NPORT-P false 0000810893 XXXXXXXX S000009704 C000026632 C000026634 C000064152 C000200449 C000026636 C000026630 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Fund S000009704 C0FSZ71JI1IAVNM4U731 2025-03-31 2024-12-31 N 3437339828.080000 841541039.070000 2595798789.010000 0.000000 0.000000 42042143.630000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 5497421.880000 0.000000 0.000000 39980783.630000 GBP EUR BRL MXN USD ILS CZK N S&P 500 Index SPTR N/A N/A 000000000 1.000000 NC 212765.500000 0.0081965 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 138633465.600000 MXN 6778479.640000 USD 2025-03-19 212765.500000 N N N FHLMC PASS THRU POOLS N/A 31300MNY5 229219.520000 PA USD 237917.250000 0.0091655 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 7.04 N N N N N N FNMA PASS THRU POOLS N/A 31361ULM1 94.040000 PA USD 93.110000 0.0000036 Long ABS-MBS USGSE US N 2 2027-02-01 Floating 4.907 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 2100000.000000 PA USD 2106929.270000 0.0811669 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 1479873.760000 PA USD 1409848.350000 0.0543127 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 312512.900000 0.0120392 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 39500000.000000 DKK 5826640.200000 USD 2025-04-01 312512.900000 N N N SREIT TRUST 2021-IND N/A 78473JAG7 9000000.000000 PA USD 8971659.000000 0.345622 Long ABS-MBS CORP US N 2 2038-10-15 Floating 5.60848 N N N N N N N/A N/A 000000000 1.000000 NC 683072.190000 0.0263145 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 39510748.000000 EUR 41629906.970000 USD 2025-01-15 683072.190000 N N N N/A N/A 000000000 1.000000 NC -6271.480000 -0.0002416 N/A DCR DE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A DEUTSCHE BANK AKTIENGESELLSCHAFT Y Single Leg Swap 2031-12-20 0.000000 EUR -9884.860000 EUR 500000.000000 EUR 3613.380000 N N N N/A N/A 000000000 1.000000 NC USD 2512344.210000 0.096785 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-03-21 0.000000 USD 0.000000 USD 44799201.300000 USD 2512344.210000 N N N M&T EQUIPMENT 2024-LEAF1 LLC N/A 55376YAB1 2600000.000000 PA USD 2608537.880000 0.100491 Long ABS-O CORP US N 2 2031-08-18 Fixed 4.99 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAM0 800000.000000 PA USD 763183.660000 0.0294007 Long DBT CORP NL N 2 2026-07-12 Variable 1.625 N N N N N N FORD CREDIT AUTO OWNER TRUST 2023-A N/A 344928AD8 2900000.000000 PA USD 2904314.040000 0.111885 Long ABS-O CORP US N 2 2028-02-15 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC USD 4262337.670000 0.164201 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-16 1586003.510000 USD 0.000000 USD 8700000.000000 USD 2676334.160000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023105 34648.000000 NS USD 6132696.000000 0.236255 Long EC CORP US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 135220.560000 PA USD 135212.720000 0.0052089 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 5.56648 N N N N N N N/A N/A 000000000 28.000000 NC USD -44664.200000 -0.0017206 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 3115218.740000 USD -44664.200000 N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JX7 713582.020000 PA USD 373262.840000 0.0143795 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N ARGENT SECURITIES INC 2004-W9 N/A 040104LB5 538860.210000 PA USD 525085.970000 0.0202283 Long ABS-MBS CORP US N 2 2034-06-26 Floating 5.32322 N N N N N N N/A N/A 000000000 1.000000 NC USD 22793.500000 0.0008781 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 21958.270000 USD 0.000000 USD 1000000.000000 USD 835.230000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 10800000.000000 PA USD 10968395.760000 0.422544 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 233297.960000 PA USD 210662.510000 0.0081155 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.59322 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-1 N/A 02008FAB0 3153397.170000 PA USD 3158181.500000 0.121665 Long ABS-O CORP US N 2 2027-01-15 Fixed 5.32 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2021-P3 N/A 14687JAE9 1226555.220000 PA USD 1216894.010000 0.0468794 Long ABS-O CORP US N 2 2026-11-10 Fixed 0.7 N N N N N N PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC) PUSS41EMO3E6XXNV3U28 74457LN93 5380000.000000 PA USD 5373969.340000 0.207026 Long DBT CORP US N 2 2025-01-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 37988.500000 0.0014635 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-02-07 0.000000 USD -387.370000 USD 100000.000000 USD 38375.870000 N N N N/A N/A 000000000 1.000000 NC -15237.450000 -0.000587 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 887905.000000 USD 3606847.690000 PLN 2025-01-24 -15237.450000 N N N N/A N/A 000000000 1.000000 NC USD -1015.300000 -0.0000391 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.39 Y Single Leg Swap 2028-06-20 0.000000 USD -6850.000000 USD 100000.000000 USD 5834.700000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 4030029.240000 PA USD 4028231.280000 0.155183 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 5.68969 N N N N N N RAMP TRUST 2006-RZ5 N/A 749239AF6 5122016.390000 PA USD 4469444.360000 0.17218 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.81322 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2K0 5900000.000000 PA USD 5914901.100000 0.227864 Long DBT CORP US N 2 2025-04-11 Floating 6.03072 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 818527.930000 PA USD 820025.150000 0.0315905 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 5.84637 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418GAH0 8600000.000000 PA USD 8736862.380000 0.336577 Long DBT CORP CA N 2 2027-06-04 Fixed 5.4 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 34648.000000 NS USD 3858054.800000 0.148627 Long EC CORP US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D26 200000.000000 PA USD 204658.180000 0.0078842 Long DBT CORP US N 2 2026-06-10 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC 275421.640000 0.0106103 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14200000.000000 BRL 2540100.950000 USD 2025-04-02 275421.640000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-2A N/A 379928AC8 808523.800000 PA USD 809185.900000 0.0311729 Long ABS-O CORP US N 2 2027-01-15 Fixed 5.7 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24704LN73 4260000.000000 PA USD 4256293.200000 0.163968 Long DBT CORP US N 2 2025-01-07 None 0 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNNH4 380955.450000 PA 387099.720000 0.0149125 Long ABS-CBDO CORP IE N 2 2031-01-15 Fixed 1.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 485082.530000 0.0186872 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 413953.170000 USD 0.000000 USD 3440000.000000 USD 71129.360000 N N N N/A N/A 000000000 1.000000 NC 332519.260000 0.0128099 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9080222.710000 CHF 10347867.530000 USD 2025-01-15 332519.260000 N N N DTE ENERGY COMPANY 549300IX8SD6XXD71I78 233331BM8 100000.000000 PA USD 100399.330000 0.0038678 Long DBT CORP US N 2 2027-07-01 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC -37200.210000 -0.0014331 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1502195.000000 USD 23734380561.000000 IDR 2025-01-22 -37200.210000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 3400000.000000 PA USD 3449006.240000 0.132869 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC USD -426028.090000 -0.0164122 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-07-09 0.000000 USD 0.000000 USD 15131840.150000 USD -426028.090000 N N N N/A N/A 000000000 1.000000 NC -4651.550000 -0.0001792 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 839906.000000 USD 1232394074.000000 KRW 2025-01-08 -4651.550000 N N N HYUNDAI AUTO RECEIVABLES TRUST 2023-B N/A 44933XAD9 3200000.000000 PA USD 3235883.520000 0.124659 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.48 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 17100.150000 PA USD 16858.540000 0.0006495 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.41 N N N N N N N/A N/A 000000000 1.000000 NC 8012.790000 0.0003087 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 21561760.000000 TWD 663500.000000 USD 2025-01-22 8012.790000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11134NAU9 749685.970000 PA USD 747811.760000 0.0288085 Long LON CORP US N 3 2026-08-14 Floating 5.4628 N N N N N N N/A N/A 000000000 1.000000 NC 95778.520000 0.0036898 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2498024823.000000 KRW 1787892.000000 USD 2025-01-22 95778.520000 N N N N/A N/A 000000000 1.000000 NC USD 827240.490000 0.0318684 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 335014.970000 USD 0.000000 USD 28140000.000000 USD 492225.520000 N N N N/A N/A 000000000 1.000000 NC 8401.730000 0.0003237 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1616633.420000 ILS 453932.000000 USD 2025-03-17 8401.730000 N N N N/A N/A 000000000 1742.000000 NC USD -17828616.980000 -0.686826 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2025-03-21 517003825.000000 USD -17828616.980000 N N N N/A N/A 000000000 1.000000 NC USD 864685.250000 0.033311 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-20 0.000000 USD -1238005.510000 USD 361100000.000000 USD 2102690.760000 N N N FREDDIE MAC-3271 N/A 31397FFJ6 35289.480000 PA USD 34750.370000 0.0013387 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.05205 N N N N N N FREDDIE MAC REMICS 4638 N/A 3137BTH38 202004.490000 PA USD 199978.340000 0.0077039 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 5.40896 N N N N N N FNMA PASS THRU POOLS N/A 3140NVR90 10300000.000000 PA USD 10248647.390000 0.394817 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 4.61 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 3698529.260000 PA USD 3407290.050000 0.131262 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 306067.740000 PA USD 264747.400000 0.0101991 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.65322 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 425566.480000 PA USD 402721.050000 0.0155143 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.94822 N N N N N N REACH ABS TRUST 2024-1A N/A 75526PAA9 1348518.100000 PA USD 1357192.710000 0.0522842 Long ABS-O CORP US N 2 2031-02-18 Fixed 6.3 N N N N N N FNMA PASS THRU POOLS N/A 31418ENL0 5374520.670000 PA USD 5406276.080000 0.20827 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -12165.910000 -0.0004687 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 908897.000000 USD 76894503.990000 INR 2025-01-17 -12165.910000 N N N N/A N/A 000000000 65.000000 NC USD -168689.300000 -0.0064986 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 7390703.130000 USD -168689.300000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DP1 1100000.000000 PA USD 1106536.750000 0.042628 Long DBT CORP US N 2 2028-02-16 Floating 5.098 N N N N N N ACHV ABS TRUST 2024-2PL N/A 00092HAA9 1288250.280000 PA USD 1291930.420000 0.0497701 Long ABS-O CORP US N 2 2031-10-27 Fixed 5.07 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAA8 717720.770000 PA USD 710579.740000 0.0273742 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 5.73969 N N N N N N N/A N/A 000000000 1.000000 NC -12852.450000 -0.0004951 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 931774.000000 USD 78797331.860000 INR 2025-01-17 -12852.450000 N N N N/A N/A 000000000 1.000000 NC 17772.580000 0.0006847 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10724218.660000 CNY 1479325.000000 USD 2025-01-15 17772.580000 N N N N/A N/A 000000000 1.000000 NC 20516.330000 0.0007904 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2034-11-03 0.000000 MXN 0.000000 MXN 35700000.000000 MXN 20516.330000 N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CN93 800000.000000 PA USD 799046.850000 0.0307823 Long DBT CORP US N 2 2025-01-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -7296.100000 -0.0002811 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 859444.000000 USD 28030766.000000 TWD 2025-01-22 -7296.100000 N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 2625584.320000 PA USD 2635202.890000 0.101518 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAB4 2753252.780000 PA USD 2769190.260000 0.10668 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.88 N N N N N N N/A N/A 000000000 1.000000 NC 166501.260000 0.0064143 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7128000.000000 EUR 7553580.800000 USD 2025-01-15 166501.260000 N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 1721286.930000 PA USD 1717117.970000 0.0661499 Long ABS-MBS CORP US N 2 2060-12-27 Variable 4.10341 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAD3 426303.900000 PA USD 399947.700000 0.0154075 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.75322 N N N N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 1477077.010000 PA USD 1493895.900000 0.0575505 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N CARDS II TRUST 2023-2A N/A 14161GCF5 4000000.000000 PA USD 4005755.200000 0.154317 Long ABS-MBS CORP CA N 2 2028-07-15 Floating 5.35916 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAC4 5400000.000000 PA USD 5338218.600000 0.205648 Long ABS-MBS CORP US N 2 2034-04-15 Floating 5.91248 N N N N N N N/A N/A 000000000 1.000000 NC 2842734.590000 0.109513 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 2949522.910000 EUR 0.000000 EUR 14300000.000000 EUR -106788.320000 N N N N/A N/A 000000000 1.000000 NC USD 335112.450000 0.0129098 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-18 377303.710000 USD 0.000000 USD 170200000.000000 USD -42191.260000 N N N LIBERTY LENDING ABS TRUST 2023-1A N/A 75525AAA3 121559.860000 PA USD 121766.200000 0.0046909 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 41295.200000 0.0015908 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33165654.000000 TWD 1049546.000000 USD 2025-01-22 41295.200000 N N N N/A N/A 000000000 1.000000 NC 21920.450000 0.0008445 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10343444.590000 CNY 1431579.000000 USD 2025-01-15 21920.450000 N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCW9 2200000.000000 PA USD 2107675.460000 0.0811956 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.36822 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1M35 365973.060000 PA USD 357721.790000 0.0137808 Long ABS-MBS USGSE US N 2 2058-05-25 Floating 5.31896 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 55144.390000 PA USD 53416.080000 0.0020578 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.87322 N N N N N N N/A N/A 000000000 1.000000 NC -1127.350000 -0.0000434 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 213488.000000 USD 313332068.000000 KRW 2025-01-08 -1127.350000 N N N FNMA PASS THRU POOLS N/A 3138ENEW5 100939.880000 PA USD 104966.810000 0.0040437 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 7.113 N N N N N N N/A N/A 000000000 1.000000 NC -795.270000 -0.0000306 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 879972.000000 USD 75842322.760000 INR 2025-03-21 -795.270000 N N N N/A N/A 000000000 1.000000 NC USD 1420023.250000 0.0547047 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-01-06 0.000000 USD -143045.020000 USD 11300000.000000 USD 1563068.270000 N N N PRPM 2024-NQM3 TRUST N/A 69381FAA8 8200356.120000 PA USD 8133354.290000 0.313328 Long ABS-MBS CORP US N 2 2069-08-25 Fixed 5.228 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-2 N/A 89616PAA1 591716.740000 PA USD 596348.280000 0.0229736 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.36 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAD5 1700000.000000 PA USD 1717110.330000 0.0661496 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.56 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAC1 815000.000000 PA USD 775830.120000 0.0298879 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.91322 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 8618.400000 PA USD 8578.760000 0.0003305 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.794 N N N N N N UNITED AUTO CREDIT SECURITIZATION TRUST 2024-1 N/A 90945DAA8 714971.170000 PA USD 716294.300000 0.0275944 Long ABS-O CORP US N 2 2026-08-10 Fixed 6.17 N N N N N N N/A N/A 000000000 1.000000 NC 514.940000 0.0000198 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1413020.890000 THB 42083.000000 USD 2025-02-20 514.940000 N N N CHEVRON CORPORATION N/A 166764100 34648.000000 NS USD 5018416.320000 0.193328 Long EC CORP US N 1 N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 2874065.660000 PA USD 2867168.480000 0.110454 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 3.6587 N N N N N N N/A N/A 000000000 1.000000 NC 25066.620000 0.0009657 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 549191333.000000 KRW 397001.000000 USD 2025-01-15 25066.620000 N N N N/A N/A 000000000 1.000000 NC -969.860000 -0.0000374 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 49256.000000 USD 782283792.000000 IDR 2025-01-22 -969.860000 N N N GNMA PASS THRU POOLS N/A 36225CE69 8068.230000 PA USD 7998.200000 0.0003081 Long ABS-MBS USGSE US N 2 2028-01-20 Floating 4.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 264976.580000 0.0102079 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 525878.060000 USD 0.000000 USD 2920000.000000 USD -260901.480000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 1307787.000000 PA USD 1267571.150000 0.0488316 Long DBT UST US N 2 2034-07-15 Fixed 1.875 N N N N N N GSAMP TRUST 2004-WF N/A 36242DKL6 19475.250000 PA USD 19793.830000 0.0007625 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.10322 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 N/A 107933AC7 500000.000000 PA USD 501876.500000 0.0193342 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.53 N N N N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 1611792.520000 PA USD 1626455.960000 0.0626572 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 8460429.520000 PA USD 8406611.880000 0.323854 Long ABS-MBS CORP US N 2 2051-08-25 Variable 4.6696 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 98947.600000 PA USD 94037.310000 0.0036227 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.98083 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 4500000.000000 PA USD 4535747.100000 0.174734 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAC5 14900000.000000 PA USD 14950535.290000 0.575951 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.27901 N N N N N N N/A N/A 000000000 1.000000 NC 3824.710000 0.0001473 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 47355261.840000 INR 556074.000000 USD 2025-01-17 3824.710000 N N N N/A N/A 000000000 1.000000 NC -12423.350000 -0.0004786 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 927968.000000 USD 78507763.140000 INR 2025-01-17 -12423.350000 N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 767121.860000 PA USD 768669.620000 0.0296121 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 5.99324 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 714013.200000 PA USD 715398.990000 0.0275599 Long ABS-O CORP US N 2 2041-02-20 Floating 6.8046 N N N N N N N/A N/A 000000000 1.000000 NC 5078.590000 0.0001956 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 969846.720000 ILS 272360.000000 USD 2025-03-17 5078.590000 N N N N/A N/A 000000000 1.000000 NC USD 1971277.750000 0.0759411 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2029-12-20 1938183.400000 USD 0.000000 USD 86910000.000000 USD 33094.350000 N N N N/A N/A 000000000 1.000000 NC 3710.430000 0.0001429 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2859640.050000 USD 4114000.000000 CAD 2025-01-15 3710.430000 N N N N/A N/A 000000000 1.000000 NC USD 914990.510000 0.0352489 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -240022.100000 USD 10700000.000000 USD 1155012.610000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VBF7 200000.000000 PA USD 197899.070000 0.0076238 Long DBT CORP US N 2 2029-09-01 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC -642.700000 -0.0000248 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 910129473.000000 IDR 55737.000000 USD 2025-01-08 -642.700000 N N N VENTURE 36 CLO LTD N/A 92332LAU3 896185.440000 PA USD 898111.690000 0.0345987 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.00901 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 400000.000000 PA USD 50000.000000 0.0019262 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PNG4 13140000.000000 PA USD 13111898.930000 0.50512 Long DBT CORP US N 2 2025-01-16 None 0 N N N N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634ENF5 6800000.000000 PA USD 6786490.640000 0.261441 Long DBT CORP US N 2 2025-01-15 None 0 N N N N N N DRYDEN SENIOR LOAN FUND 2016-43A N/A 26245CBQ5 3500000.000000 PA USD 3500000.000000 0.134833 Long ABS-CBDO CORP KY N 3 2034-04-20 Floating 5.6874 N N N N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VBT5 1300000.000000 PA USD 1289034.580000 0.0496585 Long DBT CORP JP N 2 2027-09-10 Fixed 4.45 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAL4 2200000.000000 PA USD 2034122.200000 0.0783621 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.11322 N N N N N N N/A N/A 000000000 1.000000 NC USD 706.150000 0.0000272 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2025-12-20 646.810000 USD 0.000000 USD 100000.000000 USD 59.340000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C0N63 7280000.000000 PA USD 7274390.030000 0.280237 Long DBT CORP US N 2 2025-01-06 None 0 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 552613.290000 PA USD 553716.780000 0.0213313 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.92901 N N N N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 5499657.230000 PA 5702062.910000 0.219665 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 4.298 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 573593.920000 PA 593882.430000 0.0228786 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.964 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32 N/A 38376RMP8 995614.930000 PA USD 994812.760000 0.038324 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 5.51648 N N N N N N N/A N/A 000000000 1.000000 NC USD 211.960000 0.0000082 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -2346.000000 USD 92000.000000 USD 2557.960000 N N N BMO 2022-C1 MORTGAGE TRUST N/A 05609MCJ2 5737000.000000 PA USD 4925191.550000 0.189737 Long ABS-MBS CORP US N 2 2055-02-17 Variable 3.26866 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UNM3 11170000.000000 PA USD 11140027.200000 0.429156 Long DBT CORP CA N 2 2025-01-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -2794960.540000 -0.107673 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-09-03 0.000000 USD 0.000000 USD 99243178.900000 USD -2794960.540000 N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 18672339.830000 PA USD 18662363.200000 0.718945 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.47 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 2200000.000000 PA USD 2118990.210000 0.0816315 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 570715.340000 PA USD 513839.130000 0.019795 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 36267KAD9 3100000.000000 PA USD 3134406.590000 0.120749 Long ABS-O CORP US N 2 2028-06-16 Fixed 5.45 N N N N N N GNMA PASS THRU POOLS N/A 36202KY33 4150.850000 PA USD 4135.140000 0.0001593 Long ABS-MBS USGSE US N 2 2026-03-20 Floating 4.625 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ADA2 1200000.000000 PA USD 1208829.260000 0.0465687 Long DBT CORP US N 2 2026-06-24 Fixed 5.45 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 1192580.090000 PA 1233948.080000 0.0475364 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 3.773 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAA2 208924.420000 PA USD 208984.650000 0.0080509 Long ABS-O CORP US N 2 2025-10-27 Fixed 5.067 N N N N N N N/A N/A 000000000 1.000000 NC USD 124167.380000 0.0047834 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-03-21 0.000000 USD 0.000000 USD 22063591.800000 USD 124167.380000 N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 600000.000000 PA USD 564388.760000 0.0217424 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N BANK OF INDUSTRY LIMITED 5493006N5JD4B34R6G14 BA000BY62 3500000.000000 PA 3609159.400000 0.139039 Long LON MUN NG N 3 2027-08-23 Floating 4.543 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 1204277.650000 PA USD 1214612.520000 0.0467915 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 26208WAB0 1935912.720000 PA USD 1938049.000000 0.074661 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83 N N N N N N N/A N/A 000000000 1.000000 NC 11366.230000 0.0004379 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6316549.410000 CNY 872765.000000 USD 2025-02-14 11366.230000 N N N CHASE AUTO OWNER TRUST 2024-4A N/A 16144YAB4 3929990.860000 PA USD 3946091.250000 0.152018 Long ABS-O CORP US N 2 2027-09-27 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -4022.390000 -0.000155 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 430427.000000 USD 1761931.400000 PLN 2025-01-17 -4022.390000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 28142.710000 PA USD 26625.460000 0.0010257 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.57459 N N N N N N N/A N/A 000000000 1.000000 NC 47106.580000 0.0018147 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54104440.910000 CZK 2271687.520000 USD 2025-01-21 47106.580000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 4500000.000000 PA USD 4600441.350000 0.177226 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAC4 1000000.000000 PA USD 1002413.900000 0.0386168 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.31 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AA9 105066.030000 PA USD 102218.070000 0.0039378 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.73322 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1510278.220000 PA USD 1438716.250000 0.0554248 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -11656.160000 -0.000449 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 902665.000000 USD 76403822.260000 INR 2025-01-17 -11656.160000 N N N FHLMC PASS THRU POOLS N/A 3128M6PB8 1433.810000 PA USD 1484.720000 0.0000572 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 4735925.670000 PA USD 4760570.480000 0.183395 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 7574800.740000 PA USD 7584745.700000 0.292193 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.59148 N N N N N N N/A N/A 000000000 1.000000 NC -6698.730000 -0.0002581 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 515832.000000 USD 2104855.570000 PLN 2025-01-31 -6698.730000 N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 74599.040000 PA USD 77240.890000 0.0029756 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.417 N N N N N N N/A N/A 000000000 1.000000 NC -7787.920000 -0.0003 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 548267.000000 USD 17778654.000000 TWD 2025-01-22 -7787.920000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BC1 1400000.000000 PA USD 1436786.950000 0.0553505 Long DBT CORP CH N 2 2027-12-22 Floating 6.327 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826C839 34648.000000 NS USD 10950153.920000 0.421841 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 15392.750000 0.000593 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 33700315.000000 TWD 1044971.000000 USD 2025-04-25 15392.750000 N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348BS4 1400000.000000 PA USD 1388897.550000 0.0535056 Long DBT CORP US N 2 2028-03-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC 5186.810000 0.0001998 N/A DFE MX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1976000.000000 MXN 99900.910000 USD 2025-01-06 5186.810000 N N N GNMA PASS THRU POOLS N/A 36225CC61 16757.700000 PA USD 16636.640000 0.0006409 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 4.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECT0 2500000.000000 PA USD 2485506.230000 0.0957511 Long DBT CORP GB N 2 2028-09-10 Floating 4.837 N N N N N N BMO 2024-5C7 MORTGAGE TRUST N/A 09660WAT8 2600000.000000 PA USD 2600382.200000 0.100177 Long ABS-MBS CORP US N 2 2057-11-15 Fixed 5.0916 N N N N N N N/A N/A 000000000 1.000000 NC 14686.310000 0.0005658 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2025-12-20 11717.190000 EUR 0.000000 EUR 2000000.000000 EUR 2969.120000 N N N N/A N/A 000000000 1.000000 NC -7419.360000 -0.0002858 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 388140.000000 USD 6159393660.000000 IDR 2025-01-15 -7419.360000 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 5095225.950000 PA USD 5036345.520000 0.194019 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.976 N N N N N N N/A N/A 000000000 1.000000 NC 5453.050000 0.0002101 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1229357814.000000 KRW 839906.000000 USD 2025-03-19 5453.050000 N N N COUNTRYWIDE ASSET-BACKED CERT 2005-14 N/A 126670LS5 8900000.000000 PA USD 8452786.570000 0.325633 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.54822 N N N N N N N/A N/A 000000000 1.000000 NC USD 402.540000 0.0000155 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND SR UNSEC REGS Y Single Leg Swap 2025-06-20 263.160000 USD 0.000000 USD 100000.000000 USD 139.380000 N N N CARMAX AUTO OWNER TRUST 2023-1 N/A 14318DAC3 2676455.670000 PA USD 2681405.510000 0.103298 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.75 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3V1 6900000.000000 PA USD 6965807.920000 0.268349 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 7705.570000 0.0002968 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6084017.020000 CNY 840688.000000 USD 2025-05-12 7705.570000 N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDN3 28820.870000 PA USD 28261.900000 0.0010888 Long ABS-MBS CORP US N 2 2028-06-25 Floating 5.00322 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 400000.000000 PA USD 369355.450000 0.014229 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC 88516.130000 0.00341 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2210534963.000000 KRW 1585579.000000 USD 2025-01-15 88516.130000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DA4 11000000.000000 PA USD 10957585.760000 0.422128 Long DBT CORP GB N 2 2026-03-10 Floating 2.999 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 N/A 46654PAG1 8900000.000000 PA USD 8852582.580000 0.341035 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.17748 N N N N N N N/A N/A 000000000 1.000000 NC 656.480000 0.0000253 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 608242.920000 CNY 83551.000000 USD 2025-01-15 656.480000 N N N N/A N/A 000000000 1.000000 NC -11374.290000 -0.0004382 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 791680.000000 USD 66911051.900000 INR 2025-01-17 -11374.290000 N N N N/A N/A 000000000 1.000000 NC -21249.940000 -0.0008186 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 754149.650000 USD 15475000.000000 MXN 2025-03-19 -21249.940000 N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066G104 99187.000000 NS USD 13319822.230000 0.51313 Long EC CORP US N 1 N N N WELLS FARGO MTGE BK SEC TR 2006-AR5 N/A 94983RAA2 984398.970000 PA USD 974171.660000 0.0375288 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.74239 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 2700000.000000 PA USD 2642066.690000 0.101782 Long DBT CORP US N 2 2026-11-16 Fixed 3.5 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAN5 1600000.000000 PA USD 1491688.160000 0.0574655 Long DBT CORP KY N 2 2027-03-08 Variable 2.3 N N N N N N SYNCHRONY CARD ISSUANCE TRUST 2024-A2 N/A 87166PAN1 11800000.000000 PA USD 11885403.680000 0.457871 Long ABS-MBS CORP US N 2 2030-07-15 Fixed 4.93 N N N N N N CENCORA INC AI8GXW8LG5WK7E9UD086 15137PNQ7 9400000.000000 PA USD 9371225.570000 0.361015 Long DBT CORP US N 2 2025-01-24 None 0 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAT2 300000.000000 PA USD 301538.320000 0.0116164 Long DBT CORP FR N 2 2027-01-18 Fixed 5.203 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 7224.750000 PA USD 7221.320000 0.0002782 Long ABS-MBS CORP US N 2 2033-04-25 Floating 6.50002 N N N N N N N/A N/A 000000000 1.000000 NC 65754.410000 0.0025331 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1853991222.000000 KRW 1322296.000000 USD 2025-01-08 65754.410000 N N N N/A N/A 000000000 1.000000 NC USD 882469.550000 0.0339961 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-22 0.000000 USD -12676.630000 USD 2200000.000000 USD 895146.180000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 3700000.000000 PA USD 3724785.630000 0.143493 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 324692.730000 0.0125084 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 45715000.000000 GBP 57549333.480000 USD 2025-01-15 324692.730000 N N N N/A N/A 000000000 1.000000 NC 8924.330000 0.0003438 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110495781.280000 INR 1297508.000000 USD 2025-01-17 8924.330000 N N N TRAVELERS COMPANIES INC 549300Y650407RU8B149 89417E109 34648.000000 NS USD 8346356.720000 0.321533 Long EC CORP US N 1 N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A2 N/A 05522RDH8 11000000.000000 PA USD 11112383.700000 0.428091 Long ABS-MBS CORP US N 2 2028-11-15 Fixed 4.98 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 2400019.320000 PA 2486926.740000 0.0958058 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.904 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 309190.000000 PA USD 310215.300000 0.0119507 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 43983.590000 0.0016944 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32614136.000000 TWD 1035468.000000 USD 2025-01-22 43983.590000 N N N FANNIE MAE 2003-25 N/A 31393APU5 69978.190000 PA USD 68760.070000 0.0026489 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAB0 3423744.680000 PA USD 3440434.070000 0.132539 Long ABS-O CORP US N 2 2027-11-10 Fixed 5.63 N N N N N N MORGAN STANLEY BANK NATIONAL ASSOCIATION G1MLHIS0N32I3QPILB75 61690U8A1 100000.000000 PA USD 100157.530000 0.0038584 Long DBT CORP US N 2 2028-01-14 Floating 4.952 N N N N N N N/A N/A 000000000 1.000000 NC USD 3228.740000 0.0001244 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -138699.200000 USD 3772000.000000 USD 141927.940000 N N N N/A N/A 000000000 1.000000 NC 36432.320000 0.0014035 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32895358.000000 TWD 1036466.000000 USD 2025-01-22 36432.320000 N N N BMW VEHICLE OWNER TRUST 2023-A N/A 05592XAD2 3000000.000000 PA USD 3028276.200000 0.116661 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.47 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAD1 9600000.000000 PA USD 9707804.160000 0.373981 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.84 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAA8 443169.940000 PA USD 440243.820000 0.0169599 Long ABS-MBS CORP US N 2 2034-04-15 Floating 5.61248 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A 78449MAA4 5358294.730000 PA USD 4952191.720000 0.190777 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 21400000.000000 PA USD 19567696.690000 0.753822 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 4 N N N N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123101 34648.000000 NS USD 12568908.480000 0.484202 Long EC CORP US N 1 N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484AL5 1300000.000000 PA USD 1305570.050000 0.0502955 Long DBT CORP US N 2 2026-06-10 Floating 5.32777 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 700000.000000 PA 683251.220000 0.0263214 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 6241035.100000 PA USD 5855409.030000 0.225573 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.73322 N N N N N N N/A N/A 000000000 1.000000 NC USD 1333111.440000 0.0513565 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A COMCAST CORPORATION Y 2025-01-17 0.000000 USD 0.000000 USD 9821060.480000 USD 1333111.440000 N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 971448.250000 PA USD 945784.630000 0.0364352 Long ABS-O CORP US N 2 2028-04-15 Fixed 3.25 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-5 N/A 69544LAA9 1014028.970000 PA USD 1025252.650000 0.0394966 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.278 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 2899.940000 PA USD 2892.840000 0.0001114 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 4.875 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 618619.160000 PA USD 555447.610000 0.0213979 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 2846364.560000 PA USD 1650233.080000 0.0635732 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.69154 N N N N N N PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 106134.000000 NS USD 17793365.100000 0.685468 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 9962.100000 0.0003838 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8133000.000000 CNY 1118369.740000 USD 2025-01-15 9962.100000 N N N FREDDIE MAC 3609 N/A 31398LN38 43208.220000 PA USD 43259.830000 0.0016665 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 5.46205 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141G104 34648.000000 NS USD 19840137.760000 0.764317 Long EC CORP US N 1 N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 3715530.090000 PA USD 3624998.230000 0.139649 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRG3 151606.610000 PA USD 152735.780000 0.005884 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 5.91648 N N N N N N N/A N/A 000000000 1.000000 NC -11710.430000 -0.0004511 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1251000.000000 USD 106268822.100000 INR 2025-01-17 -11710.430000 N N N N/A N/A 000000000 1.000000 NC -14243.000000 -0.0005487 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 670608.000000 USD 10595606400.000000 IDR 2025-01-08 -14243.000000 N N N N/A N/A 000000000 1.000000 NC -9267.350000 -0.000357 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 921296.000000 USD 3768561.290000 PLN 2025-01-17 -9267.350000 N N N N/A N/A 000000000 1.000000 NC -7238.270000 -0.0002788 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1001202.000000 USD 85744441.080000 INR 2025-03-21 -7238.270000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 600000.000000 PA USD 590855.060000 0.022762 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N STRUCTURED ASSET SECUR CORP 2004-23XS N/A 86359BU74 1335108.460000 PA USD 1373965.590000 0.0529304 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.27822 N N N N N N N/A N/A 000000000 1.000000 NC 18324.960000 0.0007059 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2025-06-20 12434.360000 EUR 0.000000 EUR 4500000.000000 EUR 5890.600000 N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7 N/A 320277AF3 12141200.000000 PA USD 10189749.780000 0.392548 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.93322 N N N N N N N/A N/A 000000000 1.000000 NC 2515.070000 0.0000969 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2397295.530000 CNY 329231.000000 USD 2025-01-15 2515.070000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 600000.000000 PA USD 595507.500000 0.0229412 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N N/A N/A 000000000 169001858.000000 PA USD 169001858.000000 6.51059 Long RA US N 2 Repurchase N 4.570000 2026-07-30 252800000.000000 USD 162418009.820000 USD UST N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBQ7 6100000.000000 PA USD 6119603.940000 0.23575 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.67901 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 714013.160000 PA USD 724468.240000 0.0279093 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TF5 3100000.000000 PA USD 2208033.280000 0.0850618 Long DBT UST US N 2 2042-02-15 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC 10296.610000 0.0003967 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 35003485.000000 TWD 1079688.000000 USD 2025-04-25 10296.610000 N N N FNMA PASS THRU POOLS N/A 31373UCE5 1134.580000 PA USD 1118.370000 0.0000431 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.503 N N N N N N FREDDIE MAC REMICS 5495 N/A 3137HJ2H9 2900000.000000 PA USD 2907089.630000 0.111992 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 5.74757 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 6831210.190000 PA 8558404.380000 0.329702 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 5.60182 N N N N N N FNMA PASS THRU POOLS N/A 3140JCM27 10225000.000000 PA USD 10138969.000000 0.390591 Long ABS-MBS USGSE US N 2 2029-09-01 Variable 4.532 N N N N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 8820000.000000 PA USD 8648944.480000 0.33319 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N UMBS PASS THRU POOLS N/A 01F052615 -42600000.000000 PA USD -42042143.630000 -1.61962 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 43501.430000 PA USD 39058.430000 0.0015047 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N EAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-HE9 N/A 073879KC1 5047739.800000 PA USD 5020335.120000 0.193402 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.42822 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAB6 138199.070000 PA USD 129566.470000 0.0049914 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.14689 N N N N N N N/A N/A 000000000 1.000000 NC 23101.190000 0.0008899 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10126254.930000 CNY 1403160.000000 USD 2025-01-15 23101.190000 N N N N/A N/A 000000000 1.000000 NC 2023.690000 0.000078 N/A DCR DE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A DEUTSCHE BANK AKTIENGESELLSCHAFT Y Single Leg Swap 2029-12-20 1332.100000 EUR 0.000000 EUR 400000.000000 EUR 691.590000 N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 7369091.290000 PA USD 7382355.650000 0.284396 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 5.94891 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3 N/A 021464AA0 1305359.730000 PA USD 1196784.220000 0.0461047 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.81322 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 800000.000000 PA USD 702700.730000 0.0270707 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N N/A N/A 000000000 1.000000 NC -22046.720000 -0.0008493 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1384180.000000 USD 116802645.120000 INR 2025-01-17 -22046.720000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-6 N/A 69548KAA7 1223123.050000 PA USD 1235838.150000 0.0476092 Long ABS-O CORP US N 2 2031-11-15 Fixed 6.093 N N N N N N N/A N/A 000000000 1.000000 NC USD -2678069.900000 -0.103169 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-10-15 0.000000 USD 0.000000 USD 94812089.340000 USD -2678069.900000 N N N FANNIE MAE 2009-87 N/A 31398FM57 39884.310000 PA USD 39939.200000 0.0015386 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 5.43327 N N N N N N N/A N/A 000000000 1.000000 NC -10683.490000 -0.0004116 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 818858.000000 USD 3340289.650000 PLN 2025-01-24 -10683.490000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 34648.000000 NS USD 10283179.920000 0.396147 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 928803.040000 0.035781 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-18 0.000000 USD -278913.020000 USD 138260000.000000 USD 1207716.060000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 700000.000000 PA USD 687288.290000 0.0264769 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 2420070.600000 PA 3037260.020000 0.117007 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.71516 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 232655.310000 PA USD 205205.400000 0.0079053 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.33057 N N N N N N N/A N/A 000000000 1.000000 NC 25489.230000 0.0009819 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1404000.000000 CAD 1002675.440000 USD 2025-01-15 25489.230000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2A N/A 96042VAE9 1578414.910000 PA USD 1578122.270000 0.0607952 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.31 N N N N N N N/A N/A 000000000 1.000000 NC 4556.990000 0.0001756 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 824377.800000 ILS 231748.420000 USD 2025-03-17 4556.990000 N N N N/A N/A 000000000 1.000000 NC USD -55862.750000 -0.002152 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-20 6120.550000 USD 0.000000 USD 108700000.000000 USD -61983.300000 N N N CSMC 2021-ADV TRUST N/A 12660WAA3 7900000.000000 PA USD 7057846.570000 0.271895 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.91248 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JNA1 550000.000000 PA USD 549314.550000 0.0211617 Long DBT CORP US N 2 2025-01-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -9826.500000 -0.0003786 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 795200.000000 ILS 210442.740000 USD 2025-09-02 -9826.500000 N N N N/A N/A 000000000 1.000000 NC USD 1300685.090000 0.0501073 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-03-21 0.000000 USD 0.000000 USD 23241690.900000 USD 1300685.090000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 30166DAB4 1419150.310000 PA USD 1419765.650000 0.0546947 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.7 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-A N/A 22411CAA8 923331.890000 PA USD 926278.800000 0.0356838 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.71 N N N N N N ASSET BACKED SEC HOME EQTY LN 2004-HE2 N/A 04541GHW5 978375.190000 PA USD 980077.560000 0.0377563 Long ABS-MBS CORP US N 2 2034-04-25 Floating 5.27822 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030N101 227392.000000 NS USD 8534021.760000 0.328763 Long EC CORP US N 1 N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UNE4 800000.000000 PA USD 798569.860000 0.0307639 Long DBT CORP US N 2 2025-01-14 None 0 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BT5 700000.000000 PA USD 636723.480000 0.024529 Long DBT CORP US N 2 2028-03-09 Fixed 2.75 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 5217295.730000 PA USD 5225515.580000 0.201307 Long ABS-MBS CORP US N 2 2055-05-25 Floating 5.81879 N N N N N N PAGAYA AI DEBT TRUST 2024-1 N/A 69548AAA9 5410910.340000 PA USD 5477778.370000 0.211025 Long ABS-O CORP US N 2 2031-07-15 Fixed 6.66 N N N N N N N/A N/A 000000000 1.000000 NC 40614.940000 0.0015646 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33452566.000000 TWD 1057588.000000 USD 2025-01-22 40614.940000 N N N N/A N/A 000000000 1.000000 NC -12092.210000 -0.0004658 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 905758.000000 USD 76631655.590000 INR 2025-01-17 -12092.210000 N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAA0 1800000.000000 PA USD 1492489.260000 0.0574963 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.46248 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162100 34648.000000 NS USD 9030654.720000 0.347895 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 46513.150000 0.0017919 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 63305670.000000 TWD 1971034.000000 USD 2025-01-22 46513.150000 N N N N/A N/A 000000000 1.000000 NC -11303.750000 -0.0004355 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 247020.000000 USD 347982014.000000 KRW 2025-01-22 -11303.750000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 4900000.000000 PA USD 4919647.530000 0.189524 Long DBT CORP CA N 2 2027-01-19 Fixed 4.875 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KS5 10800000.000000 PA USD 10819097.960000 0.416793 Long DBT CORP US N 2 2025-09-04 Floating 5.47374 N N N N N N LAD AUTO RECEIVABLES TRUST 2023-2A N/A 505713AB3 942858.840000 PA USD 945286.320000 0.036416 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC 8539.990000 0.000329 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 109474187.800000 INR 1285210.000000 USD 2025-01-17 8539.990000 N N N FHLMC PASS THRU POOLS N/A 3128M6PN2 37.090000 PA USD 37.450000 0.0000014 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -1225256.630000 -0.0472015 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 18549388.220000 USD 124100000.000000 DKK 2025-04-01 -1225256.630000 N N N FREDDIE MAC-3271 N/A 31397FFP2 1137.310000 PA USD 1112.590000 0.0000429 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.01205 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAC8 1500000.000000 PA USD 1516712.550000 0.0584295 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.33 N N N N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 92780JN72 2000000.000000 PA USD 1998279.160000 0.0769813 Long DBT CORP US N 2 2025-01-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 2605631.150000 0.100379 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-03-21 0.000000 USD 0.000000 USD 46483381.800000 USD 2605631.150000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1487026.490000 PA USD 1479436.560000 0.0569935 Long ABS-MBS CORP US N 2 2051-07-25 Variable 4.7436 N N N N N N N/A N/A 000000000 1.000000 NC 89.430000 0.0000034 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8112.650000 SGD 6033.000000 USD 2025-01-15 89.430000 N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348106 34648.000000 NS USD 11777894.640000 0.453729 Long EC CORP US N 1 N N N TIKEHAU CLO BV N/A ACI1ZJMY5 2301016.510000 PA 2383095.920000 0.0918059 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 3.932 N N N N N N N/A N/A 000000000 -2.000000 NC 5243.430000 0.000202 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2025-03-27 -231376.110000 GBP 5243.430000 N N N FNMA PASS THRU POOLS N/A 31418CU77 6367128.490000 PA USD 5704954.260000 0.219776 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N TCW CLO AMR LTD 2019-1A N/A 87241EAQ8 4000000.000000 PA USD 4009325.240000 0.154454 Long ABS-CBDO CORP KY N 2 2034-08-16 Floating 5.78439 N N N N N N N/A N/A 000000000 1.000000 NC -83.600000 -0.0000032 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 49449.000000 USD 798645854.000000 IDR 2025-01-15 -83.600000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287Y109 55554.000000 NS USD 9871945.800000 0.380305 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -13222.600000 -0.0005094 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 835163.000000 USD 13316256454.000000 IDR 2025-01-22 -13222.600000 N N N N/A N/A 000000000 1.000000 NC -304.120000 -0.0000117 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11099927300.000000 IDR 687302.000000 USD 2025-01-08 -304.120000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 2700000.000000 PA USD 2735742.600000 0.105391 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 35474.050000 PA USD 35982.250000 0.0013862 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.607 N N N N N N TRILLIUM CREDIT CARD TRUST II 2023-3A N/A 89621ABT5 10800000.000000 PA USD 10835210.160000 0.417413 Long ABS-MBS CORP CA N 2 2028-08-26 Floating 5.2066 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAC7 7600000.000000 PA USD 7608898.080000 0.293124 Long ABS-O CORP US N 2 2027-12-15 Fixed 4.94 N N N N N N N/A N/A 000000000 1.000000 NC USD 338221.880000 0.0130296 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A ABBVIE INC Y 2025-01-17 0.000000 USD 0.000000 USD 10162493.220000 USD 338221.880000 N N N N/A N/A 000000000 1.000000 NC 3695.010000 0.0001423 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 47366383.320000 INR 556074.000000 USD 2025-01-17 3695.010000 N N N N/A N/A 000000000 1.000000 NC -21213.060000 -0.0008172 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 448161.000000 USD 67114126.000000 JPY 2025-01-15 -21213.060000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAE1 7000000.000000 PA USD 6657668.500000 0.256479 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.05248 N N N N N N N/A N/A 000000000 1.000000 NC USD -921386.370000 -0.0354953 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A APPLE INC Y 2025-01-17 0.000000 USD 0.000000 USD 18258271.560000 USD -921386.370000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 769685.210000 PA USD 417923.440000 0.0161 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.77322 N N N N N N N/A N/A 000000000 1.000000 NC USD -250844.550000 -0.0096635 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-02-19 0.000000 USD 0.000000 USD 8967996.170000 USD -250844.550000 N N N N/A N/A 000000000 1.000000 NC USD 232118.460000 0.0089421 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 36439.300000 USD 0.000000 USD 12600000.000000 USD 195679.160000 N N N CHASE AUTO OWNER TRUST 2024-1A N/A 16144BAB4 4072463.860000 PA USD 4087336.090000 0.15746 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N TOYOTA AUTO RECEIVABLES 2023-A OWNER TRUST N/A 891940AC2 3571928.620000 PA USD 3574909.750000 0.137719 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.63 N N N N N N CARMAX AUTO OWNER TRUST 2023-3 N/A 14319BAB8 1124926.530000 PA USD 1127697.450000 0.0434432 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.72 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAB5 790228.020000 PA USD 791336.000000 0.0304853 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.13 N N N N N N N/A N/A 000000000 1.000000 NC USD -255397.520000 -0.0098389 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-09-24 0.000000 USD 0.000000 USD 9060586.110000 USD -255397.520000 N N N FNMA PASS THRU POOLS N/A 3140NVBF3 2700000.000000 PA USD 2707514.590000 0.104304 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 4.73 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAA8 5000000.000000 PA USD 4743382.000000 0.182733 Long ABS-MBS CORP US N 2 2036-09-15 Floating 5.76157 N N N N N N N/A N/A 000000000 1.000000 NC 87113.480000 0.0033559 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1707511948.000000 KRW 1243509.000000 USD 2025-01-15 87113.480000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAM3 400000.000000 PA USD 387084.060000 0.0149119 Long DBT CORP KY N 2 2026-02-21 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC 4753.760000 0.0001831 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 55989575.350000 INR 657695.000000 USD 2025-01-17 4753.760000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 4500000.000000 PA USD 4321246.910000 0.166471 Long DBT CORP US N 2 2027-03-09 Floating 1.431 N N N N N N N/A N/A 000000000 1.000000 NC 6180.700000 0.0002381 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1060577.000000 USD 1573970508.000000 KRW 2025-01-08 6180.700000 N N N FHLMC PASS THRU POOLS N/A 3132DWMS9 53697304.130000 PA USD 53020464.110000 2.04255 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 5.5 N N N N N N JOHNSON & JOHNSON COMPANY 549300G0CFPGEF6X2043 478160104 34648.000000 NS USD 5010793.760000 0.193035 Long EC CORP US N 1 N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAC4 350771.310000 PA USD 352058.710000 0.0135626 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.45 N N N N N N FIFTH THIRD AUTO TRUST 2023-1 N/A 31680EAB7 917424.170000 PA USD 919317.370000 0.0354156 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.8 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797LY1 1267000.000000 PA USD 1264915.470000 0.0487293 Long DBT UST US N 2 2025-01-16 None 0 N N N N N N N/A N/A 000000000 -107.000000 NC USD -11424.390000 -0.0004401 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-31 -22001457.060000 USD -11424.390000 N N N N/A N/A 000000000 1.000000 NC USD 442816.140000 0.017059 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 104028.620000 USD 0.000000 USD 7100000.000000 USD 338787.520000 N N N N/A N/A 000000000 1.000000 NC USD 245681.970000 0.0094646 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -389.270000 USD 1380000.000000 USD 246071.240000 N N N N/A N/A 000000000 1.000000 NC -11563.340000 -0.0004455 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 905288.000000 USD 76636703.000000 INR 2025-01-17 -11563.340000 N N N N/A N/A 000000000 1.000000 NC USD 2630755.240000 0.101347 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-02-21 0.000000 USD 0.000000 USD 46820217.900000 USD 2630755.240000 N N N N/A N/A 000000000 1.000000 NC -15782.330000 -0.000608 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1035773.000000 USD 4216839.040000 PLN 2025-01-31 -15782.330000 N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368L8M1 2100000.000000 PA USD 2109053.290000 0.0812487 Long DBT CORP CA N 2 2027-09-10 Floating 5.38778 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFP5 100000.000000 PA USD 101702.740000 0.003918 Long DBT CORP US N 2 2028-04-13 Floating 5.652 N N N N N N N/A N/A 000000000 1.000000 NC 191.570000 0.0000074 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 17617.960000 SGD 13099.000000 USD 2025-01-15 191.570000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 1500000.000000 PA USD 1505764.260000 0.0580077 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N N/A N/A 000000000 1.000000 NC -6411.960000 -0.000247 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9113852913.000000 IDR 558163.000000 USD 2025-01-08 -6411.960000 N N N N/A N/A 000000000 1.000000 NC 27309.250000 0.0010521 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 33352031.000000 TWD 1041226.000000 USD 2025-01-22 27309.250000 N N N N/A N/A 000000000 1.000000 NC USD 392775.800000 0.0151312 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-03-20 0.000000 USD -19651.990000 USD 1100000.000000 USD 412427.790000 N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4R0 479.670000 PA USD 391.490000 0.0000151 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.098 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AC2 8300000.000000 PA USD 8314486.820000 0.320306 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.88 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BY7 2950000.000000 PA USD 2956138.830000 0.113882 Long DBT CORP US N 2 2025-09-12 Floating 5.41805 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-B N/A 78449LAC2 2874640.520000 PA USD 2866908.890000 0.110444 Long ABS-O CORP US N 2 2037-01-15 Floating 5.23157 N N N N N N N/A N/A 000000000 1.000000 NC -4651.900000 -0.0001792 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 556074.000000 USD 47568516.220000 INR 2025-03-21 -4651.900000 N N N TOWD POINT MORTGAGE TRUST 2024-5 N/A 891944AA8 9515729.930000 PA USD 9315120.260000 0.358854 Long ABS-MBS CORP US N 2 2064-10-25 Variable 4.48008 N N N N N N BEAR STEARNS ALT-A TR 2004-12 N/A 07386HNV9 2247699.220000 PA USD 2157541.530000 0.0831167 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.02822 N N N N N N N/A N/A 000000000 1.000000 NC 368.600000 0.0000142 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 55737.000000 USD 912972060.000000 IDR 2025-03-05 368.600000 N N N GE-WMC MORTGAGE SECURITIES LLC 2005-2 N/A 367910AV8 5038354.220000 PA USD 4836971.200000 0.186338 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.09322 N N N N N N N/A N/A 000000000 1.000000 NC -11627.650000 -0.0004479 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 557220.000000 USD 8807419320.000000 IDR 2025-01-08 -11627.650000 N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC2 N/A 61746RHS3 576686.860000 PA USD 595356.980000 0.0229354 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.36822 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 8424.320000 PA USD 8288.600000 0.0003193 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.04205 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 1500000.000000 PA USD 1505451.420000 0.0579957 Long DBT CORP US N 2 2026-08-10 Floating 5.62928 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 728285.620000 PA 754720.510000 0.0290747 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.134 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 470879.780000 PA USD 471456.870000 0.0181623 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 5.58969 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2024-3 N/A 02589BAE0 12600000.000000 PA USD 12635809.200000 0.486779 Long ABS-MBS CORP US N 2 2029-07-15 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC USD 299662.530000 0.0115441 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A NVIDIA CORPORATION Y 2025-01-17 0.000000 USD 0.000000 USD 8922516.750000 USD 299662.530000 N N N N/A N/A 000000000 264800000.000000 PA USD 264800000.000000 10.2011 Long RA US N 2 Repurchase N 4.520000 2025-01-02 274911000.000000 USD 266212645.520000 USD UST N N N CROSS 2024-H3 MORTGAGE TRUST N/A 22758DAA7 5039974.190000 PA USD 5084791.660000 0.195885 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.272 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAB8 4014524.950000 PA USD 4033871.750000 0.1554 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.9 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 5700000.000000 PA USD 5727542.970000 0.220647 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 92780JND9 8100000.000000 PA USD 8087010.840000 0.311542 Long DBT CORP US N 2 2025-01-13 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202K5J0 376.040000 PA USD 377.420000 0.0000145 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -645.130000 -0.0000249 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 370618.000000 USD 31915769.070000 INR 2025-03-21 -645.130000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-7 N/A 69545AAA2 1654909.050000 PA USD 1673129.270000 0.0644553 Long ABS-O CORP US N 2 2031-12-15 Fixed 6.117 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1 N/A 03881CAA9 1770090.210000 PA USD 1774892.780000 0.0683756 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 5.48157 N N N N N N FREDDIE MAC REMICS 5410 N/A 3137HCUC4 6612474.530000 PA USD 6665077.430000 0.256764 Long ABS-MBS USGSE US N 2 2054-05-25 Floating 5.81879 N N N N N N N/A N/A 000000000 1.000000 NC -38912.730000 -0.0014991 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 917860.000000 USD 16608529.840000 ZAR 2025-01-17 -38912.730000 N N N N/A N/A 000000000 1.000000 NC USD 48741275.070000 1.8777 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 236664622.440000 USD 48741275.070000 N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAB8 1234169.480000 PA USD 1236922.170000 0.0476509 Long ABS-O CORP US N 2 2027-06-21 Fixed 5.35 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAB0 1500000.000000 PA USD 1503249.750000 0.0579109 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.25 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 4300000.000000 PA USD 4201977.460000 0.161876 Long DBT CORP US N 2 2027-06-17 Floating 3.196 N N N N N N N/A N/A 000000000 1.000000 NC -9986.400000 -0.0003847 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1079688.000000 USD 35187032.000000 TWD 2025-01-22 -9986.400000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 2464298.760000 PA USD 2475403.380000 0.0953619 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 36740.500000 PA USD 36201.390000 0.0013946 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.06327 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AB9 3870293.640000 PA USD 1941192.990000 0.0747821 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.56322 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 116378.280000 PA USD 109614.850000 0.0042228 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -6037.270000 -0.0002326 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 470079.120000 USD 39791492.390000 INR 2025-01-17 -6037.270000 N N N N/A N/A 000000000 1.000000 NC -5032.030000 -0.0001939 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1569908498.000000 KRW 1060577.000000 USD 2025-03-19 -5032.030000 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAA5 7300000.000000 PA USD 7016119.060000 0.270288 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.50052 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 5483429.790000 PA USD 5466856.120000 0.210604 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 5.85023 N N N N N N GNMA PASS THRU POOLS N/A 21H050623 8900000.000000 PA USD 8630566.380000 0.332482 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 5 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 153822.840000 PA USD 153713.170000 0.0059216 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 5.71157 N N N N N N N/A N/A 000000000 1.000000 NC USD -27874.490000 -0.0010738 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.42 Y Single Leg Swap 2029-12-20 0.000000 USD -26505.000000 USD 900000.000000 USD -1369.490000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DP7 600000.000000 PA USD 614437.520000 0.0236705 Long DBT CORP US N 2 2027-05-01 Fixed 6.259 N N N N N N N/A N/A 000000000 1.000000 NC USD 1301653.490000 0.0501446 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-03-21 0.000000 USD 0.000000 USD 23241690.900000 USD 1301653.490000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAC4 3800000.000000 PA USD 3789433.720000 0.145983 Long ABS-O CORP US N 2 2029-01-10 Fixed 4.53 N N N N N N N/A N/A 000000000 1.000000 NC 73.020000 0.0000028 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 403266.880000 THB 11936.270000 USD 2025-02-20 73.020000 N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 122194.260000 PA USD 94638.020000 0.0036458 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.21892 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599EH4 6000000.000000 PA USD 6012330.000000 0.231618 Long DBT CORP US N 2 2027-08-01 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797KJ5 6250000.000000 PA USD 6194435.500000 0.238633 Long DBT UST US N 2 2025-03-20 None 0 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAC3 660917.980000 PA USD 661433.500000 0.0254809 Long ABS-O CORP US N 2 2026-07-15 Floating 5.54757 N N N N N N BNPAM-2018-1A N/A ACI1W1J88 1148799.490000 PA 1181696.710000 0.0455234 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.779 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 9257.490000 PA USD 9371.550000 0.000361 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 6.026 N N N N N N N/A N/A 000000000 1.000000 NC 10615.960000 0.000409 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 500000.000000 BRL 90358.190000 USD 2025-04-02 10615.960000 N N N FREDDIE MAC-3372 N/A 31397KQ61 35095.080000 PA USD 34903.050000 0.0013446 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.31205 N N N N N N N/A N/A 000000000 1.000000 NC -26011.890000 -0.0010021 N/A DFE ID N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 1671606.000000 USD 26622832959.000000 IDR 2025-01-15 -26011.890000 N N N GNMA PASS THRU POOLS N/A 36225CFM3 649.580000 PA USD 648.800000 0.000025 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 4.625 N N N N N N FNMA PASS THRU POOLS N/A 31362JUL7 392.060000 PA USD 387.840000 0.0000149 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 4.517 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAC1 271816.900000 PA USD 254051.980000 0.009787 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.38 N N N N N N N/A N/A 000000000 1.000000 NC -9712.400000 -0.0003742 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 643974.000000 USD 10261242710.000000 IDR 2025-01-15 -9712.400000 N N N ALLY AUTO RECEIVABLES TRUST 2024-2 N/A 02007NAC2 1000000.000000 PA USD 993577.900000 0.0382764 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.14 N N N N N N N/A N/A 000000000 1.000000 NC USD -7328122.620000 -0.282307 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2025-01-15 0.000000 USD 0.000000 USD 255111714.170000 USD -7328122.620000 N N N FHLMC PASS THRU POOLS N/A 3128M6N79 95697.230000 PA USD 97766.640000 0.0037663 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 8729.410000 0.0003363 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17660228.000000 TWD 548267.000000 USD 2025-04-25 8729.410000 N N N RECETTE CLO LTD 2015-1A N/A 75620TAW8 4050000.000000 PA USD 4055829.650000 0.156246 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.95901 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 2554.270000 PA USD 1977.420000 0.0000762 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.24997 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933Y105 34648.000000 NS USD 3446783.040000 0.132783 Long EC CORP US N 1 N N N MF1 2024-FL14 LLC N/A 55416AAA7 900000.000000 PA USD 902697.410000 0.0347753 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.10335 N N N N N N N/A N/A 000000000 1.000000 NC -39596.620000 -0.0015254 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 934914.000000 USD 1321734668.000000 KRW 2025-01-22 -39596.620000 N N N N/A N/A 000000000 1.000000 NC 3244.110000 0.000125 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6270430.420000 CNY 861749.000000 USD 2025-05-12 3244.110000 N N N N/A N/A 000000000 1.000000 NC 7946.510000 0.0003061 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK 0.000000 CZK 48800000.000000 CZK 7946.510000 N N N N/A N/A 000000000 1.000000 NC -10905.730000 -0.0004201 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 907229.000000 USD 76859533.650000 INR 2025-01-17 -10905.730000 N N N CREDIT-BASED ASSET SERVC SEC 2005-CB3 N/A 12489WLH5 1868422.580000 PA USD 1799192.850000 0.0693117 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.50322 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAB5 3370671.420000 PA USD 3175706.730000 0.12234 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.71322 N N N N N N N/A N/A 000000000 1.000000 NC USD 7455.340000 0.0002872 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 CITIGROUP INC CITIGROUP INC SR UNSEC TSFR3M Y Single Leg Swap 2025-12-20 6402.180000 USD 0.000000 USD 1000000.000000 USD 1053.160000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAA7 4607000.000000 PA USD 4610996.570000 0.177633 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.183 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 N/A 107933AB9 29429.200000 PA USD 29438.800000 0.0011341 Long ABS-O CORP US N 2 2026-09-15 Fixed 5.82 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QL8W8 1000000.000000 PA 1038988.450000 0.0400258 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 5.084 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 1608978.360000 PA USD 1618078.420000 0.0623345 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A45 400000.000000 PA USD 392027.680000 0.0151024 Long DBT CORP US N 2 2027-01-09 Fixed 4.271 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LR0 26178.080000 PA USD 23504.970000 0.0009055 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 2194620.750000 PA USD 2166625.730000 0.0834666 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.81322 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 599887.550000 PA 621420.260000 0.0239395 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.884 N N N N N N N/A N/A 000000000 1.000000 NC -15659.620000 -0.0006033 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1028536.000000 USD 4187427.190000 PLN 2025-01-31 -15659.620000 N N N N/A N/A 000000000 1.000000 NC -12250.230000 -0.0004719 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 906900.000000 USD 76716031.350000 INR 2025-01-17 -12250.230000 N N N N/A N/A 000000000 1.000000 NC USD 819154.470000 0.0315569 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-01-15 0.000000 USD -27252.570000 USD 7700000.000000 USD 846407.040000 N N N N/A N/A 000000000 1.000000 NC USD 11458455.300000 0.441423 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-08-20 0.000000 USD 0.000000 USD 176569527.960000 USD 11458455.300000 N N N N/A N/A 000000000 1.000000 NC 17793.220000 0.0006855 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 764000.000000 EUR 809562.130000 USD 2025-01-15 17793.220000 N N N N/A N/A 000000000 1.000000 NC 3794.140000 0.0001462 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 94594015.000000 KRW 67857.000000 USD 2025-01-15 3794.140000 N N N N/A N/A 000000000 1.000000 NC USD 304582.050000 0.0117337 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A ALPHABET INC Y 2025-01-17 0.000000 USD 0.000000 USD 21000638.120000 USD 304582.050000 N N N FHLMC PASS THRU POOLS N/A 3128P7LB7 6195.980000 PA USD 6194.530000 0.0002386 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 307171.530000 PA USD 306308.130000 0.0118001 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.38205 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 356412.740000 PA USD 356121.620000 0.0137192 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.43205 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 569504.840000 PA 589410.380000 0.0227063 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.964 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAB9 4000000.000000 PA USD 4023658.800000 0.155007 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 964803.340000 0.0371679 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 724755.920000 USD 0.000000 USD 5800000.000000 USD 240047.420000 N N N N/A N/A 000000000 1.000000 NC 90771.370000 0.0034969 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54986000.000000 MXN 2726373.380000 USD 2025-01-06 90771.370000 N N N TOWD POINT MORTGAGE TRUST 2022-4 N/A 89180YAA8 13760929.810000 PA USD 12939738.070000 0.498488 Long ABS-MBS CORP US N 2 2062-09-25 Variable 3.75 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 313365.410000 PA USD 215733.780000 0.0083109 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.51322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRJ7 228.590000 PA USD 228.470000 0.0000088 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 5.53648 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A N/A 30166UAB6 3909123.540000 PA USD 3918110.220000 0.15094 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.6 N N N N N N N/A N/A 000000000 1.000000 NC USD 245355.260000 0.009452 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A MICROSOFT CORPORATION Y 2025-01-17 0.000000 USD 0.000000 USD 19233328.590000 USD 245355.260000 N N N RCKT MORTGAGE TRUST 2024-CES6 N/A 749410AA4 2531137.350000 PA USD 2520056.280000 0.0970821 Long ABS-MBS CORP US N 2 2044-09-25 Variable 5.344 N N N N N N IMPAC CMB TR 2003-11 N/A 45254NFY8 69.170000 PA USD 69.140000 0.0000027 Long ABS-MBS CORP US N 2 2033-10-25 Floating 5.21322 N N N N N N GNMA PASS THRU POOLS N/A 36225FC72 626905.370000 PA USD 635415.370000 0.0244786 Long ABS-MBS USGSE US N 2 2041-04-20 Floating 4.875 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 14574971.670000 PA USD 142747272.540000 5.49917 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -29188.760000 -0.0011245 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 960291.000000 USD 15063604772.000000 IDR 2025-01-15 -29188.760000 N N N FANNIE MAE 2009-47 N/A 31396QFA2 23100.240000 PA USD 23265.000000 0.0008963 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 5.58327 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714M5 382820.940000 PA USD 368455.780000 0.0141943 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.85322 N N N N N N N/A N/A 000000000 1.000000 NC USD -301451.700000 -0.0116131 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 10700750.600000 USD -301451.700000 N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 12007.150000 PA USD 11357.070000 0.0004375 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.02522 N N N N N N N/A N/A 000000000 1.000000 NC 112636.450000 0.0043392 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2253941293.000000 KRW 1640244.000000 USD 2025-01-08 112636.450000 N N N N/A N/A 000000000 1.000000 NC 2985.990000 0.000115 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 47496124.620000 INR 556878.000000 USD 2025-01-17 2985.990000 N N N FANNIE MAE 2007-14 N/A 31396PZU8 6083.060000 PA USD 5962.640000 0.0002297 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.03327 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 44155.510000 PA USD 44327.290000 0.0017077 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 5.50327 N N N N N N N/A N/A 000000000 1.000000 NC -9326.210000 -0.0003593 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1299382.000000 USD 111286870.770000 INR 2025-03-21 -9326.210000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A N/A ACI2Q3MV4 1500000.000000 PA 1553386.450000 0.0598423 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 4.338 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZX1 6900000.000000 PA USD 6933223.570000 0.267094 Long DBT CORP CA N 2 2027-07-23 Floating 5.069 N N N N N N N/A N/A 000000000 1.000000 NC 1759.210000 0.0000678 N/A DFE TW N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 4017927.000000 TWD 123906.000000 USD 2025-01-22 1759.210000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-B N/A 78449YAA8 2045901.360000 PA USD 1884285.790000 0.0725898 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31 N N N N N N N/A N/A 000000000 1.000000 NC USD 1369213.070000 0.0527473 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 N/A AMAZONCOM INC Y 2025-01-17 0.000000 USD 0.000000 USD 52572126.040000 USD 1369213.070000 N N N ANCHORAGE CAPITAL CLO LTD 2018-10A N/A 03331JAQ5 3004638.330000 PA USD 3009169.440000 0.115925 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.7559 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 100000.000000 PA USD 96927.960000 0.003734 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N N/A N/A 000000000 13.000000 NC USD -118442.020000 -0.0045628 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 1541921.880000 USD -118442.020000 N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 2954103.930000 PA USD 2848301.220000 0.109727 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 56390.950000 0.0021724 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1426210706.000000 KRW 1022278.000000 USD 2025-01-15 56390.950000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 500000.000000 PA USD 470740.010000 0.0181347 Long DBT CORP US N 2 2030-04-15 Fixed 3.875 N N N N N N FNMA PASS THRU POOLS N/A 31362QGF0 1406.170000 PA USD 1390.760000 0.0000536 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.579 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 3265810.120000 PA USD 2594846.820000 0.0999633 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.62522 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 384831.820000 PA USD 336544.550000 0.012965 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.99322 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 148086.070000 PA USD 148324.070000 0.005714 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 5.73324 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 3773904.790000 PA USD 3781432.300000 0.145675 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 5.54857 N N N N N N TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST N/A 89239TAB8 3800000.000000 PA USD 3803592.140000 0.146529 Long ABS-O CORP US N 2 2027-08-16 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC 7460.820000 0.0002874 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17644643.000000 TWD 543865.910000 USD 2025-01-22 7460.820000 N N N N/A N/A 000000000 1.000000 NC USD 135218.580000 0.0052091 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -66971.390000 USD 7810000.000000 USD 202189.970000 N N N MORGAN STANLEY BANK NATIONAL ASSOCIATION G1MLHIS0N32I3QPILB75 61690U8E3 700000.000000 PA USD 702410.280000 0.0270595 Long DBT CORP US N 2 2028-07-14 Floating 4.968 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 28237.700000 PA USD 23807.980000 0.0009172 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 10751.180000 PA USD 10680.890000 0.0004115 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 5.075 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 5500000.000000 PA USD 5521458.200000 0.212707 Long DBT CORP US N 2 2025-08-04 Floating 5.74972 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397G23 2900000.000000 PA USD 2843674.580000 0.109549 Long DBT CORP US N 2 2029-09-06 Fixed 5.303 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAA8 964919.550000 PA USD 906887.260000 0.0349367 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94054 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 571318.500000 PA USD 560202.010000 0.0215811 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.89322 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EPT7 9220000.000000 PA USD 9152912.420000 0.352605 Long DBT CORP US N 2 2025-02-27 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 16828629.840000 0.648303 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-10-01 0.000000 USD 0.000000 USD 362676050.380000 USD 16828629.840000 N N N LEGACY MORTGAGE ASSET TRUST 2020-RPL1 N/A 52474HAA8 1565444.580000 PA USD 1488465.720000 0.0573413 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 19461.080000 PA 20166.640000 0.0007769 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.859 N N N N N N NAVIENT STUDENT LOAN TRUST 2019-BA N/A 63941LAC7 2153345.980000 PA USD 2151955.560000 0.0829015 Long ABS-O CORP US N 2 2059-12-15 Floating 5.49157 N N N N N N N/A N/A 000000000 1.000000 NC USD 2530565.380000 0.097487 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-02-21 0.000000 USD 0.000000 USD 45023758.700000 USD 2530565.380000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB29 800000.000000 PA USD 795508.230000 0.030646 Long DBT CORP US N 2 2030-07-23 Floating 5.049 N N N N N N WORLD OMNI SELECT AUTO TRUST 2024-A N/A 98164LAB5 4000000.000000 PA USD 4016868.000000 0.154745 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.37 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 46088.160000 PA USD 44756.380000 0.0017242 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.01322 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 7900000.000000 PA USD 8042718.240000 0.309836 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N N/A N/A 000000000 1.000000 NC USD 13213.760000 0.000509 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -4234.890000 USD 800000.000000 USD 17448.650000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB60 100000.000000 PA USD 97941.570000 0.0037731 Long DBT CORP US N 2 2030-10-23 Floating 4.692 N N N N N N N/A N/A 000000000 1.000000 NC -4871.930000 -0.0001877 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 903796.000000 USD 6595903.210000 CNY 2025-01-15 -4871.930000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 475323.050000 PA USD 476548.910000 0.0183585 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 5.76648 N N N N N N N/A N/A 000000000 1.000000 NC -7285.910000 -0.0002807 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 515832.000000 USD 2102428.070000 PLN 2025-01-31 -7285.910000 N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 79921.000000 NS USD 33686701.500000 1.29774 Long EC CORP US N 1 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0SZJH0 82800000.000000 PA 3048323.440000 0.117433 Long DBT NUSS MX N 2 2047-11-07 Fixed 8 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 1400000.000000 PA USD 1345324.470000 0.051827 Long DBT CORP US N 2 2027-02-04 Floating 1.04 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AB8 1118987.900000 PA USD 1120374.550000 0.0431611 Long ABS-O CORP US N 2 2026-01-20 Fixed 5.58 N N N N N N N/A N/A 000000000 1.000000 NC USD -424179.000000 -0.016341 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2025-05-07 0.000000 USD 0.000000 USD 14999568.820000 USD -424179.000000 N N N N/A N/A 000000000 1.000000 NC 5485.220000 0.0002113 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 85382506.560000 INR 1001202.000000 USD 2025-01-17 5485.220000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B93 200000.000000 PA USD 179217.800000 0.0069041 Long DBT CORP US N 2 2029-02-10 Fixed 2.9 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LT8 15431.850000 PA USD 15426.640000 0.0005943 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N COCA COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 34648.000000 NS USD 2157184.480000 0.0831029 Long EC CORP US N 1 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2HDVK6 116200000.000000 PA 16963567.180000 0.653501 Long DBT NUSS BR N 2 2025-10-01 None 0 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAG2 1300000.000000 PA USD 1244988.810000 0.0479617 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.696 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 80288AAB8 288464.310000 PA USD 289004.030000 0.0111335 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.71 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKL4 65417255.000000 PA USD 65514904.640000 2.52388 Long DBT UST US N 2 2029-04-15 Fixed 2.125 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI1WKQ05 1600000.000000 PA 1903817.040000 0.0733422 Long DBT CORP GB N 2 2027-07-24 Floating 1.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -478816.390000 -0.0184458 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2025-01-08 0.000000 USD 0.000000 USD 16758777.510000 USD -478816.390000 N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAA6 1150000.000000 PA USD 1143681.330000 0.0440589 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.77 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 1820474.670000 PA 2285547.090000 0.0880479 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 5.85182 N N N N N N N/A N/A 000000000 1.000000 NC 3199.090000 0.0001232 N/A DCR FR N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BNP PARIBAS BNP PARIBAS SR UNSEC Y Single Leg Swap 2025-12-20 2618.900000 EUR 0.000000 EUR 400000.000000 EUR 580.190000 N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 N/A 10806EAB0 3600000.000000 PA USD 3602557.440000 0.138784 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.84 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TY4 6613512.200000 PA USD 6127185.860000 0.236042 Long DBT UST US N 2 2054-02-15 Fixed 2.125 N N N N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275R102 34648.000000 NS USD 2051161.600000 0.0790185 Long EC CORP US N 1 N N N SMB PRIVATE EDUCATION LOAN TRUST 2016-C N/A 78449KAD2 7100000.000000 PA USD 6956837.730000 0.268004 Long ABS-O CORP US N 2 2040-11-15 Fixed 3.25 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 388320.580000 PA USD 387981.580000 0.0149465 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 5.43205 N N N N N N FANNIE MAE REMICS 2010-109 N/A 31398NRZ9 420816.520000 PA USD 396423.010000 0.0152717 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 3 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 900000.000000 PA USD 881126.840000 0.0339443 Long DBT CORP US N 2 2028-02-01 Floating 3.782 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAD2 2564000.000000 PA USD 2135033.570000 0.0822496 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.175 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 4326000.000000 PA USD 4011902.550000 0.154554 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.38322 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 7105000.000000 PA USD 7094108.750000 0.273292 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.82 N N N N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 4000000.000000 PA USD 4000000.000000 0.154095 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.51433 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-5 N/A 80286PAB7 1418575.960000 PA USD 1421365.450000 0.0547564 Long ABS-O CORP US N 2 2027-07-15 Fixed 6.31 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFU4 1900000.000000 PA USD 1859880.000000 0.0716496 Long DBT CORP US N 2 2030-10-18 Floating 4.654 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 200000.000000 PA USD 199150.850000 0.007672 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 24243.660000 PA USD 24197.560000 0.0009322 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 5.43327 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 400000.000000 PA USD 418962.940000 0.01614 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BS7 100000.000000 PA USD 96041.780000 0.0036999 Long DBT CORP US N 2 2026-03-09 Fixed 2 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECP8 400000.000000 PA USD 405128.010000 0.0156071 Long DBT CORP GB N 2 2028-03-12 Floating 5.674 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAB1 1055960.820000 PA USD 1060921.940000 0.0408707 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 484965.820000 PA USD 484680.420000 0.0186717 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 4.8677 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-2 N/A 17295FAB0 1030880.440000 PA USD 1033742.470000 0.0398237 Long ABS-O CORP US N 2 2026-10-15 Fixed 6.09 N N N N N N N/A N/A 000000000 1.000000 NC 5023.410000 0.0001935 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6564541.490000 CNY 903796.000000 USD 2025-05-12 5023.410000 N N N GOLDEN CREDIT CARD TRUST 2022-4A N/A 380881FP2 3260000.000000 PA USD 3255177.480000 0.125402 Long ABS-MBS CORP CA N 2 2027-09-15 Fixed 4.31 N N N N N N N/A N/A 000000000 1.000000 NC -1812.310000 -0.0000698 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 107913.000000 USD 763376.240000 DKK 2025-01-15 -1812.310000 N N N CROSS 2024-H4 MORTGAGE TRUST N/A 22758HAA8 1611782.480000 PA USD 1622554.180000 0.0625069 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 6.147 N N N N N N IMPAC CMB TR 2005-4 N/A 45254NPA9 3492834.330000 PA USD 3326265.600000 0.12814 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.99322 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142103 34648.000000 NS USD 3130446.800000 0.120597 Long EC CORP US N 1 N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 153817.410000 PA USD 111657.090000 0.0043015 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.51382 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 449386.360000 PA USD 451807.920000 0.0174054 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N N/A N/A 000000000 1.000000 NC USD 3766127.180000 0.145086 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2025-08-13 0.000000 USD 0.000000 USD 139664404.790000 USD 3766127.180000 N N N N/A N/A 000000000 1.000000 NC 59.430000 0.0000023 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 75452319.170000 INR 879972.000000 USD 2025-01-17 59.430000 N N N REGATTA XXIII FUNDING LTD N/A 75889FAC8 10868000.000000 PA USD 10887941.580000 0.419445 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 6.02901 N N N N N N N/A N/A 000000000 1.000000 NC 8107.300000 0.0003123 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20657283.000000 TWD 636098.000000 USD 2025-01-22 8107.300000 N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 2702286.970000 PA USD 2564178.760000 0.0987819 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.76322 N N N N N N N/A N/A 000000000 1.000000 NC -11547.650000 -0.0004449 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 872898.000000 USD 73860613.430000 INR 2025-01-17 -11547.650000 N N N N/A N/A 000000000 1.000000 NC -308.320000 -0.0000119 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 19909.000000 USD 317550541.000000 IDR 2025-01-22 -308.320000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAE2 2300000.000000 PA USD 2301983.060000 0.0886811 Long ABS-O CORP US N 2 2028-07-17 Fixed 4.75 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 74056.630000 PA USD 73128.970000 0.0028172 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 5.08327 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAD3 2854243.440000 PA USD 1073696.740000 0.0413629 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.77322 N N N N N N N/A N/A 000000000 1.000000 NC 3075.700000 0.0001185 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2915945.850000 CNY 400476.000000 USD 2025-01-15 3075.700000 N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 77511LNP4 11530000.000000 PA USD 11496522.180000 0.44289 Long DBT CORP CA N 2 2025-01-23 None 0 N N N N N N FANNIE MAE REMICS 2025-01 N/A 958XFLII0 3100000.000000 PA USD 3098546.880000 0.119368 Long ABS-MBS USGSE US N 3 2055-01-25 Floating 5.82428 N N N N N N PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC) PUSS41EMO3E6XXNV3U28 74457LN85 1500000.000000 PA USD 1498506.870000 0.0577282 Long DBT CORP US N 2 2025-01-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 2454.990000 0.0000946 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -652.000000 USD 100000.000000 USD 3106.990000 N N N N/A N/A 000000000 1.000000 NC -19448.480000 -0.0007492 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1171402.000000 USD 4759946.340000 PLN 2025-01-17 -19448.480000 N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 441447.310000 PA USD 442260.340000 0.0170375 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 5.96751 N N N N N N N/A N/A 000000000 1.000000 NC USD -3233.760000 -0.0001246 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.38 Y Single Leg Swap 2027-12-20 0.000000 USD -42270.000000 USD 500000.000000 USD 39036.240000 N N N N/A N/A 000000000 1.000000 NC -76048.680000 -0.0029297 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2083763.480000 USD 42157660.850000 MXN 2025-02-13 -76048.680000 N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 578478.550000 PA USD 391369.720000 0.015077 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.77322 N N N N N N N/A N/A 000000000 1.000000 NC 136388.760000 0.0052542 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3797899373.000000 KRW 2709012.000000 USD 2025-01-22 136388.760000 N N N FHLMC PASS THRU POOLS N/A 3128P7DU4 2310.010000 PA USD 2309.320000 0.000089 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 5 N N N N N N N/A N/A 000000000 61.000000 NC USD -150202.560000 -0.0057864 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 6633273.470000 USD -150202.560000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDF3 3700000.000000 PA USD 3740474.150000 0.144097 Long DBT CORP JP N 2 2030-07-10 Floating 5.382 N N N N N N N/A N/A 000000000 1.000000 NC USD 299303.070000 0.0115303 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.43 Y Single Leg Swap 2029-12-20 277664.700000 USD 0.000000 USD 3800000.000000 USD 21638.370000 N N N N/A N/A 000000000 1.000000 NC 271.210000 0.0000104 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 27825.520000 SGD 20657.000000 USD 2025-01-15 271.210000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MU8 1162000.000000 PA USD 1150653.710000 0.0443275 Long DBT UST US N 2 2025-03-27 None 0 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AC6 205528.390000 PA USD 205571.350000 0.0079194 Long ABS-O CORP US N 2 2026-01-20 Floating 5.0546 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 31229.530000 PA USD 30478.250000 0.0011741 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.03322 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 11026.900000 PA USD 10413.880000 0.0004012 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.85322 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 281757.440000 PA USD 277398.380000 0.0106864 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31384VZC9 198.020000 PA USD 205.270000 0.0000079 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 8 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 352653.630000 PA USD 351478.620000 0.0135403 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.36822 N N N N N N FNMA PASS THRU POOLS N/A 31362L4P2 1304.030000 PA USD 1290.510000 0.0000497 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 4.622 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDM9 700000.000000 PA USD 708170.650000 0.0272814 Long DBT CORP JP N 2 2029-07-09 Fixed 5.316 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833100 111580.000000 NS USD 27941863.600000 1.07643 Long EC CORP US N 1 N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1155488.960000 PA USD 1183004.620000 0.0455738 Long ABS-MBS CORP US N 2 2058-05-25 Floating 5.45322 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 1095555.280000 PA USD 1098492.900000 0.0423181 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JE4 4578.610000 PA USD 4595.520000 0.000177 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 3615.790000 0.0001393 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 558163.000000 USD 9141481981.000000 IDR 2025-03-05 3615.790000 N N N N/A N/A 000000000 1.000000 NC -4071.600000 -0.0001569 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 546110.000000 USD 46759030.420000 INR 2025-03-21 -4071.600000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 18148.660000 PA USD 17864.490000 0.0006882 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.03327 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAC0 1217291.750000 PA USD 1220533.400000 0.0470196 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.04 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JF1 200000.000000 PA USD 199325.940000 0.0076788 Long DBT CORP US N 2 2026-09-06 Fixed 4.4 N N N N N N CHASE FUNDING MORTGAGE LOAN AS 2002-4 N/A 161546DQ6 43103.980000 PA USD 42357.810000 0.0016318 Long ABS-MBS CORP US N 2 2032-10-25 Floating 5.19322 N N N N N N N/A N/A 000000000 1.000000 NC 27366.540000 0.0010543 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33877507.000000 TWD 1057258.000000 USD 2025-01-22 27366.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAY7 1500000.000000 PA USD 1351224.870000 0.0520543 Long DBT UST US N 2 2027-11-30 Fixed 0.625 N N N N N N HENLEY CLO VII DAC 7A N/A ACI2QFVZ8 2800000.000000 PA 2897102.090000 0.111607 Long ABS-CBDO CORP IE N 2 2034-04-25 Floating 4.076 N N N N N N N/A N/A 000000000 1.000000 NC USD 30248252.030000 1.16528 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 144777152.910000 USD 30248252.030000 N N N N/A N/A 000000000 1.000000 NC -21623.200000 -0.000833 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 962234.000000 USD 3887665.920000 PLN 2025-01-24 -21623.200000 N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 28913368.170000 PA 36230663.460000 1.39574 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 5.41149 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 2400000.000000 PA USD 2381844.000000 0.0917577 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 -10854.450000 -0.0004182 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1297508.000000 USD 110993375.600000 INR 2025-03-21 -10854.450000 N N N N/A N/A 000000000 1.000000 NC USD 144647.800000 0.0055724 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-15 0.000000 USD -2775.590000 USD 400000.000000 USD 147423.390000 N N N MOUNTAIN VIEW CLO XVI LTD 2022-1A N/A 62432UAN1 2900000.000000 PA USD 2911418.630000 0.112159 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 6.1159 N N N N N N GNMA PASS THRU POOLS N/A 36225CCY0 766.150000 PA USD 768.280000 0.0000296 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 4.875 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 400000.000000 PA USD 386945.980000 0.0149066 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC -3992.100000 -0.0001538 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 253934.140000 USD 1033308.800000 PLN 2025-01-31 -3992.100000 N N N FNMA PASS THRU POOLS N/A 3140NU6L8 25000000.000000 PA USD 24989845.000000 0.962704 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.76 N N N N N N N/A N/A 000000000 1.000000 NC -32942.200000 -0.0012691 N/A DFE GB N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 2438843.100000 USD 1922000.000000 GBP 2025-01-15 -32942.200000 N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 4280150.980000 PA USD 4300896.020000 0.165687 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N N/A N/A 000000000 1.000000 NC 79044.130000 0.0030451 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2272765027.000000 KRW 1618571.000000 USD 2025-01-22 79044.130000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 B1KNGGII4 43800000.000000 PA 1784364.090000 0.0687405 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.2 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AC2 800000.000000 PA USD 769616.290000 0.0296485 Long DBT CORP CH N 2 2027-01-30 Floating 1.364 N N N N N N CARMAX AUTO OWNER TRUST 2024-3 N/A 14319GAB7 10200000.000000 PA USD 10251449.820000 0.394925 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.21 N N N N N N PRPM 2024-NQM4 TRUST N/A 69381UAA5 4000000.000000 PA USD 4007400.400000 0.15438 Long ABS-MBS CORP US N 2 2069-12-26 Fixed 5.674 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 18176.250000 PA USD 18143.160000 0.0006989 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 4.96851 N N N N N N N/A N/A 000000000 1.000000 NC -16043.720000 -0.0006181 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 534309.000000 USD 81468764.000000 JPY 2025-01-15 -16043.720000 N N N TIAA CLO IV LTD 2018-1A N/A 88631YAL1 3254435.590000 PA USD 3259081.000000 0.125552 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.7574 N N N N N N N/A N/A 000000000 1.000000 NC 74437.330000 0.0028676 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1450148487.000000 KRW 1056536.000000 USD 2025-01-15 74437.330000 N N N N/A N/A 000000000 1.000000 NC USD 18351758.270000 0.706979 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-07-16 0.000000 USD 0.000000 USD 302795301.600000 USD 18351758.270000 N N N N/A N/A 000000000 1.000000 NC -3874.290000 -0.0001493 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 556878.000000 USD 47704953.870000 INR 2025-03-21 -3874.290000 N N N BHR 2018-PRME N/A 10482TAA0 84492.490000 PA USD 84223.580000 0.0032446 Long ABS-MBS CORP US N 2 2035-06-15 Floating 5.39 N N N N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 4423660.150000 PA USD 4257901.180000 0.164031 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAA5 1426983.020000 PA USD 1334302.330000 0.0514024 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.02 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 7600000.000000 PA USD 7627088.910000 0.293824 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 2152843.740000 PA USD 2104757.390000 0.0810832 Long ABS-MBS CORP US N 2 2054-05-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 3131459.350000 0.120636 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 8090000000.000000 JPY 54669328.280000 USD 2025-01-27 3131459.350000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 U94974KM0 900000.000000 PA 817569.860000 0.0314959 Long DBT CORP US N 2 2030-03-25 Fixed 0.625 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 806108.900000 PA USD 807418.460000 0.0311048 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 5.53969 N N N N N N FNMA PASS THRU POOLS N/A 31362M2L1 717.960000 PA USD 709.420000 0.0000273 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.496 N N N N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAA3 3631241.350000 PA USD 2346202.050000 0.0903846 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.75322 N N N N N N N/A N/A 000000000 1.000000 NC USD 26076.870000 0.0010046 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 15299.190000 USD 0.000000 USD 2000000.000000 USD 10777.680000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 400000.000000 PA USD 351990.600000 0.01356 Long DBT CORP US N 2 2031-02-15 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 3119.310000 0.0001202 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46561338.600000 INR 546110.000000 USD 2025-01-17 3119.310000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YT4 300000.000000 PA USD 287555.590000 0.0110777 Long DBT CORP US N 2 2027-11-02 Fixed 3.815 N N N N N N TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST N/A 89239TAD4 3800000.000000 PA USD 3791305.220000 0.146055 Long ABS-O CORP US N 2 2029-06-15 Fixed 4.4 N N N N N N HONEYWELL INTERNATIONAL INC ISRPG12PN4EIEOEMW547 438516106 34648.000000 NS USD 7826636.720000 0.301512 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -50838.270000 -0.0019585 N/A DFE NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1012715.360000 USD 1719094.880000 NZD 2025-01-15 -50838.270000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAL5 800000.000000 PA USD 720022.850000 0.027738 Long DBT UST US N 2 2027-09-30 Fixed 0.375 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 27883.560000 PA USD 25573.620000 0.0009852 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.22522 N N N N N N CHASE ISSUANCE TRUST 2024-A2 N/A 161571HW7 11100000.000000 PA USD 11099357.310000 0.427589 Long ABS-MBS CORP US N 2 2031-01-15 Fixed 4.63 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 34648.000000 NS USD 17527037.280000 0.675208 Long EC CORP US N 1 N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FBU4 8900000.000000 PA USD 8921420.880000 0.343687 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.9674 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 5919032.730000 PA USD 5944196.910000 0.228993 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QLH16 905629.220000 PA 940792.700000 0.0362429 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 4.164 N N N N N N N/A N/A 000000000 1.000000 NC 336827.100000 0.0129759 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40900000.000000 DKK 6046391.820000 USD 2025-04-01 336827.100000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 1800000.000000 PA USD 1728874.550000 0.0666028 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N N/A N/A 000000000 1.000000 NC USD -256077.060000 -0.0098651 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 9060586.110000 USD -256077.060000 N N N N/A N/A 000000000 1.000000 NC -624.560000 -0.0000241 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 36374.250000 USD 257212.850000 DKK 2025-01-15 -624.560000 N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAN9 7700000.000000 PA USD 7755086.110000 0.298755 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.92587 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAA6 1916609.430000 PA USD 1907365.240000 0.0734789 Long ABS-O CORP US N 2 2056-10-16 Fixed 5.09 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 58684.390000 PA USD 58027.650000 0.0022354 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.42822 N N N N N N N/A N/A 000000000 1.000000 NC 344.870000 0.0000133 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31750844.060000 INR 370618.000000 USD 2025-01-17 344.870000 N N N USAA AUTO OWNER TRUST 2023-A N/A 90291VAB6 799525.780000 PA USD 800496.240000 0.0308381 Long ABS-O CORP US N 2 2026-07-15 Fixed 5.83 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYM0 500000.000000 PA USD 474593.510000 0.0182831 Long DBT CORP US N 2 2027-10-21 Floating 1.948 N N N N N N FNMA PASS THRU POOLS N/A 3140H6PA1 9002.640000 PA USD 8083.300000 0.0003114 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24704LN32 9200000.000000 PA USD 9196573.550000 0.354287 Long DBT CORP US N 2 2025-01-03 None 0 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 250000.000000 PA USD 236335.500000 0.0091045 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2JBZ32 55500000.000000 PA 2528629.080000 0.0974124 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.5 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 101307.510000 PA USD 101174.600000 0.0038976 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.42205 N N N N N N N/A N/A 000000000 1.000000 NC 1896.020000 0.000073 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 666000.000000 ILS 185439.890000 USD 2025-03-17 1896.020000 N N N N/A N/A 000000000 1.000000 NC USD 27615.250000 0.0010638 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 48689.520000 USD 0.000000 USD 2900000.000000 USD -21074.270000 N N N VOLKSWAGEN AUTO LEASE TRUST 2024-A N/A 92866EAB5 10795758.080000 PA USD 10851169.470000 0.418028 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -653821.420000 -0.0251877 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10238017.670000 USD 181102342.170000 ZAR 2025-01-17 -653821.420000 N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 5499796.300000 PA 6900305.280000 0.265826 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.72577 N N N N N N N/A N/A 000000000 1.000000 NC -14429.140000 -0.0005559 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1086023.000000 USD 17360892172.000000 IDR 2025-01-22 -14429.140000 N N N N/A N/A 000000000 1.000000 NC USD 4085943.430000 0.157406 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-16 610464.470000 USD 0.000000 USD 72100000.000000 USD 3475478.960000 N N N N/A N/A 000000000 -1315.000000 NC USD 708347.850000 0.0272882 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-31 -139806073.890000 USD 708347.850000 N N N FREDDIE MAC 3404 N/A 31397PST8 160841.240000 PA USD 161568.950000 0.0062242 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 5.56705 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2023-C N/A 98164FAB8 517211.760000 PA USD 518196.220000 0.0199629 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.57 N N N N N N N/A N/A 000000000 1.000000 NC 7103.710000 0.0002737 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6428828.680000 CNY 883258.000000 USD 2025-01-15 7103.710000 N N N N/A N/A 000000000 1.000000 NC 234.130000 0.000009 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 20322.510000 SGD 15123.000000 USD 2025-01-15 234.130000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 3268228.000000 PA USD 2320398.090000 0.0893905 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.62522 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 2300000.000000 PA USD 287500.000000 0.0110756 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAU5 300000.000000 PA USD 270079.900000 0.0104045 Long DBT UST US N 2 2027-10-31 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 26263.010000 0.0010118 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 12435.110000 USD 0.000000 USD 1200000.000000 USD 13827.900000 N N N FNMA PASS THRU POOLS N/A 3138E0KF5 420795.470000 PA USD 414477.110000 0.0159672 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N NELNET STUDENT LOAN TRUST 2017-3A N/A 64032KAA1 816190.810000 PA USD 813975.750000 0.0313574 Long ABS-O CORP US N 2 2066-02-25 Floating 5.53327 N N N N N N N/A N/A 000000000 1.000000 NC -12147.470000 -0.000468 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 911490.000000 USD 77118434.430000 INR 2025-01-17 -12147.470000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 500000.000000 PA USD 468317.630000 0.0180414 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 5862.570000 0.0002258 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6237807.840000 CNY 859901.000000 USD 2025-05-12 5862.570000 N N N CSMC 2021-RPL2 TRUST N/A 12656TAB4 1341204.450000 PA USD 1116720.890000 0.0430203 Long ABS-MBS CORP US N 2 2060-01-25 Variable 1.11456 N N N N N N N/A N/A 000000000 1.000000 NC -1037.740000 -0.00004 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 53767.460000 USD 853074520.000000 IDR 2025-01-15 -1037.740000 N N N THEOREM FUNDING TRUST 2023-1A N/A 88338QAA8 431586.330000 PA USD 435516.960000 0.0167778 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.58 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 3400000.000000 PA USD 3419904.010000 0.131748 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N FNMA PASS THRU POOLS N/A 3140JCMZ4 14627283.170000 PA USD 14684391.300000 0.565698 Long ABS-MBS USGSE US N 2 2029-08-01 Variable 4.804 N N N N N N N/A N/A 000000000 1.000000 NC -851378.650000 -0.0327983 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 52389247.580000 USD 8090000000.000000 JPY 2025-01-27 -851378.650000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87613ENF8 3810000.000000 PA USD 3802287.910000 0.146479 Long DBT CORP US N 2 2025-01-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 35055.270000 0.0013505 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18531279.400000 CNY 2560594.630000 USD 2025-01-15 35055.270000 N N N N/A N/A 000000000 1.000000 NC 583.840000 0.0000225 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14025486.990000 MXN 669954.000000 USD 2025-01-31 583.840000 N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 268385.000000 NS USD 58880985.150000 2.26832 Long EC CORP US N 1 N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LUZ2 5200000.000000 PA USD 5241708.520000 0.201931 Long DBT CORP US N 2 2026-04-10 Fixed 5.6 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 4400000.000000 PA USD 4466891.750000 0.172082 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N FNMA PASS THRU POOLS N/A 31384UJH8 1282.410000 PA USD 1278.300000 0.0000492 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -6051.160000 -0.0002331 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 451213.000000 USD 1839437.480000 PLN 2025-01-17 -6051.160000 N N N TTAN 2021-MHC N/A 87303TAA5 2076420.120000 PA USD 2076969.540000 0.0800127 Long ABS-MBS CORP US N 2 2038-03-15 Floating 5.36248 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 29494034.000000 PA USD 27324790.860000 1.05265 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N ALLY AUTO RECEIVABLES TRUST 2023-1 N/A 02007WAC2 3200000.000000 PA USD 3231692.160000 0.124497 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.46 N N N N N N N/A N/A 000000000 1.000000 NC 6483.770000 0.0002498 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-12-12 63.170000 MXN 0.000000 MXN 35700000.000000 MXN 6420.600000 N N N N/A N/A 000000000 1.000000 NC 198119.130000 0.0076323 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10500000.000000 BRL 1872705.940000 USD 2025-04-02 198119.130000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-9 N/A 69546QAA6 2450564.350000 PA USD 2452577.980000 0.0944826 Long ABS-O CORP US N 2 2032-03-15 Fixed 5.065 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 400000.000000 PA USD 50000.000000 0.0019262 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 4250.290000 PA USD 4043.780000 0.0001558 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.50001 N N N N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAL8 3300000.000000 PA USD 3217222.800000 0.12394 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 3.911 N N N N N N JP MORGAN SEASONED MORTGAGE TRUST 2024-1 N/A 61777HAE5 4000000.000000 PA USD 3739353.200000 0.144054 Long ABS-MBS CORP US N 2 2054-10-25 Variable 4.50261 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 517203.150000 PA USD 522117.610000 0.0201139 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 314174.480000 0.0121032 N/A DFE AU N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 10485000.000000 AUD 6803957.660000 USD 2025-01-15 314174.480000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 500000.000000 PA USD 476814.780000 0.0183687 Long DBT CORP US N 2 2027-07-22 Floating 1.734 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 12972.920000 PA USD 11552.090000 0.000445 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.74254 N N N N N N FNMA PASS THRU POOLS N/A 31384WV31 2085.790000 PA USD 2090.330000 0.0000805 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2900000.000000 PA USD 2792758.000000 0.107588 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.51822 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2024-3 N/A 33843YAA5 1434717.810000 PA USD 1437555.390000 0.0553801 Long ABS-O CORP US N 2 2028-11-15 Fixed 4.88 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 328443.980000 PA USD 305976.270000 0.0117874 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -267113.490000 -0.0102902 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-02-19 0.000000 USD 0.000000 USD 9470627.230000 USD -267113.490000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 600000.000000 PA USD 621864.910000 0.0239566 Long DBT CORP CH N 2 2029-09-22 Floating 6.246 N N N N N N GSAA HOME EQUITY TRUST 2005-15 N/A 362341D71 722548.690000 PA USD 228617.440000 0.0088072 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.95322 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAC6 3400000.000000 PA USD 3404375.800000 0.131149 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.76 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 88184.880000 PA USD 88117.860000 0.0033946 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.40327 N N N N N N N/A N/A 000000000 1.000000 NC 3278.000000 0.0001263 N/A DFE SE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3155000.000000 SEK 288619.030000 USD 2025-01-15 3278.000000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 129137.700000 PA USD 128530.950000 0.0049515 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.94435 N N N N N N N/A N/A 000000000 1.000000 NC 97227.970000 0.0037456 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6418000.000000 EUR 6748501.330000 USD 2025-01-15 97227.970000 N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 1862.530000 PA USD 1838.670000 0.0000708 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.80322 N N N N N N N/A N/A 000000000 1.000000 NC 1256017.410000 0.0483865 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 116200000.000000 BRL 18888381.370000 USD 2025-10-02 1256017.410000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAE2 1722612.480000 PA USD 1724086.350000 0.0664183 Long ABS-O CORP US N 2 2026-10-15 Floating 5.26757 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI0M1TC1 8400000.000000 PA 8482599.900000 0.326782 Long DBT CORP US N 2 2026-10-26 Fixed 1.375 N N N N N N FREDDIE MAC 3597 N/A 31398L5U8 13012.200000 PA USD 13043.420000 0.0005025 Long ABS-MBS USGSE US N 2 2039-11-15 Floating 5.56205 N N N N N N N/A N/A 000000000 1.000000 NC 18862.560000 0.0007267 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 35170620.000000 TWD 1088065.230000 USD 2025-01-22 18862.560000 N N N TOYOTA AUTO RECEIVABLES 2024-C OWNER TRUST N/A 89237QAB6 13750000.000000 PA USD 13808267.000000 0.531947 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.16 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 835623.930000 PA USD 750302.650000 0.0289045 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 1519008.000000 PA USD 1520098.040000 0.0585599 Long ABS-O CORP US N 2 2031-12-26 Fixed 5.01 N N N N N N N/A N/A 000000000 1.000000 NC 34865.520000 0.0013432 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32499140.000000 TWD 1022854.000000 USD 2025-01-22 34865.520000 N N N CSMC 2018-RPL9 TRUST N/A 12654PAA6 2400568.670000 PA USD 2346215.710000 0.0903851 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 66402.040000 PA USD 65369.910000 0.0025183 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-1 N/A 542514AJ3 2451896.750000 PA USD 2382682.160000 0.0917899 Long ABS-MBS CORP US N 2 2031-04-21 Floating 4.91051 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106103 34648.000000 NS USD 2621814.160000 0.101002 Long EC CORP US N 1 N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 1300000.000000 PA USD 1309216.740000 0.050436 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N N/A N/A 000000000 1.000000 NC -3163.030000 -0.0001219 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 687302.000000 USD 11132574145.000000 IDR 2025-03-05 -3163.030000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAB6 622883.580000 PA USD 623265.350000 0.0240105 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.53 N N N N N N N/A N/A 000000000 1.000000 NC -28223.640000 -0.0010873 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 938612.000000 USD 19110046.460000 MXN 2025-02-11 -28223.640000 N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BU5 2650000.000000 PA USD 2666848.300000 0.102737 Long DBT CORP US N 2 2025-09-12 Fixed 5.8 N N N N N N TOWD POINT ASSET TRUST 2021-SL1 N/A 89179XAL9 4043954.330000 PA USD 4025755.730000 0.155087 Long ABS-O CORP US N 2 2061-11-20 Floating 5.18474 N N N N N N N/A N/A 000000000 1.000000 NC 34834.420000 0.001342 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32500163.000000 TWD 1022854.000000 USD 2025-01-22 34834.420000 N N N N/A N/A 000000000 1.000000 NC USD 2380448.000000 0.0917039 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 78838.010000 USD 0.000000 USD 27200000.000000 USD 2301609.990000 N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 769697.150000 PA 797578.080000 0.0307257 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.079 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 1900000.000000 PA USD 1905334.310000 0.0734007 Long DBT CORP US N 2 2026-04-02 Floating 6.11896 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 272137.880000 PA USD 244342.910000 0.009413 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 3382758.910000 PA 3504149.010000 0.134993 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 3.883 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEQ5 2600000.000000 PA USD 2551284.400000 0.0982851 Long DBT CORP US N 2 2030-10-22 Floating 4.603 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1371697.330000 PA USD 1292488.530000 0.0497916 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.77322 N N N N N N N/A N/A 000000000 1.000000 NC -12660.620000 -0.0004877 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 910096.000000 USD 76954896.460000 INR 2025-01-17 -12660.620000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 3400000.000000 PA 3532462.650000 0.136084 Long DBT CORP US N 2 2027-03-19 Floating 3.515 N N N N N N N/A N/A 000000000 1.000000 NC USD 9656.480000 0.000372 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-12-20 12475.150000 USD 0.000000 USD 800000.000000 USD -2818.670000 N N N N/A N/A 000000000 1.000000 NC 7096896.870000 0.273399 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 7542720.840000 EUR 0.000000 EUR 35700000.000000 EUR -445823.970000 N N N N/A N/A 000000000 1.000000 NC -5572.840000 -0.0002147 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 859901.000000 USD 6268678.290000 CNY 2025-01-15 -5572.840000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRVP9 53100000.000000 PA 8343694.020000 0.321431 Long DBT NUSS BR N 2 2025-04-01 None 0 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 35105AAB3 1527647.310000 PA USD 1535961.070000 0.059171 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.49 N N N N N N N/A N/A 000000000 1.000000 NC 7270.370000 0.0002801 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110798303.140000 INR 1299382.000000 USD 2025-01-17 7270.370000 N N N N/A N/A 000000000 1.000000 NC 7537.190000 0.0002904 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6140793.030000 CNY 848293.000000 USD 2025-05-12 7537.190000 N N N FNMA PASS THRU POOLS N/A 3140H5NN7 117061.120000 PA USD 105107.400000 0.0040491 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 -19740.490000 -0.0007605 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 664309.000000 USD 10427990528.000000 IDR 2025-01-15 -19740.490000 N N N BSPRT-2021-FL6 N/A 05601HAA2 3926324.130000 PA USD 3932461.170000 0.151493 Long ABS-CBDO CORP KY N 2 2036-03-15 Floating 5.61157 N N N N N N N/A N/A 000000000 1.000000 NC 20014.980000 0.0007711 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12620218.520000 CNY 1741056.000000 USD 2025-02-14 20014.980000 N N N UMBS PASS THRU POOLS N/A 01F060626 81780000.000000 PA USD 82093064.470000 3.16254 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JU8 1570.100000 PA USD 1575.580000 0.0000607 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 29481.860000 0.0011358 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1600000.000000 BRL 284656.990000 USD 2025-04-02 29481.860000 N N N N/A N/A 000000000 1.000000 NC -11356.240000 -0.0004375 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 910266.000000 USD 77081324.880000 INR 2025-01-17 -11356.240000 N N N N/A N/A 000000000 1.000000 NC -3259.440000 -0.0001256 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 861749.000000 USD 6299212.840000 CNY 2025-01-15 -3259.440000 N N N N/A N/A 000000000 1.000000 NC 7277.230000 0.0002803 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 27893255.000000 TWD 859444.000000 USD 2025-04-25 7277.230000 N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 16887.960000 PA USD 16919.850000 0.0006518 Long ABS-MBS CORP US N 2 2060-09-25 Variable 4.991 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 362583AD8 1030000.000000 PA USD 1030205.180000 0.0396874 Long ABS-O CORP US N 2 2028-02-16 Fixed 4.47 N N N N N N BAIN CAPITAL CREDIT CLO 2020-2 LTD N/A 05683EAW2 5500000.000000 PA USD 5515052.900000 0.212461 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 5.8574 N N N N N N ACHV ABS TRUST 2024-1PL N/A 00092BAA2 752931.540000 PA USD 759853.390000 0.0292724 Long ABS-O CORP US N 2 2031-04-25 Fixed 5.9 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZW6 200000.000000 PA USD 197897.690000 0.0076238 Long DBT CORP US N 2 2026-08-01 Fixed 4.542 N N N N N N FNMA PASS THRU POOLS N/A 31418CSG0 5340724.010000 PA USD 5051661.280000 0.194609 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 3 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 1026299.640000 PA USD 1039065.470000 0.0400287 Long ABS-O CORP US N 2 2052-11-15 Floating 6.14824 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAC8 2000000.000000 PA USD 1986844.200000 0.0765408 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N GE HEALTHCARE TECHNOLOGIES INC 549300OI9J7XOWZMUN85 36266GAA5 500000.000000 PA USD 495505.470000 0.0190887 Long DBT CORP US N 2 2029-08-14 Fixed 4.8 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR2 N/A 251508AA5 2005273.890000 PA USD 1823484.780000 0.0702475 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.69322 N N N N N N N/A N/A 000000000 1.000000 NC -36690.530000 -0.0014135 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 855202.000000 USD 128665996.000000 JPY 2025-01-15 -36690.530000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAC7 2500000.000000 PA USD 2502959.500000 0.0964235 Long ABS-O CORP US N 2 2027-08-16 Floating 5.25757 N N N N N N N/A N/A 000000000 1.000000 NC USD 5108.470000 0.0001968 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 3483.550000 USD 0.000000 USD 300000.000000 USD 1624.920000 N N N N/A N/A 000000000 1.000000 NC 12802.160000 0.0004932 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44775582.000000 TWD 1374000.000000 USD 2025-01-22 12802.160000 N N N FREDDIE MAC-3891 N/A 3137ADTZ0 492645.110000 PA USD 487990.300000 0.0187992 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.26205 N N N N N N N/A N/A 000000000 1.000000 NC USD 890068.430000 0.0342888 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A PROCTER & GAMBLE COMPANY Y 2025-01-17 0.000000 USD 0.000000 USD 12814580.360000 USD 890068.430000 N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 580135101 34648.000000 NS USD 10044108.720000 0.386937 Long EC CORP US N 1 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAB5 5251790.870000 PA USD 5272356.880000 0.203111 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.91 N N N N N N GNMA PASS THRU POOLS N/A 36225CB62 7868.800000 PA USD 7845.130000 0.0003022 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 23014.330000 0.0008866 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 12743828.030000 CNY 1767813.000000 USD 2025-05-12 23014.330000 N N N N/A N/A 000000000 1.000000 NC 16270.080000 0.0006268 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 330315187.000000 KRW 240141.030000 USD 2025-01-08 16270.080000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAB1 26640.840000 PA USD 11359.350000 0.0004376 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.61322 N N N N N N GNMA PASS THRU POOLS N/A 36202KYK5 964.250000 PA USD 958.970000 0.0000369 Long ABS-MBS USGSE US N 2 2026-02-20 Floating 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 1343.310000 0.0000517 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 312542162.000000 KRW 213488.000000 USD 2025-03-19 1343.310000 N N N CREDIT BASED ASSET SRVC & SEC 2007-SP2 N/A 1248MHAG7 1888000.000000 PA USD 1818466.850000 0.0700542 Long ABS-MBS CORP US N 2 2046-03-25 Floating 6.02822 N N N N N N GSAMP TRUST 2005-HE5 N/A 362341ZE2 341946.270000 PA USD 330280.090000 0.0127236 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.35322 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 509690.520000 PA 527512.430000 0.0203218 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.824 N N N N N N GNMA PASS THRU POOLS N/A 36225CER3 5510.810000 PA USD 5532.580000 0.0002131 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 3.75 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625H100 34648.000000 NS USD 8305472.080000 0.319958 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -11769.510000 -0.0004534 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 907835.000000 USD 76837429.510000 INR 2025-01-17 -11769.510000 N N N N/A N/A 000000000 1.000000 NC -1940.280000 -0.0000747 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 99479.000000 USD 1574553612.000000 IDR 2025-01-08 -1940.280000 N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 1349890.530000 PA USD 1352628.120000 0.0521084 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 5.94324 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 7800000.000000 PA USD 7429407.180000 0.286209 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAC6 500000.000000 PA USD 502158.700000 0.0193451 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.95 N N N N N N MORGAN STANLEY BANK NATIONAL ASSOCIATION G1MLHIS0N32I3QPILB75 61690U8B9 2300000.000000 PA USD 2332442.470000 0.0898545 Long DBT CORP US N 2 2028-05-26 Floating 5.504 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 86838.040000 PA USD 71788.680000 0.0027656 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.01322 N N N N N N N/A N/A 000000000 1.000000 NC USD 353651.190000 0.013624 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-13 0.000000 USD -2725.240000 USD 1100000.000000 USD 356376.430000 N N N CROSS 2024-H8 MORTGAGE TRUST N/A 22757GAC7 4000000.000000 PA USD 4007839.200000 0.154397 Long ABS-MBS CORP US N 2 2069-12-25 Variable 5.549 N N N N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466L302 34648.000000 NS USD 11583865.840000 0.446254 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 32739.200000 0.0012612 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33678870.000000 TWD 1056592.000000 USD 2025-01-22 32739.200000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-2A N/A 379924AC7 2768854.700000 PA USD 2801154.500000 0.107911 Long ABS-O CORP US N 2 2030-06-17 Fixed 5.58 N N N N N N N/A N/A 000000000 1.000000 NC -1378.490000 -0.0000531 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 100826.000000 USD 1611149067.000000 IDR 2025-01-22 -1378.490000 N N N N/A N/A 000000000 1.000000 NC USD -170094.980000 -0.0065527 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-01-08 0.000000 USD 0.000000 USD 6018345.510000 USD -170094.980000 N N N N/A N/A 000000000 1.000000 NC USD -11788.450000 -0.0004541 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.41 Y Single Leg Swap 2029-06-20 0.000000 USD -19110.000000 USD 500000.000000 USD 7321.550000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 2600000.000000 PA USD 2627903.200000 0.101237 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC 14242.820000 0.0005487 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 52300000.000000 MXN 14242.820000 N N N N/A N/A 000000000 1.000000 NC 7385.980000 0.0002845 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-12-25 93.820000 MXN 0.000000 MXN 53600000.000000 MXN 7292.160000 N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 2600000.000000 PA USD 2490879.770000 0.0959581 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM) VGRQXHF3J8VDLUA7XE92 459200101 34648.000000 NS USD 7616669.840000 0.293423 Long EC CORP US N 1 N N N FANNIE MAE REMICS 2024-104 N/A 3136BUEQ9 3900000.000000 PA USD 3897562.500000 0.150149 Long ABS-MBS USGSE US N 3 2055-01-25 Floating 5.65 N N N N N N N/A N/A 000000000 1.000000 NC 5672.050000 0.0002185 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5713427.430000 CNY 784327.720000 USD 2025-01-15 5672.050000 N N N N/A N/A 000000000 1.000000 NC 225636.460000 0.0086924 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10900000.000000 BRL 1964017.050000 USD 2025-04-02 225636.460000 N N N N/A N/A 000000000 1.000000 NC USD 337280.620000 0.0129933 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-16 0.000000 USD -1404.010000 USD 800000.000000 USD 338684.630000 N N N FNMA PASS THRU POOLS N/A 31363EH73 231.170000 PA USD 231.870000 0.0000089 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 5.6 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3L5 1100000.000000 PA USD 1118236.340000 0.0430787 Long DBT CORP US N 2 2028-04-22 Floating 5.707 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 75118.580000 PA USD 71469.210000 0.0027533 Long ABS-MBS CORP US N 2 2034-02-27 Floating 4.355 N N N N N N FANNIE MAE REMICS 2025-01 N/A 958XFGII1 2400000.000000 PA USD 2398875.000000 0.0924137 Long ABS-MBS USGSE US N 3 2055-01-25 Floating 5.82428 N N N N N N N/A N/A 000000000 1.000000 NC 35646.940000 0.0013733 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32983823.000000 TWD 1038370.000000 USD 2025-01-22 35646.940000 N N N N/A N/A 000000000 1.000000 NC 164942.710000 0.0063542 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8000000.000000 BRL 1440818.380000 USD 2025-04-02 164942.710000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADL6 1600000.000000 PA USD 1548664.160000 0.0596604 Long DBT CORP US N 2 2029-10-01 Fixed 4.2 N N N N N N OPORTUN ISSUANCE TRUST 2024-1A N/A 68377JAA8 1538078.950000 PA USD 1541301.530000 0.0593768 Long ABS-O CORP US N 2 2031-04-08 Fixed 6.334 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JNU9 7710000.000000 PA USD 7682617.240000 0.295963 Long DBT CORP US N 2 2025-01-28 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 143323.380000 0.0055214 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7400000.000000 BRL 1323508.370000 USD 2025-04-02 143323.380000 N N N N/A N/A 000000000 1.000000 NC USD 231389.780000 0.008914 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -149872.490000 USD 7700000.000000 USD 381262.270000 N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CND4 470000.000000 PA USD 469190.890000 0.018075 Long DBT CORP US N 2 2025-01-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -4522.980000 -0.0001742 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 556074.000000 USD 47579637.700000 INR 2025-03-21 -4522.980000 N N N GNMA PASS THRU POOLS N/A 36202KVA0 1011.200000 PA USD 1007.470000 0.0000388 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 3.75 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 42525.460000 PA USD 41234.840000 0.0015885 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.07322 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAC4 98713.620000 PA USD 92430.650000 0.0035608 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.35311 N N N N N N UMBS PASS THRU POOLS N/A 01F062622 145900000.000000 PA USD 148800903.440000 5.73237 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBZ3 4600000.000000 PA USD 4168409.230000 0.160583 Long DBT UST US N 2 2028-04-30 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC -11169.310000 -0.0004303 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 639710.950000 USD 2597843.780000 PLN 2025-01-24 -11169.310000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02 N/A 38376RPV2 1951986.720000 PA USD 1957485.470000 0.0754098 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 5.76648 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CN85 1150000.000000 PA USD 1148782.180000 0.0442554 Long DBT CORP US N 2 2025-01-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 482.470000 0.0000186 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 14294.480000 CHF 16249.070000 USD 2025-01-15 482.470000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 3800000.000000 PA USD 3786809.550000 0.145882 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 26431.190000 PA USD 26999.910000 0.0010401 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.552 N N N N N N N/A N/A 000000000 1.000000 NC -10818.620000 -0.0004168 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1285210.000000 USD 109935578.190000 INR 2025-03-21 -10818.620000 N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 784691.770000 PA USD 744645.890000 0.0286866 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A 86358HGW3 38761.380000 PA USD 37580.670000 0.0014477 Long ABS-MBS CORP US N 2 2029-06-25 Floating 3.90495 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 73892.730000 PA USD 67557.150000 0.0026026 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.99322 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 2356000.000000 PA USD 2338323.950000 0.0900811 Long DBT CORP US N 2 2027-01-29 Floating 3.96 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 4509956.020000 PA USD 4500081.920000 0.17336 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 -26896.920000 -0.0010362 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1158620.000000 USD 18335045638.000000 IDR 2025-01-22 -26896.920000 N N N FANNIE MAE 2009-111 N/A 31398GQS1 21133.530000 PA USD 21093.820000 0.0008126 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 5.43327 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343V104 34648.000000 NS USD 1385573.520000 0.0533775 Long EC CORP US N 1 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DV8 500000.000000 PA USD 502720.530000 0.0193667 Long DBT CORP US N 2 2028-07-26 Floating 5.043 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079K305 109813.000000 NS USD 20787600.900000 0.800817 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -20141.890000 -0.0007759 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.40 Y Single Leg Swap 2028-12-20 0.000000 USD -55440.000000 USD 1200000.000000 USD 35298.110000 N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1900000.000000 PA USD 1873415.010000 0.072171 Long ABS-MBS CORP US N 2 2032-04-15 Floating 5.43371 N N N N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 2584548.550000 PA USD 2581487.410000 0.0994487 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 1957861.360000 PA USD 1819715.640000 0.0701023 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 1783003.330000 PA USD 1694475.430000 0.0652776 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75322 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 34648.000000 NS USD 4472710.320000 0.172306 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -15390.560000 -0.0005929 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 941284.000000 USD 3826837.170000 PLN 2025-01-24 -15390.560000 N N N FHLMC PASS THRU POOLS N/A 31292HYL2 2711.090000 PA USD 2782.510000 0.0001072 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 1699115.030000 0.0654563 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -457664.270000 USD 61950000.000000 USD 2156779.300000 N N N N/A N/A 000000000 1.000000 NC 154490.910000 0.0059516 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2785986765.000000 KRW 2042692.000000 USD 2025-01-08 154490.910000 N N N N/A N/A 000000000 1.000000 NC 360047.890000 0.0138704 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 44800000.000000 DKK 6614045.440000 USD 2025-04-01 360047.890000 N N N SG RESIDENTIAL MORTGAGE TRUST 2022-2 N/A 78434KAA5 9047396.190000 PA USD 9021990.200000 0.347561 Long ABS-MBS CORP US N 2 2062-08-25 Fixed 5.353 N N N N N N N/A N/A 000000000 1.000000 NC USD 78224.140000 0.0030135 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2026-12-20 79594.270000 USD 0.000000 USD 6200000.000000 USD -1370.130000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N1 N/A 14687QAC7 2314000.000000 PA USD 2333903.640000 0.0899108 Long ABS-O CORP US N 2 2028-03-10 Fixed 5.6 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3 N/A 83611MGU6 462526.120000 PA USD 456931.170000 0.0176027 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.15822 N N N N N N FANNIE MAE 2007-14 N/A 31396PZS3 16424.260000 PA USD 16105.930000 0.0006205 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.04327 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 656338.960000 PA USD 655155.650000 0.0252391 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.41205 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 5500000.000000 PA USD 5531518.300000 0.213095 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 1860931.200000 PA USD 1727380.730000 0.0665452 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N N/A N/A 000000000 1.000000 NC -3669.880000 -0.0001414 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 451119.000000 USD 1848888.670000 PLN 2025-01-17 -3669.880000 N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 400000.000000 PA 413846.200000 0.0159429 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 3.834 N N N N N N READY CAPITAL MORTGAGE FINANCING 2021-FL6 LLC N/A 75575TAA1 758711.180000 PA USD 757002.940000 0.0291626 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.40322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-N1 N/A 14688FAB2 317898.370000 PA USD 318628.260000 0.0122748 Long ABS-O CORP US N 2 2027-04-12 Fixed 6.36 N N N N N N AG TRUST 2024-NLP N/A 00792MAA1 1600000.000000 PA USD 1607346.880000 0.0619211 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.41273 N N N N N N N/A N/A 000000000 1.000000 NC 260342.610000 0.0100294 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 18262011.910000 CAD 12970731.640000 USD 2025-01-15 260342.610000 N N N MF1 2020-FL4 LTD N/A 58003UAC2 12000000.000000 PA USD 11996430.240000 0.462148 Long ABS-CBDO CORP US N 2 2035-12-15 Floating 6.5963 N N N N N N N/A N/A 000000000 1.000000 NC -5784.120000 -0.0002228 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 657695.000000 USD 56237197.520000 INR 2025-03-21 -5784.120000 N N N N/A N/A 000000000 1.000000 NC -14493.970000 -0.0005584 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1044971.000000 USD 33896769.000000 TWD 2025-01-22 -14493.970000 N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 405784.660000 PA USD 406015.390000 0.0156413 Long ABS-MBS CORP US N 2 2061-02-25 Variable 4.9917 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 1762986.200000 PA USD 1766461.400000 0.0680508 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N OZLM XIV LTD 2015-14A N/A 67110HBN7 9375000.000000 PA USD 9375000.000000 0.361161 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.16751 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECF0 5100000.000000 PA USD 5155785.480000 0.19862 Long DBT CORP GB N 2 2027-05-09 Floating 5.829 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 600000.000000 PA USD 583544.750000 0.0224804 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 62453.610000 PA USD 36238.170000 0.001396 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.15067 N N N N N N CARMAX AUTO OWNER TRUST 2024-3 N/A 14319GAD3 8800000.000000 PA USD 8855088.880000 0.341132 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.89 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 698204.250000 PA USD 6798414.730000 0.261901 Long STIV RF US N 1 N N N FREDDIE MAC 4559 N/A 3137BNCR3 83505.840000 PA USD 83516.960000 0.0032174 Long ABS-MBS USGSE US N 2 2042-03-15 Floating 5.46896 N N N N N N FANNIE MAE 2007-42 N/A 31396VN53 14109.300000 PA USD 13770.130000 0.0005305 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 4.93327 N N N N N N N/A N/A 000000000 1.000000 NC -12670.070000 -0.0004881 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 946727.000000 USD 80095187.000000 INR 2025-01-17 -12670.070000 N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAB3 181211.270000 PA USD 169684.080000 0.0065369 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.277 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 34131.780000 PA USD 33694.180000 0.001298 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 5.12827 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0DVTJ0 800000.000000 PA 217985.970000 0.0083976 Long DBT NUSS IL N 2 2025-08-31 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 24841.180000 0.000957 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2034-10-19 0.000000 MXN 0.000000 MXN 53600000.000000 MXN 24841.180000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 4000000.000000 PA USD 2922887.720000 0.112601 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 400000.000000 PA USD 399862.370000 0.0154042 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 75674.040000 PA USD 66505.610000 0.002562 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.58322 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 20911LND7 13370000.000000 PA USD 13348267.730000 0.514226 Long DBT CORP US N 2 2025-01-13 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202KWD3 383.450000 PA USD 381.750000 0.0000147 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 3.75 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076102 34648.000000 NS USD 13477725.520000 0.519213 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 252704.660000 0.0097351 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-17 0.000000 USD -276682.130000 USD 15200000.000000 USD 529386.790000 N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 1369845.840000 PA USD 1304447.210000 0.0502522 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 721736.010000 PA USD 723179.480000 0.0278596 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 5.93751 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 408914.830000 PA 422877.950000 0.0162909 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.099 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1168060.920000 PA USD 1051705.820000 0.0405157 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.73322 N N N N N N 2025-03-03 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX