NPORT-P false 0000810893 XXXXXXXX S000021058 C000066772 C000059899 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE Fundamental Advantage PLUS Fund S000021058 7QYFIQP34NJNMEYP7U11 2025-03-31 2024-09-30 N 1329774906.720000 823892086.600000 505882820.120000 0.000000 0.000000 19014144.360000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 14343602.340000 CAD PEN GBP JPY ZAR MXN DKK EUR BRL AUD USD N N/A N/A 000000000 1.000000 NC USD 161995.370000 0.0320223 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2025-03-05 0.000000 USD 0.000000 USD 14205469.680000 USD 161995.370000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 602014.960000 PA USD 605785.380000 0.119748 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N PK ALIFT LOAN FUNDING 4 LP 2024-2 N/A 69381EAA1 2500000.000000 PA USD 2495151.880000 0.493227 Long ABS-O CORP KY N 3 2039-10-15 Fixed 5.052 N N N N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAW5 234778.390000 PA USD 112464.480000 0.0222313 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 6754.330000 0.0013352 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3700000.000000 BRL 668650.570000 USD 2025-04-02 6754.330000 N N N N/A N/A 000000000 1.000000 NC USD -427353.300000 -0.0844767 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-12-18 66813.050000 USD 0.000000 USD 16500000.000000 USD -494166.350000 N N N AEGIS ASSET BACKED SECURITIES TR 2005-3 N/A 00764MFT9 4370000.000000 PA USD 3654929.910000 0.722486 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.70426 N N N N N N CENTEX HOME EQUITY 2004-B N/A 152314JV3 72238.050000 PA USD 71947.550000 0.0142222 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.61426 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 1300000.000000 PA USD 1347111.740000 0.266289 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797LQ8 2842000.000000 PA USD 2813935.260000 0.556242 Long DBT UST US N 2 2024-12-19 None 0 N N N N N N MF1 2022-FL8 LTD N/A 55284JAC3 2700000.000000 PA USD 2656125.000000 0.525048 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 6.71482 N N N N N N HEALTHCARE REALTY HOLDINGS LP 549300IYGAS4GE6VDL07 42225UAL8 346000.000000 PA USD 302780.830000 0.059852 Long DBT CORP US N 2 2030-03-15 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC -85563.960000 -0.0169138 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22151000.000000 CNY 3086509.210000 USD 2024-11-20 -85563.960000 N N N N/A N/A 000000000 1.000000 NC 4102.700000 0.000811 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 313519.900000 USD 2218000.000000 CNY 2024-11-20 4102.700000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAE6 1200000.000000 PA USD 1199757.530000 0.237161 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 7.49651 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -822.120000 -0.0001625 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/3.46300 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2024-10-21 XXXX 70.380000 N N N N/A N/A 000000000 1.000000 NC -159720.420000 -0.0315726 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-03-21 0.000000 JPY -10081.240000 JPY 1215000000.000000 JPY -149639.180000 N N N FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2007-FF2 N/A 32029GAA2 1816336.630000 PA USD 951196.780000 0.188027 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.24926 N N N N N N BARINGS CLO LTD 2018-I N/A 06760GAA9 1958681.960000 PA USD 1960537.050000 0.387548 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.51298 N N N N N N N/A N/A 000000000 1.000000 NC USD 5205358.210000 1.02897 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 5417925.430000 USD 0.000000 USD 45500000.000000 USD -212567.220000 N N N FNMA PASS THRU POOLS N/A 31411W4N4 5759.910000 PA USD 6069.220000 0.0011997 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 5177470.560000 PA 647370.340000 0.127968 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N GSPA MONETIZATION TRUST N/A 36298GAA7 22581.860000 PA USD 22766.720000 0.0045004 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N N/A N/A 000000000 1.000000 NC USD 3626824.480000 0.71693 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2024-10-02 0.000000 USD 0.000000 USD 182391947.230000 USD 3626824.480000 N N N N/A N/A 000000000 1.000000 NC -847.340000 -0.0001675 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 615286.000000 USD 4114619.230000 DKK 2024-10-02 -847.340000 N N N N/A N/A 000000000 1.000000 NC -407.740000 -0.0000806 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 110461.630000 PEN 29382.000000 USD 2024-10-21 -407.740000 N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 500000.000000 PA USD 505621.000000 0.0999482 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N N/A N/A 000000000 1.000000 NC -6005.160000 -0.0011871 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9656689.240000 MXN 479214.000000 USD 2024-12-11 -6005.160000 N N N N/A N/A 000000000 1.000000 NC 8819.920000 0.0017435 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4703045.000000 MXN 244886.490000 USD 2024-12-18 8819.920000 N N N UMBS PASS THRU POOLS N/A 01F0406B8 29490000.000000 PA USD 28347556.810000 5.60358 Long ABS-MBS USGSE US N 2 2054-11-14 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 134519.760000 0.0265911 N/A DFE N/A N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 26482416.000000 EUR 29653950.140000 USD 2024-11-04 134519.760000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 1000000.000000 PA USD 1020308.000000 0.201689 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 1163006.550000 PA USD 1168318.120000 0.230946 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N N/A N/A 000000000 -200000.000000 NC -9.680000 -0.0000019 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB RFR GBP SONIO/3.85000 10/03/24-10Y LCH N/A N/A 2034-10-03 0.000000 GBP 0.000000 GBP N/A GBP N/A 3.850000 GBP 2024-10-03 XXXX 677.230000 N N N N/A N/A 000000000 1.000000 NC 8420.360000 0.0016645 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 413453.490000 USD 2946000.000000 CNY 2024-11-20 8420.360000 N N N N/A N/A 000000000 -300000.000000 NC USD -439.080000 -0.0000868 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/3.06300 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.060000 USD 2024-10-21 XXXX 453.420000 N N N N/A N/A 000000000 1.000000 NC -372.950000 -0.0000737 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 107206.750000 PEN 28539.000000 USD 2024-10-21 -372.950000 N N N LUMINENT MORTGAGE TRUST 2006-3 N/A 55027AAD2 3272400.840000 PA USD 2225780.040000 0.439979 Long ABS-MBS CORP US N 2 2036-04-25 Variable 4.37902 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 292404.040000 PA USD 216818.770000 0.0428595 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -5438.660000 -0.0010751 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-21 0.000000 USD -1020.000000 USD 300000.000000 USD -4418.660000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFH3 83564.940000 PA USD 48126.950000 0.0095135 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 20372.070000 PA USD 19231.960000 0.0038017 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 272463.510000 PA USD 209476.380000 0.0414081 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.18926 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 367906.440000 PA USD 372196.740000 0.0735737 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N N/A N/A 000000000 1.000000 NC 6295.250000 0.0012444 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 740012.000000 USD 2873481.400000 PLN 2024-10-18 6295.250000 N N N N/A N/A 000000000 1.000000 NC USD 4152.930000 0.0008209 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.39 Y Single Leg Swap 2027-12-20 2725.140000 USD 0.000000 USD 200000.000000 USD 1427.790000 N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 47292.380000 PA USD 47269.480000 0.009344 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 197814.230000 PA USD 183612.870000 0.0362955 Long ABS-MBS CORP US N 2 2031-12-15 Floating 6.59401 N N N N N N N/A N/A 000000000 1.000000 NC -30478.480000 -0.0060248 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2621330523.000000 KRW 1958731.000000 USD 2024-10-23 -30478.480000 N N N N/A N/A 000000000 1.000000 NC -547.990000 -0.0001083 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 208235.280000 PEN 55608.000000 USD 2024-10-23 -547.990000 N N N FHLMC PASS THRU POOLS N/A 3142GQEJ7 1266172.800000 PA USD 1245159.760000 0.246136 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 4.5 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 342.210000 PA USD 338.590000 0.0000669 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.65682 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAH4 1446623.100000 PA USD 1302897.480000 0.257549 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.07 N N N N N N N/A N/A 000000000 1.000000 NC USD -4873.460000 -0.0009634 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -1125.000000 USD 300000.000000 USD -3748.460000 N N N CPS AUTO RECEIVABLES TRUST 2022-B N/A 12663BAD0 1000000.000000 PA USD 1004298.200000 0.198524 Long ABS-O CORP US N 2 2028-08-15 Fixed 5.19 N N N N N N FNMA PASS THRU POOLS N/A 3140H5MP3 45051.770000 PA USD 42530.890000 0.0084073 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 1416407.450000 PA USD 853870.750000 0.168788 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.05926 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 2200000.000000 PA USD 2219891.010000 0.438815 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N N/A N/A 000000000 1.000000 NC 23106.780000 0.0045676 N/A DFE NZ N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 2157350.070000 USD 3431768.000000 NZD 2024-11-04 23106.780000 N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 570219.850000 PA 765073.120000 0.151235 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.94938 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-2 N/A 863579V47 32829.300000 PA USD 25751.730000 0.0050905 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.20651 N N N N N N NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1 N/A 66988UAA8 637765.760000 PA USD 223502.270000 0.0441806 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.37926 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 3138000.000000 PA USD 2976242.410000 0.588326 Long DBT CORP US N 2 2028-06-01 Floating 2.182 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 1533791.980000 PA USD 1521839.910000 0.300829 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N N/A N/A 000000000 1.000000 NC -993.520000 -0.0001964 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 154370.740000 PEN 40618.000000 USD 2024-12-18 -993.520000 N N N N/A N/A 000000000 -300000.000000 NC USD -891.060000 -0.0001761 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/3.48100 10/29/24-10Y LCH 2034-10-29 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2024-10-25 XXXX 47.940000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 574000.000000 PA USD 73185.000000 0.0144668 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 -400000.000000 NC USD -1296.280000 -0.0002562 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/3.13500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.130000 USD 2024-10-28 XXXX 13.720000 N N N FNMA PASS THRU POOLS N/A 3140GRAN4 32535.420000 PA USD 30715.050000 0.0060716 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 13315.200000 0.0026321 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 940583.000000 USD 3673315.220000 PLN 2024-10-25 13315.200000 N N N N/A N/A 000000000 101500000.000000 PA USD 101500000.000000 20.0639 Long RA US N 2 Repurchase N 4.960000 2024-10-01 108817000.000000 USD 103346395.080000 USD UST N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 109807.470000 PA USD 96512.560000 0.019078 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.77077 N N N N N N N/A N/A 000000000 1.000000 NC -2552.110000 -0.0005045 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 432139.800000 PEN 114000.000000 USD 2024-10-15 -2552.110000 N N N FNMA PASS THRU POOLS N/A 3140GSRX2 364915.300000 PA USD 344500.200000 0.0680988 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -11646.160000 -0.0023021 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 -11646.160000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKL4 5694528.000000 PA USD 5854288.550000 1.15724 Long DBT UST US N 2 2029-04-15 Fixed 2.125 N N N N N N FNMA PASS THRU POOLS N/A 3140H5M32 15899.510000 PA USD 15009.800000 0.0029671 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -7883.010000 -0.0015583 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10592105.000000 TWD 328417.000000 USD 2024-11-18 -7883.010000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AX6 500000.000000 PA USD 497455.660000 0.0983342 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -77779.590000 -0.015375 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-03-20 0.000000 CAD -32880.270000 CAD 9530000.000000 CAD -44899.320000 N N N N/A N/A 000000000 1.000000 NC USD 142537.980000 0.0281761 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2025-01-15 0.000000 USD 0.000000 USD 4247188.160000 USD 142537.980000 N N N N/A N/A 000000000 1.000000 NC 213.920000 0.0000423 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 181349.000000 USD 992749.760000 BRL 2024-11-04 213.920000 N N N CREDIT SUISSE MORTGAGE TRUST 2010-16 N/A 12644WAT3 587109.010000 PA USD 525503.900000 0.103879 Long ABS-MBS CORP US N 2 2050-06-25 Variable 3.19184 N N N N N N N/A N/A 000000000 1.000000 NC -27070.640000 -0.0053512 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9600000.000000 DKK 1419201.990000 USD 2025-04-01 -27070.640000 N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAS4 200000.000000 PA USD 204253.320000 0.0403756 Long DBT CORP GB N 2 2026-11-21 Floating 6.833 N N N N N N N/A N/A 000000000 1.000000 NC -858.270000 -0.0001697 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3239846.000000 TWD 102007.050000 USD 2024-11-18 -858.270000 N N N N/A N/A 000000000 1.000000 NC -8893.760000 -0.0017581 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 829960738.000000 KRW 620926.000000 USD 2024-10-23 -8893.760000 N N N FNMA PASS THRU POOLS N/A 3140H1FD7 40734.290000 PA USD 38455.390000 0.0076016 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2PNWZ1 300000.000000 PA 88417.390000 0.0174778 Long DBT NUSS PE N 2 2039-08-12 Fixed 7.6 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599EL5 1200000.000000 PA USD 1219133.820000 0.240991 Long DBT CORP US N 2 2034-10-01 Fixed 5.55 N N N N N N MAN GLG EURO 6A N/A ACI22ZH11 1000000.000000 PA 1057968.480000 0.209133 Long ABS-CBDO CORP IE N 2 2032-10-15 Fixed 1.97 N N N N N N N/A N/A 000000000 1.000000 NC USD -3775.610000 -0.0007463 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 300000.000000 USD -3775.610000 N N N N/A N/A 000000000 1.000000 NC 52062.770000 0.0102915 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 5953523.650000 CHF 7086414.570000 USD 2024-10-02 52062.770000 N N N N/A N/A 000000000 -200000.000000 NC USD -680.740000 -0.0001346 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.40000 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2024-10-15 XXXX -10.740000 N N N UMBS PASS THRU POOLS N/A 01F0526B3 27800000.000000 PA USD 28124081.280000 5.55941 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411GP71 11942.780000 PA USD 12554.360000 0.0024817 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 1846386.330000 PA USD 314251.260000 0.0621194 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 294805.240000 PA USD 250887.630000 0.049594 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.036 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 391043.990000 PA USD 26762.150000 0.0052902 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.34903 N N N N N N N/A N/A 000000000 1.000000 NC USD -8146.850000 -0.0016104 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -1400.000000 USD 400000.000000 USD -6746.850000 N N N N/A N/A 000000000 1.000000 NC -9957.910000 -0.0019684 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 859328032.000000 KRW 642147.370000 USD 2024-10-23 -9957.910000 N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 541863.930000 PA USD 542411.900000 0.107221 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.53298 N N N N N N FNMA PASS THRU POOLS N/A 3140XH5X1 1202435.750000 PA USD 1183974.070000 0.234041 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5MJ7 37134.280000 PA USD 35056.100000 0.0069297 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -17558.010000 -0.0034708 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-02 0.000000 USD -978.750000 USD 300000.000000 USD -16579.260000 N N N N/A N/A 000000000 1.000000 NC 21062.370000 0.0041635 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 943557.840000 USD 6750495.850000 CNY 2024-10-25 21062.370000 N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AE5 76863.440000 PA USD 67460.770000 0.0133353 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.28926 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -353.930000 -0.00007 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.39500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2024-10-15 XXXX -18.930000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 858581.900000 PA USD 689939.850000 0.136383 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES 2018-2A N/A 14317PAJ2 1309252.850000 PA USD 1309937.350000 0.258941 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.45137 N N N N N N N/A N/A 000000000 1.000000 NC 34653.260000 0.0068501 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4381751.130000 USD 29315000.000000 DKK 2025-04-01 34653.260000 N N N FNMA PASS THRU POOLS N/A 3140JGR64 213724.950000 PA USD 201764.970000 0.0398837 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 377925.000000 PA USD 371849.250000 0.073505 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.40926 N N N N N N N/A N/A 000000000 1.000000 NC USD -3714.650000 -0.0007343 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-09 0.000000 USD 0.000000 USD 400000.000000 USD -3714.650000 N N N N/A N/A 000000000 1.000000 NC -76108.080000 -0.0150446 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 5786730.570000 AUD 3924549.100000 USD 2024-10-02 -76108.080000 N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAA2 244092.490000 PA USD 52980.230000 0.0104728 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.532 N N N N N N N/A N/A 000000000 1.000000 NC 333.080000 0.0000658 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 816726.680000 DKK 122507.000000 USD 2024-11-04 333.080000 N N N N/A N/A 000000000 -200000.000000 NC USD -717.120000 -0.0001418 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.37500 10/15/24-10Y LCH 2034-10-15 0.000000 USD 0.000000 USD N/A USD N/A 3.380000 USD 2024-10-10 XXXX -4.620000 N N N AVON FINANCE 4A N/A ACI2JTXR2 2059896.350000 PA 2756457.480000 0.544881 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 5.8521 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 3326466.520000 PA 3698140.520000 0.731027 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.335 N N N N N N N/A N/A 000000000 1.000000 NC USD 3775910.530000 0.7464 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 2884512.380000 USD 0.000000 USD 12850000.000000 USD 891398.150000 N N N N/A N/A 000000000 1.000000 NC USD -275854.150000 -0.0545293 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 16331680.890000 USD -275854.150000 N N N N/A N/A 000000000 1.000000 NC 218.220000 0.0000431 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-03-28 0.000000 GBP -425.980000 GBP 100000.000000 GBP 644.200000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 14500000.000000 PA 810254.380000 0.160166 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AG5 4600000.000000 PA USD 3277060.700000 0.647791 Long ABS-MBS CORP US N 2 2037-02-15 Floating 6.847 N N N N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAA5 301653.090000 PA USD 176955.680000 0.0349796 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.10926 N N N N N N N/A N/A 000000000 1.000000 NC 1123.140000 0.000222 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 18229597.000000 TWD 579914.000000 USD 2024-11-18 1123.140000 N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 11971.330000 PA USD 11966.360000 0.0023654 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.50926 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 1000000.000000 PA 291811.110000 0.0576835 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -217.900000 -0.0000431 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/3.05000 10/11/24-10Y LCH 2034-10-11 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2024-10-09 XXXX 1600.850000 N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 459710.200000 PA USD 381734.940000 0.0754592 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.46926 N N N N N N N/A N/A 000000000 1.000000 NC -542.960000 -0.0001073 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 349000.000000 USD 10975003.000000 TWD 2024-11-18 -542.960000 N N N N/A N/A 000000000 1.000000 NC -7005.000000 -0.0013847 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17252375.000000 TWD 540759.000000 USD 2024-11-18 -7005.000000 N N N N/A N/A 000000000 1.000000 NC 16334.700000 0.0032289 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 819356.610000 USD 12707811343.000000 IDR 2024-10-16 16334.700000 N N N N/A N/A 000000000 1.000000 NC -1661.370000 -0.0003284 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 414984.000000 USD 1591984.440000 PLN 2024-11-04 -1661.370000 N N N SLM STUDENT LOAN TRUST 2010-C N/A 78445QAE1 1750944.250000 PA USD 1834408.610000 0.362615 Long ABS-O CORP US N 2 2041-10-15 Floating 9.96099 N N N N N N N/A N/A 000000000 1.000000 NC 2045.110000 0.0004043 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4938000.000000 MXN 249905.110000 USD 2024-12-18 2045.110000 N N N FNMA PASS THRU POOLS N/A 31411WA31 2281.070000 PA USD 2368.890000 0.0004683 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 900000.000000 PA 1000951.650000 0.197862 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 4.335 N N N N N N N/A N/A 000000000 1.000000 NC -2618.870000 -0.0005177 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1444229.150000 CNY 204198.000000 USD 2024-11-20 -2618.870000 N N N N/A N/A 000000000 1.000000 NC 388263.660000 0.0767497 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -64377.710000 AUD 15100000.000000 AUD 452641.370000 N N N N/A N/A 000000000 1.000000 NC 3635.180000 0.0007186 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1266467.000000 USD 106525705.540000 INR 2024-10-24 3635.180000 N N N N/A N/A 000000000 1.000000 NC USD -5462.960000 -0.0010799 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1110.000000 USD 300000.000000 USD -4352.960000 N N N N/A N/A 000000000 824.000000 NC USD 157726.170000 0.0311784 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-12-31 90598156.460000 USD 157726.170000 N N N N/A N/A 000000000 1.000000 NC USD 75110.000000 0.0148473 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-18 92437.300000 USD 0.000000 USD 2900000.000000 USD -17327.300000 N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAC2 700000.000000 PA USD 718870.110000 0.142102 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.55 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 229420.010000 PA USD 96926.400000 0.0191599 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.06926 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI11H7L1 158000.000000 PA 206700.750000 0.0408594 Long DBT CORP GB N 2 2026-09-19 Floating 2.875 N N N N N N FNMA PASS THRU POOLS N/A 31411XMC6 5963.530000 PA USD 6159.970000 0.0012177 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2PJ5W7 18700000.000000 PA 543542.660000 0.107444 Long DBT NUSS TR N 2 2028-05-17 Floating 50 N N N N N N N/A N/A 000000000 1.000000 NC -4739.330000 -0.0009368 N/A DFE PE N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 783215.900000 PEN 206381.000000 USD 2024-12-18 -4739.330000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 1255000.000000 PA USD 1227040.480000 0.242554 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N PARK PLACE SECURITIES INC 2005-WCW2 N/A 70069FLK1 1400000.000000 PA USD 1249425.240000 0.246979 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.94426 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 500000.000000 PA USD 456301.980000 0.0901991 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N N/A N/A 000000000 1.000000 NC -16119.160000 -0.0031863 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3361995.120000 BRL 598752.470000 USD 2024-11-04 -16119.160000 N N N N/A N/A 000000000 1.000000 NC USD 906.400000 0.0001792 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -23552.000000 USD 644000.000000 USD 24458.400000 N N N SAXON ASSET SECURITIES TRUST-2006-2 N/A 80556XAH0 1700000.000000 PA USD 1383778.920000 0.273537 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.41926 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WAU7 1700000.000000 PA USD 1554711.880000 0.307327 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.2475 N N N N N N N/A N/A 000000000 1.000000 NC 520958.190000 0.10298 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2029-09-18 395238.130000 GBP 0.000000 GBP 24060000.000000 GBP 125720.060000 N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF10 N/A 32027NWP2 461459.540000 PA USD 429861.420000 0.0849725 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.68926 N N N N N N N/A N/A 000000000 1.000000 NC 2664.150000 0.0005266 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 204198.000000 USD 1447639.260000 CNY 2024-10-25 2664.150000 N N N CBAM 2018-6 LTD 2019-10A N/A 12482NAN1 938938.890000 PA USD 939968.450000 0.185807 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.66362 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAA3 1700000.000000 PA USD 1701904.340000 0.336423 Long ABS-O CORP US N 2 2028-06-15 Fixed 4.91 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 13197191.420000 PA 1647227.380000 0.325614 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -1147.050000 -0.0002267 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.38500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.380000 USD 2024-10-15 XXXX -127.050000 N N N N/A N/A 000000000 1.000000 NC -537.950000 -0.0001063 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 204419.430000 PEN 54589.000000 USD 2024-10-23 -537.950000 N N N FNMA PASS THRU POOLS N/A 31411AGT6 983.850000 PA USD 1014.990000 0.0002006 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR6 N/A 25150RAF2 536192.420000 PA USD 461289.820000 0.0911851 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.34926 N N N N N N N/A N/A 000000000 1.000000 NC -2596.600000 -0.0005133 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1467550.900000 CNY 207560.000000 USD 2024-11-20 -2596.600000 N N N FORT CRE 2022-FL3 N/A 34706CAA7 1828492.340000 PA USD 1811466.520000 0.35808 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 7.19575 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 315315.690000 PA USD 247389.600000 0.0489026 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.65048 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 666676.970000 PA USD 672044.250000 0.132846 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N N/A N/A 000000000 -600000.000000 NC USD -1725.660000 -0.0003411 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/3.11500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.120000 USD 2024-10-28 XXXX 212.340000 N N N FNMA PASS THRU POOLS N/A 3140H3ZT6 7054.410000 PA USD 6659.820000 0.0013165 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-2 N/A 66989EAA3 355741.450000 PA USD 347141.540000 0.0686209 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.16926 N N N N N N N/A N/A 000000000 1.000000 NC 4181.860000 0.0008266 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 448000.000000 USD 14241920.000000 TWD 2024-11-18 4181.860000 N N N N/A N/A 000000000 1.000000 NC USD -29605.170000 -0.0058522 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -90795.330000 USD 370225.340000 USD 61190.160000 N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 70271.270000 PA USD 66344.840000 0.0131147 Long ABS-MBS CORP US N 2 2037-07-27 Floating 4.23132 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEX9 100000.000000 PA USD 101594.270000 0.0200826 Long DBT CORP US N 2 2026-10-16 Floating 6.138 N N N N N N LIBERTY LENDING ABS TRUST 2023-1A N/A 75525AAA3 103837.040000 PA USD 104234.860000 0.0206045 Long ABS-O CORP US N 2 2031-02-18 Fixed 7.05 N N N N N N N/A N/A 000000000 1.000000 NC 1258.860000 0.0002488 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2436000.000000 GBP 3258018.460000 USD 2024-11-04 1258.860000 N N N N/A N/A 000000000 1.000000 NC -9178.550000 -0.0018144 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 830520509.000000 KRW 621066.000000 USD 2024-10-23 -9178.550000 N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCV8 1776768.930000 PA USD 1656944.700000 0.327535 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.44926 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 500000.000000 PA USD 508425.350000 0.100503 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 472000.000000 PA USD 469986.100000 0.0929041 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P87324BE1 200000.000000 PA 55640.230000 0.0109986 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J5 N/A 12667GHG1 313961.240000 PA USD 253654.180000 0.0501409 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -14029.340000 -0.0027732 N/A DFE MX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 367842.000000 USD 7048845.890000 MXN 2024-12-18 -14029.340000 N N N N/A N/A 000000000 1.000000 NC USD -9531.290000 -0.0018841 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1800.000000 USD 500000.000000 USD -7731.290000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3V1 1300000.000000 PA USD 1320951.230000 0.261118 Long DBT CORP US N 2 2026-05-08 Fixed 5.62 N N N N N N N/A N/A 000000000 1.000000 NC -31708.310000 -0.0062679 N/A DFE SG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3140039.020000 SGD 2411426.500000 USD 2024-10-02 -31708.310000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 7876497.410000 PA 984128.450000 0.194537 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 413579.740000 PA USD 417647.460000 0.0825581 Long ABS-O CORP US N 2 2052-11-15 Floating 6.89173 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -1719.050000 -0.0003398 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2024-10-28 XXXX -119.050000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 10000.000000 PA USD 9340.760000 0.0018464 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N FNMA PASS THRU POOLS N/A 3140HE7E6 21201.030000 PA USD 20014.640000 0.0039564 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -12489.720000 -0.0024689 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17506350.000000 TWD 543338.000000 USD 2024-11-18 -12489.720000 N N N UMBS PASS THRU POOLS N/A 01F0606B6 71300000.000000 PA USD 72873446.970000 14.4052 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 648834.360000 PA USD 376506.960000 0.0744257 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -9543.830000 -0.0018866 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 17027551.000000 TWD 531082.000000 USD 2024-11-18 -9543.830000 N N N N/A N/A 000000000 1.000000 NC 527.410000 0.0001043 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1805221.480000 DKK 270570.000000 USD 2024-11-04 527.410000 N N N N/A N/A 000000000 1.000000 NC -8219.250000 -0.0016247 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3505185.240000 PEN 936039.000000 USD 2025-02-14 -8219.250000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 13800000.000000 PA 715635.130000 0.141463 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31410NVD7 75.590000 PA USD 77.910000 0.0000154 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 408606.100000 PA USD 404668.320000 0.0799925 Long ABS-O CORP US N 2 2030-04-20 Fixed 3.8 N N N N N N N/A N/A 000000000 1.000000 NC -1339.240000 -0.0002647 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3258150.000000 USD 2436000.000000 GBP 2024-10-02 -1339.240000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 32191.190000 PA USD 313445.590000 0.0619601 Long STIV RF US N 1 N N N ACHV ABS TRUST 2023-4CP N/A 00092CAB8 266350.360000 PA USD 267454.010000 0.0528688 Long ABS-O CORP US N 2 2030-11-25 Fixed 7.24 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 1200000.000000 PA USD 1202803.980000 0.237763 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 7.21298 N N N N N N GNMA PASS THRU POOLS N/A 36179QUQ2 121782.920000 PA USD 123132.250000 0.0243401 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 3.75 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 3300000.000000 PA USD 3365155.860000 0.665205 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N N/A N/A 000000000 1.000000 NC USD -149472.170000 -0.0295468 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2025-03-12 0.000000 USD 0.000000 USD 8752200.870000 USD -149472.170000 N N N N/A N/A 000000000 1.000000 NC USD -4500.030000 -0.0008895 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -865.000000 USD 200000.000000 USD -3635.030000 N N N N/A N/A 000000000 1.000000 NC -170.220000 -0.0000336 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 53772.640000 PEN 14326.000000 USD 2024-11-27 -170.220000 N N N N/A N/A 000000000 1.000000 NC -7229.590000 -0.0014291 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17677180.000000 TWD 554022.000000 USD 2024-11-18 -7229.590000 N N N N/A N/A 000000000 1.000000 NC -16395.300000 -0.0032409 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7085000.000000 ZAR 393135.670000 USD 2024-10-18 -16395.300000 N N N FNMA PASS THRU POOLS N/A 31410XBB1 125.180000 PA USD 129.090000 0.0000255 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2633.870000 0.0005206 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 207560.000000 USD 1470954.890000 CNY 2024-10-25 2633.870000 N N N N/A N/A 000000000 1.000000 NC 3120.330000 0.0006168 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 361000.000000 ILS 99988.280000 USD 2024-10-18 3120.330000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHP9 621378.000000 PA USD 612832.570000 0.121141 Long DBT UST US N 2 2033-07-15 Fixed 1.375 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18 N/A 23244GAD4 699482.810000 PA USD 611356.160000 0.120849 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.20926 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T N/A 46652WAA1 3500000.000000 PA USD 3113005.700000 0.615361 Long ABS-MBS CORP US N 2 2042-03-05 Fixed 2.28704 N N N N N N N/A N/A 000000000 1.000000 NC -2653.240000 -0.0005245 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8957077.410000 MXN 448234.870000 USD 2024-11-29 -2653.240000 N N N N/A N/A 000000000 1.000000 NC -60.410000 -0.0000119 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 41000.000000 CNY 5810.880000 USD 2024-11-20 -60.410000 N N N N/A N/A 000000000 1.000000 NC -29863.450000 -0.0059032 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 9500000.000000 DKK 1401343.840000 USD 2025-04-01 -29863.450000 N N N FNMA PASS THRU POOLS N/A 31418CV27 48924.280000 PA USD 46186.620000 0.0091299 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 170665.020000 PA USD 161115.320000 0.0318483 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 4322.380000 0.0008544 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 344300.000000 USD 2439689.660000 CNY 2024-10-25 4322.380000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPHII6 300000.000000 PA USD 38250.000000 0.007561 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 800000.000000 PA USD 794135.960000 0.15698 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC USD -4392.230000 -0.0008682 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -721.000000 USD 200000.000000 USD -3671.230000 N N N N/A N/A 000000000 1.000000 NC -3802.330000 -0.0007516 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 643835.230000 PEN 169846.000000 USD 2024-10-15 -3802.330000 N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1 N/A 59023YAG9 52618.680000 PA USD 18957.850000 0.0037475 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -6891.750000 -0.0013623 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 830195279.000000 KRW 623106.000000 USD 2024-10-23 -6891.750000 N N N N/A N/A 000000000 1.000000 NC -3956.900000 -0.0007822 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16686735.000000 TWD 525848.000000 USD 2024-11-18 -3956.900000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 5700000.000000 PA USD 6042890.630000 1.19452 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N NAVIENT STUDENT LOAN TRUST 2014-AA N/A 63939CAD9 577797.640000 PA USD 579230.920000 0.114499 Long ABS-O CORP US N 2 2031-10-15 Floating 6.81099 N N N N N N N/A N/A 000000000 1.000000 NC 5372.090000 0.0010619 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 280814.000000 USD 4351844762.000000 IDR 2024-10-16 5372.090000 N N N N/A N/A 000000000 1.000000 NC -11890.500000 -0.0023504 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 888109062.000000 KRW 661869.000000 USD 2024-10-16 -11890.500000 N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 353915.440000 PA 393725.640000 0.0778294 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.335 N N N N N N N/A N/A 000000000 1.000000 NC 4658.670000 0.0009209 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 329812.000000 USD 1822095.870000 BRL 2024-10-02 4658.670000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638AV4 200000.000000 PA 55640.230000 0.0109986 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N N/A N/A 000000000 1.000000 NC 15477.230000 0.0030594 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 7012395.350000 USD 5948039.960000 CHF 2024-10-02 15477.230000 N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAB0 149071.150000 PA USD 128196.270000 0.0253411 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.43633 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -0.050000 0 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/3.56000 10/02/24-10Y LCH 2034-10-02 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2024-09-30 XXXX 1962.450000 N N N N/A N/A 000000000 1.000000 NC -3520.600000 -0.0006959 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1017609.990000 ILS 269537.000000 USD 2024-10-18 -3520.600000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 600000.000000 PA USD 609385.630000 0.12046 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -2180.140000 -0.000431 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.41 Y Single Leg Swap 2029-06-20 0.000000 USD -3840.000000 USD 100000.000000 USD 1659.860000 N N N FNMA PASS THRU POOLS N/A 3140GUMA2 206103.790000 PA USD 194573.290000 0.0384621 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CK88 2100000.000000 PA USD 2097565.510000 0.414635 Long DBT CORP US N 2 2024-10-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -23017.560000 -0.00455 N/A DFE NZ N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 3431768.000000 NZD 2157185.340000 USD 2024-10-02 -23017.560000 N N N N/A N/A 000000000 1.000000 NC -5854.060000 -0.0011572 N/A DFE PE N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 940473.660000 PEN 247656.000000 USD 2024-12-18 -5854.060000 N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 100788.310000 PA USD 99735.710000 0.0197152 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.17926 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 250943.020000 PA USD 234188.680000 0.0462931 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.36926 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDG1 500000.000000 PA USD 527708.970000 0.104315 Long DBT CORP JP N 2 2035-07-10 Floating 5.594 N N N N N N N/A N/A 000000000 1.000000 NC -169.030000 -0.0000334 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 53754.020000 PEN 14326.000000 USD 2024-10-28 -169.030000 N N N N/A N/A 000000000 1.000000 NC 124639.390000 0.024638 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2049140.580000 USD 37607000.000000 ZAR 2024-10-18 124639.390000 N N N N/A N/A 000000000 1.000000 NC 48460.050000 0.0095793 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9897412.170000 CAD 7372564.620000 USD 2024-11-04 48460.050000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 24411614.320000 PA 1082268.900000 0.213937 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N VERUS SECURITIZATION TRUST 2023-4 N/A 92539TAA1 1009532.650000 PA USD 1016835.000000 0.201002 Long ABS-MBS CORP US N 2 2068-05-25 Fixed 5.811 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 700000.000000 PA 731943.300000 0.144686 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N WASHINGTON MUTUAL 2006-AR1 N/A 92925CCC4 4255548.080000 PA USD 3734807.730000 0.738275 Long ABS-MBS CORP US N 2 2046-01-25 Floating 6.19303 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-1A N/A 36269HAB8 1671541.430000 PA USD 1674295.800000 0.330965 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.57 N N N N N N FNMA PASS THRU POOLS N/A 31411KW66 16739.860000 PA USD 17283.660000 0.0034165 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 1500000.000000 PA USD 1444628.910000 0.285566 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 10092344.000000 PA USD 9968674.940000 1.97055 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N FNMA PASS THRU POOLS N/A 31411E3U9 5630.000000 PA USD 5876.600000 0.0011617 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 1103483.720000 PA USD 1080424.110000 0.213572 Long ABS-MBS CORP US N 2 2037-05-25 Floating 6.06926 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 100000.000000 PA 25362.770000 0.0050136 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -107.460000 -0.0000212 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2024-10-15 XXXX 562.540000 N N N UMBS PASS THRU POOLS N/A 01F0426B4 50000.000000 PA USD 49178.700000 0.0097214 Long ABS-MBS USGSE US N 2 2054-11-14 Fixed 4.5 N N N N N N N/A N/A 000000000 -200000.000000 NC -275.640000 -0.0000545 N/A DIR US 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 2.53000 10/28/24-10Y LCH 2034-10-28 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.530000 EUR 2024-10-24 XXXX 239.620000 N N N FNMA PASS THRU POOLS N/A 3140HBJZ2 38450.970000 PA USD 36299.000000 0.0071754 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -3176.360000 -0.0006279 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -293.430000 EUR 80000.000000 EUR -2882.930000 N N N N/A N/A 000000000 1.000000 NC 4354.810000 0.0008608 N/A DFE ID N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 274315.000000 USD 4237549541.000000 IDR 2024-10-16 4354.810000 N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 750098.700000 PA USD 701002.040000 0.13857 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.43426 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AT6 100000.000000 PA USD 102204.100000 0.0202031 Long DBT CORP US N 2 2034-09-15 Fixed 5.625 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 1432.650000 PA USD 1402.350000 0.0002772 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.13296 N N N N N N N/A N/A 000000000 1.000000 NC USD -961509.250000 -0.190066 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -155273.020000 USD 24700000.000000 USD -806236.230000 N N N N/A N/A 000000000 1.000000 NC 145704.260000 0.028802 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-19 68054.140000 EUR 0.000000 EUR 8375000.000000 EUR 77650.120000 N N N N/A N/A 000000000 1.000000 NC 618.590000 0.0001223 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 38059.000000 USD 588144757.000000 IDR 2024-10-16 618.590000 N N N N/A N/A 000000000 1.000000 NC 1115.560000 0.0002205 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 189744.000000 USD 27431290.000000 JPY 2024-10-02 1115.560000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI24R197 17319050.700000 PA 829713.590000 0.164013 Long DBT NUSS MX N 2 2026-12-03 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140GYJX8 129902.880000 PA USD 122634.380000 0.0242417 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 1300000.000000 PA USD 1324495.170000 0.261819 Long DBT CORP CA N 2 2027-01-19 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -43129.940000 -0.0085257 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2436000.000000 GBP 3213680.820000 USD 2024-10-02 -43129.940000 N N N N/A N/A 000000000 1.000000 NC -376.500000 -0.0000744 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 108224.770000 PEN 28810.000000 USD 2024-10-21 -376.500000 N N N MORGAN STANLEY MTGE LN TRUST 2006-11 N/A 61749WAP2 82515.930000 PA USD 35826.160000 0.0070819 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO10 N/A 751153AA5 1426930.940000 PA USD 1270182.290000 0.251082 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.28926 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAB4 87390.620000 PA USD 87449.930000 0.0172866 Long ABS-O CORP US N 2 2026-08-10 Fixed 5.98 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 272583.540000 PA USD 268400.810000 0.0530559 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -1764.030000 -0.0003487 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 164617804.000000 KRW 123157.000000 USD 2024-10-23 -1764.030000 N N N N/A N/A 000000000 1.000000 NC USD -22435.460000 -0.0044349 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -1965.890000 USD 4000000.000000 USD -20469.570000 N N N N/A N/A 000000000 1.000000 NC 1808.150000 0.0003574 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 628638.000000 USD 52876628.090000 INR 2024-10-24 1808.150000 N N N N/A N/A 000000000 1.000000 NC 840.940000 0.0001662 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4107535.140000 DKK 615286.000000 USD 2024-11-04 840.940000 N N N N/A N/A 000000000 1.000000 NC USD -207307.170000 -0.0409793 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 18219.650000 USD 0.000000 USD 6300000.000000 USD -225526.820000 N N N N/A N/A 000000000 1.000000 NC USD -9192.720000 -0.0018172 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-15 0.000000 USD -871.250000 USD 200000.000000 USD -8321.470000 N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 100524.410000 PA USD 97151.600000 0.0192044 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.60926 N N N N N N UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST N/A 90932WAA1 200000.000000 PA USD 208917.680000 0.0412976 Long DBT CORP US N 2 2038-08-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -234.550000 -0.0000464 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 188000.000000 ILS 50211.920000 USD 2024-10-18 -234.550000 N N N N/A N/A 000000000 -100000.000000 NC USD -51.450000 -0.0000102 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2024-10-15 XXXX 283.550000 N N N N/A N/A 000000000 1.000000 NC -857.550000 -0.0001695 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 327640.010000 PEN 87499.000000 USD 2024-10-23 -857.550000 N N N ARGENT SECURITIES INC 2005-W3 N/A 040104PC9 1472982.130000 PA USD 1431840.270000 0.283038 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.62926 N N N N N N N/A N/A 000000000 1.000000 NC 5590.680000 0.0011051 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 287302.000000 USD 4453827430.000000 IDR 2024-10-16 5590.680000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 9100000.000000 PA 457773.060000 0.0904899 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 49446.650000 PA USD 46679.810000 0.0092274 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAF3 372737.100000 PA USD 168623.950000 0.0333326 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.60926 N N N N N N N/A N/A 000000000 1.000000 NC USD 79376.320000 0.0156907 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 66159.350000 USD 0.000000 USD 550000.000000 USD 13216.970000 N N N N/A N/A 000000000 -400000.000000 NC -173.120000 -0.0000342 N/A DIR US N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 Put Written NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.39000 10/16/24-5Y LCH 2029-10-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.390000 EUR 2024-10-14 XXXX 452.310000 N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 1238000.000000 PA USD 1217518.780000 0.240672 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N N/A N/A 000000000 1.000000 NC -17159.420000 -0.003392 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 17579600.000000 TWD 540994.000000 USD 2024-11-18 -17159.420000 N N N N/A N/A 000000000 1.000000 NC -8611.140000 -0.0017022 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17389954.000000 TWD 543521.000000 USD 2024-11-18 -8611.140000 N N N N/A N/A 000000000 1.000000 NC USD -9041.840000 -0.0017873 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -1275.000000 USD 300000.000000 USD -7766.840000 N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 N/A 85573MAA7 249840.410000 PA USD 241812.140000 0.0478 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 1.486 N N N N N N CAIRN CLO VII BV 16-7A N/A ACI1G9KT1 892808.920000 PA 993955.640000 0.196479 Long ABS-CBDO CORP IE N 2 2030-01-31 Floating 4.306 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBK3 800000.000000 PA USD 818901.760000 0.161876 Long DBT CORP US N 2 2029-08-06 Fixed 4.838 N N N N N N N/A N/A 000000000 -100000.000000 NC -213.650000 -0.0000422 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.26000 10/18/24-10Y LCH 2034-10-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.260000 EUR 2024-10-16 XXXX 57.910000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 451948.000000 PA USD 281518.420000 0.0556489 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 115634.390000 PA 128850.230000 0.0254704 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.365 N N N N N N JUBILEE CLO 2014-XII BV 14-12A N/A ACI1W2W65 824640.680000 PA 918383.030000 0.181541 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 4.285 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 100000.000000 PA USD 97273.150000 0.0192284 Long DBT CORP US N 2 2030-04-15 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -2566.260000 -0.0005073 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5319226.970000 DKK 791757.230000 USD 2024-10-02 -2566.260000 N N N N/A N/A 000000000 1.000000 NC -4251.670000 -0.0008404 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 418646136.000000 KRW 313440.000000 USD 2024-10-23 -4251.670000 N N N N/A N/A 000000000 1.000000 NC -8602.920000 -0.0017006 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 824356449.000000 KRW 616964.000000 USD 2024-10-23 -8602.920000 N N N N/A N/A 000000000 1.000000 NC -10454.570000 -0.0020666 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -431.440000 EUR 100000.000000 EUR -10023.130000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 950310.000000 PA USD 917352.480000 0.181337 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 USD -6340.870000 -0.0012534 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -1065.000000 USD 300000.000000 USD -5275.870000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAE3 531538.090000 PA USD 478122.130000 0.0945124 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.01926 N N N N N N N/A N/A 000000000 -100000.000000 NC -125.620000 -0.0000248 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.49000 10/18/24-10Y LCH 2034-10-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.490000 EUR 2024-10-16 XXXX 145.940000 N N N FNMA PASS THRU POOLS N/A 3138EKHM0 17014.290000 PA USD 16276.520000 0.0032174 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.5 N N N N N N VERUS SECURITIZATION TRUST 2023-6 N/A 92539XAA2 1252173.300000 PA USD 1277582.400000 0.252545 Long ABS-MBS CORP US N 2 2068-09-25 Fixed 6.665 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 288026.670000 PA USD 282386.470000 0.0558205 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.56926 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 100000.000000 PA USD 95502.420000 0.0188784 Long DBT CORP US N 2 2027-07-22 Floating 1.734 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7V60 20354.880000 PA USD 21485.130000 0.0042471 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.5 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 3882223.370000 PA USD 37898264.500000 7.49151 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -9524.170000 -0.0018827 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 862230689.000000 KRW 644783.800000 USD 2024-10-23 -9524.170000 N N N N/A N/A 000000000 1.000000 NC -6158.810000 -0.0012174 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 17075834.000000 TWD 536000.000000 USD 2024-11-18 -6158.810000 N N N N/A N/A 000000000 1.000000 NC 23130.560000 0.0045723 N/A DFE AU N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 3977526.620000 USD 5786730.570000 AUD 2024-10-02 23130.560000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 1623795.000000 PA USD 1521112.550000 0.300685 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 693491.650000 0.137085 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 1556193.190000 USD 0.000000 USD 23800000.000000 USD -862701.540000 N N N N/A N/A 000000000 1.000000 NC -8233.540000 -0.0016276 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20959588.940000 TRY 558684.000000 USD 2024-12-13 -8233.540000 N N N N/A N/A 000000000 1.000000 NC USD 44768773.770000 8.84963 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2024-11-20 0.000000 USD 0.000000 USD 241921262.830000 USD 44768773.770000 N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 4155172.970000 PA USD 3790074.130000 0.7492 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.69426 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 1370000.000000 PA USD 1326816.090000 0.262277 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.86926 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2NBJY7 50307718.700000 PA 2379511.660000 0.470368 Long DBT NUSS MX N 2 2034-08-24 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 43432.470000 PA USD 41109.300000 0.0081262 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N NELNET STUDENT LOAN TRUST 2021-CA N/A 64035GAA7 1163167.940000 PA USD 1154947.370000 0.228303 Long ABS-O CORP US N 2 2062-04-20 Floating 5.81534 N N N N N N N/A N/A 000000000 1.000000 NC -23263.660000 -0.0045986 N/A DFE AU N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 5786730.570000 AUD 3979465.170000 USD 2024-11-04 -23263.660000 N N N N/A N/A 000000000 1.000000 NC 625.120000 0.0001236 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 43448.280000 USD 670195367.000000 IDR 2024-10-16 625.120000 N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAD3 2320565.100000 PA USD 682892.180000 0.13499 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.48926 N N N N N N N/A N/A 000000000 1.000000 NC USD -5211384.060000 -1.03016 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2025-10-01 0.000000 USD 0.000000 USD 127510222.490000 USD -5211384.060000 N N N N/A N/A 000000000 1.000000 NC -3523.170000 -0.0006964 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2598052.930000 PEN 696940.000000 USD 2024-11-12 -3523.170000 N N N N/A N/A 000000000 1.000000 NC 25787.200000 0.0050975 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 26053116.110000 MXN 1333508.000000 USD 2024-12-18 25787.200000 N N N N/A N/A 000000000 1.000000 NC -1046.110000 -0.0002068 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2444561.320000 USD 3140527.930000 SGD 2024-10-02 -1046.110000 N N N N/A N/A 000000000 1.000000 NC 1523.350000 0.0003011 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1284629.340000 PLN 335280.000000 USD 2024-10-02 1523.350000 N N N TOWD POINT MORTGAGE TRUST 2017-6 N/A 89175JAE0 1479000.000000 PA USD 1284081.700000 0.25383 Long ABS-MBS CORP US N 2 2057-10-25 Variable 3.36891 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 200000.000000 PA USD 185749.670000 0.0367179 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 3300000.000000 PA USD 3309184.890000 0.654141 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.497 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 441000.000000 PA 484096.260000 0.0956934 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 7834.400000 PA USD 7035.240000 0.0013907 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.55079 N N N N N N FNMA PASS THRU POOLS N/A 31418CWS9 43881.180000 PA USD 41425.590000 0.0081888 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31410VVX5 301.750000 PA USD 318.090000 0.0000629 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-8 N/A 69544QAA8 2500000.000000 PA USD 2506948.000000 0.495559 Long ABS-O CORP US N 2 2032-01-15 Fixed 5.331 N N N N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002AKF0 2530000.000000 PA USD 2524782.940000 0.499084 Long DBT CORP NL N 2 2024-10-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -59714.500000 -0.011804 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11955317.950000 CNY 1652314.000000 USD 2024-11-20 -59714.500000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 800000.000000 PA USD 803804.660000 0.158891 Long DBT CORP US N 2 2026-04-02 Floating 6.25034 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-5A N/A 30168DAC0 1700000.000000 PA USD 1707132.860000 0.337456 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.32 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 2000000.000000 PA USD 2060173.540000 0.407243 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X57 516586.020000 PA USD 494298.790000 0.0977101 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.74926 N N N N N N N/A N/A 000000000 1.000000 NC 16521.450000 0.0032659 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8607955.000000 MXN 448592.670000 USD 2024-12-18 16521.450000 N N N N/A N/A 000000000 1.000000 NC -529.590000 -0.0001047 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 270570.000000 USD 1808339.120000 DKK 2024-10-02 -529.590000 N N N N/A N/A 000000000 1.000000 NC -4880.640000 -0.0009648 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-03 0.000000 EUR -632.210000 EUR 200000.000000 EUR -4248.430000 N N N N/A N/A 000000000 1.000000 NC -5093.990000 -0.001007 N/A DFE NZ N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1455341.200000 NZD 919484.570000 USD 2024-10-02 -5093.990000 N N N UMBS PASS THRU POOLS N/A 01F0306A1 10200000.000000 PA USD 9156081.920000 1.80992 Long ABS-MBS USGSE US N 2 2054-10-15 Fixed 3 N N N N N N N/A N/A 000000000 -39.000000 NC -56233.460000 -0.0111159 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-12-06 -5211709.890000 EUR -56233.460000 N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 120974.490000 PA USD 97257.960000 0.0192254 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.9223 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 1012901.430000 PA USD 929288.240000 0.183696 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.48926 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRVP9 14300000.000000 PA 2488660.810000 0.491944 Long DBT NUSS BR N 2 2025-04-01 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWGG2 950699.830000 PA USD 951272.440000 0.188042 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -6517.830000 -0.0012884 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-19 0.000000 EUR -790.090000 EUR 300000.000000 EUR -5727.740000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 262576.070000 PA USD 255677.020000 0.0505408 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7W4 1600000.000000 PA USD 1658063.820000 0.327757 Long DBT CORP US N 2 2026-10-30 Fixed 5.882 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAF1 102524.540000 PA USD 102270.630000 0.0202163 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.41926 N N N N N N N/A N/A 000000000 1.000000 NC 3518.100000 0.0006954 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1434237.070000 PLN 376144.000000 USD 2024-10-02 3518.100000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 1000000.000000 PA 288857.120000 0.0570996 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -1086.370000 -0.0002147 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1125000.000000 DKK 166910.580000 USD 2024-10-02 -1086.370000 N N N N/A N/A 000000000 1.000000 NC -9764.740000 -0.0019302 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-06 0.000000 EUR -912.600000 EUR 300000.000000 EUR -8852.140000 N N N N/A N/A 000000000 1.000000 NC -1605.720000 -0.0003174 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 535025.240000 USD 2054116.520000 PLN 2024-10-25 -1605.720000 N N N N/A N/A 000000000 1.000000 NC USD -56828.590000 -0.0112335 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 8000000.000000 USD -56828.590000 N N N N/A N/A 000000000 1.000000 NC -8483.360000 -0.0016769 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 8771112.000000 TWD 270000.000000 USD 2024-11-18 -8483.360000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VV7 29431.990000 PA USD 16551.190000 0.0032717 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.74264 N N N N N N N/A N/A 000000000 1.000000 NC USD 831.780000 0.0001644 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -865.000000 USD 200000.000000 USD 1696.780000 N N N N/A N/A 000000000 -300000.000000 NC USD -141.480000 -0.000028 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.98500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.980000 USD 2024-10-15 XXXX 878.520000 N N N N/A N/A 000000000 605.000000 NC USD 122044.230000 0.024125 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-12-19 69192148.740000 USD 122044.230000 N N N N/A N/A 000000000 1.000000 NC USD -5555.190000 -0.0010981 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -1820.000000 USD 400000.000000 USD -3735.190000 N N N N/A N/A 000000000 1.000000 NC -1129.650000 -0.0002233 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2100000.000000 BRL 374541.190000 USD 2025-04-02 -1129.650000 N N N N/A N/A 000000000 1.000000 NC 2976.600000 0.0005884 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2300000.000000 BRL 414425.620000 USD 2025-04-02 2976.600000 N N N N/A N/A 000000000 1.000000 NC -6262.990000 -0.001238 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -835.450000 EUR 300000.000000 EUR -5427.540000 N N N N/A N/A 000000000 1.000000 NC 2059.420000 0.0004071 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1700000.000000 BRL 306173.910000 USD 2025-04-02 2059.420000 N N N N/A N/A 000000000 1.000000 NC 890.580000 0.000176 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 50000.000000 USD 773850000.000000 IDR 2024-10-15 890.580000 N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7F7 1479000.000000 PA USD 1447539.010000 0.286141 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.62926 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 2238507.730000 PA USD 2253502.820000 0.445459 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.40678 N N N N N N N/A N/A 000000000 1.000000 NC 2324.140000 0.0004594 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1313000.000000 ILS 354644.410000 USD 2024-10-18 2324.140000 N N N N/A N/A 000000000 1.000000 NC USD 42406.680000 0.0083827 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 160965.660000 USD 0.000000 USD 22800000.000000 USD -118558.980000 N N N N/A N/A 000000000 -400000.000000 NC USD -205.800000 -0.0000407 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2024-10-15 XXXX 1134.200000 N N N N/A N/A 000000000 1.000000 NC USD 71155.740000 0.0140657 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.42 Y Single Leg Swap 2029-06-20 60120.000000 USD 0.000000 USD 900000.000000 USD 11035.740000 N N N N/A N/A 000000000 1.000000 NC -6066.330000 -0.0011992 N/A DFE TW N 2 UBS AG BFM8T61CT2L1QCEMIK50 97194292.000000 TWD 3079858.610000 USD 2024-11-18 -6066.330000 N N N CARMAX AUTO OWNER TRUST 2024-1 N/A 14318WAB3 1922246.380000 PA USD 1927866.840000 0.38109 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.3 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAA8 118375.520000 PA USD 64268.770000 0.0127043 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.15926 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 2725338.090000 PA USD 2093301.940000 0.413792 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.28926 N N N N N N WASHINGTON MUTUAL 2005-AR11 N/A 92922F2G2 2855489.760000 PA USD 2849125.160000 0.563199 Long ABS-MBS CORP US N 2 2045-08-25 Floating 5.60926 N N N N N N N/A N/A 000000000 1.000000 NC -554.890000 -0.0001097 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 101350.480000 PEN 26779.000000 USD 2024-10-18 -554.890000 N N N FNMA PASS THRU POOLS N/A 3140H5LT6 30423.360000 PA USD 28721.460000 0.0056775 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 273743.180000 PA USD 210843.210000 0.0416783 Long ABS-MBS CORP US N 2 2036-12-19 Floating 5.4893 N N N N N N FNMA PASS THRU POOLS N/A 31418ELW8 5425922.270000 PA USD 5337784.950000 1.05514 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -53.750000 -0.0000106 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1400000.000000 BRL 250393.480000 USD 2025-04-02 -53.750000 N N N N/A N/A 000000000 -400000.000000 NC USD -1415.720000 -0.0002799 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.39500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2024-10-15 XXXX -75.720000 N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 829.970000 PA USD 821.200000 0.0001623 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 783980.720000 PA USD 313493.430000 0.0619696 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.18426 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAB9 3000000.000000 PA USD 2577127.500000 0.509432 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.56926 N N N N N N N/A N/A 000000000 1.000000 NC -2049.750000 -0.0004052 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 378000.000000 EUR 418720.730000 USD 2024-10-02 -2049.750000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 1456081.000000 PA USD 1428309.530000 0.28234 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC 964.070000 0.0001906 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8028231.300000 DKK 1201905.000000 USD 2024-11-04 964.070000 N N N FNMA PASS THRU POOLS N/A 31414NBW3 7485.330000 PA USD 7779.300000 0.0015378 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 12114.110000 PA USD 11271.960000 0.0022282 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.46926 N N N N N N N/A N/A 000000000 1.000000 NC -6219.940000 -0.0012295 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17146893.000000 TWD 538195.000000 USD 2024-11-18 -6219.940000 N N N FNMA PASS THRU POOLS N/A 31410PZE6 1376.260000 PA USD 1450.950000 0.0002868 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -657.780000 -0.00013 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -535.870000 EUR 200000.000000 EUR -121.910000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 2926872.440000 PA USD 2925409.000000 0.578278 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.79207 N N N N N N N/A N/A 000000000 1.000000 NC -13186.770000 -0.0026067 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -662.690000 EUR 200000.000000 EUR -12524.080000 N N N N/A N/A 000000000 1.000000 NC 1350.750000 0.000267 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 9987152.850000 MXN 502650.000000 USD 2024-12-18 1350.750000 N N N FREMONT HOME LOAN TRUST 2006-3 N/A 35729MAD9 939108.940000 PA USD 305508.010000 0.0603911 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.30926 N N N N N N N/A N/A 000000000 1.000000 NC 9815.090000 0.0019402 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 150760.350000 USD 2778000.000000 ZAR 2024-10-18 9815.090000 N N N N/A N/A 000000000 1.000000 NC 6351.210000 0.0012555 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 704031.000000 USD 2735160.440000 PLN 2024-10-18 6351.210000 N N N N/A N/A 000000000 1.000000 NC -4838.800000 -0.0009565 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1017605.000000 USD 6782039.470000 DKK 2024-10-02 -4838.800000 N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 2014000.000000 PA USD 1876599.480000 0.370955 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.50926 N N N N N N N/A N/A 000000000 1.000000 NC -29.470000 -0.0000058 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2800000.000000 BRL 500864.980000 USD 2025-04-02 -29.470000 N N N N/A N/A 000000000 1.000000 NC -17436.420000 -0.0034467 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -806.550000 EUR 200000.000000 EUR -16629.870000 N N N MORTGAGEIT TRUST 2005-5 N/A 61915RAU0 163542.330000 PA USD 160313.890000 0.0316899 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.48926 N N N N N N N/A N/A 000000000 1.000000 NC -134466.820000 -0.0265806 N/A DFE N/A N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 29613352.600000 USD 26482416.000000 EUR 2024-10-02 -134466.820000 N N N CSMC 2021-RPL3 TRUST N/A 12661GAA7 1420806.340000 PA USD 1268824.110000 0.250814 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2 N N N N N N N/A N/A 000000000 1.000000 NC 13817.020000 0.0027313 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 812681.000000 USD 12569127516.000000 IDR 2024-10-23 13817.020000 N N N MASTR ASSET SECURITIZATION TRUST 2006-2 N/A 55274QBB0 112581.160000 PA USD 65019.310000 0.0128526 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQBS0 2441816.240000 PA USD 2401799.490000 0.474774 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 4.5 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152FA4 156538.480000 PA USD 168130.510000 0.0332351 Long DBT MUN US N 2 2035-04-01 Fixed 6.725 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 700000.000000 PA USD 659886.440000 0.130442 Long DBT CORP IM N 2 2028-11-01 Fixed 3.375 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 2977312.430000 PA 3304288.450000 0.653173 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 4.368 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -53.600000 -0.0000106 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/2.97500 10/15/24-10Y LCH 2034-10-15 0.000000 USD 0.000000 USD N/A USD N/A 2.980000 USD 2024-10-10 XXXX 658.900000 N N N N/A N/A 000000000 1.000000 NC USD -2311.290000 -0.0004569 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -755.000000 USD 200000.000000 USD -1556.290000 N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 578848.780000 PA USD 562159.820000 0.111125 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.89926 N N N N N N NOMURA RESECURITIZATION TRUST 2018-1R N/A 65541JAA5 2147573.740000 PA USD 2077005.330000 0.41057 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.86926 N N N N N N FNMA PASS THRU POOLS N/A 3140H6CT4 4486.190000 PA USD 4235.160000 0.0008372 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-11CB N/A 12667GJJ3 218114.280000 PA USD 178457.030000 0.0352764 Long ABS-MBS CORP US N 2 2025-06-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -9374.810000 -0.0018532 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -1341.890000 USD 300000.000000 USD -8032.920000 N N N N/A N/A 000000000 1.000000 NC -100251.180000 -0.0198171 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20673362.110000 CNY 2860220.910000 USD 2024-11-20 -100251.180000 N N N PFP 2022-9 LTD A N/A 69291QAA3 1964307.450000 PA USD 1975878.400000 0.39058 Long ABS-MBS CORP KY N 2 2035-08-19 Floating 7.37081 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 210513.750000 PA USD 215493.370000 0.0425975 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N N/A N/A 000000000 1.000000 NC USD -1869.360000 -0.0003695 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-14 0.000000 USD -330.000000 USD 100000.000000 USD -1539.360000 N N N N/A N/A 000000000 -200000.000000 NC -826.960000 -0.0001635 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.29000 10/28/24-10Y LCH 2034-10-28 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.290000 EUR 2024-10-24 XXXX -311.700000 N N N N/A N/A 000000000 1.000000 NC 382.510000 0.0000756 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 119452.000000 USD 657493.670000 BRL 2024-12-03 382.510000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 1000000.000000 PA USD 1007822.500000 0.19922 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2022-1 DAC 22-1A N/A ACI23GLP4 2550376.500000 PA 2835872.110000 0.560579 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.405 N N N N N N N/A N/A 000000000 1.000000 NC 2169.010000 0.0004288 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1319784.240000 USD 110874546.090000 INR 2024-10-24 2169.010000 N N N N/A N/A 000000000 1.000000 NC -11052.650000 -0.0021848 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3447000.000000 ZAR 188192.690000 USD 2024-10-18 -11052.650000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UK12 2450000.000000 PA USD 2449661.240000 0.484235 Long DBT CORP CA N 2 2024-10-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797LF2 35000.000000 PA USD 34714.870000 0.0068622 Long DBT UST US N 2 2024-12-05 None 0 N N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 62875.280000 PA USD 58028.330000 0.0114707 Long ABS-MBS CORP US N 2 2033-06-25 Floating 5.25926 N N N N N N N/A N/A 000000000 1.000000 NC USD 4632.850000 0.0009158 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 4401.730000 USD 0.000000 USD 200000.000000 USD 231.120000 N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703TAE6 78000.000000 PA USD 78851.100000 0.0155868 Long DBT CORP US N 2 2026-10-01 Fixed 4.9 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 500000.000000 PA USD 473947.770000 0.0936873 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 2188417.350000 PA USD 536466.000000 0.106046 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.36926 N N N N N N N/A N/A 000000000 1.000000 NC 3594.930000 0.0007106 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1217054.000000 USD 102377973.950000 INR 2024-10-24 3594.930000 N N N FNMA PASS THRU POOLS N/A 3140H5NN7 37081.120000 PA USD 35006.270000 0.0069198 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LJ8 49999.020000 PA USD 47202.070000 0.0093306 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -1119.740000 -0.0002213 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 27305300.000000 JPY 189744.000000 USD 2024-11-05 -1119.740000 N N N CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2 N/A 17309LAH8 1000000.000000 PA USD 926645.200000 0.183174 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.44926 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LQ2 7414.000000 PA USD 6999.220000 0.0013836 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -16900.700000 -0.0033408 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-05 0.000000 USD -1540.000000 USD 400000.000000 USD -15360.700000 N N N N/A N/A 000000000 1.000000 NC USD -8572.840000 -0.0016946 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.42 Y Single Leg Swap 2029-12-20 0.000000 USD -8925.000000 USD 300000.000000 USD 352.160000 N N N FNMA PASS THRU POOLS N/A 3140H1FV7 6821.310000 PA USD 6437.010000 0.0012724 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -9193.840000 -0.0018174 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1615.000000 USD 400000.000000 USD -7578.840000 N N N N/A N/A 000000000 1.000000 NC USD -1255.070000 -0.0002481 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -790.000000 USD 200000.000000 USD -465.070000 N N N N/A N/A 000000000 -400000.000000 NC USD -57.080000 -0.0000113 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.06500 10/08/24-10Y LCH 2034-10-08 0.000000 USD 0.000000 USD N/A USD N/A 3.060000 USD 2024-10-04 XXXX 1512.920000 N N N FNMA PASS THRU POOLS N/A 3138EKWM3 18776.120000 PA USD 19971.600000 0.0039479 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 6 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAB3 474540.000000 PA USD 124215.020000 0.0245541 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.12926 N N N N N N RESIDENTIAL ASSET SECS CORP 2005-KS12 N/A 753910AG3 5075000.000000 PA USD 4834562.740000 0.955669 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.92926 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DW6 900000.000000 PA USD 937444.070000 0.185308 Long DBT CORP US N 2 2035-07-26 Floating 5.284 N N N N N N N/A N/A 000000000 1.000000 NC USD -73202.510000 -0.0144703 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 11040000.000000 USD -73202.510000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 800000.000000 PA USD 830287.050000 0.164126 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC -2066.620000 -0.0004085 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 583612.000000 USD 2239441.800000 PLN 2024-10-25 -2066.620000 N N N HERTZ VEHICLE FINANCING III LLC 2024-1A N/A 42806MCK3 2200000.000000 PA USD 2246533.960000 0.444082 Long ABS-O CORP US N 2 2029-01-25 Fixed 5.44 N N N N N N N/A N/A 000000000 110.000000 NC USD 53138.470000 0.0105041 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-12-19 13028984.320000 USD 53138.470000 N N N N/A N/A 000000000 -200000.000000 NC -144.850000 -0.0000286 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/3.54000 10/03/24-10Y LCH N/A N/A 2034-10-03 0.000000 GBP 0.000000 GBP N/A GBP N/A 3.540000 GBP 2024-10-03 XXXX 542.060000 N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 900000.000000 PA USD 886452.300000 0.175229 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N N/A N/A 000000000 1.000000 NC USD -181682.300000 -0.0359139 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-20 98070.970000 USD 0.000000 USD 10800000.000000 USD -279753.270000 N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 175034.930000 PA USD 160772.700000 0.0317806 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.44926 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TT5 1000000.000000 PA USD 996132.810000 0.19691 Long DBT UST US N 2 2053-08-15 Fixed 4.125 N N N N N N FNMA PASS THRU POOLS N/A 31418MQP0 27278.170000 PA USD 28484.880000 0.0056307 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.5 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 503476.620000 PA USD 389804.090000 0.0770542 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.54466 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 634650.830000 PA USD 604404.770000 0.119475 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N N/A N/A 000000000 -400000.000000 NC USD -1211.880000 -0.0002396 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/3.48500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2024-10-28 XXXX 98.120000 N N N N/A N/A 000000000 -3.000000 NC USD -170.010000 -0.0000336 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/24 2024-12-20 N/A USD N/A 112.000000 USD 2024-10-25 XXXX 1418.250000 N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19 N/A 12543XAG1 227926.820000 PA USD 111526.030000 0.0220458 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 8887.970000 0.0017569 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 379646.800000 USD 2719000.000000 CNY 2024-10-25 8887.970000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAU9 200000.000000 PA USD 198778.320000 0.0392934 Long DBT CORP GB N 2 2028-01-10 Fixed 4.337 N N N N N N N/A N/A 000000000 1.000000 NC 1114.540000 0.0002203 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3135186.560000 SGD 2444561.320000 USD 2024-11-04 1114.540000 N N N MAN GLG EURO 6A N/A ACI22ZH37 2200000.000000 PA 2450881.970000 0.484476 Long ABS-CBDO CORP IE N 2 2032-10-15 Floating 5.385 N N N N N N UMBS PASS THRU POOLS N/A 01F0626B2 99680000.000000 PA USD 102720485.210000 20.3052 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 6.5 N N N N N N VEROS AUTO RECEIVABLES TRUST 2023-1 N/A 924933AA2 844845.010000 PA USD 849852.410000 0.167994 Long ABS-O CORP US N 2 2028-11-15 Fixed 7.12 N N N N N N N/A N/A 000000000 1.000000 NC 31672.410000 0.0062608 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 548259.000000 USD 10032975.220000 ZAR 2024-10-18 31672.410000 N N N N/A N/A 000000000 1.000000 NC -1522.730000 -0.000301 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 335280.000000 USD 1285524.540000 PLN 2024-11-04 -1522.730000 N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 94734.940000 PA USD 94763.730000 0.0187323 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 6.63772 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A N/A 76088TAA9 661836.130000 PA USD 660913.460000 0.130646 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N N/A N/A 000000000 1.000000 NC USD 1646.940000 0.0003256 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -710.000000 USD 200000.000000 USD 2356.940000 N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAA1 802511.780000 PA USD 539684.680000 0.106682 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.15926 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EW9 33685.850000 PA USD 32994.650000 0.0065222 Long ABS-MBS CORP US N 2 2044-03-25 Floating 3.58363 N N N N N N N/A N/A 000000000 1.000000 NC USD 361820.890000 0.0715227 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 432683.110000 USD 0.000000 USD 18100000.000000 USD -70862.220000 N N N BX TRUST 2022-FOX2 N/A 05610AAW8 960909.040000 PA USD 944924.700000 0.186787 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.84571 N N N N N N N/A N/A 000000000 1.000000 NC USD 171843.500000 0.033969 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 282824.730000 USD 0.000000 USD 24200000.000000 USD -110981.230000 N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 39664.760000 PA USD 39733.830000 0.0078544 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.95926 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -902.280000 -0.0001784 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/3.13100 10/29/24-10Y LCH 2034-10-29 0.000000 USD 0.000000 USD N/A USD N/A 3.130000 USD 2024-10-25 XXXX 36.720000 N N N N/A N/A 000000000 1.000000 NC USD 2120.620000 0.0004192 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 0.000000 USD -1200.000000 USD 250000.000000 USD 3320.620000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAB7 1537607.830000 PA USD 1521450.650000 0.300752 Long ABS-O CORP US N 2 2053-01-15 Floating 5.94099 N N N N N N N/A N/A 000000000 1.000000 NC 267871.950000 0.0529514 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-03-20 0.000000 CAD 0.000000 CAD 20700000.000000 CAD 267871.950000 N N N STWD 2022-FL3 LTD N/A 78485KAE5 4300000.000000 PA USD 4222293.200000 0.834639 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 7.14207 N N N N N N N/A N/A 000000000 1.000000 NC 35175.570000 0.0069533 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 9898405.260000 CAD 7354198.300000 USD 2024-10-02 35175.570000 N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 1933303.770000 PA 2149988.260000 0.424997 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.305 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 310666.270000 PA USD 295047.960000 0.0583234 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.74926 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 5236951.050000 PA 256990.940000 0.0508005 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -5446.730000 -0.0010767 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2622000.000000 CNY 370029.580000 USD 2024-11-20 -5446.730000 N N N FNMA PASS THRU POOLS N/A 3140H5MU2 1122.520000 PA USD 1075.880000 0.0002127 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138X0BT4 21383.310000 PA USD 20553.780000 0.004063 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -13790.670000 -0.0027261 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-29 0.000000 EUR -483.790000 EUR 300000.000000 EUR -13306.880000 N N N N/A N/A 000000000 1.000000 NC USD -229676.350000 -0.0454011 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 13615906.290000 USD -229676.350000 N N N FHLMC PASS THRU POOLS N/A 3133KR3D4 1531100.950000 PA USD 1506326.440000 0.297762 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 5112.900000 0.0010107 N/A DFE NZ N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 919573.350000 USD 1455341.200000 NZD 2024-11-04 5112.900000 N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 102884.050000 PA USD 98804.040000 0.019531 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.27926 N N N N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 82045.450000 PA USD 80516.160000 0.015916 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.70426 N N N N N N N/A N/A 000000000 1.000000 NC USD -11023.300000 -0.002179 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -2043.750000 USD 500000.000000 USD -8979.550000 N N N FNMA PASS THRU POOLS N/A 3140H37E0 209444.610000 PA USD 197724.730000 0.0390851 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767GK35 2540000.000000 PA USD 2538898.580000 0.501875 Long DBT CORP US N 2 2024-10-03 None 0 N N N N N N ATLAS SENIOR LOAN FUND LTD 2019-14A N/A 04942CAQ9 2500000.000000 PA USD 2505438.930000 0.495261 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 7.49362 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 40968.960000 PA USD 43157.700000 0.0085312 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -3360.320000 -0.0006642 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-03 0.000000 USD -915.000000 USD 200000.000000 USD -2445.320000 N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AE1 1300000.000000 PA USD 1326989.430000 0.262312 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.7 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 670207.640000 PA USD 605178.130000 0.119628 Long ABS-MBS CORP US N 2 2047-02-25 Floating 5.87303 N N N N N N N/A N/A 000000000 1.000000 NC 1386.400000 0.0002741 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8814485.280000 DKK 1317659.000000 USD 2024-10-02 1386.400000 N N N N/A N/A 000000000 1.000000 NC USD -51654.070000 -0.0102107 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 6300000.000000 USD -51654.070000 N N N N/A N/A 000000000 1.000000 NC -29481.550000 -0.0058277 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-06 0.000000 EUR -1412.680000 EUR 300000.000000 EUR -28068.870000 N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 800000.000000 PA USD 779751.100000 0.154137 Long DBT CORP IE N 2 2030-06-15 Variable 5.15 N N N N N N N/A N/A 000000000 1.000000 NC -317.930000 -0.0000628 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 207626.780000 PEN 55667.000000 USD 2024-10-31 -317.930000 N N N N/A N/A 000000000 1.000000 NC USD -9148.430000 -0.0018084 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-22 0.000000 USD -1430.000000 USD 400000.000000 USD -7718.430000 N N N N/A N/A 000000000 1.000000 NC -423.190000 -0.0000837 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 653044.080000 BRL 119452.000000 USD 2024-10-02 -423.190000 N N N N/A N/A 000000000 1.000000 NC 13948.550000 0.0027573 N/A DFE ID N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 889657.980000 USD 13741770123.000000 IDR 2024-10-23 13948.550000 N N N WASHINGTON MUTUAL MTGE P/T 2006-AR2 N/A 93934FMN9 57304.800000 PA USD 46015.980000 0.0090962 Long ABS-MBS CORP US N 2 2046-04-25 Floating 6.06303 N N N N N N N/A N/A 000000000 1.000000 NC USD -5120.060000 -0.0010121 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -2287.500000 USD 500000.000000 USD -2832.560000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAB5 973798.750000 PA USD 964755.670000 0.190707 Long ABS-O CORP US N 2 2053-07-15 Floating 6.44173 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20C N/A 83162CRR6 3896.150000 PA USD 3928.350000 0.0007765 Long ABS-O CORP US N 2 2028-03-01 Fixed 5.49 N N N N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 750644.780000 PA USD 791176.150000 0.156395 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.77926 N N N N N N N/A N/A 000000000 1.000000 NC 6296.250000 0.0012446 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 964259.000000 USD 3738263.400000 PLN 2024-11-04 6296.250000 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 1018354.800000 PA USD 411442.430000 0.0813316 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.26926 N N N N N N N/A N/A 000000000 1.000000 NC -1245.350000 -0.0002462 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 44465.300000 USD 161068.760000 ILS 2024-10-18 -1245.350000 N N N N/A N/A 000000000 1.000000 NC -334.180000 -0.0000661 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 122507.000000 USD 818136.420000 DKK 2024-10-02 -334.180000 N N N FNMA PASS THRU POOLS N/A 31411EMM6 46265.290000 PA USD 48272.640000 0.0095423 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 468066.410000 PA USD 478406.560000 0.0945687 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 6.47255 N N N N N N N/A N/A 000000000 1.000000 NC -62085.090000 -0.0122726 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 12056423.840000 CNY 1664422.000000 USD 2024-11-20 -62085.090000 N N N N/A N/A 000000000 1.000000 NC -9075.440000 -0.001794 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3605858.270000 PEN 962178.000000 USD 2025-02-24 -9075.440000 N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 120143.060000 PA USD 107025.770000 0.0211562 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -10285.280000 -0.0020331 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1460.000000 USD 400000.000000 USD -8825.280000 N N N N/A N/A 000000000 1.000000 NC 677.050000 0.0001338 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 546000.000000 ILS 147186.470000 USD 2024-10-18 677.050000 N N N N/A N/A 000000000 1.000000 NC USD -198566.570000 -0.0392515 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 73058.800000 USD 0.000000 USD 4800000.000000 USD -271625.370000 N N N FNMA PASS THRU POOLS N/A 31404RUM7 7087.840000 PA USD 7243.640000 0.0014319 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 7.146 N N N N N N N/A N/A 000000000 1.000000 NC -7822.070000 -0.0015462 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11898264.480000 MXN 584397.000000 USD 2025-02-11 -7822.070000 N N N N/A N/A 000000000 -500000.000000 NC USD -0.050000 0 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/3.16000 10/02/24-10Y LCH 2034-10-02 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2024-09-30 XXXX 1962.450000 N N N CARLYLE EURO CLO 2019-2 DAC 19-2A N/A ACI1ZPM05 1198949.320000 PA 1332951.080000 0.26349 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 4.432 N N N N N N N/A N/A 000000000 1.000000 NC USD 373225.040000 0.073777 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 822065.940000 USD 0.000000 USD 52200000.000000 USD -448840.900000 N N N FNMA PASS THRU POOLS N/A 31418CZG2 786067.730000 PA USD 742075.290000 0.146689 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -5211.120000 -0.0010301 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 888433527.000000 KRW 668981.000000 USD 2024-10-23 -5211.120000 N N N N/A N/A 000000000 1.000000 NC -40.920000 -0.0000081 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11148.000000 USD 74379.120000 DKK 2024-10-02 -40.920000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 1491000.000000 PA USD 1335386.920000 0.263972 Long DBT CORP JP N 2 2030-07-16 Fixed 2.679 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -811.050000 -0.0001603 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/3.45000 10/11/24-10Y LCH 2034-10-11 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2024-10-09 XXXX 1007.700000 N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH4 N/A 17309SAG5 3100000.000000 PA USD 2948077.990000 0.582759 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.44926 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 400000.000000 PA USD 399683.470000 0.0790071 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -4743.860000 -0.0009377 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-20 0.000000 USD -1065.000000 USD 300000.000000 USD -3678.860000 N N N N/A N/A 000000000 1.000000 NC -16120.720000 -0.0031867 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -764.280000 EUR 200000.000000 EUR -15356.440000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 1461216.000000 PA USD 1435255.440000 0.283713 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CK3 1569000.000000 PA USD 1379894.940000 0.27277 Long DBT CORP GB N 2 2031-08-18 Floating 2.357 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 2000000.000000 PA USD 2044937.960000 0.404232 Long DBT CORP US N 2 2028-03-15 Floating 6.88587 N N N N N N N/A N/A 000000000 1.000000 NC -10493.020000 -0.0020742 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1079665755.000000 KRW 808590.000000 USD 2024-10-16 -10493.020000 N N N N/A N/A 000000000 1.000000 NC -331.510000 -0.0000655 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 71350.230000 CNY 9886.000000 USD 2024-11-20 -331.510000 N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 1224532.140000 PA 1642121.490000 0.324605 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.95568 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 800000.000000 PA USD 814780.300000 0.161061 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 27100.720000 PA USD 13767.980000 0.0027216 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N N/A N/A 000000000 1.000000 NC -939.920000 -0.0001858 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 204103.070000 PEN 54100.000000 USD 2024-10-25 -939.920000 N N N FNMA PASS THRU POOLS N/A 3140H4B45 49972.780000 PA USD 47176.390000 0.0093256 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 2651788.770000 PA USD 2653640.780000 0.524556 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N FNMA PASS THRU POOLS N/A 3140GTX70 15518.930000 PA USD 14650.890000 0.0028961 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -10647.340000 -0.0021047 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 798570276.000000 KRW 595184.000000 USD 2024-10-16 -10647.340000 N N N N/A N/A 000000000 -300000.000000 NC USD -388.890000 -0.0000769 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.04600 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2024-10-21 XXXX 451.110000 N N N N/A N/A 000000000 1.000000 NC USD -11278.750000 -0.0022295 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-06 0.000000 USD -1185.000000 USD 300000.000000 USD -10093.750000 N N N N/A N/A 000000000 289.000000 NC USD 67371.860000 0.0133177 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-12-31 60189894.750000 USD 67371.860000 N N N FNMA PASS THRU POOLS N/A 31418CS47 53687.450000 PA USD 50683.750000 0.0100189 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAA4 254495.300000 PA USD 254566.510000 0.0503212 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N FNMA PASS THRU POOLS N/A 31410RJC4 51.240000 PA USD 54.060000 0.0000107 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPH004 500000.000000 PA USD 63750.000000 0.0126017 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -5545.910000 -0.0010963 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -865.000000 USD 200000.000000 USD -4680.910000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 ACI1R1MY3 1804000.000000 PA 1697508.320000 0.335554 Long DBT CORP US N 2 2032-01-15 Fixed 1 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 85570.900000 PA USD 83385.750000 0.0164832 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N N/A N/A 000000000 -5.000000 NC -7285.340000 -0.0014401 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-12-06 -758500.010000 EUR -7285.340000 N N N N/A N/A 000000000 1.000000 NC USD -4490.370000 -0.0008876 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.40 Y Single Leg Swap 2028-12-20 0.000000 USD -15210.000000 USD 300000.000000 USD 10719.630000 N N N N/A N/A 000000000 1.000000 NC USD -607534.220000 -0.120094 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2025-02-05 0.000000 USD 0.000000 USD 35490236.250000 USD -607534.220000 N N N N/A N/A 000000000 1.000000 NC -20375.160000 -0.0040276 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -845.410000 EUR 200000.000000 EUR -19529.750000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680CE1 1700000.000000 PA USD 1693073.080000 0.334677 Long DBT CORP US N 2 2034-11-01 Fixed 5.05 N N N N N N N/A N/A 000000000 1.000000 NC -2067.190000 -0.0004086 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6410869.750000 DKK 955272.000000 USD 2024-10-02 -2067.190000 N N N N/A N/A 000000000 1.000000 NC -89062.780000 -0.0176054 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-03-20 0.000000 CAD -38480.600000 CAD 11170000.000000 CAD -50582.180000 N N N N/A N/A 000000000 1.000000 NC USD -14018.040000 -0.002771 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-13 0.000000 USD -1837.500000 USD 500000.000000 USD -12180.540000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2P59J2 100000.000000 PA 2947.580000 0.0005827 Long DBT NUSS TR N 2 2026-08-19 Floating 53.64 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 500000.000000 PA USD 494672.500000 0.097784 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 84602.910000 PA USD 59669.680000 0.0117952 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.91246 N N N N N N N/A N/A 000000000 1.000000 NC 34644.640000 0.0068484 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1111847.620000 USD 4412848.710000 PLN 2024-10-02 34644.640000 N N N N/A N/A 000000000 1.000000 NC -5050.880000 -0.0009984 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17029348.000000 TWD 535632.000000 USD 2024-11-18 -5050.880000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 10875824.000000 PA USD 10720913.440000 2.11925 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N N/A N/A 000000000 1.000000 NC -2015.400000 -0.0003984 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-08-14 0.000000 EUR -136.630000 EUR 100000.000000 EUR -1878.770000 N N N N/A N/A 000000000 1.000000 NC 3950.600000 0.0007809 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 289795.340000 USD 1131000.000000 PLN 2024-10-18 3950.600000 N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAB5 693573.870000 PA USD 695194.130000 0.137422 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 66543.680000 PA USD 64155.120000 0.0126818 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 5.66503 N N N N N N N/A N/A 000000000 1.000000 NC -912.100000 -0.0001803 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2008000.000000 MXN 99878.280000 USD 2024-12-18 -912.100000 N N N FNMA PASS THRU POOLS N/A 31409GPE0 772.280000 PA USD 795.330000 0.0001572 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -4592.230000 -0.0009078 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -1136.250000 USD 300000.000000 USD -3455.980000 N N N N/A N/A 000000000 1.000000 NC USD -626832.480000 -0.123909 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 227998.600000 USD 0.000000 USD 14650000.000000 USD -854831.080000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 29878.720000 PA USD 28979.960000 0.0057286 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.46926 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 -20400000.000000 PA USD -19014144.360000 -3.75861 Short ABS-MBS USGSE US N 2 2054-11-14 Fixed 3.5 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -927.510000 -0.0001833 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44600 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2024-10-21 XXXX -87.510000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 7300000.000000 PA 396133.010000 0.0783053 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N N/A N/A 000000000 -300000.000000 NC -2339.880000 -0.0004625 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.36000 10/07/24-5Y LCH 2029-10-07 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.360000 EUR 2024-10-03 XXXX -1776.760000 N N N FANNIE MAE REMICS 2010-99 N/A 31398T5D9 649000.000000 PA USD 639255.910000 0.126364 Long ABS-MBS USGSE US N 2 2040-09-25 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 39392.980000 PA USD 37188.480000 0.0073512 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCN9 300000.000000 PA USD 307359.210000 0.060757 Long DBT CORP US N 2 2035-01-31 Fixed 5 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2Q1SN0 200000.000000 PA 5901.020000 0.0011665 Long DBT NUSS TR N 2 2026-05-20 Floating 53.64 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAB8 465183.860000 PA USD 466179.540000 0.0921517 Long ABS-O CORP US N 2 2027-06-21 Fixed 5.35 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAC7 2300000.000000 PA USD 2232868.750000 0.441381 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.894 N N N N N N COUNTRYWIDE PARTNERSHIP TRUST 2004-EC1 N/A 126673ML3 3511058.160000 PA USD 3482212.710000 0.688344 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.86926 N N N N N N N/A N/A 000000000 1.000000 NC -2990.220000 -0.0005911 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-07 0.000000 EUR -279.990000 EUR 100000.000000 EUR -2710.230000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 600000.000000 PA USD 573743.250000 0.113414 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC -12032.360000 -0.0023785 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3712375.550000 CNY 518452.000000 USD 2024-10-25 -12032.360000 N N N N/A N/A 000000000 1.000000 NC -613.900000 -0.0001214 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 221862.410000 PEN 59217.000000 USD 2024-10-23 -613.900000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEC5 1500000.000000 PA USD 1426896.560000 0.282061 Long DBT CORP US N 2 2027-07-20 Floating 1.512 N N N N N N N/A N/A 000000000 1.000000 NC 5485.070000 0.0010843 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 416263.000000 USD 2951429.550000 CNY 2024-10-25 5485.070000 N N N VERUS SECURITIZATION TRUST 2023-5 N/A 924934AA0 969231.660000 PA USD 983798.730000 0.194472 Long ABS-MBS CORP US N 2 2068-06-25 Variable 6.476 N N N N N N N/A N/A 000000000 1.000000 NC 1681.930000 0.0003325 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1590799.670000 PLN 414984.000000 USD 2024-10-02 1681.930000 N N N N/A N/A 000000000 30900000.000000 NC USD 661.260000 0.0001307 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 01/15/25-1Y LCH 2026-01-15 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-01-13 XXXX -26762.490000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 U94974KM0 1500000.000000 PA 1457502.180000 0.288111 Long DBT CORP US N 2 2030-03-25 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 874.320000 0.0001728 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -880.000000 USD 200000.000000 USD 1754.320000 N N N N/A N/A 000000000 1.000000 NC -45897.000000 -0.0090727 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14627576.640000 CNY 2044328.130000 USD 2024-10-25 -45897.000000 N N N FNMA PASS THRU POOLS N/A 31411AFF7 13505.740000 PA USD 13936.510000 0.0027549 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -155577.730000 -0.0307537 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -99999.870000 USD 38600000.000000 USD -55577.860000 N N N THORNBURG MORTGAGE SECURITIES TR 2004-4 N/A 885220GF4 64680.080000 PA USD 61850.410000 0.0122262 Long ABS-MBS CORP US N 2 2044-12-25 Floating 5.62666 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 N/A 64829VAA4 964253.810000 PA USD 936288.420000 0.18508 Long ABS-MBS CORP US N 2 2057-12-25 Variable 3.5 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAK6 6824000.000000 PA USD 6604128.670000 1.30547 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.56926 N N N N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484AL5 200000.000000 PA USD 200474.890000 0.0396287 Long DBT CORP US N 2 2026-06-10 Floating 5.92871 N N N N N N N/A N/A 000000000 1.000000 NC 7174.360000 0.0014182 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8331000.000000 MXN 425343.990000 USD 2024-12-18 7174.360000 N N N N/A N/A 000000000 1.000000 NC USD 2715.220000 0.0005367 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -1435.000000 USD 400000.000000 USD 4150.220000 N N N N/A N/A 000000000 1.000000 NC 21293.320000 0.0042091 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 915797.870000 USD 6557845.390000 CNY 2024-10-25 21293.320000 N N N FNMA PASS THRU POOLS N/A 31403DSK6 2852.190000 PA USD 3006.470000 0.0005943 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411G3F7 12330.440000 PA USD 12997.990000 0.0025694 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR12 N/A 94984GAD9 3464.340000 PA USD 3313.620000 0.000655 Long ABS-MBS CORP US N 2 2036-09-25 Floating 6.94396 N N N N N N N/A N/A 000000000 1.000000 NC USD -6978.360000 -0.0013794 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-21 0.000000 USD -1440.000000 USD 400000.000000 USD -5538.360000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 137509.750000 PA USD 68400.210000 0.013521 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.16926 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AD9 345314.410000 PA USD 86327.080000 0.0170646 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.79548 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LUZ2 1100000.000000 PA USD 1116289.640000 0.220662 Long DBT CORP US N 2 2026-04-10 Fixed 5.6 N N N N N N N/A N/A 000000000 1.000000 NC USD -190833.380000 -0.0377228 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2025-03-05 0.000000 USD 0.000000 USD 11159364.720000 USD -190833.380000 N N N N/A N/A 000000000 -98.000000 NC USD -71751.190000 -0.0141834 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-03-18 -23509587.500000 USD -71751.190000 N N N N/A N/A 000000000 1.000000 NC USD 46892.840000 0.0092695 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 91992.850000 USD 0.000000 USD 470000.000000 USD -45100.010000 N N N N/A N/A 000000000 1.000000 NC -626.830000 -0.0001239 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17055614.000000 TWD 540890.000000 USD 2024-11-18 -626.830000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 2174562.000000 PA USD 1375047.550000 0.271811 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N FNMA PASS THRU POOLS N/A 3140HAQL7 2315.780000 PA USD 2186.200000 0.0004322 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 1476.960000 0.000292 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16989920.000000 TWD 540908.000000 USD 2024-11-18 1476.960000 N N N N/A N/A 000000000 1.000000 NC 35.170000 0.000007 N/A DFE TR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6558616.790000 TRY 191821.610000 USD 2024-10-01 35.170000 N N N N/A N/A 000000000 1.000000 NC -30788.250000 -0.006086 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10200000.000000 DKK 1505876.420000 USD 2025-04-01 -30788.250000 N N N N/A N/A 000000000 1.000000 NC -5432.820000 -0.0010739 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2944756.850000 CNY 416263.000000 USD 2024-11-20 -5432.820000 N N N OCP CLO LTD 2014-7A N/A 67107KAZ9 283874.940000 PA USD 284064.930000 0.0561523 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.66362 N N N N N N SBNA AUTO LEASE TRUST 2024-A N/A 78414SAE4 2600000.000000 PA USD 2623329.540000 0.518565 Long ABS-O CORP US N 2 2026-11-20 Fixed 5.39 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -1421.800000 -0.0002811 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.49500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-10-28 XXXX 178.200000 N N N N/A N/A 000000000 1.000000 NC USD -6339.180000 -0.0012531 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -1880.000000 USD 400000.000000 USD -4459.180000 N N N N/A N/A 000000000 1.000000 NC USD -721699.370000 -0.142661 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -324804.360000 USD 23000000.000000 USD -396895.010000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 16000000.000000 PA 4385351.440000 0.866871 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -975.880000 -0.0001929 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1201905.000000 USD 8042081.930000 DKK 2024-10-02 -975.880000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MA2 3050000.000000 PA USD 3036272.750000 0.600193 Long DBT UST US N 2 2024-11-05 None 0 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UF1 506232.540000 PA USD 483630.780000 0.0956013 Long ABS-MBS CORP US N 2 2034-11-21 Floating 6.43478 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAK3 102084.900000 PA USD 36121.310000 0.0071403 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 344340.290000 PA USD 344218.670000 0.0680432 Long ABS-O CORP US N 2 2069-07-25 Floating 6.3946 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-A N/A 22411CAA8 348997.860000 PA USD 350255.440000 0.0692365 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.71 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 187580.190000 PA USD 180506.620000 0.0356815 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 881000.000000 PA USD 857431.710000 0.169492 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 210513.750000 PA USD 210932.160000 0.0416959 Long ABS-O CORP US N 2 2041-02-20 Floating 7.54541 N N N N N N N/A N/A 000000000 1.000000 NC -6744.510000 -0.0013332 N/A DFE KR N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 650644175.000000 KRW 487000.000000 USD 2024-10-23 -6744.510000 N N N N/A N/A 000000000 1.000000 NC -3493.300000 -0.0006905 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 376144.000000 USD 1435329.390000 PLN 2024-11-04 -3493.300000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 243586.310000 PA USD 237251.970000 0.0468986 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.70926 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 969752.000000 PA USD 951008.770000 0.18799 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 6208.390000 0.0012272 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 302437.440000 USD 4693375384.000000 IDR 2024-10-16 6208.390000 N N N FREDDIE MAC REMICS 4079 N/A 3137ARVQ6 883982.840000 PA USD 838676.600000 0.165785 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9HE6 45740.650000 PA USD 43181.420000 0.0085359 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -4.000000 NC USD 4962.870000 0.000981 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-12-19 -497312.500000 USD 4962.870000 N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 ACI2MMBZ9 300000.000000 PA 336018.040000 0.0664221 Long DBT CORP US N 2 2025-05-29 Fixed 4.375 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 957905.770000 PA USD 964523.170000 0.190661 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N FNMA PASS THRU POOLS N/A 31419AHX8 8343.350000 PA USD 8796.040000 0.0017388 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1 N/A 12668BZM8 49085.910000 PA USD 24973.400000 0.0049366 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 3449.660000 0.0006819 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1310724.000000 USD 110222057.970000 INR 2024-10-24 3449.660000 N N N ENCORE CREDIT RECEIVABLES TRUST 2005-2 N/A 126673J37 14843.850000 PA USD 14696.490000 0.0029051 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.70426 N N N N N N N/A N/A 000000000 1.000000 NC 1171.590000 0.0002316 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 396000.000000 USD 33311480.400000 INR 2024-10-24 1171.590000 N N N N/A N/A 000000000 1.000000 NC 2638.720000 0.0005216 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 261701.000000 USD 1017778.220000 PLN 2024-10-18 2638.720000 N N N N/A N/A 000000000 1.000000 NC -6301.140000 -0.0012456 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3694201.110000 PEN 988811.860000 USD 2025-02-19 -6301.140000 N N N N/A N/A 000000000 1.000000 NC -4260.470000 -0.0008422 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2434043.140000 CNY 344300.000000 USD 2024-11-20 -4260.470000 N N N N/A N/A 000000000 1.000000 NC -10655.630000 -0.0021063 N/A DFE KR N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 885425719.000000 KRW 661254.000000 USD 2024-10-23 -10655.630000 N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 19.170000 PA USD 26.690000 0.0000053 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N N/A N/A 000000000 1.000000 NC 7801.000000 0.0015421 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 379590.600000 USD 2711000.000000 CNY 2024-10-25 7801.000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 500000.000000 PA USD 514572.500000 0.101718 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N N/A N/A 000000000 1.000000 NC 3258.630000 0.0006441 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1301214.000000 USD 109408415.310000 INR 2024-10-24 3258.630000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAD6 1000000.000000 PA USD 1004029.980000 0.198471 Long DBT CORP US N 2 2025-08-18 Floating 5.97865 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 1434835.300000 PA USD 1398145.960000 0.276377 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 601645.990000 0.11893 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 568794.410000 USD 0.000000 USD 26200000.000000 USD 32851.580000 N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 306059.740000 PA USD 292745.280000 0.0578682 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.41926 N N N N N N N/A N/A 000000000 1.000000 NC 11968.770000 0.0023659 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -1078.830000 GBP 200000.000000 GBP 13047.600000 N N N N/A N/A 000000000 1.000000 NC USD -712699.630000 -0.140882 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 41971062.000000 USD -712699.630000 N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 278583.560000 PA USD 273729.690000 0.0541093 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N FNMA PASS THRU POOLS N/A 31411HND8 3409.870000 PA USD 3484.660000 0.0006888 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 400000.000000 PA USD 400257.910000 0.0791207 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JG3 2118000.000000 PA USD 1856411.940000 0.366965 Long DBT CORP US N 2 2031-02-01 Fixed 2.5 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 523321.810000 PA 702502.810000 0.138867 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 6.40078 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 566627.390000 PA USD 567000.880000 0.112082 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.52621 N N N N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 164066.570000 PA USD 139584.560000 0.0275923 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.56926 N N N N N N N/A N/A 000000000 1.000000 NC USD -12535.680000 -0.002478 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -1715.000000 USD 400000.000000 USD -10820.680000 N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 399508.880000 PA USD 400486.760000 0.0791659 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N FNMA PASS THRU POOLS N/A 31414M6W1 610.660000 PA USD 632.510000 0.000125 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152BM2 71923.080000 PA USD 77063.130000 0.0152334 Long DBT MUN US N 2 2035-02-01 Fixed 6.63 N N N N N N VERUS SECURITIZATION TRUST 2023-INV2 N/A 92540BAA7 1453237.610000 PA USD 1477478.780000 0.29206 Long ABS-MBS CORP US N 2 2068-08-25 Fixed 6.443 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 300000.000000 PA USD 270846.980000 0.0535395 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAK9 443919.910000 PA USD 396788.890000 0.0784349 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.78257 N N N N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 1392542.400000 PA 1551130.510000 0.306619 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 4.905 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 1177000.000000 PA USD 1157668.470000 0.228841 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N OBX 2023-NQM9 TRUST N/A 673921AA0 1483213.870000 PA USD 1523137.240000 0.301085 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 7.159 N N N N N N N/A N/A 000000000 1.000000 NC -517.000000 -0.0001022 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40604325.000000 JPY 281997.000000 USD 2024-10-02 -517.000000 N N N N/A N/A 000000000 -14.000000 NC -31037.990000 -0.0061354 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-12-06 -2102605.660000 EUR -31037.990000 N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 300000.000000 PA USD 283484.680000 0.0560376 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -268.700000 -0.0000531 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 99283.310000 USD 369000.000000 ILS 2024-10-18 -268.700000 N N N N/A N/A 000000000 1.000000 NC -348.140000 -0.0000688 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 94314.580000 PEN 25087.000000 USD 2024-10-21 -348.140000 N N N FNMA PASS THRU POOLS N/A 3140GYGZ6 6682.040000 PA USD 6308.160000 0.001247 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -3.000000 NC USD -207.020000 -0.0000409 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/24 2024-12-20 N/A USD N/A 117.000000 USD 2024-10-25 XXXX 1282.240000 N N N N/A N/A 000000000 -600000.000000 NC USD -2060.220000 -0.0004073 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/3.46500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2024-10-28 XXXX -122.220000 N N N N/A N/A 000000000 1.000000 NC 40.950000 0.0000081 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 74250.090000 DKK 11148.000000 USD 2024-11-04 40.950000 N N N N/A N/A 000000000 1.000000 NC USD -5083.440000 -0.0010049 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -680.000000 USD 200000.000000 USD -4403.440000 N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 152667.700000 PA USD 141281.420000 0.0279277 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.95701 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 38147.410000 PA USD 35282.640000 0.0069745 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.34297 N N N N N N N/A N/A 000000000 1.000000 NC -9521.490000 -0.0018822 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 872144993.000000 KRW 652310.000000 USD 2024-10-23 -9521.490000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WAA1 765557.660000 PA USD 722662.700000 0.142852 Long ABS-MBS CORP US N 2 2033-07-05 Floating 6.363 N N N N N N N/A N/A 000000000 1.000000 NC -1136.550000 -0.0002247 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-09-25 0.000000 EUR -508.510000 EUR 300000.000000 EUR -628.040000 N N N N/A N/A 000000000 1.000000 NC -8934.460000 -0.0017661 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17457712.000000 TWD 545349.000000 USD 2024-11-18 -8934.460000 N N N THEOREM FUNDING TRUST 2022-3A N/A 882925AA8 627000.460000 PA USD 633188.700000 0.125165 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.6 N N N N N N N/A N/A 000000000 1.000000 NC -4164.280000 -0.0008232 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5285825.000000 TWD 163661.000000 USD 2024-11-18 -4164.280000 N N N N/A N/A 000000000 31000000.000000 NC USD 3.100000 0.0000006 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 10/21/24-1Y LCH 2025-10-21 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-10-17 XXXX -17976.900000 N N N N/A N/A 000000000 -98.000000 NC USD -51733.710000 -0.0102264 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-12-17 -23340231.250000 USD -51733.710000 N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 14607.260000 PA USD 13892.960000 0.0027463 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.45372 N N N N N N N/A N/A 000000000 1.000000 NC USD 646.970000 0.0001279 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 904.790000 USD 0.000000 USD 300000.000000 USD -257.820000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 300000.000000 PA USD 305046.380000 0.0602998 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC USD -42542.520000 -0.0084096 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 S&P 500 INDEX N/A N/A Y 2025-02-05 0.000000 USD 0.000000 USD 2481230.430000 USD -42542.520000 N N N N/A N/A 000000000 1.000000 NC 28.310000 0.0000056 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 100460.790000 NOK 9548.000000 USD 2024-10-02 28.310000 N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 800000.000000 PA USD 818231.420000 0.161743 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 109589.290000 PA USD 94409.260000 0.0186623 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.30792 N N N N N N N/A N/A 000000000 1.000000 NC 3637.720000 0.0007191 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3808000.000000 MXN 194778.030000 USD 2024-12-18 3637.720000 N N N N/A N/A 000000000 1.000000 NC USD -1946.410000 -0.0003848 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -1185.000000 USD 300000.000000 USD -761.410000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 1600000.000000 PA USD 1608568.320000 0.317972 Long DBT CORP US N 2 2025-08-04 Floating 6.4084 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAD3 434604.120000 PA USD 333325.630000 0.0658899 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.26926 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL2 N/A 74142BAA7 780016.990000 PA USD 786753.370000 0.155521 Long ABS-MBS CORP US N 2 2054-02-25 Fixed 7.021 N N N N N N N/A N/A 000000000 -400000.000000 NC -442.680000 -0.0000875 N/A DIR US N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 Call Written NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.10000 10/16/24-5Y LCH 2029-10-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.100000 EUR 2024-10-14 XXXX 182.750000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAG1 1200000.000000 PA USD 1197752.880000 0.236765 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 7.99651 N N N N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 190875.050000 PA USD 63231.920000 0.0124993 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.10926 N N N N N N N/A N/A 000000000 1.000000 NC USD -158784.540000 -0.0313876 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 85940.530000 USD 0.000000 USD 13600000.000000 USD -244725.070000 N N N UMBS PASS THRU POOLS N/A 01F0506B7 23300000.000000 PA USD 23289988.460000 4.60383 Long ABS-MBS USGSE US N 2 2054-11-14 Fixed 5 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 1866471.680000 PA USD 1859472.410000 0.36757 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.73273 N N N N N N N/A N/A 000000000 1.000000 NC -38637.740000 -0.0076377 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11956978.040000 CNY 1669969.000000 USD 2024-10-25 -38637.740000 N N N N/A N/A 000000000 -400000.000000 NC USD -121.920000 -0.0000241 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.51500 10/08/24-10Y LCH 2034-10-08 0.000000 USD 0.000000 USD N/A USD N/A 3.520000 USD 2024-10-04 XXXX 1448.080000 N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 711569.320000 PA 791719.000000 0.156502 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 4.338 N N N N N N N/A N/A 000000000 1.000000 NC 5807.440000 0.001148 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 397277.000000 USD 6129984110.000000 IDR 2024-10-23 5807.440000 N N N N/A N/A 000000000 1.000000 NC USD 44699.670000 0.008836 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.43 Y Single Leg Swap 2029-12-20 44170.000000 USD 0.000000 USD 600000.000000 USD 529.670000 N N N N/A N/A 000000000 1.000000 NC USD -336916.120000 -0.0665996 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 19849843.440000 USD -336916.120000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 295794.990000 PA USD 296208.840000 0.0585529 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 10944.750000 PA USD 4927.350000 0.000974 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -883.300000 -0.0001746 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 218072.570000 PEN 57921.000000 USD 2024-10-28 -883.300000 N N N N/A N/A 000000000 1.000000 NC 3668.050000 0.0007251 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1290786.000000 USD 108568139.540000 INR 2024-10-24 3668.050000 N N N BLUEMOUNTAIN CLO LTD 2018-3A N/A 09630AAN6 1166952.060000 PA USD 1167885.620000 0.230861 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.4746 N N N N N N N/A N/A 000000000 1.000000 NC 4844.520000 0.0009576 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6770254.180000 DKK 1017605.000000 USD 2024-11-04 4844.520000 N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 300000.000000 PA USD 303420.780000 0.0599785 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N PAGAYA AI DEBT TRUST 2023-6 N/A 69547UAA6 99934.530000 PA USD 100162.720000 0.0197996 Long ABS-O CORP US N 2 2031-06-16 Fixed 7.128 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 171817.360000 PA USD 79534.910000 0.015722 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.61926 N N N N N N N/A N/A 000000000 1.000000 NC USD 847590.990000 0.167547 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2029-12-20 845871.740000 USD 0.000000 USD 37400000.000000 USD 1719.250000 N N N N/A N/A 000000000 1.000000 NC -737.190000 -0.0001457 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 919775.000000 USD 3538539.980000 PLN 2024-10-18 -737.190000 N N N N/A N/A 000000000 1.000000 NC 34969.180000 0.0069125 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 26104416.000000 EUR 29093084.480000 USD 2024-10-02 34969.180000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0GYHC9 39700000.000000 PA 2012125.370000 0.397745 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1345188.040000 PA USD 706816.550000 0.139719 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.22926 N N N N N N N/A N/A 000000000 1.000000 NC USD -2607294.510000 -0.515395 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 95765422.750000 USD -2607294.510000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 900000.000000 PA USD 810277.560000 0.160171 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N N/A N/A 000000000 1.000000 NC -397.860000 -0.0000786 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-19 0.000000 EUR -4159.050000 EUR 3625000.000000 EUR 3761.190000 N N N N/A N/A 000000000 1.000000 NC USD 29455.600000 0.0058226 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 18768.180000 USD 0.000000 USD 1300000.000000 USD 10687.420000 N N N PRET 2021-NPL6 LLC N/A 69362GAA9 943497.720000 PA USD 938385.940000 0.185495 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 400000.000000 PA USD 401125.910000 0.0792923 Long DBT CORP US N 2 2026-08-10 Floating 6.30731 N N N N N N N/A N/A 000000000 1.000000 NC USD -22206267.790000 -4.38961 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2024-11-20 0.000000 USD 0.000000 USD 92830410.880000 USD -22206267.790000 N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 1741000.000000 PA USD 1697928.740000 0.335637 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAA3 30508.040000 PA USD 24812.120000 0.0049047 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 2400000.000000 PA USD 2415726.890000 0.477527 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N FNMA PASS THRU POOLS N/A 31418CKG8 8557.700000 PA USD 8078.970000 0.001597 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.5 N N N N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 1836621.190000 PA USD 1838496.840000 0.363424 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.56738 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 52114.110000 PA USD 48120.910000 0.0095123 Long ABS-MBS CORP US N 2 2046-02-25 Floating 6.12303 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 10226.310000 PA USD 9065.840000 0.0017921 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.97242 N N N N N N N/A N/A 000000000 1.000000 NC -3512.640000 -0.0006944 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 201005.190000 USD 736000.000000 ILS 2024-10-18 -3512.640000 N N N N/A N/A 000000000 1.000000 NC -15718.640000 -0.0031072 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 5925866.760000 CHF 7012395.350000 USD 2024-11-04 -15718.640000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 600000.000000 PA USD 613285.200000 0.121231 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N VERUS SECURITIZATION TRUST 2022-2 N/A 92538XAA3 1027584.220000 PA USD 998584.350000 0.197394 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.26 N N N N N N FNMA PASS THRU POOLS N/A 31406DAN6 23809.570000 PA USD 24449.300000 0.004833 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.323 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 410000.000000 PA USD 348749.200000 0.0689387 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.42926 N N N N N N N/A N/A 000000000 1.000000 NC 3502.870000 0.0006924 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1290031.000000 USD 108490962.080000 INR 2024-10-24 3502.870000 N N N N/A N/A 000000000 1.000000 NC 30516.140000 0.0060323 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1323809.200000 USD 49967178.250000 TRY 2024-12-11 30516.140000 N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAL5 76544.870000 PA USD 63560.160000 0.0125642 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -792.990000 -0.0001568 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 214829.110000 PEN 57143.000000 USD 2024-10-21 -792.990000 N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 90076.140000 PA USD 46587.090000 0.0092091 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 340711.590000 PA USD 331904.380000 0.0656089 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 214.330000 0.0000424 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13626.000000 USD 210479459.000000 IDR 2024-10-23 214.330000 N N N N/A N/A 000000000 1.000000 NC -243.010000 -0.000048 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 989258.800000 BRL 181349.000000 USD 2024-10-02 -243.010000 N N N N/A N/A 000000000 1.000000 NC 15437.350000 0.0030516 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1313420.490000 USD 49383953.710000 TRY 2024-12-18 15437.350000 N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 700000.000000 PA USD 673325.420000 0.133099 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC 27004.180000 0.005338 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 499539.520000 USD 9109352.920000 ZAR 2024-10-18 27004.180000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 1038679.740000 PA USD 1045733.410000 0.206715 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N N/A N/A 000000000 1.000000 NC -294.070000 -0.0000581 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 300000.000000 BRL 53373.190000 USD 2025-04-02 -294.070000 N N N MFA 2023-INV2 TRUST N/A 59319BAA5 1019658.670000 PA USD 1040314.710000 0.205643 Long ABS-MBS CORP US N 2 2058-10-25 Variable 6.775 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3L0 17294.770000 PA USD 15788.620000 0.003121 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.05849 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2016-C N/A 78449KAB6 217252.910000 PA USD 215590.360000 0.0426167 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.34 N N N N N N N/A N/A 000000000 1.000000 NC -48388.710000 -0.0095652 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7372564.620000 USD 9905374.540000 CAD 2024-10-02 -48388.710000 N N N N/A N/A 000000000 1.000000 NC USD -17605.520000 -0.0034802 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-12 0.000000 USD -1360.000000 USD 400000.000000 USD -16245.520000 N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 30193.500000 PA USD 30848.480000 0.0060979 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 2190000.000000 PA USD 2148098.380000 0.424624 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N N/A N/A 000000000 -300000.000000 NC -0.030000 0 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.61000 10/07/24-5Y LCH 2029-10-07 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.610000 EUR 2024-10-03 XXXX 483.590000 N N N N/A N/A 000000000 1.000000 NC 63031.650000 0.0124597 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3041749.810000 USD 4887109.200000 NZD 2024-10-02 63031.650000 N N N N/A N/A 000000000 1.000000 NC USD -4713.790000 -0.0009318 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-05 0.000000 USD -323.000000 USD 80000.000000 USD -4390.790000 N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 316416.000000 PA USD 324426.070000 0.0641307 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N FNMA PASS THRU POOLS N/A 31418EMR8 382476.530000 PA USD 376301.340000 0.0743851 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 4.5 N N N N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 1509000.000000 PA USD 1295917.580000 0.256169 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.68926 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 1424163.460000 PA 1582359.480000 0.312792 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 4.111 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XU2 200000.000000 PA USD 198339.700000 0.0392066 Long DBT CORP US N 2 2026-01-08 Fixed 4.389 N N N N N N N/A N/A 000000000 1.000000 NC USD 1513.030000 0.0002991 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -915.000000 USD 200000.000000 USD 2428.030000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 200000.000000 PA USD 202260.470000 0.0399817 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 634762.340000 PA USD 568203.760000 0.112319 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.36926 N N N N N N N/A N/A 000000000 1.000000 NC 1768.660000 0.0003496 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 647099.000000 USD 54421673.000000 INR 2024-10-24 1768.660000 N N N 2024-11-25 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer