NPORT-P false 0000810893 XXXXXXXX S000069193 C000221063 C000221062 C000221065 C000221066 C000221064 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO ESG Income Fund S000069193 549300KQNYNNUS6TOH07 2025-03-31 2024-12-31 N 351682344.660000 69945490.500000 281736854.160000 0.000000 0.000000 29864730.060000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6673175.260000 AUD GBP NZD ZAR BRL INR MXN JPY PEN USD EUR N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 49933.480000 PA USD 16100.190000 0.0057146 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.59322 N N N N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 656029AN5 1400000.000000 PA USD 1390848.060000 0.493669 Long DBT CORP JP N 2 2029-10-16 Fixed 5.094 N N N N N N N/A N/A 000000000 1.000000 NC USD -3478.550000 -0.0012347 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-07 0.000000 USD -502.500000 USD 100000.000000 USD -2976.050000 N N N FNMA PASS THRU POOLS N/A 3140FXLN0 1266865.830000 PA USD 1065639.990000 0.37824 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 400000.000000 PA USD 333506.880000 0.118375 Long DBT CORP US N 2 2032-07-21 Floating 2.383 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAE2 624935.740000 PA USD 211928.710000 0.0752222 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.69322 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.53300 01/06/25-10Y LCH 2035-01-06 0.000000 USD 0.000000 USD N/A USD N/A 3.530000 USD 2025-01-02 XXXX 634.980000 N N N N/A N/A 000000000 1.000000 NC USD 521989.050000 0.185275 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 148560.000000 USD 0.000000 USD 2400000.000000 USD 373429.050000 N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 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/3.50000 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2025-01-06 XXXX 536.480000 N N N N/A N/A 000000000 1.000000 NC USD 9511.560000 0.003376 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -910.000000 USD 200000.000000 USD 10421.560000 N N N FHLMC PASS THRU POOLS N/A 3132DWG98 417259.370000 PA USD 412576.740000 0.146441 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 36186CBY8 450000.000000 PA USD 498107.030000 0.176799 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAM3 117684.610000 PA USD 48077.290000 0.0170646 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.22591 N N N N N N UNITED UTILITIES WATER FINANCE PLC 213800313INX42GDLR44 ACI2MYMZ1 600000.000000 PA 625114.590000 0.221879 Long DBT CORP GB N 2 2034-05-23 Fixed 3.75 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 550142.540000 PA USD 537098.360000 0.190638 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65 N N N N N N FNMA PASS THRU POOLS N/A 3140QUFM3 4419349.490000 PA USD 4270586.980000 1.51581 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAL6 1097000.000000 PA USD 112643.580000 0.0399818 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.31248 N N N N N N GSAA HOME EQUITY TRUST 2007-9 N/A 3622EEAA0 19137.060000 PA USD 16801.180000 0.0059634 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 8010.410000 0.0028432 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-05-06 0.000000 EUR -305.730000 EUR 200000.000000 EUR 8316.140000 N N N N/A N/A 000000000 1.000000 NC -99100.390000 -0.0351748 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2029-09-18 225557.610000 GBP 0.000000 GBP 15200000.000000 GBP -324658.000000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 000000000 300000.000000 PA USD 258954.090000 0.0919135 Long DBT NUSS CL N 2 2034-01-31 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EMT4 410893.460000 PA USD 405918.590000 0.144077 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 6142.000000 0.00218 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-12-12 0.000000 USD -940.000000 USD 200000.000000 USD 7082.000000 N N N N/A N/A 000000000 1.000000 NC USD 5506.850000 0.0019546 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-12-13 0.000000 USD -1413.750000 USD 600000.000000 USD 6920.600000 N N N CREDIT AGRICOLE ASSURANCES 969500K2MUPSI57XK083 ACI20SW61 500000.000000 PA 446855.210000 0.158607 Long DBT CORP FR N 2 2031-10-06 Fixed 1.5 N N N N N N SHINHAN BANK CO LTD 5493003P813VL21KG928 82460CAR5 500000.000000 PA USD 463749.940000 0.164604 Long DBT CORP KR N 2 2032-04-13 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC -298377.770000 -0.105907 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4264488.350000 USD 24648742.660000 BRL 2025-02-04 -298377.770000 N N N N/A N/A 000000000 1.000000 NC USD -19668.190000 -0.006981 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-26 0.000000 USD -438.170000 USD 50000.000000 USD -19230.020000 N N N FNMA PASS THRU POOLS N/A 3140QUMP8 4108825.010000 PA USD 3867839.590000 1.37286 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 4.5 N N N N N N WORKSPACE GROUP PLC 2138003GUZRFIN3UT430 ACI1W93R6 600000.000000 PA 672638.600000 0.238747 Long DBT CORP GB N 2 2028-03-11 Fixed 2.25 N N N N N N FNMA PASS THRU POOLS N/A 31418ER77 181197.430000 PA USD 175196.520000 0.0621845 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5 N N N N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI21W3V8 200000.000000 PA 192333.990000 0.0682672 Long DBT CORP GG N 2 2028-11-24 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 514376.280000 0.182573 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-20 0.000000 USD -196194.760000 USD 26800000.000000 USD 710571.040000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 614878II9 7540000.000000 PA 415271.860000 0.147397 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.5 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBA3 250000.000000 PA USD 212820.040000 0.0755386 Long DBT CORP US N 2 2031-12-15 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC 8571.630000 0.0030424 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-09 0.000000 EUR -473.200000 EUR 200000.000000 EUR 9044.830000 N N N NEW CENTURY HOME EQUITY LOAN TR 2005-B N/A 64352VNL1 1800000.000000 PA USD 1519074.540000 0.539182 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.18822 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-6 N/A 008684AA0 29002.660000 PA USD 24276.040000 0.0086166 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.64322 N N N N N N N/A N/A 000000000 1.000000 NC USD 3907.320000 0.0013869 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -432.500000 USD 100000.000000 USD 4339.820000 N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6 N/A 05492TBK5 1599000.000000 PA USD 1130557.600000 0.401281 Long ABS-MBS CORP US N 2 2053-02-15 Variable 3.68835 N N N N N N JONES LANG LASALLE INCORPORATED 6SYKCME112RT8TQUO411 48020QAB3 500000.000000 PA USD 529987.410000 0.188114 Long DBT CORP US N 2 2028-12-01 Fixed 6.875 N N N N N N STANDARD INDUSTRIES INC N/A ACI1GX0P8 600000.000000 PA 609694.930000 0.216406 Long DBT CORP US N 2 2026-11-21 Fixed 2.25 N N N N N N N/A N/A 000000000 200000.000000 NC USD 7736.220000 0.0027459 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call 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/2.11000 07/28/32-30Y LCH 2062-07-28 0.000000 USD 0.000000 USD N/A USD N/A 2.110000 USD 2032-07-26 XXXX -24663.780000 N N N N/A N/A 000000000 39.000000 NC USD -101213.580000 -0.0359249 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 4434421.880000 USD -101213.580000 N N N N/A N/A 000000000 1.000000 NC USD -9952.500000 -0.0035326 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-29 0.000000 USD -626.000000 USD 200000.000000 USD -9326.500000 N N N GRAINGER PLC (AKA: GRAINGER TRUST PLC) 2138007CEIRKZMNI2979 ACI1NGD16 100000.000000 PA 110161.230000 0.0391008 Long DBT CORP GB N 2 2030-07-03 Fixed 3 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 146058.000000 PA USD 127673.970000 0.0453167 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.75322 N N N N N N FNMA PASS THRU POOLS N/A 3140QSST9 1697318.570000 PA USD 1554933.100000 0.55191 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QQKU8 438255.920000 PA USD 373500.470000 0.132571 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 31926.080000 0.0113319 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-10-04 0.000000 USD 0.000000 USD 670000.000000 USD 31926.080000 N N N N/A N/A 000000000 1.000000 NC USD -8736.980000 -0.0031011 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -820.000000 USD 200000.000000 USD -7916.980000 N N N ASSET BACKED SEC CORP HOME EQ 2005-HE4 N/A 04541GRR5 402515.760000 PA USD 371618.450000 0.131903 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.29822 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 48816.220000 PA USD 44032.520000 0.015629 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.68714 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAF0 1558204.120000 PA USD 1529227.440000 0.542786 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.88822 N N N N N N FHLMC PASS THRU POOLS N/A 3133C2GD4 1013144.390000 PA USD 1000923.790000 0.355269 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBA5 300000.000000 PA USD 255823.440000 0.0908023 Long DBT CORP NL N 2 2031-05-11 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -4072.460000 -0.0014455 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -380.000000 USD 100000.000000 USD -3692.460000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKH3 5100000.000000 PA USD 5114782.550000 1.81545 Long DBT UST US N 2 2026-03-31 Fixed 4.5 N N N N N N BBCCRE TRUST 2015-GTP N/A 05490TAG7 2660000.000000 PA USD 2205392.430000 0.782784 Long ABS-MBS CORP US N 2 2033-08-10 Variable 4.5626 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ACI2MPXZ8 187400000.000000 PA 2183376.340000 0.77497 Long DBT CORP N/A N 2 2028-02-08 Fixed 6.72 N N N N N N URUGUAY GOVT 549300RDR012H2V82H43 760942BD3 100000.000000 PA USD 88752.790000 0.031502 Long DBT NUSS UY N 2 2055-04-20 Fixed 4.975 N N N N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A 98162JAJ5 1250000.000000 PA USD 262596.000000 0.0932061 Long ABS-MBS CORP US N 2 2036-11-10 Variable 3.59554 N N N N N N FHLMC PASS THRU POOLS N/A 3133KR3C6 1044113.180000 PA USD 955858.410000 0.339274 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 4724.910000 0.0016771 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-06-12 0.000000 EUR -172.210000 EUR 100000.000000 EUR 4897.120000 N N N N/A N/A 000000000 1.000000 NC -624.480000 -0.0002217 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-10-07 0.000000 EUR -374.990000 EUR 200000.000000 EUR -249.490000 N N N GLOBALWORTH REAL ESTATE INVESTMENTS LIMITED 213800R3E823B1UBIA81 ACI2NWFK5 376001.200000 PA 391354.820000 0.138908 Long DBT CORP GG N 2 2030-03-31 Fixed 6.25 N N N N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH 2549002JHJ73KGETOK78 05971BAG4 200000.000000 PA USD 192936.270000 0.068481 Long DBT CORP BR N 2 2026-01-11 Fixed 2.75 N N N N N N GRAPHIC PACKAGING INTERNATIONAL LLC SO75N4VY5NXGQSK8YQ65 ACI21QJC6 400000.000000 PA 395963.920000 0.140544 Long DBT CORP US N 2 2029-02-01 Fixed 2.625 N N N N N N N/A N/A 000000000 1.000000 NC USD -4494.210000 -0.0015952 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-10 0.000000 USD -750.000000 USD 200000.000000 USD -3744.210000 N N N N/A N/A 000000000 -200000.000000 NC USD -515.980000 -0.0001831 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/4.28600 01/29/25-10Y LCH 2035-01-29 0.000000 USD 0.000000 USD N/A USD N/A 4.290000 USD 2025-01-27 XXXX 131.520000 N N N N/A N/A 000000000 1.000000 NC USD 925564.140000 0.328521 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-05-22 179439.910000 USD 0.000000 USD 18580000.000000 USD 746124.230000 N N N N/A N/A 000000000 1.000000 NC -1720.840000 -0.0006108 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-19 0.000000 EUR -263.360000 EUR 100000.000000 EUR -1457.480000 N N N N/A N/A 000000000 -7.000000 NC USD 30067.270000 0.0106721 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-20 -830265.630000 USD 30067.270000 N N N N/A N/A 000000000 1.000000 NC USD 5318.800000 0.0018879 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-06 0.000000 USD -790.000000 USD 200000.000000 USD 6108.800000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF11 500000.000000 PA 538149.830000 0.191012 Long DBT NUSS RO N 2 2028-09-18 Fixed 5.5 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF4 N/A 362334FV1 1690487.700000 PA USD 1609698.450000 0.571348 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.99322 N N N N N N LIBERTY STREET TRUST 2016-225L N/A 902055AE2 1550000.000000 PA USD 1384806.740000 0.491525 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 4.501 N N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3 N/A 76113WAE3 512702.000000 PA USD 102902.570000 0.0365244 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.76322 N N N N N N FNMA PASS THRU POOLS N/A 3140MW2U9 449856.860000 PA USD 444546.660000 0.157788 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 500000.000000 PA USD 426263.730000 0.151299 Long DBT CORP US N 2 2032-04-22 Floating 2.615 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QL8W8 1000000.000000 PA 1038988.450000 0.36878 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 5.084 N N N N N N N/A N/A 000000000 1.000000 NC USD 14035.550000 0.0049818 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -717.500000 USD 200000.000000 USD 14753.050000 N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAL8 1500000.000000 PA USD 1462374.000000 0.519057 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 3.911 N N N N N N N/A N/A 000000000 1.000000 NC 4655.550000 0.0016524 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-05 0.000000 EUR -317.000000 EUR 100000.000000 EUR 4972.550000 N N N N/A N/A 000000000 1.000000 NC 1980.940000 0.0007031 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 67000.000000 AUD 43451.180000 USD 2025-01-15 1980.940000 N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AD5 300000.000000 PA USD 264580.190000 0.0939104 Long DBT CORP US N 2 2030-09-15 Fixed 3.75 N N N N N N WELLS FARGO MTG BKD SEC 2007-15 N/A 949797AA2 77334.990000 PA USD 71856.070000 0.0255047 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6 N N N N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH 2549002JHJ73KGETOK78 05971AAG6 800000.000000 PA USD 771745.080000 0.273924 Long DBT CORP BR N 2 2026-01-11 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -5102.660000 -0.0018111 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-19 0.000000 EUR -374.830000 EUR 200000.000000 EUR -4727.830000 N N N N/A N/A 000000000 -200000.000000 NC USD -281.380000 -0.0000999 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/3.82200 01/23/25-10Y LCH 2035-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.820000 USD 2025-01-21 XXXX 323.620000 N N N N/A N/A 000000000 -1.000000 NC -870.110000 -0.0003088 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 -371.500000 N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBE3 150000.000000 PA USD 121511.820000 0.0431295 Long DBT CORP US N 2 2032-04-01 Fixed 2.55 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565ASK0 400000.000000 PA USD 338153.520000 0.120025 Long DBT CORP FR N 2 2031-02-25 Floating 4.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 9135.760000 0.0032427 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-21 0.000000 USD -680.000000 USD 200000.000000 USD 9815.760000 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 ACI1NVLN6 400000.000000 PA 409681.160000 0.145413 Long DBT CORP NL N 2 2027-06-29 Floating 4.375 N N N N N N STRUCTURED ASSET INVST LN TR 2005-4 N/A 86358ESP2 1639000.000000 PA USD 1465065.390000 0.520012 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.42822 N N N N N N N/A N/A 000000000 1.000000 NC USD 9587.120000 0.0034029 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-20 0.000000 USD -710.000000 USD 200000.000000 USD 10297.120000 N N N N/A N/A 000000000 1.000000 NC 7627.340000 0.0027073 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-05-02 0.000000 EUR -289.470000 EUR 200000.000000 EUR 7916.810000 N N N N/A N/A 000000000 1.000000 NC USD 18383.110000 0.0065249 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 7719.920000 USD 0.000000 USD 510000.000000 USD 10663.190000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC N/A 466330AL1 900000.000000 PA USD 901665.720000 0.320038 Long ABS-MBS CORP US N 2 2038-04-15 Floating 6.46248 N N N N N N SUNNOVA SOL V ISSUER LLC 2023-1A N/A 86745XAA4 1061165.760000 PA USD 1010835.730000 0.358787 Long ABS-O CORP US N 2 2058-04-30 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -961.480000 -0.0003413 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-30 0.000000 USD -640.000000 USD 200000.000000 USD -321.480000 N N N N/A N/A 000000000 1.000000 NC USD 8967.600000 0.003183 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -720.000000 USD 200000.000000 USD 9687.600000 N N N N/A N/A 000000000 -200000.000000 NC USD -2860.680000 -0.0010154 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2025-01-06 XXXX -2324.180000 N N N N/A N/A 000000000 1.000000 NC USD -8991.090000 -0.0031913 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -850.000000 USD 200000.000000 USD -8141.090000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAG9 300000.000000 PA USD 141283.680000 0.0501474 Long ABS-MBS CORP US N 2 2036-03-15 Floating 7.61248 N N N N N N N/A N/A 000000000 1.000000 NC 267457.730000 0.0949318 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-06-16 90495.100000 JPY 0.000000 JPY 1600000000.000000 JPY 176962.630000 N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAA0 78654.760000 PA USD 76591.610000 0.0271855 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.87322 N N N N N N N/A N/A 000000000 1.000000 NC USD -1657.740000 -0.0005884 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-17 0.000000 USD -525.000000 USD 100000.000000 USD -1132.740000 N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAA8 263270.600000 PA USD 234316.570000 0.0831686 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.77322 N N N N N N RENEW PRIVATE LIMITED 335800BITJZHVZ1CN475 Y7279WAA9 200000.000000 PA USD 196106.790000 0.0696064 Long DBT CORP IN N 2 2027-03-05 Fixed 5.875 N N N N N N RESIDENTIAL ASSET MTG PROD INC 2003-RS9 N/A 760985B34 199695.150000 PA USD 197830.580000 0.0702182 Long ABS-MBS CORP US N 2 2033-10-25 Floating 5.44322 N N N N N N VILMORIN & CIE 969500TQ4OAZZXSUPZ18 ACI1WKXC1 400000.000000 PA 373561.280000 0.132592 Long DBT CORP FR N 2 2028-03-26 Fixed 1.375 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863DX3 300000.000000 PA USD 286416.280000 0.101661 Long DBT NUSS CL N 2 2027-01-31 Fixed 2.75 N N N N N N ARGENT SECURITIES INC 2004-W11 N/A 040104MK4 300169.540000 PA USD 275263.750000 0.0977024 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.25322 N N N N N N FNMA PASS THRU POOLS N/A 3140QQDV4 85165.550000 PA USD 80362.440000 0.0285239 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAB0 1400000.000000 PA USD 1399718.180000 0.496818 Long ABS-O CORP US N 2 2050-06-21 Fixed 5.08 N N N N N N ZF FINANCE GMBH 5493001N9T6QDCCXB426 ACI1XFRX2 700000.000000 PA 683433.580000 0.242579 Long DBT CORP DE N 2 2027-05-06 Fixed 2 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLC1 1600000.000000 PA USD 1656739.570000 0.588045 Long DBT CORP US N 2 2028-11-10 Floating 6.204 N N N N N N ARBOUR CLO VI DAC 6A N/A ACI2RC930 2600000.000000 PA 2694745.490000 0.956476 Long ABS-CBDO CORP IE N 2 2037-11-15 Floating 4.32 N N N N N N EQT AB 213800U7P9GOIRKCTB34 ACI1XP2B5 800000.000000 PA 705569.660000 0.250436 Long DBT CORP SE N 2 2031-05-14 Fixed 0.875 N N N N N N N/A N/A 000000000 1.000000 NC -6080.260000 -0.0021581 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -5698.120000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBC3 500000.000000 PA USD 428741.800000 0.152178 Long DBT CORP US N 2 2030-06-15 Fixed 2.1 N N N N N N N/A N/A 000000000 -28194617.500000 PA USD -28244944.890000 -10.0253 Short RA US N 2 Reverse repurchase N 4.590000 2025-01-06 28387000.000000 USD 26650851.950000 USD UST N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAJ6 600000.000000 PA USD 604070.390000 0.214409 Long DBT CORP DE N 2 2026-07-14 Floating 6.119 N N N N N N N/A N/A 000000000 1.000000 NC USD -653.640000 -0.000232 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-31 106316.410000 USD -653.640000 N N N N/A N/A 000000000 1.000000 NC -11565.190000 -0.004105 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 -1685.040000 EUR 450000.000000 EUR -9880.150000 N N N CONVATEC (180 MEDICAL INC) 254900ZB648OPWVFVX59 682357AA6 700000.000000 PA USD 639917.210000 0.227133 Long DBT CORP US N 2 2029-10-15 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -2352.370000 -0.000835 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-03-06 138223.790000 EUR -2352.370000 N N N FHLMC PASS THRU POOLS N/A 3142GRU65 4010102.730000 PA USD 4098217.840000 1.45463 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N CTP BV 3157000YTVO4TN65UM14 ACI1YLP85 200000.000000 PA 189069.090000 0.0671084 Long DBT CORP NL N 2 2029-06-21 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -3921.960000 -0.0013921 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-23 0.000000 USD -417.500000 USD 100000.000000 USD -3504.460000 N N N N/A N/A 000000000 -100000.000000 NC USD -1826.940000 -0.0006485 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.85000 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.850000 USD 2025-01-06 XXXX -1564.440000 N N N N/A N/A 000000000 1.000000 NC USD 10410.950000 0.0036953 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-09 0.000000 USD 0.000000 USD 200000.000000 USD 10410.950000 N N N VIA OUTLETS BV 2594009AT1MND8D7E216 ACI21N9Q3 500000.000000 PA 490691.340000 0.174167 Long DBT CORP NL N 2 2028-11-15 Fixed 1.75 N N N N N N SUNNOVA HELIOS VIII ISSUER 2022-A N/A 86745AAA4 1385708.010000 PA USD 1211857.500000 0.430138 Long ABS-O CORP US N 2 2049-02-22 Fixed 2.79 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG04 N/A 3137F84T7 2781397.220000 PA USD 107193.940000 0.0380475 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.846983 N N N N N N N/A N/A 000000000 1.000000 NC USD -9076.970000 -0.0032218 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -810.000000 USD 200000.000000 USD -8266.970000 N N N N/A N/A 000000000 -200000.000000 NC USD -419.580000 -0.0001489 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 245.420000 N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAG5 286257.020000 PA USD 286908.800000 0.101836 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.21148 N N N N N N N/A N/A 000000000 1.000000 NC USD 206219.330000 0.0731957 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 190518.150000 USD 0.000000 USD 8400000.000000 USD 15701.180000 N N N N/A N/A 000000000 1.000000 NC -6877.310000 -0.002441 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -733.580000 EUR 200000.000000 EUR -6143.730000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAY5 700000.000000 PA USD 632517.840000 0.224507 Long DBT CORP JP N 2 2028-07-14 Fixed 2.172 N N N N N N N/A N/A 000000000 1.000000 NC USD -1402.480000 -0.0004978 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-17 0.000000 USD -681.000000 USD 200000.000000 USD -721.480000 N N N N/A N/A 000000000 1.000000 NC -69426.550000 -0.0246423 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1387087.130000 USD 207327304.000000 JPY 2025-01-07 -69426.550000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBB1 300000.000000 PA USD 299688.320000 0.106372 Long DBT CORP US N 2 2034-07-01 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC 86235.820000 0.0306086 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23886505.970000 ZAR 1350344.050000 USD 2025-01-17 86235.820000 N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAL9 700000.000000 PA USD 688006.900000 0.244202 Long ABS-MBS CORP US N 2 2035-08-10 Variable 4.1421 N N N N N N HERO FUTURE ENERGIES (CLEAN RENEWABLE POWER MAURITIUS PTE LTD) 2138003P9CSDW7P4MT75 18452NAB0 167500.000000 PA USD 160791.780000 0.0570716 Long DBT CORP MU N 2 2027-03-25 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 10333.110000 0.0036676 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-09-18 8008.650000 JPY 0.000000 JPY 580000000.000000 JPY 2324.460000 N N N LONG BEACH MORTGAGE LOAN TR 2006-9 N/A 54251WAD4 737325.310000 PA USD 234661.010000 0.0832908 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.77322 N N N N N N 37 CAPITAL CLO II 2022-1A N/A 88429PAU6 1300000.000000 PA USD 1304327.400000 0.46296 Long ABS-CBDO CORP JE N 2 2034-07-15 Floating 5.9459 N N N N N N N/A N/A 000000000 1.000000 NC USD -3970.810000 -0.0014094 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-07 0.000000 USD -502.500000 USD 100000.000000 USD -3468.310000 N N N N/A N/A 000000000 1.000000 NC USD 5220.980000 0.0018531 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -377.500000 USD 100000.000000 USD 5598.480000 N N N SARTORIUS FINANCE BV 529900JCAKTMRXK9EA58 ACI2JQ1Z5 600000.000000 PA 668105.670000 0.237138 Long DBT CORP NL N 2 2035-09-14 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -11580.420000 -0.0041104 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -680.000000 USD 200000.000000 USD -10900.420000 N N N N/A N/A 000000000 -100000.000000 NC USD -559.080000 -0.0001984 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/4.10000 01/21/25-10Y LCH 2035-01-21 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2025-01-16 XXXX -279.080000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2MJSF2 1100000.000000 PA 1156526.220000 0.410499 Long DBT NUSS MX N 2 2032-05-25 Fixed 4.4899 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2MJTC8 1100000.000000 PA 1158520.230000 0.411206 Long DBT NUSS HU N 2 2029-07-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -4671.470000 -0.0016581 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 305096.140000 USD 240000.000000 GBP 2025-01-15 -4671.470000 N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 2408858.500000 PA USD 2439064.860000 0.865725 Long ABS-O CORP US N 2 2030-06-15 Fixed 5.89 N N N N N N N/A N/A 000000000 1.000000 NC 31535.360000 0.0111932 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-10-03 0.000000 EUR -1531.850000 EUR 400000.000000 EUR 33067.210000 N N N N/A N/A 000000000 1.000000 NC -1645.220000 -0.000584 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -278.480000 EUR 100000.000000 EUR -1366.740000 N N N N/A N/A 000000000 1.000000 NC USD 4413.150000 0.0015664 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-05 0.000000 USD -770.000000 USD 200000.000000 USD 5183.150000 N N N ZF NORTH AMERICA CAPITAL INC 529900JYGMS9CW9IQX78 98877DAF2 250000.000000 PA USD 240682.320000 0.0854281 Long DBT CORP US N 2 2030-04-23 Fixed 6.75 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAK9 187791.140000 PA USD 146884.670000 0.0521354 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -3062.640000 -0.0010871 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-01-03 0.000000 EUR -193.630000 EUR 100000.000000 EUR -2869.010000 N N N N/A N/A 000000000 1.000000 NC 4138.710000 0.001469 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-04-24 0.000000 EUR -150.460000 EUR 100000.000000 EUR 4289.170000 N N N N/A N/A 000000000 1.000000 NC 132.620000 0.0000471 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-09-25 0.000000 EUR -339.010000 EUR 200000.000000 EUR 471.630000 N N N FNMA PASS THRU POOLS N/A 3140QSC90 3713922.940000 PA USD 3596616.830000 1.27659 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11 N/A 073879PA0 226708.210000 PA USD 222609.670000 0.0790133 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.32822 N N N N N N N/A N/A 000000000 1.000000 NC 9209.150000 0.0032687 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-20 0.000000 EUR -386.060000 EUR 200000.000000 EUR 9595.210000 N N N STAR ENERGY GEOTHERMAL (WAYANG WINDU) LIMITED N/A G84393AC4 298000.000000 PA USD 301657.950000 0.107071 Long DBT CORP VG N 2 2033-04-24 Fixed 6.75 N N N N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AL5 200000.000000 PA USD 179995.300000 0.0638877 Long DBT CORP US N 2 2031-05-01 Fixed 4 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BC6 500000.000000 PA USD 463435.590000 0.164492 Long DBT CORP NL N 2 2033-03-28 Floating 4.252 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAG2 1000000.000000 PA USD 957629.600000 0.339902 Long ABS-MBS CORP US N 2 2036-02-10 Variable 3.83188 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAK6 600000.000000 PA USD 548450.820000 0.194668 Long DBT CORP US N 2 2030-09-01 Fixed 3.625 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA2 N/A 25150UAA6 66642.450000 PA USD 58256.860000 0.0206778 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.59522 N N N N N N N/A N/A 000000000 1.000000 NC 651.290000 0.0002312 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 954936.630000 PEN 254100.910000 USD 2025-04-22 651.290000 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 900000.000000 PA USD 688747.700000 0.244465 Long DBT CORP US N 2 2033-11-15 Fixed 2.65 N N N N N N EQT AB 213800U7P9GOIRKCTB34 ACI24Q3R7 800000.000000 PA 812512.240000 0.288394 Long DBT CORP SE N 2 2028-04-06 Fixed 2.375 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAR0 124227.410000 PA USD 98288.840000 0.0348868 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 7194.070000 0.0025535 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-13 0.000000 USD -735.000000 USD 200000.000000 USD 7929.070000 N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AK3 400000.000000 PA USD 362475.280000 0.128657 Long DBT CORP US N 2 2028-10-12 Fixed 3.125 N N N N N N MNSN HOLDINGS INC N/A 55339C109 1017.000000 NS USD 4068.000000 0.0014439 Long EC CORP US Y 3 N N N N/A N/A 000000000 1.000000 NC USD -1284.410000 -0.0004559 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -790.000000 USD 200000.000000 USD -494.410000 N N N N/A N/A 000000000 1.000000 NC 5647.720000 0.0020046 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 69811.200000 KWD 240000.000000 USD 2029-05-02 5647.720000 N N N N/A N/A 000000000 -200000.000000 NC USD -605.140000 -0.0002148 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/3.88600 01/29/25-10Y LCH 2035-01-29 0.000000 USD 0.000000 USD N/A USD N/A 3.890000 USD 2025-01-27 XXXX 42.360000 N N N UMBS PASS THRU POOLS N/A 01F022626 -750000.000000 PA USD -611074.220000 -0.216895 Short ABS-MBS USGSE US N 2 2055-02-13 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -10547.750000 -0.0037438 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 -754.710000 EUR 200000.000000 EUR -9793.040000 N N N CELLNEX FINANCE COMPANY SA 549300OUROMFTRFA7T23 15118JAA3 200000.000000 PA USD 153154.120000 0.0543607 Long DBT CORP ES N 2 2041-07-07 Fixed 3.875 N N N N N N FNMA PASS THRU POOLS N/A 3140N0YT6 463478.930000 PA USD 449044.280000 0.159384 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -4059.820000 -0.001441 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-03 0.000000 EUR -316.100000 EUR 100000.000000 EUR -3743.720000 N N N FNMA PASS THRU POOLS N/A 3140QSDW8 358279.680000 PA USD 328441.510000 0.116577 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAD9 32268.060000 PA USD 31785.560000 0.011282 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.73322 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAT2 300000.000000 PA USD 309274.280000 0.109774 Long DBT CORP GB N 2 2029-01-10 Floating 6.534 N N N N N N N/A N/A 000000000 1.000000 NC USD 11897.490000 0.0042229 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-01-12 0.000000 USD -21.290000 USD 110000.000000 USD 11918.780000 N N N N/A N/A 000000000 1.000000 NC -2862.590000 -0.0010161 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-29 0.000000 EUR -161.260000 EUR 100000.000000 EUR -2701.330000 N N N N/A N/A 000000000 1.000000 NC -5429.320000 -0.0019271 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-13 0.000000 EUR -378.890000 EUR 200000.000000 EUR -5050.430000 N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AL7 550000.000000 PA USD 573743.500000 0.203645 Long DBT CORP US N 2 2027-06-15 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC USD -189.480000 -0.0000673 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -697.500000 USD 200000.000000 USD 508.020000 N N N VASA TRUST 2021-VASA N/A 92230AAE6 400000.000000 PA USD 327252.600000 0.116155 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.26248 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -577.700000 -0.000205 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/4.22200 01/23/25-10Y LCH 2035-01-23 0.000000 USD 0.000000 USD N/A USD N/A 4.220000 USD 2025-01-21 XXXX 27.300000 N N N N/A N/A 000000000 1.000000 NC -36729.440000 -0.0130368 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1219855.890000 USD 24981428.770000 MXN 2025-03-19 -36729.440000 N N N N/A N/A 000000000 1.000000 NC USD -1340.420000 -0.0004758 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-29 0.000000 USD -572.500000 USD 200000.000000 USD -767.920000 N N N N/A N/A 000000000 1.000000 NC 723.060000 0.0002566 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8721.600000 KWD 30000.000000 USD 2029-07-02 723.060000 N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAG8 450000.000000 PA USD 430224.750000 0.152704 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.91148 N N N N N N NORTHWOODS CAPITAL XIV-B LTD N/A 66860CAL7 2025652.520000 PA USD 2029786.650000 0.720455 Long ABS-CBDO CORP KY N 2 2031-11-13 Floating 5.76617 N N N N N N N/A N/A 000000000 1.000000 NC -5454.320000 -0.001936 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR -5075.940000 N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCH6 300000.000000 PA USD 301734.090000 0.107098 Long DBT CORP US N 2 2028-06-01 Fixed 5.45 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI1SQVK7 200000.000000 PA 239291.880000 0.0849345 Long DBT CORP GB N 2 2027-05-12 Floating 5.125 N N N N Y NATWEST GROUP PLC GBP XXXX N N N N/A N/A 000000000 1.000000 NC USD 24090.810000 0.0085508 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-24 0.000000 USD -97.470000 USD 400000.000000 USD 24188.280000 N N N N/A N/A 000000000 1.000000 NC USD -3947.450000 -0.0014011 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-23 0.000000 USD -417.500000 USD 100000.000000 USD -3529.950000 N N N N/A N/A 000000000 1.000000 NC USD 9530.180000 0.0033827 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -750.000000 USD 200000.000000 USD 10280.180000 N N N FNMA PASS THRU POOLS N/A 3140QSKW0 1953541.700000 PA USD 1789534.940000 0.63518 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N FIRST AMERICAN FINANCIAL CORPORATION 549300B6VEZK3N0A1P55 31847RAH5 600000.000000 PA USD 494144.300000 0.175392 Long DBT CORP US N 2 2031-08-15 Fixed 2.4 N N N N N N FNMA PASS THRU POOLS N/A 3140FXNR9 1348384.650000 PA USD 1184964.140000 0.420592 Long ABS-MBS USGSE US N 2 2059-08-01 Fixed 3.5 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAZ4 600000.000000 PA USD 494496.330000 0.175517 Long DBT CORP US N 2 2031-08-01 Fixed 2.625 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAQ5 200000.000000 PA USD 155306.140000 0.0551245 Long DBT CORP US N 2 2032-11-15 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -1490.010000 -0.0005289 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-16 0.000000 USD -530.000000 USD 100000.000000 USD -960.010000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKJ9 5200000.000000 PA USD 5226898.200000 1.85524 Long DBT UST US N 2 2027-04-15 Fixed 4.5 N N N N N N LINDBLAD EXPEDITIONS LLC 549300MPUWOG67Y2R254 53523LAA8 300000.000000 PA USD 301731.300000 0.107097 Long DBT CORP US N 2 2027-02-15 Fixed 6.75 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAJ5 1000000.000000 PA USD 908403.400000 0.32243 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.76148 N N N N N N N/A N/A 000000000 1.000000 NC 4763.990000 0.0016909 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-03-28 0.000000 GBP -425.980000 GBP 100000.000000 GBP 5189.970000 N N N FHLMC PASS THRU POOLS N/A 3142GRU57 3632369.670000 PA USD 3651608.620000 1.29611 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N MOSAIC SOLAR LOAN TRUST 2022-1A N/A 61946QAA9 533463.510000 PA USD 460038.180000 0.163287 Long ABS-O CORP US N 2 2053-01-20 Fixed 2.64 N N N N N N N/A N/A 000000000 1.000000 NC USD 367039.480000 0.130277 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -55934.080000 USD 11400000.000000 USD 422973.560000 N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BS1 200000.000000 PA USD 167651.260000 0.0595063 Long DBT CORP US N 2 2032-04-15 Fixed 2.703 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBZ9 700000.000000 PA USD 732370.150000 0.259948 Long DBT CORP IT N 2 2033-06-20 Fixed 6.625 N N N N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI1YMJ56 300000.000000 PA 301955.890000 0.107177 Long DBT CORP GG N 2 2026-06-22 Fixed 1.125 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG16 1800000.000000 PA 2256320.170000 0.800861 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 6.11516 N N N N N N N/A N/A 000000000 1.000000 NC USD -5665.770000 -0.002011 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -335.000000 USD 100000.000000 USD -5330.770000 N N N MERRILL LYNCH MORTGAGE INVS 2006-HE1 N/A 59020U3F0 1128248.690000 PA USD 1075122.730000 0.381605 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.05322 N N N N N N N/A N/A 000000000 1.000000 NC USD 14316.950000 0.0050817 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -710.000000 USD 200000.000000 USD 15026.950000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF94 500000.000000 PA 540174.910000 0.19173 Long DBT NUSS RO N 2 2033-09-18 Fixed 6.375 N N N N N N FONDO MIVIVIENDA SA 549300X41PNOK11PZ670 344593AF5 400000.000000 PA USD 394050.230000 0.139865 Long DBT CORP PE N 2 2027-04-12 Fixed 4.625 N N N N N N ILLUMINA INC SQ95QG8SR5Q56LSNF682 452327AM1 300000.000000 PA USD 255700.750000 0.0907587 Long DBT CORP US N 2 2031-03-23 Fixed 2.55 N N N N N N N/A N/A 000000000 1.000000 NC USD -4563.080000 -0.0016196 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-10 0.000000 USD -1510.000000 USD 200000.000000 USD -3053.080000 N N N CTP BV 3157000YTVO4TN65UM14 ACI20LMV2 500000.000000 PA 449697.980000 0.159616 Long DBT CORP NL N 2 2031-09-27 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 350714.110000 0.124483 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 55018.000000 USD 0.000000 USD 35500000.000000 USD 295696.110000 N N N N/A N/A 000000000 1.000000 NC 4577.230000 0.0016246 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-20 0.000000 EUR -929.080000 EUR 200000.000000 EUR 5506.310000 N N N N/A N/A 000000000 1.000000 NC -49.600000 -0.0000176 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1369345.790000 PEN 363395.200000 USD 2025-04-21 -49.600000 N N N N/A N/A 000000000 1.000000 NC USD -11078.740000 -0.0039323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-21 0.000000 USD -1790.000000 USD 400000.000000 USD -9288.740000 N N N N/A N/A 000000000 -100000.000000 NC USD -6.350000 -0.0000023 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62000 01/15/25-10Y LCH 2035-01-15 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2025-01-13 XXXX 263.650000 N N N SOLAR STAR FUNDING LLC N/A 83416WAA1 139620.760000 PA USD 139338.030000 0.0494568 Long DBT CORP US N 2 2035-06-30 Fixed 5.375 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAM4 300000.000000 PA USD 296138.250000 0.105112 Long DBT CORP FR N 2 2033-07-19 Floating 5.748 N N N N N N LOANPAL SOLAR LOAN 2021-2GS LTD N/A 53948QAA4 127812.060000 PA USD 98454.010000 0.0349454 Long ABS-O CORP US N 2 2048-03-20 Fixed 2.22 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHP9 3325984.000000 PA USD 3112655.890000 1.10481 Long DBT UST US N 2 2033-07-15 Fixed 1.375 N N N N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AN1 250000.000000 PA USD 217354.250000 0.077148 Long DBT CORP US N 2 2032-02-15 Fixed 3.625 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQQZ2 427995.260000 PA USD 403500.490000 0.143219 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 4.5 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 200000.000000 PA USD 191008.480000 0.0677968 Long ABS-MBS CORP US N 2 2036-01-15 Floating 5.46248 N N N N N N MFT TRUST 2020-B6 N/A 55316TAC3 1000000.000000 PA USD 648314.800000 0.230114 Long ABS-MBS CORP US N 2 2040-08-10 Fixed 3.28278 N N N N N N TDC NET A/S 549300SH2G3R15Y3FX20 BNVQWHII7 400000.000000 PA 432668.210000 0.153572 Long DBT CORP DK N 2 2028-05-31 Fixed 5.056 N N N N N N N/A N/A 000000000 1.000000 NC USD -11630.170000 -0.004128 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -3921.880000 USD 500000.000000 USD -7708.290000 N N N N/A N/A 000000000 1.000000 NC USD 9128.280000 0.00324 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -940.000000 USD 200000.000000 USD 10068.280000 N N N N/A N/A 000000000 1.000000 NC USD 9133.410000 0.0032418 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -740.000000 USD 200000.000000 USD 9873.410000 N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 682691AG5 600000.000000 PA USD 611959.670000 0.21721 Long DBT CORP US N 2 2031-11-15 Fixed 7.125 N N N N N N N/A N/A 000000000 1.000000 NC 5100.260000 0.0018103 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-29 0.000000 EUR -281.640000 EUR 100000.000000 EUR 5381.900000 N N N N/A N/A 000000000 1.000000 NC USD 120202.160000 0.0426647 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-01-17 534.510000 USD 0.000000 USD 2500000.000000 USD 119667.650000 N N N N/A N/A 000000000 1.000000 NC 2370.230000 0.0008413 N/A DFE GB N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 121000.000000 GBP 153834.330000 USD 2025-01-15 2370.230000 N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 ACI1YSZV8 200000.000000 PA 214387.830000 0.0760951 Long DBT CORP GB N 2 2031-07-15 Fixed 4.5 N N N N N N N/A N/A 000000000 369.000000 NC USD -362719.480000 -0.128744 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 40125867.370000 USD -362719.480000 N N N FHF TRUST 2022-1A N/A 30327CAA4 207585.770000 PA USD 207179.070000 0.0735364 Long ABS-O CORP US N 2 2028-01-18 Fixed 4.43 N N N N N N N/A N/A 000000000 1.000000 NC -248385.160000 -0.0881621 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL -6921.580000 BRL 18400000.000000 BRL -241463.580000 N N N HANWHA LIFE INSURANCE CO LTD 988400ZKCI3R9DQHR320 41135UAB1 300000.000000 PA USD 287980.150000 0.102216 Long DBT CORP KR N 2 2032-02-04 Floating 3.379 N N N N N N N/A N/A 000000000 -6.000000 NC USD 10960.350000 0.0038903 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-20 -667546.870000 USD 10960.350000 N N N N/A N/A 000000000 1.000000 NC USD 142629.620000 0.0506251 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-16 51580.330000 USD 0.000000 USD 700000.000000 USD 91049.290000 N N N DOLP TRUST 2021-NYC N/A 23345LAJ8 900000.000000 PA USD 707609.970000 0.25116 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N N/A N/A 000000000 1.000000 NC USD -10267.090000 -0.0036442 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -595.000000 USD 200000.000000 USD -9672.090000 N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 993441.640000 PA USD 1003311.880000 0.356117 Long ABS-O CORP US N 2 2030-02-15 Fixed 5.69 N N N N N N WEIR GROUP PLC 549300KDR56WHY9I3D10 94876QAA4 400000.000000 PA USD 384869.060000 0.136606 Long DBT CORP GB N 2 2026-05-13 Fixed 2.2 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGT5 1700000.000000 PA USD 1681311.820000 0.596767 Long DBT CORP US N 2 2033-05-09 Fixed 5.05 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCK9 500000.000000 PA USD 513811.720000 0.182373 Long DBT CORP US N 2 2055-01-15 Floating 7.6 N N N N N N FNMA PASS THRU POOLS N/A 3140QRAB9 935747.560000 PA USD 881489.730000 0.312877 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QTAW9 274011.920000 PA USD 270775.640000 0.0961094 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.5 N N N N N N GAP INC T2ZG1WRWZ4BUCMQL9224 364760AQ1 250000.000000 PA USD 216422.330000 0.0768172 Long DBT CORP US N 2 2031-10-01 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 2182716.000000 PA USD 1937939.400000 0.687854 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 47051.400000 0.0167005 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2026-12-15 16312.730000 JPY 0.000000 JPY 590000000.000000 JPY 30738.670000 N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAK8 500000.000000 PA USD 473399.270000 0.168029 Long DBT CORP FR N 2 2027-10-19 Floating 2.045 N N N N N N MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG (MUNICHRE) 529900MUF4C20K50JS49 62582PAA8 400000.000000 PA USD 407577.200000 0.144666 Long DBT CORP DE N 2 2042-05-23 Floating 5.875 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1 N/A 76112BJH4 716008.420000 PA USD 681322.540000 0.241829 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.65322 N N N N N N N/A N/A 000000000 1.000000 NC USD 37397.360000 0.0132739 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-23 0.000000 USD -756.250000 USD 100000.000000 USD 38153.610000 N N N N/A N/A 000000000 1.000000 NC USD -237647.680000 -0.0843509 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -401406.540000 USD 30800000.000000 USD 163758.860000 N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 BKMG42II9 900000.000000 PA 922289.760000 0.327359 Long DBT CORP NL N 2 2025-07-15 Fixed 0.625 N N N N N N FNMA PASS THRU POOLS N/A 3140FXC59 164978.450000 PA USD 145797.380000 0.0517495 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 3.5 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAD8 400000.000000 PA USD 341746.720000 0.1213 Long DBT CORP US N 2 2028-02-15 Fixed 5.95 N N N N N N N/A N/A 000000000 1.000000 NC USD -51038.710000 -0.0181157 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-06 0.000000 USD -3905.000000 USD 1100000.000000 USD -47133.710000 N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CBH6 402000.000000 PA USD 283412.680000 0.100595 Long DBT CORP US N 2 2052-03-15 Fixed 3.55 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 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 524.980000 N N N ASSET BACKED SEC HOME EQTY LN 2006-HE1 N/A 04541GVM1 2085190.290000 PA USD 1838088.570000 0.652413 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.08322 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2NBJY7 44218498.900000 PA 1883342.020000 0.668476 Long DBT NUSS MX N 2 2034-08-24 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -3603.880000 -0.0012792 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-16 0.000000 USD -690.000000 USD 200000.000000 USD -2913.880000 N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAC3 1000000.000000 PA USD 941673.700000 0.334239 Long ABS-MBS CORP US N 2 2036-01-15 Floating 5.76248 N N N N N N N/A N/A 000000000 1.000000 NC USD 4830.210000 0.0017144 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-12-14 0.000000 USD -435.000000 USD 100000.000000 USD 5265.210000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCR5 1400000.000000 PA USD 1181284.270000 0.419286 Long DBT CORP US N 2 2032-11-08 Floating 2.545 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -3814.800000 -0.001354 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 -3289.800000 N N N INTERCONTINENTAL HOTELS GROUP PLC 2138007ZFQYRUSLU3J98 ACI1RXXZ8 300000.000000 PA 352312.760000 0.12505 Long DBT CORP GB N 2 2028-10-08 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 544.480000 0.0001933 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-15 0.000000 USD -871.250000 USD 200000.000000 USD 1415.730000 N N N DOLP TRUST 2021-NYC N/A 23345LAL3 700000.000000 PA USD 521106.600000 0.184962 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N N/A N/A 000000000 1.000000 NC 7443.740000 0.0026421 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-21 0.000000 EUR -394.200000 EUR 100000.000000 EUR 7837.940000 N N N N/A N/A 000000000 1.000000 NC USD 8214.510000 0.0029157 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-22 0.000000 USD -715.000000 USD 200000.000000 USD 8929.510000 N N N N/A N/A 000000000 1.000000 NC 58172.830000 0.0206479 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 37083000.000000 MXN 1814725.100000 USD 2025-03-18 58172.830000 N N N MARKS AND SPENCER PLC 213800CN1RI3UCIZWB95 ACI1D35Z0 300000.000000 PA 362751.950000 0.128756 Long DBT CORP GB N 2 2027-07-10 Variable 4.5 N N N N N N PENNYMAC FINANCIAL SERVICES INC 549300W1D516HBDEU871 70932MAC1 200000.000000 PA USD 190700.020000 0.0676873 Long DBT CORP US N 2 2031-09-15 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 4059.010000 0.0014407 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA Y Single Leg Swap 2026-12-20 0.000000 USD -43775.470000 USD 1000000.000000 USD 47834.480000 N N N FHLMC PASS THRU POOLS N/A 3142GQEL2 2501595.150000 PA USD 2470456.070000 0.876866 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 5.5 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2006-BC2 N/A 22237JAG2 272338.300000 PA USD 253855.140000 0.0901036 Long ABS-MBS CORP US N 2 2045-01-25 Floating 4.88822 N N N N N N N/A N/A 000000000 -4.000000 NC USD 21083.770000 0.0074835 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-03-18 -956587.500000 USD 21083.770000 N N N N/A N/A 000000000 1.000000 NC -12523.400000 -0.0044451 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 444448.780000 USD 9120000.000000 MXN 2025-03-19 -12523.400000 N N N FHLMC PASS THRU POOLS N/A 3132DV3V5 144091.540000 PA USD 133498.790000 0.0473842 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 7176.310000 0.0025472 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 0.000000 USD -480.000000 USD 100000.000000 USD 7656.310000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAN1 400000.000000 PA USD 364213.530000 0.129274 Long DBT CORP US N 2 2029-11-15 Fixed 3.1 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CY3 700000.000000 PA USD 590754.920000 0.209683 Long DBT CORP GB N 2 2032-11-22 Floating 2.871 N N N N N N N/A N/A 000000000 -100000.000000 NC -1283.830000 -0.0004557 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.22000 01/08/25-10Y LCH 2035-01-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.220000 EUR 2025-01-06 XXXX -1040.930000 N N N N/A N/A 000000000 1.000000 NC USD 17103.280000 0.0060707 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -1420.000000 USD 400000.000000 USD 18523.280000 N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A 98162JAA4 100000.000000 PA USD 69787.980000 0.0247706 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 3.5263 N N N N N N N/A N/A 000000000 1.000000 NC USD 3153.020000 0.0011191 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -857.500000 USD 200000.000000 USD 4010.520000 N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 35885.100000 PA USD 30676.020000 0.0108882 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 USD -2332.670000 -0.000828 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -785.000000 USD 100000.000000 USD -1547.670000 N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 ACI1RH4P7 300000.000000 PA 262554.120000 0.0931913 Long DBT CORP NL N 2 2032-01-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MT1 376000.000000 PA USD 372948.150000 0.132375 Long DBT UST US N 2 2025-03-13 None 0 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBD4 200000.000000 PA USD 160674.410000 0.05703 Long DBT CORP US N 2 2042-03-15 Fixed 5.05 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CH1 700000.000000 PA USD 654554.540000 0.232328 Long DBT NUSS BR N 2 2034-03-15 Fixed 6.125 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440CA0 350000.000000 PA USD 226569.510000 0.0804188 Long DBT CORP US N 2 2051-08-15 Fixed 2.95 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAC8 100000.000000 PA USD 75857.690000 0.026925 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.26248 N N N N N N N/A N/A 000000000 1.000000 NC USD -7703.710000 -0.0027344 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-22 0.000000 USD -1200.000000 USD 500000.000000 USD -6503.710000 N N N VONOVIA SE 5299005A2ZEP6AP7KM81 ACI24H5K0 600000.000000 PA 599805.540000 0.212896 Long DBT CORP DE N 2 2028-06-28 Fixed 1.875 N N N N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AL4 1200000.000000 PA USD 540830.880000 0.191963 Long ABS-MBS CORP US N 2 2037-02-15 Floating 7.248 N N N N N N FNMA PASS THRU POOLS N/A 31418EP38 712294.850000 PA USD 703428.970000 0.249676 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AS8 400000.000000 PA USD 386636.140000 0.137233 Long DBT CORP IT N 2 2035-06-30 Floating 5.459 N N N N N N N/A N/A 000000000 1.000000 NC 1269.030000 0.0004504 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-11-05 0.000000 EUR -1035.830000 EUR 400000.000000 EUR 2304.860000 N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAG7 1480000.000000 PA USD 903089.040000 0.320543 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.81248 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -576.420000 -0.0002046 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/3.90000 01/27/25-10Y LCH 2035-01-27 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2025-01-23 XXXX 73.580000 N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAL6 500000.000000 PA USD 310589.600000 0.110241 Long ABS-MBS CORP US N 2 2036-03-15 Floating 7.01248 N N N N N N AES ANDES SA 549300IF4IFG0FS0RM26 00111VAA5 350000.000000 PA USD 352162.240000 0.124997 Long DBT CORP CL N 2 2029-03-15 Fixed 6.3 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA16 N/A 23242GAE4 61001.290000 PA USD 55637.530000 0.019748 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.83322 N N N N N N N/A N/A 000000000 1.000000 NC -199351.550000 -0.0707581 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 13200000.000000 BRL -199351.550000 N N N N/A N/A 000000000 1.000000 NC USD -10474.190000 -0.0037177 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-20 0.000000 USD -2482.500000 USD 600000.000000 USD -7991.690000 N N N N/A N/A 000000000 1.000000 NC USD 4464.570000 0.0015847 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-03 0.000000 USD -457.500000 USD 100000.000000 USD 4922.070000 N N N FHLMC PASS THRU POOLS N/A 3132DWKQ5 313877.700000 PA USD 320562.690000 0.113781 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822CB8 500000.000000 PA USD 422230.540000 0.149867 Long DBT CORP JP N 2 2032-10-13 Floating 2.494 N N N N N N INDIA GREEN POWER HOLDINGS 254900I7N0GT4VVL6V29 45410LAA0 233325.000000 PA USD 222648.770000 0.0790272 Long DBT CORP MU N 2 2027-02-22 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 1674.720000 0.0005944 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -425.000000 USD 100000.000000 USD 2099.720000 N N N N/A N/A 000000000 -200000.000000 NC USD -2923.180000 -0.0010376 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.89600 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2025-01-06 XXXX -2343.180000 N N N FNMA PASS THRU POOLS N/A 3140N8W53 302286.860000 PA USD 298887.080000 0.106087 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 1046144.000000 PA USD 757533.730000 0.26888 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AW9 400000.000000 PA USD 319035.580000 0.113239 Long DBT CORP US N 2 2032-05-18 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD -17122.520000 -0.0060775 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -1005.000000 USD 300000.000000 USD -16117.520000 N N N FAIR ISAAC CORPORATION RI6HET5SJUEY30V1PS26 303250AF1 570000.000000 PA USD 538348.570000 0.191082 Long DBT CORP US N 2 2028-06-15 Fixed 4 N N N N N N MFT TRUST 2020-ABC E N/A 55317BAA5 100000.000000 PA USD 68391.520000 0.024275 Long ABS-MBS CORP US N 2 2042-02-10 Fixed 3.358 N N N N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAQ7 350000.000000 PA USD 330347.500000 0.117254 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 4.356 N N N N N N NE PROPERTY BV 7245006AG9J70KOIJH36 ACI1NVNL8 300000.000000 PA 311503.070000 0.110565 Long DBT CORP NL N 2 2027-07-14 Fixed 3.375 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBB8 500000.000000 PA USD 465373.470000 0.16518 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N N/A N/A 000000000 1.000000 NC USD 9712.360000 0.0034473 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -757.500000 USD 200000.000000 USD 10469.860000 N N N N/A N/A 000000000 1.000000 NC USD 1738.230000 0.000617 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-19 0.000000 USD -840.000000 USD 200000.000000 USD 2578.230000 N N N GOODLEAP SUSTAINABLE HOME IMPROVEMENT LOAN TRUST 2022-3CS N/A 38237TAA9 841402.570000 PA USD 777124.210000 0.275833 Long ABS-O CORP US N 2 2049-07-20 Fixed 4.95 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC N/A 466330AJ6 365000.000000 PA USD 364963.390000 0.129541 Long ABS-MBS CORP US N 2 2038-04-15 Floating 6.06248 N N N N N N FHLMC PASS THRU POOLS N/A 3133KR3D4 2993184.670000 PA USD 2819697.920000 1.00083 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -4.000000 NC USD 18202.650000 0.0064609 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-12-16 -960225.000000 USD 18202.650000 N N N N/A N/A 000000000 1.000000 NC 4165.050000 0.0014783 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-09-18 19903.130000 JPY 0.000000 JPY 340000000.000000 JPY -15738.080000 N N N N/A N/A 000000000 1.000000 NC USD 305432.470000 0.108411 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 51947.080000 USD 0.000000 USD 3490000.000000 USD 253485.390000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBU9 400000.000000 PA USD 368594.300000 0.130829 Long DBT CORP US N 2 2032-04-15 Fixed 3.9 N N N N N N LEHMAN XS TRUST 2006-15 N/A 52523MAD2 114652.330000 PA USD 101643.590000 0.0360775 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.79322 N N N N N N N/A N/A 000000000 1.000000 NC USD 33844.270000 0.0120127 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-09-30 0.000000 USD 0.000000 USD 700000.000000 USD 33844.270000 N N N N/A N/A 000000000 300000.000000 NC USD 5124.180000 0.0018188 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.40000 07/22/27-30Y LCH 2057-07-22 0.000000 USD 0.000000 USD N/A USD N/A 2.400000 USD 2027-07-20 XXXX -34460.820000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFF3 2200000.000000 PA USD 1951711.700000 0.692743 Long DBT UST US N 2 2032-08-15 Fixed 2.75 N N N N N N FNMA PASS THRU POOLS N/A 3140N6W24 1801003.080000 PA USD 1782892.390000 0.632822 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38144GAG6 100000.000000 NS USD 95742.000000 0.0339828 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC -10403.310000 -0.0036926 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-09-14 0.000000 JPY -4843.370000 JPY 260000000.000000 JPY -5559.940000 N N N BANCO MERCANTIL DEL NORTE SA/ GRAND CAYMAN BRANCH 549300QTVYRPFHS0J362 05973KAB3 200000.000000 PA USD 179986.620000 0.0638847 Long DBT CORP MX N 2 2032-01-24 Floating 6.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 47094.550000 0.0167158 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-12-16 0.000000 USD -9339.260000 USD 500000.000000 USD 56433.810000 N N N N/A N/A 000000000 1.000000 NC 4765.370000 0.0016914 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-04 0.000000 EUR -309.380000 EUR 100000.000000 EUR 5074.750000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CN8 500000.000000 PA USD 534562.380000 0.189738 Long DBT CORP GB N 2 2028-11-16 Floating 7.767 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBX7 110000.000000 PA USD 84126.030000 0.0298598 Long DBT CORP GB N 2 2081-06-04 Floating 5.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 1031.580000 0.0003662 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-05 0.000000 USD -807.500000 USD 200000.000000 USD 1839.080000 N N N N/A N/A 000000000 1.000000 NC -91745.680000 -0.0325643 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 6100000.000000 BRL -91745.680000 N N N N/A N/A 000000000 1.000000 NC -18229.330000 -0.0064703 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 -2535.130000 EUR 700000.000000 EUR -15694.200000 N N N LENOVO GROUP LIMITED 254900VUZRGD5U73RE46 Y5257YAJ6 400000.000000 PA USD 359657.210000 0.127657 Long DBT CORP HK N 2 2030-11-02 Fixed 3.421 N N N N N N N/A N/A 000000000 1.000000 NC 16561.760000 0.0058784 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-12-20 0.000000 EUR -9867.460000 EUR 700000.000000 EUR 26429.220000 N N N BOISE CASCADE LLC 549300Z8B8LSRHC7XA55 09739DAD2 500000.000000 PA USD 477659.650000 0.169541 Long DBT CORP US N 2 2030-07-01 Fixed 4.875 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC1 N/A 84751PEU9 137083.590000 PA USD 134145.970000 0.0476139 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.62322 N N N N N N CENTEX HOME EQUITY 2004-D N/A 152314LQ1 59773.740000 PA USD 58121.970000 0.0206299 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.38322 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 06279JAC3 500000.000000 PA USD 504251.890000 0.17898 Long DBT CORP IE N 2 2026-09-16 Floating 6.253 N N N N N N N/A N/A 000000000 1.000000 NC USD -20407.720000 -0.0072435 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -1292.000000 USD 400000.000000 USD -19115.720000 N N N N/A N/A 000000000 -100000.000000 NC USD -37.930000 -0.0000135 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70000 01/21/25-10Y LCH 2035-01-21 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2025-01-16 XXXX 242.070000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AY9 200000.000000 PA USD 182164.700000 0.0646577 Long DBT CORP NL N 2 2027-05-16 Floating 3.875 N N N N Y ING GROEP NV EUR XXXX N N N N/A N/A 000000000 300000.000000 NC USD 73581.690000 0.0261172 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.40000 07/22/27-30Y LCH 2057-07-22 0.000000 USD 0.000000 USD N/A USD N/A 2.400000 USD 2027-07-20 XXXX 33996.690000 N N N N/A N/A 000000000 1.000000 NC USD 12842.790000 0.0045584 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-05-06 0.000000 USD -280.460000 USD 250000.000000 USD 13123.250000 N N N N/A N/A 000000000 1.000000 NC 203.790000 0.0000723 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-12-31 0.000000 EUR -264.550000 EUR 100000.000000 EUR 468.340000 N N N GAP INC T2ZG1WRWZ4BUCMQL9224 364760AP3 250000.000000 PA USD 224738.430000 0.0797689 Long DBT CORP US N 2 2029-10-01 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 216699.870000 0.0769157 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-01-16 44548.790000 USD 0.000000 USD 3500000.000000 USD 172151.080000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAS2 500000.000000 PA USD 486721.650000 0.172758 Long DBT CORP GB N 2 2028-03-18 Floating 3.75 N N N N N N GS MORTGAGE SECURITIES TRUST 2016-GS3 N/A 36251PBD5 200000.000000 PA USD 162116.400000 0.0575418 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 3.60172 N N N N N N COMM 2021-2400 MORTGAGE TRUST N/A 20048FAL2 1000000.000000 PA USD 898888.900000 0.319053 Long ABS-MBS CORP US N 2 2038-12-15 Floating 7.66248 N N N N N N UZBEKISTAN GOVT 213800L6VDKUM3TCM927 ACI2P7GV3 400000.000000 PA 416917.080000 0.147981 Long DBT NUSS UZ N 2 2027-05-29 Fixed 5.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 9565500.000000 PA USD 8295265.110000 2.94433 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI23QT82 200000.000000 PA 201641.820000 0.071571 Long DBT CORP DE N 2 2028-02-23 Floating 1.875 N N N N N N REGATTA XVI FUNDING LTD 2019-2A N/A 75888TAL9 1400000.000000 PA USD 1404363.630000 0.498466 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 5.8559 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQTD8 19572580.250000 PA USD 19372711.520000 6.87617 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAW1 500000.000000 PA USD 431760.930000 0.15325 Long DBT CORP US N 2 2030-10-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 399981.250000 0.14197 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23136000.000000 EUR 24376899.360000 USD 2025-01-15 399981.250000 N N N COSTAR GROUP INC N/A 22160NAA7 800000.000000 PA USD 699791.730000 0.248385 Long DBT CORP US N 2 2030-07-15 Fixed 2.8 N N N N N N N/A N/A 000000000 1.000000 NC USD -4623.450000 -0.0016411 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -410.000000 USD 100000.000000 USD -4213.450000 N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 ACI1SRVK5 400000.000000 PA 489946.490000 0.173902 Long DBT CORP GB N 2 2026-02-17 Fixed 3.75 N N N N N N NEXTERA ENERGY OPERATING PARTNERS LP 549300KJEC5IUVJWR786 65342QAM4 800000.000000 PA USD 819140.740000 0.290747 Long DBT CORP US N 2 2029-01-15 Fixed 7.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UC0 600000.000000 PA USD 548061.110000 0.194529 Long DBT UST US N 2 2054-08-15 Fixed 4.25 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CH1 200000.000000 PA USD 173337.980000 0.0615248 Long DBT CORP GB N 2 2033-01-12 Floating 3.603 N N N N N N N/A N/A 000000000 1.000000 NC 52436.240000 0.0186118 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7382742.000000 GBP 9293927.190000 USD 2025-01-15 52436.240000 N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAN4 200000.000000 PA USD 194744.360000 0.0691228 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 4.158 N N N N N N N/A N/A 000000000 1.000000 NC -14.380000 -0.0000051 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -267.940000 EUR 100000.000000 EUR 253.560000 N N N N/A N/A 000000000 -4.000000 NC USD 19983.940000 0.0070931 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-06-17 -958225.000000 USD 19983.940000 N N N SUNNOVA HELIOS XI ISSUER LLC 2023-A N/A 86746AAA3 998047.020000 PA USD 966461.030000 0.343037 Long ABS-O CORP US N 2 2050-05-20 Fixed 5.3 N N N N N N MARKS AND SPENCER PLC 213800CN1RI3UCIZWB95 ACI1STT40 100000.000000 PA 123388.780000 0.0437958 Long DBT CORP GB N 2 2026-05-19 Fixed 3.75 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -85.660000 -0.0000304 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/3.69000 01/22/25-10Y LCH 2035-01-22 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2025-01-17 XXXX 459.340000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKA6 1400000.000000 PA USD 1167699.710000 0.414465 Long DBT CORP US N 2 2032-07-21 Floating 2.299 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AW3 200000.000000 PA USD 172260.910000 0.0611425 Long DBT CORP NL N 2 2032-04-01 Floating 2.727 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAJ9 506454.720000 PA USD 508377.980000 0.180444 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.76148 N N N N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AE3 535000.000000 PA USD 518775.940000 0.184135 Long DBT CORP US N 2 2026-06-15 Fixed 3.375 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 200000.000000 PA USD 199931.180000 0.0709638 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC USD -20124.470000 -0.007143 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-24 0.000000 USD -400.500000 USD 50000.000000 USD -19723.970000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAG9 400000.000000 PA USD 397899.920000 0.141231 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.58969 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -39.720000 -0.0000141 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/3.72100 01/15/25-10Y LCH 2035-01-15 0.000000 USD 0.000000 USD N/A USD N/A 3.720000 USD 2025-01-13 XXXX 510.280000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TP3 637158.000000 PA USD 510806.990000 0.181306 Long DBT UST US N 2 2053-02-15 Fixed 1.5 N N N N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498AX4 580000.000000 PA USD 492811.480000 0.174919 Long DBT CORP US N 2 2031-09-15 Fixed 3.125 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -648.460000 -0.0002302 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 16.540000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-LIH N/A 78486EAN8 1100000.000000 PA USD 1083750.470000 0.384668 Long ABS-MBS CORP US N 2 2036-11-15 Floating 6.817 N N N N N N N/A N/A 000000000 1.000000 NC USD -9684.740000 -0.0034375 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A CMBX.NA.AAA.14 Y Single Leg Swap 2072-12-16 0.000000 USD -50842.430000 USD 2100000.000000 USD 41157.690000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AM34 1000000.000000 PA USD 1024775.000000 0.363735 Long DBT CORP FR N 2 2029-08-16 Floating 7.75 N N N N N N N/A N/A 000000000 1.000000 NC 2842.300000 0.0010088 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 160000.000000 EUR 168657.780000 USD 2025-01-15 2842.300000 N N N N/A N/A 000000000 -1.000000 NC -284.860000 -0.0001011 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 -111.780000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAC0 261000000.000000 PA USD 274.050000 0.0000973 Long ABS-MBS CORP US N 2 2038-09-15 Variable 0 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BX1 100000.000000 PA USD 95458.690000 0.0338822 Long DBT CORP US N 2 2029-11-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -6752.750000 -0.0023968 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-20 0.000000 EUR -398.500000 EUR 100000.000000 EUR -6354.250000 N N N N/A N/A 000000000 1.000000 NC USD -11757.180000 -0.0041731 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-15 0.000000 USD -712.500000 USD 200000.000000 USD -11044.680000 N N N N/A N/A 000000000 -200000.000000 NC USD -407.180000 -0.0001445 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/4.30000 01/27/25-10Y LCH 2035-01-27 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2025-01-23 XXXX 242.820000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797ML8 12000.000000 PA USD 11921.460000 0.0042314 Long DBT UST US N 2 2025-02-27 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -9709.180000 -0.0034462 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -640.000000 USD 200000.000000 USD -9069.180000 N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-NEMA N/A 63874RAC5 23885000.000000 PA USD 461802.140000 0.163913 Long ABS-MBS CORP US N 2 2039-02-15 Variable 0.513604 N N N N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6 N/A 05492TBH2 854000.000000 PA USD 642769.590000 0.228145 Long ABS-MBS CORP US N 2 2053-02-15 Variable 3.68835 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAE3 450000.000000 PA USD 430876.940000 0.152936 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.31148 N N N N N N N/A N/A 000000000 1.000000 NC -6603.980000 -0.002344 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -403.280000 EUR 100000.000000 EUR -6200.700000 N N N FHLMC PASS THRU POOLS N/A 3133BUWC7 594221.230000 PA USD 574464.730000 0.203901 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5 N N N N N N EQUIFIRST MORTGAGE LOAN TRUST 2005-1 N/A 29445FCU0 210446.060000 PA USD 182907.870000 0.0649215 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.25322 N N N N N N N/A N/A 000000000 1.000000 NC USD 132100.550000 0.0468879 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-05-10 7543.600000 USD 0.000000 USD 800000.000000 USD 124556.950000 N N N N/A N/A 000000000 -200000.000000 NC USD -2294.220000 -0.0008143 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.93300 01/06/25-10Y LCH 2035-01-06 0.000000 USD 0.000000 USD N/A USD N/A 3.930000 USD 2025-01-02 XXXX -1659.220000 N N N N/A N/A 000000000 1.000000 NC USD -2759.190000 -0.0009794 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-27 0.000000 USD -470.000000 USD 200000.000000 USD -2289.190000 N N N N/A N/A 000000000 1.000000 NC 54247.040000 0.0192545 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2032-06-15 804.140000 JPY 0.000000 JPY 233400000.000000 JPY 53442.900000 N N N N/A N/A 000000000 1.000000 NC USD 1168.170000 0.0004146 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-02 0.000000 USD -652.500000 USD 200000.000000 USD 1820.670000 N N N SERVICE EXPERTS ISSUER 2021-1A LLC N/A 81758VAA3 371843.680000 PA USD 360442.100000 0.127936 Long ABS-O CORP US N 2 2032-02-02 Fixed 2.67 N N N N N N N/A N/A 000000000 -5.000000 NC USD 22337.940000 0.0079287 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-03-17 -1200656.250000 USD 22337.940000 N N N N/A N/A 000000000 1.000000 NC USD -10785.690000 -0.0038283 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-12 0.000000 USD -655.000000 USD 100000.000000 USD -10130.690000 N N N N/A N/A 000000000 1.000000 NC -16561.250000 -0.0058783 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 550765.000000 USD 11213520.320000 MXN 2025-02-11 -16561.250000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 200000.000000 PA USD 162895.740000 0.0578184 Long DBT CORP NL N 2 2031-05-16 Floating 4.25 N N N N Y ING GROEP NV EUR XXXX N N N PATTERN ENERGY OPERATIONS LP / PATTERN ENERGY OPERATIONS INC N/A 70339PAA7 500000.000000 PA USD 469613.050000 0.166685 Long DBT CORP US N 2 2028-08-15 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFL0 3000000.000000 PA USD 2935452.030000 1.04191 Long DBT UST US N 2 2029-09-30 Fixed 3.875 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KK2 1100000.000000 PA USD 1192077.890000 0.423117 Long DBT CORP US N 2 2053-04-01 Fixed 6.7 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAA4 230000.000000 PA USD 199867.510000 0.0709412 Long DBT CORP US N 2 2027-11-01 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC -9206.810000 -0.0032679 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-22 0.000000 EUR -719.090000 EUR 200000.000000 EUR -8487.720000 N N N FHLMC PASS THRU POOLS N/A 3142GQBQ4 1076872.910000 PA USD 985623.770000 0.349838 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 4 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65559CAD3 500000.000000 PA USD 435014.050000 0.154404 Long DBT CORP FI N 2 2029-03-01 Floating 3.75 N N N N Y NORDEA BANK ABP EUR XXXX N N N N/A N/A 000000000 1.000000 NC USD 3405.440000 0.0012087 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-02 0.000000 USD -915.000000 USD 300000.000000 USD 4320.440000 N N N UMBS PASS THRU POOLS N/A 01F030629 -500000.000000 PA USD -424765.630000 -0.150767 Short ABS-MBS USGSE US N 2 2055-02-13 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140A32V4 158773.020000 PA USD 159961.810000 0.056777 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 227787.780000 0.0808513 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-21 227998.170000 USD 0.000000 USD 2470000.000000 USD -210.390000 N N N N/A N/A 000000000 1.000000 NC USD 6523.300000 0.0023154 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -795.000000 USD 200000.000000 USD 7318.300000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAZ9 200000.000000 PA USD 181244.250000 0.064331 Long DBT CORP US N 2 2030-09-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -3981.910000 -0.0014133 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-22 0.000000 EUR -202.350000 EUR 100000.000000 EUR -3779.560000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MM6 62000.000000 PA USD 61546.500000 0.0218454 Long DBT UST US N 2 2025-03-06 None 0 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR35 N/A 45667SAA5 60617.700000 PA USD 53223.130000 0.0188911 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79322 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAK2 232287.540000 PA USD 196462.740000 0.0697327 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N SUNRUN DEMETER ISSUER 2021-2A N/A 86772HAA5 632784.730000 PA USD 532016.480000 0.188834 Long ABS-O CORP US N 2 2057-01-30 Fixed 2.27 N N N N N N N/A N/A 000000000 1.000000 NC -8081.880000 -0.0028686 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -431.440000 EUR 100000.000000 EUR -7650.440000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CC2 200000.000000 PA USD 168235.250000 0.0597136 Long DBT CORP GB N 2 2032-06-29 Floating 2.678 N N N N N N N/A N/A 000000000 1.000000 NC -7529.280000 -0.0026725 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-06 0.000000 EUR -470.890000 EUR 100000.000000 EUR -7058.390000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DV8 600000.000000 PA USD 622910.960000 0.221097 Long DBT CORP GB N 2 2034-03-09 Floating 6.254 N N N N N N KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP N/A 50085PAJ6 2000000.000000 PA USD 1309087.400000 0.464649 Long ABS-MBS CORP US N 2 2044-11-05 Fixed 2.92693 N N N N N N N/A N/A 000000000 1.000000 NC 13686.450000 0.0048579 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-03-09 0.000000 EUR -11171.330000 EUR 500000.000000 EUR 24857.780000 N N N FHLMC PASS THRU POOLS N/A 3133BMDL6 986900.850000 PA USD 975427.780000 0.346219 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 21H050623 2800000.000000 PA USD 2715234.370000 0.963748 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 5 N N N N N N JDE PEETS NV 724500EHG519SE5ZRT89 47216QAC7 800000.000000 PA USD 649957.200000 0.230697 Long DBT CORP NL N 2 2031-09-24 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC -3716.890000 -0.0013193 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-29 0.000000 EUR -207.870000 EUR 100000.000000 EUR -3509.020000 N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RBA0 100000.000000 PA USD 93458.300000 0.0331722 Long DBT CORP US N 2 2030-06-15 Fixed 3.7 N N N N N N TERRAFORM POWER OPERATING LLC 5493000S2OLR3UT5BE13 88104LAE3 200000.000000 PA USD 192849.480000 0.0684502 Long DBT CORP US N 2 2028-01-31 Fixed 5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 4800000.000000 PA 1348584.210000 0.478668 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 1.000000 NC USD -33502.700000 -0.0118915 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-02-23 0.000000 USD -1822.500000 USD 200000.000000 USD -31680.200000 N N N CENTEX HOME EQUITY 2005-B N/A 152314NE6 204296.840000 PA USD 200794.620000 0.0712703 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.41322 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AA4 126945.090000 PA USD 115951.110000 0.0411558 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.87322 N N N N N N N/A N/A 000000000 -1.000000 NC -10.360000 -0.0000037 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 472.640000 N N N N/A N/A 000000000 1.000000 NC USD 11428.180000 0.0040563 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -790.000000 USD 200000.000000 USD 12218.180000 N N N SHINHAN BANK CO LTD 5493003P813VL21KG928 82460EAN0 200000.000000 PA USD 189060.510000 0.0671054 Long DBT CORP KR N 2 2029-04-23 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 6285.620000 0.002231 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-20 0.000000 USD -26.220000 USD 100000.000000 USD 6311.840000 N N N N/A N/A 000000000 1.000000 NC USD -2225.730000 -0.00079 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-15 0.000000 USD -377.500000 USD 100000.000000 USD -1848.230000 N N N IBERDROLA INTERNATIONAL BV 549300ZMLFJKWC63XN87 29266MAE9 250000.000000 PA USD 266190.410000 0.0944819 Long DBT CORP NL N 2 2033-09-15 Fixed 6.75 N N N N N N SVB FINANCIAL GROUP 549300D2KJ20JMXE7542 000000000 1159.000000 NS USD 579500.000000 0.205688 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC USD 63873.730000 0.0226714 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-07-24 24000.000000 USD 0.000000 USD 3200000.000000 USD 39873.730000 N N N NATIONSTAR MORTGAGE HOLDINGS INC N/A 63861CAE9 300000.000000 PA USD 287061.720000 0.10189 Long DBT CORP US N 2 2031-11-15 Fixed 5.75 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAE7 1100000.000000 PA USD 1063166.280000 0.377362 Long ABS-MBS CORP US N 2 2036-02-10 Variable 3.83188 N N N N N N MFT TRUST 2020-B6 N/A 55316TAA7 180000.000000 PA USD 126536.690000 0.0449131 Long ABS-MBS CORP US N 2 2040-08-10 Fixed 3.28278 N N N N N N N/A N/A 000000000 1.000000 NC USD -2695.120000 -0.0009566 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-22 0.000000 USD -910.000000 USD 200000.000000 USD -1785.120000 N N N N/A N/A 000000000 1.000000 NC USD 42067.700000 0.0149316 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-07-16 0.000000 USD -975.160000 USD 250000.000000 USD 43042.860000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 BLGM75II1 200000.000000 PA USD 183389.250000 0.0650924 Long DBT CORP NL N 2 2029-05-16 Floating 4.875 N N N N Y ING GROEP NV EUR XXXX N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAH5 350000.000000 PA USD 304324.040000 0.108017 Long DBT CORP CA N 2 2031-04-15 Fixed 2.724 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AE7 217242.350000 PA USD 52898.160000 0.0187757 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.94751 N N N N N N GNMA PASS THRU POOLS N/A 36179YDK7 1901773.520000 PA USD 1891063.230000 0.671216 Long ABS-MBS USGSE US N 2 2053-08-20 Fixed 5.5 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1J42H5 200000.000000 PA 228797.200000 0.0812095 Long DBT CORP LU N 2 2028-01-22 Variable 2.75 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAJ0 1000000.000000 PA USD 853859.300000 0.30307 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.60248 N N N N N N N/A N/A 000000000 1.000000 NC -417.810000 -0.0001483 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1443145.750000 PEN 382614.600000 USD 2025-04-21 -417.810000 N N N N/A N/A 000000000 1.000000 NC -625.760000 -0.0002221 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 188204.520000 USD 181000.000000 EUR 2025-01-15 -625.760000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UE6 3200000.000000 PA USD 3051469.600000 1.08309 Long DBT UST US N 2 2054-11-15 Fixed 4.5 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BK3 52628.350000 PA USD 48299.860000 0.0171436 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.68714 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-17 N/A 12666VAD3 195292.480000 PA USD 182401.910000 0.0647419 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.93322 N N N N N N N/A N/A 000000000 1.000000 NC 7263.340000 0.0025781 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-04-16 0.000000 EUR -324.460000 EUR 200000.000000 EUR 7587.800000 N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ACI22XG58 40000000.000000 PA 2116635.330000 0.751281 Long DBT CORP N/A N 2 2025-01-26 Fixed 6.55 N N N N N N FHLMC PASS THRU POOLS N/A 3133BSZQ8 231188.760000 PA USD 228751.060000 0.0811932 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -4.000000 NC USD 18865.080000 0.006696 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-09-16 -959525.000000 USD 18865.080000 N N N GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-2CS N/A 38237KAA8 820660.390000 PA USD 721541.190000 0.256105 Long ABS-O CORP US N 2 2049-04-20 Fixed 4 N N N N N N ACE SECURITIES CORP 2007-WM1 N/A 004424AD9 474968.620000 PA USD 190511.810000 0.0676205 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.79322 N N N N N N N/A N/A 000000000 1.000000 NC -5447.860000 -0.0019337 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-06 0.000000 EUR -608.400000 EUR 200000.000000 EUR -4839.460000 N N N N/A N/A 000000000 1.000000 NC USD 7687.550000 0.0027286 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -680.000000 USD 200000.000000 USD 8367.550000 N N N N/A N/A 000000000 1.000000 NC -724.760000 -0.0002572 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1371889.560000 PEN 363395.200000 USD 2025-04-21 -724.760000 N N N N/A N/A 000000000 -3200000.000000 NC USD -123.520000 -0.0000438 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2025-07-23 XXXX 27903.200000 N N N METALSA SAPI DE CV 549300F2FONGJR575V67 59132VAB4 450000.000000 PA USD 361985.310000 0.128484 Long DBT CORP MX N 2 2031-05-04 Fixed 3.75 N N N N N N GOODMAN US FINANCE FIVE LLC N/A 38239PAA5 1000000.000000 PA USD 949898.940000 0.337158 Long DBT CORP US N 2 2032-05-04 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 375535.400000 0.133293 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-06 0.000000 USD -57434.930000 USD 11110000.000000 USD 432970.330000 N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAL0 996471.000000 PA USD 845004.520000 0.299927 Long ABS-MBS CORP US N 2 2043-10-15 Floating 7.26148 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAH5 250605.270000 PA USD 79093.050000 0.0280734 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.01322 N N N N N N N/A N/A 000000000 -1.000000 NC 848.400000 0.0003011 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2025-03-06 -122085.250000 EUR 848.400000 N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 ACI167F39 700000.000000 PA 723796.160000 0.256905 Long DBT CORP LU N 2 2028-11-13 Fixed 3.25 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -41436.800000 -0.0147076 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2025-07-23 XXXX -13410.080000 N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAG5 1000000.000000 PA USD 985591.100000 0.349827 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.81248 N N N N N N UMBS PASS THRU POOLS N/A 01F020620 -750000.000000 PA USD -583945.320000 -0.207266 Short ABS-MBS USGSE US N 2 2055-02-15 Fixed 2 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 200000.000000 PA USD 172024.040000 0.0610584 Long DBT CORP CH N 2 2031-02-10 Floating 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -10547.680000 -0.0037438 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -560.000000 USD 200000.000000 USD -9987.680000 N N N N/A N/A 000000000 1.000000 NC USD 7093.850000 0.0025179 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -457.500000 USD 100000.000000 USD 7551.350000 N N N UMBS PASS THRU POOLS N/A 01F032625 13900000.000000 PA USD 12293393.240000 4.36343 Long 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 USD -437.220000 -0.0001552 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-03 0.000000 USD -540.000000 USD 200000.000000 USD 102.780000 N N N N/A N/A 000000000 -1.000000 NC -93.230000 -0.0000331 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 284.660000 N N N N/A N/A 000000000 1.000000 NC 207673.270000 0.0737118 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-12-15 203248.840000 JPY 0.000000 JPY 1100000000.000000 JPY 4424.430000 N N N N/A N/A 000000000 1.000000 NC USD 7673.260000 0.0027236 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -730.000000 USD 200000.000000 USD 8403.260000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CS7 600000.000000 PA USD 616340.800000 0.218765 Long DBT CORP GB N 2 2029-01-09 Floating 6.301 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAB0 751727.880000 PA USD 203837.710000 0.0723504 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.85322 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 90265EAS9 100000.000000 PA USD 81731.490000 0.0290099 Long DBT CORP US N 2 2034-11-01 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC USD 8403.240000 0.0029827 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -721.000000 USD 200000.000000 USD 9124.240000 N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 157166.510000 PA USD 155358.700000 0.0551432 Long ABS-O CORP US N 2 2030-04-20 Fixed 3.8 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACZ6 122065.010000 PA USD 105331.840000 0.0373866 Long ABS-MBS CORP US N 2 2035-11-20 Floating 5.12474 N N N N N N N/A N/A 000000000 1.000000 NC USD -37177.690000 -0.0131959 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-12-21 0.000000 USD -29705.000000 USD 100000.000000 USD -7472.690000 N N N N/A N/A 000000000 1.000000 NC USD 256539.390000 0.0910564 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 179284.000000 USD 0.000000 USD 3000000.000000 USD 77255.390000 N N N RESIDENTIAL ASSET SEC CORP 2004-KS7 N/A 76110WB54 87287.380000 PA USD 86316.620000 0.0306373 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.33322 N N N N N N N/A N/A 000000000 1.000000 NC 75603.710000 0.0268349 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2042-03-15 20323.400000 JPY 0.000000 JPY 79000000.000000 JPY 55280.310000 N N N N/A N/A 000000000 1.000000 NC USD 129131.710000 0.0458342 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-01-17 476.400000 USD 0.000000 USD 4400000.000000 USD 128655.310000 N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAG2 450000.000000 PA USD 448432.710000 0.159167 Long DBT CORP US N 2 2034-02-01 Fixed 5.5 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBB3 1300000.000000 PA USD 1265801.990000 0.449285 Long DBT CORP NL N 2 2033-01-15 Fixed 5 N N N N N N CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 549300S8SEQBOJLKHW63 15189XBC1 700000.000000 PA USD 659482.150000 0.234077 Long DBT CORP US N 2 2053-04-01 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC USD 13667.210000 0.0048511 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-21 12104.340000 USD 0.000000 USD 380000.000000 USD 1562.870000 N N N N/A N/A 000000000 -1.000000 NC -1501.980000 -0.0005331 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 134.500000 EUR 2025-01-24 XXXX -1049.340000 N N N N/A N/A 000000000 -1.000000 NC -2185.640000 -0.0007758 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 -1692.140000 N N N N/A N/A 000000000 1.000000 NC USD 335484.870000 0.119077 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-16 0.000000 USD -15100.630000 USD 1900000.000000 USD 350585.500000 N N N BRIDGEGATE FUNDING PLC 2023-1A N/A ACI2C6RF2 950000.000000 PA 1208948.880000 0.429106 Long ABS-MBS CORP GB N 2 2062-10-16 Floating 9.81288 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 378658.930000 PA USD 377695.470000 0.13406 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHE6 17857397.190000 PA USD 17276591.950000 6.13217 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSSU6 2076078.650000 PA USD 1956626.070000 0.694487 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAE4 1600000.000000 PA USD 1029358.560000 0.365362 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.81248 N N N N N N VASA TRUST 2021-VASA N/A 92230AAG1 400000.000000 PA USD 305402.600000 0.1084 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.61248 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AQ2 400000.000000 PA USD 384498.720000 0.136474 Long DBT CORP GB N 2 2028-11-07 Floating 3.574 N N N N N N N/A N/A 000000000 1.000000 NC -7146.180000 -0.0025365 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-19 467.860000 EUR 0.000000 EUR 300000.000000 EUR -7614.040000 N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAJ6 1500000.000000 PA USD 1426212.450000 0.506221 Long ABS-MBS CORP US N 2 2038-11-15 Floating 7.05748 N N N N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 00135TAD6 500000.000000 PA USD 522768.740000 0.185552 Long DBT CORP IE N 2 2029-09-13 Floating 6.608 N N N N N N N/A N/A 000000000 1.000000 NC -7847.700000 -0.0027855 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -422.700000 EUR 100000.000000 EUR -7425.000000 N N N N/A N/A 000000000 1.000000 NC -54290.660000 -0.01927 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-19 0.000000 EUR -61534.070000 EUR 3900000.000000 EUR 7243.410000 N N N N/A N/A 000000000 -100000.000000 NC -0.010000 0 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 1.97000 01/08/25-10Y LCH 2035-01-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.970000 EUR 2025-01-06 XXXX 242.890000 N N N NEXI SPA 5493000P70CQRQG8SN85 ACI1X5NT7 550000.000000 PA 557253.360000 0.197792 Long DBT CORP IT N 2 2026-04-30 Fixed 1.625 N N N N N N BRIDGEGATE FUNDING PLC 2023-1A N/A ACI2C6Q30 950000.000000 PA 1213858.570000 0.430848 Long ABS-MBS CORP GB N 2 2062-10-16 Floating 8.81288 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -1078.800000 -0.0003829 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.97000 01/15/25-10Y LCH 2035-01-15 0.000000 USD 0.000000 USD N/A USD N/A 3.970000 USD 2025-01-13 XXXX -808.800000 N N N N/A N/A 000000000 1.000000 NC -4798.690000 -0.0017033 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR -4467.340000 N N N N/A N/A 000000000 1.000000 NC USD -10533.390000 -0.0037387 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-11 0.000000 USD -727.500000 USD 200000.000000 USD -9805.890000 N N N N/A N/A 000000000 1.000000 NC -100023.250000 -0.0355024 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2331394.000000 USD 350760558.000000 JPY 2025-01-15 -100023.250000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECD5 800000.000000 PA USD 848164.990000 0.301049 Long DBT CORP GB N 2 2028-11-02 Floating 7.385 N N N N N N SOUTHWESTERN PUBLIC SERVICE COMPANY OL6FE7QD5EQ3DOYEO258 845743BU6 100000.000000 PA USD 64871.860000 0.0230257 Long DBT CORP US N 2 2050-05-01 Fixed 3.15 N N N N N N N/A N/A 000000000 1.000000 NC USD -8146.540000 -0.0028915 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-03-05 0.000000 USD -857.500000 USD 100000.000000 USD -7289.040000 N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 ACI1RXY95 200000.000000 PA 213167.510000 0.0756619 Long DBT CORP ES N 2 2027-10-09 Floating 5.875 N N N N Y CAIXABANK SA (AKA: LA CAIXA) EUR XXXX N N N N/A N/A 000000000 1.000000 NC 2365.720000 0.0008397 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 2905.140000 N N N SERBIA GOVT 254900W94OCY91V32O78 ACI20JG85 300000.000000 PA 279548.910000 0.0992234 Long DBT NUSS RS N 2 2028-09-23 Fixed 1 N N N N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAN5 1600000.000000 PA USD 1546949.760000 0.549076 Long ABS-MBS CORP US N 2 2035-08-10 Variable 4.1421 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797KJ5 2000.000000 PA USD 1982.220000 0.0007036 Long DBT UST US N 2 2025-03-20 None 0 N N N N N N ACEF HOLDING SCA 213800KW7LHVG5QUS111 ACI1YGTT6 500000.000000 PA 477857.780000 0.169611 Long DBT CORP LU N 2 2028-06-14 Fixed 0.75 N N N N N N WEST AFRICAN DEVELOPMENT BANK (AKA: BANQUE OUEST AFRICAINE DE DEVELOPPEMENT) 529900LIZJABE4JJS826 ACI1V4PH6 770000.000000 PA 668596.580000 0.237312 Long DBT CORP N/A N 2 2033-01-22 Fixed 2.75 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BQ7 200000.000000 PA 157616.970000 0.0559447 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N VERISIGN INC LMPL4N8ZOJRMF0KOF759 92343EAM4 400000.000000 PA USD 343167.560000 0.121804 Long DBT CORP US N 2 2031-06-15 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC 37632.170000 0.0133572 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-03-20 0.000000 AUD -14924.600000 AUD 4000000.000000 AUD 52556.770000 N N N N/A N/A 000000000 1.000000 NC USD -7975.720000 -0.0028309 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -745.000000 USD 200000.000000 USD -7230.720000 N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS2 N/A 761118UK2 209190.970000 PA USD 164959.150000 0.0585508 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QUMN3 4184874.600000 PA USD 3830321.940000 1.35954 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -2914.900000 -0.0010346 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-08-14 0.000000 EUR -273.260000 EUR 200000.000000 EUR -2641.640000 N N N FHLMC PASS THRU POOLS N/A 3133BV4V4 142339.570000 PA USD 140871.640000 0.0500011 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -2827.300000 -0.0010035 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-30 0.000000 USD -1387.500000 USD 500000.000000 USD -1439.800000 N N N N/A N/A 000000000 1.000000 NC -8181.490000 -0.0029039 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-06-26 0.000000 EUR -293.900000 EUR 200000.000000 EUR -7887.590000 N N N N/A N/A 000000000 1.000000 NC 3097.020000 0.0010993 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2281000.000000 MXN 111125.730000 USD 2025-03-19 3097.020000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1Z2SX8 610000.000000 PA 494670.760000 0.175579 Long DBT NUSS MX N 2 2036-08-12 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 16408.130000 0.0058239 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1615.000000 USD 400000.000000 USD 18023.130000 N N N CDW LLC / CDW FINANCE CORP N/A 12513GBJ7 500000.000000 PA USD 445387.720000 0.158086 Long DBT CORP US N 2 2031-12-01 Fixed 3.569 N N N N N N N/A N/A 000000000 1.000000 NC USD -10525.560000 -0.003736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -2380.500000 USD 600000.000000 USD -8145.060000 N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBB9 100000.000000 PA USD 91820.410000 0.0325908 Long DBT CORP US N 2 2029-06-21 Fixed 3.4 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1254.520000 -0.0004453 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/4.09000 01/22/25-10Y LCH 2035-01-22 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2025-01-17 XXXX -709.520000 N N N FNMA PASS THRU POOLS N/A 3140QTNF2 2454405.060000 PA USD 2424780.960000 0.860654 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 9011.400000 0.0031985 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-14 0.000000 USD -660.000000 USD 200000.000000 USD 9671.400000 N N N N/A N/A 000000000 1.000000 NC USD -2351.760000 -0.0008347 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-12 0.000000 USD -570.000000 USD 100000.000000 USD -1781.760000 N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAA9 251651.020000 PA USD 49160.630000 0.0174491 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.77322 N N N N N N HOWARD HUGHES CORP/THE 549300BVHY25JZC1KI49 44267DAF4 600000.000000 PA USD 540674.750000 0.191908 Long DBT CORP US N 2 2031-02-01 Fixed 4.375 N N N N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 2015-SRCH N/A 05547HAN1 900000.000000 PA USD 808662.960000 0.287028 Long ABS-MBS CORP US N 2 2035-08-10 Variable 4.95655 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBY0 1000000.000000 PA USD 1011065.000000 0.358869 Long DBT CORP GB N 2 2028-08-09 Floating 5.501 N N N N N N N/A N/A 000000000 1.000000 NC USD -25125.230000 -0.008918 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-24 0.000000 USD -7280.000000 USD 100000.000000 USD -17845.230000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AV0 300000.000000 PA USD 306863.250000 0.108918 Long DBT CORP CH N 2 2034-01-12 Floating 5.959 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBP4 800000.000000 PA USD 712100.700000 0.252754 Long DBT CORP US N 2 2028-11-02 Fixed 2.2 N N N N N N N/A N/A 000000000 1.000000 NC USD -4891.140000 -0.0017361 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-31 0.000000 USD -432.500000 USD 100000.000000 USD -4458.640000 N N N LEGAL & GENERAL GROUP PLC 213800JH9QQWHLO99821 ACI1N5DJ1 200000.000000 PA 231878.130000 0.0823031 Long DBT CORP GB N 2 2031-03-24 Floating 5.625 N N N N Y LEGAL & GENERAL GROUP PLC GBP XXXX N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAY2 600000.000000 PA USD 549268.990000 0.194958 Long DBT CORP US N 2 2029-12-15 Fixed 3.375 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2025-01-06 XXXX 262.490000 N N N FNMA PASS THRU POOLS N/A 31418ER85 80260.320000 PA USD 79391.310000 0.0281792 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N MASTR ASSET BACKED SEC TRUST 2005-HE2 N/A 57643LKP0 225000.000000 PA USD 201824.620000 0.0716359 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.35322 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1129.680000 -0.000401 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/4.07100 01/15/25-10Y LCH 2035-01-15 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2025-01-13 XXXX -579.680000 N N N N/A N/A 000000000 -4.000000 NC USD 17695.680000 0.0062809 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-06-16 -960625.000000 USD 17695.680000 N N N FHLMC PASS THRU POOLS N/A 3133BTJZ4 128215.270000 PA USD 126873.190000 0.0450325 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 60264.830000 0.0213905 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 -27050.910000 GBP 1700000.000000 GBP 87315.740000 N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAB6 600000.000000 PA USD 516640.840000 0.183377 Long DBT CORP GB N 2 2031-07-15 Fixed 4.75 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQQY5 423460.620000 PA USD 387839.970000 0.13766 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -43737.360000 -0.0155242 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1456599.000000 USD 222094932.000000 JPY 2025-01-15 -43737.360000 N N N N/A N/A 000000000 1.000000 NC USD 100793.200000 0.0357757 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-08-12 0.000000 USD -3347.290000 USD 250000.000000 USD 104140.490000 N N N N/A N/A 000000000 -1.000000 NC -31.080000 -0.000011 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 138.000000 EUR 2025-01-24 XXXX 442.610000 N N N N/A N/A 000000000 1.000000 NC 47382.110000 0.0168179 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2029-06-19 10264.170000 NZD 0.000000 NZD 1600000.000000 NZD 37117.940000 N N N N/A N/A 000000000 1.000000 NC -2477.560000 -0.0008794 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-07 0.000000 EUR -279.990000 EUR 100000.000000 EUR -2197.570000 N N N N/A N/A 000000000 1.000000 NC USD 21121.640000 0.0074969 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-20 250086.000000 USD 0.000000 USD 11200000.000000 USD -228964.360000 N N N ACCOR 969500QZC2Q0TK11NV07 ACI21X8H2 900000.000000 PA 906980.330000 0.321925 Long DBT CORP FR N 2 2028-11-29 Fixed 2.375 N N N N N N SLM CORP (SALLIE MAE) N/A 78442PGE0 900000.000000 PA USD 859239.710000 0.30498 Long DBT CORP US N 2 2026-11-02 Fixed 3.125 N N N N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 BMBQMGII4 400000.000000 PA 410971.720000 0.145871 Long DBT CORP IE N 2 2031-05-30 Floating 2.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 29821.790000 0.010585 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-17 0.000000 USD -118.610000 USD 500000.000000 USD 29940.400000 N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAG5 1000000.000000 PA USD 978560.800000 0.347332 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.863 N N N N N N N/A N/A 000000000 1.000000 NC USD 13566.480000 0.0048153 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -880.000000 USD 200000.000000 USD 14446.480000 N N N MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC) 213800227GGD6UI7PI97 ACI210QC5 100000.000000 PA 101971.640000 0.0361939 Long DBT CORP GB N 2 2028-11-30 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 89372.170000 0.0317219 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-21 40964.220000 USD 0.000000 USD 1440000.000000 USD 48407.950000 N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DAW0 500000.000000 PA USD 450819.820000 0.160015 Long DBT CORP NL N 2 2029-12-13 Floating 2.47 N N N N N N N/A N/A 000000000 -1.000000 NC -67.330000 -0.0000239 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 95.260000 N N N GNMA PASS THRU POOLS N/A 36179YAS3 2155912.630000 PA USD 2144212.600000 0.761069 Long ABS-MBS USGSE US N 2 2053-07-20 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 8228.460000 0.0029206 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-10 0.000000 USD -1220.000000 USD 400000.000000 USD 9448.460000 N N N N/A N/A 000000000 1.000000 NC USD 3395.950000 0.0012054 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -432.500000 USD 100000.000000 USD 3828.450000 N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 682691AB6 781000.000000 PA USD 745608.360000 0.264647 Long DBT CORP US N 2 2027-01-15 Fixed 3.5 N N N N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 ACI1N57Z2 200000.000000 PA 182366.520000 0.0647294 Long DBT CORP NL N 2 2031-02-01 Fixed 1.25 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBJ4 500000.000000 PA USD 510478.130000 0.18119 Long DBT CORP US N 2 2030-01-09 Floating 6.174 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQEH1 772112.010000 PA USD 706682.230000 0.250831 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAG0 1400000.000000 PA USD 1348761.970000 0.478731 Long DBT CORP GB N 2 2028-11-03 Floating 3.823 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 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/3.49600 01/08/25-10Y LCH 2035-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2025-01-06 XXXX 579.980000 N N N FNMA PASS THRU POOLS N/A 3140NAVQ3 62961.290000 PA USD 62292.540000 0.0221102 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSDX6 637432.870000 PA USD 601022.850000 0.213328 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.5 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCG8 720000.000000 PA USD 600404.510000 0.213108 Long DBT CORP US N 2 2031-01-15 Fixed 2.45 N N N N N N N/A N/A 000000000 1.000000 NC -7920.580000 -0.0028113 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-08 0.000000 EUR -475.140000 EUR 200000.000000 EUR -7445.440000 N N N N/A N/A 000000000 1.000000 NC -57829.590000 -0.0205261 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1221746.000000 USD 182961961.000000 JPY 2025-01-15 -57829.590000 N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3 N/A 76113WAF0 512702.000000 PA USD 58818.660000 0.0208772 Long ABS-O CORP US N 2 2037-04-25 Floating 2.23678 N N N N N N TRANSURBAN FINANCE COMPANY PTY LTD 54930081LPJMUMEA6E57 89400PAK9 600000.000000 PA USD 507523.870000 0.180141 Long DBT CORP AU N 2 2031-03-16 Fixed 2.45 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMF3 350158.940000 PA USD 232582.680000 0.0825532 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.97322 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBD1 300000.000000 PA USD 192631.690000 0.0683729 Long DBT CORP US N 2 2050-06-15 Fixed 3.1 N N N N N N CNP ASSURANCES 969500QKVPV2H8UXM738 ACI232Q39 500000.000000 PA 478457.950000 0.169824 Long DBT CORP FR N 2 2029-01-27 Fixed 1.25 N N N N N N N/A N/A 000000000 300000.000000 NC USD 71805.540000 0.0254867 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/2.11000 07/28/32-30Y LCH 2062-07-28 0.000000 USD 0.000000 USD N/A USD N/A 2.110000 USD 2032-07-26 XXXX 23205.540000 N N N COUNTRYWIDE HOME LOANS 2003-R4 N/A 12669FFS7 70204.850000 PA USD 61030.760000 0.0216623 Long ABS-MBS CORP US N 2 2034-01-25 Variable 4.72775 N N N N N N FHLMC PASS THRU POOLS N/A 3142GRGS3 2385768.340000 PA USD 2304412.570000 0.817931 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 34081.100000 0.0120968 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-15 0.000000 USD -91.020000 USD 550000.000000 USD 34172.120000 N N N CHOBANI LLC / CHOBANI FINANCE CORP INC N/A 17027NAC6 500000.000000 PA USD 517667.400000 0.183742 Long DBT CORP US N 2 2029-07-01 Fixed 7.625 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1V7SM5 100000.000000 PA 82479.530000 0.0292754 Long DBT CORP LU N 2 2031-01-27 Fixed 1.5 N N N N N N ST MARYS CEMENT INC (CANADA) 5493009981WBHS86CJ89 78478EAC2 400000.000000 PA USD 386253.240000 0.137097 Long DBT CORP CA N 2 2034-04-02 Fixed 5.75 N N N N N N WEST AFRICAN DEVELOPMENT BANK (AKA: BANQUE OUEST AFRICAINE DE DEVELOPPEMENT) 529900LIZJABE4JJS826 ACI1V4M48 100000.000000 PA 86830.720000 0.0308198 Long DBT CORP N/A N 2 2033-01-22 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 4151.780000 0.0014736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -397.500000 USD 100000.000000 USD 4549.280000 N N N SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP 549300PUNBPJCGT6X741 866677AH0 300000.000000 PA USD 274065.290000 0.097277 Long DBT CORP US N 2 2032-04-15 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC -178481.710000 -0.0633505 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-19 0.000000 EUR -145092.730000 EUR 12800000.000000 EUR -33388.980000 N N N INTERNATIONAL DISTRIBUTION SERVICES PLC 213800TCZZU84G8Z2M70 ACI2JQ0Q6 500000.000000 PA 644636.890000 0.228808 Long DBT CORP GB N 2 2030-09-14 Fixed 7.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 10240.840000 0.0036349 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -915.000000 USD 200000.000000 USD 11155.840000 N N N FHLMC PASS THRU POOLS N/A 3133KRBS2 417681.780000 PA USD 382552.650000 0.135784 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4 N N N N N N JOHN LEWIS PLC 213800JSUFNZLZLCVJ25 985BRBII4 200000.000000 PA 250395.480000 0.0888757 Long DBT CORP GB N 2 2025-01-21 Fixed 6.125 N N N N N N N/A N/A 000000000 368.000000 NC USD -11150.080000 -0.0039576 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-31 75668562.590000 USD -11150.080000 N N N FHLMC PASS THRU POOLS N/A 3142GQEK4 1616694.160000 PA USD 1561531.780000 0.554252 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 5 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAL0 1000000.000000 PA USD 869898.200000 0.308763 Long ABS-MBS CORP US N 2 2038-09-15 Floating 7.26248 N N N N N N REGATTA XV FUNDING LLC 2018 4A N/A 75888RAL3 1001841.770000 PA USD 1003604.320000 0.356221 Long ABS-CBDO CORP KY N 2 2031-10-25 Floating 5.82587 N N N N N N 2025-03-03 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX