930000 N N N N/A N/A 000000000 1.000000 NC USD -6763.910000 -0.0021986 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-31 709.550000 USD 0.000000 USD 520000.000000 USD -7473.460000 N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 300000.000000 PA USD 291337.260000 0.0946969 Long DBT CORP US N 2 2025-06-25 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -197.580000 -0.0000642 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 27465.000000 USD 884153.000000 TWD 2024-09-13 -197.580000 N N N N/A N/A 000000000 1.000000 NC 9181.870000 0.0029845 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2054-09-18 0.000000 EUR -534572.660000 EUR 10760000.000000 EUR 543754.530000 N N N N/A N/A 000000000 1.000000 NC USD 4278.980000 0.0013908 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 4378.890000 USD 0.000000 USD 200000.000000 USD -99.910000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TL2 600000.000000 PA USD 546714.850000 0.177705 Long DBT UST US N 2 2052-11-15 Fixed 4 N N N N N N N/A N/A 000000000 -43.000000 NC 119691.930000 0.0389049 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2024-09-12 -38181241.840000 JPY 119691.930000 N N N N/A N/A 000000000 1.000000 NC -815.830000 -0.0002652 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 62438.000000 USD 447262.750000 CNY 2024-09-20 -815.830000 N N N GNMA PASS THRU POOLS N/A 36179W5C8 1698304.230000 PA USD 1480368.830000 0.481183 Long ABS-MBS USGSE US N 2 2052-05-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 75276.920000 0.0244682 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-06-15 2234.180000 JPY 0.000000 JPY 60000000.000000 JPY 73042.740000 N N N N/A N/A 000000000 1.000000 NC -35.910000 -0.0000117 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 56528.020000 MXN 3017.000000 USD 2024-09-18 -35.910000 N N N N/A N/A 000000000 61.000000 NC 88292.140000 0.0286987 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2024-09-06 8598468.540000 EUR 88292.140000 N N N N/A N/A 000000000 1.000000 NC 6876.340000 0.0022351 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1339000.000000 EUR 1440879.020000 USD 2024-07-02 6876.340000 N N N GSR MORTGAGE LOAN TRUST 2007-AR2 N/A 3622N6AC3 10405.760000 PA USD 5449.070000 0.0017712 Long ABS-MBS CORP US N 3 2037-05-25 Floating 5.0843 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 ACI2PD765 300000.000000 PA 319230.520000 0.103763 Long DBT CORP US N 2 2031-01-15 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -1036.110000 -0.0003368 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 911732.000000 USD 76130533.730000 INR 2024-09-24 -1036.110000 N N N N/A N/A 000000000 1.000000 NC -10268.850000 -0.0033378 N/A DFE VN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 717848.190000 USD 18011432000.000000 VND 2024-10-16 -10268.850000 N N N N/A N/A 000000000 1.000000 NC USD -15684.460000 -0.0050981 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-27 0.000000 USD -3525.000000 USD 1500000.000000 USD -12159.460000 N N N N/A N/A 000000000 1.000000 NC USD 451023.020000 0.146602 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 457211.480000 USD 0.000000 USD 26000000.000000 USD -6188.460000 N N N KAZMUNAYGAS NATIONAL COMPANY JSC 2138001H1M69RFJCSH88 ACI1S0N15 900000.000000 PA USD 738535.500000 0.240055 Long DBT CORP KZ N 2 2033-04-14 Fixed 3.5 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DK8 300000.000000 PA USD 305541.180000 0.0993138 Long DBT CORP US N 2 2031-05-01 Fixed 6.388 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AV3 13188.980000 PA USD 12109.140000 0.003936 Long ABS-MBS CORP US N 3 2036-12-25 Floating 4.59966 N N N N N N N/A N/A 000000000 1.000000 NC -17084.730000 -0.0055533 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-03-19 0.000000 CAD 0.000000 CAD 9300000.000000 CAD -17084.730000 N N N N/A N/A 000000000 1.000000 NC -223.650000 -0.0000727 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 218000.000000 SGD 160543.310000 USD 2024-07-02 -223.650000 N N N N/A N/A 000000000 1.000000 NC 1717.780000 0.0005584 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 RBA Cash Rate Overnight N/A N/A Y 2024-09-25 0.000000 AUD 0.000000 AUD 20600000.000000 AUD 1717.780000 N N N N/A N/A 000000000 -2800000.000000 NC -71.500000 -0.0000232 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB RFR GBP SONIO/0.82000 12/16/24-1Y LCH N/A N/A 2025-12-16 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.820000 GBP 2024-12-16 XXXX 19702.800000 N N N N/A N/A 000000000 1.000000 NC 108.500000 0.0000353 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 156332630.000000 KRW 113500.000000 USD 2024-07-22 108.500000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JF5 100000.000000 PA USD 90270.480000 0.0293417 Long DBT CORP US N 2 2027-08-01 Fixed 2.1 N N N N N N FNMA PASS THRU POOLS N/A 3140MGM99 118260.620000 PA USD 92829.830000 0.0301736 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 71485.220000 PA USD 67260.010000 0.0218623 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.79971 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 BKLH46II9 973381.070000 PA 102561.510000 0.0333368 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEM3 500000.000000 PA USD 490219.630000 0.159342 Long DBT CORP US N 2 2026-02-18 Floating 2.63 N N N N N N N/A N/A 000000000 55.000000 NC USD -61701.830000 -0.0200557 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2024-12-17 13041531.250000 USD -61701.830000 N N N N/A N/A 000000000 1.000000 NC USD -20103.100000 -0.0065344 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2029-06-20 0.000000 USD -20432.430000 USD 700000.000000 USD 329.330000 N N N N/A N/A 000000000 1.000000 NC -1166.970000 -0.0003793 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 USD 1434300.000000 CNY 2024-12-10 -1166.970000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX7L2 1500000.000000 PA 1657236.950000 0.538672 Long DBT NUSS PL N 2 2033-02-14 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 611385.000000 PA USD 547266.310000 0.177885 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 399502.970000 PA 426246.970000 0.138548 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.686 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDX1 900000.000000 PA USD 930145.530000 0.302337 Long DBT CORP US N 2 2029-10-23 Floating 6.087 N N N N N N COUNTRYWIDE HOME LOANS 2006-J4 N/A 12669YAE2 191690.860000 PA USD 71637.960000 0.0232854 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 2812.910000 0.0009143 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1068071888.000000 KRW 777509.000000 USD 2024-07-22 2812.910000 N N N N/A N/A 000000000 1.000000 NC 15378.750000 0.0049987 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 9423246.670000 DKK 1368535.270000 USD 2024-07-02 15378.750000 N N N N/A N/A 000000000 1.000000 NC -3590.250000 -0.001167 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4542106.680000 AUD 3029005.580000 USD 2024-08-02 -3590.250000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 780082AQ6 800000.000000 PA USD 797554.960000 0.259239 Long DBT CORP CA N 2 2026-12-14 Fixed 4.851 N N N N N N N/A N/A 000000000 1.000000 NC 75085.690000 0.024406 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2029-09-18 288722.990000 GBP 0.000000 GBP 15200000.000000 GBP -213637.300000 N N N FNMA PASS THRU POOLS N/A 31414SX81 1623.530000 PA USD 1630.110000 0.0005299 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 162893.930000 0.0529474 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-05-31 0.000000 USD -352127.490000 USD 6900000.000000 USD 515021.420000 N N N N/A N/A 000000000 1.000000 NC -7370.510000 -0.0023957 N/A DFE CN N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 682546.410000 USD 4887578.330000 CNY 2024-10-25 -7370.510000 N N N N/A N/A 000000000 1.000000 NC -71847.610000 -0.0233535 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-03-15 0.000000 EUR -56520.230000 EUR 5390000.000000 EUR -15327.380000 N N N ANTOFAGASTA PLC 213800MY6QVH4FVLD628 03718NAA4 400000.000000 PA USD 334933.960000 0.108868 Long DBT CORP GB N 2 2030-10-14 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 8040.990000 0.0026137 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 400000.000000 USD 8040.990000 N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 96984.820000 PA USD 85505.290000 0.0277928 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.35971 N N N N N N N/A N/A 000000000 60000.000000 NC USD 9119.280000 0.0029642 N/A DFE LU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-02-18 N/A 7.300000 USD 2025-02-14 XXXX 2689.680000 N N N FNMA PASS THRU POOLS N/A 31416H6F7 3756.970000 PA USD 3807.690000 0.0012377 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2P52B6 300000000.000000 PA 1862813.730000 0.605493 Long DBT NUSS JP N 2 2025-05-20 None 0 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCR9 800000.000000 PA USD 808967.850000 0.262949 Long DBT CORP JP N 2 2028-01-13 Fixed 5.52 N N N N N N N/A N/A 000000000 1.000000 NC -2402.300000 -0.0007808 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 350198.300000 USD 571000.000000 NZD 2024-07-02 -2402.300000 N N N N/A N/A 000000000 1.000000 NC USD -9913.600000 -0.0032223 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-10 0.000000 USD -3020.000000 USD 400000.000000 USD -6893.600000 N N N FNMA PASS THRU POOLS N/A 3140MGNT4 330059.440000 PA USD 259083.700000 0.0842132 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 374913.440000 PA USD 333374.230000 0.108361 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N N/A N/A 000000000 1.000000 NC -45070.100000 -0.0146497 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2054-09-18 25460.800000 GBP 0.000000 GBP 1200000.000000 GBP -70530.900000 N N N N/A N/A 000000000 1.000000 NC USD 1617.760000 0.0005258 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -4834.180000 USD 200000.000000 USD 6451.940000 N N N N/A N/A 000000000 1.000000 NC USD 617598.260000 0.200746 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-11-30 3100.330000 USD 0.000000 USD 12700000.000000 USD 614497.930000 N N N N/A N/A 000000000 1.000000 NC USD -11832.900000 -0.0038462 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-10 0.000000 USD -3812.500000 USD 500000.000000 USD -8020.400000 N N N GNMA PASS THRU POOLS N/A 36179XNB8 99999.640000 PA USD 87362.810000 0.0283966 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3 N N N N N N COUNTRYWIDE HOME LOANS 2006-21 N/A 12543PAN3 103077.440000 PA USD 45955.210000 0.0149374 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1292628.050000 PA USD 12575978.300000 4.08772 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31415QYT7 2370.810000 PA USD 2380.450000 0.0007737 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -1235.980000 -0.0004017 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2027-12-20 0.000000 USD -8917.080000 USD 100000.000000 USD 7681.100000 N N N N/A N/A 000000000 1.000000 NC -785.560000 -0.0002553 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 394961.240000 USD 2745000.000000 DKK 2024-07-02 -785.560000 N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 7937.030000 PA USD 7949.350000 0.0025839 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.61648 N N N N N N N/A N/A 000000000 1.000000 NC 30823.750000 0.010019 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6598139.930000 BRL 1206837.000000 USD 2024-08-02 30823.750000 N N N N/A N/A 000000000 50000.000000 NC USD 9350.000000 0.0030391 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-01-16 N/A 7.300000 USD 2025-01-14 XXXX 4100.000000 N N N N/A N/A 000000000 1.000000 NC USD -10100.260000 -0.003283 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -3130.000000 USD 400000.000000 USD -6970.260000 N N N N/A N/A 000000000 1.000000 NC USD 165197.210000 0.0536961 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-06-20 140840.020000 USD 0.000000 USD 14300000.000000 USD 24357.190000 N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 1702.000000 PA USD 1517.350000 0.0004932 Long ABS-MBS CORP US N 3 2035-02-25 Floating 5.64295 N N N N N N N/A N/A 000000000 1.000000 NC -20.330000 -0.0000066 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 52435.930000 USD 374062.190000 CNY 2024-07-31 -20.330000 N N N FNMA PASS THRU POOLS N/A 3140H7TP2 39836.650000 PA USD 37003.480000 0.0120277 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-1 N/A 007036AC0 5932.790000 PA USD 4753.540000 0.0015451 Long ABS-MBS CORP US N 3 2035-01-25 Floating 5.05028 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 250000.000000 PA USD 262484.060000 0.0853184 Long DBT CORP CH N 2 2033-08-12 Floating 6.537 N N N N N N N/A N/A 000000000 1.000000 NC USD 36516.330000 0.0118694 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-05-13 0.000000 USD -605.790000 USD 1900000.000000 USD 37122.120000 N N N N/A N/A 000000000 30000.000000 NC USD 4559.640000 0.0014821 N/A DFE LU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 Call Purchased STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-02-18 N/A 7.300000 USD 2025-02-14 XXXX 1499.640000 N N N N/A N/A 000000000 1.000000 NC -1983.420000 -0.0006447 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 255886.930000 USD 1838000.000000 CNY 2024-10-25 -1983.420000 N N N N/A N/A 000000000 -4.000000 NC 6164.560000 0.0020037 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2024-09-06 -493879.520000 EUR 6164.560000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS16 N/A 74922LAA1 131924.880000 PA USD 91419.070000 0.0297151 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.85971 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133 N/A 38380HCH3 3491.490000 PA USD 3258.130000 0.001059 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 40732.780000 PA USD 38300.050000 0.0124491 Long ABS-MBS CORP US N 2 2044-10-25 Floating 6.23971 N N N N N N N/A N/A 000000000 1.000000 NC USD -22640.260000 -0.007359 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -7059.380000 USD 900000.000000 USD -15580.880000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 600000.000000 PA 604500.560000 0.196488 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N N/A N/A 000000000 1.000000 NC 2208.590000 0.0007179 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3322887.470000 CNY 466828.810000 USD 2024-07-08 2208.590000 N N N FNMA PASS THRU POOLS N/A 31415V6U4 3437.580000 PA USD 3472.800000 0.0011288 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 8945.340000 0.0029076 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3030862.030000 CNY 426071.840000 USD 2024-07-02 8945.340000 N N N FNMA PASS THRU POOLS N/A 31371NTK1 975.890000 PA USD 958.500000 0.0003116 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AG43 32216.740000 PA USD 31307.360000 0.0101762 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -485553.460000 -0.157825 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -343737.840000 USD 3510000.000000 USD -141815.620000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI28SKL3 244320000.000000 PA 179597.360000 0.0583767 Long DBT NUSS KR N 2 2042-09-10 Fixed 3.25 N N N N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 41453.220000 PA USD 35787.050000 0.0116323 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.67095 N N N N N N N/A N/A 000000000 1.000000 NC 20602.040000 0.0066965 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2029-06-19 20851.990000 NZD 0.000000 NZD 2700000.000000 NZD -249.950000 N N N SUNTRUST ADJR MRTG LN TR 2007-1 N/A 78473NAF0 69141.660000 PA USD 59688.940000 0.0194014 Long ABS-MBS CORP US N 2 2037-02-25 Floating 6.03735 N N N N N N ELMWOOD CLO VII LTD 2020-4A N/A 29002QAJ8 1000000.000000 PA USD 1002566.360000 0.325877 Long ABS-CBDO CORP KY N 2 2034-01-17 Floating 6.94707 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAA1 26795.680000 PA USD 33545.070000 0.0109036 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.73971 N N N N N N N/A N/A 000000000 1.000000 NC -695.550000 -0.0002261 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32743.000000 USD 232858.390000 CNY 2024-07-02 -695.550000 N N N N/A N/A 000000000 1.000000 NC -14831.620000 -0.0048209 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-05-16 0.000000 CHF 0.000000 CHF 800000.000000 CHF -14831.620000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI29DC42 3713240000.000000 PA 2894900.850000 0.940965 Long DBT NUSS KR N 2 2032-12-10 Fixed 4.25 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BGGL77II0 2271890000.000000 PA 1594638.020000 0.518325 Long DBT NUSS KR N 2 2028-12-10 Fixed 2.375 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 679492800.000000 PA 4436616.240000 1.44209 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N CAPITAL FOUR CLO I DAC 3A N/A ACI2MJVT8 800000.000000 PA 857021.860000 0.278568 Long ABS-CBDO CORP IE N 2 2034-10-15 Floating 4.926 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI2FJPF3 3431000.000000 PA 725501.800000 0.235819 Long DBT NUSS MY N 2 2028-04-20 Fixed 3.519 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973AC9 1362561.020000 PA USD 1130713.770000 0.36753 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC -404.630000 -0.0001315 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21113.540000 USD 150471.990000 CNY 2024-07-02 -404.630000 N N N N/A N/A 000000000 1.000000 NC USD 33757.080000 0.0109725 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 1700000.000000 USD 33757.080000 N N N MORGAN STANLEY MORTGAGE TRUST-2005-5AR N/A 61748HLA7 101876.490000 PA USD 31842.650000 0.0103502 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.80131 N N N N N N N/A N/A 000000000 11.000000 NC 6519.170000 0.002119 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2024-09-18 965439.860000 CAD 6519.170000 N N N N/A N/A 000000000 1.000000 NC -63735.750000 -0.0207168 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -3652.840000 EUR 1000000.000000 EUR -60082.910000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TH1 10230.430000 PA USD 9591.410000 0.0031176 Long ABS-MBS CORP US N 3 2036-07-25 Variable 5.526 N N N N N N N/A N/A 000000000 1.000000 NC 2330.850000 0.0007576 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 442000.000000 EUR 475690.960000 USD 2024-07-02 2330.850000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRVP9 17300000.000000 PA 2864891.640000 0.931211 Long DBT NUSS BR N 2 2025-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -238840.150000 -0.0776332 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2030-06-17 0.000000 CAD -268334.490000 CAD 3200000.000000 CAD 29494.340000 N N N N/A N/A 000000000 1.000000 NC -299950.190000 -0.0974965 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5857438.000000 USD 31180841.130000 BRL 2024-08-02 -299950.190000 N N N N/A N/A 000000000 1.000000 NC USD -7089.560000 -0.0023044 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-07 0.000000 USD -2175.000000 USD 300000.000000 USD -4914.560000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAC3 389520.520000 PA USD 216168.460000 0.0702639 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.77971 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BJ3 400000.000000 PA 321824.900000 0.104607 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -1020.660000 -0.0003318 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 92073.000000 USD 366618.570000 PLN 2024-07-22 -1020.660000 N N N FHLMC PASS THRU POOLS N/A 3133KNL92 800736.030000 PA USD 654938.230000 0.212883 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AA3F6 18399.900000 PA USD 17879.990000 0.0058118 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MT80 3038.970000 PA USD 3048.500000 0.0009909 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138MCPH1 16807.660000 PA USD 14831.200000 0.0048208 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 434.370000 0.0001412 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 642801.600000 CNY 90000.000000 USD 2025-02-18 434.370000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKM0 200000.000000 PA USD 196453.210000 0.0638556 Long DBT CORP US N 2 2026-04-02 Floating 3.384 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 15.000000 PA 1.580000 0.0000005 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 2683.110000 PA USD 2513.650000 0.000817 Long ABS-MBS CORP US N 2 2042-08-25 Floating 6.55277 N N N N N N N/A N/A 000000000 1.000000 NC -660.250000 -0.0002146 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 45008.960000 USD 473511.200000 NOK 2024-07-02 -660.250000 N N N N/A N/A 000000000 1.000000 NC -20753.380000 -0.0067457 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2371780.370000 USD 38466719931.000000 IDR 2024-07-26 -20753.380000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGM7 500000.000000 PA USD 468691.410000 0.152344 Long DBT UST US N 2 2033-02-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 18935.840000 0.0061549 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3017922.260000 PEN 804135.960000 USD 2024-07-05 18935.840000 N N N N/A N/A 000000000 1.000000 NC USD 67152.140000 0.0218273 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-06-24 54635.000000 USD 0.000000 USD 22300000.000000 USD 12517.140000 N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAF0 688395.110000 PA USD 366858.080000 0.119244 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.68971 N N N N N N FNMA PASS THRU POOLS N/A 31412PYW5 22554.460000 PA USD 21917.510000 0.0071241 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.5 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI18M3K9 700000.000000 PA 482537.080000 0.156845 Long DBT NUSS FR N 2 2050-05-25 Fixed 1.5 N N N N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAC7 200000.000000 PA USD 167287.000000 0.0543754 Long DBT CORP QA N 2 2031-07-12 Fixed 2.25 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAA8 800000.000000 PA USD 764339.440000 0.248443 Long ABS-MBS CORP US N 2 2036-09-15 Floating 6.69332 N N N N N N N/A N/A 000000000 1.000000 NC 479.620000 0.0001559 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2946139.000000 TWD 91339.000000 USD 2024-09-13 479.620000 N N N N/A N/A 000000000 1.000000 NC -267.090000 -0.0000868 N/A DFE NZ N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 205372.870000 USD 336732.590000 NZD 2024-08-02 -267.090000 N N N FNMA PASS THRU POOLS N/A 31412LL65 9149.230000 PA USD 9178.970000 0.0029836 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLBK2 218702.400000 PA USD 179358.830000 0.0582992 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -751.050000 -0.0002441 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 49180.690000 USD 195000.000000 PLN 2024-07-22 -751.050000 N N N N/A N/A 000000000 1.000000 NC -685.510000 -0.0002228 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 338200.060000 USD 267000.000000 GBP 2024-07-02 -685.510000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284M9 5200000.000000 PA USD 5102553.660000 1.65855 Long DBT UST US N 2 2025-04-30 Fixed 2.875 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 300000.000000 PA 319793.990000 0.103947 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 4.556 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 6000000.000000 PA 27797.130000 0.0090352 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N N/A N/A 000000000 1.000000 NC -7524.030000 -0.0024456 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 392603.080000 USD 2798003.640000 CNY 2024-07-02 -7524.030000 N N N N/A N/A 000000000 -800000.000000 NC USD -9077.760000 -0.0029507 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.35000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.350000 USD 2025-09-25 XXXX -1397.760000 N N N N/A N/A 000000000 1.000000 NC 94804.620000 0.0308155 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1556232522.000000 JPY 9813137.000000 USD 2024-08-02 94804.620000 N N N N/A N/A 000000000 1.000000 NC -960.250000 -0.0003121 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 116504.000000 USD 3746536.000000 TWD 2024-09-13 -960.250000 N N N N/A N/A 000000000 400000.000000 NC USD 18318.800000 0.0059544 N/A DIR KY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.00500 09/29/25-30Y LCH 2055-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2025-09-25 XXXX 1698.800000 N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 143680.000000 PA USD 131548.090000 0.0427587 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N N/A N/A 000000000 1.000000 NC 6010.260000 0.0019536 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 -2034180.000000 USD 2700000.000000 AUD 2031-01-04 -6950.070000 N N N N/A N/A 000000000 600000.000000 NC 288447.700000 0.0937577 N/A DIR DE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased FRANCE GOVT FRANCE GOVT OAT BD N/A 97.000000 EUR 2025-05-23 XXXX 243024.500000 N N N FNMA PASS THRU POOLS N/A 31371NAA3 3455.690000 PA USD 3466.760000 0.0011268 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYR92 76445.070000 PA USD 70910.910000 0.023049 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -943.880000 -0.0003068 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 489296.000000 USD 3485108.620000 CNY 2024-07-31 -943.880000 N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 800000.000000 PA USD 800433.740000 0.260175 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.67017 N N N N N N N/A N/A 000000000 1.000000 NC -9340.630000 -0.0030361 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1318947.660000 USD 1036000.000000 GBP 2024-07-02 -9340.630000 N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 2200000.000000 PA 2789361.840000 0.906661 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 6.3541 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2MY5W7 100000.000000 PA 104587.950000 0.0339955 Long DBT NUSS RO N 2 2036-02-22 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC 14157.450000 0.0046018 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-06-19 0.000000 CAD -621.590000 CAD 6300000.000000 CAD 14779.040000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 645000000.000000 PA 651518.200000 0.211771 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N PMT LOAN TRUST 2021-INV1 N/A 69359YAC1 730409.330000 PA USD 581464.190000 0.189 Long ABS-MBS CORP US N 2 2051-07-25 Variable 2.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BQ7 500000.000000 PA 402281.120000 0.130758 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 6473.610000 0.0021042 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3017130.800000 PEN 791461.610000 USD 2024-07-30 6473.610000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1J7WJ1 300000.000000 PA 315984.930000 0.102708 Long DBT CORP IT N 2 2025-04-28 Fixed 2.625 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 154807.540000 PA USD 131025.540000 0.0425888 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.06177 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 385409.440000 PA 412211.030000 0.133986 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.556 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 700682.980000 PA USD 687488.030000 0.223463 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.6464 N N N N N N N/A N/A 000000000 1.000000 NC -3626.820000 -0.0011789 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2032-09-15 0.000000 AUD -909.850000 AUD 700000.000000 AUD -2716.970000 N N N N/A N/A 000000000 1.000000 NC -79.150000 -0.0000257 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 34577.000000 USD 368038.950000 NOK 2024-08-02 -79.150000 N N N N/A N/A 000000000 1.000000 NC -2235.040000 -0.0007265 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 211522.920000 USD 288544761.000000 KRW 2024-07-22 -2235.040000 N N N N/A N/A 000000000 -1500000.000000 NC USD -17402.400000 -0.0056565 N/A DIR KY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.33000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.330000 USD 2025-09-25 XXXX -902.400000 N N N N/A N/A 000000000 1.000000 NC USD 37135.880000 0.0120707 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 INDONESIA GOVT REPUBLIC OF INDONESIA Y Single Leg Swap 2029-06-20 33746.310000 USD 0.000000 USD 3800000.000000 USD 3389.570000 N N N N/A N/A 000000000 1.000000 NC 23650.590000 0.0076874 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-03-15 29503.550000 CAD 0.000000 CAD 1900000.000000 CAD -5852.960000 N N N N/A N/A 000000000 1.000000 NC 9666.660000 0.0031421 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3485010.760000 CNY 489296.000000 USD 2024-07-02 9666.660000 N N N N/A N/A 000000000 1.000000 NC -3195.540000 -0.0010387 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 355879.290000 USD 279000.000000 GBP 2024-07-02 -3195.540000 N N N WIND RIVER CLO LTD 2014-1A N/A 88432CBB1 504805.110000 PA USD 505253.880000 0.164229 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 6.63854 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 132575.810000 PA USD 108354.710000 0.0352199 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.73971 N N N N N N N/A N/A 000000000 50000.000000 NC USD 6329.150000 0.0020572 N/A DFE LU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-01-27 N/A 7.400000 USD 2025-01-23 XXXX 1586.650000 N N N N/A N/A 000000000 1.000000 NC 690.270000 0.0002244 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 586782.930000 CNY 81535.000000 USD 2024-09-20 690.270000 N N N N/A N/A 000000000 1300000.000000 NC USD 55358.160000 0.0179937 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96000 06/27/25-30Y LCH 2055-06-27 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2025-06-25 XXXX 11358.160000 N N N N/A N/A 000000000 1.000000 NC USD -10117.580000 -0.0032886 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-21 0.000000 USD -2175.000000 USD 600000.000000 USD -7942.580000 N N N N/A N/A 000000000 1.000000 NC -1398.240000 -0.0004545 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 82184.600000 USD 325283.030000 PLN 2024-07-22 -1398.240000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 1.490000 PA 0.160000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H08 N/A 38380QS78 631092.550000 PA USD 616866.840000 0.200508 Long ABS-MBS USGSE US N 2 2068-01-20 Floating 5.633 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 600000.000000 PA USD 565851.560000 0.183926 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 280.070000 0.000091 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1177067.000000 TWD 36581.000000 USD 2024-09-13 280.070000 N N N N/A N/A 000000000 1.000000 NC 71173.640000 0.0231344 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4839670.230000 BRL 936931.000000 USD 2024-07-02 71173.640000 N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ACI1K3GD9 173700000.000000 PA 2015482.010000 0.655117 Long DBT CORP N/A N 2 2030-02-25 Fixed 6.15 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 199000000.000000 PA 870249.300000 0.282868 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AR0 200000.000000 PA USD 173549.500000 0.0564109 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55 N N N N N N FNMA PASS THRU POOLS N/A 31419MBY6 4220.560000 PA USD 3990.730000 0.0012972 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -94894.490000 -0.0308447 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 9813137.000000 USD 1563568038.000000 JPY 2024-07-02 -94894.490000 N N N GPMT LTD 2021-FL4 N/A 36262TAA1 787329.030000 PA USD 773550.770000 0.251437 Long ABS-CBDO CORP KY N 2 2036-12-15 Floating 6.80971 N N N N N N ROCKFORD TOWER EUROPE CLO 2018-1A DAC N/A ACI2NJ0V6 700000.000000 PA 750371.290000 0.243902 Long ABS-CBDO CORP IE N 2 2037-04-24 Floating 5.22 N N N N N N N/A N/A 000000000 1.000000 NC 30.210000 0.0000098 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 33224.740000 USD 2779980.450000 INR 2024-09-24 30.210000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2M2QV6 8200000.000000 PA 1159108.550000 0.376759 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N N/A N/A 000000000 50000.000000 NC USD 5703.800000 0.001854 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-02-18 N/A 7.450000 USD 2025-02-14 XXXX 953.800000 N N N N/A N/A 000000000 1.000000 NC 785.010000 0.0002552 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 910175.000000 USD 76152612.920000 INR 2024-09-24 785.010000 N N N N/A N/A 000000000 1.000000 NC -133391.420000 -0.0433579 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2026-09-15 0.000000 CHF -18565.570000 CHF 2500000.000000 CHF -114825.850000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087Q72 3000000.000000 PA 2148544.830000 0.698368 Long DBT NUSS CA N 2 2033-12-01 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -26204.100000 -0.0085174 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2026-09-18 122629.000000 EUR 0.000000 EUR 18200000.000000 EUR -148833.100000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1JFLL0 2600000.000000 PA 1393098.800000 0.452816 Long DBT NUSS FR N 2 2052-05-25 Fixed 0.75 N N N N N N HAYFIN EMERALD CLO 12A N/A ACI2L68W6 500000.000000 PA 536140.830000 0.174268 Long ABS-CBDO CORP IE N 2 2037-01-25 Floating 5.66231 N N N N N N FNMA PASS THRU POOLS N/A 3140QDYC2 222777.060000 PA USD 206135.750000 0.0670028 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 300000.000000 PA USD 279952.620000 0.0909964 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N N/A N/A 000000000 1.000000 NC 3233.890000 0.0010512 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 828705132.000000 KRW 604312.000000 USD 2024-07-22 3233.890000 N N N N/A N/A 000000000 1.000000 NC USD 261665.230000 0.0850523 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -597000000.000000 JPY 4285714.290000 USD 2026-01-21 4562.860000 N N N FNMA PASS THRU POOLS N/A 31412QLC1 6379.770000 PA USD 6405.580000 0.0020821 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -543.440000 -0.0001766 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1188000.000000 MXN 63616.880000 USD 2024-09-18 -543.440000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087XQ2 2182726.000000 PA 1807570.400000 0.587537 Long DBT NUSS CA N 2 2036-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FXQR6 267441.410000 PA USD 226225.210000 0.0735328 Long ABS-MBS USGSE US N 2 2060-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31414ADY5 10899.240000 PA USD 11085.850000 0.0036034 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 7602.510000 0.0024711 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2029-03-20 9341.590000 MYR 0.000000 MYR 7080000.000000 MYR -1739.080000 N N N N/A N/A 000000000 1.000000 NC -3797.760000 -0.0012344 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 798013.000000 USD 5680096.930000 CNY 2024-07-08 -3797.760000 N N N N/A N/A 000000000 -60.000000 NC -74289.260000 -0.0241472 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-09-06 -7482088.350000 EUR -74289.260000 N N N N/A N/A 000000000 1.000000 NC USD 309050.370000 0.100454 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-12-20 392588.890000 USD 0.000000 USD 3080000.000000 USD -83538.520000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TV0 1500000.000000 PA USD 1550976.570000 0.504133 Long DBT UST US N 2 2053-11-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -4759.930000 -0.0015472 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 557932.840000 USD 2571408.130000 RON 2024-07-19 -4759.930000 N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 9.190000 PA 1.010000 0.0000003 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 239845.460000 PA USD 238933.640000 0.0776635 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 5.79254 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CE8 600000.000000 PA USD 590345.800000 0.191887 Long DBT CORP GB N 2 2025-11-23 Floating 1.822 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 300000.000000 PA USD 293926.170000 0.0955384 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 1493.000000 NS USD 34898.880000 0.0113436 Long EC CORP LU N 3 N N N FNMA PASS THRU POOLS N/A 3138E7TW4 4972.110000 PA USD 4835.480000 0.0015717 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31414K6M7 3981.480000 PA USD 3997.590000 0.0012994 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 762824.000000 PA USD 824212.700000 0.267904 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 4663441.210000 PA 532278.790000 0.173013 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 -13.000000 NC -6423.000000 -0.0020877 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-09-06 -1471593.040000 EUR -6423.000000 N N N N/A N/A 000000000 1.000000 NC -2213.800000 -0.0007196 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1902795.570000 USD 1707577.690000 CHF 2024-07-02 -2213.800000 N N N DOMINICAN REPUBLIC GOVT N/A 25714PEZ7 650000.000000 PA USD 648514.300000 0.210795 Long DBT NUSS DO N 2 2036-06-01 Fixed 6.6 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 2065488.000000 PA USD 1891131.770000 0.614698 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 1.200000 PA 0.130000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 -1600000.000000 NC USD -787.040000 -0.0002558 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.23500 07/12/24-10Y LCH 2034-07-12 0.000000 USD 0.000000 USD N/A USD N/A 4.240000 USD 2024-07-10 XXXX 4652.960000 N N N N/A N/A 000000000 1.000000 NC USD 56226.070000 0.0182759 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 2078.960000 USD 0.000000 USD 1900000.000000 USD 54147.110000 N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 507584.030000 PA USD 508793.860000 0.16538 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 6.63735 N N N N N N GERMANY GOVT 529900AQBND3S6YJLY83 ACI2C96L6 400000.000000 PA 423608.030000 0.13769 Long DBT NUSS DE N 2 2033-02-15 Fixed 2.3 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 70314.780000 PA USD 64022.490000 0.02081 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -9166.670000 -0.0029796 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 293504.000000 USD 267719674.000000 CLP 2024-09-23 -9166.670000 N N N N/A N/A 000000000 1.000000 NC 385.790000 0.0001254 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1169132.000000 TWD 36442.000000 USD 2024-09-13 385.790000 N N N N/A N/A 000000000 1.000000 NC -6394.900000 -0.0020786 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2032-06-01 3174.480000 CAD 0.000000 CAD 1400000.000000 CAD -9569.380000 N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 351689.910000 PA 376560.560000 0.122398 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 4.409 N N N N N N N/A N/A 000000000 -1600000.000000 NC USD -6123.040000 -0.0019902 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.88500 07/12/24-10Y LCH 2034-07-12 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2024-07-10 XXXX -683.040000 N N N FNMA PASS THRU POOLS N/A 3140KYNP5 72876.770000 PA USD 60018.890000 0.0195087 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 620050.350000 PA USD 545001.840000 0.177149 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N AMMC CLO 21 LTD 2017-21A N/A 00178LAB5 333440.520000 PA USD 334040.940000 0.108577 Long ABS-CBDO CORP KY N 2 2030-11-02 Floating 6.83975 N N N N N N FNMA PASS THRU POOLS N/A 31414PUU1 4492.040000 PA USD 4510.240000 0.001466 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -577.070000 -0.0001876 N/A DFE NZ N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 107310.680000 USD 175230.000000 NZD 2024-08-02 -577.070000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB N/A 02148JAU1 232316.260000 PA USD 189046.780000 0.0614482 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 12803RAB0 400000.000000 PA USD 407790.960000 0.132549 Long DBT CORP ES N 2 2027-09-13 Floating 6.684 N N N N N N N/A N/A 000000000 1.000000 NC 38951.120000 0.0126608 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 112000000.000000 JPY 764972.460000 USD 2025-04-21 38951.120000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAQ2 635239.990000 PA USD 169743.490000 0.0551738 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.75971 N N N N N N N/A N/A 000000000 1.000000 NC -19543.700000 -0.0063525 N/A DFE CN N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1019788.510000 USD 7267828.780000 CNY 2024-07-02 -19543.700000 N N N CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA N/A 224939AA6 3000000.000000 PA 800021.330000 0.260041 Long DBT CORP PE N 2 2043-12-15 Fixed 10.1 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 800000.000000 PA USD 712021.360000 0.231437 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N N/A N/A 000000000 1.000000 NC 43124.130000 0.0140172 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7500000.000000 BRL 1343604.440000 USD 2025-04-02 43124.130000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 000000000 300000.000000 PA USD 264720.450000 0.0860453 Long DBT NUSS SA N 2 2053-01-18 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 70855.860000 0.0230312 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2050-05-27 13360.870000 EUR 0.000000 EUR 150000.000000 EUR 57494.990000 N N N BCAP LLC TRUST 2007-AA2 N/A 05530NAA5 163621.440000 PA USD 153400.650000 0.0498617 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.87971 N N N N N N N/A N/A 000000000 1.000000 NC -3063.670000 -0.0009958 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 21927.510000 CAD 0.000000 CAD 1800000.000000 CAD -24991.180000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CE7 500000.000000 PA USD 474659.840000 0.154284 Long DBT CORP DE Y 2 2026-11-24 Floating 2.129 N N N N N N N/A N/A 000000000 1.000000 NC 867.820000 0.0002821 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 255229.000000 NZD 156327.760000 USD 2024-07-02 867.820000 N N N N/A N/A 000000000 1.000000 NC 582.520000 0.0001893 N/A DIR MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 N/A Klibor Interbank Offered Rate Y 2034-09-18 553.600000 MYR 0.000000 MYR 270000.000000 MYR 28.920000 N N N JOHN LEWIS PLC 213800JSUFNZLZLCVJ25 985BRBII4 100000.000000 PA 126605.730000 0.0411522 Long DBT CORP GB N 2 2025-01-21 Fixed 6.125 N N N N N N BANK OF AMERICA MTGE SEC 2006-3 N/A 05950LAK8 46377.920000 PA USD 36822.110000 0.0119687 Long ABS-MBS CORP US N 3 2036-10-25 Fixed 6 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 19754.770000 PA USD 15255.300000 0.0049586 Long ABS-MBS CORP US N 2 2037-07-25 Variable 5.31159 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HCD7 400000.000000 PA USD 427973.140000 0.139109 Long DBT CORP IT N 2 2033-11-28 Fixed 7.2 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1J0CL3 700000.000000 PA 709822.860000 0.230723 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N N/A N/A 000000000 1.000000 NC 903.930000 0.0002938 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1338000.000000 CNY 185736.850000 USD 2024-10-25 903.930000 N N N N/A N/A 000000000 1.000000 NC USD -12471.450000 -0.0040537 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 ISRAEL GOVT ISRAEL GOVT GLBL SR UNSEC Y Single Leg Swap 2027-06-20 0.000000 USD -14570.990000 USD 2900000.000000 USD 2099.540000 N N N CHILE ELECTRICITY LUX MPC SARL N/A 168829AA7 700000.000000 PA USD 709450.000000 0.230601 Long DBT CORP LU N 2 2033-01-20 Fixed 6.01 N N N N N N JP MORGAN MORTGAGE TRUST 2021-10 N/A 46654AAC3 650358.850000 PA USD 518468.030000 0.168524 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 13000.710000 PA USD 12321.150000 0.0040049 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.87971 N N N N N N N/A N/A 000000000 1.000000 NC USD -454422.590000 -0.147707 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-20 0.000000 USD -245588.010000 USD 9810000.000000 USD -208834.580000 N N N FNMA PASS THRU POOLS N/A 3140HAU57 92253.040000 PA USD 83537.320000 0.0271532 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -924.770000 -0.0003006 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2836804.050000 DKK 407155.000000 USD 2024-08-02 -924.770000 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDT8 900000.000000 PA USD 900389.120000 0.292664 Long DBT CORP NL N 2 2030-03-05 Floating 5.447 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 52329.110000 PA USD 48771.850000 0.0158529 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.3102 N N N N N N N/A N/A 000000000 1.000000 NC USD -6815.910000 -0.0022155 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-25 0.000000 USD -2085.000000 USD 300000.000000 USD -4730.910000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 000000000 800000.000000 PA USD 781682.000000 0.25408 Long DBT NUSS SA N 2 2033-07-18 Fixed 4.875 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AU0 700000.000000 PA USD 673234.630000 0.21883 Long DBT NUSS HU N 2 2036-03-26 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -9519.660000 -0.0030943 N/A DFE CL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 549349.000000 USD 508059929.000000 CLP 2024-07-11 -9519.660000 N N N N/A N/A 000000000 1.000000 NC -176323.590000 -0.0573126 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 41 Y Single Leg Swap 2029-06-20 0.000000 EUR -202275.560000 EUR 9100000.000000 EUR 25951.970000 N N N GNMA PASS THRU POOLS N/A 36179WVV7 1000000.190000 PA USD 871675.430000 0.283331 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -2995.230000 -0.0009736 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 466828.810000 USD 3384275.460000 CNY 2024-07-08 -2995.230000 N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAF5 376144.240000 PA USD 155734.060000 0.0506202 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 20828.480000 0.0067701 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3263686.100000 USD 13224965.210000 PLN 2024-07-22 20828.480000 N N N N/A N/A 000000000 -600000.000000 NC -238960.450000 -0.0776723 N/A DIR DE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.45100 05/27/25-25Y LCH 2050-05-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2025-05-23 XXXX -193537.250000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1 N/A 36265LAB3 1344261.690000 PA USD 1113850.670000 0.362049 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC 21569.550000 0.007011 N/A DFE GB N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 5409900.000000 GBP 6861465.430000 USD 2024-08-02 21569.550000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TX6 1000000.000000 PA USD 952421.880000 0.309577 Long DBT UST US N 2 2054-02-15 Fixed 4.25 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 2545.250000 PA USD 2304.060000 0.0007489 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.76712 N N N N N N N/A N/A 000000000 1.000000 NC USD -103378.120000 -0.0336023 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-11-30 0.000000 USD 0.000000 USD 6000000.000000 USD -103378.120000 N N N N/A N/A 000000000 1.000000 NC 986.750000 0.0003207 N/A DIR MY N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A Klibor Interbank Offered Rate Y 2029-09-18 924.510000 MYR 0.000000 MYR 720000.000000 MYR 62.240000 N N N N/A N/A 000000000 1.000000 NC USD 186496.220000 0.0606192 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-18 71162.490000 USD 0.000000 USD 19100000.000000 USD 115333.730000 N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAF5 201546.260000 PA USD 155958.670000 0.0506932 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.85971 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2MJSF2 900000.000000 PA 953474.700000 0.30992 Long DBT NUSS MX N 2 2032-05-25 Fixed 4.4899 N N N N N N N/A N/A 000000000 1.000000 NC 53371.770000 0.0173481 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2033-01-23 0.000000 JPY 0.000000 JPY 943600000.000000 JPY 53371.770000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJJ1 2300000.000000 PA USD 2321742.180000 0.754664 Long DBT UST US N 2 2033-11-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1948.260000 0.0006333 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-06-26 0.000000 EUR -1175.590000 EUR 800000.000000 EUR 3123.850000 N N N N/A N/A 000000000 1.000000 NC -6179.350000 -0.0020086 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 13513836575.000000 IDR 819765.640000 USD 2024-07-26 -6179.350000 N N N N/A N/A 000000000 1.000000 NC USD -2834.470000 -0.0009213 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -334300000.000000 JPY 2266440.680000 USD 2026-02-03 2093.240000 N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 54546.340000 PA USD 49718.490000 0.0161606 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.77971 N N N N N N N/A N/A 000000000 1.000000 NC 2.230000 0.0000007 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 759.140000 USD 27902.500000 THB 2024-07-19 2.230000 N N N GNMA PASS THRU POOLS N/A 21H030682 2800000.000000 PA USD 2441250.030000 0.793509 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 3 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 699880000.000000 PA 498071.300000 0.161894 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N N/A N/A 000000000 1.000000 NC -60196.270000 -0.0195663 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2029-09-18 0.000000 INR -42698.290000 INR 818020000.000000 INR -17497.980000 N N N FNMA PASS THRU POOLS N/A 31404FCH4 2754.000000 PA USD 2717.640000 0.0008833 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417WKT7 16506.100000 PA USD 16309.590000 0.0053013 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 98439.050000 0.0319969 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7397900.000000 GBP 9450120.370000 USD 2024-07-02 98439.050000 N N N N/A N/A 000000000 1.000000 NC -1344.500000 -0.000437 N/A DIR MY N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Klibor Interbank Offered Rate Y 2029-09-18 0.000000 MYR -872.650000 MYR 1290000.000000 MYR -471.850000 N N N N/A N/A 000000000 1.000000 NC 895.260000 0.000291 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2809089.000000 TWD 87528.000000 USD 2024-09-13 895.260000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFB2 2500000.000000 PA USD 2374267.580000 0.771737 Long DBT UST US N 2 2027-07-31 Fixed 2.75 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AHB4 12808.590000 PA USD 10780.050000 0.003504 Long ABS-MBS CORP US N 3 2036-02-25 Floating 7.66 N N N N N N N/A N/A 000000000 1.000000 NC 23530.770000 0.0076485 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 170000000.000000 JPY 1133824.660000 USD 2025-06-20 23530.770000 N N N N/A N/A 000000000 1.000000 NC 4642.170000 0.0015089 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3931777.530000 USD 329068940.840000 INR 2024-09-24 4642.170000 N N N N/A N/A 000000000 1.000000 NC 2868.860000 0.0009325 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 836552732.000000 KRW 609639.000000 USD 2024-07-22 2868.860000 N N N N/A N/A 000000000 1.000000 NC -412.840000 -0.0001342 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1118274931.000000 KRW 810696.630000 USD 2024-07-22 -412.840000 N N N N/A N/A 000000000 1.000000 NC -4392.950000 -0.0014279 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 195326.000000 USD 768784.190000 PLN 2024-07-22 -4392.950000 N N N GNMA PASS THRU POOLS N/A 36179W7K8 3555632.330000 PA USD 3099354.740000 1.00742 Long ABS-MBS USGSE US N 2 2052-06-20 Fixed 3 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5 N/A 073859AC4 32382.510000 PA USD 32277.770000 0.0104916 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.69971 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI081715 19266525.000000 PA 20635763.660000 6.7075 Long DBT NUSS IT N 2 2024-09-15 Fixed 2.35 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 3.180000 PA 0.360000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -576.740000 -0.0001875 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 41405.800000 USD 164396.550000 PLN 2024-07-22 -576.740000 N N N N/A N/A 000000000 50000.000000 NC USD 6253.550000 0.0020327 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-01-16 N/A 7.400000 USD 2025-01-14 XXXX 2278.550000 N N N N/A N/A 000000000 1.000000 NC -866.040000 -0.0002815 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 156327.510000 USD 255229.000000 NZD 2024-08-02 -866.040000 N N N N/A N/A 000000000 1.000000 NC -6086.080000 -0.0019782 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9836652.000000 CAD 7189288.000000 USD 2024-08-02 -6086.080000 N N N N/A N/A 000000000 1.000000 NC -1929.000000 -0.000627 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-05-25 0.000000 EUR 0.000000 EUR 1200000.000000 EUR -1929.000000 N N N FNMA PASS THRU POOLS N/A 31413DD61 2361.540000 PA USD 2371.080000 0.0007707 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -3544.940000 -0.0011523 N/A DFE AU N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 4236106.680000 AUD 2822361.140000 USD 2024-07-02 -3544.940000 N N N FNMA PASS THRU POOLS N/A 31416RZ48 7615.200000 PA USD 7199.440000 0.0023401 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 -800000.000000 PA USD -788968.740000 -0.256448 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-2 N/A 41161PJ38 22754.730000 PA USD 5834.280000 0.0018964 Long ABS-MBS CORP US N 3 2036-02-25 Floating 6.71934 N N N N N N GNMA PASS THRU POOLS N/A 36179W2V9 677305.560000 PA USD 590390.120000 0.191902 Long ABS-MBS USGSE US N 2 2052-04-20 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-29T1 N/A 02147PCJ1 20128.800000 PA USD 14077.530000 0.0045758 Long ABS-MBS CORP US N 3 2036-10-25 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -61008.020000 -0.0198302 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-03-15 49350.410000 AUD 0.000000 AUD 6700000.000000 AUD -110358.430000 N N N N/A N/A 000000000 1.000000 NC USD 3235.510000 0.0010517 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -9668.270000 USD 400000.000000 USD 12903.780000 N N N N/A N/A 000000000 1.000000 NC 77079.600000 0.0250541 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-09-18 0.000000 THB -25459.430000 THB 303400000.000000 THB 102539.030000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAM4 55721.820000 PA USD 51789.870000 0.0168339 Long ABS-MBS CORP US N 2 2046-09-25 Floating 6.25971 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 2736448.000000 PA USD 2532973.910000 0.823324 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N N/A N/A 000000000 1.000000 NC 5819.010000 0.0018914 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7189288.000000 USD 9843266.150000 CAD 2024-07-02 5819.010000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A 41161PMZ3 372.740000 PA USD 323.660000 0.0001052 Long ABS-MBS CORP US N 3 2035-07-19 Floating 5.67758 N N N N N N N/A N/A 000000000 1.000000 NC 1072.650000 0.0003487 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1434980.400000 CNY 200000.000000 USD 2024-12-10 1072.650000 N N N FNMA PASS THRU POOLS N/A 3138A2J59 487.130000 PA USD 475.870000 0.0001547 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.5 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 479735.110000 PA USD 294667.170000 0.0957793 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.93971 N N N N N N N/A N/A 000000000 1.000000 NC -17768.940000 -0.0057757 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2252109.090000 USD 16217169.560000 CNY 2024-09-20 -17768.940000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UA4 400000.000000 PA USD 405593.750000 0.131835 Long DBT UST US N 2 2054-05-15 Fixed 4.625 N N N N N N N/A N/A 000000000 -4200000.000000 NC USD -38396.400000 -0.0124805 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.40000 06/26/25-5Y LCH 2030-06-26 0.000000 USD 0.000000 USD N/A USD N/A 4.400000 USD 2025-06-24 XXXX -5636.400000 N N N N/A N/A 000000000 1.000000 NC -2624.980000 -0.0008532 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1019449.000000 USD 7252971.860000 CNY 2024-07-10 -2624.980000 N N N FNMA PASS THRU POOLS N/A 31414D7J9 5292.900000 PA USD 5314.310000 0.0017274 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -12471.080000 -0.0040536 N/A DFE CN N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1066226.950000 USD 7628107.470000 CNY 2024-10-25 -12471.080000 N N N N/A N/A 000000000 1.000000 NC 3549.620000 0.0011538 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2371897.940000 CNY 332571.220000 USD 2024-07-05 3549.620000 N N N N/A N/A 000000000 1.000000 NC -5381.940000 -0.0017494 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 378992.210000 CHF 416447.000000 USD 2024-07-02 -5381.940000 N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 4440.720000 PA USD 3994.230000 0.0012983 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.93971 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 836205AS3 200000.000000 PA USD 151296.000000 0.0491776 Long DBT NUSS ZA N 2 2044-07-24 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 2170.620000 0.0007055 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1701268.400000 CHF 1902795.570000 USD 2024-08-02 2170.620000 N N N UMBS PASS THRU POOLS N/A 01F020687 -23900000.000000 PA USD -18713886.900000 -6.0828 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 2 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-6 N/A 07387ADM4 3282.300000 PA USD 2842.280000 0.0009239 Long ABS-MBS CORP US N 3 2035-08-25 Floating 5.48704 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI27THY8 300000.000000 PA 331742.790000 0.10783 Long DBT CORP DE N 2 2030-09-05 Floating 5 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2MHL63 100000.000000 PA 96055.690000 0.0312222 Long DBT NUSS FR N 2 2049-06-25 Fixed 3 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAA8 427356.510000 PA USD 423931.330000 0.137796 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 -21639.880000 -0.0070339 N/A DFE GB N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 6860291.490000 USD 5409900.000000 GBP 2024-07-02 -21639.880000 N N N N/A N/A 000000000 1.000000 NC 6602.540000 0.0021461 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6576054.810000 BRL 1182977.710000 USD 2024-07-02 6602.540000 N N N N/A N/A 000000000 1.000000 NC 37.460000 0.0000122 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19692.000000 USD 322780532.000000 IDR 2024-07-22 37.460000 N N N N/A N/A 000000000 1.000000 NC 20176.420000 0.0065582 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 713292.690000 USD 13581000.000000 MXN 2024-09-18 20176.420000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAL9 200000.000000 PA USD 187550.820000 0.0609619 Long DBT CORP ES N 2 2026-03-25 Fixed 1.849 N N N N N N N/A N/A 000000000 1.000000 NC -2722.510000 -0.0008849 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 118872.000000 USD 467671.220000 PLN 2024-07-22 -2722.510000 N N N ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV N/A ACI1X1236 300000.000000 PA 302885.940000 0.0984507 Long DBT CORP US N 2 2028-04-30 Fixed 2.875 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -1371.720000 -0.0004459 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62800 07/22/24-10Y LCH 2034-07-22 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2024-07-18 XXXX 3188.280000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 262051AA3 264392.000000 PA USD 246513.550000 0.0801273 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N GCAT 2023-NQM4 TRUST N/A 36171FAA1 473921.820000 PA USD 438660.380000 0.142583 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.25 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -7749.480000 -0.0025189 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.97800 07/22/24-10Y LCH 2034-07-22 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2024-07-18 XXXX -3189.480000 N N N N/A N/A 000000000 1.000000 NC -45857.330000 -0.0149056 N/A DFE JP N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 896565.830000 USD 135003000.000000 JPY 2024-10-01 -45857.330000 N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 71675CAB4 200000.000000 PA USD 166566.000000 0.054141 Long DBT CORP MY N 2 2032-01-28 Fixed 2.48 N N N N N N N/A N/A 000000000 1.000000 NC 5345.640000 0.0017376 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 576000.000000 EUR 622213.110000 USD 2024-07-02 5345.640000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863EB0 600000.000000 PA USD 593750.680000 0.192994 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC -81428.910000 -0.0264678 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2025-12-18 0.000000 CAD -46394.820000 CAD 25100000.000000 CAD -35034.090000 N N N N/A N/A 000000000 1.000000 NC -1689.820000 -0.0005493 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 119000.000000 CHF 130760.510000 USD 2024-07-02 -1689.820000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 800000.000000 PA USD 773473.280000 0.251412 Long DBT CORP FR N 2 2026-06-09 Floating 2.219 N N N N N N N/A N/A 000000000 1.000000 NC -1353.210000 -0.0004399 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 242455.880000 USD 1347788.010000 BRL 2024-07-02 -1353.210000 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122EG9 300000.000000 PA USD 301232.190000 0.0979132 Long DBT CORP US N 2 2031-02-22 Fixed 5.1 N N N N N N N/A N/A 000000000 1.000000 NC 1.280000 0.0000004 N/A DFE MY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 341255.000000 MYR 72380.300000 USD 2024-07-17 1.280000 N N N N/A N/A 000000000 1.000000 NC -1641.800000 -0.0005337 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 909527.000000 USD 75895571.470000 INR 2024-09-24 -1641.800000 N N N N/A N/A 000000000 1.000000 NC 414.530000 0.0001347 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2275703.520000 USD 3086416.070000 SGD 2024-07-02 414.530000 N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AZ7 1200000.000000 PA USD 1185561.980000 0.385358 Long DBT CORP US N 2 2025-03-10 Fixed 3.95 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3 N/A 161927AC2 571443.110000 PA USD 508022.010000 0.165129 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25 N N N N N N N/A N/A 000000000 70000.000000 NC USD 11485.180000 0.0037332 N/A DFE LU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-01-16 N/A 7.330000 USD 2025-01-14 XXXX 4695.180000 N N N N/A N/A 000000000 1.000000 NC 929.870000 0.0003022 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 407155.000000 USD 2841862.260000 DKK 2024-07-02 929.870000 N N N N/A N/A 000000000 1.000000 NC -226617.910000 -0.0736604 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2025-09-18 0.000000 EUR 0.000000 EUR 23100000.000000 EUR -226617.910000 N N N BBCMS TRUST 2018-CBM N/A 05549RAA5 800000.000000 PA USD 786135.760000 0.255527 Long ABS-MBS CORP US N 2 2037-07-15 Floating 6.62601 N N N N N N N/A N/A 000000000 1.000000 NC 12507.230000 0.0040654 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8200000.000000 DKK 1209057.370000 USD 2025-04-01 12507.230000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CT5 700000.000000 PA USD 706958.240000 0.229791 Long DBT CORP GB N 2 2027-07-06 Floating 6.187 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI1X9C46 718630000.000000 PA 481953.470000 0.156655 Long DBT NUSS KR N 2 2031-06-10 Fixed 2 N N N N N N 2024-08-14 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX