NPORT-P false 0000810893 XXXXXXXX S000009678 C000026517 C000026518 C000026520 C000064132 C000200438 C000026522 C000026516 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO International Bond Fund (U.S. Dollar-Hedged) S000009678 549300NKY72DZUNDF872 2025-03-31 2024-12-31 N 34179265971.580000 18559449793.270000 15619816178.310000 0.000000 0.000000 4216891326.630000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 75497173.476861 0.000000 0.000000 82290460.110000 MYR CNY KRW JPY THB EUR SEK ZAR GBP DKK CZK RON AUD CAD ILS PEN NZD HUF SGD BRL CHF USD INR N Bloomberg Global Aggregate ex-USD Total Return Hedged Index LG38TRUH N/A N/A 000000000 1.000000 NC -47413.530000 -0.0003035 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11203099.000000 USD 80500988.170000 CNY 2025-01-16 -47413.530000 N N N FNMA PASS THRU POOLS N/A 31404NEV4 64005.740000 PA USD 65455.370000 0.0004191 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 375000.000000 PA USD 272945.310000 0.0017474 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBJ0 5800000.000000 PA USD 4904538.990000 0.0313995 Long DBT CORP FR N 2 2033-01-21 Floating 3.337 N N N N N N MF1 2021-FL5 LTD N/A 55282XAA8 1868514.990000 PA USD 1863461.780000 0.0119301 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 5.3463 N N N N N N N/A N/A 000000000 1.000000 NC -84564.320000 -0.0005414 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6548747.000000 USD 554302317.950000 INR 2025-01-17 -84564.320000 N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 21948.020000 PA USD 20875.310000 0.0001336 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.09322 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI2M9V60 48200000.000000 PA 50143645.420000 0.321026 Long DBT NUSS ES N 2 2027-05-31 Fixed 2.5 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAC6 413217.200000 PA USD 161973.580000 0.001037 Long ABS-MBS CORP US N 2 2036-02-26 Floating 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -28480.530000 -0.0001823 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3635352.000000 USD 309288477.460000 INR 2025-01-17 -28480.530000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0RRBN4 111200000.000000 PA 29587978.540000 0.189426 Long DBT NUSS IL N 2 2027-03-31 Fixed 2 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CE7 10600000.000000 PA USD 10331359.320000 0.0661426 Long DBT CORP DE Y 2 2026-11-24 Floating 2.129 N N N N N N N/A N/A 000000000 1.000000 NC -842.470000 -0.0000054 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2909924.880000 PEN 771495.010000 USD 2025-04-21 -842.470000 N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYD9 133273.980000 PA USD 86939.600000 0.0005566 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.09236 N N N N N N TRINITAS CLO XII LTD N/A 89641GAN2 14500000.000000 PA USD 14515644.920000 0.092931 Long ABS-CBDO CORP KY N 2 2033-04-25 Floating 5.99587 N N N N N N N/A N/A 000000000 1.000000 NC -20609.270000 -0.0001319 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1078163.000000 USD 17109368647.000000 IDR 2025-01-15 -20609.270000 N N N N/A N/A 000000000 -16.000000 NC -13921.820000 -0.0000891 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Put Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 03/06/25 2025-03-07 N/A EUR N/A 133.500000 EUR 2025-01-24 XXXX -5944.100000 N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 7310327.990000 PA USD 7324292.320000 0.046891 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 5.91787 N N N N N N N/A N/A 000000000 1.000000 NC -13792.550000 -0.0000883 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3736073.670000 USD 26860501.650000 CNY 2025-01-16 -13792.550000 N N N N/A N/A 000000000 1.000000 NC 1657569.620000 0.010612 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 93176000.000000 EUR 98220213.210000 USD 2025-01-15 1657569.620000 N N N PROVINCE OF BRITISH COLUMBIA CANADA 54930058TO7MEKUHWL16 110709AK8 69800000.000000 PA 49794114.790000 0.318788 Long DBT NUSS CA N 2 2034-06-18 Fixed 4.15 N N N N N N UMBS PASS THRU POOLS N/A 01F020620 -1350700000.000000 PA USD -1051646591.630000 -6.73277 Short ABS-MBS USGSE US N 2 2055-02-15 Fixed 2 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AD5 4603396.890000 PA USD 3647154.430000 0.0233495 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.59522 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBV8 13200000.000000 PA USD 14814079.500000 0.0948416 Long DBT CORP IT N 2 2033-11-21 Floating 8.248 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AR0 3300000.000000 PA USD 2802247.340000 0.0179403 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55 N N N N N N FNMA PASS THRU POOLS N/A 31389EZQ1 4069.160000 PA USD 4134.320000 0.0000265 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 6.585 N N N N N N N/A N/A 000000000 1.000000 NC -751641.400000 -0.0048121 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 53048093.570000 USD 383728000.000000 CNY 2025-01-15 -751641.400000 N N N FNMA PASS THRU POOLS N/A 3138WFXD3 6245.500000 PA USD 5801.990000 0.0000371 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4 N N N N N N RESLOC UK PLC 2007-1X N/A B1XCHCII2 318231.300000 PA 389828.230000 0.0024957 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 4.9853 N N N N N N FNMA PASS THRU POOLS N/A 3140X5MN0 169978.610000 PA USD 160532.150000 0.0010277 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.5 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 12803RAA2 9700000.000000 PA USD 9942254.400000 0.0636515 Long DBT CORP ES N 2 2029-01-18 Floating 6.208 N N N N N N FNMA PASS THRU POOLS N/A 3140AMMY4 7400674.400000 PA USD 7440153.000000 0.0476328 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 560837.860000 0.0035906 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -40392.500000 USD 10700000.000000 USD 601230.360000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 137471.830000 PA USD 114453.560000 0.0007327 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.01322 N N N N N N N/A N/A 000000000 1.000000 NC USD 12632329.360000 0.0808737 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 10885913.350000 USD 0.000000 USD 392350000.000000 USD 1746416.010000 N N N N/A N/A 000000000 1.000000 NC 4525008.200000 0.0289697 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 90548865338.000000 KRW 65894455.000000 USD 2025-01-08 4525008.200000 N N N N/A N/A 000000000 1.000000 NC USD 81290.210000 0.0005204 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-12-20 58895.480000 USD 0.000000 USD 2800000.000000 USD 22394.730000 N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAN9 9800000.000000 PA USD 9815063.870000 0.0628373 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.07651 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 5.360000 PA 0.590000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 198186.050000 0.0012688 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11113614.200000 USD 418772096.670000 TRY 2025-02-18 198186.050000 N N N N/A N/A 000000000 1.000000 NC -16232977.530000 -0.103926 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-06-15 0.000000 JPY -14034039.060000 JPY 11350000000.000000 JPY -2198938.470000 N N N N/A N/A 000000000 529.000000 NC USD -100856.800000 -0.0006457 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2025-03-18 126508696.880000 USD -100856.800000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 N/A 362948AA9 4718600.730000 PA USD 4546008.000000 0.0291041 Long ABS-MBS CORP US N 2 2061-09-25 Variable 3.9 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GP6 86473.200000 PA USD 80224.650000 0.0005136 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1J7WJ1 8000000.000000 PA 8263536.740000 0.0529042 Long DBT CORP IT N 2 2025-04-28 Fixed 2.625 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 440798.140000 PA USD 403442.530000 0.0025829 Long ABS-MBS CORP US N 2 2046-10-25 Floating 6.32522 N N N N N N FHLMC PASS THRU POOLS N/A 3133WA4F2 7198411.490000 PA USD 7235614.970000 0.0463233 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 1551870.580000 PA USD 1393426.130000 0.0089209 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -85750.730000 -0.000549 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9588219.000000 USD 68733147.900000 CNY 2025-02-26 -85750.730000 N N N RAD CLO LTD 2019 4A N/A 749984AA8 4706935.120000 PA USD 4717341.780000 0.030201 Long ABS-CBDO CORP KY N 2 2032-04-25 Floating 5.85587 N N N N N N NYMT LOAN TRUST 2024-INV1 N/A 62956XAA9 3186015.570000 PA USD 3168185.990000 0.0202831 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 5.379 N N N N N N ARES EUROPEAN CLO 14A N/A ACI2RNVJ6 3000000.000000 PA 3114590.560000 0.01994 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 4.128 N N N N N N N/A N/A 000000000 -18900000.000000 NC USD -152267.850000 -0.0009748 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.28000 06/27/25-5Y LCH 2030-06-27 0.000000 USD 0.000000 USD N/A USD N/A 4.280000 USD 2025-06-25 XXXX 36732.150000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI29DC42 23294460000.000000 PA 17229276.950000 0.110304 Long DBT NUSS KR N 2 2032-12-10 Fixed 4.25 N N N N N N ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC 254900G082ZFKTCR2Q75 00402D2C8 47100000.000000 PA USD 45106186.350000 0.288775 Long DBT CORP AE N 2 2031-10-02 Fixed 4.375 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2HDVK6 1146200000.000000 PA 167329093.810000 1.07126 Long DBT NUSS BR N 2 2025-10-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 651072.980000 0.0041682 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 410526715.310000 CNY 56635311.000000 USD 2025-02-14 651072.980000 N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 303082.080000 PA USD 276501.150000 0.0017702 Long ABS-MBS CORP US N 2 2046-06-25 Floating 5.80522 N N N N N N N/A N/A 000000000 1.000000 NC USD 1360050.710000 0.0087072 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 63600000.000000 USD 1360050.710000 N N N N/A N/A 000000000 1.000000 NC -83891.050000 -0.0005371 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6567785.000000 USD 555992555.280000 INR 2025-01-17 -83891.050000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CW8 14000000.000000 PA USD 14441999.600000 0.0924595 Long DBT CORP GB N 2 2028-02-08 Floating 6.75 N N N N N N FNMA PASS THRU POOLS N/A 3140A6VH6 248248.560000 PA USD 255303.050000 0.0016345 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRM1 22900000.000000 PA USD 20979251.050000 0.134312 Long DBT NUSS IL N 2 2054-03-12 Fixed 5.75 N N N N N N ARES XXXIV CLO LTD 2015-2A N/A 04015GAX7 24200000.000000 PA USD 24248399.520000 0.155241 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 5.96745 N N N N N N GNMA PASS THRU POOLS N/A 36202KUY9 514.050000 PA USD 513.110000 0.0000033 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -1180287.440000 -0.0075563 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-15 0.000000 EUR -0.020000 EUR 22380000.000000 EUR -1180287.420000 N N N COUNTRYWIDE HOME LOANS 2006-HYB2 N/A 126694D21 2077412.360000 PA USD 1823605.340000 0.0116749 Long ABS-MBS CORP US N 2 2036-04-20 Floating 4.61985 N N N N N N RESLOC UK PLC 2007-1X N/A B1XCHGII3 547779.200000 PA 656000.410000 0.0041998 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 5.0453 N N N N N N N/A N/A 000000000 1.000000 NC 5333048.720000 0.0341428 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 15611082220.000000 JPY 104643280.440000 USD 2025-01-15 5333048.720000 N N N N/A N/A 000000000 1.000000 NC -5113589.350000 -0.0327378 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2029-12-18 0.000000 CAD -12263931.700000 CAD 193700000.000000 CAD 7150342.350000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 45018265.510000 PA USD 438342851.290000 2.80633 Long STIV RF US N 1 N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 802936.660000 PA USD 295039.960000 0.0018889 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 N N N N N N N/A N/A 000000000 1.000000 NC 29077.920000 0.0001862 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 462523064.340000 INR 5422946.000000 USD 2025-01-17 29077.920000 N N N N/A N/A 000000000 1.000000 NC 309461.370000 0.0019812 N/A DFE GB N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 15798000.000000 GBP 20084915.260000 USD 2025-01-15 309461.370000 N N N ANGEL OAK MORTGAGE TRUST 2023-1 N/A 03465WAA9 10059406.760000 PA USD 9909744.920000 0.0634434 Long ABS-MBS CORP US N 2 2067-09-26 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -6640602.730000 -0.042514 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-05-25 0.000000 EUR 0.000000 EUR 164000000.000000 EUR -6640602.730000 N N N N/A N/A 000000000 823300000.000000 NC USD 953546.060000 0.0061047 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30800 05/16/25-1Y LCH 2026-05-16 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2025-05-14 XXXX 311372.060000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A N/A ACI2Q3MV4 22500000.000000 PA 23300796.780000 0.149175 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 4.338 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR3 N/A 23332UDX9 3369.750000 PA USD 190.420000 0.0000012 Long ABS-MBS CORP US N 2 2045-07-19 Floating 5.12083 N N N N N N N/A N/A 000000000 1.000000 NC -1321004.360000 -0.0084572 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26779031.670000 EUR 122475240.280000 RON 2025-02-04 -1321004.360000 N N N N/A N/A 000000000 1.000000 NC 371.890000 0.0000024 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 335387.290000 CNY 46742.570000 USD 2025-02-24 371.890000 N N N PMT LOAN TRUST 2021-INV1 N/A 69359YAC1 10310971.740000 PA USD 8281062.080000 0.0530164 Long ABS-MBS CORP US N 2 2051-07-25 Variable 2.5 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BB3 2600000.000000 PA USD 2592176.860000 0.0165954 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HL4 600000.000000 PA USD 480707.080000 0.0030775 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC 194331.310000 0.0012441 N/A DFE CH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6057000.000000 CHF 6875110.670000 USD 2025-01-15 194331.310000 N N N N/A N/A 000000000 1.000000 NC 1150273.760000 0.0073642 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-09-26 0.000000 ILS 0.000000 ILS 208700000.000000 ILS 1150273.760000 N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-5 N/A 14311AAS1 7906066.440000 PA USD 7920776.310000 0.0507098 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.05751 N N N N N N FNMA PASS THRU POOLS N/A 31418E2E9 299607671.810000 PA USD 301202833.990000 1.92834 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3 N/A 17312EAA4 1491921.520000 PA USD 1314366.450000 0.0084147 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.71322 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAF2 1141435.120000 PA USD 951477.030000 0.0060915 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.39824 N N N N N N GNMA PASS THRU POOLS N/A 36202KSG1 26.740000 PA USD 26.680000 0.0000002 Long ABS-MBS USGSE US N 2 2025-04-20 Floating 4.875 N N N N N N TRINITAS CLO LTD 2020-14A N/A 89641QAN0 9800000.000000 PA USD 9817359.820000 0.062852 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 5.96587 N N N N N N N/A N/A 000000000 1.000000 NC -88262.610000 -0.0005651 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6593967.000000 USD 557862796.130000 INR 2025-01-17 -88262.610000 N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QS3 N/A 75116BAC2 5752255.140000 PA USD 4615978.820000 0.0295521 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.25 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 6230640.240000 PA USD 2466933.530000 0.0157936 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.75322 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BN6TYWII4 1390000000.000000 PA 7336005.590000 0.046966 Long DBT NUSS JP N 2 2053-03-20 Fixed 1.4 N N N N N N N/A N/A 000000000 1.000000 NC -56326.470000 -0.0003606 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6404719.000000 USD 547645105.170000 INR 2025-03-21 -56326.470000 N N N N/A N/A 000000000 1.000000 NC USD 12533307.180000 0.0802398 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -31130500000.000000 JPY 223478104.810000 USD 2026-01-21 453409.620000 N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 1416185.230000 PA USD 1315457.780000 0.0084217 Long ABS-MBS CORP US N 2 2045-11-25 Floating 5.01322 N N N N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAC7 10200000.000000 PA USD 8601180.600000 0.0550658 Long DBT CORP QA N 2 2031-07-12 Fixed 2.25 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 8450610.480000 PA USD 4722347.330000 0.0302331 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.60322 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJ53 178487370.750000 PA USD 179492413.500000 1.14913 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6 N N N N N N JABIL INC 5493000CGCQY2OQU7669 46652LNH6 2150000.000000 PA USD 2144867.090000 0.0137317 Long DBT CORP US N 2 2025-01-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -5495414.990000 -0.0351823 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2051-12-15 0.000000 JPY -5139810.070000 JPY 2880000000.000000 JPY -355604.920000 N N N GNMA PASS THRU POOLS N/A 36179WZA9 59960971.610000 PA USD 52051677.540000 0.333241 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AA7 5447652.690000 PA USD 5230628.010000 0.0334871 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LCE7 12687366.320000 PA USD 12674996.140000 0.0811469 Long LON CORP US N 2 2031-12-15 Floating 6.5604 N N N N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI2Q0PD7 48500000.000000 PA 51086974.640000 0.327065 Long DBT NUSS N/A N 2 2029-10-05 Fixed 2.875 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WMC3 N/A 46629KAD1 39188.430000 PA USD 28545.480000 0.0001828 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.67322 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI2FJ0G8 62765110000.000000 PA 43383570.190000 0.277747 Long DBT NUSS KR N 2 2033-06-10 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 1255145.650000 0.0080356 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 592256471.810000 CNY 81970945.000000 USD 2025-01-15 1255145.650000 N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 N/A 61776YAA7 4172523.290000 PA USD 4004644.320000 0.0256382 Long ABS-MBS CORP US N 2 2064-06-25 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668ALV5 131093.780000 PA USD 112344.280000 0.0007192 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.32522 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2 N/A 83612MAG2 6165235.680000 PA USD 6066787.350000 0.0388403 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.85822 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AJ5 569278.040000 PA USD 166704.880000 0.0010673 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 430542.700000 0.0027564 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2030-03-19 115214.300000 KRW 0.000000 KRW 43378990000.000000 KRW 315328.400000 N N N N/A N/A 000000000 11600000.000000 NC USD 465511.480000 0.0029803 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96000 06/27/25-30Y LCH 2055-06-27 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2025-06-25 XXXX 30511.480000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 1879.500000 PA USD 1902.370000 0.0000122 Long ABS-MBS CORP US N 2 2032-08-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 45539.190000 0.0002915 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13852489124.000000 KRW 9427000.000000 USD 2025-01-15 45539.190000 N N N GNMA PASS THRU POOLS N/A 36202KTG0 1553.700000 PA USD 1550.390000 0.0000099 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MJ3 1214000.000000 PA USD 1209027.870000 0.0077403 Long DBT UST US N 2 2025-02-06 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2217989.520000 -0.0141998 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 0.000000 CAD -81573.800000 CAD 82200000.000000 CAD -2136415.720000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HR1 800000.000000 PA USD 605166.800000 0.0038744 Long DBT CORP US N 2 2046-12-01 Fixed 4 N N N N N N N/A N/A 000000000 -102586000.000000 NC USD -90993.780000 -0.0005826 N/A DFE US N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 Put Written STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-01-21 N/A 7.200000 USD 2025-01-17 XXXX 716358.040000 N N N OPTION ONE MORTGAGE LOAN TRUST 2006-3 N/A 68389BAC7 11754242.720000 PA USD 5498144.590000 0.0351998 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.73322 N N N N N N N/A N/A 000000000 1.000000 NC 149618.080000 0.0009579 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3730217691.000000 KRW 2675871.000000 USD 2025-01-15 149618.080000 N N N UMBS PASS THRU POOLS N/A 01F030629 181200000.000000 PA USD 153935064.310000 0.985511 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 7006087.310000 0.0448538 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -1453017.660000 USD 290400000.000000 USD 8459104.970000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 4100000.000000 PA USD 4014875.880000 0.0257037 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N N/A N/A 000000000 1.000000 NC 12722.370000 0.0000815 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 303263458.000000 KRW 218104.540000 USD 2025-01-15 12722.370000 N N N N/A N/A 000000000 1.000000 NC 55254.220000 0.0003537 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-20 42206.460000 EUR 0.000000 EUR 1200000.000000 EUR 13047.760000 N N N N/A N/A 000000000 1.000000 NC 3912686.130000 0.0250495 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 112501914461.000000 KRW 80119297.000000 USD 2025-01-22 3912686.130000 N N N N/A N/A 000000000 1.000000 NC -82388.460000 -0.0005275 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6603896.000000 USD 559217913.280000 INR 2025-01-17 -82388.460000 N N N N/A N/A 000000000 1.000000 NC 72555.480000 0.0004645 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 195240384.000000 TWD 6007951.000000 USD 2025-01-22 72555.480000 N N N N/A N/A 000000000 1.000000 NC 763.290000 0.0000049 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2094499.680000 THB 62379.000000 USD 2025-02-20 763.290000 N N N FREDDIE MAC REMICS 3740 N/A 3137GAPP6 752392.630000 PA USD 742798.950000 0.0047555 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 5.19205 N N N N N N N/A N/A 000000000 1.000000 NC 108.220000 0.0000007 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 597694.150000 THB 17691.110000 USD 2025-02-20 108.220000 N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VBQ1 16400000.000000 PA USD 16528766.080000 0.105819 Long DBT CORP JP N 2 2029-03-07 Fixed 5.2 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEK7 2600000.000000 PA USD 2477984.160000 0.0158644 Long DBT CORP US N 2 2028-01-21 Floating 2.475 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 1780000.000000 PA 2218124.330000 0.0142007 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.35383 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 335115.510000 PA USD 269929.880000 0.0017281 Long ABS-MBS CORP US N 2 2037-07-25 Variable 5.29961 N N N N N N N/A N/A 000000000 -1338.000000 NC USD 1981964.820000 0.0126888 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-20 -145497047.540000 USD 1981964.820000 N N N N/A N/A 000000000 1.000000 NC 2223702.250000 0.0142364 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 56240724708.000000 KRW 40312175.000000 USD 2025-01-15 2223702.250000 N N N N/A N/A 000000000 1.000000 NC USD 103.760000 0.0000007 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-15 0.000000 USD 0.000000 USD 100000.000000 USD 103.760000 N N N N/A N/A 000000000 1.000000 NC 30892.200000 0.0001978 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9273679.160000 PEN 2493058.540000 USD 2025-04-04 30892.200000 N N N N/A N/A 000000000 1.000000 NC 30376.220000 0.0001945 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 453420012.360000 INR 5318086.000000 USD 2025-01-17 30376.220000 N N N N/A N/A 000000000 1.000000 NC 926.620000 0.0000059 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 18619343.000000 KRW 13545.870000 USD 2025-01-08 926.620000 N N N N/A N/A 000000000 1.000000 NC 100949.470000 0.0006463 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 9829807.000000 USD 37394551.790000 PEN 2025-03-19 100949.470000 N N N N/A N/A 000000000 1.000000 NC 231078.530000 0.0014794 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 209125002.400000 CNY 28731724.000000 USD 2025-01-15 231078.530000 N N N N/A N/A 000000000 1.000000 NC -3034635.110000 -0.0194281 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2037-09-21 0.000000 EUR -8656782.750000 EUR 142090000.000000 EUR 5622147.640000 N N N N/A N/A 000000000 9686.000000 NC -21827406.680000 -0.139742 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A ITALY GOVT 2025-03-06 1203788185.310000 EUR -21827406.680000 N N N N/A N/A 000000000 60000000.000000 NC USD 46860.000000 0.0003 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 08/22/25-1Y LCH 2026-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-08-20 XXXX -20340.000000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BLH381II0 47100000.000000 PA 26392500.620000 0.168968 Long DBT NUSS GB N 2 2051-07-31 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC -22546.810000 -0.0001443 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22172465.350000 PEN 5860460.260000 USD 2025-05-08 -22546.810000 N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VBP3 4300000.000000 PA USD 4340611.870000 0.0277891 Long DBT CORP JP N 2 2027-03-07 Fixed 5.2 N N N N N N N/A N/A 000000000 1.000000 NC -58201.200000 -0.0003726 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1646036.910000 USD 249600000.000000 JPY 2025-01-15 -58201.200000 N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRT4 6146533.130000 PA 4105984.190000 0.026287 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.381 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAE4 3898034.000000 PA USD 3375084.280000 0.0216077 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.74322 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 1379263.200000 PA USD 900961.200000 0.0057681 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.81322 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 955GLSII8 10000000.000000 PA USD 9250000.000000 0.0592196 Long ABS-MBS CORP US Y 3 2052-08-01 Floating 4.35 N N N N N N FNMA PASS THRU POOLS N/A 3140QGYZ4 3737320.080000 PA USD 3083464.790000 0.0197407 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 1007460.040000 0.0064499 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2053-06-21 115509.560000 CAD 0.000000 CAD 35300000.000000 CAD 891950.480000 N N N N/A N/A 000000000 1.000000 NC -17082.800000 -0.0001094 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1630414.450000 USD 2318000.000000 CAD 2025-01-15 -17082.800000 N N N VENTURE 44 CLO LTD N/A 92332KAQ4 1500000.000000 PA USD 1500000.000000 0.0096032 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.49138 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 485.000000 PA 223194.960000 0.0014289 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 271700.710000 PA USD 238563.740000 0.0015273 Long ABS-MBS CORP US N 2 2047-06-25 Floating 6.17601 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 300000.000000 PA USD 297178.470000 0.0019026 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N N/A N/A 000000000 1.000000 NC -88128.860000 -0.0005642 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6612781.000000 USD 559487562.070000 INR 2025-01-17 -88128.860000 N N N N/A N/A 000000000 1.000000 NC 578.780000 0.0000037 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 734763658.370000 INR 8569272.000000 USD 2025-01-17 578.780000 N N N N/A N/A 000000000 1.000000 NC 540366.630000 0.0034595 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2035-03-19 737922.020000 KRW 0.000000 KRW 38193080000.000000 KRW -197555.390000 N N N N/A N/A 000000000 1.000000 NC -390473.250000 -0.0024999 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 12846312.000000 USD 201513673188.000000 IDR 2025-01-15 -390473.250000 N N N N/A N/A 000000000 -339.000000 NC -96567.090000 -0.0006182 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Put Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 03/06/25 2025-03-07 N/A EUR N/A 117.500000 EUR 2025-01-24 XXXX -37894.050000 N N N N/A N/A 000000000 1.000000 NC 178853.630000 0.001145 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2030-03-19 1005853.160000 THB 0.000000 THB 8213920000.000000 THB -826999.530000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 5.350000 PA 0.590000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 1044266.920000 0.0066855 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 66042000.000000 CAD 47009602.870000 USD 2025-01-15 1044266.920000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAC1 2228000.000000 PA USD 2224526.330000 0.0142417 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.45 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 -1900000.000000 PA USD -1832899.540000 -0.0117345 Short ABS-MBS USGSE US N 2 2055-02-13 Fixed 5 N N N N N N N/A N/A 000000000 25500000.000000 NC USD 413125.500000 0.0026449 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-05-19 N/A 7.300000 USD 2025-05-15 XXXX 122680.500000 N N N N/A N/A 000000000 1.000000 NC -84690.250000 -0.0005422 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9588218.000000 USD 68740811.310000 CNY 2025-02-26 -84690.250000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 6014913.870000 PA USD 2181094.380000 0.0139636 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75322 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F6Y9 104481.050000 PA USD 94477.940000 0.0006049 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.75644 N N N N N N N/A N/A 000000000 1.000000 NC -1657642.540000 -0.0106124 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 97131000.000000 USD 697206318.000000 CNY 2025-05-15 -1657642.540000 N N N N/A N/A 000000000 1.000000 NC -713586.350000 -0.0045685 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-11 0.000000 EUR -1427505.660000 EUR 19400000.000000 EUR 713919.310000 N N N N/A N/A 000000000 1.000000 NC 138692.610000 0.0008879 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7239000.000000 AUD 4619335.480000 USD 2025-01-15 138692.610000 N N N N/A N/A 000000000 1.000000 NC 212001.470000 0.0013573 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16500000.000000 BRL 2715736.460000 USD 2025-10-02 212001.470000 N N N TOWD POINT MORTGAGE TRUST 2024-4 N/A 89183GAA4 9071744.220000 PA USD 8821465.680000 0.0564761 Long ABS-MBS CORP US N 2 2064-10-27 Variable 4.39125 N N N N N N N/A N/A 000000000 1.000000 NC 123366.770000 0.0007898 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-10-07 0.000000 ILS 0.000000 ILS 159000000.000000 ILS 123366.770000 N N N N/A N/A 000000000 1.000000 NC -45559.240000 -0.0002917 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4581456.000000 USD 32800934.230000 CNY 2025-02-18 -45559.240000 N N N N/A N/A 000000000 -287.000000 NC USD 267574.120000 0.001713 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-31 -30512808.520000 USD 267574.120000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 5.340000 PA 0.610000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC USD 4551472.510000 0.0291391 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-10-31 380665.640000 USD 0.000000 USD 353900000.000000 USD 4170806.870000 N N N N/A N/A 000000000 1.000000 NC -51477.000000 -0.0003296 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-03-15 0.000000 AUD -4299384.510000 AUD 280500000.000000 AUD 4247907.510000 N N N N/A N/A 000000000 1.000000 NC 96805.320000 0.0006198 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 195844297.000000 TWD 6080044.000000 USD 2025-04-25 96805.320000 N N N INDIGO CREDIT MANAGEMENT II DAC 2A N/A ACI2RZY31 28000000.000000 PA 29003792.250000 0.185686 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 4.00407 N N N N N N N/A N/A 000000000 1.000000 NC -109844.430000 -0.0007032 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8458506.000000 USD 34514984.480000 PLN 2025-01-31 -109844.430000 N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAD5 4600000.000000 PA USD 3156692.500000 0.0202095 Long DBT CORP QA N 2 2051-07-12 Fixed 3.3 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 19489.340000 PA USD 17980.670000 0.0001151 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.4846 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAB3 9080000.000000 PA USD 9067569.930000 0.0580517 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.35 N N N N N N N/A N/A 000000000 -72.000000 NC -745.810000 -0.0000048 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Call Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 03/06/25 2025-03-07 N/A EUR N/A 138.500000 EUR 2025-01-10 XXXX 34030.190000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGM7 28170000.000000 PA USD 26214060.560000 0.167826 Long DBT UST US N 2 2033-02-15 Fixed 3.5 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 6230000.000000 PA 7860856.650000 0.0503262 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.35383 N N N N N N N/A N/A 000000000 1.000000 NC 679421.200000 0.0043497 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 32000000.000000 BRL 5782923.860000 USD 2025-04-02 679421.200000 N N N N/A N/A 000000000 1.000000 NC 1523.150000 0.0000098 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1755184.820000 USD 2524000.000000 CAD 2025-01-15 1523.150000 N N N N/A N/A 000000000 1.000000 NC -27321.070000 -0.0001749 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1788901.050000 USD 2531000.000000 CAD 2025-01-15 -27321.070000 N N N N/A N/A 000000000 1.000000 NC -79120.090000 -0.0005065 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6581865.000000 USD 557609020.940000 INR 2025-01-17 -79120.090000 N N N TRINITAS CLO XIX LTD N/A 89642FAN3 10900000.000000 PA USD 10900000.000000 0.0697832 Long ABS-CBDO CORP BM N 2 2033-10-20 Floating 5.46603 N N N N N N N/A N/A 000000000 1.000000 NC -14955.060000 -0.0000957 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2020161.610000 USD 2737000.000000 SGD 2025-01-15 -14955.060000 N N N N/A N/A 000000000 1.000000 NC 21395176.470000 0.136975 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1153306492.000000 EUR 1216620596.470000 USD 2025-01-15 21395176.470000 N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 75015.230000 PA USD 74490.740000 0.0004769 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI26WF16 1760000000.000000 PA 9141776.350000 0.0585268 Long DBT NUSS JP N 2 2052-06-20 Fixed 1.3 N N N N N N N/A N/A 000000000 1.000000 NC 8841131.420000 0.056602 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-06-17 1412984.110000 GBP 0.000000 GBP 84500000.000000 GBP 7428147.310000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 1.110000 PA 0.130000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 542061.240000 0.0034703 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-08-30 0.000000 USD -9494.400000 USD 220800000.000000 USD 551555.640000 N N N N/A N/A 000000000 1.000000 NC -1733.770000 -0.0000111 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4307590025.000000 IDR 262984.000000 USD 2025-03-05 -1733.770000 N N N N/A N/A 000000000 1.000000 NC -70962.610000 -0.0004543 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5581218.210000 USD 5317000.000000 EUR 2025-01-15 -70962.610000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3A9 7500000.000000 PA USD 7474689.230000 0.0478539 Long DBT CORP US N 2 2028-07-25 Floating 4.808 N N N N N N N/A N/A 000000000 1.000000 NC -934305.990000 -0.0059815 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -1937530.970000 EUR 25300000.000000 EUR 1003224.980000 N N N N/A N/A 000000000 1.000000 NC 19663.980000 0.0001259 N/A DFE HU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 3661868032.000000 HUF 9236410.000000 USD 2025-01-09 19663.980000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284M9 131081000.000000 PA USD 130480304.280000 0.835351 Long DBT UST US N 2 2025-04-30 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC -1871.680000 -0.000012 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 319574.210000 USD 2297578.780000 CNY 2025-02-20 -1871.680000 N N N FNMA PASS THRU POOLS N/A 3140QBZL5 20419009.760000 PA USD 17398840.760000 0.11139 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3131XXFM8 402263.640000 PA USD 372215.900000 0.002383 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 1271400.840000 PA USD 738657.190000 0.004729 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI28T967 13100000.000000 PA 14634033.260000 0.0936889 Long DBT NUSS RO N 2 2029-09-27 Fixed 6.625 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB37 10400000.000000 PA USD 10211103.970000 0.0653728 Long DBT CORP US N 2 2035-07-23 Floating 5.33 N N N N N N N/A N/A 000000000 1.000000 NC -80307.200000 -0.0005141 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2361789.390000 USD 3686000.000000 AUD 2025-01-15 -80307.200000 N N N N/A N/A 000000000 1.000000 NC 988469.070000 0.0063283 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 21656636137.000000 KRW 15655211.000000 USD 2025-01-15 988469.070000 N N N GNMA PASS THRU POOLS N/A 36179W2V9 74776222.730000 PA USD 64912448.570000 0.415577 Long ABS-MBS USGSE US N 2 2052-04-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -771.560000 -0.0000049 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 27084.780000 USD 299541.820000 NOK 2025-01-15 -771.560000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB78 32850000.000000 PA USD 31457887.960000 0.201397 Long DBT CORP US N 2 2035-10-23 Floating 5.016 N N N N N N N/A N/A 000000000 1.000000 NC 1031763.670000 0.0066055 N/A DFE AU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 44372000.000000 AUD 28496204.240000 USD 2025-01-15 1031763.670000 N N N N/A N/A 000000000 1.000000 NC 60997.390000 0.0003905 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 0.000000 CAD 0.000000 CAD 63200000.000000 CAD 60997.390000 N N N N/A N/A 000000000 1.000000 NC 4331715.020000 0.0277322 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 220300000.000000 BRL 39466141.170000 USD 2025-04-02 4331715.020000 N N N MASTR ASSET BACKED SEC TR 2006-WMC3 N/A 55291KAC1 6121415.490000 PA USD 2074837.860000 0.0132834 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.65322 N N N N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 ACI25ZFG7 12200000.000000 PA 12746964.180000 0.0816076 Long DBT CORP US N 2 2034-06-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 1491543.960000 0.009549 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 76900000.000000 BRL 13755898.800000 USD 2025-04-02 1491543.960000 N N N N/A N/A 000000000 1.000000 NC -2993794.180000 -0.0191666 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-12-20 0.000000 CAD -1403445.060000 CAD 64570000.000000 CAD -1590349.120000 N N N DRYDEN EURO CLO 20-74A N/A ACI2RDRQ7 3000000.000000 PA 3106003.780000 0.019885 Long ABS-CBDO CORP IE N 2 2033-04-18 Floating 4.208 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 1692.360000 PA USD 1564.010000 0.00001 Long ABS-MBS CORP US N 2 2034-07-19 Floating 5.06083 N N N N N N TEXAS NATURAL GAS SECURITIZATION FINANCE CORP N/A 88258MAA3 8342150.760000 PA USD 8364830.570000 0.0535527 Long DBT MUN US N 2 2035-04-01 Fixed 5.102 N N N N N N N/A N/A 000000000 1.000000 NC -119010.250000 -0.0007619 N/A DIR MY N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A Klibor Interbank Offered Rate Y 2030-03-19 0.000000 MYR -165390.240000 MYR 271120000.000000 MYR 46379.990000 N N N LONG BEACH MORTGAGE LOAN TR 2005-3 N/A 542514NT7 2078677.850000 PA USD 2018325.100000 0.0129216 Long ABS-MBS CORP US N 2 2045-08-25 Floating 4.97322 N N N N N N N/A N/A 000000000 1.000000 NC 2511538.500000 0.0160792 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2050-05-27 2735319.490000 EUR 0.000000 EUR 5950000.000000 EUR -223780.990000 N N N N/A N/A 000000000 1.000000 NC 70799.740000 0.0004533 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1078967355.800000 INR 12653540.000000 USD 2025-01-17 70799.740000 N N N N/A N/A 000000000 1.000000 NC 421173.520000 0.0026964 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 573228703.000000 TWD 17847584.000000 USD 2025-01-22 421173.520000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI23CKY5 14800000.000000 PA 14403842.590000 0.0922152 Long DBT NUSS RO N 2 2028-03-07 Fixed 2.125 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLG2 4500000.000000 PA USD 4522084.700000 0.0289509 Long DBT CORP US N 2 2029-04-25 Floating 5.202 N N N N N N N/A N/A 000000000 1.000000 NC 344760.730000 0.0022072 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-09-24 0.000000 ILS 0.000000 ILS 71400000.000000 ILS 344760.730000 N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBK1 18300000.000000 PA USD 18572580.510000 0.118904 Long DBT CORP US N 2 2027-05-31 Floating 6.124 N N N N N N N/A N/A 000000000 1.000000 NC -2489362.940000 -0.0159372 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 0.000000 CAD -110807.560000 CAD 162200000.000000 CAD -2378555.380000 N N N JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5 N/A 466284AD8 6421547.500000 PA USD 5737357.300000 0.0367313 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.93322 N N N N N N N/A N/A 000000000 1.000000 NC USD 142985.510000 0.0009154 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-22 0.000000 USD 0.000000 USD 208100000.000000 USD 142985.510000 N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GS7 5943813.080000 PA USD 1924053.900000 0.012318 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.81322 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 14835000.000000 PA 14892977.820000 0.0953467 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR1 N/A 45662BAD1 257920.600000 PA USD 200901.580000 0.0012862 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.80935 N N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 879387.070000 PA USD 413706.770000 0.0026486 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.56336 N N N N N N N/A N/A 000000000 1.000000 NC -276.300000 -0.0000018 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 52233.930000 USD 381000.000000 CNY 2025-02-14 -276.300000 N N N N/A N/A 000000000 1.000000 NC -43236.730000 -0.0002768 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6839190.000000 USD 49062297.300000 CNY 2025-01-21 -43236.730000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PL9 38600000.000000 PA USD 38297096.540000 0.245183 Long DBT CORP US N 2 2035-06-11 Floating 5.449 N N N N N N NEWGATE FUNDING PLC 2006-2 N/A ACI00QQA7 2300762.820000 PA 2223710.140000 0.0142365 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 3.566 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 4 LTD N/A 38137YBA8 14929430.980000 PA USD 14947554.560000 0.0956961 Long ABS-CBDO CORP KY N 2 2031-04-24 Floating 5.78476 N N N N N N N/A N/A 000000000 1.000000 NC -8288046.860000 -0.0530611 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-19 0.000000 EUR -6167301.410000 EUR 347936000.000000 EUR -2120745.450000 N N N N/A N/A 000000000 52300000.000000 NC USD 60573.860000 0.0003878 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30800 05/16/25-1Y LCH 2026-05-16 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2025-05-14 XXXX 20302.860000 N N N N/A N/A 000000000 1.000000 NC -85386.680000 -0.0005467 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6586260.000000 USD 557448532.510000 INR 2025-01-17 -85386.680000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAG2 2697000.000000 PA USD 948402.450000 0.0060718 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 1.310000 PA 0.150000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 78687134.220000 0.503765 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2029-09-18 13567583.660000 CNY 0.000000 CNY 15052638000.000000 CNY 65119550.560000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 229992.180000 PA USD 190007.920000 0.0012165 Long ABS-MBS CORP US N 2 2046-07-20 Floating 4.69474 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1X3J42 2700000.000000 PA 2108475.220000 0.0134987 Long DBT NUSS ES N 2 2037-07-30 Fixed 0.85 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02 N/A 38383KMM1 11590076.690000 PA USD 11625238.660000 0.0744262 Long ABS-MBS USGSE US N 2 2073-12-20 Floating 5.6046 N N N N N N OFSI BSL X LTD N/A 67115PAW5 6000000.000000 PA USD 6012172.200000 0.0384907 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.82429 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 315396.480000 PA USD 100422.430000 0.0006429 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.80322 N N N N N N N/A N/A 000000000 -40700000.000000 NC USD -131961.610000 -0.0008448 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90800 01/28/25-10Y LCH 2035-01-28 0.000000 USD 0.000000 USD N/A USD N/A 3.910000 USD 2025-01-24 XXXX 3365.890000 N N N N/A N/A 000000000 1.000000 NC -98995.440000 -0.0006338 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7381731.000000 USD 30092733.680000 PLN 2025-01-17 -98995.440000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1JFLL0 110850000.000000 PA 58215738.490000 0.372704 Long DBT NUSS FR N 2 2052-05-25 Fixed 0.75 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 1514696.130000 PA USD 1360048.620000 0.0087072 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -362784.620000 -0.0023226 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 22854115.000000 RON 21685287.000000 EUR 2025-02-04 -362784.620000 N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO2 N/A 75116AAA8 1138504.640000 PA USD 351494.750000 0.0022503 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.60322 N N N N N N N/A N/A 000000000 1.000000 NC -6245708.880000 -0.0399858 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-03-15 0.000000 EUR -3911334.580000 EUR 230010000.000000 EUR -2334374.300000 N N N GNMA PASS THRU POOLS N/A 36225CNP7 1328.120000 PA USD 1324.570000 0.0000085 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 5 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863EB0 14300000.000000 PA USD 14175417.830000 0.0907528 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85 N N N N N N FHLMC PASS THRU POOLS N/A 31329QDG3 95765.770000 PA USD 91625.230000 0.0005866 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 923636.160000 0.0059132 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -74160.000000 USD 20600000.000000 USD 997796.160000 N N N BANK OF INDUSTRY LIMITED 5493006N5JD4B34R6G14 BA000BY62 12100000.000000 PA 12477379.630000 0.0798817 Long LON MUN NG N 3 2027-08-23 Floating 4.543 N N N N N N N/A N/A 000000000 1.000000 NC -65461.490000 -0.0004191 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4163946.060000 USD 16943929.310000 PLN 2025-01-31 -65461.490000 N N N HAYFIN EMERALD CLO X DAC 10A N/A ACI2PCMS2 13600000.000000 PA 14107759.200000 0.0903196 Long ABS-CBDO CORP IE N 2 2038-07-18 Floating 4.558 N N N N N N N/A N/A 000000000 1.000000 NC 333701.140000 0.0021364 N/A DFE MY N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 396944626.000000 MYR 88962141.220000 USD 2025-01-22 333701.140000 N N N N/A N/A 000000000 1.000000 NC 56759.780000 0.0003634 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-09-18 0.000000 ILS 0.000000 ILS 19500000.000000 ILS 56759.780000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MM6 455000.000000 PA USD 451671.860000 0.0028917 Long DBT UST US N 2 2025-03-06 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 1678159.540000 0.0107438 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 82700000.000000 USD 1678159.540000 N N N N/A N/A 000000000 1.000000 NC 35512.300000 0.0002274 N/A DFE MX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 13529000.000000 MXN 683987.540000 USD 2025-01-06 35512.300000 N N N ITALY GOVT 815600DE60799F5A9309 ACI1W3183 13600000.000000 PA 13703811.200000 0.0877335 Long DBT NUSS IT N 2 2026-04-01 Fixed 0 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 5732000.000000 PA USD 5677424.770000 0.0363476 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N N/A N/A 000000000 1.000000 NC -111050.670000 -0.000711 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14539039.000000 USD 104353952.420000 CNY 2025-02-24 -111050.670000 N N N GOLDENTREE LOAN MANAGEMENT US CLO 16A LTD N/A 38090AAC2 13900000.000000 PA USD 13927800.000000 0.0891675 Long ABS-CBDO CORP JE N 2 2034-01-20 Floating 6.2874 N N N N N N N/A N/A 000000000 1.000000 NC 28543.830000 0.0001827 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-10-01 0.000000 ILS -695061.170000 ILS 196000000.000000 ILS 723605.000000 N N N N/A N/A 000000000 1.000000 NC -132678.470000 -0.0008494 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 13968486.280000 USD 11053000.000000 GBP 2025-01-15 -132678.470000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 900000.000000 PA USD 831049.770000 0.0053205 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 USD -9166640.850000 -0.058686 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2034-12-20 0.000000 USD -6755407.560000 USD 1168800000.000000 USD -2411233.290000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAD0 727000.000000 PA USD 728107.050000 0.0046614 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -28264.110000 -0.000181 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1282243.660000 USD 1210000.000000 EUR 2025-01-15 -28264.110000 N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV5 N/A 90355DAV5 6541671.240000 PA USD 5456207.810000 0.0349313 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC -110744.730000 -0.000709 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11973260.000000 USD 390208543.000000 TWD 2025-01-22 -110744.730000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087M68 20660000.000000 PA 10190134.910000 0.0652385 Long DBT NUSS CA N 2 2053-12-01 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -158920.170000 -0.0010174 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-12-18 294230.920000 JPY 0.000000 JPY 4610000000.000000 JPY -453151.090000 N N N N/A N/A 000000000 1.000000 NC 26894.940000 0.0001722 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10218557.900000 PEN 2739927.040000 USD 2025-04-04 26894.940000 N N N FNMA PASS THRU POOLS N/A 3140XQDE4 4690624.950000 PA USD 4715561.300000 0.0301896 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -16832.580000 -0.0001078 N/A DFE RO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 344222.680000 EUR 1573183.700000 RON 2025-01-17 -16832.580000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AV0 4500000.000000 PA USD 4650935.720000 0.0297759 Long DBT CORP CH N 2 2028-08-11 Floating 6.442 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BKVDQPII1 34600000.000000 PA 17290214.320000 0.110694 Long DBT MUN AU N 2 2033-09-15 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -1492604.040000 -0.0095558 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-18 1453862.620000 USD 0.000000 USD 222800000.000000 USD -2946466.660000 N N N N/A N/A 000000000 2662000.000000 NC USD 699696.050000 0.0044795 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-01-27 N/A 7.400000 USD 2025-01-23 XXXX 354967.050000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BW8 9500000.000000 PA USD 9565790.730000 0.0612414 Long DBT CORP GB N 2 2026-09-12 Floating 6.0338 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 126011.000000 PA USD 102635.960000 0.0006571 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N GERMANY GOVT 529900AQBND3S6YJLY83 ACI2C96L6 44500000.000000 PA 46200409.990000 0.295781 Long DBT NUSS DE N 2 2033-02-15 Fixed 2.3 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAC2 1454000.000000 PA USD 1456214.110000 0.0093229 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.45 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 3497964.650000 PA USD 3503447.460000 0.0224295 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 5.86751 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 19300000.000000 PA 5414572.390000 0.0346648 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N FNMA PASS THRU POOLS N/A 3140A5FG8 7112119.970000 PA USD 7149986.670000 0.0457751 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAA4 15200000.000000 PA USD 14500936.800000 0.0928368 Long ABS-MBS CORP US N 2 2038-09-15 Floating 5.56248 N N N N N N N/A N/A 000000000 1.000000 NC USD -21745.420000 -0.0001392 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -14714700000.000000 JPY 99760677.970000 USD 2026-02-03 195155.090000 N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 39788.400000 PA USD 36376.930000 0.0002329 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.99322 N N N N N N REGATTA XV FUNDING LLC 2018 4A N/A 75888RAL3 9851443.910000 PA USD 9868775.650000 0.0631811 Long ABS-CBDO CORP KY N 2 2031-10-25 Floating 5.82587 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1 N/A 004421WR0 15594848.260000 PA USD 13685778.400000 0.0876181 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.03822 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBE3 3722999.560000 PA USD 3729324.710000 0.0238756 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.91751 N N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAF9 3250706.620000 PA USD 1048164.020000 0.0067105 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.89322 N N N N N N N/A N/A 000000000 1.000000 NC USD 2207148.100000 0.0141304 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-30 0.000000 USD 0.000000 USD 180400000.000000 USD 2207148.100000 N N N N/A N/A 000000000 1.000000 NC -253097.000000 -0.0016204 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 39053370.000000 USD 284699067.300000 CNY 2025-01-15 -253097.000000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 8550000.000000 PA USD 6247672.500000 0.0399984 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 709184.110000 0.0045403 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 58585116.710000 BRL 10135833.340000 USD 2025-02-04 709184.110000 N N N N/A N/A 000000000 1.000000 NC -20606.750000 -0.0001319 N/A DFE SE N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 1115846.010000 USD 12110000.000000 SEK 2025-01-15 -20606.750000 N N N N/A N/A 000000000 1.000000 NC 776657.770000 0.0049723 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40100000.000000 BRL 7171984.550000 USD 2025-04-02 776657.770000 N N N N/A N/A 000000000 1.000000 NC -634358.390000 -0.0040612 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 41056000.000000 USD 296568016.000000 CNY 2025-01-21 -634358.390000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 28219532.000000 PA USD 28050546.670000 0.179583 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1764352.580000 PA USD 1047182.420000 0.0067042 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.67322 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR6 N/A 93935FAA9 2175779.860000 PA USD 1798792.490000 0.0115161 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.83322 N N N N N N FNMA PASS THRU POOLS N/A 31418E4N7 206683063.120000 PA USD 207785483.710000 1.33027 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWL43 148065087.110000 PA USD 149012152.870000 0.953994 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 35982.510000 0.0002304 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 461260262.320000 INR 5415124.000000 USD 2025-01-17 35982.510000 N N N N/A N/A 000000000 1.000000 NC -694729.880000 -0.0044477 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR 0.000000 EUR 68985000.000000 EUR -694729.880000 N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 41533.780000 PA USD 39903.160000 0.0002555 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.02522 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2 N/A 17309LAG0 14093099.640000 PA USD 13667451.390000 0.0875007 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.90322 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPK908 1400000.000000 PA USD 175000.000000 0.0011204 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAH0 8200000.000000 PA USD 7801257.210000 0.0499446 Long DBT CORP DE N 2 2028-01-07 Floating 2.552 N N N N N N N/A N/A 000000000 1.000000 NC 4741036.930000 0.0303527 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 123652230159.000000 KRW 88500655.000000 USD 2025-01-22 4741036.930000 N N N N/A N/A 000000000 1.000000 NC -91023.440000 -0.0005827 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19778689.000000 USD 320365315078.000000 IDR 2025-03-05 -91023.440000 N N N FORT CRE 2022-FL3 N/A 34706CAA7 6121788.860000 PA USD 6057236.250000 0.0387792 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 6.4546 N N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 378909.630000 PA USD 336975.130000 0.0021574 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.67912 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 4636488.000000 PA USD 3584005.220000 0.0229452 Long DBT NUSS AR N 2 2030-07-09 Variable 0.75 N N N N N N N/A N/A 000000000 1.000000 NC 160204.620000 0.0010256 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 102497143.730000 SEK 9430138.230000 USD 2025-01-15 160204.620000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 100000.000000 PA USD 86279.450000 0.0005524 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N REGATTA XVI FUNDING LTD 2019-2A N/A 75888TAL9 9700000.000000 PA USD 9730233.740000 0.0622942 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 5.8559 N N N N N N HAYFIN EMERALD CLO V DAC 5A N/A ACI2RYDM5 16900000.000000 PA 17519047.480000 0.112159 Long ABS-CBDO CORP IE N 2 2037-11-17 Floating 3.975 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JQ1 300000.000000 PA USD 259330.990000 0.0016603 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N ARBOUR CLO DAC 11A N/A ACI2P5HV6 3900000.000000 PA 4045234.540000 0.0258981 Long ABS-CBDO CORP IE N 2 2038-05-15 Floating 4.353 N N N N N N N/A N/A 000000000 1.000000 NC -10364507.480000 -0.0663549 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2030-03-19 1029040.420000 AUD 0.000000 AUD 1352500000.000000 AUD -11393547.900000 N N N UMBS PASS THRU POOLS N/A 01F020612 -267900000.000000 PA USD -208480618.530000 -1.33472 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -186103.650000 -0.0011915 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4394085.000000 USD 6212137669.000000 KRW 2025-01-22 -186103.650000 N N N PROJECT PANAMA SPV LLC_ N/A 000000000 31608000.000000 PA USD 31634235.900000 0.202526 Long ABS-O CORP US N 3 2054-12-20 Fixed 0 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 569059.500000 PA USD 502877.770000 0.0032195 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.66322 N N N N N N N/A N/A 000000000 1.000000 NC 2575224.690000 0.0164869 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-06-19 0.000000 CAD -27421.110000 CAD 310100000.000000 CAD 2602645.800000 N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3J5 106575.080000 PA USD 95986.790000 0.0006145 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.04155 N N N N N N OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A N/A 67592CAL0 5463437.300000 PA USD 5471894.590000 0.0350317 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.7674 N N N N N N N/A N/A 000000000 1.000000 NC -2344381.980000 -0.015009 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-05-25 0.000000 EUR 0.000000 EUR 54000000.000000 EUR -2344381.980000 N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 5474382.270000 PA 5663048.910000 0.0362555 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 3.516 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 594581.740000 PA USD 522544.060000 0.0033454 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.58322 N N N N N N N/A N/A 000000000 1.000000 NC 29759.960000 0.0001905 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14902772.340000 PEN 3995809.830000 USD 2025-01-07 29759.960000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR3 N/A 45660L5N5 3061299.290000 PA USD 2174189.550000 0.0139194 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.84397 N N N N N N FNMA PASS THRU POOLS N/A 31418EZM5 77677418.740000 PA USD 78090977.200000 0.499948 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6 N N N N N N ACREC 2021-FL1 LTD N/A 00500RAA3 9159632.080000 PA USD 9164425.220000 0.0586718 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.63969 N N N N N N N/A N/A 000000000 1.000000 NC -168744.400000 -0.0010803 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2796737.250000 USD 3880444961.000000 KRW 2025-01-15 -168744.400000 N N N COLT 2022-3 MORTGAGE LOAN TRUST N/A 12659YAB0 9476443.450000 PA USD 8890430.610000 0.0569176 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.156 N N N N N N N/A N/A 000000000 1.000000 NC -124209.620000 -0.0007952 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16990032.000000 USD 121937459.660000 CNY 2025-02-11 -124209.620000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HD2 1100000.000000 PA USD 929164.680000 0.0059486 Long DBT CORP US N 2 2043-06-15 Fixed 4.6 N N N N N N N/A N/A 000000000 1.000000 NC -60038.210000 -0.0003844 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7380183.000000 USD 30247311.020000 PLN 2025-01-17 -60038.210000 N N N NEWGATE FUNDING PLC 2007-2X N/A B1YXNZII7 1905410.000000 PA 2291185.950000 0.0146685 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 5.0253 N N N N N N N/A N/A 000000000 1.000000 NC 1235825.330000 0.0079119 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 59700000.000000 BRL 10757047.490000 USD 2025-04-02 1235825.330000 N N N N/A N/A 000000000 -51600000.000000 NC USD -5.160000 0 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.49000 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.490000 USD 2025-01-06 XXXX 135444.840000 N N N FNMA PASS THRU POOLS N/A 3140HEAR3 5174.230000 PA USD 4800.270000 0.0000307 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAP9 848942.960000 PA USD 604231.930000 0.0038684 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.05322 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAF8 27632.050000 PA USD 16008.550000 0.0001025 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.97322 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0PP6W6 10110000000.000000 PA 47682035.650000 0.305266 Long DBT NUSS JP N 2 2046-09-20 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SJ8 39750000.000000 PA USD 24622312.690000 0.157635 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3N1 33100000.000000 PA USD 32219765.740000 0.206275 Long DBT CORP US N 2 2035-12-03 Floating 5.211 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 5254844.180000 PA USD 4703265.260000 0.0301109 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.73322 N N N N N N N/A N/A 000000000 1.000000 NC USD -768800.830000 -0.004922 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2029-12-20 0.000000 USD -901807.600000 USD 27300000.000000 USD 133006.770000 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 56902.800000 PA USD 53152.160000 0.0003403 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.43404 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1SQBN3 4400000.000000 PA 4203542.090000 0.0269116 Long DBT CORP DE N 2 2030-11-19 Floating 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -55839.540000 -0.0003575 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2214836.420000 USD 3102000.000000 CAD 2025-01-15 -55839.540000 N N N BANC OF AMERICA FUNDING CORP 2004-B N/A 05946XJN4 116179.630000 PA USD 112696.250000 0.0007215 Long ABS-MBS CORP US N 2 2034-11-20 Floating 6.63904 N N N N N N N/A N/A 000000000 1.000000 NC 8577.590000 0.0000549 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8638347432.000000 IDR 541776.000000 USD 2025-01-22 8577.590000 N N N N/A N/A 000000000 1.000000 NC 73411.330000 0.00047 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 187050609.000000 TWD 5759834.000000 USD 2025-01-22 73411.330000 N N N N/A N/A 000000000 1.000000 NC 26365.220000 0.0001688 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-09-19 0.000000 ILS 0.000000 ILS 12500000.000000 ILS 26365.220000 N N N N/A N/A 000000000 1.000000 NC 471391.310000 0.0030179 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 48363648.440000 SGD 35904020.000000 USD 2025-01-15 471391.310000 N N N N/A N/A 000000000 1.000000 NC 10607.410000 0.0000679 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1603970.000000 USD 26273028600.000000 IDR 2025-03-05 10607.410000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 11000000.000000 PA USD 10954328.440000 0.070131 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N N/A N/A 000000000 1.000000 NC 367765.970000 0.0023545 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 302911077.000000 TWD 9576399.000000 USD 2025-01-22 367765.970000 N N N KKR CLO LTD 18 N/A 48251JAL7 3472481.340000 PA USD 3478036.820000 0.0222668 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 5.83396 N N N N N N N/A N/A 000000000 1372.000000 NC -3836018.900000 -0.0245587 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A FRANCE GOVT 2025-03-06 175374330.190000 EUR -3836018.900000 N N N HSI ASSET SEC CORP TRUST 2006-OPT2 N/A 40430HEC8 4500000.000000 PA USD 4235832.000000 0.0271183 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.06822 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UNQ7 2250000.000000 PA USD 2243026.510000 0.0143601 Long DBT CORP US N 2 2025-01-24 None 0 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1 N/A 36265LAB3 33139795.660000 PA USD 27724428.280000 0.177495 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC 223515.250000 0.001431 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16959000.000000 GBP 21452273.480000 USD 2025-01-15 223515.250000 N N N N/A N/A 000000000 1.000000 NC 404552.140000 0.00259 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13442606.430000 USD 506772819.800000 TRY 2025-02-06 404552.140000 N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 60003611.550000 PA 75189118.160000 0.48137 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 5.41149 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 22550L2K6 3900000.000000 PA USD 3923507.130000 0.0251188 Long DBT CORP CH N 2 2027-07-09 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 6019472.560000 0.0385374 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US SOFR COMPOUNDED INDEX Y 2025-06-20 2496915.850000 USD 0.000000 USD 229500000.000000 USD 3522556.710000 N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 ACI1JX7D5 36600000.000000 PA 45963060.820000 0.294261 Long DBT CORP GB N 2 2027-02-12 Floating 5.2754 N N N N N N EUROMASTER PLC 2007-1V N/A ACI018DY8 66525.540000 PA 81650.960000 0.0005227 Long ABS-MBS CORP GB N 2 2040-06-15 Floating 5.0253 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAL9 4400000.000000 PA USD 4234691.600000 0.027111 Long DBT CORP ES N 2 2026-03-25 Fixed 1.849 N N N N N N N/A N/A 000000000 1.000000 NC -86364.650000 -0.0005529 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6080044.000000 USD 197157587.000000 TWD 2025-01-22 -86364.650000 N N N N/A N/A 000000000 1.000000 NC USD 3413173.500000 0.0218516 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-05-31 0.000000 USD 0.000000 USD 477000000.000000 USD 3413173.500000 N N N N/A N/A 000000000 -4164008.340000 PA USD -4168808.520000 -0.0266892 Short RA US N 2 Reverse repurchase N 4.150000 2026-12-23 4200000.000000 USD 4118877.000000 USD N N N N/A N/A 000000000 1.000000 NC -7256.990000 -0.0000465 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 818309.330000 USD 5864331.980000 CNY 2025-02-14 -7256.990000 N N N FHLMC PASS THRU POOLS N/A 3132DWJ61 405416520.560000 PA USD 414149946.490000 2.65144 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QDYC2 7864607.400000 PA USD 7275384.410000 0.0465779 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N PRINCIPAL LIFE GLOBAL FUNDING II 635400WSLKBQWSOIIT41 74256LET2 5100000.000000 PA USD 5096234.980000 0.0326267 Long DBT CORP US N 2 2025-01-10 Fixed 1.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 19926.030000 0.0001276 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -106363.410000 USD 4380000.000000 USD 126289.440000 N N N RMAC SECURITIES PLC 2007-NS1X N/A B231LDII0 137269.120000 PA USD 133774.800000 0.0008564 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.93493 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 14401350.000000 PA USD 15450878.340000 0.0989184 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 6622728.170000 PA USD 6632562.130000 0.0424625 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.88751 N N N N N N FNMA PASS THRU POOLS N/A 31418EU99 25923699.780000 PA USD 25610643.890000 0.163963 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -114865.840000 -0.0007354 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-12-19 0.000000 THB 0.000000 THB 1094070000.000000 THB -114865.840000 N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 560741.900000 PA USD 374861.740000 0.0023999 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.29246 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDX1 20900000.000000 PA USD 21682534.040000 0.138814 Long DBT CORP US N 2 2029-10-23 Floating 6.087 N N N N N N GNMA PASS THRU POOLS N/A 36225CNZ5 10802.450000 PA USD 10764.820000 0.0000689 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 4.875 N N N N N N 37 CAPITAL CLO I 2021-1A N/A 88430TAQ4 4850000.000000 PA USD 4866145.890000 0.0311537 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9359 N N N N N N N/A N/A 000000000 1.000000 NC -7042.030000 -0.0000451 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1023900.330000 USD 1461000.000000 CAD 2025-01-15 -7042.030000 N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 5452195.970000 PA USD 4495809.370000 0.0287827 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.74322 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 4861578000.000000 PA 32210715.720000 0.206217 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BL1 11500000.000000 PA USD 11686421.790000 0.0748179 Long DBT CORP CH N 2 2030-09-13 Floating 5.617 N N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4E6 3631765.260000 PA USD 2582164.760000 0.0165313 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 N N N N N N FHLMC PASS THRU POOLS N/A 3133WCXJ8 6984703.400000 PA USD 7090978.740000 0.0453973 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8V51 6450499.240000 PA USD 5791765.870000 0.0370796 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 779.460000 PA USD 730.160000 0.0000047 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.36345 N N N N N N INVESCO EURO CLO III DAC 3A N/A ACI2Q9953 15700000.000000 PA 16258246.400000 0.104087 Long ABS-CBDO CORP IE N 2 2038-10-30 Floating 4.55337 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 20119697.570000 PA USD 20172211.390000 0.129145 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.16635 N N N N N N SOUND POINT CLO XXIII 2019-2A N/A 83614BAQ2 7400000.000000 PA USD 7414800.000000 0.0474705 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.08751 N N N N N N N/A N/A 000000000 1.000000 NC USD 10642388.510000 0.0681339 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-11-30 16480389.560000 USD 0.000000 USD 479900000.000000 USD -5838001.050000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BJ6 7100000.000000 PA USD 7147771.780000 0.0457609 Long DBT CORP CH N 2 2030-02-08 Floating 5.428 N N N N N N N/A N/A 000000000 1.000000 NC USD -2070183.920000 -0.0132536 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-31 657435.200000 USD 0.000000 USD 148600000.000000 USD -2727619.120000 N N N N/A N/A 000000000 1.000000 NC 36771416.170000 0.235415 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-19 30414487.830000 EUR 0.000000 EUR 2637100000.000000 EUR 6356928.340000 N N N N/A N/A 000000000 1.000000 NC -41260.400000 -0.0002642 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4553177.000000 USD 32623513.210000 CNY 2025-02-14 -41260.400000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2R9YZ8 38780000.000000 PA 39299762.890000 0.251602 Long DBT NUSS RO N 2 2031-09-24 Fixed 5.125 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YBA0 28500000.000000 PA USD 28988657.580000 0.185589 Long DBT CORP GB N 2 2030-06-05 Floating 5.721 N N N N N N FNMA PASS THRU POOLS N/A 31418E5Q9 127586461.290000 PA USD 128266328.710000 0.821177 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI215R58 29830000.000000 PA 17402383.120000 0.111412 Long DBT NUSS GB N 2 2053-07-31 Fixed 1.5 N N N N N N BANC OF AMERICA FUNDING CORP 2006-B N/A 058928AF9 24359.620000 PA USD 23098.520000 0.0001479 Long ABS-MBS CORP US N 2 2036-03-20 Floating 2.3715 N N N N N N N/A N/A 000000000 1.000000 NC -1255334.630000 -0.0080368 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -2475153.160000 EUR 32900000.000000 EUR 1219818.530000 N N N N/A N/A 000000000 1.000000 NC 2978.140000 0.0000191 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 262984.000000 USD 4293388868.000000 IDR 2025-01-08 2978.140000 N N N N/A N/A 000000000 1.000000 NC 890488.820000 0.005701 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 58781000.000000 EUR 61807986.380000 USD 2025-01-15 890488.820000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1D66B5 800000.000000 PA 685094.430000 0.0043861 Long DBT NUSS RO N 2 2031-07-16 Fixed 2.124 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CG7 8700000.000000 PA USD 5311105.360000 0.0340024 Long DBT CORP US N 2 2062-06-30 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC -9693.540000 -0.0000621 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1543630.390000 USD 11092527.980000 CNY 2025-02-18 -9693.540000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 1.750000 PA 0.190000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AC3 2251460.490000 PA USD 2161633.750000 0.013839 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.947 N N N N N N UMBS PASS THRU POOLS N/A 01F060618 -7880000.000000 PA USD -7917553.160000 -0.0506892 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -83777.150000 -0.0005364 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6332798.000000 USD 535852235.890000 INR 2025-01-17 -83777.150000 N N N N/A N/A 000000000 1.000000 NC 2419.820000 0.0000155 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3056575815.000000 IDR 191351.000000 USD 2025-01-15 2419.820000 N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 814647.950000 PA USD 767303.950000 0.0049124 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 -2703991.690000 -0.0173113 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2027-03-16 0.000000 AUD -3953451.420000 AUD 77200000.000000 AUD 1249459.730000 N N N N/A N/A 000000000 1.000000 NC -612500.440000 -0.0039213 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11950207.730000 USD 16741046006.000000 KRW 2025-01-15 -612500.440000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HH3 1207000.000000 PA USD 1033675.100000 0.0066177 Long DBT CORP US N 2 2044-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -1951603.740000 -0.0124944 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-12-18 0.000000 JPY -720613.040000 JPY 31770000000.000000 JPY -1230990.700000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 17800000.000000 PA USD 16827087.420000 0.107729 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 53688.060000 PA USD 52835.740000 0.0003383 Long ABS-MBS CORP US N 2 2037-02-25 Floating 6.61995 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 735978.060000 PA USD 655195.640000 0.0041946 Long ABS-MBS CORP US N 2 2046-02-25 Floating 5.82522 N N N N N N PRPM 2024-RPL3 LLC N/A 69381LAA5 3946848.120000 PA USD 3801214.160000 0.0243358 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CB70 1963.940000 PA USD 1957.570000 0.0000125 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 4.875 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B77 1900000.000000 PA USD 1826058.460000 0.0116907 Long DBT CORP US N 2 2026-08-10 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC 266556.850000 0.0017065 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2025-12-20 212667.130000 EUR 0.000000 EUR 36300000.000000 EUR 53889.720000 N N N N/A N/A 000000000 1.000000 NC 3435204.170000 0.0219926 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 67333464683.000000 KRW 49036125.000000 USD 2025-01-15 3435204.170000 N N N N/A N/A 000000000 1.000000 NC -4069.320000 -0.0000261 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1015650.750000 USD 11185000.000000 SEK 2025-01-15 -4069.320000 N N N N/A N/A 000000000 1.000000 NC -483862.420000 -0.0030977 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9554028.250000 USD 13392836805.000000 KRW 2025-01-15 -483862.420000 N N N N/A N/A 000000000 1.000000 NC 37245.510000 0.0002385 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 461151959.840000 INR 5415124.000000 USD 2025-01-17 37245.510000 N N N UMBS PASS THRU POOLS N/A 01F020612 117450000.000000 PA USD 91399957.620000 0.585154 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 2 N N N N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAE3 1600000.000000 PA USD 1183597.600000 0.0075775 Long DBT CORP QA N 2 2041-07-12 Fixed 3.125 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 N/A 93935AAC6 275142.040000 PA USD 167730.930000 0.0010738 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.76522 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH71 8849.010000 PA USD 8227.420000 0.0000527 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.09103 N N N N N N N/A N/A 000000000 1.000000 NC 8275.950000 0.000053 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 346539390.000000 KRW 243015.000000 USD 2025-01-22 8275.950000 N N N N/A N/A 000000000 1.000000 NC -43799.760000 -0.0002804 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3410377.410000 USD 288683332.190000 INR 2025-01-17 -43799.760000 N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 39718773.340000 PA USD 37836766.790000 0.242236 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 -12538.080000 -0.0000803 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1353202.870000 USD 2166000.000000 AUD 2025-01-15 -12538.080000 N N N INDYMAC INDB MTGE LOAN TRUST 2005-1 N/A 45660LYW3 116645.850000 PA USD 67597.320000 0.0004328 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.05322 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NL1 8500000.000000 PA USD 8469498.770000 0.0542228 Long DBT CORP US Y 2 2026-03-17 Floating 3.29 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BP5D0MII4 9715000000.000000 PA 43733398.900000 0.279987 Long DBT NUSS JP N 2 2051-06-20 Fixed 0.7 N N N N N N FNMA PASS THRU POOLS N/A 31418E7B0 435080508.370000 PA USD 437931382.100000 2.80369 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 1796.170000 PA USD 1629.520000 0.0000104 Long ABS-MBS CORP US N 2 2032-11-25 Floating 5.05322 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 5.210000 PA 0.580000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N STRATTON MORTGAGE FUNDING 2024-2 PLC 24-2A N/A ACI2NCB49 6527530.240000 PA 8173879.360000 0.0523302 Long ABS-MBS CORP GB N 2 2050-06-28 Floating 5.60264 N N N N N N N/A N/A 000000000 -1477.000000 NC 1611450.730000 0.0103167 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Short N/A CANADA GOVT 2025-03-20 -125983491.600000 CAD 1611450.730000 N N N FIRST FRANKLIN MTG LN ASSET 2003-FF5 N/A 32027NFD8 3331725.160000 PA USD 3325658.420000 0.0212913 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.35322 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 32308.330000 PA USD 32281.170000 0.0002067 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.035 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV6 N/A 46654FAD0 49643648.080000 PA USD 41590862.570000 0.26627 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -1304.940000 -0.0000084 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 175182.270000 USD 1257107.970000 CNY 2025-02-11 -1304.940000 N N N N/A N/A 000000000 1.000000 NC 11638.330000 0.0000745 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 9387437268.000000 IDR 591074.000000 USD 2025-01-22 11638.330000 N N N N/A N/A 000000000 1.000000 NC 98.220000 0.0000006 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 83961.720000 CNY 11706.060000 USD 2025-02-26 98.220000 N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 2480822.910000 PA USD 2340485.980000 0.0149841 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.23322 N N N N N N N/A N/A 000000000 1.000000 NC USD -322756.180000 -0.0020663 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-07-17 599800.000000 USD 0.000000 USD 299900000.000000 USD -922556.180000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 81594.290000 PA USD 70868.910000 0.0004537 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.64761 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 7776.540000 PA USD 7729.580000 0.0000495 Long ABS-MBS CORP US N 2 2032-10-27 Floating 5.25322 N N N N N N N/A N/A 000000000 1.000000 NC -581841.820000 -0.003725 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 15942693.540000 USD 322544604.350000 MXN 2025-02-13 -581841.820000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 145698.540000 PA USD 124827.840000 0.0007992 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.94328 N N N N N N N/A N/A 000000000 1.000000 NC 72674.400000 0.0004653 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 159661966.000000 TWD 4926470.000000 USD 2025-01-22 72674.400000 N N N KOMMUNALBANKEN AS I7ETN0QQO2AHZZGHJ389 ACI22XFG5 20700000.000000 PA 12221558.470000 0.0782439 Long DBT CORP NO N 2 2027-01-19 Fixed 1.9 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI1CY252 10768000.000000 PA 7387907.890000 0.0472983 Long DBT NUSS SG N 2 2039-07-01 Fixed 2.375 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 12959922.060000 PA 13413420.190000 0.0858744 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.834 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 26200000.000000 PA 27220741.600000 0.174271 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 778305.560000 0.0049828 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2029-09-01 0.000000 CAD -261262.400000 CAD 172000000.000000 CAD 1039567.960000 N N N N/A N/A 000000000 1.000000 NC -17087.800000 -0.0001094 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2913619.790000 USD 20911049.230000 CNY 2025-01-21 -17087.800000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 5.160000 PA 0.570000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 15929.520000 0.000102 N/A DFE TW N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 36382109.000000 TWD 1121962.000000 USD 2025-01-22 15929.520000 N N N FNMA PASS THRU POOLS N/A 31418E3D0 250275252.980000 PA USD 251614811.230000 1.61087 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6 N N N N N N N/A N/A 000000000 12600000.000000 NC USD 578269.440000 0.0037022 N/A DIR KY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.00500 09/29/25-30Y LCH 2055-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2025-09-25 XXXX 54739.440000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 56854.370000 PA USD 50727.520000 0.0003248 Long ABS-MBS CORP US N 2 2036-03-19 Floating 4.96083 N N N N N N N/A N/A 000000000 1.000000 NC -13178.740000 -0.0000844 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 697164.770000 USD 271922147.000000 HUF 2025-01-21 -13178.740000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A 41161PMX8 56918.050000 PA USD 42125.840000 0.0002697 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.05231 N N N N N N N/A N/A 000000000 1.000000 NC 104052.630000 0.0006662 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16062405.000000 USD 263066856609.000000 IDR 2025-03-05 104052.630000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2 DAC 24-3A N/A ACI2RRG21 21000000.000000 PA 21753029.080000 0.139266 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 3.68992 N N N N N N N/A N/A 000000000 1.000000 NC -5510.660000 -0.0000353 N/A DFE SE N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 1812519.780000 USD 19980000.000000 SEK 2025-01-15 -5510.660000 N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQHII8 833171.500000 PA 829393.980000 0.0053099 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 4.136 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 3600000.000000 PA USD 3448910.450000 0.0220804 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N MASTR ASSET BACKED SEC TRUST 2005-HE2 N/A 57643LKN5 9859350.390000 PA USD 9542866.230000 0.0610946 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.18822 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAA6 5260000.000000 PA USD 5265070.320000 0.0337076 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC 118715.670000 0.00076 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2027-03-19 215220.160000 SGD 0.000000 SGD 144200000.000000 SGD -96504.490000 N N N FHLMC PASS THRU POOLS N/A 3132DWMA8 20813608.130000 PA USD 20551260.720000 0.131572 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 158540.130000 PA USD 153571.230000 0.0009832 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 25876.220000 0.0001657 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 9699014.030000 PEN 2600969.170000 USD 2025-04-04 25876.220000 N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CA0 6400000.000000 PA USD 4121903.810000 0.0263889 Long DBT CORP US N 2 2052-06-01 Fixed 3.9 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 107298624.000000 PA USD 106637749.240000 0.682708 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA5 N/A 93936RAB0 13142.870000 PA USD 15224.620000 0.0000975 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.66522 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 330838.320000 PA 342832.780000 0.0021949 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.859 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 36977039.000000 PA USD 37636487.880000 0.240953 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 8666.600000 0.0000555 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 198755.890000 USD 7476898.450000 TRY 2025-01-22 8666.600000 N N N N/A N/A 000000000 1.000000 NC 567838.820000 0.0036354 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 32659000.000000 CAD 23298554.220000 USD 2025-01-15 567838.820000 N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-9 N/A 1266736F4 12598255.890000 PA USD 12289213.110000 0.0786771 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.42822 N N N N N N FHLMC PASS THRU POOLS N/A 31329Q2L4 120920.020000 PA USD 115433.880000 0.000739 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3G6 13600000.000000 PA USD 14157233.070000 0.0906364 Long DBT CORP US N 2 2029-10-23 Floating 6.303 N N N N N N UMBS PASS THRU POOLS N/A 01F052615 -141300000.000000 PA USD -139449645.410000 -0.892774 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N AVANGRID INC (AKA: IBERDROLA USA INC; ENERGY EAST CORPORATION) 549300OX0Q38NLSKPB49 05353ANM7 3050000.000000 PA USD 3041839.730000 0.0194742 Long DBT CORP US N 2 2025-01-21 None 0 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRU1 16700000.000000 PA 10806524.750000 0.0691847 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.867 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6 N/A 12668BD91 22858.480000 PA USD 20042.460000 0.0001283 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.87322 N N N N N N NOMURA RESECURITIZATION TRUST 2016-2R N/A 65541FAE5 8088023.910000 PA USD 6894944.140000 0.0441423 Long ABS-MBS CORP US N 2 2037-12-26 Variable 3.63298 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 39091.640000 PA USD 34076.380000 0.0002182 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.79753 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 205502.940000 PA USD 210194.860000 0.0013457 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 217333.070000 0.0013914 N/A DFE HU N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 4947593231.000000 HUF 12673950.000000 USD 2025-01-02 217333.070000 N N N N/A N/A 000000000 1.000000 NC -12873.710000 -0.0000824 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1424203.910000 USD 15605000.000000 SEK 2025-01-15 -12873.710000 N N N N/A N/A 000000000 1.000000 NC USD 205543.530000 0.0013159 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2026-06-20 270920.790000 USD 0.000000 USD 3100000.000000 USD -65377.260000 N N N N/A N/A 000000000 1.000000 NC 3466684.610000 0.0221941 N/A DFE JP N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8702000000.000000 JPY 59444966.270000 USD 2025-04-21 3466684.610000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 21100000.000000 PA USD 20778402.870000 0.133026 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAT9 1074599.400000 PA USD 914413.170000 0.0058542 Long ABS-MBS CORP US N 2 2047-11-25 Floating 6.07522 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BNDC0SII9 34500000.000000 PA 17240242.600000 0.110374 Long DBT MUN AU N 2 2033-09-15 Fixed 2.25 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI2D6391 14300000.000000 PA 15718592.780000 0.100632 Long DBT NUSS ES N 2 2039-07-30 Fixed 3.9 N N N N N N N/A N/A 000000000 -750.000000 NC 123322.950000 0.0007895 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2025-03-17 -49277691.370000 AUD 123322.950000 N N N SOUND POINT CLO XXVIII LTD 2020-3A N/A 83615CAL0 8200000.000000 PA USD 8211377.660000 0.0525703 Long ABS-CBDO CORP KY N 2 2032-01-25 Floating 5.90587 N N N N N N AURIUM CLO III DAC 3A N/A ACI1FVVB0 7412854.040000 PA 7664580.910000 0.0490696 Long ABS-CBDO CORP IE N 2 2030-04-16 Floating 3.849 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 68333ZAY3 358900000.000000 PA 249147703.370000 1.59507 Long DBT NUSS CA N 2 2033-06-02 Fixed 3.65 N N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 2641813.680000 PA USD 2115129.290000 0.0135413 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRN9 19550000.000000 PA USD 19513568.580000 0.124928 Long DBT NUSS IL N 2 2029-03-12 Fixed 5.375 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AY4 16200000.000000 PA USD 16318527.460000 0.104473 Long DBT CORP CH N 2 2026-07-15 Floating 6.373 N N N N N N N/A N/A 000000000 1.000000 NC USD -5643411.010000 -0.0361298 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-18 436150.780000 USD 0.000000 USD 211800000.000000 USD -6079561.790000 N N N N/A N/A 000000000 1.000000 NC -64237.460000 -0.0004113 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 50103740.220000 PEN 13229758.190000 USD 2025-05-08 -64237.460000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 7400000.000000 PA USD 7253971.580000 0.0464408 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N N/A N/A 000000000 1.000000 NC 129703.070000 0.0008304 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 47466000.000000 MYR 10727749.400000 USD 2025-01-22 129703.070000 N N N N/A N/A 000000000 1.000000 NC USD 614474.170000 0.0039339 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 28400000.000000 USD 614474.170000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 9700000.000000 PA USD 8712712.760000 0.0557799 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 5117.770000 PA USD 4728.650000 0.0000303 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.62897 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI2NRJH9 174200000.000000 PA 39404024.030000 0.252269 Long DBT NUSS MY N 2 2039-04-18 Fixed 4.054 N N N N N N SOUNDVIEW HOME EQUITY LN TR 2006-3 N/A 83612HAD0 7285287.020000 PA USD 6783143.510000 0.0434265 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.95322 N N N N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 25447566.530000 PA 26384121.630000 0.168914 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 4.298 N N N N N N N/A N/A 000000000 1.000000 NC -69849.560000 -0.0004472 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12729862.000000 USD 91413139.020000 CNY 2025-01-23 -69849.560000 N N N N/A N/A 000000000 -8785125.000000 PA USD -8798766.350000 -0.0563308 Short RA US N 2 Reverse repurchase N 4.300000 2026-12-20 9000000.000000 USD 8978753.430000 USD CDS N N N SEQUOIA MORTGAGE TRUST 2005-4 N/A 81744FJG3 13540.860000 PA USD 13524.480000 0.0000866 Long ABS-MBS CORP US N 2 2035-04-20 Floating 7.41441 N N N N N N OBX 2023-NQM1 TRUST N/A 670855AA3 5960315.400000 PA USD 5980110.800000 0.0382854 Long ABS-MBS CORP US N 2 2062-11-25 Variable 6.12 N N N N N N BAIN CAPITAL CREDIT CLO 2021-3 LTD N/A 05683NAJ1 4900000.000000 PA USD 4900000.000000 0.0313704 Long ABS-CBDO CORP KY N 2 2034-07-24 Floating 5.38742 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 3701.600000 PA USD 3577.560000 0.0000229 Long ABS-MBS CORP US N 2 2030-06-15 Floating 4.99157 N N N N N N N/A N/A 000000000 1.000000 NC -1401.290000 -0.000009 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 48825.370000 USD 70025500.000000 KRW 2025-01-15 -1401.290000 N N N EUROSAIL PLC 2007-6NCX N/A B29Q4HII9 578304.580000 PA 720142.280000 0.0046104 Long ABS-MBS CORP GB N 2 2045-09-13 Floating 5.52618 N N N N N N N/A N/A 000000000 1.000000 NC USD 2119935.320000 0.0135721 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-03-31 2373182.460000 USD 0.000000 USD 243300000.000000 USD -253247.140000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11 N/A 12668AJK2 2958934.640000 PA USD 1550699.820000 0.0099278 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 240.030000 0.0000015 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 135000.000000 CNY 18638.530000 USD 2025-01-15 240.030000 N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQFII2 1832977.300000 PA 2252579.970000 0.0144213 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 5.8253 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 44130817.570000 PA 5104296.200000 0.0326783 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RAD CLO 21 LTD 2023-21A N/A 750099AA1 14950000.000000 PA USD 14978387.810000 0.0958935 Long ABS-CBDO CORP KY N 2 2033-01-25 Floating 6.21587 N N N N N N N/A N/A 000000000 1.000000 NC 5697.100000 0.0000365 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 380498.950000 SGD 284461.800000 USD 2025-01-15 5697.100000 N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 557627.280000 PA USD 508206.280000 0.0032536 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 6.02522 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 456722.120000 PA USD 409901.660000 0.0026242 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.73322 N N N N N N N/A N/A 000000000 1.000000 NC 5240098.120000 0.0335478 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6410000000.000000 JPY 47619047.620000 USD 2026-01-05 5240098.120000 N N N N/A N/A 000000000 1.000000 NC -16405.480000 -0.000105 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7986421.620000 USD 6367000.000000 GBP 2025-01-15 -16405.480000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1.320000 PA 0.150000 0 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 -339.000000 NC -22824.950000 -0.0001461 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Call Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 03/06/25 2025-03-07 N/A EUR N/A 119.250000 EUR 2025-01-24 XXXX 32292.140000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJZ5 89200000.000000 PA USD 85424310.290000 0.546897 Long DBT UST US N 2 2034-02-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 826574.950000 0.0052918 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-15 0.000000 USD 0.000000 USD 50000000.000000 USD 826574.950000 N N N N/A N/A 000000000 1.000000 NC -6282.390000 -0.0000402 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3609129.000000 USD 310800143.840000 INR 2025-03-21 -6282.390000 N N N N/A N/A 000000000 1.000000 NC -31171.500000 -0.0001996 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1852900000.000000 JPY 11756091.280000 USD 2025-01-15 -31171.500000 N N N ARBOUR CLO VI DAC 6A N/A ACI2RC930 10100000.000000 PA 10468049.770000 0.0670178 Long ABS-CBDO CORP IE N 2 2037-11-15 Floating 4.32 N N N N N N N/A N/A 000000000 1.000000 NC USD -774433.080000 -0.004958 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2029-12-20 0.000000 USD -908414.230000 USD 27500000.000000 USD 133981.150000 N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQM0 4134910.530000 PA 2846873.460000 0.018226 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.65 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 368289.130000 PA USD 312107.760000 0.0019982 Long ABS-MBS CORP US N 2 2037-09-19 Floating 4.86083 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR4 N/A 86360QAB1 14646.760000 PA USD 14216.480000 0.000091 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.83322 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AW2 6700000.000000 PA USD 6195697.700000 0.0396656 Long DBT NUSS PL N 2 2053-04-04 Fixed 5.5 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 27567.250000 PA USD 24329.000000 0.0001558 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.00002 N N N N N N VIBRANT CLO XI LTD 2019-11A N/A 92558NAJ1 8212836.020000 PA USD 8229644.490000 0.0526872 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.99901 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 317028.900000 PA USD 294005.220000 0.0018823 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.63534 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJN4 589618.890000 PA USD 602146.190000 0.003855 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -18495.340000 -0.0001184 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 26191226130.000000 IDR 1603970.000000 USD 2025-01-08 -18495.340000 N N N N/A N/A 000000000 1.000000 NC 100050.290000 0.0006405 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 94853641.360000 CNY 13027199.000000 USD 2025-01-15 100050.290000 N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 203924.530000 PA USD 85562.840000 0.0005478 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.4084 N N N N N N N/A N/A 000000000 1.000000 NC -417020.560000 -0.0026698 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-10 0.000000 CHF -3801346.950000 CHF 127700000.000000 CHF 3384326.390000 N N N N/A N/A 000000000 1683.000000 NC USD -84487.490000 -0.0005409 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-31 346060301.200000 USD -84487.490000 N N N RESIDENTIAL ASSET SEC CORP 2004-KS8 N/A 76110WD52 481973.530000 PA USD 470882.930000 0.0030147 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.29322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-10 N/A 126673JW3 8105503.280000 PA USD 7819834.540000 0.0500636 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.02822 N N N N N N UMBS PASS THRU POOLS N/A 01F040636 79700000.000000 PA USD 72875954.500000 0.466561 Long ABS-MBS USGSE US N 2 2055-03-15 Fixed 4 N N N N N N SPAUL-11A N/A ACI2SP260 11344062.400000 PA 11726110.810000 0.075072 Long ABS-CBDO CORP IE N 2 2032-01-17 Floating 4.065 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2KL3P4 12660000000.000000 PA 76440347.010000 0.489381 Long DBT NUSS JP N 2 2043-09-20 Fixed 1.5 N N N N N N VERDELITE STATIC CLO LTD 2024-1 N/A 92338VAA9 9595385.150000 PA USD 9611906.680000 0.0615366 Long ABS-CBDO CORP JE N 2 2032-07-20 Floating 5.7474 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 4994.740000 PA USD 4646.320000 0.0000297 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.11322 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPY0 7522000.000000 PA USD 6644821.220000 0.042541 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.99322 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 42027.320000 PA USD 11989.470000 0.0000768 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.69322 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRA7 11200000.000000 PA USD 10291246.000000 0.0658858 Long DBT NUSS IL N 2 2033-01-17 Fixed 4.5 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 1806148.330000 PA 1871706.850000 0.0119829 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.134 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 51015.190000 PA USD 43435.760000 0.0002781 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.26328 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 2546698.870000 PA USD 1980864.910000 0.0126817 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.20322 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZZ6 8300000.000000 PA USD 8239472.500000 0.0527501 Long DBT CORP CA N 2 2030-08-02 Floating 4.969 N N N N N N N/A N/A 000000000 1.000000 NC 191051.330000 0.0012231 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 36484678.720000 ILS 10245915.000000 USD 2025-03-17 191051.330000 N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 9697546.690000 PA USD 9218984.400000 0.0590211 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1ZX259 143800000.000000 PA 67843030.510000 0.434339 Long DBT NUSS AU N 2 2034-03-20 Fixed 1.75 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 38881.750000 PA USD 9882.820000 0.0000633 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.87322 N N N N N N N/A N/A 000000000 1.000000 NC -287132.460000 -0.0018383 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10617000.000000 USD 75794763.000000 CNY 2025-01-16 -287132.460000 N N N FNMA PASS THRU POOLS N/A 3140AE2W8 7612583.280000 PA USD 7747999.110000 0.0496037 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N RMAC SECURITIES PLC 2006-NS4X N/A 991ZHMII0 2690584.260000 PA 3310574.720000 0.0211947 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.9965 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSKL1 124353.170000 PA USD 125015.250000 0.0008004 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 28468.250000 0.0001823 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1400000.000000 BRL 251746.490000 USD 2025-04-02 28468.250000 N N N N/A N/A 000000000 1.000000 NC -117703.040000 -0.0007535 N/A DIR SE N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SEK-STIBOR-Bloomberg 3M Y 2030-02-03 0.000000 SEK -17816.630000 SEK 788000000.000000 SEK -99886.410000 N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 28028.940000 PA USD 26440.790000 0.0001693 Long ABS-MBS CORP US N 2 2033-11-25 Floating 6.1711 N N N N N N N/A N/A 000000000 1.000000 NC -76622.510000 -0.0004905 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10893001.910000 USD 78200860.710000 CNY 2025-02-11 -76622.510000 N N N GSAMP TRUST 2007-HE2 N/A 362440AD1 1181801.910000 PA USD 962038.870000 0.0061591 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.72322 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI28TF11 7300000.000000 PA 7746132.910000 0.0495917 Long DBT NUSS RO N 2 2026-09-27 Fixed 5 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 48423.550000 PA USD 46071.060000 0.000295 Long ABS-MBS CORP US N 2 2034-02-27 Floating 4.355 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 202104.870000 PA USD 136113.990000 0.0008714 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.87322 N N N N N N N/A N/A 000000000 1.000000 NC -576214.760000 -0.003689 N/A DFE NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 11478393.150000 USD 19484692.110000 NZD 2025-01-15 -576214.760000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BMBL1FII0 38900000.000000 PA 18184656.470000 0.11642 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.625 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAD5 1362677.370000 PA USD 1141678.350000 0.0073092 Long ABS-MBS CORP US N 2 2037-06-25 Floating 6.12601 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 11522.040000 PA USD 11189.090000 0.0000716 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.01322 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1VHWN6 62400000.000000 PA 30616144.600000 0.196008 Long DBT CORP AU N 2 2032-08-20 Fixed 1.5 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 2201657.710000 PA USD 1195455.440000 0.0076535 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 5291.760000 0.0000339 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 176138671.000000 KRW 124579.930000 USD 2025-01-15 5291.760000 N N N N/A N/A 000000000 1.000000 NC -436523.360000 -0.0027947 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46598002.390000 USD 3958337210.020000 INR 2025-01-17 -436523.360000 N N N N/A N/A 000000000 919900000.000000 NC USD 798933.150000 0.0051149 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.70000 08/22/25-1Y LCH 2026-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.700000 USD 2025-08-20 XXXX -378538.850000 N N N UMBS PASS THRU POOLS N/A 01F042624 100000000.000000 PA USD 94019889.000000 0.601927 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -66357.740000 -0.0004248 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7701533.410000 USD 55235397.620000 CNY 2025-03-04 -66357.740000 N N N N/A N/A 000000000 1.000000 NC -1031258.700000 -0.0066022 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -2552768.550000 EUR 39600000.000000 EUR 1521509.850000 N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 1928571.860000 PA USD 1902641.440000 0.0121809 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 5.31896 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI2FJPF3 765672000.000000 PA 171033246.280000 1.09498 Long DBT NUSS MY N 2 2028-04-20 Fixed 3.519 N N N N N N HAYFIN EMERALD CLO XIV DAC 14A N/A ACI2SSWQ7 5500000.000000 PA 5697173.480000 0.036474 Long ABS-CBDO CORP IE N 3 2039-01-22 Floating 4.062 N N N N N N N/A N/A 000000000 1.000000 NC 88126.720000 0.0005642 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2027-06-15 0.000000 NZD -386735.230000 NZD 18100000.000000 NZD 474861.950000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A 36263KAB7 5587735.790000 PA USD 4491171.140000 0.028753 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XH5X1 1974199.380000 PA USD 1862858.440000 0.0119263 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 46700000.000000 PA 51806455.050000 0.331671 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 23171.450000 PA USD 22247.030000 0.0001424 Long ABS-MBS CORP US N 2 2034-02-25 Floating 7.2027 N N N N N N JP MORGAN ALTERNATIVE LOAN TR 2005-A2 N/A 46627MBS5 3268161.410000 PA USD 2304115.560000 0.0147512 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.81236 N N N N N N N/A N/A 000000000 -16.000000 NC -1491.620000 -0.0000095 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Call Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 03/06/25 2025-03-07 N/A EUR N/A 136.500000 EUR 2025-01-24 XXXX 4554.650000 N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 95695.390000 PA USD 81804.250000 0.0005237 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.40875 N N N N N N N/A N/A 000000000 1.000000 NC 142.230000 0.0000009 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 4002000.000000 CAD 2785540.530000 USD 2025-01-15 142.230000 N N N JAMESTOWN CLO 2022 XVIIIA LTD N/A 47047RAN6 11500000.000000 PA USD 11533293.880000 0.0738376 Long ABS-CBDO CORP KY N 2 2035-07-25 Floating 5.89587 N N N N N N FNMA PASS THRU POOLS N/A 31418FCH8 70882193.900000 PA USD 71249429.580000 0.456148 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAA5 13427240.780000 PA USD 12859868.690000 0.0823305 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DR0 3300000.000000 PA USD 1745287.500000 0.0111735 Long DBT NUSS PE N 2 2099-12-31 Fixed 3.23 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 1044300000.000000 PA 53028332.410000 0.339494 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 81813.440000 0.0005238 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 77982360.160000 CNY 10709656.000000 USD 2025-01-15 81813.440000 N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 13947914.930000 PA USD 8793239.800000 0.0562954 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.71322 N N N N N N N/A N/A 000000000 1.000000 NC USD 2142344.680000 0.0137156 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-21 0.000000 USD -159460.000000 USD 46900000.000000 USD 2301804.680000 N N N N/A N/A 000000000 1.000000 NC -63799.430000 -0.0004085 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 2839079.000000 USD 11470588.930000 PLN 2025-01-24 -63799.430000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBF5 51500000.000000 PA USD 50619607.500000 0.324073 Long DBT NUSS SA N 2 2030-01-16 Fixed 4.75 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 12121076.800000 PA 12551627.640000 0.0803571 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 3.576 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 5576.410000 PA USD 5234.880000 0.0000335 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.22271 N N N N N N N/A N/A 000000000 1.000000 NC USD 6281416.910000 0.0402144 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A US SOFR COMPOUNDED INDEX Y 2025-03-20 1962261.790000 USD 0.000000 USD 153000000.000000 USD 4319155.120000 N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA4 N/A 25151XAE1 5885427.340000 PA USD 4892362.710000 0.0313215 Long ABS-MBS CORP US N 2 2047-08-25 Floating 4.83322 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 20788.460000 PA USD 4100.920000 0.0000263 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.61322 N N N N N N N/A N/A 000000000 1.000000 NC 18991.340000 0.0001216 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 19935181.010000 PEN 5307980.140000 USD 2025-05-12 18991.340000 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCC7 20600000.000000 PA USD 19869617.940000 0.127208 Long DBT CORP US Y 2 2026-03-25 Fixed 1.65 N N N N N N FNMA PASS THRU POOLS N/A 31418FAX5 20897711.980000 PA USD 21031380.020000 0.134646 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 796015.870000 0.0050962 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1500292183.000000 TWD 46405573.250000 USD 2025-01-22 796015.870000 N N N N/A N/A 000000000 1.000000 NC -132719.100000 -0.0008497 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5030000.000000 USD 35906655.000000 CNY 2025-02-18 -132719.100000 N N N N/A N/A 000000000 1.000000 NC 30014.430000 0.0001922 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21094979.750000 PEN 5617239.110000 USD 2025-08-12 30014.430000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439BA6 12300000.000000 PA USD 12201306.520000 0.0781143 Long DBT CORP GB N 2 2035-11-26 Floating 5.59 N N N N N N N/A N/A 000000000 1.000000 NC -258795.680000 -0.0016568 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16984407.000000 USD 69146917.780000 PLN 2025-01-31 -258795.680000 N N N N/A N/A 000000000 1.000000 NC -91851.570000 -0.000588 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6602656.000000 USD 558300123.130000 INR 2025-01-17 -91851.570000 N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TZ6 26170.480000 PA USD 24151.330000 0.0001546 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.69919 N N N N N N N/A N/A 000000000 1.000000 NC 1322753.940000 0.0084684 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 579820476.360000 CNY 80343711.000000 USD 2025-01-15 1322753.940000 N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 79221.400000 PA USD 67412.450000 0.0004316 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.39989 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BLH1ZLII0 26890000.000000 PA 14256233.800000 0.0912702 Long DBT NUSS ES N 2 2071-10-31 Fixed 1.45 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 216408.340000 PA USD 203235.330000 0.0013011 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.03322 N N N N N N N/A N/A 000000000 1.000000 NC USD 21261.340000 0.0001361 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -17229900000.000000 JPY 117570112.590000 USD 2026-03-19 185953.490000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AF3 600000.000000 PA USD 665621.400000 0.0042614 Long DBT NUSS HU N 2 2041-03-29 Fixed 7.625 N N N N N N BANC OF AMERICA FUNDING CORP 2005-8 N/A 05946XZ48 11663.180000 PA USD 11613.340000 0.0000744 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 1832.390000 PA USD 1827.900000 0.0000117 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 121739.440000 0.0007794 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1468426.720000 KWD 5051000.000000 USD 2029-07-02 121739.440000 N N N N/A N/A 000000000 -3516.000000 NC 11718156.620000 0.0750211 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2025-03-06 -485994835.250000 EUR 11718156.620000 N N N N/A N/A 000000000 1.000000 NC 1017642.080000 0.0065151 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 614059281.590000 CNY 84704842.000000 USD 2025-01-15 1017642.080000 N N N UMBS PASS THRU POOLS N/A 01F020422 -213700000.000000 PA USD -188860544.170000 -1.20911 Short ABS-MBS USGSE US N 2 2040-02-18 Fixed 2 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BYZK81II4 58320000.000000 PA 56707576.520000 0.363049 Long DBT NUSS ES N 2 2066-07-30 Fixed 3.45 N N N N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634ENW8 2950000.000000 PA USD 2938261.450000 0.0188111 Long DBT CORP US N 2 2025-01-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -35779.930000 -0.0002291 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3123080.040000 USD 4214000.000000 SGD 2025-01-15 -35779.930000 N N N N/A N/A 000000000 1.000000 NC -824342.990000 -0.0052775 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 16857634.700000 EUR 77043604.970000 RON 2025-01-17 -824342.990000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QLH16 4980960.730000 PA 5174359.910000 0.0331269 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 4.164 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB5 N/A 170256AD3 64093.770000 PA USD 56269.690000 0.0003602 Long ABS-MBS CORP US N 2 2036-09-20 Floating 4.41676 N N N N N N N/A N/A 000000000 -140300000.000000 NC USD -757199.100000 -0.0048477 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-05-15 N/A 7.080000 USD 2025-05-13 XXXX 793817.400000 N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAC9 6637766.640000 PA USD 3407346.830000 0.0218143 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.68322 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSRL4 14577432.580000 PA USD 14670208.900000 0.0939205 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F052623 -117100000.000000 PA USD -115475064.190000 -0.739286 Short ABS-MBS USGSE US N 2 2055-02-15 Fixed 5.5 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 10300000.000000 PA USD 10235566.190000 0.0655294 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A N/A 14311UBA5 11300000.000000 PA USD 11301457.700000 0.0723533 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.53413 N N N N N N N/A N/A 000000000 1.000000 NC 2053.430000 0.0000131 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2522765.570000 USD 2017000.000000 GBP 2025-01-15 2053.430000 N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QO9 N/A 75114PAC3 433470.860000 PA USD 352888.410000 0.0022592 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.85322 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20D N/A 83162CPL1 553.740000 PA USD 552.540000 0.0000035 Long ABS-O CORP US N 2 2025-04-01 Fixed 5.11 N N N N N N EUROSAIL PLC 2006-2X N/A ACI01IBW2 1954584.610000 PA 2019274.190000 0.0129276 Long ABS-MBS CORP GB N 2 2044-12-15 Floating 3.126 N N N N N N N/A N/A 000000000 1.000000 NC -10040355.370000 -0.0642796 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2027-06-17 0.000000 GBP -909333.450000 GBP 390900000.000000 GBP -9131021.920000 N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 2982171.400000 PA USD 2978639.320000 0.0190696 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A 997DXGII8 1123.700000 PA 1404.470000 0.000009 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 4.96466 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 8700000.000000 PA 8950706.350000 0.0573035 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.834 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 9015901.740000 PA USD 4627013.070000 0.0296227 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.62322 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 1064731.990000 PA USD 1021519.740000 0.0065399 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.61322 N N N N N N N/A N/A 000000000 1.000000 NC -22380.270000 -0.0001433 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2628408.000000 USD 18849890.810000 CNY 2025-02-26 -22380.270000 N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 59173LAD2 45200000.000000 PA USD 44300734.700000 0.283619 Long DBT NUSS JP N 2 2025-07-16 Fixed 0.75 N N N N N N N/A N/A 000000000 1.000000 NC -184518.650000 -0.0011813 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 262271767562.000000 IDR 16062405.000000 USD 2025-01-08 -184518.650000 N N N FHLMC PASS THRU POOLS N/A 3132DWMK6 10572285.440000 PA USD 10439025.380000 0.0668319 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 5.5 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HN0 500000.000000 PA USD 396208.390000 0.0025366 Long DBT CORP US N 2 2046-03-15 Fixed 4.25 N N N N N N AUSTRALIAN CAPITAL TERRITORY 549300DFQM5A0MPGF178 ACI2S54M7 67900000.000000 PA 42556041.600000 0.272449 Long DBT MUN AU N 2 2030-10-23 Fixed 4.75 N N N N N N FHLMC PASS THRU POOLS N/A 31329KYG3 51850.910000 PA USD 49699.380000 0.0003182 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -12413.450000 -0.0000795 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11109381.490000 PEN 2930230.130000 USD 2025-08-08 -12413.450000 N N N N/A N/A 000000000 1.000000 NC USD 33111005.910000 0.211981 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-19 28923044.750000 USD 0.000000 USD 725700000.000000 USD 4187961.160000 N N N KBC GROEP NV 213800X3Q9LSAKRUWY91 48241FAB0 8000000.000000 PA USD 8137072.400000 0.0520945 Long DBT CORP BE N 2 2029-01-19 Floating 5.796 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HCD7 15100000.000000 PA USD 16346758.980000 0.104654 Long DBT CORP IT N 2 2033-11-28 Fixed 7.2 N N N N N N N/A N/A 000000000 -2776.000000 NC USD 4704367.620000 0.0301179 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-20 -308851686.110000 USD 4704367.620000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KJ6 813031.820000 PA USD 727683.970000 0.0046587 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.93322 N N N N N N UMBS PASS THRU POOLS N/A 01F062622 1017880000.000000 PA USD 1038118324.820000 6.64616 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -58291.590000 -0.0003732 N/A DFE GB N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 4315559.510000 USD 3401000.000000 GBP 2025-01-15 -58291.590000 N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 10139400.590000 PA USD 10210968.740000 0.0653719 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 6.14824 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 4820566.930000 PA USD 4169771.590000 0.0266954 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.65322 N N N N N N N/A N/A 000000000 1.000000 NC 1943290.820000 0.0124412 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1061553103.170000 CNY 146617281.490000 USD 2025-01-15 1943290.820000 N N N CITICORP MORTGAGE SECURITIES 2007-3 N/A 17312FAA1 28221.170000 PA USD 23346.100000 0.0001495 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 5625000.000000 PA USD 703125.000000 0.0045015 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N TSTAT 2022-1A LTD N/A 872899AY5 3403512.180000 PA USD 3405494.960000 0.0218024 Long ABS-CBDO CORP BM N 2 2037-07-20 Floating 5.7674 N N N N N N CONTEGO CLO V DAC N/A ACI2PVP57 3223032.170000 PA 3341039.520000 0.0213897 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.999 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3D3 20200000.000000 PA USD 19983976.150000 0.12794 Long DBT CORP US N 2 2034-04-24 Floating 5.389 N N N N N N ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV N/A 68622TAA9 3700000.000000 PA USD 3479404.890000 0.0222756 Long DBT CORP US N 2 2028-04-30 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 391820.020000 0.0025085 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 17988000.000000 USD 676546668.000000 TRY 2025-02-12 391820.020000 N N N N/A N/A 000000000 111000000.000000 NC USD 526117.800000 0.0033683 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42000 05/15/25-5Y LCH 2030-05-15 0.000000 USD 0.000000 USD N/A USD N/A 4.420000 USD 2025-05-13 XXXX -48451.500000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYW6 16484.300000 PA USD 15744.720000 0.0001008 Long ABS-MBS CORP US N 2 2033-10-25 Floating 6.53796 N N N N N N N/A N/A 000000000 1.000000 NC 4173771.750000 0.026721 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 116223397624.000000 KRW 82901243.000000 USD 2025-01-22 4173771.750000 N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQGII0 1033132.660000 PA 1253213.950000 0.0080232 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 6.0753 N N N N N N N/A N/A 000000000 1.000000 NC 1689740.680000 0.0108179 N/A DFE MY N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 593404572.000000 MYR 134183086.370000 USD 2025-01-22 1689740.680000 N N N N/A N/A 000000000 1.000000 NC -221264.120000 -0.0014166 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 41046925.000000 USD 299560458.650000 CNY 2025-01-15 -221264.120000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087ZH0 12596850.000000 PA 8694691.230000 0.0556645 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.5 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2SXT07 7915000000.000000 PA 19911552.380000 0.127476 Long DBT MUN HU N 2 2025-01-09 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5G54 4753066.210000 PA USD 4696468.270000 0.0300674 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N ICG-2021-3A N/A 449249AS0 9900000.000000 PA USD 9900000.000000 0.063381 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.52521 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAA7 11001767.080000 PA USD 3761770.410000 0.0240833 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.81322 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 32812281.490000 PA 3790011.760000 0.0242641 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAA7 3727615.590000 PA USD 2620590.180000 0.0167773 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.71322 N N N N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 3800000.000000 PA USD 3203093.990000 0.0205066 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 73343.790000 0.0004696 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4001605.000000 USD 152295083.890000 TRY 2025-02-28 73343.790000 N N N BANK OF AMERICA MTGE SECURITIES 2005-C N/A 05949AZ37 50743.710000 PA USD 49162.200000 0.0003147 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.89881 N N N N N N N/A N/A 000000000 1.000000 NC -50274.840000 -0.0003219 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8005927.000000 USD 57530591.420000 CNY 2025-02-18 -50274.840000 N N N MORTIMER BTL 2021-1 PLC 21-1 N/A ACI1YG8D4 13524937.150000 PA 16924810.040000 0.108355 Long ABS-MBS CORP GB N 2 2053-06-23 Floating 5.40383 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JF5 200000.000000 PA USD 186638.120000 0.0011949 Long DBT CORP US N 2 2027-08-01 Fixed 2.1 N N N N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 166915.320000 PA USD 168415.990000 0.0010782 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.27322 N N N N N N N/A N/A 000000000 -72.000000 NC -157366.290000 -0.0010075 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Put Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 03/06/25 2025-03-07 N/A EUR N/A 135.500000 EUR 2025-01-10 XXXX -121834.290000 N N N FNMA PASS THRU POOLS N/A 31418FBP1 22135309.440000 PA USD 22277094.510000 0.142621 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N BAIN CAPITAL CREDIT CLO 2021-4 LTD N/A 05685AAQ1 11100000.000000 PA USD 11123548.430000 0.0712143 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.75924 N N N N N N N/A N/A 000000000 1.000000 NC 15962.470000 0.0001022 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1978385.090000 USD 71519808.030000 TRY 2025-01-17 15962.470000 N N N N/A N/A 000000000 1.000000 NC 145566.660000 0.0009319 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7900000.000000 BRL 1405493.880000 USD 2025-04-02 145566.660000 N N N CSMC 2021-ADV TRUST N/A 12660WAA3 4800000.000000 PA USD 4288311.840000 0.0274543 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.91248 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AGT6 126869.610000 PA USD 112624.410000 0.000721 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.86522 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI05M6Y1 38900000.000000 PA 38579215.050000 0.246989 Long DBT NUSS FR N 2 2045-05-25 Fixed 3.25 N N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 4573534.710000 PA USD 4582696.870000 0.029339 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 6.02787 N N N N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAB8 4045226.440000 PA USD 3449642.490000 0.022085 Long ABS-MBS CORP US N 2 2037-12-25 Floating 6.20322 N N N N N N FHLMC PASS THRU POOLS N/A 3133WFCF2 7214460.750000 PA USD 7337541.180000 0.0469758 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 641210.090000 0.0041051 N/A DFE AU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 30033000.000000 AUD 19230400.200000 USD 2025-01-15 641210.090000 N N N N/A N/A 000000000 1.000000 NC 5266028.700000 0.0337138 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2025-12-18 0.000000 CAD -2644169.660000 CAD 1291800000.000000 CAD 7910198.360000 N N N FNMA PASS THRU POOLS N/A 3140FXQR6 9290807.880000 PA USD 7815923.160000 0.0500385 Long ABS-MBS USGSE US N 2 2060-03-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133 N/A 38380HCH3 70071.460000 PA USD 66110.290000 0.0004232 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAY5 282421.450000 PA USD 133103.590000 0.0008521 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -422.580000 -0.0000027 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 52915.370000 USD 4501245.950000 INR 2025-01-17 -422.580000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AV4 7800000.000000 PA USD 7504027.050000 0.0480417 Long DBT NUSS PL N 2 2033-10-04 Fixed 4.875 N N N N N N FHLMC PASS THRU POOLS N/A 3133KMDF9 506888.530000 PA USD 432707.730000 0.0027702 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F020414 -31100000.000000 PA USD -27466863.480000 -0.175846 Short ABS-MBS USGSE US N 2 2040-01-15 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F062614 62000000.000000 PA USD 63288437.500000 0.40518 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 6.5 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE2 N/A 40430RAD8 6195581.950000 PA USD 3162790.680000 0.0202486 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.97322 N N N N N N N/A N/A 000000000 1.000000 NC 373925.510000 0.0023939 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 300312907.000000 TWD 9503573.000000 USD 2025-01-22 373925.510000 N N N UMBS PASS THRU POOLS N/A 01F032625 -98000000.000000 PA USD -86672844.440000 -0.55489 Short ABS-MBS USGSE US N 2 2055-02-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 859763.920000 0.0055043 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 41700000.000000 BRL 7510265.830000 USD 2025-04-02 859763.920000 N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 2545248.880000 PA USD 2456033.580000 0.0157238 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.68322 N N N N N N N/A N/A 000000000 1.000000 NC 2743655.040000 0.0175652 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2054-09-18 371321.290000 JPY 0.000000 JPY 5305500000.000000 JPY 2372333.750000 N N N N/A N/A 000000000 -3.000000 NC 10686.290000 0.0000684 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2025-03-13 -2705519.720000 JPY 10686.290000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-34CB N/A 12667GW41 99259.840000 PA USD 58722.160000 0.0003759 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.85322 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB3 N/A 1266943Y2 152447.910000 PA USD 138139.000000 0.0008844 Long ABS-MBS CORP US N 2 2036-05-20 Floating 4.52238 N N N N N N N/A N/A 000000000 1.000000 NC 2669457.180000 0.0170902 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7798697513.000000 JPY 52281037.350000 USD 2025-01-15 2669457.180000 N N N N/A N/A 000000000 1.000000 NC -162946.900000 -0.0010432 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5782902.370000 USD 118664000.000000 MXN 2025-03-19 -162946.900000 N N N N/A N/A 000000000 1.000000 NC USD 2248388.870000 0.0143945 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-14 0.000000 USD -164670.000000 USD 49900000.000000 USD 2413058.870000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BQ7 1700000.000000 PA 1339744.210000 0.0085772 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NMK96 9373400000.000000 PA 54038608.620000 0.345962 Long DBT NUSS JP N 2 2054-03-20 Fixed 1.8 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAF7 14364579.760000 PA USD 4362199.670000 0.0279273 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.294 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAG2 811363.400000 PA USD 719530.530000 0.0046065 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.79322 N N N N N N N/A N/A 000000000 1.000000 NC -84437.480000 -0.0005406 N/A DFE CN N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 10140352.410000 USD 73739000.000000 CNY 2025-02-14 -84437.480000 N N N N/A N/A 000000000 1.000000 NC -2474965.150000 -0.015845 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-05-25 0.000000 EUR 0.000000 EUR 53500000.000000 EUR -2474965.150000 N N N N/A N/A 000000000 1.000000 NC -563336.500000 -0.0036066 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 42 Y Single Leg Swap 2034-12-20 0.000000 EUR -718805.940000 EUR 245750000.000000 EUR 155469.440000 N N N TER FINANCE (JERSEY) LIMITED 213800GREUULZ8RPOM16 000000000 4000000.000000 PA USD 3998652.720000 0.0255999 Long DBT CORP JE N 3 2025-01-02 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 51357625.000000 PA USD 44537673.410000 0.285136 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 495.780000 0.0000032 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3427311.970000 USD 4925000.000000 CAD 2025-01-15 495.780000 N N N N/A N/A 000000000 1.000000 NC -1699.660000 -0.0000109 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 149841.690000 USD 1087000.000000 CNY 2025-01-15 -1699.660000 N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAJ5 26069224.430000 PA USD 8866523.840000 0.0567646 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.731 N N N N N N N/A N/A 000000000 1.000000 NC 73253.180000 0.000469 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2475105862.000000 KRW 1750000.000000 USD 2025-01-09 73253.180000 N N N N/A N/A 000000000 1.000000 NC 114184.820000 0.000731 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 388173089.000000 TWD 11973260.000000 USD 2025-04-25 114184.820000 N N N N/A N/A 000000000 1.000000 NC 245179.380000 0.0015697 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 199755695.100000 CNY 27594377.000000 USD 2025-05-12 245179.380000 N N N N/A N/A 000000000 1.000000 NC 57529.870000 0.0003683 N/A DFE HU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1373318135.000000 HUF 3515150.000000 USD 2025-01-02 57529.870000 N N N N/A N/A 000000000 1.000000 NC -30332.860000 -0.0001942 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 34375249.410000 PEN 9105061.560000 USD 2025-02-13 -30332.860000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6J4 52345.080000 PA USD 45442.410000 0.0002909 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.59824 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 13177349.890000 PA USD 11887747.230000 0.0761068 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N N/A N/A 000000000 1.000000 NC -117931.930000 -0.000755 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-14 0.000000 CHF -1008805.750000 CHF 33300000.000000 CHF 890873.820000 N N N FHLMC PASS THRU POOLS N/A 3132DWLA9 5850591.890000 PA USD 5881742.020000 0.0376556 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 934489.090000 0.0059827 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -75250.000000 USD 21500000.000000 USD 1009739.090000 N N N N/A N/A 000000000 1.000000 NC -44958.200000 -0.0002878 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2619769.000000 USD 10642025.630000 PLN 2025-01-24 -44958.200000 N N N WIND RIVER CLO LTD 2014-2A N/A 88390AAT7 554874.500000 PA USD 555764.370000 0.0035581 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.05751 N N N N N N N/A N/A 000000000 -40300000.000000 NC USD -83163.080000 -0.0005324 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.87500 01/23/25-10Y LCH 2035-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2025-01-21 XXXX 40759.420000 N N N JP MORGAN MORTGAGE TRUST 2021-14 N/A 46653QBD6 10926617.630000 PA USD 10209573.650000 0.065363 Long ABS-MBS CORP US N 2 2052-05-25 Floating 5 N N N N N N N/A N/A 000000000 1.000000 NC -2811911.110000 -0.0180022 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-15 0.000000 EUR 0.000000 EUR 73800000.000000 EUR -2811911.110000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2GRWK5 25000000.000000 PA 31467126.360000 0.201456 Long DBT NUSS GB N 2 2028-06-07 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -45300.850000 -0.00029 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5415124.000000 USD 463228659.890000 INR 2025-03-21 -45300.850000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A N/A ACI2S2BG9 4480000.000000 PA 4638780.210000 0.029698 Long ABS-CBDO CORP IE N 2 2033-05-15 Floating 3.88081 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECR4 18000000.000000 PA USD 18180736.920000 0.116395 Long DBT CORP GB N 2 2030-03-12 Floating 5.69 N N N N N N PROVIDUS CLO II DAC 2A N/A ACI2RB411 10300000.000000 PA 10682713.540000 0.0683921 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 4.344 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-6 N/A 17312VAH1 141036.200000 PA USD 136131.030000 0.0008715 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.55402 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 4790292.760000 PA USD 4801110.250000 0.0307373 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 5.83261 N N N N N N N/A N/A 000000000 1.000000 NC 684682.160000 0.0043834 N/A DFE AU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 26414000.000000 AUD 17033860.320000 USD 2025-01-15 684682.160000 N N N N/A N/A 000000000 -40300000.000000 NC USD -81184.350000 -0.0005198 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.27500 01/23/25-10Y LCH 2035-01-23 0.000000 USD 0.000000 USD N/A USD N/A 4.280000 USD 2025-01-21 XXXX 42738.150000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 1937.210000 PA 203.990000 0.0000013 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 -15400000.000000 NC USD -157332.560000 -0.0010073 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.33000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.330000 USD 2025-09-25 XXXX 12067.440000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087Q98 186200000.000000 PA 134859797.910000 0.863389 Long DBT NUSS CA N 2 2029-03-01 Fixed 4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280EF2 16900000.000000 PA USD 17085406.690000 0.109383 Long DBT CORP GB N 2 2028-05-17 Floating 5.597 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 485.000000 PA 4852153.220000 0.0310641 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI23KTK8 6450000.000000 PA 4690892.080000 0.0300317 Long DBT NUSS ES N 2 2052-10-31 Fixed 1.9 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SK5 9225000.000000 PA USD 5864027.610000 0.0375422 Long DBT UST US N 2 2049-11-15 Fixed 2.375 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI19Y843 1.410000 PA 0.160000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N DRYDEN 73 EURO CLO 2019 DAC 19-73A N/A ACI2JX3K1 9500000.000000 PA 9839379.690000 0.0629929 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 4.119 N N N N N N N/A N/A 000000000 1.000000 NC -57892.010000 -0.0003706 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6589654.000000 USD 47228050.220000 CNY 2025-02-14 -57892.010000 N N N UMBS PASS THRU POOLS N/A 01F060626 -2307320000.000000 PA USD -2316152720.910000 -14.8283 Short ABS-MBS USGSE US N 2 2055-02-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -404.150000 -0.0000026 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 498794.100000 TRY 13225.000000 USD 2025-02-06 -404.150000 N N N FNMA PASS THRU POOLS N/A 31387UEQ0 1999.030000 PA USD 2017.930000 0.0000129 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 6.633 N N N N N N N/A N/A 000000000 1.000000 NC -93243.340000 -0.000597 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6759937.000000 USD 571667592.280000 INR 2025-01-17 -93243.340000 N N N N/A N/A 000000000 1.000000 NC -45254.500000 -0.0002897 N/A DFE CL N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2416021.980000 USD 2358327375.000000 CLP 2025-01-27 -45254.500000 N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAE1 3420168.520000 PA USD 2381161.340000 0.0152445 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.62322 N N N N N N N/A N/A 000000000 1.000000 NC 9065966.980000 0.0580414 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-03-19 5986034.940000 EUR 0.000000 EUR 507230000.000000 EUR 3079932.040000 N N N FNMA PASS THRU POOLS N/A 3140ABVG7 1812992.620000 PA USD 1822645.460000 0.0116688 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 1242928.040000 PA USD 1240975.030000 0.0079449 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.88822 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECK9 6600000.000000 PA USD 6866639.740000 0.0439611 Long DBT CORP GB N 2 2029-09-13 Floating 6.49 N N N N N N N/A N/A 000000000 55800000.000000 NC USD 2351596.140000 0.0150552 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.93000 06/25/25-30Y LCH 2055-06-25 0.000000 USD 0.000000 USD N/A USD N/A 3.930000 USD 2025-06-23 XXXX 344942.290000 N N N GSR MORTGAGE LOAN TRUST 2005-AR1 N/A 36242DUL5 55360.120000 PA USD 51977.990000 0.0003328 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.92197 N N N N N N N/A N/A 000000000 1.000000 NC 18326.070000 0.0001173 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 314442.000000 EUR 344222.680000 RON 2025-01-17 18326.070000 N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND41 7700000.000000 PA USD 6352520.790000 0.0406696 Long DBT MUN US N 2 2036-06-01 Fixed 3.487 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAA9 2258341.700000 PA USD 2003331.340000 0.0128256 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.72322 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX7L2 21800000.000000 PA 23489527.040000 0.150383 Long DBT NUSS PL N 2 2033-02-14 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC 332970.880000 0.0021317 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30622635.960000 SGD 22768013.000000 USD 2025-01-15 332970.880000 N N N N/A N/A 000000000 1.000000 NC -90130.280000 -0.000577 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6732325.000000 USD 569566813.190000 INR 2025-01-17 -90130.280000 N N N N/A N/A 000000000 1.000000 NC 248501.880000 0.0015909 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13688000.000000 CAD 9775371.420000 USD 2025-01-15 248501.880000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3VF1 17900000.000000 PA 12045251.100000 0.0771152 Long DBT NUSS RO N 2 2042-04-13 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 171429.120000 0.0010975 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31012223.560000 ILS 8718131.220000 USD 2025-03-17 171429.120000 N N N N/A N/A 000000000 400000.000000 NC USD 434.880000 0.0000028 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.57000 08/15/25-1Y LCH 2026-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.570000 USD 2025-08-13 XXXX -127.890000 N N N N/A N/A 000000000 1.000000 NC 329892.700000 0.002112 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 297865700.000000 TWD 9385144.000000 USD 2025-01-22 329892.700000 N N N N/A N/A 000000000 1.000000 NC 4947729.720000 0.031676 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 25124188427.000000 JPY 164775789.000000 USD 2025-01-15 4947729.720000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 12500000.000000 PA 10843922.310000 0.0694241 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 80701.270000 0.0005167 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 309323931.000000 TWD 9530856.000000 USD 2025-04-25 80701.270000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 18641448.310000 PA 23431670.370000 0.150012 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.65383 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 14.980000 PA 1.630000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 67261.510000 PA USD 63757.330000 0.0004082 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.33015 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AC8 6400000.000000 PA USD 6144468.930000 0.0393377 Long DBT CORP US N 2 2026-04-15 Fixed 1.65 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 12544194.420000 PA USD 11978034.780000 0.0766849 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N ITALY GOVT 815600DE60799F5A9309 551287II8 5900000.000000 PA 7540580.330000 0.0482757 Long DBT NUSS IT N 2 2028-08-04 Fixed 6 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 226380130000.000000 PA 153115166.860000 0.980262 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N N/A N/A 000000000 1.000000 NC 516803.490000 0.0033086 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 143149672.870000 ZAR 8092489.930000 USD 2025-01-17 516803.490000 N N N N/A N/A 000000000 1.000000 NC -541052.910000 -0.0034639 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10527089.090000 USD 14742135563.000000 KRW 2025-01-22 -541052.910000 N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-68 N/A 38374HVU1 2042309.510000 PA USD 2072999.500000 0.0132716 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGP0 10200000.000000 PA USD 10109045.780000 0.0647194 Long DBT UST US N 2 2028-02-29 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -100.020000 -0.0000006 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2761116.410000 PEN 732741.470000 USD 2025-04-21 -100.020000 N N N N/A N/A 000000000 1010000.000000 NC USD 506765.480000 0.0032444 N/A DFE LU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 Call Purchased STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-02-18 N/A 7.300000 USD 2025-02-14 XXXX 403745.480000 N N N N/A N/A 000000000 1.000000 NC 2012216.750000 0.0128825 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 56735851713.000000 KRW 40464911.000000 USD 2025-01-08 2012216.750000 N N N N/A N/A 000000000 1.000000 NC 4427052.470000 0.0283425 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 131161326.700000 CHF 149096011.360000 USD 2025-01-15 4427052.470000 N N N N/A N/A 000000000 1.000000 NC -10626913.680000 -0.0680348 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-15 0.000000 EUR 0.000000 EUR 264100000.000000 EUR -10626913.680000 N N N N/A N/A 000000000 1.000000 NC -119472.850000 -0.0007649 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8458506.000000 USD 34475178.750000 PLN 2025-01-31 -119472.850000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAA7 316613.190000 PA USD 250492.360000 0.0016037 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B64605II9 40600000.000000 PA 47020178.120000 0.301029 Long DBT NUSS GB N 2 2040-12-07 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 220520.020000 0.0014118 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2725836.480000 KWD 9371000.000000 USD 2029-05-03 220520.020000 N N N N/A N/A 000000000 1.000000 NC USD 193044.330000 0.0012359 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-22 0.000000 USD -16802.500000 USD 4700000.000000 USD 209846.830000 N N N NEXI SPA 5493000P70CQRQG8SN85 ACI1X59N6 6400000.000000 PA 6324682.950000 0.0404914 Long DBT CORP IT N 2 2029-04-30 Fixed 2.125 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 2800000.000000 PA USD 350000.000000 0.0022407 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAH2 27771.110000 PA USD 23054.680000 0.0001476 Long ABS-MBS CORP US N 2 2046-10-20 Floating 4.62382 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-4 N/A 126673R38 1052780.750000 PA USD 1047402.200000 0.0067056 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.45822 N N N N N N CONTEGO CLO V DAC N/A ACI2PVP65 3459387.890000 PA 3586049.100000 0.0229583 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.999 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1 N/A 59020UC29 65714.040000 PA USD 65177.370000 0.0004173 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.17322 N N N N N N N/A N/A 000000000 1.000000 NC -1532450.190000 -0.0098109 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2048-12-18 0.000000 CAD -3458323.100000 CAD 36900000.000000 CAD 1925872.910000 N N N N/A N/A 000000000 1.000000 NC -6383.830000 -0.0000409 N/A DFE AU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2169025.930000 USD 3494000.000000 AUD 2025-01-15 -6383.830000 N N N N/A N/A 000000000 1.000000 NC -861681.540000 -0.0055166 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16734471.750000 USD 23437464408.000000 KRW 2025-01-15 -861681.540000 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122EH7 14300000.000000 PA USD 14288910.060000 0.0914794 Long DBT CORP US N 2 2034-02-22 Fixed 5.2 N N N N N N FHLMC PASS THRU POOLS N/A 31288LFQ9 118630.580000 PA USD 119135.620000 0.0007627 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418FDC8 15326081.310000 PA USD 15405486.040000 0.0986278 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6 N N N N N N IMPAC CMB TRUST 2003-9F N/A 45254NFL6 179.510000 PA USD 179.550000 0.0000011 Long ABS-MBS CORP US N 2 2033-07-25 Floating 5.45322 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CNE2 1250000.000000 PA USD 1247682.400000 0.0079878 Long DBT CORP US N 2 2025-01-14 None 0 N N N N N N LUDGATE FUNDING PLC 2007-1 N/A B1Z520II7 90145.140000 PA 90700.590000 0.0005807 Long ABS-MBS CORP GB N 2 2061-01-01 Floating 3.486 N N N N N N N/A N/A 000000000 1.000000 NC 401.550000 0.0000026 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 740560.000000 TWD 22914.910000 USD 2025-01-22 401.550000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAD9 1114000.000000 PA USD 1112263.160000 0.0071208 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.75 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 1395007.270000 PA USD 1115129.470000 0.0071392 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.89322 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GMA4 11000000.000000 PA USD 11017017.880000 0.0705323 Long DBT CORP US N 2 2035-01-23 Floating 5.468 N N N N N N EUROSAIL PLC 2007-3X N/A B23DWGII5 178282.800000 PA 222020.440000 0.0014214 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 5.77618 N N N N N N N/A N/A 000000000 1.000000 NC 233134.600000 0.0014926 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40004720.000000 USD 59369804810.000000 KRW 2025-01-08 233134.600000 N N N OBX 2023-NQM3 TRUST N/A 67117PAA1 6939014.250000 PA USD 6965167.390000 0.0445919 Long ABS-MBS CORP US N 2 2063-02-25 Fixed 5.94871 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAA5 22800000.000000 PA USD 21986037.720000 0.140757 Long ABS-MBS CORP US N 2 2038-12-15 Floating 5.68077 N N N N N N ROCKFORD TOWER EUROPE CLO 2021-2 DAC N/A ACI2PTDF3 12200000.000000 PA 12600153.370000 0.0806677 Long ABS-CBDO CORP IE N 2 2035-01-24 Floating 4.058 N N N N N N N/A N/A 000000000 1.000000 NC -318.070000 -0.000002 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16992.050000 USD 548478.000000 TWD 2025-01-22 -318.070000 N N N WELLS FARGO HOME EQUITY TRUST 2006-3 N/A 9497EBAD1 13732498.030000 PA USD 13433005.980000 0.0859998 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79822 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2QPV94 6120000000.000000 PA 38358275.130000 0.245574 Long DBT NUSS JP N 2 2029-06-20 Fixed 0.4 N N N N N N GNMA PASS THRU POOLS N/A 36225CDP8 3006.500000 PA USD 3017.380000 0.0000193 Long ABS-MBS USGSE US N 2 2027-08-20 Floating 5 N N N N N N FNMA PASS THRU POOLS N/A 31418CPF5 71599.760000 PA USD 66425.220000 0.0004253 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBF6 15200000.000000 PA USD 14876414.800000 0.0952407 Long DBT CORP NL N 2 2035-12-03 Floating 5.515 N N N N N N N/A N/A 000000000 1.000000 NC -72255.010000 -0.0004626 N/A DFE ID N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 4643335.000000 USD 73952074878.000000 IDR 2025-01-15 -72255.010000 N N N N/A N/A 000000000 1.000000 NC -2941039.010000 -0.0188289 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 1145719.390000 CAD 0.000000 CAD 94100000.000000 CAD -4086758.400000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SA7 34100000.000000 PA USD 25025421.890000 0.160216 Long DBT UST US N 2 2048-02-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 98034.210000 0.0006276 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2025-12-20 157513.390000 USD 0.000000 USD 2100000.000000 USD -59479.180000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 184897.240000 PA USD 177137.530000 0.0011341 Long ABS-MBS CORP US N 2 2047-06-25 Floating 6.17601 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAA4 27285516.640000 PA USD 15368829.190000 0.0983932 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.65322 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 236901.090000 PA USD 225540.640000 0.0014439 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.83322 N N N N N N VENTURE XXVIII CLO LTD 2017-28A N/A 92331AAW4 9685597.820000 PA USD 9702621.810000 0.0621174 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.86901 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH3 N/A 17313CAD1 1288771.680000 PA USD 1279765.230000 0.0081932 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.84322 N N N N N N OSD CLO 2021-23A LTD N/A 671026AA0 5301353.920000 PA USD 5310501.720000 0.0339985 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.77906 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 1522303.420000 PA USD 1439925.140000 0.0092186 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 171013.220000 PA USD 162281.970000 0.0010389 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.95322 N N N N N N N/A N/A 000000000 1.000000 NC 406936.410000 0.0026053 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 35322217.590000 SGD 26285030.000000 USD 2025-01-15 406936.410000 N N N NEWGATE FUNDING PLC 2006-3X N/A B1H0JWII0 31096.100000 PA 38222.640000 0.0002447 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 5.05794 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 9812.630000 PA USD 9792.800000 0.0000627 Long ABS-MBS CORP US N 2 2033-03-25 Floating 6.75 N N N N N N CAIRN CLO VII BV 16-7A N/A ACI1G9KT1 3318093.810000 PA 3431221.100000 0.0219671 Long ABS-CBDO CORP IE N 2 2030-01-31 Floating 3.726 N N N N N N N/A N/A 000000000 1.000000 NC -1966681.980000 -0.0125909 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 0.000000 CAD -3157.500000 CAD 46400000.000000 CAD -1963524.480000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 54176960.000000 PA USD 47709070.720000 0.305439 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AS5 43400000.000000 PA USD 42253502.200000 0.270512 Long DBT NUSS JP N 2 2025-09-02 Fixed 0.625 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-HE1 N/A 65536HCT3 9896335.910000 PA USD 9050317.950000 0.0579413 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.08322 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI22TWV2 590000000.000000 PA 2628967.560000 0.016831 Long DBT NUSS JP N 2 2051-12-20 Fixed 0.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 2631660.680000 0.0168482 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -134531.250000 USD 37500000.000000 USD 2766191.930000 N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 452410.400000 PA USD 292372.170000 0.0018718 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.95322 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWLM3 30918800.120000 PA USD 31083420.780000 0.199 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BGGL77II0 165593510000.000000 PA 110826939.360000 0.709528 Long DBT NUSS KR N 2 2028-12-10 Fixed 2.375 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSQZ4 6709015.750000 PA USD 6744736.230000 0.0431806 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 166825.380000 0.001068 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 70269874.600000 DKK 9933546.000000 USD 2025-01-15 166825.380000 N N N N/A N/A 000000000 1.000000 NC 139775.100000 0.0008949 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 95624000.000000 CNY 13171912.300000 USD 2025-01-15 139775.100000 N N N N/A N/A 000000000 1.000000 NC USD 7835670.480000 0.0501649 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-06-21 12229065.790000 USD 0.000000 USD 793100000.000000 USD -4393395.310000 N N N N/A N/A 000000000 1.000000 NC USD 1389624.640000 0.0088965 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 34586.130000 USD 0.000000 USD 60900000.000000 USD 1355038.510000 N N N N/A N/A 000000000 1.000000 NC -84903.330000 -0.0005436 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5629456.000000 USD 89701159268.000000 IDR 2025-01-15 -84903.330000 N N N N/A N/A 000000000 1.000000 NC 155450.390000 0.0009952 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 14100701.130000 SGD 10486038.000000 USD 2025-01-15 155450.390000 N N N N/A N/A 000000000 1.000000 NC 46199.050000 0.0002958 N/A DFE RO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14442000.000000 RON 3046224.780000 USD 2025-02-14 46199.050000 N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JV1 163395.060000 PA USD 147460.680000 0.0009441 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.20994 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 8779.440000 PA USD 8757.470000 0.0000561 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 5 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI1SBMJ3 19549520000.000000 PA 12262402.590000 0.0785054 Long DBT NUSS KR N 2 2030-12-10 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 9404358.360000 0.0602079 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2039-06-19 10492582.600000 JPY 0.000000 JPY 11190000000.000000 JPY -1088224.240000 N N N N/A N/A 000000000 1.000000 NC 11315868.150000 0.0724456 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 39682379231.000000 JPY 263756168.000000 USD 2025-01-15 11315868.150000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 118503.110000 PA USD 115359.350000 0.0007385 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 220520.020000 0.0014118 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2725836.480000 KWD 9371000.000000 USD 2029-05-07 220520.020000 N N N N/A N/A 000000000 1.000000 NC -160731.670000 -0.001029 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11588268.000000 USD 375900237.000000 TWD 2025-01-22 -160731.670000 N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 15350000.000000 PA USD 15384826.690000 0.0984956 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.08901 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV4 N/A 46654DAD5 53376091.150000 PA USD 44520698.720000 0.285027 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2W3 12500000.000000 PA USD 12521162.250000 0.080162 Long DBT CORP FR N 2 2030-05-20 Floating 5.497 N N N N N N GNMA PASS THRU POOLS N/A 36202KW76 167.360000 PA USD 166.590000 0.0000011 Long ABS-MBS USGSE US N 2 2025-12-20 Floating 3.75 N N N N N N N/A N/A 000000000 4000000.000000 NC USD 183577.600000 0.0011753 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.00500 09/29/25-30Y LCH 2055-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2025-09-25 XXXX 17377.600000 N N N FANNIE MAE 2006-48 N/A 31395NLE5 130130.480000 PA USD 128570.400000 0.0008231 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 5.08327 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 12337.630000 PA USD 11963.190000 0.0000766 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.07322 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 6170.370000 PA USD 2481.710000 0.0000159 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 -71530000.000000 PA USD -58280185.510000 -0.373117 Short ABS-MBS USGSE US N 2 2055-02-13 Fixed 2.5 N N N N N N ELEVATION CLO 2022-16A LTD N/A 28623YAU7 9300000.000000 PA USD 9300000.000000 0.0595398 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.46731 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR3 N/A 36242D4W0 47491.820000 PA USD 35629.900000 0.0002281 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.48377 N N N N N N N/A N/A 000000000 1.000000 NC USD 3657981.950000 0.0234189 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -181405.000000 USD 51100000.000000 USD 3839386.950000 N N N N/A N/A 000000000 1.000000 NC -5814.770000 -0.0000372 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2025-12-19 0.000000 EUR -16659.340000 EUR 300000.000000 EUR 10844.570000 N N N N/A N/A 000000000 1.000000 NC 33646.390000 0.0002154 N/A DFE ID N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 7846000.000000 USD 127478889288.000000 IDR 2025-01-15 33646.390000 N N N N/A N/A 000000000 -1686.000000 NC USD 6996603.820000 0.0447931 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-20 -199975406.250000 USD 6996603.820000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2P7MX2 8582000000.000000 PA 50112073.090000 0.320824 Long DBT NUSS JP N 2 2064-03-20 Fixed 2.2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 15500000.000000 PA USD 10389974.880000 0.0665179 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 101468190.000000 PA USD 93369716.450000 0.597765 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N N/A N/A 000000000 1.000000 NC 3490514.830000 0.0223467 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 87169479697.000000 KRW 62525180.000000 USD 2025-01-15 3490514.830000 N N N N/A N/A 000000000 1.000000 NC 1612419.710000 0.0103229 N/A DFE CN N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 697536563.400000 CNY 97131000.000000 USD 2025-05-15 1612419.710000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 15200000.000000 PA USD 15930966.330000 0.101992 Long DBT CORP US N 2 2029-10-24 Floating 6.484 N N N N N N N/A N/A 000000000 1.000000 NC 836815.610000 0.0053574 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 545251217.020000 MXN 26660043.860000 USD 2025-03-19 836815.610000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QO5 N/A 75114HAK3 149876.520000 PA USD 119583.610000 0.0007656 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.99322 N N N N N N N/A N/A 000000000 1.000000 NC -7173184.110000 -0.0459236 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-09-18 0.000000 GBP -976551.270000 GBP 202530000.000000 GBP -6196632.840000 N N N N/A N/A 000000000 1.000000 NC -157920.090000 -0.001011 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6227053.810000 USD 8720000.000000 CAD 2025-01-15 -157920.090000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 600000.000000 PA USD 581097.400000 0.0037203 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC 15638.580000 0.0001001 N/A DFE PE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8215632.410000 PEN 2202051.090000 USD 2025-01-07 15638.580000 N N N N/A N/A 000000000 1.000000 NC 3358.360000 0.0000215 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 309194081.430000 INR 3609129.000000 USD 2025-01-17 3358.360000 N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 2342.140000 PA USD 2304.760000 0.0000148 Long ABS-MBS CORP US N 2 2034-04-25 Floating 6.8112 N N N N N N FANNIE MAE 2010-115 N/A 31398NNS9 73068.910000 PA USD 72228.530000 0.0004624 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 5.18327 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 14076723.600000 PA USD 14098940.330000 0.0902632 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 6.51635 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI23CJP6 12500000.000000 PA 11114667.530000 0.0711575 Long DBT NUSS RO N 2 2034-02-07 Fixed 3.75 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QG2 7700000.000000 PA 5110410.190000 0.0327175 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.625 N N N N N N FNMA PASS THRU POOLS N/A 3140AE2Z1 7243369.640000 PA USD 7342723.030000 0.047009 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 334572.720000 0.002142 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2030-03-19 0.000000 INR -138923.870000 INR 9256730000.000000 INR 473496.590000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 000000000 34700000.000000 PA USD 33638735.200000 0.215359 Long DBT NUSS SA N 2 2033-07-18 Fixed 4.875 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 29230.240000 PA USD 22364.750000 0.0001432 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.03116 N N N N N N TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE 254900OVY0XI1DFYC092 BA0005336 19400000.000000 PA 20299304.090000 0.129959 Long LON CORP LU N 3 2029-06-11 Floating 4.004 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAC0 2547000.530000 PA USD 1929281.590000 0.0123515 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.59322 N N N N N N N/A N/A 000000000 -50400000.000000 NC USD -499791.600000 -0.0031997 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.35000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.350000 USD 2025-09-25 XXXX -15951.600000 N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 2985.440000 PA USD 2389.430000 0.0000153 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.07322 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI1LTCD5 4300000.000000 PA USD 3874390.300000 0.0248043 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -124209.620000 -0.0007952 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16990032.000000 USD 121937459.660000 CNY 2025-02-11 -124209.620000 N N N N/A N/A 000000000 1.000000 NC 103327.830000 0.0006615 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5699929.000000 USD 216887998.380000 TRY 2025-02-28 103327.830000 N N N SEQUOIA MORTGAGE TRUST 2006-1 N/A 81743QAA2 1112937.290000 PA USD 634441.370000 0.0040618 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.53718 N N N N N N N/A N/A 000000000 1.000000 NC 2185963.410000 0.0139948 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 266800000.000000 DKK 39430752.360000 USD 2025-04-01 2185963.410000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2SSR75 13107000000.000000 PA 32999656.710000 0.211268 Long DBT MUN HU N 2 2025-01-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -131813.270000 -0.0008439 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9302778.000000 USD 66161357.140000 CNY 2025-01-13 -131813.270000 N N N N/A N/A 000000000 1.000000 NC 3253.680000 0.0000208 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 794097914.000000 HUF 2001960.000000 USD 2025-01-09 3253.680000 N N N N/A N/A 000000000 -240400000.000000 NC USD -1864061.600000 -0.011934 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30000 06/27/25-5Y LCH 2030-06-27 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2025-06-25 XXXX 251458.400000 N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 1461834.710000 PA USD 1314320.970000 0.0084144 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.89322 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AJ6 13900000.000000 PA USD 14105025.700000 0.0903021 Long DBT CORP US N 2 2027-06-01 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC -115326.370000 -0.0007383 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11177597.100000 USD 81170000.000000 CNY 2025-01-15 -115326.370000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-4 N/A 12668WAF4 248289.150000 PA USD 226617.210000 0.0014508 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.683 N N N N N N N/A N/A 000000000 1.000000 NC -69512.040000 -0.000445 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 57089081.440000 PEN 15104529.960000 USD 2025-02-07 -69512.040000 N N N N/A N/A 000000000 -6775.000000 NC 5920570.020000 0.0379042 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2025-03-17 -473329970.840000 AUD 5920570.020000 N N N MORGAN STANLEY STRUCTURED TRUST 2007-1 N/A 61755FAD7 7594517.610000 PA USD 6961066.490000 0.0445656 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.75322 N N N N N N N/A N/A 000000000 1.000000 NC -175455.420000 -0.0011233 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 31681053.000000 USD 46485609067.000000 KRW 2025-01-08 -175455.420000 N N N N/A N/A 000000000 1.000000 NC -2152446.420000 -0.0137802 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2034-09-18 0.000000 THB -29278.610000 THB 1791490000.000000 THB -2123167.810000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AX0 14800000.000000 PA USD 14651533.800000 0.0938009 Long DBT NUSS PL N 2 2029-03-18 Fixed 4.625 N N N N N N N/A N/A 000000000 -214600000.000000 NC USD -1808348.360000 -0.0115773 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 06/25/25-5Y LCH 2030-06-25 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2025-06-23 XXXX 230351.640000 N N N N/A N/A 000000000 1.000000 NC -88874.330000 -0.000569 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6579479.000000 USD 556567997.830000 INR 2025-01-17 -88874.330000 N N N STRUCTURED ASSET MTGE INVEST 2007-AR6 N/A 86364RAA7 696027.830000 PA USD 574888.500000 0.0036805 Long ABS-MBS CORP US N 2 2047-08-25 Floating 6.32522 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYRW1 148535.530000 PA USD 138370.210000 0.0008859 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 195.930000 0.0000013 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 186733804.000000 IDR 11722.000000 USD 2025-01-22 195.930000 N N N STRUCTURED ASSET MTG INV INC 2007-AR4 N/A 86364MAC4 1392293.190000 PA USD 1218252.780000 0.0077994 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.89322 N N N N N N N/A N/A 000000000 1.000000 NC USD -219087.100000 -0.0014026 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -17253000000.000000 JPY 117487231.870000 USD 2026-03-19 186331.960000 N N N AIMCO CLO SERIES 2015-AA N/A 00900LAY0 7700000.000000 PA USD 7726696.590000 0.0494673 Long ABS-CBDO CORP KY N 2 2034-10-17 Floating 5.89745 N N N N N N N/A N/A 000000000 -44700000.000000 NC USD -360125.550000 -0.0023056 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.28000 06/27/25-5Y LCH 2030-06-27 0.000000 USD 0.000000 USD N/A USD N/A 4.280000 USD 2025-06-25 XXXX 86874.450000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 7328.630000 PA USD 7225.080000 0.0000463 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.41 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 11875986.890000 PA USD 11314033.000000 0.0724338 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N FNMA PASS THRU POOLS N/A 31417BK55 435.040000 PA USD 429.480000 0.0000027 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.5 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAJ0 120638.300000 PA USD 116553.780000 0.0007462 Long ABS-MBS CORP US N 2 2047-01-26 Floating 4.71674 N N N N N N FNMA PASS THRU POOLS N/A 31418C7C2 102457.480000 PA USD 97993.500000 0.0006274 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAG3 1737000.000000 PA USD 854069.730000 0.0054679 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC -9118.350000 -0.0000584 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2215797.980000 USD 3012000.000000 SGD 2025-01-15 -9118.350000 N N N N/A N/A 000000000 1.000000 NC USD 1139671.270000 0.0072963 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 1198016.580000 USD 0.000000 USD 15754000.000000 USD -58345.310000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 17706574.030000 PA USD 17624893.600000 0.112837 Long ABS-MBS CORP US N 2 2051-09-25 Variable 4.8429 N N N N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 2863588.090000 PA USD 2831330.920000 0.0181265 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.54822 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UD8 87750000.000000 PA USD 79438520.950000 0.508575 Long DBT UST US N 2 2044-08-15 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 218.770000 0.0000014 N/A DFE IN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1891031.820000 INR 22271.670000 USD 2025-01-17 218.770000 N N N N/A N/A 000000000 1.000000 NC 247283.700000 0.0015831 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 302000573.000000 TWD 9428237.000000 USD 2025-01-22 247283.700000 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 9000000.000000 PA 9211288.480000 0.0589718 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 220520.020000 0.0014118 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2725836.480000 KWD 9371000.000000 USD 2029-05-02 220520.020000 N N N N/A N/A 000000000 1.000000 NC 894.240000 0.0000057 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1045171157.000000 IDR 65407.000000 USD 2025-01-22 894.240000 N N N N/A N/A 000000000 1.000000 NC 28791.030000 0.0001843 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1495838.000000 USD 56819406.430000 TRY 2025-02-25 28791.030000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAL4 6100000.000000 PA USD 4596901.680000 0.0294299 Long DBT NUSS MX N 2 2051-04-27 Fixed 5 N N N N N N INTER-AMERICAN DEVELOPMENT BANK VKU1UKDS9E7LYLMACP54 ACI0QK6X4 15000000.000000 PA 8954475.600000 0.0573277 Long DBT CORP N/A N 2 2027-04-14 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 104997.660000 0.0006722 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 10504.140000 USD 0.000000 USD 1600000.000000 USD 94493.520000 N N N N/A N/A 000000000 1.000000 NC 703.420000 0.0000045 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 18278.480000 CHF 20864.310000 USD 2025-01-15 703.420000 N N N N/A N/A 000000000 1.000000 NC -22690.230000 -0.0001453 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10388762.970000 PEN 2736009.000000 USD 2025-03-24 -22690.230000 N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 21200827.690000 PA 26599563.930000 0.170294 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.72577 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 3560.300000 PA USD 3553.820000 0.0000228 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 4.96851 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1J0CL3 33700000.000000 PA 33938597.110000 0.217279 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI 81560029E2CE4D14F425 147918AB2 18800000.000000 PA USD 18941261.130000 0.121264 Long DBT MUN IT N 2 2026-05-05 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -4681.230000 -0.00003 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 81816.120000 USD 113872312.000000 KRW 2025-01-22 -4681.230000 N N N MASTR ALT LN TR 2006-2 N/A 5764342E3 662825.390000 PA USD 572030.040000 0.0036622 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -91920.210000 -0.0005885 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6868418.000000 USD 581083273.320000 INR 2025-01-17 -91920.210000 N N N N/A N/A 000000000 1.000000 NC -332416.570000 -0.0021282 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 15930056.000000 USD 251790465136.000000 IDR 2025-01-08 -332416.570000 N N N ARBOUR CLO VII DAC 7A N/A ACI2S2CF0 12300000.000000 PA 12752567.520000 0.0816435 Long ABS-CBDO CORP IE N 2 2038-12-15 Floating 4.126 N N N N N N N/A N/A 000000000 1.000000 NC 101368.910000 0.000649 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5880450.000000 USD 223139555.700000 TRY 2025-02-26 101368.910000 N N N N/A N/A 000000000 1.000000 NC -529.650000 -0.0000034 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 191682.750000 USD 75946265.000000 HUF 2025-01-09 -529.650000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEB8 42000000.000000 PA USD 41969445.000000 0.268694 Long DBT CORP US N 2 2030-01-23 Floating 5.012 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEJ1 6700000.000000 PA USD 6672865.340000 0.0427205 Long DBT CORP US N 2 2030-07-22 Floating 4.995 N N N N N N N/A N/A 000000000 1.000000 NC -17608.770000 -0.0001127 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3267552.600000 USD 4436000.000000 SGD 2025-01-15 -17608.770000 N N N N/A N/A 000000000 55200000.000000 NC USD 1795904.400000 0.0114976 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06500 06/26/25-30Y LCH 2055-06-26 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2025-06-24 XXXX 142027.480000 N N N FNMA PASS THRU POOLS N/A 31418EXW5 136842149.980000 PA USD 139749557.140000 0.894694 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDT8 41800000.000000 PA USD 42303922.410000 0.270835 Long DBT CORP NL N 2 2030-03-05 Floating 5.447 N N N N N N N/A N/A 000000000 1.000000 NC USD 35575.700000 0.0002278 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -188521.080000 USD 7820000.000000 USD 224096.780000 N N N FHLMC PASS THRU POOLS N/A 3132DWMT7 6864895.000000 PA USD 6900374.970000 0.0441771 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3131XFNV8 85023.430000 PA USD 81346.890000 0.0005208 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 261015.800000 0.0016711 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 113763053.790000 CNY 15843000.000000 USD 2025-05-19 261015.800000 N N N N/A N/A 000000000 1.000000 NC 24132.080000 0.0001545 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 15396683903.000000 IDR 974486.000000 USD 2025-01-22 24132.080000 N N N N/A N/A 000000000 1.000000 NC -71884.040000 -0.0004602 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1839630.420000 USD 2856000.000000 AUD 2025-01-15 -71884.040000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 780082AQ6 23700000.000000 PA USD 23822009.020000 0.152511 Long DBT CORP CA N 2 2026-12-14 Fixed 4.851 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAZ2 10300000.000000 PA USD 9768818.600000 0.0625412 Long DBT CORP JP N 2 2027-01-22 Fixed 2.329 N N N N N N FNMA PASS THRU POOLS N/A 3140K6C78 56954.760000 PA USD 52767.910000 0.0003378 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2G9 7400000.000000 PA USD 7006595.950000 0.0448571 Long DBT CORP US N 2 2027-01-06 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 1163925.190000 0.0074516 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 54451971.000000 EUR 57595047.670000 USD 2025-01-15 1163925.190000 N N N N/A N/A 000000000 1.000000 NC -3281.020000 -0.000021 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 443092.420000 USD 3172896.200000 CNY 2025-01-13 -3281.020000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAB2 820931.080000 PA USD 827225.570000 0.005296 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.67474 N N N N N N GNMA PASS THRU POOLS N/A 21H022622 48878000.000000 PA USD 40830314.040000 0.261401 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 2.5 N N N N N N LOANCORE ISSUER LTD 2021-CRE6 N/A 53948HAA4 13721088.110000 PA USD 13787481.570000 0.0882692 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.81157 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 43747.060000 PA USD 31614.250000 0.0002024 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.74306 N N N N N N N/A N/A 000000000 1.000000 NC 296451.420000 0.0018979 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 304960078.000000 TWD 9567375.000000 USD 2025-01-22 296451.420000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1X8QV3 27282428.320000 PA 3153251.770000 0.0201875 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD N/A 64132JAN5 7257093.130000 PA USD 7262384.280000 0.0464947 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.91901 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 1056250.160000 PA USD 1055497.110000 0.0067574 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 5.71157 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI2P78N0 110329000.000000 PA 88072934.680000 0.563854 Long DBT NUSS SG N 2 2054-06-01 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 64717.790000 0.0004143 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-03-20 0.000000 USD -7025229.960000 USD 61200000.000000 USD 7089947.750000 N N N BARINGS LOAN PARTNERS CLO LTD 3 N/A 06762QAL1 4400000.000000 PA USD 4406569.510000 0.0282114 Long ABS-CBDO CORP KY N 2 2033-07-20 Floating 6.1374 N N N N N N N/A N/A 000000000 1.000000 NC -40879.190000 -0.0002617 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3524814632.000000 HUF 8830910.000000 USD 2025-01-09 -40879.190000 N N N N/A N/A 000000000 1.000000 NC -295679.560000 -0.001893 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17704000.000000 USD 127097016.000000 CNY 2025-05-19 -295679.560000 N N N N/A N/A 000000000 1.000000 NC 2935338.810000 0.0187924 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 57184712611.000000 KRW 41663118.000000 USD 2025-01-15 2935338.810000 N N N N/A N/A 000000000 1.000000 NC -27305.190000 -0.0001748 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1008973.870000 USD 1586000.000000 AUD 2025-01-15 -27305.190000 N N N GNMA PASS THRU POOLS N/A 21H022614 20000000.000000 PA USD 16704687.600000 0.106946 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 2.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QY3 9090000.000000 PA 8066202.610000 0.0516408 Long DBT NUSS RO N 2 2029-12-02 Fixed 1.375 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 3134.510000 PA USD 3028.730000 0.0000194 Long ABS-MBS CORP US N 2 2029-10-20 Floating 5.38443 N N N N N N N/A N/A 000000000 1.000000 NC 705735.410000 0.0045182 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7367758.000000 USD 320957957.880000 TRY 2025-05-06 705735.410000 N N N FHLMC PASS THRU POOLS N/A 3132DWJH7 523803.960000 PA USD 535878.440000 0.0034308 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.5 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 218503.420000 PA USD 208254.670000 0.0013333 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.19322 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHG1 45983872.710000 PA USD 45449665.650000 0.290974 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2540393.780000 0.0162639 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-18 1799975.140000 USD 0.000000 USD 370300000.000000 USD 740418.640000 N N N N/A N/A 000000000 1.000000 NC -8566745.010000 -0.0548454 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 42 Y Single Leg Swap 2029-12-20 0.000000 EUR -8895867.300000 EUR 409700000.000000 EUR 329122.290000 N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FBU4 6200000.000000 PA USD 6214922.410000 0.0397887 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.9674 N N N N N N N/A N/A 000000000 1.000000 NC 6542400.980000 0.0418853 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20698928017.000000 JPY 138219072.000000 USD 2025-01-15 6542400.980000 N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR20 12686.250000 PA USD 12218.360000 0.0000782 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.10475 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 920000.000000 PA USD 576840.000000 0.003693 Long DBT NUSS AR N 2 2041-07-09 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 3112.800000 0.0000199 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-15 0.000000 USD 0.000000 USD 3000000.000000 USD 3112.800000 N N N GNMA PASS THRU POOLS N/A 36202K6G5 364.880000 PA USD 363.200000 0.0000023 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 4.625 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NC75 3300000.000000 PA USD 3055815.840000 0.0195637 Long DBT MUN US N 2 2028-06-01 Fixed 2.532 N N N N N N N/A N/A 000000000 1.000000 NC 338948.450000 0.00217 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 17154005.120000 USD 653155898.950000 TRY 2025-02-27 338948.450000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 8.050000 PA 0.890000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087Q72 132000000.000000 PA 92247148.330000 0.590578 Long DBT NUSS CA N 2 2033-12-01 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 1424.610000 0.0000091 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11820000.000000 CAD 8228163.210000 USD 2025-01-15 1424.610000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 461300000.000000 PA 21727575.280000 0.139103 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 57525.360000 PA USD 58276.310000 0.0003731 Long ABS-MBS CORP US N 2 2035-01-25 Floating 7.10761 N N N N N N N/A N/A 000000000 -4876.000000 NC 4566243.820000 0.0292337 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2025-03-06 -595287671.010000 EUR 4566243.820000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBG3 53800000.000000 PA USD 52320715.200000 0.334964 Long DBT NUSS SA N 2 2034-01-16 Fixed 5 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAE0 1293953.310000 PA USD 268846.100000 0.0017212 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.4188 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A 03880RAA7 24550094.080000 PA USD 24607638.760000 0.157541 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 5.86157 N N N N N N N/A N/A 000000000 1.000000 NC 4644421.460000 0.0297342 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-03-19 2826798.500000 EUR 0.000000 EUR 590300000.000000 EUR 1817622.960000 N N N N/A N/A 000000000 5000000.000000 NC USD 200651.500000 0.0012846 N/A DIR KY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96000 06/27/25-30Y LCH 2055-06-27 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2025-06-25 XXXX 13151.500000 N N N N/A N/A 000000000 1.000000 NC -5.440000 0 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 613.000000 USD 4394.600000 CNY 2025-02-26 -5.440000 N N N N/A N/A 000000000 1.000000 NC -637463.900000 -0.0040811 N/A DIR CA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A CANADIAN ON REPO RATE CORRA Y 2029-06-19 0.000000 CAD -3763235.290000 CAD 107400000.000000 CAD 3125771.390000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0DG7 4445000.000000 PA 2990388.510000 0.0191448 Long DBT NUSS RO N 2 2041-04-14 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -29699.590000 -0.0001901 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22199423.460000 PEN 5860460.260000 USD 2025-05-08 -29699.590000 N N N NEW CENTURY HOME EQUITY LOAN TR 2003-4 N/A 64352VDK4 4207033.210000 PA USD 4171005.860000 0.0267033 Long ABS-MBS CORP US N 2 2033-10-25 Floating 5.57822 N N N N N N N/A N/A 000000000 1.000000 NC USD 3739605.430000 0.0239414 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -66003400000.000000 JPY 449645071.190000 USD 2026-03-19 712736.380000 N N N FNMA PASS THRU POOLS N/A 31418DFP2 10498.090000 PA USD 10000.410000 0.000064 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CU2 5400000.000000 PA USD 5609231.050000 0.035911 Long DBT CORP GB N 2 2034-07-06 Floating 6.296 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAE8 915000.000000 PA USD 916393.330000 0.0058669 Long ABS-O CORP US N 3 2054-11-25 Fixed 6.6 N N N N N N N/A N/A 000000000 1.000000 NC -710451.800000 -0.0045484 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-09-18 0.000000 JPY -813356.950000 JPY 57990000000.000000 JPY 102905.150000 N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI1FN6F7 300000.000000 PA 143781.870000 0.0009205 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 1965864.090000 0.0125857 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4948000000.000000 JPY 33795390.360000 USD 2025-04-21 1965864.090000 N N N RMAC SECURITIES PLC 2006-NS3X N/A 99WKUBII8 61213.770000 PA 60629.650000 0.0003882 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 3.112 N N N N N N N/A N/A 000000000 1.000000 NC -20341.420000 -0.0001302 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3468390.000000 USD 24892635.030000 CNY 2025-01-21 -20341.420000 N N N N/A N/A 000000000 1.000000 NC -12077.240000 -0.0000773 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1071592.350000 USD 11715000.000000 SEK 2025-01-15 -12077.240000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 550000.000000 PA USD 547664.840000 0.0035062 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 3087.520000 PA USD 1383.000000 0.0000089 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.57322 N N N N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 77511LNP4 350000.000000 PA USD 348983.760000 0.0022342 Long DBT CORP CA N 2 2025-01-23 None 0 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 4800000.000000 PA USD 4176950.930000 0.0267414 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQJII4 1366401.260000 PA 1328243.860000 0.0085036 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 4.386 N N N N N N N/A N/A 000000000 1.000000 NC 50669.470000 0.0003244 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11789034201.000000 KRW 8052729.000000 USD 2025-03-19 50669.470000 N N N J.P. MORGAN MORTGAGE TRUST 2022-LTV2 N/A 46655LAE4 7652212.400000 PA USD 6652142.470000 0.0425878 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3.5 N N N N N N FARM CREDIT BANK OF TEXAS V1EBJIOLRNYDHDF63Z33 30767EAD1 10000000.000000 NS USD 9926300.000000 0.0635494 Long EP USGSE US N 2 N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 23035486.850000 PA 28910215.710000 0.185087 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.71516 N N N N N N N/A N/A 000000000 1.000000 NC -2077.970000 -0.0000133 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 86521.320000 USD 1366145686.000000 IDR 2025-01-15 -2077.970000 N N N GNMA PASS THRU POOLS N/A 36225CQZ2 424.820000 PA USD 422.870000 0.0000027 Long ABS-MBS USGSE US N 2 2030-11-20 Floating 3.75 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 35462492.980000 PA 4096176.060000 0.0262242 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EYP9 270661002.670000 PA USD 276491538.680000 1.77013 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -2882.610000 -0.0000185 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 149353.420000 USD 2369641362.000000 IDR 2025-01-15 -2882.610000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFL4 7700000.000000 PA USD 7660711.830000 0.0490448 Long DBT CORP US N 2 2035-01-18 Floating 5.466 N N N N N N JP MORGAN MORTGAGE TRUST 2021-INV8 N/A 46654RAG7 69818323.710000 PA USD 58235072.820000 0.372828 Long ABS-MBS CORP US N 2 2052-05-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC 130153.310000 0.0008333 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 35925467.200000 CNY 5030000.000000 USD 2025-02-18 130153.310000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694R75 320541.050000 PA USD 276476.460000 0.00177 Long ABS-MBS CORP US N 2 2046-05-20 Floating 4.90474 N N N N N N FNMA PASS THRU POOLS N/A 3140QTYD5 75908816.050000 PA USD 77535141.940000 0.49639 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -80910.550000 -0.000518 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9530856.000000 USD 310848868.000000 TWD 2025-01-22 -80910.550000 N N N N/A N/A 000000000 1.000000 NC -119204.230000 -0.0007632 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 53974240.570000 PEN 14206364.480000 USD 2025-04-21 -119204.230000 N N N RAAC SERIES 2006-RP2 N/A 74919MAB2 4294384.990000 PA USD 4168291.110000 0.0266859 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.95322 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 235244.250000 PA USD 167233.770000 0.0010707 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.22601 N N N N N N N/A N/A 000000000 1.000000 NC 287191.510000 0.0018386 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 14819000.000000 CAD 10601238.830000 USD 2025-01-15 287191.510000 N N N N/A N/A 000000000 1.000000 NC 200.010000 0.0000013 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 205995542.000000 IDR 12915.000000 USD 2025-01-22 200.010000 N N N N/A N/A 000000000 1.000000 NC 1039653.690000 0.006656 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 55100000.000000 BRL 9827247.340000 USD 2025-04-02 1039653.690000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1W77N5 1.430000 PA 0.160000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N LCM XXV LTD 25A N/A 50189PAY8 3174138.620000 PA USD 3175218.810000 0.0203281 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.7174 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 17357608.400000 PA USD 15253174.560000 0.0976527 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 72535.490000 0.0004644 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10402552.000000 USD 388904607.800000 TRY 2025-02-21 72535.490000 N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 111756.630000 PA USD 71752.130000 0.0004594 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.84937 N N N N N N N/A N/A 000000000 2250000.000000 NC USD 760972.500000 0.0048718 N/A DFE LU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-02-18 N/A 7.380000 USD 2025-02-14 XXXX 540472.500000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECP8 9800000.000000 PA USD 9925636.290000 0.0635452 Long DBT CORP GB N 2 2028-03-12 Floating 5.674 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 1054500000.000000 PA 50889805.390000 0.325803 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 5584564.380000 PA 5779203.940000 0.0369992 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.804 N N N N N N N/A N/A 000000000 1.000000 NC -2253207.160000 -0.0144253 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2029-09-18 729606.490000 SGD 0.000000 SGD 872860000.000000 SGD -2982813.650000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AN8 51000000.000000 PA USD 51423470.850000 0.329219 Long DBT CORP GB N 2 2035-03-01 Floating 5.778 N N N N N N FNMA PASS THRU POOLS N/A 3140A6V86 8852599.230000 PA USD 8899844.400000 0.0569779 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 1447788.220000 PA USD 840066.660000 0.0053782 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.15067 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX2R4 6230000.000000 PA 6699667.910000 0.0428921 Long DBT NUSS PL N 2 2043-02-14 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 1238963.970000 0.007932 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 108500000.000000 BRL 17702918.270000 USD 2025-10-02 1238963.970000 N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAB5 1133848.940000 PA USD 363598.140000 0.0023278 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.79322 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2P7GW1 13500000.000000 PA 13425451.450000 0.0859514 Long DBT NUSS RO N 2 2037-05-30 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC -280261.840000 -0.0017943 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2033-09-20 1760765.030000 MYR 0.000000 MYR 277980000.000000 MYR -2041026.870000 N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 22636323.080000 PA USD 22666042.310000 0.145111 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.59148 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CK3 9900000.000000 PA USD 8489514.920000 0.0543509 Long DBT CORP DE Y 2 2032-05-28 Floating 3.035 N N N N N N N/A N/A 000000000 1.000000 NC -10718911.350000 -0.0686238 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-03-17 0.000000 JPY -12220788.730000 JPY 29934240000.000000 JPY 1501877.380000 N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAE0 16476581.920000 PA USD 3952412.360000 0.0253038 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.675 N N N N N N FHLMC PASS THRU POOLS N/A 3133WELE8 6872660.870000 PA USD 6912232.210000 0.044253 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 398268.690000 0.0025498 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 295318896.000000 TWD 9376096.000000 USD 2025-01-22 398268.690000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 15700000.000000 PA USD 16404473.600000 0.105024 Long DBT CORP US N 2 2029-11-01 Floating 6.407 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 31070188.290000 PA USD 26051952.080000 0.166788 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 286202.640000 0.0018323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -23785.000000 USD 6700000.000000 USD 309987.640000 N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 2179363.890000 PA USD 1898384.170000 0.0121537 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.39823 N N N N N N N/A N/A 000000000 1.000000 NC -82519.390000 -0.0005283 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5743562.000000 USD 485433224.400000 INR 2025-01-17 -82519.390000 N N N N/A N/A 000000000 -21400000.000000 NC -7388812.350000 -0.0473041 N/A DIR DE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.45100 05/27/25-25Y LCH 2050-05-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2025-05-23 XXXX -5768718.320000 N N N ACE SECURITIES CORP 2007-WM1 N/A 004424AB3 3802044.700000 PA USD 1524177.370000 0.009758 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.59322 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 20365.710000 PA USD 15773.000000 0.000101 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.21892 N N N N N N N/A N/A 000000000 -212400000.000000 NC USD -1345341.600000 -0.008613 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.40000 06/26/25-5Y LCH 2030-06-26 0.000000 USD 0.000000 USD N/A USD N/A 4.400000 USD 2025-06-24 XXXX 311378.400000 N N N N/A N/A 000000000 1.000000 NC 8612084.150000 0.0551356 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2054-09-18 4112664.030000 GBP 0.000000 GBP 82540000.000000 GBP 4499420.120000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF11 9000000.000000 PA 9686696.890000 0.0620154 Long DBT NUSS RO N 2 2028-09-18 Fixed 5.5 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI217GZ0 707500000.000000 PA 127389773.340000 0.815565 Long DBT NUSS CN N 2 2051-10-18 Fixed 3.53 N N N N N N N/A N/A 000000000 1.000000 NC USD 1015748.270000 0.0065029 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 135400000.000000 USD 1015748.270000 N N N CHINA GOVT 300300CHN201808MOF68 ACI2FG9Z3 8080000.000000 PA 1391229.400000 0.0089068 Long DBT NUSS CN N 2 2053-04-15 Fixed 3.19 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GBB0 33541.450000 PA USD 32153.480000 0.0002059 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.90558 N N N N N N N/A N/A 000000000 -574098.000000 PA -594785.510000 -0.0038079 Short RA GB N 2 Reverse repurchase N 0.500000 2026-12-20 600000.000000 EUR 572418.000000 EUR CDS N N N N/A N/A 000000000 1.000000 NC -39649.690000 -0.0002538 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5318086.000000 USD 455345159.490000 INR 2025-03-21 -39649.690000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 11590000000.000000 PA 54989981.250000 0.352053 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N FNMA PASS THRU POOLS N/A 3140X7MW6 9660895.650000 PA USD 8695434.820000 0.0556693 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 322781.120000 0.0020665 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 298666760.000000 TWD 9402385.000000 USD 2025-01-22 322781.120000 N N N GREENPOINT MTGE FUNDING TR 2006-AR3 N/A 39538WHF8 161289.390000 PA USD 141580.960000 0.0009064 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.87322 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 299483.390000 PA USD 204293.820000 0.0013079 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.67531 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 835590.320000 PA USD 761144.490000 0.0048729 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.71322 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 9200000.000000 PA USD 9103176.440000 0.0582797 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 8494842.020000 PA 8791873.880000 0.0562867 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.824 N N N N N N FHLMC PASS THRU POOLS N/A 3133WEMK3 18031107.210000 PA USD 18141820.010000 0.116146 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -256783.220000 -0.001644 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16865719.000000 USD 68664558.480000 PLN 2025-01-31 -256783.220000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 22541551.280000 PA USD 22558484.720000 0.144422 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.04757 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 000000000 1000000.000000 PA USD 846788.750000 0.0054212 Long DBT NUSS SA N 2 2053-01-18 Fixed 5 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AC2 900000.000000 PA USD 880346.380000 0.0056361 Long DBT CORP CH N 2 2028-01-09 Fixed 4.282 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BH0 2200000.000000 PA USD 2215289.870000 0.0141826 Long DBT CORP CH N 2 2035-02-08 Floating 5.699 N N N N N N N/A N/A 000000000 1.000000 NC USD 91441.360000 0.0005854 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -486619.710000 USD 20100000.000000 USD 578061.070000 N N N N/A N/A 000000000 1.000000 NC -65805.110000 -0.0004213 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7041665.000000 USD 28824703.590000 PLN 2025-01-17 -65805.110000 N N N N/A N/A 000000000 1.000000 NC -189806.880000 -0.0012152 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59216586733.000000 KRW 40004720.000000 USD 2025-03-19 -189806.880000 N N N PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC 213800QSH7EDGMUDJW25 69828QAD9 33409000.000000 PA USD 22633929.320000 0.144905 Long DBT CORP GB N 2 2032-04-05 None 0 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AS5 17400000.000000 PA USD 17774491.500000 0.113795 Long DBT NUSS HU N 2 2032-09-22 Fixed 6.25 N N N N N N INVESTINDUSTRIAL VIII SCSP 213800KUK2RJHCSU9551 BA0009BW5 3300000.000000 PA 3418304.090000 0.0218844 Long LON CORP GB Y 3 2025-07-15 Floating 5.301 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1S5B09 79740000.000000 PA 16756148.630000 0.107275 Long DBT NUSS MY N 2 2031-04-15 Fixed 2.632 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI01AC32 28674710000.000000 PA 20746372.500000 0.132821 Long DBT NUSS KR N 2 2031-12-10 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 4152.600000 0.0000266 N/A DFE HU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1120143.000000 USD 446554416.000000 HUF 2025-01-02 4152.600000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 68400000.000000 PA 53185853.190000 0.340502 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -45409.980000 -0.0002907 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 2777266.000000 USD 11291113.790000 PLN 2025-01-24 -45409.980000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFK6 40100000.000000 PA USD 40168545.340000 0.257164 Long DBT CORP US N 2 2030-01-16 Floating 5.173 N N N N N N N/A N/A 000000000 1.000000 NC -45965.160000 -0.0002943 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8938356.500000 USD 65207000.000000 CNY 2025-02-14 -45965.160000 N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QBL4 15400000.000000 PA USD 15435119.700000 0.0988176 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 6.07163 N N N N N N N/A N/A 000000000 1.000000 NC -151611.330000 -0.0009706 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 15072154.000000 USD 61652645.940000 PLN 2025-01-17 -151611.330000 N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2 N/A 76112B2D1 650767.530000 PA USD 639905.050000 0.0040968 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.05322 N N N N N N N/A N/A 000000000 1.000000 NC -8751.630000 -0.000056 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 319425827350.000000 IDR 19778689.000000 USD 2025-01-08 -8751.630000 N N N FNMA PASS THRU POOLS N/A 3140HAR44 97708.160000 PA USD 87727.010000 0.0005616 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAE1 11257901.240000 PA USD 10307410.150000 0.0659893 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.91322 N N N N N N FNMA PASS THRU POOLS N/A 3140A05Z8 848732.820000 PA USD 777329.490000 0.0049766 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 287470.910000 0.0018404 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6379810875.000000 HUF 16350000.000000 USD 2025-01-02 287470.910000 N N N CARLYLE GLOBAL MARKET STRATEGIES 2018-2A N/A 14317PAJ2 6049582.800000 PA USD 6060606.170000 0.0388008 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.8059 N N N N N N N/A N/A 000000000 1.000000 NC 6182753.410000 0.0395828 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 291500000.000000 BRL 52672472.990000 USD 2025-04-02 6182753.410000 N N N N/A N/A 000000000 1.000000 NC 2048029.830000 0.0131117 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5320000000.000000 JPY 36380334.510000 USD 2025-05-20 2048029.830000 N N N JP MORGAN MORTGAGE TRUST 2006-A1 N/A 466247F57 163749.570000 PA USD 110878.270000 0.0007099 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.62379 N N N N N N OCEAN TRAILS CLO 8 2020-8A N/A 67514UAU5 11700000.000000 PA USD 11735355.410000 0.0751312 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.9459 N N N N N N N/A N/A 000000000 1.000000 NC -3739385.540000 -0.02394 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6723239709.560000 THB 195578043.260000 USD 2025-06-18 -3739385.540000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 61000000.000000 PA USD 64696192.520000 0.414193 Long DBT CORP CH N 2 2033-08-12 Floating 6.537 N N N N N N N/A N/A 000000000 1.000000 NC -50555.360000 -0.0003237 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 21590817.120000 PEN 5686283.150000 USD 2025-02-20 -50555.360000 N N N FHLMC PASS THRU POOLS N/A 3133KYR92 2317068.110000 PA USD 2146535.840000 0.0137424 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 3.5 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 3115000.000000 PA 3898447.160000 0.0249583 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.85383 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 958XGLII9 30000000.000000 PA USD 27750000.000000 0.177659 Long ABS-MBS CORP US Y 3 2052-08-01 Floating 4.35 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD N/A 38136NAY2 3000000.000000 PA USD 3010526.250000 0.0192738 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.752 N N N N N N N/A N/A 000000000 1.000000 NC 170799.050000 0.0010935 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 318467599.000000 TWD 9852357.350000 USD 2025-01-22 170799.050000 N N N N/A N/A 000000000 1.000000 NC 3145026.000000 0.0201348 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2029-06-19 879932.110000 NZD 0.000000 NZD 106200000.000000 NZD 2265093.890000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 5474565.000000 PA USD 5411709.710000 0.0346464 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 7202105.110000 PA USD 4832244.500000 0.0309366 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.69322 N N N N N N THAILAND GOVT 254900PHJ6MSKT6C7026 ACI2Q20Z1 6637780000.000000 PA 198595158.690000 1.27143 Long DBT NUSS TH N 2 2029-11-17 Fixed 2.5 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAN9 3600000.000000 PA USD 3625754.540000 0.0232125 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.92587 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 948FJBII0 25700000.000000 PA 27582017.850000 0.176584 Long LON NUSS RS N 3 2030-08-11 Floating 8.088 N N N N N N MARATHON CLO 14 LTD N/A 56578HAU0 16600000.000000 PA USD 16620277.900000 0.106405 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 5.9974 N N N N N N N/A N/A 000000000 1.000000 NC 1798996.410000 0.0115174 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 140400000.000000 BRL 23103505.020000 USD 2025-10-02 1798996.410000 N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AS8 4200000.000000 PA USD 3635482.450000 0.0232748 Long DBT CORP MY N 2 2060-04-21 Fixed 4.8 N N N N N N SEGOVIA EUROPEAN CLO 3-2017 DAC N/A ACI2MBS93 7000000.000000 PA 7234937.970000 0.046319 Long ABS-CBDO CORP IE N 2 2035-01-25 Floating 4.036 N N N N N N N/A N/A 000000000 1.000000 NC 247802.520000 0.0015865 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 306758798.000000 TWD 9573408.000000 USD 2025-01-22 247802.520000 N N N N/A N/A 000000000 1.000000 NC -14916.340000 -0.0000955 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1174588.340000 USD 1119000.000000 EUR 2025-01-15 -14916.340000 N N N N/A N/A 000000000 1.000000 NC -407185.060000 -0.0026068 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19171630.000000 USD 302911754000.000000 IDR 2025-01-08 -407185.060000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638DQ2 4700000.000000 PA USD 2488180.000000 0.0159296 Long DBT NUSS PE N 2 2060-12-01 Fixed 2.78 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAD6 3444146.190000 PA USD 1749611.450000 0.0112012 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.93322 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 262625.870000 PA USD 247001.730000 0.0015813 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.45415 N N N N N N GCAT TRUST 2022-INV2 N/A 36168FAE8 14831993.490000 PA USD 12436552.380000 0.0796204 Long ABS-MBS CORP US N 2 2052-04-25 Variable 3 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NSJ04 13650000000.000000 PA 86698342.190000 0.555053 Long DBT NUSS JP N 2 2025-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 294391.220000 0.0018847 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 19163893.770000 USD 725851640.430000 TRY 2025-02-26 294391.220000 N N N N/A N/A 000000000 1.000000 NC -50733.600000 -0.0003248 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3748460.580000 USD 2954000.000000 GBP 2025-01-15 -50733.600000 N N N N/A N/A 000000000 1.000000 NC -37728.350000 -0.0002415 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5422946.000000 USD 464556669.090000 INR 2025-03-21 -37728.350000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 15197151.280000 PA 15742646.580000 0.100786 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.884 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 3889243.550000 PA USD 3513280.880000 0.0224925 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.97322 N N N N N N N/A N/A 000000000 1.000000 NC 1419908.450000 0.0090904 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 24450304.000000 EUR 26779031.670000 RON 2025-02-04 1419908.450000 N N N GNMA PASS THRU POOLS N/A 21H030625 371700000.000000 PA USD 322377149.560000 2.0639 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 3 N N N N N N BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM) VBHFXSYT7OG62HNT8T76 06675FBC0 13900000.000000 PA USD 13933926.840000 0.0892067 Long DBT CORP FR N 2 2027-01-23 Fixed 5.088 N N N N N N N/A N/A 000000000 1.000000 NC 156088.930000 0.0009993 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1929407.040000 KWD 6633000.000000 USD 2029-05-08 156088.930000 N N N N/A N/A 000000000 1.000000 NC -46526.880000 -0.0002979 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20364346.600000 PEN 5358474.530000 USD 2025-04-21 -46526.880000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 1465855.980000 PA USD 1486409.920000 0.0095162 Long ABS-O CORP US N 2 2055-02-16 Floating 6.04757 N N N N N N N/A N/A 000000000 1.000000 NC 1458634.140000 0.0093384 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 39831445.850000 CHF 45392116.270000 USD 2025-01-15 1458634.140000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRVP9 826600000.000000 PA 129885074.880000 0.83154 Long DBT NUSS BR N 2 2025-04-01 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEQ5 15000000.000000 PA USD 14718948.450000 0.0942325 Long DBT CORP US N 2 2030-10-22 Floating 4.603 N N N N N N N/A N/A 000000000 1.000000 NC -1077830.330000 -0.0069004 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-09-18 0.000000 THB -549969.420000 THB 2886870000.000000 THB -527860.910000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFU4 27600000.000000 PA USD 27017204.200000 0.172968 Long DBT CORP US N 2 2030-10-18 Floating 4.654 N N N N N N N/A N/A 000000000 1.000000 NC USD 1426424.770000 0.0091321 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 180100000.000000 USD 1426424.770000 N N N N/A N/A 000000000 1.000000 NC 92139.410000 0.0005899 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8351520.000000 USD 310208858.880000 TRY 2025-02-10 92139.410000 N N N N/A N/A 000000000 1.000000 NC 134468.140000 0.0008609 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10174858.250000 SGD 7588868.000000 USD 2025-01-15 134468.140000 N N N BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM) VBHFXSYT7OG62HNT8T76 06675FBA4 24800000.000000 PA USD 25171113.150000 0.161149 Long DBT CORP FR N 2 2026-07-13 Fixed 5.896 N N N N N N N/A N/A 000000000 1.000000 NC -1006623.920000 -0.0064445 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 19991948.020000 USD 2984400000.000000 JPY 2025-01-15 -1006623.920000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBC2 32100000.000000 PA USD 31922904.300000 0.204374 Long DBT NUSS SA N 2 2028-01-18 Fixed 4.75 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2M7VN7 8600000000.000000 PA 54482061.710000 0.348801 Long DBT NUSS JP N 2 2026-01-01 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC -105353.030000 -0.0006745 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12515534.000000 USD 1070566262.830000 INR 2025-03-21 -105353.030000 N N N N/A N/A 000000000 1.000000 NC -730685.460000 -0.0046779 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2029-01-30 0.000000 CZK -1020777.310000 CZK 264500000.000000 CZK 290091.850000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAF2 9700000.000000 PA USD 9808188.950000 0.0627932 Long DBT NUSS KY N 2 2028-10-25 Fixed 5.268 N N N N N N N/A N/A 000000000 1.000000 NC 21354.940000 0.0001367 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19785712.610000 CNY 2717855.000000 USD 2025-01-15 21354.940000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 1780000.000000 PA 2199376.950000 0.0140807 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.85383 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AF5 10500000.000000 PA USD 10635834.720000 0.0680919 Long DBT CORP GB N 2 2028-09-30 Floating 5.516 N N N N N N N/A N/A 000000000 1.000000 NC -11618201.540000 -0.0743812 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2044-06-19 0.000000 JPY -8785389.190000 JPY 18580000000.000000 JPY -2832812.350000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CT5 18000000.000000 PA USD 18306751.680000 0.117202 Long DBT CORP GB N 2 2027-07-06 Floating 6.187 N N N N N N N/A N/A 000000000 1.000000 NC 7533.790000 0.0000482 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 592714.000000 USD 22834306.850000 TRY 2025-03-19 7533.790000 N N N GNMA PASS THRU POOLS N/A 36225CNK8 14218.990000 PA USD 14152.600000 0.0000906 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 4.875 N N N N N N SANDSTONE PEAK LTD 2021-1A N/A 800130AN6 4900000.000000 PA USD 4917674.590000 0.0314836 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9359 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2M2QV6 266800000.000000 PA 36929964.440000 0.23643 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 57490.470000 0.0003681 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 23676217.820000 DKK 3348217.910000 USD 2025-01-15 57490.470000 N N N N/A N/A 000000000 -1055813.000000 PA -1093435.280000 -0.0070003 Short RA LU N 2 Reverse repurchase N -0.500000 2025-01-10 1100000.000000 EUR 1049433.000000 EUR CDS N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AF5 7680000.000000 PA USD 7398732.830000 0.0473676 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 44342.140000 PA USD 37645.540000 0.000241 Long ABS-MBS CORP US N 2 2047-01-20 Floating 5.09976 N N N N N N N/A N/A 000000000 1.000000 NC 83163.430000 0.0005324 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1066073186.120000 INR 12515534.000000 USD 2025-01-17 83163.430000 N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAB9 3484957.450000 PA USD 2959043.920000 0.0189442 Long ABS-MBS CORP US N 2 2037-06-25 Floating 6.17601 N N N N N N N/A N/A 000000000 1.000000 NC 287086.680000 0.001838 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-12-13 0.000000 ILS 0.000000 ILS 137200000.000000 ILS 287086.680000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI137Q48 15800000.000000 PA 9085439.440000 0.0581661 Long DBT NUSS AU N 2 2030-05-21 Fixed 2.5 N N N N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 9900000.000000 PA USD 9900081.770000 0.0633816 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.58273 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZK8 46048.230000 PA USD 48083.760000 0.0003078 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.86643 N N N N N N AREIT TRUST 2022-CRE7 N/A 00217VAA8 9699616.620000 PA USD 9725997.150000 0.062267 Long ABS-MBS CORP US N 2 2039-06-17 Floating 6.62382 N N N N N N MASTR ASSET SECURIZATION TR 2007-3 N/A 57645NAS9 2989.300000 PA USD 2969.160000 0.000019 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.05322 N N N N N N N/A N/A 000000000 1.000000 NC -4013522.860000 -0.0256951 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-15 0.000000 EUR 0.000000 EUR 101700000.000000 EUR -4013522.860000 N N N GREENPOINT MORTGAGE FUND TRUST 2006-OH1 N/A 39539GAA0 254443.240000 PA USD 226890.040000 0.0014526 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.81322 N N N N N N N/A N/A 000000000 1.000000 NC USD -10053369.340000 -0.0643629 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-20 5548153.870000 USD 0.000000 USD 523800000.000000 USD -15601523.210000 N N N N/A N/A 000000000 1.000000 NC 315705.260000 0.0020212 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 294277840.000000 TWD 9261884.000000 USD 2025-01-22 315705.260000 N N N N/A N/A 000000000 1.000000 NC -24423.260000 -0.0001564 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1747867.880000 USD 1663000.000000 EUR 2025-01-15 -24423.260000 N N N N/A N/A 000000000 1.000000 NC 369735.460000 0.0023671 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 205472818.470000 CNY 28390419.000000 USD 2025-02-14 369735.460000 N N N FHLMC PASS THRU POOLS N/A 3133BCMG9 3890450.660000 PA USD 3569138.030000 0.0228501 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWML4 56754406.530000 PA USD 57134714.970000 0.365783 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797KJ5 283000.000000 PA USD 280484.040000 0.0017957 Long DBT UST US N 2 2025-03-20 None 0 N N N N N N N/A N/A 000000000 17200000.000000 NC USD 18699.840000 0.0001197 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.57000 08/15/25-1Y LCH 2026-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.570000 USD 2025-08-13 XXXX -5380.160000 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL N/A 95003WAA4 18800000.000000 PA USD 17531752.000000 0.112241 Long ABS-MBS CORP US N 2 2039-12-15 Fixed 3.862 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 34874724.000000 PA USD 31182533.830000 0.199634 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AY8 23000000.000000 PA USD 22306895.000000 0.142812 Long DBT NUSS PL N 2 2034-09-18 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 295244.810000 0.0018902 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 77197875.870000 RON 16360641.330000 EUR 2025-01-17 295244.810000 N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 3000000.000000 PA USD 3000000.000000 0.0192064 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.51433 N N N N N N N/A N/A 000000000 1.000000 NC -283136.750000 -0.0018127 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 21310562.160000 USD 340665319029.000000 IDR 2025-01-22 -283136.750000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3J0 16100000.000000 PA USD 16150379.640000 0.103397 Long DBT CORP US N 2 2030-01-23 Floating 5.198 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 23200000.000000 PA USD 21326289.120000 0.136534 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N N/A N/A 000000000 1.000000 NC -48198.330000 -0.0003086 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1979349.840000 USD 3120000.000000 AUD 2025-01-15 -48198.330000 N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 1167218.080000 PA USD 1168919.880000 0.0074836 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.95751 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAA0 691084.460000 PA USD 388589.670000 0.0024878 Long ABS-MBS CORP US N 2 2037-04-26 Fixed 5.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 89452428.000000 PA USD 85533112.800000 0.547594 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 657361.160000 0.0042085 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3390000000.000000 JPY 22609797.580000 USD 2025-06-20 657361.160000 N N N N/A N/A 000000000 1.000000 NC 5147080.480000 0.0329522 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2030-03-19 3558054.930000 CNY 0.000000 CNY 7050600000.000000 CNY 1589025.550000 N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 1867297.900000 PA 1929727.430000 0.0123544 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.829 N N N N N N N/A N/A 000000000 -40700000.000000 NC USD -85384.530000 -0.0005466 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30800 01/28/25-10Y LCH 2035-01-28 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2025-01-24 XXXX 49942.970000 N N N N/A N/A 000000000 1.000000 NC 228144.130000 0.0014606 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 298136130.350000 CNY 41046925.000000 USD 2025-05-12 228144.130000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 3353658.230000 PA USD 3028273.560000 0.0193874 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.59322 N N N N N N N/A N/A 000000000 13100000.000000 NC USD 601216.640000 0.0038491 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.00500 09/29/25-30Y LCH 2055-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2025-09-25 XXXX 120043.560000 N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 ACI1D58V1 1300000.000000 PA 1295230.330000 0.0082922 Long DBT CORP LU N 2 2027-07-15 Fixed 1.625 N N N N N N N/A N/A 000000000 -48500000.000000 NC USD -495495.400000 -0.0031722 N/A DIR KY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.33000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.330000 USD 2025-09-25 XXXX 38004.600000 N N N N/A N/A 000000000 1.000000 NC USD 518929.010000 0.0033222 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -45220.000000 USD 13300000.000000 USD 564149.010000 N N N SOUND POINT CLO XIX LTD 2018-1A N/A 83610JAA4 1514355.120000 PA USD 1517080.960000 0.0097125 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.91751 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 N/A 36263TAB8 6994741.530000 PA USD 5600236.980000 0.0358534 Long ABS-MBS CORP US N 2 2052-04-25 Variable 2.5 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAU9 18200000.000000 PA USD 17704085.850000 0.113344 Long DBT CORP GB N 2 2030-09-11 Floating 4.858 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI29CD84 9710000000.000000 PA 55613192.670000 0.356043 Long DBT NUSS JP N 2 2042-09-20 Fixed 1.1 N N N N N N N/A N/A 000000000 1.000000 NC -48674.330000 -0.0003116 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6844498.000000 USD 49061361.660000 CNY 2025-01-21 -48674.330000 N N N N/A N/A 000000000 1.000000 NC 12606697.600000 0.0807096 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 412749944.000000 AUD 268081914.130000 USD 2025-01-15 12606697.600000 N N N FNMA PASS THRU POOLS N/A 31407UMR5 172568.380000 PA USD 179579.320000 0.0011497 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.041 N N N N N N N/A N/A 000000000 1.000000 NC 105818.260000 0.0006775 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9436000.000000 SGD 7018908.880000 USD 2025-01-15 105818.260000 N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEJ9 100000.000000 PA USD 118044.690000 0.0007557 Long DBT MUN US N 2 2041-02-15 Fixed 7.834 N N N N N N N/A N/A 000000000 1.000000 NC -14768.670000 -0.0000946 N/A DFE KR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 266021.050000 USD 370994552.000000 KRW 2025-01-15 -14768.670000 N N N N/A N/A 000000000 1.000000 NC 291.970000 0.0000019 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 367602622.000000 IDR 23014.000000 USD 2025-01-15 291.970000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI2BD3K3 8200000.000000 PA 9405158.120000 0.060213 Long DBT CORP GB N 2 2034-01-29 Floating 5.262 N N N N N N N/A N/A 000000000 1.000000 NC 315423.690000 0.0020194 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 294287102.000000 TWD 9261884.000000 USD 2025-01-22 315423.690000 N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WT6 2803.140000 PA USD 2680.160000 0.0000172 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.25829 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC7 N/A 86358ECT1 2754188.500000 PA USD 2662643.410000 0.0170466 Long ABS-MBS CORP US N 2 2033-07-25 Floating 5.40322 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAF4 13800000.000000 PA USD 13214756.080000 0.0846025 Long DBT CORP GB N 2 2028-02-16 Floating 2.972 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 71675CAE8 4500000.000000 PA USD 2965817.340000 0.0189875 Long DBT CORP MY N 2 2061-04-28 Fixed 3.404 N N N N N N N/A N/A 000000000 1.000000 NC -215936.620000 -0.0013825 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7181240.000000 USD 146209328.280000 MXN 2025-02-11 -215936.620000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JJ7 500000.000000 PA USD 342944.190000 0.0021956 Long DBT CORP US N 2 2050-08-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 7266466.990000 0.0465208 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 631000000.000000 BRL 103015362.510000 USD 2025-10-02 7266466.990000 N N N FHLMC PASS THRU POOLS N/A 3133KLBK2 3923418.740000 PA USD 3200566.780000 0.0204904 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N CUMULUS STATIC CLO 2024-1 DAC 24-1A N/A ACI2NK2H2 14137684.850000 PA 14678874.440000 0.093976 Long ABS-CBDO CORP IE N 2 2033-11-15 Floating 4.223 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAE7 1464000.000000 PA USD 1461717.480000 0.0093581 Long ABS-O CORP US N 3 2054-11-25 Fixed 6.6 N N N N N N CIM TRUST 2023-R2 N/A 17181KAA8 6322212.510000 PA USD 6301435.190000 0.0403426 Long ABS-MBS CORP US N 2 2064-08-25 Variable 5.5 N N N N N N MAGNETITE XII LTD 2015-12A N/A 55953HBD4 5527349.910000 PA USD 5538404.610000 0.0354576 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.8059 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 3433736.790000 PA USD 3515504.360000 0.0225067 Long ABS-MBS CORP US N 2 2058-05-25 Floating 5.45322 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1 N/A 12667G2X0 845995.230000 PA USD 510899.730000 0.0032708 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.90322 N N N N N N N/A N/A 000000000 1.000000 NC 5046.050000 0.0000323 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 121220265.460000 MXN 5790316.000000 USD 2025-01-31 5046.050000 N N N N/A N/A 000000000 1.000000 NC 1591229.950000 0.0101873 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 48985482544.000000 KRW 34773044.000000 USD 2025-01-22 1591229.950000 N N N N/A N/A 000000000 1.000000 NC -264078.510000 -0.0016907 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8886798.000000 USD 139500511605.000000 IDR 2025-01-15 -264078.510000 N N N N/A N/A 000000000 1.000000 NC -42179.500000 -0.00027 N/A DIR MY N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Klibor Interbank Offered Rate Y 2034-09-18 0.000000 MYR -227817.950000 MYR 82530000.000000 MYR 185638.450000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 73400729.350000 PA USD 718886743.240000 4.6024 Long STIV RF US N 1 N N N IMPAC CMB TR 2004-6 N/A 45254NKD8 35538.610000 PA USD 35378.870000 0.0002265 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.23322 N N N N N N N/A N/A 000000000 1.000000 NC 989173.130000 0.0063328 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 988957.870000 AUD 0.000000 AUD 120100000.000000 AUD 215.260000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SE9 72400000.000000 PA USD 56571774.440000 0.362179 Long DBT UST US N 2 2048-11-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 53415.720000 0.000342 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 831465076.000000 INR 9749825.000000 USD 2025-01-17 53415.720000 N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 268545.540000 PA USD 93766.380000 0.0006003 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.75322 N N N N N N N/A N/A 000000000 1.000000 NC -216423.090000 -0.0013856 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-15 0.000000 EUR 0.000000 EUR 5400000.000000 EUR -216423.090000 N N N N/A N/A 000000000 1.000000 NC 205687.610000 0.0013168 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46371082060.000000 KRW 31681053.000000 USD 2025-03-19 205687.610000 N N N FHLMC PASS THRU POOLS N/A 3128JMN94 4353.950000 PA USD 4461.360000 0.0000286 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 7.356 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAA1 212114.270000 PA USD 193938.260000 0.0012416 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.70322 N N N N N N N/A N/A 000000000 1.000000 NC 76662.280000 0.0004908 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-05-16 0.000000 CHF -907456.540000 CHF 30200000.000000 CHF 984118.820000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 121121.550000 PA USD 112395.120000 0.0007196 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.22522 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 N/A 36256BAC4 2116450.650000 PA USD 2059379.080000 0.0131844 Long ABS-MBS CORP US N 2 2057-10-25 Fixed 3.75 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 4150182.160000 PA USD 2966656.450000 0.0189929 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.81322 N N N N N N N/A N/A 000000000 4681.000000 NC -1575231.860000 -0.0100848 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-03-06 518750211.050000 EUR -1575231.860000 N N N N/A N/A 000000000 1.000000 NC 632788.070000 0.0040512 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 383016000.000000 CNY 52832205.170000 USD 2025-01-15 632788.070000 N N N N/A N/A 000000000 1.000000 NC 170698.910000 0.0010928 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 373721643.000000 TWD 11588268.000000 USD 2025-04-25 170698.910000 N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 61210.900000 PA USD 58551.930000 0.0003749 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.18413 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD4 N/A 232433AA0 206404.880000 PA USD 164290.050000 0.0010518 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.13322 N N N N N N N/A N/A 000000000 1.000000 NC -48959.710000 -0.0003134 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1779929.650000 USD 272100000.000000 JPY 2025-01-15 -48959.710000 N N N N/A N/A 000000000 1.000000 NC -415564.390000 -0.0026605 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 31277856.840000 USD 500000000000.000000 IDR 2025-01-22 -415564.390000 N N N N/A N/A 000000000 2456.000000 NC -5698371.480000 -0.0364817 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2025-03-27 284129867.070000 GBP -5698371.480000 N N N N/A N/A 000000000 1.000000 NC 2551089.540000 0.0163324 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 359179763.000000 GBP 452161346.610000 USD 2025-01-15 2551089.540000 N N N FNMA PASS THRU POOLS N/A 3140AGU77 44949769.670000 PA USD 45182646.790000 0.289265 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3K7 15000000.000000 PA USD 14943628.950000 0.095671 Long DBT CORP US N 2 2035-01-23 Floating 5.499 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 11846000000.000000 PA 53144192.320000 0.340236 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 5400000.000000 PA USD 675000.000000 0.0043214 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -42523.540000 -0.0002722 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8052729.000000 USD 11818829299.000000 KRW 2025-01-08 -42523.540000 N N N N/A N/A 000000000 140300000.000000 NC USD 2273140.600000 0.0145529 N/A DFE LU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-05-15 N/A 7.300000 USD 2025-05-13 XXXX 722124.100000 N N N N/A N/A 000000000 1.000000 NC -47639.770000 -0.000305 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5691470.000000 USD 40807839.900000 CNY 2025-02-14 -47639.770000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 5000000.000000 PA USD 4722402.500000 0.0302334 Long DBT CORP GB N 2 2030-05-22 Floating 3.973 N N N N N N FHLMC PASS THRU POOLS N/A 3133WCXL3 6519604.200000 PA USD 6630832.360000 0.0424514 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQDII7 3424074.130000 PA 3511840.340000 0.0224832 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 3.486 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 195194.570000 PA USD 184420.180000 0.0011807 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.16536 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1V7HH8 19400000.000000 PA 6901392.290000 0.0441836 Long DBT NUSS FR N 2 2072-05-25 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PNMN9 3390000000.000000 PA 21520688.230000 0.137778 Long DBT NUSS JP N 2 2025-06-20 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140XBHT0 858236.920000 PA USD 732991.240000 0.0046927 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N GREAT HALL MORTGAGES PLC 2007-2A N/A 39052PAA7 42251.140000 PA USD 42194.400000 0.0002701 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 4.88512 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI1V1BM6 10900000.000000 PA 11295989.600000 0.0723183 Long DBT CORP CH N 2 2026-01-16 Floating 4.205 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAD9 562393.450000 PA USD 332143.390000 0.0021264 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.75322 N N N N N N N/A N/A 000000000 1.000000 NC -496989.580000 -0.0031818 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 0.000000 AUD -52323.510000 AUD 113500000.000000 AUD -444666.070000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CG3 11100000.000000 PA USD 10572575.060000 0.0676869 Long DBT CORP GB N 2 2028-01-12 Floating 2.608 N N N N N N N/A N/A 000000000 1.000000 NC -31521.720000 -0.0002018 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2416047.000000 USD 9855551.000000 PLN 2025-01-24 -31521.720000 N N N IMPAC CMB TR 2004-8 N/A 45254NKQ9 113026.640000 PA USD 109524.030000 0.0007012 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.17322 N N N N N N N/A N/A 000000000 1.000000 NC -506810.820000 -0.0032447 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-12-18 0.000000 CAD -674406.020000 CAD 28000000.000000 CAD 167595.200000 N N N FORTRESS CREDIT BSL VII LTD 2019-1A N/A 34956NAL6 5200000.000000 PA USD 5216171.320000 0.0333946 Long ABS-CBDO CORP KY N 2 2032-07-23 Floating 5.64946 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAK1 597105.990000 PA USD 533760.690000 0.0034172 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.11873 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973AC9 52514424.350000 PA USD 43801987.270000 0.280426 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3 N N N N N N ARES EUROPEAN CLO XV DAC 15A N/A ACI29GXM2 8335000.000000 PA 8617542.210000 0.0551706 Long ABS-CBDO CORP IE N 2 2036-01-15 Floating 4.134 N N N N N N N/A N/A 000000000 1.000000 NC -2085606.900000 -0.0133523 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-03-15 1801269.610000 CAD 0.000000 CAD 116000000.000000 CAD -3886876.510000 N N N N/A N/A 000000000 1.000000 NC -8513965.740000 -0.0545075 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2029-09-18 16077410.320000 GBP 0.000000 GBP 1307868000.000000 GBP -24591376.060000 N N N N/A N/A 000000000 1.000000 NC 437656.070000 0.0028019 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 14240666.340000 USD 536673751.690000 TRY 2025-02-05 437656.070000 N N N N/A N/A 000000000 1.000000 NC USD -810451.140000 -0.0051886 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-20 7679809.500000 USD 0.000000 USD 1563320000.000000 USD -8490260.640000 N N N N/A N/A 000000000 1.000000 NC -4329034.830000 -0.027715 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 710545.040000 CAD 0.000000 CAD 199200000.000000 CAD -5039579.870000 N N N N/A N/A 000000000 1.000000 NC -19116.820000 -0.0001224 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 921897.800000 USD 21956701.620000 CZK 2025-01-21 -19116.820000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY77 21900000.000000 PA 23285992.100000 0.14908 Long DBT CORP US N 2 2030-03-21 Floating 3.79 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 5100000.000000 PA USD 5124854.090000 0.03281 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 6.5174 N N N N N N N/A N/A 000000000 1.000000 NC 46292.720000 0.0002964 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 545233728.470000 INR 6404719.000000 USD 2025-01-17 46292.720000 N N N OLYMPUS CORPORATION 5299000Y52IFDI1I2A21 68163WAA7 8700000.000000 PA USD 8262460.210000 0.0528973 Long DBT CORP JP N 2 2026-12-08 Fixed 2.143 N N N N N N N/A N/A 000000000 1.000000 NC -252862.060000 -0.0016189 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2033-09-20 0.000000 JPY -136696.570000 JPY 4050000000.000000 JPY -116165.490000 N N N N/A N/A 000000000 1.000000 NC 147335.080000 0.0009433 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 284778889.840000 CNY 39137333.000000 USD 2025-05-12 147335.080000 N N N N/A N/A 000000000 1.000000 NC -2261158.580000 -0.0144762 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2029-10-02 0.000000 CAD -4349491.100000 CAD 65800000.000000 CAD 2088332.520000 N N N STWD 2022-FL3 LTD N/A 78485KAA3 18713149.390000 PA USD 18724867.380000 0.119879 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.94757 N N N N N N N/A N/A 000000000 1.000000 NC -824200.680000 -0.0052766 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15996047.090000 USD 22402463943.000000 KRW 2025-01-15 -824200.680000 N N N N/A N/A 000000000 1.000000 NC 17448.240000 0.0001117 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11894089789.000000 IDR 751606.000000 USD 2025-01-22 17448.240000 N N N N/A N/A 000000000 1.000000 NC 447969.580000 0.002868 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11539527390.000000 KRW 8263000.000000 USD 2025-01-15 447969.580000 N N N N/A N/A 000000000 1.000000 NC 44074.610000 0.0002822 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7369000.000000 AUD 4605182.120000 USD 2025-01-15 44074.610000 N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 120602.630000 PA USD 101804.150000 0.0006518 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.64322 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 11465.630000 PA USD 11399.170000 0.000073 Long ABS-MBS CORP US N 2 2033-06-25 Floating 6.19926 N N N N N N COUNTRYWIDE HOME LOANS 2005-7 N/A 12669GNL1 190258.540000 PA USD 174849.370000 0.0011194 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.99322 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAF5 547000.000000 PA USD 547832.960000 0.0035073 Long ABS-O CORP US N 3 2054-11-25 Fixed 8.75 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1 N/A 17290FBA6 33155171.790000 PA USD 27694263.020000 0.177302 Long ABS-MBS CORP US N 2 2051-11-27 Fixed 3 N N N N N N N/A N/A 000000000 783000000.000000 NC USD 611523.000000 0.003915 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 08/22/25-1Y LCH 2026-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-08-20 XXXX -265437.000000 N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 180787.740000 PA USD 124461.800000 0.0007968 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.51322 N N N N N N N/A N/A 000000000 1.000000 NC USD 2657274.620000 0.0170122 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-19 2602667.550000 USD 0.000000 USD 40100000.000000 USD 54607.070000 N N N N/A N/A 000000000 1.000000 NC 902278.110000 0.0057765 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 15394558.000000 EUR 16857634.700000 RON 2025-01-17 902278.110000 N N N N/A N/A 000000000 1.000000 NC 2138.120000 0.0000137 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-10-02 0.000000 ILS 0.000000 ILS 86400000.000000 ILS 2138.120000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 2708996.350000 PA USD 2253425.520000 0.0144267 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.79107 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638AV4 237800000.000000 PA 63182299.770000 0.404501 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF94 17200000.000000 PA 18582017.030000 0.118964 Long DBT NUSS RO N 2 2033-09-18 Fixed 6.375 N N N N N N FNMA PASS THRU POOLS N/A 3140QSUE9 20922.530000 PA USD 21442.080000 0.0001373 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.5 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NC67 5000000.000000 PA USD 4721809.000000 0.0302296 Long DBT MUN US N 2 2027-06-01 Fixed 2.332 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BKLH46II9 6405017.100000 PA 689122.970000 0.0044119 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -104358.010000 -0.0006681 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12111874.560000 USD 86866364.340000 CNY 2025-03-04 -104358.010000 N N N N/A N/A 000000000 1.000000 NC -45186.350000 -0.0002893 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 8677487.000000 USD 62297414.670000 CNY 2025-01-17 -45186.350000 N N N N/A N/A 000000000 1.000000 NC -5111344.400000 -0.0327235 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-09-18 0.000000 THB -181346.420000 THB 7249890000.000000 THB -4929997.980000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAB4 5260000.000000 PA USD 5267013.890000 0.0337201 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.35 N N N N N N N/A N/A 000000000 1.000000 NC -148031.120000 -0.0009477 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 39137333.000000 USD 286086076.760000 CNY 2025-01-15 -148031.120000 N N N MANSARD MORTGAGES PLC 2007-2X N/A B29VVWII5 2129056.300000 PA 2640710.440000 0.0169062 Long ABS-MBS CORP GB N 2 2049-12-15 Floating 5.4753 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PF2 20900000.000000 PA USD 20890066.650000 0.133741 Long DBT CORP US N 2 2030-02-13 Floating 5.174 N N N N N N N/A N/A 000000000 1.000000 NC -452133.320000 -0.0028946 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR -39848.090000 EUR 257800000.000000 EUR -412285.230000 N N N N/A N/A 000000000 1.000000 NC 36390541.800000 0.232977 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-19 32314946.860000 EUR 0.000000 EUR 2614135200.000000 EUR 4075594.940000 N N N EXPORT DEVELOPMENT CANADA (EDC) Z6MHCSLXHKYG4B6PHW02 ACI2N3ML9 2119600000.000000 PA 24634015.150000 0.15771 Long DBT CORP CA N 2 2029-03-11 Fixed 7.13 N N N N N N N/A N/A 000000000 1.000000 NC USD 91575614.390000 0.586278 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2029-12-20 89432392.060000 USD 0.000000 USD 4037400000.000000 USD 2143222.330000 N N N CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A N/A ACI2MRXW1 14438457.870000 PA 14973301.980000 0.0958609 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 4.403 N N N N N N N/A N/A 000000000 1.000000 NC -23915.720000 -0.0001531 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5658136.200000 USD 40682565.090000 CNY 2025-01-23 -23915.720000 N N N N/A N/A 000000000 1.000000 NC -483163.390000 -0.0030933 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -1217470.470000 EUR 18800000.000000 EUR 734307.080000 N N N N/A N/A 000000000 1.000000 NC -44045.390000 -0.000282 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5415124.000000 USD 463336962.370000 INR 2025-03-21 -44045.390000 N N N N/A N/A 000000000 1.000000 NC -53488.710000 -0.0003424 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6201853.000000 USD 44355652.660000 CNY 2025-01-13 -53488.710000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 7428408.000000 PA USD 3817221.900000 0.0244383 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.71322 N N N N N N GNMA PASS THRU POOLS N/A 36179XNB8 662773.700000 PA USD 575352.940000 0.0036835 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 50524.930000 PA USD 47969.700000 0.0003071 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.91223 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2X1 13300000.000000 PA USD 13347941.580000 0.0854552 Long DBT CORP FR N 2 2035-02-20 Floating 5.738 N N N N N N N/A N/A 000000000 1.000000 NC USD 494481.760000 0.0031657 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-15 0.000000 USD 0.000000 USD 28200000.000000 USD 494481.760000 N N N N/A N/A 000000000 1.000000 NC USD 11810349.270000 0.0756113 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -26489100000.000000 JPY 190158650.390000 USD 2026-01-21 402626.740000 N N N FHLMC PASS THRU POOLS N/A 3133AFG62 1214825.980000 PA USD 997230.570000 0.0063844 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR15 N/A 45660LVM8 3158708.640000 PA USD 2568623.650000 0.0164446 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.25078 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1J8690 1400000.000000 PA 1153219.780000 0.0073831 Long DBT NUSS RO N 2 2032-01-28 Fixed 2 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI1GD4J2 22106220000.000000 PA 14008573.990000 0.0896846 Long DBT NUSS KR N 2 2029-12-10 Fixed 1.375 N N N N N N MDGH GMTN (RSC) LTD 213800WRY6FRL9IXLT77 55285GAB0 6600000.000000 PA USD 6737841.000000 0.0431365 Long DBT MUN AE N 2 2033-04-28 Fixed 5.5 N N N N N N N/A N/A 000000000 -98535000.000000 NC USD -87400.550000 -0.0005595 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-01-21 N/A 7.200000 USD 2025-01-17 XXXX 591998.280000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 28000000.000000 PA 19050008.390000 0.121961 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -70487.190000 -0.0004513 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9749825.000000 USD 834989637.740000 INR 2025-03-21 -70487.190000 N N N N/A N/A 000000000 1.000000 NC -9533.130000 -0.000061 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1627702.000000 USD 11702363.530000 CNY 2025-02-20 -9533.130000 N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 2294000.000000 PA USD 2261685.780000 0.0144796 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAA8 5741766.040000 PA USD 5684637.760000 0.0363938 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 USD 6710460.740000 0.0429612 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-06-20 6248652.780000 USD 0.000000 USD 869700000.000000 USD 461807.960000 N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 25547.050000 PA USD 23737.140000 0.000152 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.72822 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 62519.460000 PA USD 46406.980000 0.0002971 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 N N N N N N N/A N/A 000000000 -51600000.000000 NC USD -984218.400000 -0.0063011 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.84000 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.840000 USD 2025-01-06 XXXX -848768.400000 N N N N/A N/A 000000000 1.000000 NC -7744.400000 -0.0000496 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8569272.000000 USD 738561559.720000 INR 2025-03-21 -7744.400000 N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFS7 356900000.000000 PA 246183464.970000 1.5761 Long DBT NUSS CA N 2 2033-09-01 Fixed 3.6 N N N N N N N/A N/A 000000000 1.000000 NC -55469.750000 -0.0003551 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2843957.000000 USD 45014151396.000000 IDR 2025-01-08 -55469.750000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 32500000.000000 PA 7909726.100000 0.050639 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAE4 19167000.000000 PA USD 17235232.820000 0.110342 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.89322 N N N N N N N/A N/A 000000000 1.000000 NC 20336.270000 0.0001302 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 103064.730000 CAD 0.000000 CAD 12400000.000000 CAD -82728.460000 N N N ICG US CLO LTD 2021-1A N/A 449303AL0 12100000.000000 PA USD 12121035.000000 0.0776004 Long ABS-CBDO CORP KY N 2 2034-04-17 Floating 5.91745 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KC0 2500000.000000 PA USD 2354714.730000 0.0150752 Long DBT CORP US N 2 2032-03-01 Fixed 4.4 N N N N N N MADISON PARK FUNDING XXIX LTD 2018-29A N/A 55820CAN5 11268343.960000 PA USD 11286976.620000 0.0722606 Long ABS-CBDO CORP KY N 2 2030-10-18 Floating 5.81235 N N N N N N N/A N/A 000000000 1.000000 NC -752.360000 -0.0000048 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 445042.000000 USD 7187828838.000000 IDR 2025-01-15 -752.360000 N N N WEST STREET GLOBAL GROWTH PARTNERS LP 549300VKOBL0QVVJAP44 BA0004RR0 7500000.000000 PA USD 7612500.000000 0.0487362 Long ABS-MBS CORP US N 3 2026-05-29 Fixed 7.73 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 89899.050000 PA USD 25446.680000 0.0001629 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.85322 N N N N N N N/A N/A 000000000 1.000000 NC 1502330.580000 0.0096181 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-01-10 255017.710000 EUR 0.000000 EUR 295300000.000000 EUR 1247312.870000 N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 1928571.860000 PA USD 100247.360000 0.0006418 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 1.60194 N N N N N N N/A N/A 000000000 62500000.000000 NC USD 2508143.750000 0.0160574 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96000 06/27/25-30Y LCH 2055-06-27 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2025-06-25 XXXX 392759.130000 N N N N/A N/A 000000000 1.000000 NC USD 4688101.760000 0.0300138 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 -12304800000.000000 JPY 87891428.570000 USD 2026-02-03 165350.990000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5 N/A 81379EAA0 158748.790000 PA USD 119045.130000 0.0007621 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.58322 N N N N N N N/A N/A 000000000 1.000000 NC USD 2792438.690000 0.0178775 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 2310861.920000 USD 0.000000 USD 32900000.000000 USD 481576.770000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAA0 2496959.640000 PA USD 2124498.660000 0.0136013 Long ABS-MBS CORP US N 2 2047-11-25 Floating 6.20522 N N N N N N N/A N/A 000000000 1.000000 NC 316065.810000 0.0020235 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 60816336.140000 ILS 17076525.000000 USD 2025-03-17 316065.810000 N N N N/A N/A 000000000 1.000000 NC -5160.180000 -0.000033 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 250559.000000 USD 3961438014.000000 IDR 2025-01-08 -5160.180000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-7 N/A 17307GA57 691299.780000 PA USD 608202.710000 0.0038938 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.07245 N N N N N N N/A N/A 000000000 1.000000 NC USD -221930.700000 -0.0014208 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -14889200000.000000 JPY 100738836.300000 USD 2026-02-03 202434.520000 N N N N/A N/A 000000000 2650000.000000 NC USD 568814.550000 0.0036416 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-02-18 N/A 7.450000 USD 2025-02-14 XXXX 160714.550000 N N N N/A N/A 000000000 1.000000 NC -646171.340000 -0.0041369 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR 0.000000 EUR 160000000.000000 EUR -646171.340000 N N N N/A N/A 000000000 1.000000 NC 266255.380000 0.0017046 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 283297051.320000 CNY 39053370.000000 USD 2025-05-12 266255.380000 N N N GSR MORTGAGE LOAN TRUST 2007-OA1 N/A 3622NAAA8 2582901.740000 PA USD 1219404.960000 0.0078068 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.68322 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2003-5 N/A 885220EB5 19296.190000 PA USD 17718.130000 0.0001134 Long ABS-MBS CORP US N 2 2043-10-25 Floating 6.09128 N N N N N N N/A N/A 000000000 -25500000.000000 NC USD -140836.500000 -0.0009017 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-05-19 N/A 7.080000 USD 2025-05-15 XXXX 149608.500000 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 3500000.000000 PA 3732824.320000 0.023898 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N FNMA PASS THRU POOLS N/A 31418EW55 7316303.840000 PA USD 7478783.660000 0.0478801 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 288249.940000 0.0018454 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 108561425.910000 RON 22854115.000000 EUR 2025-02-04 288249.940000 N N N N/A N/A 000000000 1.000000 NC 748639.580000 0.0047929 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 414547564.290000 CNY 57505686.000000 USD 2025-05-12 748639.580000 N N N FHLMC PASS THRU POOLS N/A 3132DWLU5 621239196.420000 PA USD 624565217.890000 3.99854 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36225CGH3 1165.690000 PA USD 1158.190000 0.0000074 Long ABS-MBS USGSE US N 2 2028-05-20 Floating 4.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 6574218.000000 PA USD 6638328.850000 0.0424994 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC -31866.190000 -0.000204 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 63435356.290000 PEN 16806739.160000 USD 2025-04-15 -31866.190000 N N N N/A N/A 000000000 1.000000 NC -734802.010000 -0.0047043 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2042-09-21 0.000000 EUR -1968585.860000 EUR 27930000.000000 EUR 1233783.850000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B93 7500000.000000 PA USD 6720667.650000 0.0430265 Long DBT CORP US N 2 2029-02-10 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -19541.790000 -0.0001251 N/A DIR MY N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A Klibor Interbank Offered Rate Y 2035-03-19 42052.290000 MYR 0.000000 MYR 55280000.000000 MYR -61594.080000 N N N N/A N/A 000000000 1.000000 NC USD -2717853.000000 -0.0174 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-30 0.000000 USD -2392293.110000 USD 69800000.000000 USD -325559.890000 N N N SPAIN GOVT 9598007A56S18711AH60 566648II4 900000.000000 PA 1145165.290000 0.0073315 Long DBT NUSS ES N 2 2029-04-06 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -4306.960000 -0.0000276 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1699686994.000000 KRW 1149392.000000 USD 2025-03-19 -4306.960000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JN8 100000.000000 PA USD 86955.300000 0.0005567 Long DBT CORP US N 2 2050-07-01 Fixed 4.95 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 1452074.500000 PA USD 1271156.040000 0.0081381 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.83322 N N N N N N N/A N/A 000000000 1.000000 NC USD 39245176.030000 0.251252 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-06-15 33628022.270000 USD 0.000000 USD 101570000.000000 USD 5617153.760000 N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAE2 10924505.840000 PA USD 3522727.080000 0.0225529 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.75322 N N N N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 162997.310000 PA USD 162222.420000 0.0010386 Long ABS-MBS CORP US N 2 2029-06-25 Floating 5.39322 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX3 N/A 45670AAA9 244772.820000 PA USD 222598.780000 0.0014251 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.93322 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 13932913.270000 PA USD 13960779.100000 0.0893786 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.03901 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZL1 2600000.000000 PA USD 2627663.350000 0.0168226 Long DBT CORP US N 2 2028-02-24 Floating 5.6631 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172DG1 13000000.000000 PA USD 12988508.390000 0.083154 Long DBT CORP US N 2 2029-02-13 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 72934.020000 0.0004669 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 25619000.000000 ILS 7133310.090000 USD 2025-03-17 72934.020000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HY6 900000.000000 PA USD 673021.330000 0.0043088 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 294005.580000 PA USD 272289.030000 0.0017432 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.68322 N N N N N N N/A N/A 000000000 1.000000 NC 1499426.290000 0.0095995 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12456253.000000 USD 554801508.620000 TRY 2025-05-06 1499426.290000 N N N FANNIE MAE 2003-34 N/A 31393CEY5 83637.380000 PA USD 83867.800000 0.0005369 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -68945.910000 -0.0004414 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 28534757.800000 PEN 7504604.530000 USD 2025-04-21 -68945.910000 N N N FNMA PASS THRU POOLS N/A 3140QSXT3 3471073.290000 PA USD 3432865.830000 0.0219776 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N RMAC SECURITIES PLC 2007-NS1X N/A B1ZPGKII4 983762.030000 PA 1207740.530000 0.0077321 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.9765 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJT1 20576473.380000 PA USD 21013652.240000 0.134532 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -90819.770000 -0.0005814 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12653540.000000 USD 1083725086.840000 INR 2025-03-21 -90819.770000 N N N N/A N/A 000000000 1.000000 NC 281069.690000 0.0017994 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 75839248.230000 CNY 10617000.000000 USD 2025-01-16 281069.690000 N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 60835.400000 PA USD 61096.480000 0.0003911 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.07322 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2P52B6 5430000000.000000 PA 34482924.340000 0.220764 Long DBT NUSS JP N 2 2025-05-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 5073343.580000 0.0324802 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2029-09-18 726129.390000 CNY 0.000000 CNY 1376030000.000000 CNY 4347214.190000 N N N UMBS PASS THRU POOLS N/A 01F042632 804700000.000000 PA USD 756420880.830000 4.8427 Long ABS-MBS USGSE US N 2 2055-03-13 Fixed 4.5 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAF4 834000.000000 PA USD 832699.710000 0.005331 Long ABS-O CORP US N 3 2054-11-25 Fixed 8.75 N N N N N N N/A N/A 000000000 1.000000 NC -96850.530000 -0.00062 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-01-31 0.000000 EUR -3713.140000 EUR 66250000.000000 EUR -93137.390000 N N N N/A N/A 000000000 1.000000 NC 19303556.240000 0.123584 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1354068677.460000 CAD 961737487.010000 USD 2025-01-15 19303556.240000 N N N N/A N/A 000000000 1.000000 NC 653627.510000 0.0041846 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13269945067.000000 KRW 9647325.940000 USD 2025-01-08 653627.510000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13 N/A 02149DAN9 48001.910000 PA USD 41757.740000 0.0002673 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.67363 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BJ2 99000.000000 PA USD 94383.100000 0.0006043 Long DBT CORP US N 2 2028-02-15 Fixed 3.75 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNK5 15496941.000000 PA USD 15301451.890000 0.0979618 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EW30 13394183.400000 PA USD 13231578.420000 0.0847102 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 12.000000 NC USD -23676.900000 -0.0001516 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2025-12-16 2880675.000000 USD -23676.900000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AU0 14000000.000000 PA USD 13123572.000000 0.0840187 Long DBT NUSS HU N 2 2036-03-26 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 36568.690000 PA USD 30928.240000 0.000198 Long ABS-MBS CORP US N 2 2046-03-20 Floating 4.90474 N N N N N N N/A N/A 000000000 1.000000 NC 33398.310000 0.0002138 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 825154483.000000 HUF 2110900.000000 USD 2025-01-02 33398.310000 N N N N/A N/A 000000000 1.000000 NC -318171.370000 -0.002037 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 19163790.000000 USD 77871313.280000 PLN 2025-01-17 -318171.370000 N N N N/A N/A 000000000 1.000000 NC 152486.190000 0.0009762 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2029-09-18 0.000000 ILS 0.000000 ILS 51300000.000000 ILS 152486.190000 N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAD7 955074.340000 PA USD 490265.060000 0.0031387 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.80322 N N N N N N N/A N/A 000000000 1.000000 NC -42318.960000 -0.0002709 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 1796281.000000 USD 19966577.620000 NOK 2025-01-15 -42318.960000 N N N COUNTRYWIDE HOME LOANS 2007-13 N/A 17025JAB9 991025.480000 PA USD 466448.840000 0.0029863 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N BANK OF AMERICA MTGE SEC 2005-H N/A 05949CFW1 9577.360000 PA USD 8412.140000 0.0000539 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.77492 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1KDG39 59100000.000000 PA 27471882.220000 0.175878 Long DBT CORP AU N 2 2034-07-20 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 1313.240000 0.0000084 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1925508.380000 PEN 512362.200000 USD 2025-04-22 1313.240000 N N N ASSET BACKED SEC CORP HOME EQ 2003-HE2 N/A 04541GDS8 279988.240000 PA USD 278350.220000 0.001782 Long ABS-MBS CORP US N 2 2033-04-15 Floating 5.86157 N N N N N N N/A N/A 000000000 1.000000 NC -84119.320000 -0.0005385 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3336534.680000 USD 4673000.000000 CAD 2025-01-15 -84119.320000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3 N/A 25150WAA2 235762.780000 PA USD 213820.690000 0.0013689 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.73322 N N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 4551253.590000 PA 4713250.310000 0.0301748 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 3.869 N N N N N N N/A N/A 000000000 1.000000 NC -105701.990000 -0.0006767 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12635289.000000 USD 1080866844.570000 INR 2025-03-21 -105701.990000 N N N N/A N/A 000000000 1.000000 NC USD 2900998.420000 0.0185726 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -199870.000000 USD 50600000.000000 USD 3100868.420000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA87 15000000.000000 PA USD 15314116.200000 0.0980429 Long DBT CORP US N 2 2030-04-25 Floating 5.727 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRL3 22500000.000000 PA USD 22063725.000000 0.141255 Long DBT NUSS IL N 2 2034-03-12 Fixed 5.5 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 32336.750000 PA USD 8864.470000 0.0000568 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.57322 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 2177337.080000 PA USD 1960348.540000 0.0125504 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 52102.470000 0.0003336 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2678973.000000 USD 101780881.700000 TRY 2025-02-25 52102.470000 N N N CHINA GOVT 300300CHN201808MOF68 ACI233GD6 13600000.000000 PA 1910259.160000 0.0122297 Long DBT NUSS CN N 2 2027-01-20 Fixed 2.37 N N N N N N N/A N/A 000000000 1.000000 NC -1026288.350000 -0.0065704 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2035-03-19 0.000000 JPY -1038944.560000 JPY 18230000000.000000 JPY 12656.210000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1 N/A 64831HAM5 12642686.460000 PA USD 12789409.890000 0.0818794 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.864 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAT0 54200000.000000 PA USD 52677826.060000 0.33725 Long DBT CORP US N 2 2030-09-19 Floating 4.542 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMZ8B6II2 8800000.000000 PA 2939835.280000 0.0188212 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 3534.580000 PA USD 3372.000000 0.0000216 Long ABS-MBS CORP US N 2 2033-10-25 Floating 7.72413 N N N N N N N/A N/A 000000000 1.000000 NC 3210979.740000 0.0205571 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-06-19 0.000000 CAD -28464.510000 CAD 395400000.000000 CAD 3239444.250000 N N N N/A N/A 000000000 1.000000 NC 86906.200000 0.0005564 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1076021211.240000 INR 12635289.000000 USD 2025-01-17 86906.200000 N N N WASHINGTON MUTUAL 2005-AR4 N/A 92922FG77 77132.640000 PA USD 74202.180000 0.0004751 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.54709 N N N N N N DRSLF-2017-54A N/A 26244RAF8 12188807.100000 PA USD 12213184.710000 0.0781903 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 5.7674 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAA5 9081000.000000 PA USD 9096578.910000 0.0582374 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.15 N N N N N N FNMA PASS THRU POOLS N/A 3140AHRF1 6988821.290000 PA USD 7030831.440000 0.0450123 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 271849.440000 0.0017404 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8963000.000000 AUD 5819577.310000 USD 2025-01-15 271849.440000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3B7 10000000.000000 PA USD 9660986.700000 0.0618508 Long DBT CORP US N 2 2033-07-25 Floating 4.897 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 262840.830000 PA USD 239917.750000 0.001536 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.959 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 11608.330000 PA USD 11484.880000 0.0000735 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -159946.980000 -0.001024 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10042103.000000 USD 847392819.550000 INR 2025-01-17 -159946.980000 N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCU5 444763.650000 PA USD 434201.050000 0.0027798 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.01322 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PXFN5 6332000000.000000 PA 39886227.590000 0.255357 Long DBT NUSS JP N 2 2054-06-20 Fixed 2.2 N N N N N N N/A N/A 000000000 1.000000 NC 14147.610000 0.0000906 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1130109.490000 SGD 842099.000000 USD 2025-01-15 14147.610000 N N N N/A N/A 000000000 1.000000 NC -30391.690000 -0.0001946 N/A DFE PL N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1892167.520000 USD 7696942.010000 PLN 2025-01-31 -30391.690000 N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 174499.020000 PA USD 157413.000000 0.0010078 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.09322 N N N N N N N/A N/A 000000000 1.000000 NC USD -22280978.200000 -0.142646 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-03-19 0.000000 USD -16892547.000000 USD 192400000.000000 USD -5388431.200000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI2CXND2 65970120000.000000 PA 49007682.790000 0.313753 Long DBT NUSS KR N 2 2053-03-10 Fixed 3.25 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 15232968960.000000 PA 100636634.360000 0.644288 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2MHL63 42100000.000000 PA 39471625.490000 0.252702 Long DBT NUSS FR N 2 2049-06-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -87727.860000 -0.0005616 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6571192.000000 USD 555955699.160000 INR 2025-01-17 -87727.860000 N N N KKR CLO 28 LTD 28A N/A 48253WAL6 14400000.000000 PA USD 14461894.660000 0.0925868 Long ABS-CBDO CORP KY N 2 2035-02-09 Floating 6.0873 N N N N N N N/A N/A 000000000 1.000000 NC 250656.910000 0.0016047 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 197908842.700000 CNY 27346996.000000 USD 2025-05-12 250656.910000 N N N N/A N/A 000000000 1.000000 NC -4227400.640000 -0.0270643 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2026-09-18 8424186.300000 GBP 0.000000 GBP 1137000000.000000 GBP -12651586.940000 N N N N/A N/A 000000000 1.000000 NC 6206452.220000 0.0397345 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 111923051983.000000 KRW 82062243.000000 USD 2025-01-08 6206452.220000 N N N FNMA PASS THRU POOLS N/A 31402LPB2 10309.020000 PA USD 10422.600000 0.0000667 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 6.025 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 2626164.460000 PA USD 2629731.050000 0.0168359 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 5.72841 N N N N N N N/A N/A 000000000 1.000000 NC -13798.620000 -0.0000883 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 63727770.200000 THB 1860936.490000 USD 2025-02-20 -13798.620000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFT7 10800000.000000 PA USD 10627727.900000 0.06804 Long DBT CORP US N 2 2035-07-19 Floating 5.32 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 28103ANF7 3250000.000000 PA USD 3243776.250000 0.0207671 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 2697893.610000 0.0172722 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 236300000.000000 BRL 38554413.440000 USD 2025-10-02 2697893.610000 N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 778405.860000 PA USD 652328.790000 0.0041763 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.73322 N N N N N N N/A N/A 000000000 1.000000 NC 184507.340000 0.0011812 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 185853449.920000 CNY 25513584.330000 USD 2025-01-15 184507.340000 N N N BANC OF AMERICA FUNDING CORP 2007-2 N/A 05951GBL5 111537.240000 PA USD 85031.430000 0.0005444 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 906592.810000 0.0058041 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 38927000.000000 EUR 41248462.250000 USD 2025-01-15 906592.810000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPH004 1600000.000000 PA USD 200000.000000 0.0012804 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 21400000.000000 NC 10093071.810000 0.0646171 N/A DIR DE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased FRANCE GOVT FRANCE GOVT OAT BD N/A 97.000000 EUR 2025-05-23 XXXX 8472977.780000 N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAA0 1462407.090000 PA USD 1414526.130000 0.009056 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.73322 N N N N N N N/A N/A 000000000 1.000000 NC -42464.780000 -0.0002719 N/A DIR MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 N/A Klibor Interbank Offered Rate Y 2030-03-19 0.000000 MYR -70876.860000 MYR 96740000.000000 MYR 28412.080000 N N N GREYWOLF CLO III LTD 2020-3RA N/A 39809CAY0 6500000.000000 PA USD 6522770.870000 0.0417596 Long ABS-CBDO CORP KY N 2 2033-04-22 Floating 6.18324 N N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 2053860.060000 PA USD 2055537.280000 0.0131598 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 5.78396 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI24VWS2 2860000000.000000 PA 13795689.730000 0.0883217 Long DBT NUSS JP N 2 2052-03-20 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 4920.690000 0.0000315 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1149392.000000 USD 1703922193.000000 KRW 2025-01-09 4920.690000 N N N N/A N/A 000000000 1.000000 NC -714222.920000 -0.0045725 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 44460000.000000 USD 320956740.000000 CNY 2025-01-21 -714222.920000 N N N MARATHON CLO XIII LTD 2019-1A N/A 56579ABJ8 8683096.160000 PA USD 8697667.000000 0.0556835 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 5.8559 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 80500.650000 PA USD 80437.060000 0.000515 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 5.31205 N N N N N N N/A N/A 000000000 1.000000 NC -1461.380000 -0.0000094 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2766245.600000 PEN 732741.470000 USD 2025-04-21 -1461.380000 N N N N/A N/A 000000000 1.000000 NC USD 865754.710000 0.0055427 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-15 0.000000 USD 0.000000 USD 47100000.000000 USD 865754.710000 N N N N/A N/A 000000000 1.000000 NC USD 26839689.040000 0.171831 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-12-20 14812160.850000 USD 0.000000 USD 223570000.000000 USD 12027528.190000 N N N GNMA PASS THRU POOLS N/A 36225CF50 473.350000 PA USD 470.730000 0.000003 Long ABS-MBS USGSE US N 2 2028-04-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -31094.540000 -0.0001991 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1778058.490000 USD 2510000.000000 CAD 2025-01-15 -31094.540000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 173600000.000000 PA 45917197.690000 0.293968 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -33079.120000 -0.0002118 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4216321.000000 USD 30256319.500000 CNY 2025-02-24 -33079.120000 N N N N/A N/A 000000000 1.000000 NC -1.010000 0 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 559000.000000 MXN 26544.090000 USD 2025-03-03 -1.010000 N N N N/A N/A 000000000 1.000000 NC 1654861.720000 0.0105946 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2190000000.000000 JPY 16133785.180000 USD 2026-01-05 1654861.720000 N N N N/A N/A 000000000 210.000000 NC -1538114.190000 -0.0098472 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-03-06 28861673.660000 EUR -1538114.190000 N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 370171.570000 PA USD 35814.140000 0.0002293 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.85322 N N N N N N N/A N/A 000000000 1.000000 NC -355513.070000 -0.002276 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 16360641.330000 RON 15442580.300000 EUR 2025-01-17 -355513.070000 N N N N/A N/A 000000000 1.000000 NC USD 1594290.630000 0.0102068 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-10 0.000000 USD -236375.000000 USD 77500000.000000 USD 1830665.630000 N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 ACI1SY321 1200000.000000 PA USD 1025052.000000 0.0065625 Long DBT CORP SA N 2 2030-11-24 Fixed 2.25 N N N N N N 2025-03-03 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX