NPORT-P false 0000810893 XXXXXXXX S000047288 C000148264 C000148265 C000213842 C000148267 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE Worldwide Long/Short PLUS Fund S000047288 549300CBT8QMVT1DGW24 2025-03-31 2025-03-31 N 1267266535.780000 783642324.640000 483624211.140000 0.000000 0.000000 29657818.250000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 14984364.780000 CZK CLP AUD PEN ZAR PLN GBP USD CAD JPY EUR COP BRL ILS MXN TRY N MSCI World Net Total Return USD Index NDDUWI N/A N/A 000000000 1.000000 NC 204956.820000 0.0423794 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -66358.380000 AUD 15400000.000000 AUD 271315.200000 N N N N/A N/A 000000000 1.000000 NC USD 26118.540000 0.0054006 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-27 0.000000 USD 0.000000 USD 6300000.000000 USD 26118.540000 N N N VEROS AUTO RECEIVABLES TRUST 2023-1 N/A 924933AA2 355989.720000 PA USD 357123.440000 0.0738432 Long ABS-O CORP US N 2 2028-11-15 Fixed 7.12 N N N N N N N/A N/A 000000000 1.000000 NC 173.230000 0.0000358 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 400000.000000 BRL 67274.380000 USD 2025-10-02 173.230000 N N N N/A N/A 000000000 1.000000 NC 4849.800000 0.0010028 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 933111.000000 USD 5352426.410000 BRL 2025-04-02 4849.800000 N N N N/A N/A 000000000 1.000000 NC 2249.170000 0.0004651 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7922865.000000 TWD 242906.000000 USD 2025-08-20 2249.170000 N N N N/A N/A 000000000 1.000000 NC 1920.070000 0.000397 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85700.080000 USD 500000.000000 BRL 2025-04-02 1920.070000 N N N N/A N/A 000000000 1.000000 NC -2684.850000 -0.0005552 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 USD 290666660.000000 KRW 2025-04-14 -2684.850000 N N N FNMA PASS THRU POOLS N/A 3140JCM76 4900000.000000 PA USD 4952677.600000 1.02408 Long ABS-MBS USGSE US N 2 2031-09-01 Variable 4.705 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 1622947.330000 PA USD 1634074.990000 0.337881 Long ABS-MBS CORP US N 2 2039-10-25 Floating 6.87211 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 300000.020000 PA USD 298730.030000 0.061769 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N N/A N/A 000000000 1.000000 NC 131.330000 0.0000272 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 445895.970000 DKK 64757.210000 USD 2025-04-02 131.330000 N N N N/A N/A 000000000 1.000000 NC 9345.330000 0.0019324 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19102424.000000 TWD 589581.000000 USD 2025-08-20 9345.330000 N N N N/A N/A 000000000 1.000000 NC 10556.150000 0.0021827 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2900000.000000 BRL 518753.010000 USD 2025-04-02 10556.150000 N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAF8 209130.290000 PA USD 147460.700000 0.0304908 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.64459 N N N N N N N/A N/A 000000000 1.000000 NC 33.650000 0.000007 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 148468.650000 THB 4424.550000 USD 2025-05-19 33.650000 N N N N/A N/A 000000000 1.000000 NC 1678.720000 0.0003471 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28245.000000 USD 314818.480000 NOK 2025-04-02 1678.720000 N N N N/A N/A 000000000 1.000000 NC 1621.930000 0.0003354 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4191618.000000 TWD 127745.000000 USD 2025-04-14 1621.930000 N N N FANNIE MAE 2006-16 N/A 31394V6K1 314880.380000 PA USD 22863.280000 0.0047275 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 2.24583 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MBP4 1678000.000000 PA USD 1569791.000000 0.324589 Long DBT CORP JP N 2 2029-07-16 Fixed 3.04 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFT5 5800000.000000 PA 4304285.780000 0.890006 Long DBT NUSS CA N 2 2034-09-01 Fixed 4.45 N N N N N N N/A N/A 000000000 1.000000 NC USD -5196.040000 -0.0010744 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2029-12-20 0.000000 USD -6199.300000 USD 270000.000000 USD 1003.260000 N N N N/A N/A 000000000 1.000000 NC USD -10553.980000 -0.0021823 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-29 0.000000 USD -1252.000000 USD 400000.000000 USD -9301.980000 N N N N/A N/A 000000000 1.000000 NC 26264.900000 0.0054308 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 10200000.000000 DKK 1504600.760000 USD 2025-04-01 26264.900000 N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 958.000000 NS USD 94554.600000 0.0195513 Long EC CORP US N 1 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAB5 91027.410000 PA USD 57165.190000 0.0118202 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.83459 N N N N N N N/A N/A 000000000 1.000000 NC 52660.920000 0.0108888 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59024982.000000 TWD 1830232.000000 USD 2025-04-25 52660.920000 N N N N/A N/A 000000000 -400000.000000 NC USD -2289.280000 -0.0004734 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/3.72300 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.720000 USD 2025-04-14 XXXX -469.280000 N N N N/A N/A 000000000 1.000000 NC -1067.620000 -0.0002208 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 675535.230000 USD 4875000.000000 CNY 2025-06-18 -1067.620000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0SZJH0 15900000.000000 PA 641928.170000 0.132733 Long DBT NUSS MX N 2 2047-11-07 Fixed 8 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FZ1 300000.000000 PA USD 251384.060000 0.0519792 Long DBT CORP US N 2 2043-10-01 Fixed 4.65 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WBA5 1400000.000000 PA USD 1456116.420000 0.301084 Long DBT CORP US N 2 2031-04-15 Fixed 5.85 N N N N N N ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A N/A 03329LAS0 300000.000000 PA USD 291181.290000 0.0602082 Long ABS-CBDO CORP KY N 2 2038-04-25 Fixed 3.928 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826C839 958.000000 NS USD 335740.680000 0.0694218 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 1850.980000 0.0003827 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 204000.000000 EUR 222436.110000 USD 2025-04-02 1850.980000 N N N N/A N/A 000000000 1.000000 NC 356.680000 0.0000738 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 91238.220000 SGD 68265.000000 USD 2025-04-02 356.680000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625H100 958.000000 NS USD 234997.400000 0.0485909 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -6208.550000 -0.0012838 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 700000.000000 USD 11569250000.000000 IDR 2025-04-25 -6208.550000 N N N N/A N/A 000000000 1.000000 NC -3284.390000 -0.0006791 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 579117.740000 USD 827398.660000 CAD 2025-05-02 -3284.390000 N N N N/A N/A 000000000 1.000000 NC 745.880000 0.0001542 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2696014818.000000 IDR 162315.000000 USD 2025-05-09 745.880000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECR4 200000.000000 PA USD 205102.880000 0.0424096 Long DBT CORP GB N 2 2030-03-12 Floating 5.69 N N N N N N N/A N/A 000000000 1.000000 NC -1569.560000 -0.0003245 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-12-12 11.320000 MXN 0.000000 MXN 6400000.000000 MXN -1580.880000 N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 700000.000000 PA USD 668736.380000 0.138276 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KS5 900000.000000 PA USD 900141.000000 0.186124 Long DBT CORP US N 2 2025-09-04 Floating 5.29084 N N N N N N N/A N/A 000000000 -200000.000000 NC -102.360000 -0.0000212 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.92000 04/16/25-10Y LCH 2035-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.920000 EUR 2025-04-14 XXXX 613.230000 N N N N/A N/A 000000000 1.000000 NC -12183.060000 -0.0025191 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 315647295.000000 JPY 2099365.000000 USD 2025-05-02 -12183.060000 N N N N/A N/A 000000000 1.000000 NC -1353.590000 -0.0002799 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 236000.000000 CHF 265403.500000 USD 2025-04-02 -1353.590000 N N N N/A N/A 000000000 1.000000 NC -6211.920000 -0.0012845 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10773503.330000 CNY 1480609.000000 USD 2025-05-12 -6211.920000 N N N N/A N/A 000000000 1.000000 NC 17627.260000 0.0036448 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 66119320.000000 TWD 2026000.000000 USD 2025-08-20 17627.260000 N N N N/A N/A 000000000 1.000000 NC USD -12569.060000 -0.0025989 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -1600.000000 USD 500000.000000 USD -10969.060000 N N N N/A N/A 000000000 1.000000 NC 1259.460000 0.0002604 N/A DFE MY N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 461000.000000 USD 2047328.660000 MYR 2025-04-23 1259.460000 N N N N/A N/A 000000000 1.000000 NC 4668.100000 0.0009652 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-02-12 0.000000 EUR -535.940000 EUR 200000.000000 EUR 5204.040000 N N N N/A N/A 000000000 1.000000 NC -16656.890000 -0.0034442 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 11376210.810000 CNY 1553342.000000 USD 2025-05-12 -16656.890000 N N N N/A N/A 000000000 -200000.000000 NC -225.490000 -0.0000466 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.89000 04/23/25-10Y LCH 2035-04-23 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.890000 EUR 2025-04-17 XXXX 528.130000 N N N CARLYLE EURO CLO 2019-2 DAC 19-2A N/A ACI1ZPM05 2214530.990000 PA 2395441.600000 0.49531 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 3.446 N N N N N N AON CORPORATION LTS3U8DGK38SETRUWX71 03739NRA1 2450000.000000 PA USD 2446955.880000 0.505962 Long DBT CORP US N 2 2025-04-10 None 0 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AD3 3950963.170000 PA USD 3760356.850000 0.777537 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.93459 N N N N N N N/A N/A 000000000 1.000000 NC 22244.080000 0.0045995 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 45154553.000000 TWD 1390098.000000 USD 2025-07-16 22244.080000 N N N N/A N/A 000000000 1.000000 NC 384.870000 0.0000796 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 130904.000000 USD 11247271.680000 INR 2025-05-02 384.870000 N N N N/A N/A 000000000 1.000000 NC -20.420000 -0.0000042 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 122688.630000 USD 700000.000000 BRL 2025-04-02 -20.420000 N N N N/A N/A 000000000 1.000000 NC -3901.520000 -0.0008067 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 76670.180000 USD 3031922.270000 TRY 2025-06-17 -3901.520000 N N N N/A N/A 000000000 -200000.000000 NC -141.000000 -0.0000292 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.51000 04/09/25-10Y LCH 2035-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.510000 EUR 2025-04-07 XXXX 553.240000 N N N N/A N/A 000000000 1.000000 NC 1455.990000 0.0003011 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1115526.580000 USD 1033000.000000 EUR 2025-04-02 1455.990000 N N N N/A N/A 000000000 1.000000 NC -241924.540000 -0.0500232 N/A DFE AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 19747377.610000 USD 31216215.000000 AUD 2025-04-02 -241924.540000 N N N N/A N/A 000000000 1.000000 NC 20755.240000 0.0042916 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46510187.000000 TWD 1429675.000000 USD 2025-07-16 20755.240000 N N N N/A N/A 000000000 1.000000 NC 6567.440000 0.001358 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 384446.920000 USD 22401337.580000 PHP 2025-04-14 6567.440000 N N N N/A N/A 000000000 1.000000 NC -6725.420000 -0.0013906 N/A DFE CN N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1523541.000000 USD 10990844.580000 CNY 2025-05-12 -6725.420000 N N N N/A N/A 000000000 1.000000 NC -15291.730000 -0.0031619 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1408850.000000 USD 46273678.000000 TWD 2025-04-25 -15291.730000 N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 2045751.740000 PA USD 1059130.680000 0.218999 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.60459 N N N N N N N/A N/A 000000000 1.000000 NC -294.890000 -0.000061 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 62059.000000 USD 90675678.000000 KRW 2025-06-18 -294.890000 N N N N/A N/A 000000000 1.000000 NC -310.980000 -0.0000643 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4157728.210000 TRY 99921.370000 USD 2025-06-13 -310.980000 N N N N/A N/A 000000000 -400000.000000 NC USD -271.280000 -0.0000561 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/4.07300 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2025-04-14 XXXX 1548.720000 N N N N/A N/A 000000000 1.000000 NC -699.010000 -0.0001445 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 91901.760000 PEN 24240.170000 USD 2025-08-08 -699.010000 N N N N/A N/A 000000000 1.000000 NC -9983.580000 -0.0020643 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1113669.490000 PEN 292997.670000 USD 2025-04-21 -9983.580000 N N N N/A N/A 000000000 1.000000 NC -0.230000 0 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 523701.000000 USD 44875919.310000 INR 2025-05-05 -0.230000 N N N N/A N/A 000000000 1.000000 NC USD -5776.860000 -0.0011945 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -1373.750000 USD 700000.000000 USD -4403.110000 N N N N/A N/A 000000000 1.000000 NC -1950.240000 -0.0004033 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 504440.730000 USD 389000.000000 GBP 2025-04-02 -1950.240000 N N N N/A N/A 000000000 -54400000.000000 NC USD -62005.120000 -0.0128209 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.83000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 2.830000 USD 2025-10-30 XXXX 35137.740000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZW6 200000.000000 PA USD 197492.790000 0.040836 Long DBT CORP US N 2 2026-08-01 Fixed 4.542 N N N N N N N/A N/A 000000000 1.000000 NC -950.290000 -0.0001965 N/A DFE BR N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 871013.700000 BRL 151686.410000 USD 2025-04-02 -950.290000 N N N N/A N/A 000000000 1.000000 NC 3823.330000 0.0007906 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1617145.290000 SGD 1209483.000000 USD 2025-05-02 3823.330000 N N N N/A N/A 000000000 1.000000 NC USD 213086.220000 0.0440603 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 184002.400000 USD 0.000000 USD 18750000.000000 USD 29083.820000 N N N N/A N/A 000000000 1.000000 NC 53588.430000 0.0110806 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 14353088.000000 USD 2160857398.000000 JPY 2025-04-02 53588.430000 N N N N/A N/A 000000000 1.000000 NC -9221.920000 -0.0019068 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10856455.550000 CNY 1489047.000000 USD 2025-05-12 -9221.920000 N N N MAN GLG EURO 6A N/A ACI22ZH11 1000000.000000 PA 1045035.700000 0.216084 Long ABS-CBDO CORP IE N 2 2032-10-15 Fixed 1.97 N N N N N N N/A N/A 000000000 1.000000 NC 3678.330000 0.0007606 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 748671.000000 USD 2920954.880000 PLN 2025-06-06 3678.330000 N N N N/A N/A 000000000 1.000000 NC USD -3960.690000 -0.000819 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -1160.000000 USD 400000.000000 USD -2800.690000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 8744960.000000 PA USD 8167055.000000 1.68872 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 958.000000 NS USD 182269.080000 0.0376882 Long EC CORP US N 1 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 542000.000000 PA USD 547444.210000 0.113196 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 3200477.660000 0.66177 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MSCI DAILY TR NET WORLD EX USA USD N/A N/A Y 2026-03-04 0.000000 USD 0.000000 USD 100969965.630000 USD 3200477.660000 N N N N/A N/A 000000000 1.000000 NC -313.380000 -0.0000648 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 121000.000000 USD 444239.400000 PEN 2025-06-18 -313.380000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 96539.790000 PA USD 88548.580000 0.0183094 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.79459 N N N N N N N/A N/A 000000000 1.000000 NC -2285.180000 -0.0004725 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1379951.000000 USD 9982565.530000 CNY 2025-05-12 -2285.180000 N N N N/A N/A 000000000 1.000000 NC -33.630000 -0.000007 N/A DFE NO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16163.000000 USD 169689.820000 NOK 2025-05-02 -33.630000 N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A N/A 14311UBA5 2500000.000000 PA USD 2490991.250000 0.515068 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.38317 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAG9 2444000.000000 PA USD 2458569.170000 0.508363 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.08 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAA7 65879.100000 PA USD 66021.140000 0.0136513 Long ABS-O CORP US N 2 2030-12-16 Fixed 7.6 N N N N N N N/A N/A 000000000 1.000000 NC -247.460000 -0.0000512 N/A DFE CH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 16964.360000 CHF 18927.810000 USD 2025-04-02 -247.460000 N N N N/A N/A 000000000 1.000000 NC 253154.420000 0.0523453 N/A DCR N/A N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 255550.710000 EUR 0.000000 EUR 1279738.400000 EUR -2396.290000 N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 10999.330000 PA USD 10149.420000 0.0020986 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.09459 N N N N N N N/A N/A 000000000 1.000000 NC 52.530000 0.0000109 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 288176.000000 USD 24700141.310000 INR 2025-05-06 52.530000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 2000000.000000 PA USD 1839831.760000 0.380426 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N N/A N/A 000000000 1.000000 NC 4.960000 0.000001 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13832.340000 USD 145575.960000 NOK 2025-05-02 4.960000 N N N N/A N/A 000000000 1.000000 NC 3348.270000 0.0006923 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13175158.000000 TWD 400000.000000 USD 2025-04-21 3348.270000 N N N N/A N/A 000000000 1.000000 NC 121.220000 0.0000251 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 175119.080000 USD 1000000.000000 BRL 2025-04-02 121.220000 N N N N/A N/A 000000000 1.000000 NC 463.680000 0.0000959 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 760376.680000 USD 589000.000000 GBP 2025-04-02 463.680000 N N N PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 958.000000 NS USD 163262.360000 0.0337581 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -93.260000 -0.0000193 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1483000.000000 CNY 205083.240000 USD 2025-06-18 -93.260000 N N N N/A N/A 000000000 1.000000 NC -9581.440000 -0.0019812 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13303334.750000 BRL 2321698.910000 USD 2025-04-02 -9581.440000 N N N N/A N/A 000000000 1.000000 NC -2063.250000 -0.0004266 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-09-17 537.820000 EUR 0.000000 EUR 240000.000000 EUR -2601.070000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 1157135.000000 PA USD 1010118.800000 0.208864 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.77459 N N N N N N N/A N/A 000000000 1.000000 NC 237.070000 0.000049 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 70838.000000 USD 6086795.320000 INR 2025-04-28 237.070000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87613ERM9 2400000.000000 PA USD 2393175.600000 0.494842 Long DBT CORP US N 2 2025-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 27.870000 0.0000058 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 204010719.000000 IDR 12254.000000 USD 2025-05-09 27.870000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DW6 1100000.000000 PA USD 1099932.910000 0.227436 Long DBT CORP US N 2 2035-07-26 Floating 5.284 N N N N N N N/A N/A 000000000 1.000000 NC USD -8722.220000 -0.0018035 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -1425.000000 USD 500000.000000 USD -7297.220000 N N N N/A N/A 000000000 1.000000 NC 10186.060000 0.0021062 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 52042709.000000 TWD 1577482.000000 USD 2025-04-25 10186.060000 N N N N/A N/A 000000000 1.000000 NC USD 1627688.140000 0.33656 N/A DE US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 S&P 500 INDEX N/A N/A Y 2025-07-09 0.000000 USD 0.000000 USD 27008521.390000 USD 1627688.140000 N N N N/A N/A 000000000 1.000000 NC -12599.520000 -0.0026052 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2592314.790000 PEN 691007.540000 USD 2025-07-30 -12599.520000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 400000.000000 PA USD 396282.610000 0.0819402 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N UMBS PASS THRU POOLS N/A 01F060667 50500000.000000 PA USD 51195231.990000 10.5857 Long ABS-MBS USGSE US N 2 2054-06-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 213.420000 0.0000441 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 327174.000000 USD 28053828.110000 INR 2025-05-05 213.420000 N N N N/A N/A 000000000 1.000000 NC 2032.100000 0.0004202 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2904000.000000 CNY 405442.760000 USD 2025-08-20 2032.100000 N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 63211.260000 PA USD 60262.650000 0.0124606 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.93459 N N N N N N N/A N/A 000000000 1.000000 NC 0.100000 0 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 203865.620000 USD 17458847.830000 INR 2025-04-28 0.100000 N N N N/A N/A 000000000 1.000000 NC -5332.960000 -0.0011027 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1700000.000000 BRL 279846.910000 USD 2025-10-02 -5332.960000 N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCP4 200000.000000 PA 139769.210000 0.0289004 Long DBT CORP US N 2 2033-02-15 Fixed 4.2 N N N N N N GNMA PASS THRU POOLS N/A 21H042653 4210000.000000 PA USD 4038146.490000 0.834976 Long ABS-MBS USGSE US N 2 2055-05-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 49863.290000 0.0103103 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 MSCI DAILY TR NET WORLD EX USA USD N/A N/A Y 2025-04-16 0.000000 USD 0.000000 USD 5280588.000000 USD 49863.290000 N N N N/A N/A 000000000 1.000000 NC -5691.210000 -0.0011768 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 173884621.000000 JPY 1157524.000000 USD 2025-05-02 -5691.210000 N N N N/A N/A 000000000 1.000000 NC USD -13906.440000 -0.0028755 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -1360.000000 USD 400000.000000 USD -12546.440000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2PJ5W7 24000000.000000 PA 598256.010000 0.123703 Long DBT NUSS TR N 2 2028-05-17 Floating 50 N N N N N N N/A N/A 000000000 1.000000 NC 30672.270000 0.0063422 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1688234467.000000 KRW 1180252.000000 USD 2025-06-12 30672.270000 N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 510649.480000 PA 661056.860000 0.136688 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.46391 N N N N N N N/A N/A 000000000 1.000000 NC USD -8835.810000 -0.001827 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -840.000000 USD 300000.000000 USD -7995.810000 N N N N/A N/A 000000000 1.000000 NC -191.530000 -0.0000396 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 70287.650000 USD 400000.000000 BRL 2025-04-02 -191.530000 N N N N/A N/A 000000000 1.000000 NC 63950.110000 0.0132231 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1544232078.000000 JPY 10359517.000000 USD 2025-04-02 63950.110000 N N N N/A N/A 000000000 1.000000 NC 195.100000 0.0000403 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 647207442.000000 IDR 39068.420000 USD 2025-04-09 195.100000 N N N N/A N/A 000000000 1.000000 NC -1970.110000 -0.0004074 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 88392.000000 USD 3453183.750000 TRY 2025-05-13 -1970.110000 N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 288025.430000 PA USD 282157.570000 0.0583423 Long ABS-O CORP US N 2 2028-04-15 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -71526.160000 -0.0147896 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1498545.040000 USD 59194027.630000 TRY 2025-06-13 -71526.160000 N N N N/A N/A 000000000 1.000000 NC 26922.890000 0.0055669 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2012363834.000000 CLP 2145240.000000 USD 2025-06-09 26922.890000 N N N N/A N/A 000000000 1.000000 NC 1674.350000 0.0003462 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 252630.000000 USD 1469826.600000 BRL 2025-06-03 1674.350000 N N N N/A N/A 000000000 1.000000 NC -2158.660000 -0.0004464 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 600000.000000 BRL 98493.060000 USD 2025-10-02 -2158.660000 N N N N/A N/A 000000000 1.000000 NC -3080.530000 -0.000637 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 USD 289975904.000000 KRW 2025-04-21 -3080.530000 N N N N/A N/A 000000000 1.000000 NC 6634.230000 0.0013718 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-20 216.810000 EUR 0.000000 EUR 300000.000000 EUR 6417.420000 N N N AMERIQUEST MTGE SECURITIES INC 2005-R4 N/A 03072SC52 3538272.650000 PA USD 3481392.790000 0.719855 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.37959 N N N N N N N/A N/A 000000000 1.000000 NC USD -1927.890000 -0.0003986 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -345.000000 USD 100000.000000 USD -1582.890000 N N N N/A N/A 000000000 1.000000 NC -2256.390000 -0.0004666 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 248845.580000 USD 8195231.000000 TWD 2025-04-14 -2256.390000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAE5 1192942.880000 PA USD 321125.310000 0.0663998 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.95459 N N N N N N BDS 2025-FL14 LLC N/A 072921AC3 2200000.000000 PA USD 2196545.560000 0.454184 Long ABS-CBDO CORP US N 2 2042-10-21 Floating 5.87139 N N N N N N ANCHORAGE CREDIT FUNDING 12 LTD N/A 03332DAA2 300000.000000 PA USD 288563.690000 0.0596669 Long ABS-CBDO CORP KY N 2 2038-10-25 Fixed 3.177 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 800000.000000 PA USD 96000.000000 0.0198501 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 27328.090000 PA USD 21819.650000 0.0045117 Long ABS-MBS CORP US N 2 2047-04-20 Floating 4.85385 N N N N N N N/A N/A 000000000 1.000000 NC -22288.020000 -0.0046085 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1395295.000000 USD 45591264.000000 TWD 2025-04-25 -22288.020000 N N N N/A N/A 000000000 1.000000 NC -191.760000 -0.0000397 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 238000.000000 USD 3965186108.000000 IDR 2025-04-23 -191.760000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HQ9 100000.000000 PA USD 99920.920000 0.0206609 Long DBT CORP US N 2 2027-06-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC 194734.170000 0.0402656 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 197706.150000 EUR 0.000000 EUR 984414.150000 EUR -2971.980000 N N N N/A N/A 000000000 1.000000 NC 521.940000 0.0001079 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2745630882.000000 IDR 165073.000000 USD 2025-05-08 521.940000 N N N N/A N/A 000000000 1.000000 NC -10102.260000 -0.0020889 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 487317.000000 USD 7945216368.000000 IDR 2025-04-09 -10102.260000 N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348106 958.000000 NS USD 334524.020000 0.0691702 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -22190.370000 -0.0045883 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2520404.810000 PEN 663421.550000 USD 2025-04-25 -22190.370000 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAL7 200000.000000 PA USD 210219.770000 0.0434676 Long DBT CORP US N 2 2033-11-21 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -6859.980000 -0.0014185 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -1466.500000 USD 500000.000000 USD -5393.480000 N N N N/A N/A 000000000 1.000000 NC -6498.940000 -0.0013438 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7600847.350000 CNY 1045096.000000 USD 2025-06-18 -6498.940000 N N N N/A N/A 000000000 1.000000 NC -1434.810000 -0.0002967 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 287000.000000 GBP 369297.250000 USD 2025-04-02 -1434.810000 N N N N/A N/A 000000000 1.000000 NC 7808.770000 0.0016146 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 -803.810000 EUR 300000.000000 EUR 8612.580000 N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 1571128.460000 PA USD 1245993.790000 0.257637 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.93459 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0GYHC9 41500000.000000 PA 1871743.930000 0.387024 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9 N N N N N N N/A N/A 000000000 1.000000 NC -1378.150000 -0.000285 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4366180.540000 INR 49635.830000 USD 2025-04-21 -1378.150000 N N N OBX 2023-NQM3 TRUST N/A 67117PAA1 1047317.600000 PA USD 1049985.540000 0.217108 Long ABS-MBS CORP US N 2 2063-02-25 Fixed 5.94871 N N N N N N N/A N/A 000000000 13.000000 NC -59710.450000 -0.0123465 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long NIKKEI 225 STOCK AVERAGE INDEX N/A N/A 2025-06-12 1562054.140000 JPY -59710.450000 N N N N/A N/A 000000000 1.000000 NC -735.170000 -0.000152 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 102232.990000 PEN 27078.000000 USD 2025-04-21 -735.170000 N N N N/A N/A 000000000 1.000000 NC 12617.340000 0.0026089 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 570914.000000 USD 2265528.340000 PLN 2025-06-06 12617.340000 N N N N/A N/A 000000000 1.000000 NC 145.750000 0.0000301 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 565557985.000000 IDR 34039.000000 USD 2025-05-09 145.750000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 19332638.000000 PA USD 19518751.760000 4.03593 Long DBT UST US N 2 2034-07-15 Fixed 1.875 N N N N N N N/A N/A 000000000 1.000000 NC 125.380000 0.0000259 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 665781900.000000 IDR 40027.000000 USD 2025-05-08 125.380000 N N N UMBS PASS THRU POOLS N/A 01F050650 12800000.000000 PA USD 12535145.980000 2.59192 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 682.160000 0.0001411 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-20 0.000000 USD -413.750000 USD 100000.000000 USD 1095.910000 N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 3218.530000 PA USD 2319.590000 0.0004796 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.80148 N N N N N N FNMA PASS THRU POOLS N/A 3138WET25 19395.410000 PA USD 17941.560000 0.0037098 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.5 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 269188.340000 PA USD 269323.180000 0.0556885 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N N/A N/A 000000000 1.000000 NC 21903.360000 0.004529 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3496235.930000 USD 20076085.950000 BRL 2025-04-02 21903.360000 N N N N/A N/A 000000000 1.000000 NC -969.630000 -0.0002005 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4907000.000000 ZAR 266368.230000 USD 2025-04-16 -969.630000 N N N N/A N/A 000000000 1.000000 NC -104.580000 -0.0000216 N/A DFE CH N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 32522.340000 USD 28679.990000 CHF 2025-04-02 -104.580000 N N N N/A N/A 000000000 1.000000 NC USD 1157423.680000 0.239323 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A RAE LOW VOLATILITY INTERNATIONAL TOTAL RETURN Y 2025-10-15 0.000000 USD 0.000000 USD 85334194.440000 USD 1157423.680000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 3608.960000 PA USD 3454.980000 0.0007144 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.08343 N N N N N N N/A N/A 000000000 1.000000 NC 658.880000 0.0001362 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2906082.210000 TRY 75319.300000 USD 2025-04-22 658.880000 N N N N/A N/A 000000000 1.000000 NC -21761.820000 -0.0044997 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2437888.530000 PEN 641482.090000 USD 2025-04-21 -21761.820000 N N N N/A N/A 000000000 1.000000 NC USD 5721.920000 0.0011831 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 12064.450000 USD 0.000000 USD 700000.000000 USD -6342.530000 N N N N/A N/A 000000000 1.000000 NC 8947.040000 0.00185 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44843129.000000 TWD 1371056.000000 USD 2025-08-20 8947.040000 N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FBB2 1131022.530000 PA USD 1003463.430000 0.207488 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.30959 N N N N N N N/A N/A 000000000 1.000000 NC 1763.270000 0.0003646 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 91701.000000 USD 7990611.290000 INR 2025-04-07 1763.270000 N N N N/A N/A 000000000 1.000000 NC 1454.180000 0.0003007 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2895000.000000 CNY 403614.600000 USD 2025-08-20 1454.180000 N N N N/A N/A 000000000 1.000000 NC -733.440000 -0.0001517 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-24 0.000000 EUR -545.390000 EUR 200000.000000 EUR -188.050000 N N N ANCHORAGE CREDIT FUNDING 13 LTD N/A 03290AAA8 300000.000000 PA USD 278370.220000 0.0575592 Long ABS-CBDO CORP KY N 2 2039-07-27 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 3109.670000 0.000643 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 496367.890000 USD 2850243.710000 BRL 2025-04-02 3109.670000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1587724.700000 PA USD 798327.980000 0.165072 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.69459 N N N N N N UMBS PASS THRU POOLS N/A 01F052656 23500000.000000 PA USD 23450402.080000 4.84889 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -12416.030000 -0.0025673 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11380227.070000 BRL 1981858.360000 USD 2025-04-02 -12416.030000 N N N TRAVELERS COMPANIES INC 549300Y650407RU8B149 89417E109 958.000000 NS USD 253352.680000 0.0523863 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 241549.950000 0.0499458 N/A DFE AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 31216215.000000 AUD 19751747.880000 USD 2025-05-02 241549.950000 N N N UMBS PASS THRU POOLS N/A 01F042657 9900000.000000 PA USD 9465546.920000 1.95721 Long ABS-MBS USGSE US N 2 2055-05-13 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -10405.480000 -0.0021516 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1003701.560000 USD 18232000.000000 ZAR 2025-04-16 -10405.480000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAH4 1313940.790000 PA USD 1175536.180000 0.243068 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.07 N N N N N N N/A N/A 000000000 1.000000 NC -1651.700000 -0.0003415 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10717439.470000 CNY 1477432.000000 USD 2025-05-12 -1651.700000 N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 8998487.230000 PA 9691714.210000 2.00398 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 3.709 N N N N N N N/A N/A 000000000 1.000000 NC -6053.290000 -0.0012517 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2568736.820000 USD 25712800.490000 SEK 2025-05-02 -6053.290000 N N N FNMA PASS THRU POOLS N/A 3140JCM50 2500000.000000 PA USD 2485354.530000 0.513902 Long ABS-MBS USGSE US N 2 2029-10-01 Variable 4.202 N N N N N N N/A N/A 000000000 1.000000 NC USD -1524.110000 -0.0003151 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -576.000000 USD 150000.000000 USD -948.110000 N N N N/A N/A 000000000 1.000000 NC USD 5462.790000 0.0011296 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-21 0.000000 USD -560.000000 USD 200000.000000 USD 6022.790000 N N N N/A N/A 000000000 1.000000 NC USD 338408.950000 0.0699735 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 209096.680000 USD 0.000000 USD 900000.000000 USD 129312.270000 N N N N/A N/A 000000000 1.000000 NC 11740.030000 0.0024275 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2223000.000000 AUD 1400781.660000 USD 2025-04-02 11740.030000 N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 1544000.000000 PA USD 1530817.330000 0.31653 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 1088.680000 0.0002251 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8158751.150000 CNY 1127055.000000 USD 2025-05-12 1088.680000 N N N AG TRUST 2024-NLP N/A 00792MAA1 1282947.350000 PA USD 1285639.230000 0.265834 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.33482 N N N N N N N/A N/A 000000000 -11.000000 NC USD -4143.690000 -0.0008568 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/25 2025-06-19 N/A USD N/A 112.500000 USD 2025-04-25 XXXX -597.900000 N N N NELNET STUDENT LOAN TRUST 2021-CA N/A 64035GAA7 996363.360000 PA USD 992269.000000 0.205174 Long ABS-O CORP US N 2 2062-04-20 Floating 5.17385 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 989RJPII3 10800000.000000 PA 523088.740000 0.10816 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC -624.600000 -0.0001291 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82522.780000 USD 2719463.000000 TWD 2025-04-25 -624.600000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 716958.310000 PA USD 724383.560000 0.149782 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 6.47255 N N N N N N N/A N/A 000000000 1.000000 NC USD 2861.780000 0.0005917 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -825.000000 USD 300000.000000 USD 3686.780000 N N N N/A N/A 000000000 1.000000 NC 2949.880000 0.00061 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 USD 17370057.000000 INR 2025-04-21 2949.880000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1JZNM2 1200000.000000 PA 1121923.240000 0.231982 Long DBT CORP US N 2 2030-08-14 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -271.380000 -0.0000561 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54345.100000 USD 900281007.000000 IDR 2025-04-09 -271.380000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAD7 900000.000000 PA USD 905477.760000 0.187227 Long ABS-O CORP US N 2 2028-12-18 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC 49345.710000 0.0102033 N/A DFE DK N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1746347.000000 USD 12389651.240000 DKK 2025-04-02 49345.710000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2R3GV0 21700000.000000 PA 537983.870000 0.11124 Long DBT NUSS TR N 2 2028-09-06 Fixed 48.64 N N N N N N N/A N/A 000000000 1.000000 NC USD -6699.630000 -0.0013853 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -670.000000 USD 200000.000000 USD -6029.630000 N N N N/A N/A 000000000 -300000.000000 NC USD -327.690000 -0.0000678 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/4.04500 04/22/25-10Y LCH 2035-04-22 0.000000 USD 0.000000 USD N/A USD N/A 4.040000 USD 2025-04-17 XXXX 1004.310000 N N N N/A N/A 000000000 1.000000 NC 5684.430000 0.0011754 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1157524.000000 USD 174469633.000000 JPY 2025-04-02 5684.430000 N N N UMBS PASS THRU POOLS N/A 01F050643 -10210000.000000 PA USD -10007910.610000 -2.06936 Short ABS-MBS USGSE US N 2 2055-04-14 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -531.100000 -0.0001098 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 731000.000000 CNY 100604.450000 USD 2025-06-18 -531.100000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 513193.150000 PA USD 511265.850000 0.105716 Long ABS-MBS CORP US N 2 2051-07-25 Variable 4.7436 N N N N N N N/A N/A 000000000 1.000000 NC 4732.360000 0.0009785 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1003343.000000 USD 5752531.640000 BRL 2025-04-02 4732.360000 N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 2473777.410000 PA USD 1208168.400000 0.249816 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.75459 N N N N N N N/A N/A 000000000 1.000000 NC USD -285910.240000 -0.0591183 N/A DCR US N 3 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -999058.440000 USD 3637187.360000 USD 713148.200000 N N N N/A N/A 000000000 1.000000 NC 5027.620000 0.0010396 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 600000.000000 USD 51800700.000000 INR 2025-04-25 5027.620000 N N N N/A N/A 000000000 -52.000000 NC USD -60845.920000 -0.0125812 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-06-18 -6388687.500000 USD -60845.920000 N N N N/A N/A 000000000 1.000000 NC 1189.030000 0.0002459 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3314648140.000000 IDR 200000.000000 USD 2025-04-21 1189.030000 N N N N/A N/A 000000000 1.000000 NC -59749.380000 -0.0123545 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 40243837.240000 USD 35550862.530000 CHF 2025-04-02 -59749.380000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 6100000.000000 PA USD 6121564.480000 1.26577 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 1843.520000 0.0003812 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 1759.650000 USD 0.000000 USD 200000.000000 USD 83.870000 N N N N/A N/A 000000000 1.000000 NC 315.900000 0.0000653 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1130441758.000000 IDR 68062.000000 USD 2025-05-09 315.900000 N N N FNMA PASS THRU POOLS N/A 3138E0LC1 205696.750000 PA USD 202974.260000 0.0419694 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 40.000000 NC USD -206658.420000 -0.0427312 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2025-06-20 11306500.000000 USD -206658.420000 N N N N/A N/A 000000000 1.000000 NC 244.820000 0.0000506 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 777403878.000000 IDR 46854.000000 USD 2025-04-30 244.820000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 352692.540000 PA USD 330685.090000 0.0683765 Long ABS-MBS CORP US N 2 2035-12-20 Floating 5.07385 N N N N N N N/A N/A 000000000 1.000000 NC 124.730000 0.0000258 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 452207250.000000 IDR 27225.000000 USD 2025-05-09 124.730000 N N N N/A N/A 000000000 1.000000 NC -2504.140000 -0.0005178 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1500000.000000 BRL 249125.160000 USD 2025-10-02 -2504.140000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 161229.250000 PA USD 161346.920000 0.033362 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N UMBS PASS THRU POOLS N/A 01F032658 -21800000.000000 PA USD -19649907.640000 -4.06305 Short ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 179582.500000 PA USD 185872.270000 0.0384332 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626URA5 2390000.000000 PA USD 2386952.510000 0.493555 Long DBT CORP CA N 2 2025-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -363.300000 -0.0000751 N/A DFE BR N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 153000.000000 USD 871013.700000 BRL 2025-04-02 -363.300000 N N N N/A N/A 000000000 1.000000 NC -9242.960000 -0.0019112 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -806.550000 EUR 200000.000000 EUR -8436.410000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 281147.690000 PA USD 283058.820000 0.0585287 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAU1 300000.000000 PA USD 298419.960000 0.0617049 Long DBT CORP US N 2 2035-06-15 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -13658.410000 -0.0028242 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3923268.670000 PEN 1051082.000000 USD 2025-08-04 -13658.410000 N N N COCA COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 958.000000 NS USD 68611.960000 0.014187 Long EC CORP US N 1 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023105 958.000000 NS USD 163386.900000 0.0337839 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -390.530000 -0.0000808 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 65978.000000 USD 96545607.000000 KRW 2025-04-28 -390.530000 N N N N/A N/A 000000000 1.000000 NC 1055.760000 0.0002183 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3539000.000000 ZAR 193863.730000 USD 2025-04-16 1055.760000 N N N N/A N/A 000000000 1.000000 NC 369994.940000 0.0765046 N/A DCR N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 363054.350000 EUR 0.000000 EUR 1870386.890000 EUR 6940.590000 N N N N/A N/A 000000000 1.000000 NC 11679.990000 0.0024151 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44532612.000000 TWD 1364357.000000 USD 2025-08-20 11679.990000 N N N FNMA PASS THRU POOLS N/A 3140LLCK5 600000.000000 PA USD 603812.240000 0.124852 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 4.54 N N N N N N N/A N/A 000000000 1.000000 NC 13266.800000 0.0027432 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3513862762.000000 KRW 2400000.000000 USD 2025-04-25 13266.800000 N N N N/A N/A 000000000 -200000.000000 NC -164.600000 -0.000034 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.52000 04/09/25-10Y LCH 2035-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.520000 EUR 2025-04-07 XXXX 590.490000 N N N N/A N/A 000000000 1.000000 NC 4122.460000 0.0008524 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 4548.440000 N N N N/A N/A 000000000 -300000.000000 NC USD -228.210000 -0.0000472 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06000 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 4.060000 USD 2025-04-14 XXXX 1091.790000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 3300000.000000 PA 948688.240000 0.196162 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 -862.550000 -0.0001784 N/A DFE CZ N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 341701.870000 CZK 13945.410000 USD 2025-04-17 -862.550000 N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466L302 958.000000 NS USD 257088.880000 0.0531588 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -30565.730000 -0.0063201 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-07-25 0.000000 PLN 0.000000 PLN 5700000.000000 PLN -30565.730000 N N N N/A N/A 000000000 1.000000 NC -419.440000 -0.0000867 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 65978.000000 USD 96503052.000000 KRW 2025-04-28 -419.440000 N N N N/A N/A 000000000 1.000000 NC -537.680000 -0.0001112 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 39411.000000 USD 647207442.000000 IDR 2025-04-09 -537.680000 N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 574918.750000 PA USD 574549.250000 0.118801 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 4.8677 N N N N N N N/A N/A 000000000 1.000000 NC -15896.620000 -0.003287 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10815658.410000 CNY 1476742.000000 USD 2025-05-12 -15896.620000 N N N N/A N/A 000000000 1.000000 NC 31.000000 0.0000064 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 132000.000000 USD 584760.000000 MYR 2025-04-23 31.000000 N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 28628.700000 PA USD 22815.280000 0.0047176 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.07459 N N N N N N N/A N/A 000000000 1.000000 NC -2793.290000 -0.0005776 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1445802.000000 USD 10456040.060000 CNY 2025-05-12 -2793.290000 N N N BX TRUST 2022-FOX2 N/A 05610AAW8 866513.580000 PA USD 860484.730000 0.177924 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.06838 N N N N N N FANNIE MAE REMICS 2024-77 N/A 3136BTRF2 1957320.000000 PA USD 1955355.630000 0.404313 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.28969 N N N N N N N/A N/A 000000000 40.000000 NC USD 68694.000000 0.014204 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-18 4456562.480000 USD 68694.000000 N N N CROSS 2023-H1 MORTGAGE TRUST N/A 22758CAA9 1298542.690000 PA USD 1313555.270000 0.271607 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 6.615 N N N N N N N/A N/A 000000000 1.000000 NC -5663.880000 -0.0011711 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 16169142.680000 DKK 2337809.000000 USD 2025-04-02 -5663.880000 N N N N/A N/A 000000000 1.000000 NC -20574.110000 -0.0042542 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1407403.000000 USD 46050226.000000 TWD 2025-04-25 -20574.110000 N N N N/A N/A 000000000 1.000000 NC 7197.690000 0.0014883 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 502118.000000 USD 2906384.510000 BRL 2025-04-02 7197.690000 N N N N/A N/A 000000000 1.000000 NC -2799.900000 -0.0005789 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 721764.000000 USD 11995717680.000000 IDR 2025-05-07 -2799.900000 N N N N/A N/A 000000000 1.000000 NC 4901.820000 0.0010136 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50154790.000000 TWD 1515342.000000 USD 2025-04-25 4901.820000 N N N N/A N/A 000000000 1.000000 NC 899.580000 0.000186 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 212115.000000 USD 18245453.530000 INR 2025-04-30 899.580000 N N N N/A N/A 000000000 1.000000 NC 7.740000 0.0000016 N/A DFE CA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 30512.190000 CAD 21211.770000 USD 2025-04-02 7.740000 N N N N/A N/A 000000000 1.000000 NC -9049.120000 -0.0018711 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2800000.000000 BRL 460658.910000 USD 2025-10-02 -9049.120000 N N N NAKILAT INC 2549006RMTDJWLLWF072 Y62014AA6 696017.050000 PA USD 723612.730000 0.149623 Long DBT CORP MH N 2 2033-12-31 Fixed 6.067 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JB0 100000.000000 PA USD 100435.510000 0.0207673 Long DBT CORP US N 2 2026-03-01 Fixed 5.35 N N N N N N N/A N/A 000000000 1.000000 NC 3522.360000 0.0007283 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1413388.000000 USD 5926335884.000000 COP 2025-04-03 3522.360000 N N N N/A N/A 000000000 1.000000 NC 5783.870000 0.0011959 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12401746.000000 TWD 382486.600000 USD 2025-08-20 5783.870000 N N N N/A N/A 000000000 1.000000 NC 33.750000 0.000007 N/A DFE NO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 169690.990000 NOK 16163.000000 USD 2025-04-02 33.750000 N N N N/A N/A 000000000 1.000000 NC 4786.610000 0.0009897 N/A DFE SG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1701163.230000 SGD 1270957.000000 USD 2025-04-02 4786.610000 N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CRM0 410000.000000 PA USD 408855.690000 0.08454 Long DBT CORP US N 2 2025-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 5920.030000 0.0012241 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 6587.480000 USD 0.000000 USD 300000.000000 USD -667.450000 N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAB8 187607.850000 PA USD 187856.280000 0.0388434 Long ABS-O CORP US N 2 2027-06-21 Fixed 5.35 N N N N N N N/A N/A 000000000 1.000000 NC 1335.940000 0.0002762 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 261524.510000 USD 1500000.000000 BRL 2025-04-02 1335.940000 N N N FHLMC PASS THRU POOLS N/A 3132DVGG4 3081843.750000 PA USD 2963087.340000 0.612684 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 4.5 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 5347928.090000 PA 253205.040000 0.0523557 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 37311.360000 0.0077149 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2028-04-28 0.000000 COP 0.000000 COP 5502700000.000000 COP 37311.360000 N N N N/A N/A 000000000 1.000000 NC 41.800000 0.0000086 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1100000.000000 BRL 184569.950000 USD 2025-10-02 41.800000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AK9 200000.000000 PA USD 199020.500000 0.0411519 Long DBT CORP US N 2 2035-04-01 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC -1981.980000 -0.0004098 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 -1701.990000 N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 300000.000000 PA USD 302205.360000 0.0624876 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N N/A N/A 000000000 1.000000 NC USD -15632.420000 -0.0032323 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A RA US LOW VOLATILITY EQUITY INCOME TR Y 2025-07-09 0.000000 USD 0.000000 USD 1116165.540000 USD -15632.420000 N N N N/A N/A 000000000 1.000000 NC -812.650000 -0.000168 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 119679.000000 USD 461621.050000 PLN 2025-06-13 -812.650000 N N N N/A N/A 000000000 1.000000 NC -2805.880000 -0.0005802 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 533665.000000 USD 8857238005.000000 IDR 2025-05-07 -2805.880000 N N N ASSET BACKED FUNDING CERT 2005-HE1 N/A 04542BKU5 1139800.400000 PA USD 1085310.650000 0.224412 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.16959 N N N N N N N/A N/A 000000000 1.000000 NC 32645.980000 0.0067503 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1097779.000000 USD 7799536.690000 DKK 2025-04-02 32645.980000 N N N MFA 2023-INV2 TRUST N/A 59319BAA5 949869.460000 PA USD 962169.980000 0.19895 Long ABS-MBS CORP US N 2 2058-10-25 Variable 6.775 N N N N N N N/A N/A 000000000 1.000000 NC 5645.000000 0.0011672 N/A DFE HK N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 136425848.950000 HKD 17559832.280000 USD 2025-05-19 5645.000000 N N N N/A N/A 000000000 1.000000 NC -3812.430000 -0.0007883 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5994461185.600000 COP 1413388.000000 USD 2025-06-26 -3812.430000 N N N N/A N/A 000000000 -3.000000 NC USD -1358.520000 -0.0002809 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/25 2025-06-19 N/A USD N/A 112.250000 USD 2025-04-25 XXXX -518.610000 N N N N/A N/A 000000000 -300000.000000 NC USD -1588.260000 -0.0003284 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.71000 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-04-14 XXXX -268.260000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0DVTJ0 200000.000000 PA 53839.990000 0.0111326 Long DBT NUSS IL N 2 2025-08-31 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 23182.410000 0.0047935 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 44408290.000000 TWD 1368430.000000 USD 2025-07-16 23182.410000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YT4 400000.000000 PA USD 381712.790000 0.0789276 Long DBT CORP US N 2 2027-11-02 Fixed 3.815 N N N N N N N/A N/A 000000000 1.000000 NC -12000.740000 -0.0024814 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3813320.670000 PEN 1025224.000000 USD 2025-04-28 -12000.740000 N N N N/A N/A 000000000 1.000000 NC 119.950000 0.0000248 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 700000.000000 BRL 117546.960000 USD 2025-10-02 119.950000 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 604000.000000 PA 643156.260000 0.132987 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 1100000.000000 PA USD 1063770.730000 0.219958 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N N/A N/A 000000000 1.000000 NC USD 9948.860000 0.0020571 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -1381.250000 USD 500000.000000 USD 11330.110000 N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 2650000.000000 PA USD 2286088.750000 0.472699 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.15459 N N N N N N CHEVRON CORPORATION N/A 166764100 958.000000 NS USD 160263.820000 0.0331381 Long EC CORP US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 600000.000000 PA USD 602833.180000 0.124649 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 1850833.540000 PA 2396072.780000 0.495441 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 5.35863 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 19719.740000 PA USD 19215.590000 0.0039732 Long ABS-MBS CORP US N 2 2033-05-25 Floating 6.05821 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 1700000.000000 PA USD 1708266.590000 0.353222 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N N/A N/A 000000000 1.000000 NC 25484.110000 0.0052694 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 669803.350000 USD 4797240.100000 DKK 2025-04-02 25484.110000 N N N N/A N/A 000000000 1.000000 NC 4830.810000 0.0009989 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 771097.990000 USD 4427798.880000 BRL 2025-04-02 4830.810000 N N N N/A N/A 000000000 1.000000 NC 59662.870000 0.0123366 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 35423595.420000 CHF 40243837.240000 USD 2025-05-02 59662.870000 N N N CPPIB CAPITAL INC 549300KW9NB55HTDK075 12593CAY7 800000.000000 PA 588844.320000 0.121757 Long DBT CORP CA N 2 2034-06-02 Fixed 4.3 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2023-A N/A 193938AA5 2609665.510000 PA USD 2669990.540000 0.55208 Long ABS-O CORP US N 2 2055-05-25 Floating 6.23969 N N N N N N N/A N/A 000000000 1.000000 NC -1033.690000 -0.0002137 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 198800.000000 ILS 52610.690000 USD 2025-09-02 -1033.690000 N N N N/A N/A 000000000 1.000000 NC USD 24828.960000 0.0051339 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MSCI DAILY TR NET WORLD EX USA USD N/A N/A Y 2025-05-21 0.000000 USD 0.000000 USD 2640294.000000 USD 24828.960000 N N N N/A N/A 000000000 1.000000 NC -4932.380000 -0.0010199 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 -529.090000 EUR 200000.000000 EUR -4403.290000 N N N N/A N/A 000000000 1.000000 NC 12177.120000 0.0025179 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 2099365.000000 USD 316710203.000000 JPY 2025-04-02 12177.120000 N N N STWD 2022-FL3 LTD N/A 78485KAE5 4500000.000000 PA USD 4476178.260000 0.925549 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 6.14867 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2 N/A 16159RAC9 1527457.960000 PA USD 1377273.410000 0.284782 Long ABS-MBS CORP US N 2 2063-03-25 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 20762.350000 0.0042931 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 53123137.000000 TWD 1620596.000000 USD 2025-04-25 20762.350000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAF0 1600000.000000 PA USD 1599480.160000 0.330728 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.64 N N N N N N N/A N/A 000000000 1.000000 NC 180.880000 0.0000374 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 474258.000000 TWD 14451.000000 USD 2025-04-14 180.880000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 800000.000000 PA USD 712636.410000 0.147353 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 372668.190000 PA USD 377172.330000 0.0779887 Long ABS-O CORP US N 2 2052-11-15 Floating 5.89733 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4 N/A 268432AA9 2535445.080000 PA USD 2548641.060000 0.526988 Long ABS-MBS CORP US N 2 2067-09-25 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC USD -6877.110000 -0.001422 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-06 0.000000 USD -1065.000000 USD 300000.000000 USD -5812.110000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECT0 100000.000000 PA USD 100106.200000 0.0206992 Long DBT CORP GB N 2 2028-09-10 Floating 4.837 N N N N N N N/A N/A 000000000 1.000000 NC USD -11205.810000 -0.002317 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -1190.000000 USD 400000.000000 USD -10015.810000 N N N N/A N/A 000000000 1.000000 NC 10893.660000 0.0022525 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1764000.000000 CHF 2004789.900000 USD 2025-04-02 10893.660000 N N N N/A N/A 000000000 1.000000 NC 19238.140000 0.0039779 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 45825042.000000 TWD 1407403.000000 USD 2025-07-16 19238.140000 N N N N/A N/A 000000000 -200000.000000 NC -661.110000 -0.0001367 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.35000 04/29/25-5Y LCH 2030-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.350000 EUR 2025-04-25 XXXX -303.800000 N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 305777.350000 PA USD 294334.460000 0.0608602 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.09459 N N N N N N HESTIA RE LTD 549300QRKQ1ZKOXEMZ38 42815KAD4 250000.000000 PA USD 249637.500000 0.0516181 Long DBT CORP BM N 2 2032-03-13 Floating 12.5359 N N N N N N BACARDI LIMITED 549300R32WTQNHNN5055 067316AD1 100000.000000 PA USD 97639.750000 0.0201892 Long DBT CORP BM N 2 2026-07-15 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -3184.150000 -0.0006584 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 2976439.530000 BRL 518408.000000 USD 2025-04-02 -3184.150000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 3466069.430000 PA USD 1729348.550000 0.357581 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.71459 N N N N N N N/A N/A 000000000 1.000000 NC 421.810000 0.0000872 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3344325.170000 TRY 86878.000000 USD 2025-04-17 421.810000 N N N N/A N/A 000000000 1.000000 NC 18297.200000 0.0037834 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 46843338.000000 TWD 1437309.000000 USD 2025-07-16 18297.200000 N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 1812.420000 PA USD 1656.200000 0.0003425 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.35609 N N N N N N N/A N/A 000000000 1.000000 NC -7479.380000 -0.0015465 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 813181.000000 USD 26753655.000000 TWD 2025-04-25 -7479.380000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 958.000000 NS USD 257749.900000 0.0532955 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 690.480000 0.0001428 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 320000.000000 ILS 86780.570000 USD 2025-04-16 690.480000 N N N N/A N/A 000000000 1.000000 NC 170.830000 0.0000353 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1113982562.000000 IDR 66934.000000 USD 2025-05-08 170.830000 N N N N/A N/A 000000000 1.000000 NC -8768.430000 -0.0018131 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 6675799.640000 CNY 914844.000000 USD 2025-06-18 -8768.430000 N N N N/A N/A 000000000 1.000000 NC -3026.150000 -0.0006257 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -835.450000 EUR 300000.000000 EUR -2190.700000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287BRH4 710000.000000 PA USD 708474.140000 0.146493 Long DBT CORP US N 2 2025-04-17 None 0 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 921.140000 PA USD 846.710000 0.0001751 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.91459 N N N N N N HONEYWELL INTERNATIONAL INC ISRPG12PN4EIEOEMW547 438516106 958.000000 NS USD 202856.500000 0.0419451 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 617.350000 0.0001277 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 879.850000 N N N N/A N/A 000000000 1.000000 NC USD 299685.280000 0.0619666 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MSCI DAILY TR NET WORLD EX USA USD N/A N/A Y 2025-04-16 0.000000 USD 0.000000 USD 32431611.300000 USD 299685.280000 N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 172976.770000 PA USD 173072.490000 0.0357866 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.53359 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2JBZ32 9700000.000000 PA 468981.460000 0.0969723 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC 2456.420000 0.0005079 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1483177.000000 USD 10764898.670000 CNY 2025-05-12 2456.420000 N N N N/A N/A 000000000 1.000000 NC -27999.840000 -0.0057896 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 3163709.440000 PEN 832708.510000 USD 2025-04-21 -27999.840000 N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 235191.000000 PA USD 155141.270000 0.0320789 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 23490.470000 0.0048572 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 553914.000000 USD 3294929.730000 BRL 2025-04-02 23490.470000 N N N N/A N/A 000000000 1.000000 NC 19552.460000 0.0040429 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 13716570.960000 GBP 17736730.570000 USD 2025-05-02 19552.460000 N N N N/A N/A 000000000 1.000000 NC -1520.720000 -0.0003144 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 0.000000 CAD 0.000000 CAD 400000.000000 CAD -1520.720000 N N N N/A N/A 000000000 1.000000 NC -143.640000 -0.0000297 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 619160.640000 TRY 14816.000000 USD 2025-06-11 -143.640000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MV6 2820000.000000 PA USD 2819335.920000 0.58296 Long DBT UST US N 2 2025-04-03 None 0 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 3812955.700000 PA USD 903485.190000 0.186816 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.83459 N N N N N N N/A N/A 000000000 1.000000 NC 4843.650000 0.0010015 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 188584879.000000 JPY 1262160.000000 USD 2025-04-02 4843.650000 N N N VERUS SECURITIZATION TRUST 2022-2 N/A 92538XAA3 1063595.190000 PA USD 1014938.790000 0.209861 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.26 N N N N N N N/A N/A 000000000 1.000000 NC -12229.180000 -0.0025287 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9493907.210000 CNY 1301275.000000 USD 2025-06-18 -12229.180000 N N N N/A N/A 000000000 1.000000 NC 63591.170000 0.0131489 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3354321.800000 USD 292706506.070000 INR 2025-04-28 63591.170000 N N N N/A N/A 000000000 -300000.000000 NC USD -2148.210000 -0.0004442 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.71500 04/28/25-10Y LCH 2035-04-28 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-04-24 XXXX -1036.710000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBV0 200000.000000 PA USD 205269.530000 0.042444 Long DBT CORP JP N 2 2034-07-03 Fixed 5.783 N N N N N N N/A N/A 000000000 1.000000 NC -6740.630000 -0.0013938 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10164347.870000 CNY 1405245.000000 USD 2025-08-20 -6740.630000 N N N N/A N/A 000000000 1.000000 NC USD -12991.860000 -0.0026864 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -1637.500000 USD 500000.000000 USD -11354.360000 N N N N/A N/A 000000000 1.000000 NC -404.760000 -0.0000837 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 93142.750000 USD 1547307854.000000 IDR 2025-05-07 -404.760000 N N N N/A N/A 000000000 1.000000 NC -1451.830000 -0.0003002 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 861630.420000 USD 761000.000000 CHF 2025-04-02 -1451.830000 N N N UMBS PASS THRU POOLS N/A 01F050643 12000000.000000 PA USD 11762480.640000 2.43215 Long ABS-MBS USGSE US N 2 2055-04-14 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 37970000.000000 PA USD 35328168.900000 7.30488 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -5110.760000 -0.0010568 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-01-06 0.000000 GBP -548.350000 GBP 200000.000000 GBP -4562.410000 N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 670186.510000 PA USD 215911.710000 0.0446445 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.54459 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 958.000000 NS USD 501752.500000 0.103748 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 3277.040000 0.0006776 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 828623.500000 CAD 579117.740000 USD 2025-04-02 3277.040000 N N N N/A N/A 000000000 1.000000 NC USD 3149683.350000 0.651267 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 53652106.550000 USD 3149683.350000 N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 3069340.690000 PA USD 2333527.650000 0.482508 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.75459 N N N N N N N/A N/A 000000000 1.000000 NC -3313.140000 -0.0006851 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 996045.990000 USD 148900000.000000 JPY 2025-04-02 -3313.140000 N N N N/A N/A 000000000 1.000000 NC 11964.710000 0.002474 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2250960.010000 ILS 617543.940000 USD 2025-04-16 11964.710000 N N N N/A N/A 000000000 1.000000 NC -12749.820000 -0.0026363 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11560265.930000 CNY 1582650.000000 USD 2025-05-12 -12749.820000 N N N N/A N/A 000000000 1.000000 NC 6536.560000 0.0013516 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2100000.000000 BRL 374541.190000 USD 2025-04-02 6536.560000 N N N N/A N/A 000000000 1.000000 NC -237476.320000 -0.0491035 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23495004.440000 USD 33467127.790000 CAD 2025-04-02 -237476.320000 N N N N/A N/A 000000000 1.000000 NC -494.980000 -0.0001023 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 102541.000000 USD 149813426.000000 KRW 2025-06-18 -494.980000 N N N N/A N/A 000000000 1.000000 NC USD -14250.740000 -0.0029467 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-01 0.000000 USD -1662.500000 USD 500000.000000 USD -12588.240000 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599EL5 1400000.000000 PA USD 1368776.920000 0.283025 Long DBT CORP US N 2 2034-10-01 Fixed 5.55 N N N N N N N/A N/A 000000000 1.000000 NC -15253.290000 -0.003154 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 803880.000000 USD 13149467100.000000 IDR 2025-04-23 -15253.290000 N N N N/A N/A 000000000 1.000000 NC 3343.280000 0.0006913 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -1078.830000 GBP 200000.000000 GBP 4422.110000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAB7 1396580.530000 PA USD 1372237.570000 0.283741 Long ABS-O CORP US N 2 2053-01-15 Floating 5.16366 N N N N N N N/A N/A 000000000 1.000000 NC 285.990000 0.0000591 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 70705.000000 USD 6080630.000000 INR 2025-04-30 285.990000 N N N CPS AUTO RECEIVABLES TRUST 2024-A N/A 22411CAA8 155629.280000 PA USD 155903.510000 0.0322365 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC 3273.400000 0.0006768 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 150748.000000 USD 597979.630000 PLN 2025-06-06 3273.400000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 700000.000000 PA USD 642478.590000 0.132847 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 1381937.500000 PA USD 306035.590000 0.0632796 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.09459 N N N N N N N/A N/A 000000000 1.000000 NC 31835.990000 0.0065828 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 41883553.000000 MYR 9488582.720000 USD 2025-04-23 31835.990000 N N N N/A N/A 000000000 1.000000 NC 11.140000 0.0000023 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 317891255.000000 IDR 19062.000000 USD 2025-05-09 11.140000 N N N N/A N/A 000000000 1.000000 NC 270.230000 0.0000559 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 711440.000000 TWD 21677.000000 USD 2025-04-14 270.230000 N N N N/A N/A 000000000 1.000000 NC -1271.170000 -0.0002628 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1100000.000000 BRL 183256.980000 USD 2025-10-02 -1271.170000 N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 894715.560000 PA USD 859171.190000 0.177653 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NP8 3494000.000000 PA USD 3467566.910000 0.716996 Long DBT UST US N 2 2025-06-05 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 313766.930000 0.0648783 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.43 Y Single Leg Swap 2029-12-20 416767.500000 USD 0.000000 USD 5700000.000000 USD -103000.570000 N N N N/A N/A OP0043SX7 -1200000.000000 NC USD -1370.170000 -0.0002833 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG44 (V1 ONLY) 5Y SP Single Leg Swap 2030-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2025-07-16 XXXX -14.170000 N N N N/A N/A 000000000 1.000000 NC -9183.030000 -0.0018988 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 504703.000000 USD 8262240462.000000 IDR 2025-04-23 -9183.030000 N N N N/A N/A 000000000 1.000000 NC USD 31936.460000 0.0066036 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.44 Y Single Leg Swap 2030-06-20 32310.000000 USD 0.000000 USD 600000.000000 USD -373.540000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 9600000.000000 PA 435479.250000 0.090045 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N JOHNSON & JOHNSON COMPANY 549300G0CFPGEF6X2043 478160104 958.000000 NS USD 158874.720000 0.0328509 Long EC CORP US N 1 N N N COUNTRYWIDE HOME LOANS 2007-HY4 N/A 17025RAA3 1131.450000 PA USD 1041.320000 0.0002153 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.93272 N N N N N N N/A N/A 000000000 1.000000 NC 88.750000 0.0000184 N/A DFE IN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 36297.630000 USD 3110227.760000 INR 2025-04-04 88.750000 N N N N/A N/A 000000000 1.000000 NC -19840.400000 -0.0041024 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2213199.490000 PEN 582275.350000 USD 2025-04-21 -19840.400000 N N N N/A N/A 000000000 1.000000 NC -151.610000 -0.0000313 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3908728.740000 CNY 540630.120000 USD 2025-06-18 -151.610000 N N N HPS CORPORATE LENDING FUND 549300ZS7IHUA6FKFV61 40440VAE5 300000.000000 PA USD 296057.530000 0.0612164 Long DBT CORP US N 2 2032-04-14 Fixed 5.95 N N N N N N N/A N/A 000000000 1.000000 NC 7606.310000 0.0015728 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25284484.000000 TWD 769063.000000 USD 2025-04-25 7606.310000 N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 1600000.000000 PA USD 1609439.040000 0.332787 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N N/A N/A 000000000 1.000000 NC 1206.010000 0.0002494 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 37358026.000000 JPY 251115.540000 USD 2025-05-02 1206.010000 N N N N/A N/A 000000000 1.000000 NC 2761.020000 0.0005709 N/A DFE NZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 403061.630000 NZD 231599.210000 USD 2025-04-02 2761.020000 N N N UMBS PASS THRU POOLS N/A 01F030652 10900000.000000 PA USD 9445538.230000 1.95307 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 34311.770000 0.0070947 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 905426.000000 USD 5362566.570000 BRL 2025-04-02 34311.770000 N N N N/A N/A 000000000 1.000000 NC USD -3542.710000 -0.0007325 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -1392.000000 USD 400000.000000 USD -2150.710000 N N N N/A N/A 000000000 1.000000 NC USD -14272.130000 -0.0029511 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-15 0.000000 USD -1425.000000 USD 400000.000000 USD -12847.130000 N N N N/A N/A 000000000 1.000000 NC USD 2164322.440000 0.447522 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 35915308.270000 USD 2164322.440000 N N N N/A N/A 000000000 1.000000 NC 58.290000 0.0000121 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 288176.000000 USD 24700634.670000 INR 2025-05-06 58.290000 N N N N/A N/A 000000000 1.000000 NC -2723.920000 -0.0005632 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 557969.350000 USD 746000.000000 SGD 2025-04-02 -2723.920000 N N N N/A N/A 000000000 1.000000 NC 486.350000 0.0001006 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 140691.000000 USD 12090281.090000 INR 2025-04-28 486.350000 N N N N/A N/A 000000000 1.000000 NC -594.610000 -0.0001229 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 104916.000000 USD 405135.230000 PLN 2025-06-13 -594.610000 N N N N/A N/A 000000000 1.000000 NC -132.780000 -0.0000275 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 64757.210000 USD 445065.440000 DKK 2025-05-02 -132.780000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 7291.580000 PA USD 6454.740000 0.0013347 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.83669 N N N N N N N/A N/A 000000000 1.000000 NC 2130.970000 0.0004406 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 476770.850000 SGD 356990.000000 USD 2025-04-02 2130.970000 N N N N/A N/A OP0042MG2 -700000.000000 NC USD -887.920000 -0.0001836 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG43 (V1 ONLY) 5Y SP Single Leg Swap 2029-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2025-06-18 XXXX 442.080000 N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 11606.000000 PA USD 11054.970000 0.0022859 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.56391 N N N N N N N/A N/A 000000000 1.000000 NC -4502.290000 -0.0009309 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 712753.580000 USD 655000.000000 EUR 2025-04-02 -4502.290000 N N N N/A N/A 000000000 1.000000 NC -5145.590000 -0.001064 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1032937.920000 USD 34128269.000000 TWD 2025-04-25 -5145.590000 N N N N/A N/A 000000000 1.000000 NC -1551.360000 -0.0003208 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 125000.000000 USD 4099163.000000 TWD 2025-04-25 -1551.360000 N N N N/A N/A 000000000 1.000000 NC USD -15051.860000 -0.0031123 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-05 0.000000 USD -1800.000000 USD 500000.000000 USD -13251.860000 N N N N/A N/A 000000000 1.000000 NC 153885.510000 0.0318192 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 61481721.900000 USD 57001411.000000 EUR 2025-04-02 153885.510000 N N N N/A N/A 000000000 1.000000 NC -2181.760000 -0.0004511 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1317495.000000 USD 9530758.830000 CNY 2025-05-12 -2181.760000 N N N FNMA PASS THRU POOLS N/A 3140LLVF5 900000.000000 PA USD 915338.400000 0.189267 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.77 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 5464146.710000 PA USD 4991679.210000 1.03214 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAB5 145814.440000 PA USD 145895.690000 0.0301672 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066G104 958.000000 NS USD 103828.040000 0.0214687 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 257785.430000 0.0533028 N/A DFE AU N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 29593215.000000 AUD 18749106.890000 USD 2025-04-02 257785.430000 N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 1291854.140000 PA 1398308.800000 0.289131 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 3.536 N N N N N N N/A N/A 000000000 1.000000 NC 9008.660000 0.0018627 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 925838.030000 USD 6757000.000000 CNY 2025-06-18 9008.660000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECE3 600000.000000 PA USD 669949.380000 0.138527 Long DBT CORP GB N 2 2033-11-02 Floating 7.437 N N N N N N N/A N/A 000000000 1.000000 NC 14807.750000 0.0030618 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3007420.000000 USD 17585587.710000 BRL 2025-07-02 14807.750000 N N N GNMA PASS THRU POOLS N/A 21H050656 7180000.000000 PA USD 7058746.530000 1.45955 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -859.790000 -0.0001778 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1987000.000000 CNY 274046.290000 USD 2025-06-18 -859.790000 N N N N/A N/A 000000000 1.000000 NC USD 199.600000 0.0000413 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND SR UNSEC REGS Y Single Leg Swap 2025-06-20 263.160000 USD 0.000000 USD 100000.000000 USD -63.560000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 300236.840000 PA USD 282077.040000 0.0583257 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P87324BE1 200000.000000 PA 53768.140000 0.0111178 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N FANNIE MAE 2006-115 N/A 31396LT26 16366.890000 PA USD 17581.280000 0.0036353 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 8.74332 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 795144.490000 PA USD 798781.320000 0.165166 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N N/A N/A 000000000 1.000000 NC 328.450000 0.0000679 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60201.000000 USD 345408.290000 BRL 2025-04-02 328.450000 N N N N/A N/A 000000000 1.000000 NC -18487.600000 -0.0038227 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1408675.000000 USD 23172422015.000000 IDR 2025-04-16 -18487.600000 N N N N/A N/A 000000000 1.000000 NC 24385.470000 0.0050422 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 52920713.000000 TWD 1618123.000000 USD 2025-04-25 24385.470000 N N N N/A N/A 000000000 1.000000 NC USD -2200.630000 -0.000455 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -675.000000 USD 200000.000000 USD -1525.630000 N N N N/A N/A 000000000 1.000000 NC -2189.940000 -0.0004528 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2272793.110000 BRL 396095.000000 USD 2025-04-02 -2189.940000 N N N N/A N/A 000000000 -4.000000 NC USD -297.680000 -0.0000616 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/25 2025-06-19 N/A USD N/A 109.000000 USD 2025-04-25 XXXX 697.200000 N N N N/A N/A 000000000 -400000.000000 NC USD -2523.600000 -0.0005218 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/3.71000 04/23/25-10Y LCH 2035-04-23 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-04-21 XXXX -943.600000 N N N N/A N/A 000000000 1.000000 NC 16428.220000 0.0033969 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3000000.000000 BRL 542149.110000 USD 2025-04-02 16428.220000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A 78449MAA4 648606.230000 PA USD 606126.740000 0.12533 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N N/A N/A 000000000 1.000000 NC USD -852.220000 -0.0001762 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -352.500000 USD 100000.000000 USD -499.720000 N N N N/A N/A 000000000 1.000000 NC 7840.490000 0.0016212 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 338390.000000 USD 29617998.940000 INR 2025-04-15 7840.490000 N N N N/A N/A 000000000 1.000000 NC -911.540000 -0.0001885 N/A DFE MX N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 108191.110000 USD 2218000.000000 MXN 2025-06-18 -911.540000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFQ3 100000.000000 PA USD 103118.160000 0.021322 Long DBT CORP US N 2 2030-04-18 Floating 5.656 N N N N N N N/A N/A 000000000 1.000000 NC -3567.680000 -0.0007377 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 73919.730000 USD 2915024.550000 TRY 2025-06-12 -3567.680000 N N N N/A N/A 000000000 1.000000 NC -380182.370000 -0.0786111 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 15423570.960000 GBP 19543205.220000 USD 2025-04-02 -380182.370000 N N N N/A N/A 000000000 1.000000 NC -11148.580000 -0.0023052 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 986883172.500000 COP 224802.440000 USD 2025-04-03 -11148.580000 N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 1884716.020000 PA USD 1887191.030000 0.390219 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.27969 N N N N N N N/A N/A 000000000 1.000000 NC 104.440000 0.0000216 N/A DFE CH N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 28577.380000 CHF 32522.340000 USD 2025-05-02 104.440000 N N N N/A N/A 000000000 1.000000 NC 99.440000 0.0000206 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2939753.000000 USD 21107426.540000 CNY 2025-05-08 99.440000 N N N N/A N/A 000000000 1.000000 NC 3.620000 0.0000007 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 22666513.000000 IDR 1362.000000 USD 2025-05-09 3.620000 N N N N/A N/A 000000000 1.000000 NC -12638.770000 -0.0026133 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11584386.700000 BRL 2017412.610000 USD 2025-04-02 -12638.770000 N N N UMBS PASS THRU POOLS N/A 01F062663 72150000.000000 PA USD 74276901.190000 15.3584 Long ABS-MBS USGSE US N 2 2054-06-15 Fixed 6.5 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 465306.120000 PA USD 304696.360000 0.0630027 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.51459 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 42327.390000 PA 54472.440000 0.0112634 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 4.73014 N N N N N N N/A N/A 000000000 1.000000 NC -3707.620000 -0.0007666 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11278822.670000 CNY 1552851.000000 USD 2025-05-12 -3707.620000 N N N N/A N/A 000000000 1.000000 NC 19867.010000 0.0041079 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 52199075.000000 TWD 1591872.000000 USD 2025-04-25 19867.010000 N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2T1 300000.000000 PA USD 302401.630000 0.0625282 Long DBT CORP US N 2 2032-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 20561.300000 0.0042515 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 92292410.000000 TWD 2800000.000000 USD 2025-04-25 20561.300000 N N N N/A N/A 000000000 1.000000 NC 188.420000 0.000039 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 111000.000000 CAD 77326.370000 USD 2025-04-02 188.420000 N N N N/A N/A 000000000 1.000000 NC -903.270000 -0.0001868 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 152000.000000 USD 4974382.000000 TWD 2025-08-20 -903.270000 N N N N/A N/A 000000000 1.000000 NC -850469.860000 -0.175853 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/19/25) LCH N/A N/A 2030-03-19 0.000000 GBP 0.000000 GBP N/A GBP Y 2030-03-19 0.000000 GBP -789036.150000 GBP 28700000.000000 GBP -61433.710000 N N N N/A N/A 000000000 1.000000 NC USD 751370.200000 0.155362 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 409045.040000 USD 0.000000 USD 16300000.000000 USD 342325.160000 N N N N/A N/A 000000000 1.000000 NC -4247.220000 -0.0008782 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 660877.950000 USD 2550757.580000 PLN 2025-06-20 -4247.220000 N N N N/A N/A 000000000 1.000000 NC -4095.970000 -0.0008469 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1209483.000000 USD 1619497.740000 SGD 2025-04-02 -4095.970000 N N N N/A N/A 000000000 1.000000 NC 1774.330000 0.0003669 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1428416.000000 USD 10363158.080000 CNY 2025-05-12 1774.330000 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAG7 3200000.000000 PA USD 3096136.320000 0.640195 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.157 N N N N N N N/A N/A 000000000 1.000000 NC 12054.660000 0.0024926 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 16931634.820000 CNY 2348742.000000 USD 2025-05-12 12054.660000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 7300000.000000 PA 366198.420000 0.0757196 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N MFA 2023-NQM2 TRUST N/A 55285WAA7 1064997.960000 PA USD 1049505.430000 0.217008 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 4.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -13616.600000 -0.0028155 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-01 0.000000 USD -1662.500000 USD 500000.000000 USD -11954.100000 N N N N/A N/A 000000000 -300000.000000 NC USD -2256.090000 -0.0004665 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/3.71300 04/30/25-10Y LCH 2035-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-04-28 XXXX -1126.590000 N N N N/A N/A 000000000 1.000000 NC -143894.960000 -0.0297535 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4741229.610000 USD 31720000.000000 DKK 2025-04-01 -143894.960000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBK3 1100000.000000 PA USD 1111934.850000 0.229917 Long DBT CORP US N 2 2029-08-06 Fixed 4.838 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAC0 150268.120000 PA USD 150431.360000 0.031105 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.04 N N N N N N N/A N/A 000000000 1.000000 NC 1696.030000 0.0003507 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 678459.170000 USD 628000.000000 EUR 2025-05-02 1696.030000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 1300000.000000 PA USD 1334522.800000 0.275942 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 3400000.000000 PA 164676.080000 0.0340504 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC 311.820000 0.0000645 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1130509820.000000 IDR 68062.000000 USD 2025-05-09 311.820000 N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 355475.040000 PA USD 212505.860000 0.0439403 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.91459 N N N N N N N/A N/A 000000000 1.000000 NC -52208.800000 -0.0107953 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4899184757.100000 COP 1119123.000000 USD 2025-04-03 -52208.800000 N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 309907.950000 PA USD 308174.360000 0.0637219 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.40959 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 32078.540000 PA USD 24166.050000 0.0049969 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.75341 N N N N N N N/A N/A 000000000 1.000000 NC 1240.500000 0.0002565 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3846000.000000 ZAR 210774.110000 USD 2025-04-16 1240.500000 N N N ARES EUROPEAN CLO 14A N/A ACI2RNVH0 900000.000000 PA 974622.170000 0.201525 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 4.544 N N N N N N N/A N/A 000000000 1.000000 NC USD -4607.710000 -0.0009527 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -1185.000000 USD 400000.000000 USD -3422.710000 N N N N/A N/A 000000000 1.000000 NC 321.510000 0.0000665 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1325620988.000000 IDR 79799.000000 USD 2025-04-30 321.510000 N N N N/A N/A 000000000 1.000000 NC -524022.860000 -0.108353 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-09-17 0.000000 EUR -557423.720000 EUR 13080000.000000 EUR 33400.860000 N N N CARRINGTON MTGE LOAN TRUST 2007-FRE1 N/A 144527AC2 2619950.210000 PA USD 2495965.520000 0.516096 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.69459 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 2491.150000 PA USD 2246.570000 0.0004645 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.64459 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEC5 1200000.000000 PA USD 1153772.510000 0.238568 Long DBT CORP US N 2 2027-07-20 Floating 1.512 N N N N N N N/A N/A 000000000 1.000000 NC 2641.960000 0.0005463 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 242694.460000 USD 1400000.000000 BRL 2025-04-02 2641.960000 N N N N/A N/A 000000000 1.000000 NC -561.270000 -0.0001161 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1481000.000000 CNY 204338.530000 USD 2025-06-18 -561.270000 N N N N/A N/A 000000000 1.000000 NC 12.090000 0.0000025 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 272438120.000000 IDR 16339.000000 USD 2025-05-09 12.090000 N N N N/A N/A 000000000 1.000000 NC USD 545560.470000 0.112807 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 277983.730000 USD 0.000000 USD 21800000.000000 USD 267576.740000 N N N CAPE LOOKOUT RE LTD N/A 13947LAG7 250000.000000 PA USD 250000.000000 0.051693 Long DBT CORP BM N 2 2032-03-13 Floating 11.1755 N N N N N N SYNCHRONY CARD ISSUANCE TRUST 2024-A2 N/A 87166PAN1 2500000.000000 PA USD 2533875.500000 0.523935 Long ABS-MBS CORP US N 2 2030-07-15 Fixed 4.93 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00809GRA7 2400000.000000 PA USD 2396760.960000 0.495583 Long DBT CORP US N 2 2025-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 5085.920000 0.0010516 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1208111.000000 USD 8355230.200000 DKK 2025-05-02 5085.920000 N N N N/A N/A 000000000 1.000000 NC -325.640000 -0.0000673 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1859793.840000 USD 13350530.080000 CNY 2025-05-08 -325.640000 N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 237400.760000 PA USD 235618.310000 0.0487193 Long ABS-MBS CORP US N 2 2033-01-25 Floating 6.33731 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 1248826.410000 PA USD 1150018.640000 0.237792 Long ABS-MBS CORP US N 2 2047-02-25 Floating 5.38529 N N N N N N N/A N/A 000000000 1.000000 NC 21249.370000 0.0043938 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 53327715.000000 TWD 1627244.000000 USD 2025-04-25 21249.370000 N N N N/A N/A 000000000 1.000000 NC -8152.040000 -0.0016856 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -764.280000 EUR 200000.000000 EUR -7387.760000 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 179582.500000 PA USD 183877.950000 0.0380208 Long ABS-O CORP US N 2 2041-02-20 Floating 6.54436 N N N N N N N/A N/A 000000000 1.000000 NC -219.300000 -0.0000453 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6769970.000000 THB 200000.000000 USD 2025-05-19 -219.300000 N N N N/A N/A 000000000 1.000000 NC -68.390000 -0.0000141 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 680000.000000 CAD 472488.420000 USD 2025-04-02 -68.390000 N N N N/A N/A 000000000 1.000000 NC 11162.430000 0.0023081 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 3160050.210000 SGD 2367132.000000 USD 2025-05-02 11162.430000 N N N FORT CRE 2022-FL3 N/A 34706CAA7 644429.370000 PA USD 631998.740000 0.13068 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 6.19237 N N N N N N N/A N/A 000000000 1.000000 NC -6212.980000 -0.0012847 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4454000.000000 CNY 610008.300000 USD 2025-06-18 -6212.980000 N N N N/A N/A 000000000 1.000000 NC 5354.610000 0.0011072 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 275029.870000 USD 1600000.000000 BRL 2025-04-02 5354.610000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1 N/A 64831HAM5 2015052.180000 PA USD 2038745.160000 0.421556 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.864 N N N N N N VERUS SECURITIZATION TRUST 2023-2 N/A 92539DAA6 1009443.930000 PA USD 1013040.380000 0.209469 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 6.193 N N N N N N N/A N/A 000000000 1.000000 NC -678.750000 -0.0001403 N/A DFE PL N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 398369.000000 USD 1544010.520000 PLN 2025-06-06 -678.750000 N N N N/A N/A 000000000 1.000000 NC USD 25852.050000 0.0053455 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-20 48417.410000 USD 0.000000 USD 5150000.000000 USD -22565.360000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 2906551.150000 PA USD 1056162.210000 0.218385 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.73459 N N N N N N SEQUOIA MORTGAGE TRUST 2005-2 N/A 81744FGZ4 1732.860000 PA USD 1609.360000 0.0003328 Long ABS-MBS CORP US N 2 2035-03-20 Floating 5.22406 N N N N N N N/A N/A 000000000 1.000000 NC 339.900000 0.0000703 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1200139.250000 PEN 326382.000000 USD 2025-06-18 339.900000 N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 8353.290000 PA USD 8414.630000 0.0017399 Long ABS-MBS CORP US N 2 2033-04-25 Floating 6.54796 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 43103.970000 PA USD 40895.690000 0.0084561 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.23886 N N N N N N OBX 2023-NQM8 TRUST N/A 67118CAA9 2005224.880000 PA USD 2033854.280000 0.420544 Long ABS-MBS CORP US N 2 2063-09-25 Fixed 7.045 N N N N N N N/A N/A 000000000 1.000000 NC 8003.050000 0.0016548 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 91053000.000000 MXN 4412027.500000 USD 2025-06-18 8003.050000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 400000.000000 PA USD 408473.750000 0.084461 Long DBT CORP US N 2 2028-03-15 Floating 6.1787 N N N N N N N/A N/A 000000000 1.000000 NC 7270.230000 0.0015033 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 26532063.000000 TWD 813181.000000 USD 2025-08-20 7270.230000 N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 615632.370000 PA USD 619452.060000 0.128085 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N N/A N/A 000000000 1.000000 NC 4096.990000 0.0008471 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8895830.000000 TWD 272000.000000 USD 2025-04-25 4096.990000 N N N N/A N/A 000000000 1.000000 NC -705.300000 -0.0001458 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1985000.000000 CNY 273924.070000 USD 2025-06-18 -705.300000 N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 2493.070000 PA USD 2333.510000 0.0004825 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.85226 N N N N N N N/A N/A 000000000 1.000000 NC -1306.110000 -0.0002701 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1600000.000000 BRL 267098.480000 USD 2025-10-02 -1306.110000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680CE1 1900000.000000 PA USD 1835100.120000 0.379447 Long DBT CORP US N 2 2034-11-01 Fixed 5.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 4831.710000 0.0009991 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A DOW JONES INDUSTRIAL AVERAGE TR Y 2025-06-20 0.000000 USD 0.000000 USD 6543932.600000 USD 4831.710000 N N N N/A N/A 000000000 1.000000 NC USD 2076.260000 0.0004293 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -536.500000 USD 200000.000000 USD 2612.760000 N N N N/A N/A 000000000 1.000000 NC 74899.810000 0.0154872 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1854997904.000000 JPY 12442377.000000 USD 2025-04-02 74899.810000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287BRF8 420000.000000 PA USD 419204.480000 0.0866798 Long DBT CORP US N 2 2025-04-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -21760.790000 -0.0044995 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1429675.000000 USD 46750373.000000 TWD 2025-04-25 -21760.790000 N N N N/A N/A 000000000 1.000000 NC 801.100000 0.0001656 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 300000.000000 BRL 53373.190000 USD 2025-04-02 801.100000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 1979.090000 PA USD 1690.880000 0.0003496 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.63529 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 647315.280000 PA USD 611496.830000 0.126441 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI05MPY0 6220500000.000000 PA 1322830.530000 0.273525 Long DBT NUSS CO N 2 2028-04-28 Fixed 6 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833100 958.000000 NS USD 212800.540000 0.0440012 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 568.930000 0.0001176 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1374170.650000 BRL 241379.000000 USD 2025-04-02 568.930000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 10611636.840000 PA 453114.740000 0.0936915 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -275641.350000 -0.0569949 N/A DFE CH N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 32605612.140000 CHF 36579351.460000 USD 2025-04-02 -275641.350000 N N N N/A N/A 000000000 1.000000 NC -2123.210000 -0.000439 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 312127.000000 USD 456329626.000000 KRW 2025-04-28 -2123.210000 N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251URR1 400000.000000 PA USD 398730.000000 0.0824462 Long DBT CORP US N 2 2025-04-25 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 27063.630000 0.005596 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4412256.000000 USD 665853552.000000 JPY 2025-04-02 27063.630000 N N N N/A N/A 000000000 1.000000 NC 12745.580000 0.0026354 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45962322.000000 TWD 1408850.000000 USD 2025-08-20 12745.580000 N N N N/A N/A 000000000 1.000000 NC -1366.080000 -0.0002825 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 103867.100000 USD 381000.000000 ILS 2025-04-16 -1366.080000 N N N FREDDIE MAC-3136 N/A 31396NH41 61105.420000 PA USD 5119.350000 0.0010585 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 2.23685 N N N N N N N/A N/A 000000000 1.000000 NC -1682.730000 -0.0003479 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 172405.000000 USD 663190.310000 PLN 2025-06-20 -1682.730000 N N N N/A N/A 000000000 1.000000 NC -6300.480000 -0.0013028 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 700000.000000 USD 11567717000.000000 IDR 2025-04-25 -6300.480000 N N N N/A N/A 000000000 1.000000 NC 2745.560000 0.0005677 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1616419.760000 PEN 441078.330000 USD 2025-09-10 2745.560000 N N N N/A N/A 000000000 1.000000 NC -2936.410000 -0.0006072 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-12-25 18.730000 MXN 0.000000 MXN 10700000.000000 MXN -2955.140000 N N N N/A N/A 000000000 1.000000 NC 19878.380000 0.0041103 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45410347.000000 TWD 1395481.000000 USD 2025-07-16 19878.380000 N N N N/A N/A 000000000 1.000000 NC -5095.340000 -0.0010536 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8370699.090000 DKK 1208111.000000 USD 2025-04-02 -5095.340000 N N N N/A N/A 000000000 1.000000 NC -2538.390000 -0.0005249 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 178676.000000 USD 2936897412.000000 IDR 2025-04-23 -2538.390000 N N N N/A N/A 000000000 1.000000 NC USD -14707.810000 -0.0030412 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-11 0.000000 USD -1818.750000 USD 500000.000000 USD -12889.060000 N N N N/A N/A 000000000 1.000000 NC -755.050000 -0.0001561 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 49560.000000 USD 71650379.000000 KRW 2025-06-18 -755.050000 N N N N/A N/A 000000000 1.000000 NC -740.880000 -0.0001532 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1845789.990000 PEN 498660.000000 USD 2025-12-05 -740.880000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 7830.910000 PA USD 76226.120000 0.0157614 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC 102.950000 0.0000213 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 400354787.000000 IDR 24097.000000 USD 2025-05-08 102.950000 N N N N/A N/A 000000000 1.000000 NC 7691.660000 0.0015904 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 480098939.000000 KRW 334713.000000 USD 2025-06-18 7691.660000 N N N N/A N/A 000000000 1.000000 NC 337.900000 0.0000699 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1110769730.000000 IDR 66934.000000 USD 2025-04-30 337.900000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHE8 1779123.320000 PA USD 1564516.930000 0.323499 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.07459 N N N N N N N/A N/A 000000000 -300000.000000 NC -3.890000 -0.0000008 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.75000 04/09/25-5Y LCH 2030-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.750000 EUR 2025-04-07 XXXX 601.260000 N N N N/A N/A 000000000 1.000000 NC 30780.630000 0.0063646 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11400000.000000 DKK 1683038.350000 USD 2025-04-01 30780.630000 N N N N/A N/A 000000000 1.000000 NC 76.480000 0.0000158 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1702660404.000000 IDR 102115.000000 USD 2025-05-09 76.480000 N N N N/A N/A 000000000 1.000000 NC -2669.150000 -0.0005519 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 700000.000000 BRL 114757.860000 USD 2025-10-02 -2669.150000 N N N N/A N/A 000000000 1.000000 NC 5623.410000 0.0011628 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 2337809.000000 USD 16139108.850000 DKK 2025-05-02 5623.410000 N N N N/A N/A 000000000 1.000000 NC -22832.940000 -0.0047212 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1390098.000000 USD 45400601.000000 TWD 2025-04-25 -22832.940000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 28100000.000000 PA 7684684.920000 1.58898 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -99.290000 -0.0000205 N/A DFE IN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3119084.380000 INR 36297.630000 USD 2025-05-06 -99.290000 N N N N/A N/A 000000000 1.000000 NC USD -1439891.560000 -0.297729 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A RA US LOW VOLATILITY EQUITY INCOME TR Y 2025-05-07 0.000000 USD 0.000000 USD 101975056.260000 USD -1439891.560000 N N N N/A N/A 000000000 1.000000 NC 2045.710000 0.000423 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 108299.000000 USD 9433782.940000 INR 2025-04-07 2045.710000 N N N N/A N/A 000000000 1.000000 NC USD 3012.490000 0.0006229 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -1058.720000 USD 200000.000000 USD 4071.210000 N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 1154783.460000 PA 1495599.000000 0.309248 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.4772 N N N N N N N/A N/A 000000000 1.000000 NC 0.150000 0 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1502800.000000 USD 10889288.800000 CNY 2025-05-12 0.150000 N N N N/A N/A 000000000 1.000000 NC 2188.520000 0.0004525 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 396095.000000 USD 2317512.240000 BRL 2025-07-02 2188.520000 N N N PFP 2022-9 LTD A N/A 69291QAA3 1717704.760000 PA USD 1720328.640000 0.355716 Long ABS-MBS CORP KY N 2 2035-08-19 Floating 6.5948 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 600000.000000 PA USD 539154.640000 0.111482 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N N/A N/A 000000000 1.000000 NC 10462.060000 0.0021633 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2809000.000000 CAD 1962538.640000 USD 2025-04-02 10462.060000 N N N THEOREM FUNDING TRUST 2022-3A N/A 882925AA8 263094.980000 PA USD 264459.760000 0.0546829 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.6 N N N N N N MF1 2022-FL8 LTD N/A 55284JAC3 2900000.000000 PA USD 2911761.560000 0.602071 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 6.06678 N N N N N N N/A N/A 000000000 1.000000 NC -7352.090000 -0.0015202 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 418560.000000 USD 6856431360.000000 IDR 2025-04-23 -7352.090000 N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 607797.810000 PA USD 588038.300000 0.12159 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.79459 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 567000.000000 PA USD 530919.960000 0.109779 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC 42152.740000 0.008716 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 31874331.490000 TRY 810562.570000 USD 2025-06-13 42152.740000 N N N N/A N/A 000000000 1.000000 NC 2431.250000 0.0005027 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6378025.000000 TWD 195638.930000 USD 2025-07-16 2431.250000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418GAK3 1600000.000000 PA USD 1644408.640000 0.340018 Long DBT CORP CA N 2 2029-08-01 Fixed 5.45 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 420000.000000 PA USD 415624.100000 0.0859395 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N N/A N/A 000000000 1.000000 NC 141.190000 0.0000292 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 358276.000000 USD 1391535.030000 PLN 2025-06-06 141.190000 N N N N/A N/A 000000000 1.000000 NC 4403.750000 0.0009106 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 206458800.000000 KRW 145034.000000 USD 2025-06-18 4403.750000 N N N N/A N/A 000000000 1.000000 NC 7352.860000 0.0015204 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1173671.060000 USD 6739453.940000 BRL 2025-04-02 7352.860000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 1000000.000000 PA USD 1000688.040000 0.206914 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N N/A N/A 000000000 54400000.000000 NC USD 214765.760000 0.0444076 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2025-10-30 XXXX -47001.860000 N N N N/A N/A 000000000 1.000000 NC 513.080000 0.0001061 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1702042594.000000 IDR 102743.120000 USD 2025-04-09 513.080000 N N N UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST N/A 90932WAA1 198259.490000 PA USD 200507.440000 0.0414593 Long DBT CORP US N 2 2038-08-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -1876.900000 -0.0003881 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1720322.000000 BRL 299592.840000 USD 2025-04-02 -1876.900000 N N N N/A N/A 000000000 1.000000 NC -22601.630000 -0.0046734 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1730000.000000 USD 56694868.000000 TWD 2025-04-25 -22601.630000 N N N N/A N/A 000000000 1.000000 NC 3619.330000 0.0007484 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1380248.000000 USD 10027501.720000 CNY 2025-05-12 3619.330000 N N N SOUTHERN COMPANY GAS CAPITAL CORPORATION E8CD46SWUD2TSN8PA636 8426EPAD0 1900000.000000 PA USD 1602604.130000 0.331374 Long DBT CORP US N 2 2031-01-15 Fixed 1.75 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 1026601.490000 PA 1104618.770000 0.228404 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.485 N N N N N N N/A N/A 000000000 -200000.000000 NC -102.510000 -0.0000212 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.90000 04/15/25-10Y LCH 2035-04-15 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.900000 EUR 2025-04-11 XXXX 661.920000 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343V104 958.000000 NS USD 43454.880000 0.0089853 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 4531.840000 0.0009371 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 196207.000000 USD 17172036.640000 INR 2025-04-15 4531.840000 N N N N/A N/A 000000000 1.000000 NC USD -9511.900000 -0.0019668 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 MSCI DAILY TR NET EMERGING MARKETS USD INDEX N/A N/A Y 2025-05-21 0.000000 USD 0.000000 USD 3727859.170000 USD -9511.900000 N N N N/A N/A 000000000 1.000000 NC -841.340000 -0.000174 N/A DFE HK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1051576.920000 USD 8166000.000000 HKD 2025-05-19 -841.340000 N N N N/A N/A 000000000 1.000000 NC 273.980000 0.0000567 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70346.000000 USD 6047821.490000 INR 2025-04-28 273.980000 N N N VERUS SECURITIZATION TRUST 2023-7 N/A 92539YAA0 1341140.110000 PA USD 1368042.580000 0.282873 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 7.07 N N N N N N UMBS PASS THRU POOLS N/A 01F042665 5700000.000000 PA USD 5447856.450000 1.12646 Long ABS-MBS USGSE US N 2 2054-06-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 12641.470000 0.0026139 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2062767.590000 ILS 567591.000000 USD 2025-04-16 12641.470000 N N N N/A N/A 000000000 1.000000 NC -24.460000 -0.0000051 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11918.510000 USD 46177.980000 PLN 2025-06-06 -24.460000 N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 45826CR28 2390000.000000 PA USD 2389401.540000 0.494062 Long DBT CORP US N 2 2025-04-02 None 0 N N N N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 567604.600000 PA USD 107774.320000 0.0222847 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.67459 N N N N N N N/A N/A 000000000 1.000000 NC 289.620000 0.0000599 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 137957116.000000 KRW 93933.240000 USD 2025-04-07 289.620000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 2048141.760000 PA USD 932554.790000 0.192826 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.56459 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 600000.000000 PA USD 602254.550000 0.124529 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 300000.000000 PA USD 259601.980000 0.0536784 Long DBT CORP US N 2 2032-03-15 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC 19742.350000 0.0040822 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 99885599.000000 TWD 3053765.000000 USD 2025-08-20 19742.350000 N N N N/A N/A 000000000 1.000000 NC 455.380000 0.0000942 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 680670.150000 CAD 474172.090000 USD 2025-05-02 455.380000 N N N N/A N/A 000000000 1.000000 NC -42282.640000 -0.0087429 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1183000.000000 EUR 1236894.880000 USD 2025-04-02 -42282.640000 N N N N/A N/A 000000000 1.000000 NC USD -3492.860000 -0.0007222 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -1082.250000 USD 300000.000000 USD -2410.610000 N N N N/A N/A 000000000 1.000000 NC 251.160000 0.0000519 N/A DFE HK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2154000.000000 HKD 277410.650000 USD 2025-05-19 251.160000 N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 800000.000000 PA USD 764976.470000 0.158176 Long DBT CORP IE N 2 2030-06-15 Variable 4.9 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 451920.520000 PA USD 355512.590000 0.0735101 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.84126 N N N N N N N/A N/A 000000000 1.000000 NC -9307.520000 -0.0019245 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1239148.000000 USD 40837361.000000 TWD 2025-04-25 -9307.520000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI23CXV7 18800000.000000 PA 3189783.510000 0.659558 Long DBT NUSS BR N 2 2025-07-01 None 0 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJN2 100000.000000 PA USD 100839.940000 0.0208509 Long DBT CORP US N 2 2028-01-14 Floating 5.32249 N N N N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 300000.000000 PA USD 302028.450000 0.0624511 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N N/A N/A 000000000 1.000000 NC 1889.100000 0.0003906 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8822479050.000000 IDR 531795.000000 USD 2025-04-09 1889.100000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PRV7 2390000.000000 PA USD 2380595.830000 0.492241 Long DBT CORP US N 2 2025-04-29 None 0 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037CR40 890000.000000 PA USD 889526.430000 0.183929 Long DBT CORP US N 2 2025-04-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -3678.110000 -0.0007605 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 0.000000 USD -4002.410000 USD 200000.000000 USD 324.300000 N N N N/A N/A 000000000 1.000000 NC 3112.950000 0.0006437 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 518408.000000 USD 3014283.320000 BRL 2025-06-03 3112.950000 N N N N/A N/A 000000000 10000000.000000 NC USD 154.000000 0.0000318 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.05000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 6.050000 USD 2025-10-30 XXXX -2346.000000 N N N N/A N/A 000000000 1.000000 NC -9843.060000 -0.0020353 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 803389.000000 USD 3082620.460000 PLN 2025-06-20 -9843.060000 N N N N/A N/A 000000000 1.000000 NC -465.780000 -0.0000963 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 93271.450000 USD 1545134834.000000 IDR 2025-04-09 -465.780000 N N N N/A N/A 000000000 1.000000 NC -28317.870000 -0.0058553 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 18800000.000000 BRL 3202616.610000 USD 2025-07-02 -28317.870000 N N N N/A N/A 000000000 1.000000 NC 5976.110000 0.0012357 N/A DFE CN N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 10948794.850000 CNY 1523541.000000 USD 2025-07-16 5976.110000 N N N HARBORVIEW MORTGAGE LOAN TRUST 2007-4 N/A 41164YAB7 1555922.400000 PA USD 1481230.970000 0.306277 Long ABS-MBS CORP US N 2 2047-07-19 Floating 4.65126 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961CRN4 2390000.000000 PA USD 2382655.050000 0.492667 Long DBT CORP US N 2 2025-04-22 None 0 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -439.530000 -0.0000909 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06500 04/28/25-10Y LCH 2035-04-28 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2025-04-24 XXXX 671.970000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 800000.000000 PA USD 802749.460000 0.165986 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N N/A N/A 000000000 1.000000 NC 1137.240000 0.0002351 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1454361.600000 BRL 256000.000000 USD 2025-04-02 1137.240000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 400000.000000 PA USD 403554.380000 0.0834438 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N N/A N/A 000000000 1.000000 NC USD 2538003.280000 0.524788 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A RAE LOW VOLATILITY INTERNATIONAL TOTAL RETURN Y 2026-02-04 0.000000 USD 0.000000 USD 188853899.190000 USD 2538003.280000 N N N N/A N/A 000000000 1.000000 NC 918.740000 0.00019 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 9477532.030000 CNY 1317495.000000 USD 2025-08-20 918.740000 N N N N/A N/A 000000000 1.000000 NC USD 1172.030000 0.0002423 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -898.000000 USD 200000.000000 USD 2070.030000 N N N N/A N/A 000000000 -200000.000000 NC -154.040000 -0.0000319 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.65000 04/29/25-5Y LCH 2030-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.650000 EUR 2025-04-25 XXXX 203.270000 N N N N/A N/A 000000000 1.000000 NC -8477.560000 -0.0017529 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 2850243.710000 BRL 491000.000000 USD 2025-04-02 -8477.560000 N N N N/A N/A 000000000 1.000000 NC 5159.100000 0.0010668 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 482341543.000000 KRW 333708.000000 USD 2025-06-18 5159.100000 N N N N/A N/A 000000000 1.000000 NC 7674.330000 0.0015868 N/A DFE JP N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 58800000.000000 JPY 399700.470000 USD 2025-04-02 7674.330000 N N N N/A N/A 000000000 1.000000 NC 1394.920000 0.0002884 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8083318.540000 CNY 1116951.000000 USD 2025-05-12 1394.920000 N N N N/A N/A 000000000 -200000.000000 NC -30.900000 -0.0000064 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.89000 04/09/25-10Y LCH 2035-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.890000 EUR 2025-04-07 XXXX 724.190000 N N N N/A N/A 000000000 1.000000 NC -6146.520000 -0.0012709 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1484625.000000 USD 10713054.000000 CNY 2025-05-12 -6146.520000 N N N N/A N/A 000000000 1.000000 NC -2769.270000 -0.0005726 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10325590.740000 CNY 1428416.000000 USD 2025-07-16 -2769.270000 N N N N/A N/A 000000000 1.000000 NC 387.240000 0.0000801 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK 0.000000 CZK 9200000.000000 CZK 387.240000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-1A N/A 36269HAB8 397182.300000 PA USD 397451.750000 0.0821819 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.57 N N N N N N N/A N/A 000000000 1.000000 NC 17996.820000 0.0037212 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 52685441.000000 TWD 1604649.000000 USD 2025-04-25 17996.820000 N N N N/A N/A 000000000 1.000000 NC -1773.240000 -0.0003667 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 150470.620000 USD 4937558.000000 TWD 2025-04-25 -1773.240000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 B1KNGGII4 8300000.000000 PA 354662.250000 0.0733343 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC 15185.350000 0.0031399 N/A DFE IL N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 2364628.560000 ILS 651345.000000 USD 2025-04-16 15185.350000 N N N N/A N/A 000000000 1.000000 NC 273.980000 0.0000567 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70346.000000 USD 6047821.490000 INR 2025-04-28 273.980000 N N N N/A N/A 000000000 1.000000 NC -24362.550000 -0.0050375 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1452000.000000 CHF 1616871.770000 USD 2025-04-02 -24362.550000 N N N N/A N/A 000000000 -200000.000000 NC -49.440000 -0.0000102 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.86000 04/09/25-10Y LCH 2035-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.860000 EUR 2025-04-07 XXXX 644.800000 N N N N/A N/A 000000000 1.000000 NC -2645.370000 -0.000547 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 955683.780000 USD 1280454.750000 SGD 2025-04-02 -2645.370000 N N N N/A N/A 000000000 1.000000 NC -11802.680000 -0.0024405 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 629185.000000 USD 10294158704.000000 IDR 2025-04-23 -11802.680000 N N N N/A N/A 000000000 1.000000 NC 237.500000 0.0000491 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 668349524.000000 IDR 40293.000000 USD 2025-05-08 237.500000 N N N N/A N/A 000000000 1.000000 NC 19833.190000 0.004101 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 45503412.000000 TWD 1398255.000000 USD 2025-07-16 19833.190000 N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 346.770000 PA USD 358.070000 0.000074 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 14446.800000 0.0029872 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 8300031.240000 PEN 2269318.180000 USD 2025-06-18 14446.800000 N N N N/A N/A 000000000 1.000000 NC 1797.320000 0.0003716 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9532965.010000 ZAR 521162.000000 USD 2025-04-16 1797.320000 N N N N/A N/A 000000000 1.000000 NC 4348.840000 0.0008992 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4459000.000000 ILS 1203960.460000 USD 2025-04-16 4348.840000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2NGJ67 5700000.000000 PA 1442521.370000 0.298273 Long DBT NUSS PL N 2 2029-07-25 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -24.200000 -0.000005 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 132150.670000 USD 955000.000000 CNY 2025-06-18 -24.200000 N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 262903.700000 PA USD 219710.440000 0.04543 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.44529 N N N N N N N/A N/A 000000000 1.000000 NC USD 3106.100000 0.0006423 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -1950.000000 USD 500000.000000 USD 5056.100000 N N N N/A N/A 000000000 1.000000 NC 100.270000 0.0000207 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 266339.690000 USD 1918000.000000 CNY 2025-08-20 100.270000 N N N N/A N/A 000000000 1.000000 NC 68190.550000 0.0140999 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3469770.000000 USD 302987255.940000 INR 2025-04-28 68190.550000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2Q1SN0 300000.000000 PA 7925.270000 0.0016387 Long DBT NUSS TR N 2 2026-05-20 Floating 50 N N N N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 1184676.790000 PA USD 875394.290000 0.181007 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.75459 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 500000.000000 PA USD 477024.390000 0.0986353 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -117834.830000 -0.024365 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 MSCI DAILY TR NET EMERGING MARKETS USD INDEX N/A N/A Y 2026-01-07 0.000000 USD 0.000000 USD 67021103.130000 USD -117834.830000 N N N N/A N/A 000000000 1.000000 NC -1386.180000 -0.0002866 N/A DFE NZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 230224.370000 USD 403061.630000 NZD 2025-04-02 -1386.180000 N N N N/A N/A 000000000 1.000000 NC -3066.860000 -0.0006341 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 87722.580000 USD 3472586.050000 TRY 2025-06-03 -3066.860000 N N N OBX 2023-NQM4 TRUST N/A 67448GAA1 730337.760000 PA USD 733543.870000 0.151676 Long ABS-MBS CORP US N 2 2063-03-25 Variable 6.113 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 854124.440000 PA USD 645599.520000 0.133492 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.58104 N N N N N N N/A N/A 000000000 1.000000 NC -40958.510000 -0.0084691 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 0.000000 CAD -349.220000 CAD 3200000.000000 CAD -40609.290000 N N N N/A N/A 000000000 1.000000 NC 44728.990000 0.0092487 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 61307420.000000 TWD 1891037.000000 USD 2025-04-25 44728.990000 N N N N/A N/A 000000000 1.000000 NC 452.370000 0.0000935 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1185623.000000 TWD 36127.000000 USD 2025-04-14 452.370000 N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 580135101 958.000000 NS USD 299250.460000 0.0618766 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -22569.640000 -0.0046668 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3053765.000000 USD 100652094.000000 TWD 2025-04-25 -22569.640000 N N N N/A N/A 000000000 1.000000 NC USD 180715.280000 0.0373669 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -61669.260000 USD 31010000.000000 USD 242384.540000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-8 N/A 69544QAA8 2199220.920000 PA USD 2209994.460000 0.456965 Long ABS-O CORP US N 2 2032-01-15 Fixed 5.331 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 1951810.930000 PA 2112150.110000 0.436734 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 3.624 N N N N N N N/A N/A 000000000 1.000000 NC -2688.200000 -0.0005558 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 125079.000000 USD 180307873.000000 KRW 2025-04-07 -2688.200000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 9100000.000000 PA 2260050.900000 0.467315 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 307304.410000 PA USD 81789.620000 0.0169118 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.15459 N N N N N N N/A N/A 000000000 1.000000 NC -1397.130000 -0.0002889 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 183420.560000 PEN 48480.350000 USD 2025-05-08 -1397.130000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162100 958.000000 NS USD 298464.900000 0.0617142 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -444.280000 -0.0000919 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 65975.000000 USD 96462074.000000 KRW 2025-04-28 -444.280000 N N N WASHINGTON MUTUAL MTGE P/T 2006-AR3 N/A 93934FQP0 2535.610000 PA USD 2207.640000 0.0004565 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.60529 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAA3 1388545.560000 PA USD 1389152.910000 0.287238 Long ABS-O CORP US N 2 2028-06-15 Fixed 4.91 N N N N N N N/A N/A 000000000 1.000000 NC 1294.180000 0.0002676 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 86325.970000 USD 500000.000000 BRL 2025-04-02 1294.180000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DG7 100000.000000 PA USD 97859.170000 0.0202345 Long DBT CORP US N 2 2026-02-04 Fixed 2.196 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 137044.290000 PA USD 137150.620000 0.0283589 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 5.51359 N N N N N N N/A N/A 000000000 1.000000 NC USD 4506.370000 0.0009318 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAE LOW VOLATILITY INTERNATIONAL TOTAL RETURN Y 2025-05-21 0.000000 USD 0.000000 USD 348237.890000 USD 4506.370000 N N N N/A N/A 000000000 1.000000 NC 1570.860000 0.0003248 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9944616.880000 CNY 1379951.000000 USD 2025-07-16 1570.860000 N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 1769.510000 PA USD 1541.650000 0.0003188 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.84588 N N N N N N N/A N/A OP0042696 -1400000.000000 NC USD -1437.450000 -0.0002972 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG43 (V1 ONLY) 5Y SP Single Leg Swap 2029-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2025-06-18 XXXX 396.550000 N N N N/A N/A 000000000 1.000000 NC 370.020000 0.0000765 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1003546.000000 TWD 30852.710000 USD 2025-08-20 370.020000 N N N N/A N/A 000000000 1.000000 NC USD 121666.450000 0.0251572 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAE LOW VOLATILITY EMERGING MARKETS TOTAL RETURN Y 2025-04-16 0.000000 USD 0.000000 USD 13902496.310000 USD 121666.450000 N N N N/A N/A 000000000 1.000000 NC -9632.830000 -0.0019918 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2004767.340000 USD 7746000.000000 PLN 2025-06-06 -9632.830000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3L5 100000.000000 PA USD 102196.380000 0.0211314 Long DBT CORP US N 2 2028-04-22 Floating 5.707 N N N N N N N/A N/A 000000000 1.000000 NC 1786.100000 0.0003693 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10418160.050000 CNY 1445802.000000 USD 2025-07-16 1786.100000 N N N N/A N/A 000000000 1.000000 NC 649.890000 0.0001344 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2261065640.000000 IDR 136153.000000 USD 2025-05-09 649.890000 N N N N/A N/A 000000000 1.000000 NC -153657.510000 -0.0317721 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 57001411.000000 EUR 61581702.380000 USD 2025-05-02 -153657.510000 N N N N/A N/A 000000000 1.000000 NC -5961.370000 -0.0012326 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 588318.140000 USD 838000.000000 CAD 2025-04-02 -5961.370000 N N N N/A N/A 000000000 1.000000 NC 388.460000 0.0000803 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13353319.770000 CNY 1859793.840000 USD 2025-04-09 388.460000 N N N PRPM 2023-RCF1 LLC N/A 69381AAA9 1539014.470000 PA USD 1511155.230000 0.312465 Long ABS-MBS CORP US N 2 2053-06-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -140.310000 -0.000029 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 331079.080000 USD 2392000.000000 CNY 2025-06-18 -140.310000 N N N N/A N/A 000000000 1.000000 NC 10582.030000 0.0021881 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 671786585.000000 KRW 467855.000000 USD 2025-06-05 10582.030000 N N N OBX 2023-NQM5 TRUST N/A 673919AL0 753999.020000 PA USD 762740.880000 0.157714 Long ABS-MBS CORP US N 2 2063-06-25 Fixed 6.567 N N N N N N N/A N/A 000000000 -28.000000 NC USD -45757.940000 -0.0094615 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-06-18 -3203593.740000 USD -45757.940000 N N N N/A N/A 000000000 1.000000 NC USD 142489.300000 0.0294628 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 77625.360000 USD 0.000000 USD 5100000.000000 USD 64863.940000 N N N N/A N/A OP0042MF4 -700000.000000 NC USD -569.530000 -0.0001178 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG43 (V1 ONLY) 5Y SP Single Leg Swap 2029-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2025-05-21 XXXX 392.970000 N N N N/A N/A 000000000 1.000000 NC 75244.610000 0.0155585 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 383620063.790000 THB 11420662.810000 USD 2025-05-19 75244.610000 N N N N/A N/A 000000000 1.000000 NC 45270.180000 0.0093606 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2421210907.000000 KRW 1693960.000000 USD 2025-06-12 45270.180000 N N N N/A N/A 000000000 1.000000 NC -6935.990000 -0.0014342 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 782450.000000 USD 3012573.340000 PLN 2025-06-20 -6935.990000 N N N N/A N/A 000000000 1.000000 NC -2746.110000 -0.0005678 N/A DFE NZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 231762.450000 USD 403061.630000 NZD 2025-05-02 -2746.110000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2HDVK6 15000000.000000 PA 2452901.400000 0.507192 Long DBT NUSS BR N 2 2025-10-01 None 0 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 769804.840000 PA USD 772197.240000 0.159669 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N N/A N/A 000000000 1.000000 NC 141926.200000 0.0293464 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2575124.840000 USD 27311253.620000 SEK 2025-04-02 141926.200000 N N N N/A N/A 000000000 1.000000 NC USD 615409.310000 0.127249 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 166592.350000 USD 0.000000 USD 3060000.000000 USD 448816.960000 N N N N/A N/A 000000000 -3.000000 NC USD -380.920000 -0.0000788 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/25 2025-06-19 N/A USD N/A 109.500000 USD 2025-04-25 XXXX 365.240000 N N N N/A N/A 000000000 1.000000 NC -1888.140000 -0.0003904 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 340075.120000 USD 6992000.000000 MXN 2025-06-18 -1888.140000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 600000.000000 PA USD 609035.160000 0.125932 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N FNMA PASS THRU POOLS N/A 3140NWSV8 800000.000000 PA USD 819133.940000 0.169374 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.86 N N N N N N N/A N/A 000000000 1.000000 NC -19730.750000 -0.0040798 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 17738102.220000 USD 13716570.960000 GBP 2025-04-02 -19730.750000 N N N N/A N/A 000000000 1.000000 NC -385.010000 -0.0000796 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 300886.270000 USD 2172000.000000 CNY 2025-06-18 -385.010000 N N N N/A N/A 000000000 1.000000 NC -1457.770000 -0.0003014 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 183643.570000 PEN 48480.350000 USD 2025-05-08 -1457.770000 N N N N/A N/A 000000000 1.000000 NC -2487.560000 -0.0005144 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 347317.120000 PEN 92019.160000 USD 2025-04-15 -2487.560000 N N N N/A N/A 000000000 1.000000 NC 15223.900000 0.0031479 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 51077765.000000 TWD 1553460.000000 USD 2025-04-25 15223.900000 N N N N/A N/A 000000000 1.000000 NC -4483.510000 -0.0009271 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 -376.710000 EUR 80000.000000 EUR -4106.800000 N N N N/A N/A 000000000 1.000000 NC -451.580000 -0.0000934 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 474172.090000 USD 681674.540000 CAD 2025-04-02 -451.580000 N N N N/A N/A 000000000 1.000000 NC USD 4952.980000 0.0010241 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -550.000000 USD 200000.000000 USD 5502.980000 N N N N/A N/A 000000000 1.000000 NC -901.010000 -0.0001863 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2003000.000000 CNY 276218.710000 USD 2025-06-18 -901.010000 N N N N/A N/A 000000000 1.000000 NC -20820.070000 -0.004305 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1395481.000000 USD 45646184.000000 TWD 2025-04-25 -20820.070000 N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 427460.030000 PA USD 428327.520000 0.0885662 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 115631.230000 PA USD 103633.470000 0.0214285 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.09246 N N N N N N N/A N/A 000000000 1.000000 NC 20239.310000 0.0041849 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 53177197.000000 TWD 1621701.000000 USD 2025-04-25 20239.310000 N N N N/A N/A 000000000 1.000000 NC -7324.840000 -0.0015146 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 570939.570000 USD 902000.000000 AUD 2025-04-02 -7324.840000 N N N N/A N/A 000000000 1.000000 NC -9926.690000 -0.0020526 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1371056.000000 USD 45196861.000000 TWD 2025-04-25 -9926.690000 N N N N/A N/A 000000000 -600000.000000 NC USD -644.520000 -0.0001333 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/3.98500 04/14/25-10Y LCH 2035-04-14 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2025-04-10 XXXX 1890.480000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A N/A 76088TAA9 332382.980000 PA USD 332520.090000 0.0687559 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N N/A N/A 000000000 1.000000 NC 1687.640000 0.000349 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2025-12-20 1757.580000 EUR 0.000000 EUR 300000.000000 EUR -69.940000 N N N N/A N/A 000000000 1.000000 NC 5650.010000 0.0011683 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20320000.000000 CNY 2828413.300000 USD 2025-08-20 5650.010000 N N N N/A N/A 000000000 1.000000 NC 230960.830000 0.0477563 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 30527519.640000 CAD 21445648.000000 USD 2025-04-02 230960.830000 N N N N/A N/A 000000000 1.000000 NC 2944.890000 0.0006089 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 139966311.000000 KRW 98253.000000 USD 2025-06-12 2944.890000 N N N N/A N/A 000000000 1.000000 NC -1555.580000 -0.0003217 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 74921.000000 USD 108082990.000000 KRW 2025-04-07 -1555.580000 N N N N/A N/A 000000000 1.000000 NC -1628.310000 -0.0003367 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 112651801.000000 JPY 751965.000000 USD 2025-05-02 -1628.310000 N N N N/A N/A 000000000 1.000000 NC 9724.000000 0.0020107 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2000000.000000 BRL 360204.600000 USD 2025-04-02 9724.000000 N N N N/A N/A 000000000 1.000000 NC 91.080000 0.0000188 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 34795383.000000 TWD 1057000.000000 USD 2025-08-20 91.080000 N N N N/A N/A 000000000 1.000000 NC USD 35392.740000 0.0073182 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A RAE LOW VOLATILITY INTERNATIONAL TOTAL RETURN Y 2026-02-18 0.000000 USD 0.000000 USD 2622962.430000 USD 35392.740000 N N N N/A N/A 000000000 1.000000 NC 13100.520000 0.0027088 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 50621801.000000 TWD 1537605.000000 USD 2025-04-25 13100.520000 N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAA0 46172.900000 PA USD 25767.530000 0.005328 Long ABS-MBS CORP US N 2 2037-04-26 Fixed 5.25 N N N N N N LUMINENT MORTGAGE TRUST 2006-3 N/A 55027AAD2 2530821.780000 PA USD 1698285.180000 0.351158 Long ABS-MBS CORP US N 2 2036-04-25 Variable 4.4912 N N N N N N N/A N/A 000000000 1.000000 NC -318.300000 -0.0000658 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 93933.240000 USD 137435786.000000 KRW 2025-06-18 -318.300000 N N N MAN GLG EURO 6A N/A ACI22ZH37 2300000.000000 PA 2490216.130000 0.514907 Long ABS-CBDO CORP IE N 2 2032-10-15 Floating 4.485 N N N N N N N/A N/A 000000000 1.000000 NC -3700.590000 -0.0007652 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 239339.130000 USD 7824475.000000 TWD 2025-04-25 -3700.590000 N N N N/A N/A 000000000 1.000000 NC 7935.720000 0.0016409 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 40533770.000000 TWD 1239148.000000 USD 2025-08-20 7935.720000 N N N N/A N/A 000000000 -200000.000000 NC -514.700000 -0.0001064 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.55000 04/16/25-10Y LCH 2035-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.550000 EUR 2025-04-14 XXXX 200.890000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 39462.680000 PA USD 22746.930000 0.0047034 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 7945.560000 0.0016429 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -817.500000 USD 300000.000000 USD 8763.060000 N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106103 958.000000 NS USD 60813.840000 0.0125746 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -1695.400000 -0.0003506 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 628000.000000 EUR 677360.800000 USD 2025-04-02 -1695.400000 N N N CSMC 2021-RPL3 TRUST N/A 12661GAA7 1961386.080000 PA USD 1726812.350000 0.357057 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2 N N N N N N N/A N/A 000000000 1.000000 NC 8352.770000 0.0017271 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 44357541.000000 TWD 1355712.000000 USD 2025-08-20 8352.770000 N N N FREDDIE MAC 3181 N/A 31396URJ1 611088.470000 PA USD 60335.580000 0.0124757 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 2.00685 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 1446000.000000 PA USD 1426394.240000 0.294939 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N N/A N/A 000000000 1.000000 NC 4073.700000 0.0008423 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 33872100.000000 TWD 1032937.920000 USD 2025-08-20 4073.700000 N N N N/A N/A 000000000 1.000000 NC -2110.540000 -0.0004364 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-07 0.000000 EUR -250.370000 EUR 100000.000000 EUR -1860.170000 N N N N/A N/A 000000000 1.000000 NC 2376.550000 0.0004914 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8845497375.000000 IDR 533665.000000 USD 2025-04-09 2376.550000 N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3 N/A 94985GAH9 728493.580000 PA USD 629976.110000 0.130262 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 5577.220000 0.0011532 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1003345.000000 USD 5757364.180000 BRL 2025-04-02 5577.220000 N N N N/A N/A 000000000 1.000000 NC -30942.070000 -0.006398 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 3415997.610000 PEN 898402.970000 USD 2025-04-21 -30942.070000 N N N N/A N/A 000000000 1.000000 NC -137.120000 -0.0000284 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 686039.760000 TRY 16184.000000 USD 2025-06-25 -137.120000 N N N N/A N/A 000000000 1.000000 NC 28757.580000 0.0059463 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 30931321.000000 TWD 960272.000000 USD 2025-04-25 28757.580000 N N N N/A N/A 000000000 1.000000 NC -9046.060000 -0.0018705 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 641182.000000 USD 10524521644.000000 IDR 2025-04-09 -9046.060000 N N N N/A N/A 000000000 1.000000 NC 21312.800000 0.0044069 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45356855.000000 TWD 1395295.000000 USD 2025-07-16 21312.800000 N N N N/A N/A 000000000 1.000000 NC -25973.220000 -0.0053705 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2034-10-19 0.000000 MXN 0.000000 MXN 10700000.000000 MXN -25973.220000 N N N N/A N/A 000000000 1.000000 NC 270.060000 0.0000558 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1095000.000000 PLN 282308.830000 USD 2025-06-06 270.060000 N N N N/A N/A 000000000 1.000000 NC USD -12808.540000 -0.0026484 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A RA US LOW VOLATILITY EQUITY INCOME TR Y 2025-07-09 0.000000 USD 0.000000 USD 898912.980000 USD -12808.540000 N N N N/A N/A 000000000 1.000000 NC -20145.570000 -0.0041655 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1437309.000000 USD 47057497.000000 TWD 2025-04-25 -20145.570000 N N N N/A N/A 000000000 1.000000 NC 237291.610000 0.0490653 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33418349.820000 CAD 23495004.440000 USD 2025-05-02 237291.610000 N N N N/A N/A 000000000 1.000000 NC -1247.870000 -0.000258 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 10822281.820000 CNY 1502135.000000 USD 2025-08-20 -1247.870000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 1102366.220000 PA USD 592946.700000 0.122605 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 4941.130000 0.0010217 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 1280000000.000000 CLP 4941.130000 N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 1118455.960000 PA USD 103348.570000 0.0213696 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 1.39583 N N N N N N N/A N/A 000000000 1.000000 NC 17293.050000 0.0035757 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4057307.310000 SGD 3037134.000000 USD 2025-04-02 17293.050000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AF0 100000.000000 PA USD 100612.200000 0.0208038 Long DBT CORP US N 2 2034-04-01 Fixed 5.75 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142103 958.000000 NS USD 84102.820000 0.0173901 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -19231.040000 -0.0039764 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1369117.000000 USD 44823521.000000 TWD 2025-04-25 -19231.040000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFU4 100000.000000 PA USD 99221.210000 0.0205162 Long DBT CORP US N 2 2030-10-18 Floating 4.654 N N N N N N N/A N/A 000000000 91400000.000000 PA USD 91400000.000000 18.899 Long RA US N 2 Repurchase N 4.440000 2025-04-01 100994500.000000 USD 93145728.590000 USD UST N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 15400000.000000 PA 804957.620000 0.166443 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 183.330000 PA USD 184.720000 0.0000382 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.725 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 7837249.400000 PA USD 1986621.250000 0.410778 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.65459 N N N N N N N/A N/A 000000000 1.000000 NC USD 454375.900000 0.0939523 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 84140.100000 USD 0.000000 USD 8130000.000000 USD 370235.800000 N N N N/A N/A 000000000 1.000000 NC -3993.170000 -0.0008257 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1164076.800000 BRL 200000.000000 USD 2025-04-02 -3993.170000 N N N N/A N/A 000000000 1.000000 NC 1622.350000 0.0003355 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 751965.000000 USD 113030566.000000 JPY 2025-04-02 1622.350000 N N N N/A N/A 000000000 1.000000 NC -6163.710000 -0.0012745 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 -5732.270000 N N N N/A N/A 000000000 1.000000 NC 1107.740000 0.000229 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 268820.000000 USD 23120267.330000 INR 2025-04-30 1107.740000 N N N N/A N/A 000000000 1.000000 NC -1163.790000 -0.0002406 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 10850666.840000 CNY 1502800.000000 USD 2025-07-16 -1163.790000 N N N FNMA PASS THRU POOLS N/A 3140JANZ7 1160227.230000 PA USD 1060024.550000 0.219184 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 48.000000 NC -110463.330000 -0.0228407 N/A DE DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long DOW JONES EURO STOXX 50 PRICE INDEX N/A N/A 2025-06-20 2693214.740000 EUR -110463.330000 N N N N/A N/A 000000000 1.000000 NC -873.180000 -0.0001805 N/A DFE IN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3113839.640000 INR 35555.450000 USD 2025-04-04 -873.180000 N N N N/A N/A 000000000 -400000.000000 NC USD -474.480000 -0.0000981 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/4.06000 04/23/25-10Y LCH 2035-04-23 0.000000 USD 0.000000 USD N/A USD N/A 4.060000 USD 2025-04-21 XXXX 1105.520000 N N N N/A N/A 000000000 1.000000 NC USD 557.310000 0.0001152 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2025-12-20 646.810000 USD 0.000000 USD 100000.000000 USD -89.500000 N N N N/A N/A 000000000 1.000000 NC -32917.140000 -0.0068063 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 20789422.580000 CNY 2843347.910000 USD 2025-06-18 -32917.140000 N N N N/A N/A 000000000 1.000000 NC 11372.930000 0.0023516 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2300000.000000 BRL 414425.620000 USD 2025-04-02 11372.930000 N N N N/A N/A 000000000 1.000000 NC -11701.800000 -0.0024196 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 1414081.730000 PEN 372774.220000 USD 2025-05-14 -11701.800000 N N N N/A N/A 000000000 1.000000 NC 570.790000 0.000118 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3670628.550000 ZAR 200550.000000 USD 2025-04-16 570.790000 N N N BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 3010.950000 PA USD 2580.170000 0.0005335 Long ABS-MBS CORP US N 2 2034-09-20 Floating 7.62101 N N N N N N CIM TRUST 2023-I2 N/A 12570HAA5 521944.450000 PA USD 526888.990000 0.108946 Long ABS-MBS CORP US N 2 2067-12-25 Fixed 6.639 N N N N N N FIFTH THIRD AUTO TRUST 2023-1 N/A 31680EAB7 102344.590000 PA USD 102422.450000 0.0211781 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC -3523.620000 -0.0007286 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-13 0.000000 EUR -518.720000 EUR 200000.000000 EUR -3004.900000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 161.080000 PA USD 166.150000 0.0000344 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.74973 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 182473.820000 PA USD 182773.790000 0.0377925 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N N/A N/A 000000000 1.000000 NC USD 6213322.560000 1.28474 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-16 2578327.310000 USD 0.000000 USD 13200000.000000 USD 3634995.250000 N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LUZ2 1200000.000000 PA USD 1211419.220000 0.250488 Long DBT CORP US N 2 2026-04-10 Fixed 5.6 N N N N N N N/A N/A 000000000 1.000000 NC USD -1202.960000 -0.0002487 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2026-03-11 0.000000 USD 0.000000 USD 3660078.610000 USD -1202.960000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAA6 658227.860000 PA USD 652653.530000 0.134951 Long ABS-MBS CORP US N 2 2035-02-15 Floating 5.417 N N N N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123101 958.000000 NS USD 315948.400000 0.0653293 Long EC CORP US N 1 N N N MARSH & MCLENNAN COMPANIES INC 549300XMP3KDCKJXIU47 57174VRH6 2340000.000000 PA USD 2334971.110000 0.482807 Long DBT CORP US N 2 2025-04-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -4372.910000 -0.0009042 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 488749.490000 USD 775000.000000 AUD 2025-05-02 -4372.910000 N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 3052532.380000 PA USD 2619345.680000 0.541608 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.51529 N N N N N N ROCKFORD TOWER EUROPE CLO 2021-2 DAC N/A ACI2PTDF3 2200000.000000 PA 2374055.190000 0.490888 Long ABS-CBDO CORP IE N 2 2035-01-24 Floating 3.631 N N N N N N N/A N/A 000000000 1.000000 NC 25476.000000 0.0052677 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 20111293.000000 USD 3020313982.000000 JPY 2025-04-02 25476.000000 N N N N/A N/A 000000000 1.000000 NC USD 1343.790000 0.0002779 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -793.500000 USD 200000.000000 USD 2137.290000 N N N OCTANE RECEIVABLES TRUST 2023-1A N/A 67571BAA1 618982.270000 PA USD 621237.840000 0.128455 Long ABS-O CORP US N 2 2029-05-21 Fixed 5.87 N N N N N N N/A N/A 000000000 1.000000 NC USD -11854.450000 -0.0024512 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 19087.250000 USD 0.000000 USD 6600000.000000 USD -30941.700000 N N N N/A N/A 000000000 1.000000 NC 535.170000 0.0001107 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 678521.030000 USD 628000.000000 EUR 2025-04-02 535.170000 N N N N/A N/A 000000000 1.000000 NC -18853.610000 -0.0038984 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1191524.100000 USD 38939008.000000 TWD 2025-04-25 -18853.610000 N N N WAMU MTGE P/T CERTIFICATES 2007-HY4 N/A 933636AA0 5913.370000 PA USD 5382.920000 0.001113 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.72661 N N N N N N N/A N/A 000000000 1.000000 NC -3551.470000 -0.0007343 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-01 0.000000 EUR -507.340000 EUR 200000.000000 EUR -3044.130000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2NBJY7 48426120.500000 PA 2205743.590000 0.456086 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 -11716.300000 -0.0024226 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 2367132.000000 USD 3164618.770000 SGD 2025-04-02 -11716.300000 N N N ACHV ABS TRUST 2024-2PL N/A 00092HAB7 920491.010000 PA USD 924455.100000 0.191152 Long ABS-O CORP US N 2 2031-10-27 Fixed 5.43 N N N N N N FNMA PASS THRU POOLS N/A 3140LLW72 1400000.000000 PA USD 1421556.890000 0.293938 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.72 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI24R197 20212641.600000 PA 950654.430000 0.196569 Long DBT NUSS MX N 2 2026-12-03 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140LL6D8 2200000.000000 PA USD 2284313.770000 0.472332 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC 3305.810000 0.0006835 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 29700000.000000 JPY 201319.010000 USD 2025-04-02 3305.810000 N N N N/A N/A 000000000 1.000000 NC -15541.040000 -0.0032135 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 9100000.000000 MXN -15541.040000 N N N N/A N/A 000000000 1.000000 NC 2166.050000 0.0004479 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-04 0.000000 EUR -544.610000 EUR 400000.000000 EUR 2710.660000 N N N N/A N/A 000000000 1.000000 NC -342.760000 -0.0000709 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 97528.000000 USD 377316.330000 PLN 2025-06-06 -342.760000 N N N N/A N/A 000000000 1.000000 NC USD 3319816.550000 0.686446 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 3223962.230000 USD 0.000000 USD 50000000.000000 USD 95854.320000 N N N N/A N/A 000000000 1.000000 NC -2254.200000 -0.0004661 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 531795.000000 USD 8835242130.000000 IDR 2025-05-07 -2254.200000 N N N N/A N/A 000000000 1.000000 NC -860.320000 -0.0001779 N/A DFE TW N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 65460.000000 USD 2145059.000000 TWD 2025-04-25 -860.320000 N N N N/A N/A 000000000 1.000000 NC -1252.120000 -0.0002589 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 210500.030000 USD 812393.500000 PLN 2025-06-06 -1252.120000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 1686000.000000 PA USD 1619633.580000 0.334895 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 126557.550000 PA USD 125204.800000 0.0258889 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -6248.720000 -0.0012921 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 490507.500000 USD 775000.000000 AUD 2025-04-02 -6248.720000 N N N N/A N/A 000000000 1.000000 NC -1253.990000 -0.0002593 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 300790.560000 USD 265000.000000 CHF 2025-04-02 -1253.990000 N N N N/A N/A 000000000 1.000000 NC USD 72964.480000 0.015087 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -147189.910000 USD 23500000.000000 USD 220154.390000 N N N N/A N/A 000000000 1.000000 NC 48120.380000 0.00995 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1981931.000000 USD 11584386.700000 BRL 2025-04-02 48120.380000 N N N N/A N/A 000000000 1.000000 NC 44488.980000 0.0091991 N/A DFE KR N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 2129453998.000000 KRW 1494511.000000 USD 2025-06-12 44488.980000 N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 958.000000 NS USD 359623.620000 0.0743601 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 3925.240000 0.0008116 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -952.500000 USD 300000.000000 USD 4877.740000 N N N N/A N/A 000000000 1.000000 NC -12138.040000 -0.0025098 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1364357.000000 USD 44900989.000000 TWD 2025-04-25 -12138.040000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1QTHL7 400000.000000 PA 429640.590000 0.0888377 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 2437796.100000 PA USD 2440039.600000 0.504532 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N N/A N/A 000000000 1.000000 NC 187.090000 0.0000387 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 678302570.000000 IDR 40837.000000 USD 2025-05-09 187.090000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 940000.000000 PA USD 112800.000000 0.0233239 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -6690.300000 -0.0013834 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4804639.030000 USD 34456468.800000 CNY 2025-04-09 -6690.300000 N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AB3 809852.090000 PA USD 811938.110000 0.167886 Long ABS-O CORP US N 2 2027-04-15 Fixed 5.29 N N N N N N CIM TRUST 2023-R4 N/A 12569UAA9 1623946.820000 PA USD 1619944.280000 0.334959 Long ABS-MBS CORP US N 2 2062-05-25 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -6213.090000 -0.0012847 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 706627.000000 USD 11674891294.000000 IDR 2025-04-16 -6213.090000 N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 226031.600000 PA USD 216843.440000 0.0448372 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.33459 N N N N N N N/A N/A 000000000 1.000000 NC -237.530000 -0.0000491 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16126.300000 USD 524508.000000 TWD 2025-07-16 -237.530000 N N N N/A N/A 000000000 1.000000 NC -8099.230000 -0.0016747 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-01-08 0.000000 EUR -476.810000 EUR 200000.000000 EUR -7622.420000 N N N N/A N/A 000000000 1.000000 NC -21114.110000 -0.0043658 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1398255.000000 USD 45728532.000000 TWD 2025-04-25 -21114.110000 N N N N/A N/A 000000000 1.000000 NC -9308.740000 -0.0019248 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8532164.940000 BRL 1485870.390000 USD 2025-04-02 -9308.740000 N N N N/A N/A 000000000 1.000000 NC 1169.560000 0.0002418 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 327261.000000 USD 28136030.160000 INR 2025-05-02 1169.560000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 1000000.000000 PA USD 1013615.900000 0.209588 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC USD 1602.300000 0.0003313 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -787.500000 USD 300000.000000 USD 2389.800000 N N N N/A N/A 000000000 1.000000 NC USD -21235.060000 -0.0043908 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-06 0.000000 USD -3400.000000 USD 1000000.000000 USD -17835.060000 N N N N/A N/A 000000000 1.000000 NC -1080.210000 -0.0002234 N/A DFE PL N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 219635.000000 USD 848764.080000 PLN 2025-06-13 -1080.210000 N N N N/A N/A 000000000 1.000000 NC 337.900000 0.0000699 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1110769730.000000 IDR 66934.000000 USD 2025-04-30 337.900000 N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAE5 2011147.740000 PA USD 547183.220000 0.113142 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.91459 N N N N N N N/A N/A 000000000 1.000000 NC 49853.770000 0.0103084 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1438950398.000000 JPY 9643496.000000 USD 2025-04-02 49853.770000 N N N N/A N/A 000000000 1.000000 NC USD 417877.570000 0.0864054 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 593659.820000 USD 0.000000 USD 40200000.000000 USD -175782.250000 N N N N/A N/A 000000000 -300000.000000 NC USD -510.780000 -0.0001056 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/4.06300 04/30/25-10Y LCH 2035-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.060000 USD 2025-04-28 XXXX 618.720000 N N N N/A N/A 000000000 1.000000 NC 345.670000 0.0000715 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1460000.000000 SEK 145593.290000 USD 2025-04-02 345.670000 N N N FORD CREDIT AUTO OWNER TRUST 2023-A N/A 344928AD8 512495.460000 PA USD 513315.040000 0.106139 Long ABS-O CORP US N 2 2028-02-15 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC -15477.310000 -0.0032003 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 11123270.560000 CNY 1519614.000000 USD 2025-05-12 -15477.310000 N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933Y105 958.000000 NS USD 85990.080000 0.0177804 Long EC CORP US N 1 N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 197169.860000 0.0407692 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -55263.650000 -0.011427 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 2724.900000 CAD 0.000000 CAD 2980000.000000 CAD -57988.550000 N N N N/A N/A 000000000 1.000000 NC -1875031.100000 -0.387704 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 57302411.000000 EUR 60086047.520000 USD 2025-04-02 -1875031.100000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 654309.720000 PA USD 656335.330000 0.135712 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JW8 500000.000000 PA USD 470276.320000 0.09724 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 399669.680000 PA USD 402212.940000 0.0831664 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N N/A N/A 000000000 1.000000 NC -505.700000 -0.0001046 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 198576.760000 USD 769000.000000 PLN 2025-06-06 -505.700000 N N N N/A N/A 000000000 1.000000 NC 17830.850000 0.0036869 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 810180.480000 USD 641000.000000 GBP 2025-04-02 17830.850000 N N N N/A N/A 000000000 1.000000 NC 13495.060000 0.0027904 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2272183.210000 ILS 624784.000000 USD 2025-04-16 13495.060000 N N N N/A N/A 000000000 1.000000 NC 294.400000 0.0000609 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 90985973.000000 KRW 62059.000000 USD 2025-04-14 294.400000 N N N N/A N/A 000000000 1.000000 NC USD -5960.970000 -0.0012326 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -2764.780000 USD 3500000.000000 USD -3196.190000 N N N N/A N/A 000000000 1.000000 NC -9570.730000 -0.001979 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 -797.000000 EUR 200000.000000 EUR -8773.730000 N N N N/A N/A 000000000 -11.000000 NC USD -2377.890000 -0.0004917 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/25 2025-06-19 N/A USD N/A 110.000000 USD 2025-04-25 XXXX 673.240000 N N N FHLMC PASS THRU POOLS N/A 3132LAY63 335240.750000 PA USD 316444.090000 0.0654318 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N N/A N/A 000000000 -54400000.000000 NC USD -114571.840000 -0.0236903 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2025-10-30 XXXX 47332.920000 N N N N/A N/A 000000000 1.000000 NC -24084.280000 -0.00498 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1368430.000000 USD 44639555.000000 TWD 2025-04-25 -24084.280000 N N N N/A N/A 000000000 -200000.000000 NC -466.230000 -0.0000964 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.55000 04/15/25-10Y LCH 2035-04-15 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.550000 EUR 2025-04-11 XXXX 298.200000 N N N N/A N/A 000000000 1.000000 NC -8843.150000 -0.0018285 N/A DFE TW N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 817000.000000 USD 26835182.000000 TWD 2025-04-25 -8843.150000 N N N N/A N/A 000000000 1.000000 NC -6190.990000 -0.0012801 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 704497.600000 PEN 185296.580000 USD 2025-05-27 -6190.990000 N N N N/A N/A 000000000 1.000000 NC -3798.420000 -0.0007854 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 996132.100000 USD 16540773521.000000 IDR 2025-04-16 -3798.420000 N N N N/A N/A 000000000 1.000000 NC -25499.580000 -0.0052726 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 731762.110000 USD 29198771.710000 TRY 2025-06-10 -25499.580000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 1400000.000000 PA 407496.530000 0.0842589 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 471545.420000 PA 610993.780000 0.126336 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 5.60938 N N N N N N N/A N/A 000000000 1.000000 NC -15046.450000 -0.0031112 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17247553.700000 BRL 3007420.000000 USD 2025-04-02 -15046.450000 N N N N/A N/A 000000000 1.000000 NC -633.400000 -0.000131 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4091402.000000 TRY 98000.000000 USD 2025-06-13 -633.400000 N N N N/A N/A 000000000 1.000000 NC -17896.650000 -0.0037005 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11029403.340000 CNY 1508047.000000 USD 2025-06-18 -17896.650000 N N N N/A N/A 000000000 1.000000 NC USD -357.710000 -0.000074 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -850.200000 USD 100000.000000 USD 492.490000 N N N N/A N/A 000000000 1.000000 NC 226.990000 0.0000469 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1113045486.000000 IDR 66934.000000 USD 2025-05-08 226.990000 N N N INTEGRITY RE III LTD 254900VWHVNG2WMBWC74 45870GAF3 250000.000000 PA USD 248875.000000 0.0514604 Long DBT CORP BM N 2 2027-06-06 Floating 29.7802 N N N N N N N/A N/A 000000000 1.000000 NC -3267.050000 -0.0006755 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 414480.520000 PEN 109442.470000 USD 2025-05-08 -3267.050000 N N N N/A N/A 000000000 1.000000 NC USD -105538.130000 -0.0218223 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A RA US LOW VOLATILITY EQUITY INCOME TR Y 2025-07-09 0.000000 USD 0.000000 USD 7552272.630000 USD -105538.130000 N N N N/A N/A 000000000 1.000000 NC 6469.740000 0.0013378 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 295000.000000 USD 1720322.000000 BRL 2025-04-02 6469.740000 N N N N/A N/A 000000000 1.000000 NC -1219.510000 -0.0002522 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 500000.000000 BRL 82656.920000 USD 2025-10-02 -1219.510000 N N N N/A N/A 000000000 1.000000 NC -3537.030000 -0.0007314 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-03 0.000000 EUR -632.210000 EUR 200000.000000 EUR -2904.820000 N N N N/A N/A 000000000 1.000000 NC -469.880000 -0.0000972 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5117244.710000 TRY 122894.000000 USD 2025-06-13 -469.880000 N N N N/A N/A 000000000 1.000000 NC USD 291.960000 0.0000604 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -2225.000000 USD 500000.000000 USD 2516.960000 N N N N/A N/A 000000000 1.000000 NC -25292.790000 -0.0052298 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3010141690.000000 JPY 20111293.000000 USD 2025-05-02 -25292.790000 N N N GECU AUTO RECEIVABLES TRUST 2023-1A N/A 36169EAB6 384592.970000 PA USD 385286.240000 0.0796664 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.95 N N N N N N N/A N/A 000000000 1.000000 NC -3347.640000 -0.0006922 N/A DFE TW N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 198000.000000 USD 6463512.000000 TWD 2025-04-25 -3347.640000 N N N N/A N/A 000000000 1.000000 NC 5057.060000 0.0010457 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1400000.000000 BRL 250393.480000 USD 2025-04-02 5057.060000 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 39099.690000 PA USD 37176.360000 0.007687 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.93459 N N N N N N N/A N/A 000000000 1.000000 NC 55.510000 0.0000115 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 186520.000000 TWD 5721.050000 USD 2025-08-20 55.510000 N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41282JRN3 2200000.000000 PA USD 2193662.020000 0.453588 Long DBT CORP US N 2 2025-04-22 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -27089.910000 -0.0056014 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 663620951.000000 JPY 4412256.000000 USD 2025-05-02 -27089.910000 N N N N/A N/A 000000000 1.000000 NC 34390.170000 0.0071109 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 52611813.000000 TWD 1618825.000000 USD 2025-04-25 34390.170000 N N N N/A N/A 000000000 1.000000 NC USD 1288587.390000 0.266444 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2026-02-04 0.000000 USD 0.000000 USD 21310797.430000 USD 1288587.390000 N N N N/A N/A 000000000 1.000000 NC USD -16605.280000 -0.0034335 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -1938.000000 USD 600000.000000 USD -14667.280000 N N N N/A N/A 000000000 1.000000 NC -8648.040000 -0.0017882 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2143600.540000 USD 39187161.470000 ZAR 2025-04-16 -8648.040000 N N N N/A N/A 000000000 1.000000 NC 5311.700000 0.0010983 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 10672820.660000 CNY 1484625.000000 USD 2025-07-16 5311.700000 N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 302276.500000 PA USD 285078.090000 0.0589462 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.08788 N N N N N N N/A N/A 000000000 1.000000 NC -3265.920000 -0.0006753 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 USD 6538387.000000 TWD 2025-04-07 -3265.920000 N N N N/A N/A 000000000 1.000000 NC 1237.000000 0.0002558 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 176000.000000 CHF 200174.490000 USD 2025-04-02 1237.000000 N N N N/A N/A 000000000 1.000000 NC 1512.390000 0.0003127 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 65403.000000 USD 5724220.990000 INR 2025-04-15 1512.390000 N N N N/A N/A 000000000 1.000000 NC USD 22424.610000 0.0046368 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A RAE LOW VOLATILITY INTERNATIONAL TOTAL RETURN Y 2026-01-07 0.000000 USD 0.000000 USD 1652367.640000 USD 22424.610000 N N N N/A N/A 000000000 1.000000 NC 20.360000 0.0000042 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 270648.000000 USD 23195298.180000 INR 2025-05-06 20.360000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 1672641.310000 PA USD 1666513.250000 0.344589 Long ABS-MBS CORP US N 2 2051-09-25 Variable 4.8429 N N N N N N N/A N/A 000000000 1.000000 NC -53442.580000 -0.0110504 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 2153577512.000000 JPY 14353088.000000 USD 2025-05-02 -53442.580000 N N N N/A N/A 000000000 1.000000 NC -6497.290000 -0.0013435 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 414000.000000 USD 598253366.000000 KRW 2025-06-18 -6497.290000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 2170.560000 PA USD 2127.640000 0.0004399 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.17201 N N N N N N N/A N/A 000000000 1.000000 NC -11849.950000 -0.0024502 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -845.410000 EUR 200000.000000 EUR -11004.540000 N N N N/A N/A 000000000 1.000000 NC -247.390000 -0.0000512 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 129696.210000 SGD 96285.090000 USD 2025-04-02 -247.390000 N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 200000.000000 PA USD 194879.490000 0.0402956 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N N/A N/A 000000000 -300000.000000 NC -778.860000 -0.000161 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.40000 04/09/25-5Y LCH 2030-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.400000 EUR 2025-04-07 XXXX -173.710000 N N N N/A N/A 000000000 1.000000 NC USD 25028.520000 0.0051752 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-09-30 0.000000 USD 0.000000 USD 28300000.000000 USD 25028.520000 N N N N/A N/A 000000000 1.000000 NC 440113.090000 0.0910031 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-09-17 437510.510000 EUR 0.000000 EUR 5400000.000000 EUR 2602.580000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 288.880000 PA USD 284.420000 0.0000588 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.83 N N N N N N N/A N/A 000000000 1.000000 NC 2866.230000 0.0005927 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6368968.000000 TWD 195799.550000 USD 2025-07-16 2866.230000 N N N N/A N/A 000000000 1.000000 NC 614.030000 0.000127 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21107426.540000 CNY 2939753.000000 USD 2025-04-09 614.030000 N N N N/A N/A 000000000 1.000000 NC USD 1357086.480000 0.280608 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A RAE LOW VOLATILITY EMERGING MARKETS TOTAL RETURN Y 2025-10-15 0.000000 USD 0.000000 USD 127602316.890000 USD 1357086.480000 N N N N/A N/A 000000000 1.000000 NC 3700.580000 0.0007652 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 434090439.000000 KRW 299383.040000 USD 2025-06-18 3700.580000 N N N N/A N/A 000000000 1.000000 NC USD 4357.540000 0.000901 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -1365.000000 USD 500000.000000 USD 5722.540000 N N N DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 26208WAB0 90063.080000 PA USD 90104.560000 0.0186311 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83 N N N N N N N/A N/A 000000000 1.000000 NC -24294.340000 -0.0050234 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2000000.000000 BRL 311211.390000 USD 2025-10-02 -24294.340000 N N N N/A N/A 000000000 -5.000000 NC USD -16374.540000 -0.0033858 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-06-18 -588515.630000 USD -16374.540000 N N N N/A N/A 000000000 1.000000 NC 2560.750000 0.0005295 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1278419.150000 SGD 955683.780000 USD 2025-05-02 2560.750000 N N N INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM) VGRQXHF3J8VDLUA7XE92 459200101 958.000000 NS USD 238216.280000 0.0492565 Long EC CORP US N 1 N N N ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A N/A 033296AG9 289131.470000 PA USD 285885.820000 0.0591132 Long ABS-CBDO CORP KY N 2 2037-07-28 Fixed 3.9 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 545127.850000 PA USD 233479.950000 0.0482771 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.73459 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AH6 100000.000000 PA USD 98701.160000 0.0204086 Long DBT CORP US N 2 2031-11-15 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 1370.890000 0.0002835 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6533933.000000 TWD 197970.960000 USD 2025-04-07 1370.890000 N N N N/A N/A 000000000 1.000000 NC -431.990000 -0.0000893 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 572235.350000 TRY 14232.940000 USD 2025-04-24 -431.990000 N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 337534.510000 PA USD 339731.390000 0.070247 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N N/A N/A 000000000 1.000000 NC 17418.120000 0.0036016 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 44500410.000000 TWD 1369117.000000 USD 2025-08-20 17418.120000 N N N N/A N/A OP0043SW9 -1100000.000000 NC USD -1047.790000 -0.0002167 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG44 (V1 ONLY) 5Y SP Single Leg Swap 2030-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2025-06-18 XXXX -85.290000 N N N N/A N/A 000000000 1.000000 NC 3357.020000 0.0006941 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 237247333.000000 KRW 164959.000000 USD 2025-06-18 3357.020000 N N N MERRILL LYNCH MORTGAGE BACKED SEC 2007-1 N/A 59024NAC1 7237.660000 PA USD 6334.700000 0.0013098 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.3691 N N N N N N N/A N/A 000000000 1.000000 NC 20691.130000 0.0042783 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 51829860.000000 TWD 1581577.000000 USD 2025-04-25 20691.130000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 3300000.000000 PA USD 3340043.520000 0.690628 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N BGCLO 19A N/A 09075JAU3 2800000.000000 PA USD 2802100.000000 0.579396 Long ABS-CBDO CORP KY N 2 2037-07-17 Floating 5.89288 N N N N N N N/A N/A 000000000 1.000000 NC -725.020000 -0.0001499 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 302000.000000 AUD 187979.690000 USD 2025-04-02 -725.020000 N N N MMIFS RE LTD 254900C86PCL10JRTQ88 ACI2T3G55 250000.000000 PA 173239.290000 0.0358211 Long DBT CORP BM N 2 2033-01-10 Floating 5.69 N N N N N N N/A N/A 000000000 1.000000 NC USD -2385965.440000 -0.493351 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A RA US LOW VOLATILITY EQUITY INCOME TR Y 2025-04-02 0.000000 USD 0.000000 USD 172176315.360000 USD -2385965.440000 N N N N/A N/A 000000000 1.000000 NC USD -3391.960000 -0.0007014 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 -3056.960000 N N N N/A N/A 000000000 7.000000 NC -10810.910000 -0.0022354 N/A DE GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long FTSE 100 INDEX N/A N/A 2025-06-20 776909.720000 GBP -10810.910000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AT6 100000.000000 PA USD 98414.750000 0.0203494 Long DBT CORP US N 2 2034-09-15 Fixed 5.625 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 717588.590000 PA 776310.380000 0.160519 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.565 N N N N N N N/A N/A 000000000 1.000000 NC 875.310000 0.000181 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 353887.970000 SGD 264273.000000 USD 2025-04-02 875.310000 N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002ARF3 2390000.000000 PA USD 2385490.070000 0.493253 Long DBT CORP NL N 2 2025-04-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -162644.640000 -0.0336304 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -555321.950000 USD 2069058.680000 USD 392677.310000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 872000.000000 PA USD 104640.000000 0.0216366 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36179QUQ2 218941.330000 PA USD 223867.770000 0.0462896 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 362.060000 0.0000749 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 99921.370000 USD 3805505.380000 TRY 2025-04-03 362.060000 N N N N/A N/A 000000000 1.000000 NC 143.140000 0.0000296 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 556032157.000000 IDR 33480.000000 USD 2025-04-30 143.140000 N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 1280126.390000 PA USD 1239254.170000 0.256243 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 9042.850000 0.0018698 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 446581.930000 USD 2600000.000000 BRL 2025-04-02 9042.850000 N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MXB3 18745.420000 PA USD 18197.670000 0.0037628 Long ABS-MBS CORP US N 2 2033-08-25 Floating 7.48015 N N N N N N N/A N/A 000000000 1.000000 NC -10537.390000 -0.0021788 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4746882.550000 CZK 195173.000000 USD 2025-04-17 -10537.390000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 735263.990000 PA USD 686825.170000 0.142016 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 697417.520000 PA USD 697635.080000 0.144252 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 5.48928 N N N N N N N/A N/A 000000000 1.000000 NC -47769.220000 -0.0098773 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11731247.780000 BRL 1981931.000000 USD 2025-06-03 -47769.220000 N N N N/A N/A 000000000 1.000000 NC 337.080000 0.0000697 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 1545134834.000000 IDR 93142.750000 USD 2025-04-09 337.080000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 200000.000000 PA USD 201360.940000 0.0416358 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC 30145.980000 0.0062333 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10400000.000000 DKK 1537468.820000 USD 2025-04-01 30145.980000 N N N N/A N/A 000000000 1.000000 NC -8366.430000 -0.0017299 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6236023.880000 CNY 854402.000000 USD 2025-06-18 -8366.430000 N N N N/A N/A 000000000 1.000000 NC 23224.750000 0.0048022 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 292207.790000 USD 1800000.000000 BRL 2025-04-02 23224.750000 N N N N/A N/A 000000000 1.000000 NC 151.390000 0.0000313 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 39478.000000 USD 3393820.070000 INR 2025-04-28 151.390000 N N N N/A N/A 000000000 1.000000 NC -437.900000 -0.0000905 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 923144.330000 PEN 249330.000000 USD 2025-12-05 -437.900000 N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 1885940.870000 PA USD 838326.740000 0.173343 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.75459 N N N N N N N/A N/A 000000000 1.000000 NC 579.610000 0.0001198 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 820624660.000000 IDR 49795.790000 USD 2025-04-23 579.610000 N N N N/A N/A 000000000 1.000000 NC -5058.060000 -0.0010459 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9972291.800000 CNY 1380248.000000 USD 2025-08-20 -5058.060000 N N N N/A N/A 000000000 1.000000 NC 2752.210000 0.0005691 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11984891220.000000 IDR 721764.000000 USD 2025-04-16 2752.210000 N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 1704000.000000 PA USD 1699318.380000 0.351372 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC 409.390000 0.0000847 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 372311.790000 USD 2694000.000000 CNY 2025-06-18 409.390000 N N N N/A N/A 000000000 1.000000 NC 4088.830000 0.0008455 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 295011336.000000 KRW 205037.000000 USD 2025-06-18 4088.830000 N N N N/A N/A 000000000 -300000.000000 NC USD -1606.290000 -0.0003321 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/3.69500 04/22/25-10Y LCH 2035-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2025-04-17 XXXX -274.290000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VBF7 100000.000000 PA USD 99585.960000 0.0205916 Long DBT CORP US N 2 2029-09-01 Fixed 4.9 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 1421.320000 PA USD 1253.150000 0.0002591 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.63195 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAE3 2000000.000000 PA USD 1995820.800000 0.41268 Long ABS-O CORP US N 2 2029-04-16 Fixed 4.48 N N N N N N N/A N/A 000000000 1.000000 NC -361.160000 -0.0000747 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 180049.000000 USD 697823.110000 PLN 2025-06-13 -361.160000 N N N N/A N/A 000000000 1.000000 NC 32.790000 0.0000068 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17426433.200000 INR 203865.620000 USD 2025-04-07 32.790000 N N N N/A N/A 000000000 1.000000 NC -8183.550000 -0.0016921 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 -994.040000 EUR 300000.000000 EUR -7189.510000 N N N N/A N/A 000000000 1.000000 NC USD 216601.650000 0.0447872 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 200330.600000 USD 0.000000 USD 36000000.000000 USD 16271.050000 N N N N/A N/A 000000000 1.000000 NC -1619.330000 -0.0003348 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 304057.520000 USD 2186000.000000 CNY 2025-06-18 -1619.330000 N N N N/A N/A 000000000 1.000000 NC USD 4017.220000 0.0008306 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -1160.000000 USD 400000.000000 USD 5177.220000 N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275R102 958.000000 NS USD 59118.180000 0.012224 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -1895.040000 -0.0003918 N/A DFE HU N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 183361.540000 USD 67645794.000000 HUF 2025-04-16 -1895.040000 N N N N/A N/A 000000000 1.000000 NC 1257.660000 0.00026 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 173982.640000 USD 1000000.000000 BRL 2025-04-02 1257.660000 N N N N/A N/A 000000000 1.000000 NC 4378.720000 0.0009054 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 775000.000000 AUD 488637.500000 USD 2025-04-02 4378.720000 N N N HERTZ VEHICLE FINANCING III LLC 2024-1A N/A 42806MCK3 2300000.000000 PA USD 2332967.970000 0.482393 Long ABS-O CORP US N 2 2029-01-25 Fixed 5.44 N N N N N N N/A N/A 000000000 1.000000 NC -987.810000 -0.0002043 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 300000.000000 BRL 49338.050000 USD 2025-10-02 -987.810000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2P59J2 100000.000000 PA 2592.710000 0.0005361 Long DBT NUSS TR N 2 2026-08-19 Floating 50 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2PNWZ1 500000.000000 PA 140985.930000 0.029152 Long DBT NUSS PE N 2 2039-08-12 Fixed 7.6 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 958.000000 NS USD 140691.880000 0.0290912 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -216.250000 -0.0000447 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 296800.880000 TRY 7390.000000 USD 2025-04-24 -216.250000 N N N ANCHORAGE CREDIT FUNDING 2018-6A LTD N/A 03330LAA6 211618.110000 PA USD 209090.290000 0.043234 Long ABS-CBDO CORP KY N 2 2036-07-25 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC -1686.070000 -0.0003486 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2647000.000000 CNY 366023.300000 USD 2025-08-20 -1686.070000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 280826.820000 PA USD 281837.070000 0.058276 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N N/A N/A 000000000 1.000000 NC 2850.330000 0.0005894 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 119817.880000 USD 700000.000000 BRL 2025-04-02 2850.330000 N N N N/A N/A 000000000 1.000000 NC -13674.530000 -0.0028275 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3909704.540000 PEN 1047476.100000 USD 2025-07-31 -13674.530000 N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 23990.510000 PA USD 22203.420000 0.004591 Long ABS-MBS CORP US N 2 2037-07-25 Floating 7.12528 N N N N N N N/A N/A 000000000 1.000000 NC 6019.680000 0.0012447 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25759920.120000 SEK 2568736.820000 USD 2025-04-02 6019.680000 N N N N/A N/A 000000000 1.000000 NC -1458.210000 -0.0003015 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 485864.210000 USD 375000.000000 GBP 2025-04-02 -1458.210000 N N N N/A N/A 000000000 1.000000 NC -3848.780000 -0.0007958 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 10704533.360000 CNY 1483177.000000 USD 2025-08-20 -3848.780000 N N N N/A N/A 000000000 1.000000 NC -368.430000 -0.0000762 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 605305.680000 TRY 15144.000000 USD 2025-04-24 -368.430000 N N N N/A N/A 000000000 1.000000 NC -1706.650000 -0.0003529 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1451359.350000 BRL 252630.000000 USD 2025-04-02 -1706.650000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 200000.000000 PA USD 197380.650000 0.0408128 Long DBT CORP US N 2 2028-02-01 Floating 3.782 N N N N N N N/A N/A 000000000 1.000000 NC 76458.370000 0.0158095 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 1414803868.000000 JPY 9509113.000000 USD 2025-04-02 76458.370000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141G104 958.000000 NS USD 523345.820000 0.108213 Long EC CORP US N 1 N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 1902934.200000 PA USD 1673650.800000 0.346064 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.56459 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABV6 500000.000000 PA USD 475405.650000 0.0983006 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69 N/A 12668AN27 47813.290000 PA USD 42691.050000 0.0088273 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.63529 N N N N N N N/A N/A 000000000 272.000000 NC USD 56468.840000 0.0116762 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-30 29449312.430000 USD 56468.840000 N N N N/A N/A 000000000 1.000000 NC 608.450000 0.0001258 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1693400004.000000 IDR 102092.000000 USD 2025-05-09 608.450000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHQ5 1446000.000000 PA USD 1407406.380000 0.291012 Long DBT CORP US N 2 2030-02-07 Floating 3.974 N N N N N N N/A N/A 000000000 1.000000 NC 2375758.250000 0.491241 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 2473304.630000 EUR 0.000000 EUR 12009852.690000 EUR -97546.380000 N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1 N/A 16159LAC2 2773045.470000 PA USD 2571633.630000 0.531742 Long ABS-MBS CORP US N 2 2062-06-25 Variable 3.5 N N N N N N N/A N/A 000000000 -600000.000000 NC USD -762.900000 -0.0001577 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/3.53500 04/14/25-10Y LCH 2035-04-14 0.000000 USD 0.000000 USD N/A USD N/A 3.540000 USD 2025-04-10 XXXX 1772.100000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 800000.000000 PA USD 774621.370000 0.16017 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 -4.000000 NC USD -2169.000000 -0.0004485 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/25 2025-06-19 N/A USD N/A 112.000000 USD 2025-04-25 XXXX -732.480000 N N N N/A N/A 000000000 1.000000 NC -132.660000 -0.0000274 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23964.000000 USD 35080049.000000 KRW 2025-04-28 -132.660000 N N N N/A N/A 000000000 1.000000 NC USD 1991.620000 0.0004118 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-30 0.000000 USD -320.000000 USD 100000.000000 USD 2311.620000 N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCN9 300000.000000 PA USD 297906.810000 0.0615988 Long DBT CORP US N 2 2035-01-31 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -1429.780000 -0.0002956 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 197970.960000 USD 6526231.000000 TWD 2025-04-25 -1429.780000 N N N N/A N/A 000000000 1.000000 NC 5430.290000 0.0011228 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1405245.000000 USD 10221752.130000 CNY 2025-05-12 5430.290000 N N N N/A N/A 000000000 1.000000 NC -2435.430000 -0.0005036 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-27 0.000000 EUR -518.160000 EUR 200000.000000 EUR -1917.270000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 4653.190000 PA USD 4500.850000 0.0009307 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.98851 N N N N N N N/A N/A 000000000 1.000000 NC -348.940000 -0.0000722 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 107500000.000000 JPY 716365.510000 USD 2025-04-02 -348.940000 N N N N/A N/A 000000000 1.000000 NC -489.140000 -0.0001011 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 65978.000000 USD 96400456.000000 KRW 2025-04-28 -489.140000 N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 667282.250000 PA 721167.060000 0.149117 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.425 N N N N N N N/A N/A 000000000 1.000000 NC 1090.270000 0.0002254 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 51481.820000 USD 300000.000000 BRL 2025-04-02 1090.270000 N N N N/A N/A 000000000 1.000000 NC 1319.990000 0.0002729 N/A DCR FR N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BNP PARIBAS BNP PARIBAS SR UNSEC Y Single Leg Swap 2025-12-20 1309.450000 EUR 0.000000 EUR 200000.000000 EUR 10.540000 N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 393366.790000 PA USD 383333.100000 0.0792626 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.93459 N N N N N N N/A N/A 000000000 1.000000 NC USD 223625.730000 0.0462396 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 33100000.000000 USD 223625.730000 N N N N/A N/A 000000000 1.000000 NC 42.300000 0.0000087 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 USD 1141531.400000 BRL 2025-04-02 42.300000 N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 15533.410000 PA USD 15321.200000 0.003168 Long ABS-MBS CORP US N 2 2035-02-19 Floating 5.13126 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 1400000.000000 PA USD 1413450.640000 0.292262 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N N/A N/A 000000000 1.000000 NC -14935.870000 -0.0030883 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2034-11-03 0.000000 MXN 0.000000 MXN 6400000.000000 MXN -14935.870000 N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC6 N/A 76112BK41 909568.600000 PA USD 897680.810000 0.185615 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.10959 N N N N N N N/A N/A 000000000 1.000000 NC 34018.180000 0.007034 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 48854122.000000 TWD 1505288.000000 USD 2025-04-25 34018.180000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKL4 3788965.800000 PA USD 3902165.430000 0.806859 Long DBT UST US N 2 2029-04-15 Fixed 2.125 N N N N N N VERUS SECURITIZATION TRUST 2023-5 N/A 924934AA0 796308.940000 PA USD 802655.040000 0.165967 Long ABS-MBS CORP US N 2 2068-06-25 Variable 6.476 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 363498.930000 PA USD 338870.310000 0.0700689 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.83459 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638AV4 2600000.000000 PA 698985.760000 0.144531 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N FNMA PASS THRU POOLS N/A 3140NVEB9 1100000.000000 PA USD 1125560.060000 0.232734 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.93 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076102 958.000000 NS USD 351097.420000 0.0725972 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -240.020000 -0.0000496 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 355000.000000 CHF 401025.950000 USD 2025-04-02 -240.020000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 1280000000.000000 PA 1287737.640000 0.266268 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC -595.280000 -0.0001231 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 241379.000000 USD 1401060.270000 BRL 2025-07-02 -595.280000 N N N N/A N/A 000000000 -200000.000000 NC -569.390000 -0.0001177 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.53000 04/23/25-10Y LCH 2035-04-23 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.530000 EUR 2025-04-17 XXXX 184.230000 N N N N/A N/A 000000000 1.000000 NC 1259.940000 0.0002605 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 290960.000000 USD 25029672.810000 INR 2025-04-30 1259.940000 N N N N/A N/A 000000000 1.000000 NC 465.250000 0.0000962 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 150379453.000000 KRW 102541.000000 USD 2025-04-07 465.250000 N N N N/A N/A 000000000 1.000000 NC -207.160000 -0.0000428 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1502135.000000 USD 10882968.080000 CNY 2025-05-12 -207.160000 N N N N/A N/A 000000000 1.000000 NC 49.990000 0.0000103 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 174464737.000000 IDR 10506.000000 USD 2025-05-08 49.990000 N N N N/A N/A 000000000 1.000000 NC -9611.440000 -0.0019874 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1355712.000000 USD 44697825.000000 TWD 2025-04-25 -9611.440000 N N N N/A N/A 000000000 1.000000 NC -1036.300000 -0.0002143 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4630972.500000 TRY 121000.000000 USD 2025-04-02 -1036.300000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 319121.810000 PA USD 276453.150000 0.0571628 Long ABS-MBS CORP US N 2 2033-10-25 Floating 5.16497 N N N N N N 2025-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer