NPORT-P false 0000810893 XXXXXXXX S000009706 C000031215 C000031217 C000064154 C000200451 C000026642 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Short Fund S000009706 P42MUQ6KRRELZQZE1595 2025-03-31 2025-03-31 N 202221897.270000 116471088.170000 85750809.100000 0.000000 0.000000 3966036.400000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4667711.470000 TRY PEN AUD MXN GBP CZK EUR USD CAD ZAR N S&P 500 Total Return 4 JAN 1988 Index SPTR N/A N/A 000000000 1.000000 NC -224.040000 -0.0002613 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 141758.470000 USD 1023000.000000 CNY 2025-06-18 -224.040000 N N N N/A N/A 000000000 1.000000 NC -564.090000 -0.0006578 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 62209.890000 USD 2048758.000000 TWD 2025-04-14 -564.090000 N N N ARGENT SECURITIES INC. 2006-W3 N/A 040104SR3 910432.680000 PA USD 286906.740000 0.334582 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.79459 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8EE2 11758.070000 PA USD 11868.350000 0.0138405 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 228.820000 0.0002668 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 62860.080000 USD 1158000.000000 ZAR 2025-04-16 228.820000 N N N N/A N/A OP0043SX7 -200000.000000 NC USD -228.360000 -0.0002663 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 -2.360000 N N N N/A N/A 000000000 1.000000 NC 156.080000 0.000182 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 125654.000000 USD 911619.770000 CNY 2025-05-12 156.080000 N N N N/A N/A 000000000 1.000000 NC 138.180000 0.0001611 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 874797.040000 CNY 121390.000000 USD 2025-07-16 138.180000 N N N GNMA PASS THRU POOLS N/A 36296QK32 78804.000000 PA USD 79860.000000 0.0931303 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31407RVX9 583.420000 PA USD 572.940000 0.0006681 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KNH3 69010.610000 PA USD 70265.320000 0.0819413 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 281147.690000 PA USD 283058.820000 0.330095 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N GNMA PASS THRU POOLS N/A 36295NCS4 153998.930000 PA USD 156289.770000 0.18226 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -275.630000 -0.0003214 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 873236.460000 INR 9927.170000 USD 2025-04-21 -275.630000 N N N FNMA PASS THRU POOLS N/A 31371M3W5 120514.490000 PA USD 123148.440000 0.143612 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -5850.220000 -0.0068223 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 664474.030000 PEN 174903.010000 USD 2025-04-25 -5850.220000 N N N N/A N/A 000000000 1.000000 NC 353.770000 0.0004126 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 36910.000000 USD 269339.650000 CNY 2025-06-18 353.770000 N N N MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1 N/A 59023LAA0 1315764.890000 PA USD 577739.470000 0.673742 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.71459 N N N N N N FNMA PASS THRU POOLS N/A 31371M5N3 11968.240000 PA USD 12484.330000 0.0145588 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 3162.910000 0.0036885 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 595049.190000 ILS 163249.910000 USD 2025-04-16 3162.910000 N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 911.550000 PA USD 907.780000 0.0010586 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409JUL2 660.320000 PA USD 675.560000 0.0007878 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -686.370000 -0.0008004 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 506000.000000 CNY 69319.910000 USD 2025-06-18 -686.370000 N N N N/A N/A 000000000 1.000000 NC -3145.390000 -0.0036681 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 725548.800000 BRL 124000.000000 USD 2025-04-02 -3145.390000 N N N N/A N/A 000000000 1.000000 NC -2011.100000 -0.0023453 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 164146.000000 USD 629831.650000 PLN 2025-06-20 -2011.100000 N N N FNMA PASS THRU POOLS N/A 3140NVEB9 300000.000000 PA USD 306970.930000 0.35798 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.93 N N N N N N GNMA PASS THRU POOLS N/A 36176ARN1 61939.470000 PA USD 61461.970000 0.0716751 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371M7M3 22042.680000 PA USD 22099.660000 0.025772 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416B2P2 3233.940000 PA USD 3290.760000 0.0038376 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 12708.770000 PA USD 13012.420000 0.0151747 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410WML9 24859.750000 PA USD 25863.180000 0.0301609 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 3652.440000 0.0042594 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 341478641.000000 KRW 236252.000000 USD 2025-06-18 3652.440000 N N N FNMA PASS THRU POOLS N/A 31416H4W2 42334.290000 PA USD 41833.300000 0.0487847 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KAA2 5621.150000 PA USD 5755.360000 0.0067117 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 499.040000 0.000582 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 55000.000000 EUR 59970.520000 USD 2025-04-02 499.040000 N N N N/A N/A 000000000 -100000.000000 NC -233.120000 -0.0002719 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 149.100000 N N N FNMA PASS THRU POOLS N/A 31419DG54 5772.350000 PA USD 5848.510000 0.0068204 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -30.230000 -0.0000353 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 927722.000000 JPY 6155.000000 USD 2025-04-02 -30.230000 N N N N/A N/A 000000000 1.000000 NC USD 671.690000 0.0007833 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -396.750000 USD 100000.000000 USD 1068.440000 N N N N/A N/A 000000000 1.000000 NC -997.870000 -0.0011637 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1447132.690000 PEN 392145.000000 USD 2025-06-18 -997.870000 N N N N/A N/A 000000000 1.000000 NC -1331.640000 -0.0015529 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1220547.610000 BRL 212557.490000 USD 2025-04-02 -1331.640000 N N N N/A N/A 000000000 -100000.000000 NC USD -67.820000 -0.0000791 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 387.180000 N N N FNMA PASS THRU POOLS N/A 31374CPF7 7194.200000 PA USD 7202.240000 0.008399 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -22.100000 -0.0000258 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3993.000000 USD 5845211.000000 KRW 2025-04-28 -22.100000 N N N FNMA PASS THRU POOLS N/A 31407EH89 455.780000 PA USD 466.660000 0.0005442 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 24.290000 0.0000283 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 94256895.000000 IDR 5673.000000 USD 2025-05-09 24.290000 N N N FHLMC PASS THRU POOLS N/A 312929MQ2 5654.520000 PA USD 5713.470000 0.0066629 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6B98 579.520000 PA USD 590.090000 0.0006881 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -885.590000 -0.0010327 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -348.000000 USD 100000.000000 USD -537.590000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 1502.090000 PA USD 1556.550000 0.0018152 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.23 N N N N N N FNMA PASS THRU POOLS N/A 31400JR50 19929.630000 PA USD 20085.280000 0.0234228 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 101593.590000 PA USD 103274.770000 0.120436 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EDMB4 4943.810000 PA USD 4845.030000 0.0056501 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2N4 67847.260000 PA USD 69439.320000 0.080978 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 81.900000 0.0000955 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 613794.810000 CNY 84790.000000 USD 2025-05-12 81.900000 N N N N/A N/A 000000000 1.000000 NC 124.320000 0.000145 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 449344108.000000 IDR 27053.000000 USD 2025-05-09 124.320000 N N N N/A N/A 000000000 1.000000 NC 108.640000 0.0001267 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 64000.000000 CAD 44584.570000 USD 2025-04-02 108.640000 N N N FNMA PASS THRU POOLS N/A 31412RBR7 3331.300000 PA USD 3386.470000 0.0039492 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F062663 11180000.000000 PA USD 11509573.880000 13.4221 Long ABS-MBS USGSE US N 2 2054-06-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 129.780000 0.0001513 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 21648.080000 USD 826415.450000 TRY 2025-04-02 129.780000 N N N N/A N/A 000000000 1.000000 NC -121.260000 -0.0001414 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 60452.000000 USD 234296.230000 PLN 2025-06-13 -121.260000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 400000.000000 PA USD 387310.680000 0.45167 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 1190737.290000 1.3886 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 19739011.510000 USD 1190737.290000 N N N N/A N/A 000000000 1.000000 NC -1775.730000 -0.0020708 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 -253.670000 EUR 100000.000000 EUR -1522.060000 N N N N/A N/A 000000000 1.000000 NC 837.940000 0.0009772 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 100000.000000 USD 8633450.000000 INR 2025-04-25 837.940000 N N N N/A N/A 000000000 1.000000 NC 170.420000 0.0001987 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 41357.000000 USD 3556970.820000 INR 2025-04-30 170.420000 N N N MF1 2021-FL7 LTD N/A 55284AAA6 500373.440000 PA USD 499471.170000 0.582468 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.51088 N N N N N N N/A N/A 000000000 1.000000 NC 1.860000 0.0000022 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 52981876.000000 IDR 3177.000000 USD 2025-05-09 1.860000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 400000.000000 PA USD 406023.440000 0.473492 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N N/A N/A 000000000 1.000000 NC 611.500000 0.0007131 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3064842.000000 TWD 93706.000000 USD 2025-08-20 611.500000 N N N N/A N/A 000000000 1.000000 NC -3052.800000 -0.0035601 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1928051.370000 CNY 263697.600000 USD 2025-06-18 -3052.800000 N N N GNMA PASS THRU POOLS N/A 36296X3G7 18105.260000 PA USD 18395.860000 0.0214527 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -757.250000 -0.0008831 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 146479.000000 USD 21856805.000000 JPY 2025-04-02 -757.250000 N N N N/A N/A 000000000 1.000000 NC 933.610000 0.0010887 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3607615.000000 TWD 109579.000000 USD 2025-04-25 933.610000 N N N N/A N/A 000000000 1.000000 NC 349.240000 0.0004073 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 831148.800000 BRL 146000.000000 USD 2025-04-02 349.240000 N N N N/A N/A 000000000 1.000000 NC -4762.210000 -0.0055535 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 300966.510000 USD 9835586.000000 TWD 2025-04-25 -4762.210000 N N N N/A N/A 000000000 1.000000 NC 541.500000 0.0006315 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 -136.150000 EUR 100000.000000 EUR 677.650000 N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 198541.760000 PA 255834.220000 0.298346 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 5.31818 N N N N N N GNMA PASS THRU POOLS N/A 36176DEZ2 19759.150000 PA USD 19917.450000 0.0232271 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 5 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 5.310000 PA USD 5.110000 0.000006 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -2529.550000 -0.0029499 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-22 0.000000 EUR -359.550000 EUR 100000.000000 EUR -2170.000000 N N N FNMA PASS THRU POOLS N/A 31407HRF5 12016.550000 PA USD 12501.940000 0.0145794 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416JAW1 39035.820000 PA USD 39875.190000 0.0465012 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -156.150000 -0.0001821 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20631.700000 USD 679899.000000 TWD 2025-04-25 -156.150000 N N N FNMA PASS THRU POOLS N/A 3138AAS93 7431.130000 PA USD 7337.050000 0.0085562 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 337.550000 0.0003936 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 34471.000000 USD 251593.490000 CNY 2025-06-18 337.550000 N N N FNMA PASS THRU POOLS N/A 31417S3V0 15160.010000 PA USD 15411.030000 0.0179719 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 11332.330000 0.0132154 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1808877.970000 USD 10386939.080000 BRL 2025-04-02 11332.330000 N N N UMBS PASS THRU POOLS N/A 01F032658 -4400000.000000 PA USD -3966036.400000 -4.62507 Short ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -94147.840000 -0.109792 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 -105700.180000 EUR 2350000.000000 EUR 11552.340000 N N N GNMA PASS THRU POOLS N/A 36241KZ35 411836.340000 PA USD 417294.800000 0.486637 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 655507.530000 PA USD 6380710.290000 7.44099 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31409ADU0 1302.410000 PA USD 1333.520000 0.0015551 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANY56 3155.020000 PA USD 3110.520000 0.0036274 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -761.950000 -0.0008886 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 199820.300000 USD 3318016082.000000 IDR 2025-04-16 -761.950000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 5090.930000 PA USD 4960.780000 0.0057851 Long ABS-MBS CORP US N 2 2033-05-25 Floating 6.05821 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1080195.380000 PA USD 423454.410000 0.49382 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.91459 N N N N N N GNMA PASS THRU POOLS N/A 36212TA53 9429.370000 PA USD 9411.210000 0.0109751 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 282220.540000 PA USD 290118.010000 0.338327 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N FNMA PASS THRU POOLS N/A 31407PFB9 20174.900000 PA USD 20656.680000 0.0240892 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANJA2 223324.180000 PA USD 218977.510000 0.255365 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPA5 6243.760000 PA USD 6379.970000 0.0074401 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 26389.370000 PA USD 12315.740000 0.0143622 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N N/A N/A 000000000 1.000000 NC -4621.590000 -0.0053896 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -403.280000 EUR 100000.000000 EUR -4218.310000 N N N N/A N/A 000000000 1.000000 NC 83132.470000 0.0969466 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-09-17 93041.190000 EUR 0.000000 EUR 1020000.000000 EUR -9908.720000 N N N N/A N/A 000000000 -29.000000 NC USD -24496.020000 -0.0285665 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-06-18 -3231007.800000 USD -24496.020000 N N N FNMA PASS THRU POOLS N/A 31403DDX4 19651.410000 PA USD 20120.800000 0.0234643 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NDU6 2068.050000 PA USD 2101.320000 0.0024505 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1PU8 1491.120000 PA USD 1531.100000 0.0017855 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 53227.290000 PA USD 48359.230000 0.0563951 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.77126 N N N N N N N/A N/A 000000000 1.000000 NC 12.750000 0.0000149 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 283773955.000000 IDR 17019.000000 USD 2025-05-09 12.750000 N N N N/A N/A 000000000 1.000000 NC -148.520000 -0.0001732 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 418000.000000 CNY 57682.750000 USD 2025-06-18 -148.520000 N N N N/A N/A 000000000 1.000000 NC 58420.270000 0.068128 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 58973.240000 EUR 0.000000 EUR 295324.250000 EUR -552.970000 N N N LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST N/A 52606WAA6 14752.210000 PA USD 14741.070000 0.0171906 Long ABS-O CORP US N 2 2029-10-15 Fixed 4.77 N N N N N N GNMA PASS THRU POOLS N/A 36297GKW9 2700.800000 PA USD 2740.990000 0.0031965 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31416JMP3 994.240000 PA USD 971.500000 0.0011329 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 57816.150000 0.0674234 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 956169.770000 USD 57816.150000 N N N N/A N/A 000000000 1.000000 NC -143.910000 -0.0001678 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3540650.000000 JPY 23462.000000 USD 2025-04-02 -143.910000 N N N N/A N/A 000000000 1.000000 NC 2602.920000 0.0030354 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -267.940000 EUR 100000.000000 EUR 2870.860000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BC1 600000.000000 PA USD 616332.620000 0.718749 Long DBT CORP CH N 2 2027-12-22 Floating 6.327 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 637191.430000 PA USD 358209.460000 0.417733 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.3082 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 32074.990000 PA USD 31821.060000 0.0371088 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.77459 N N N N N N FNMA PASS THRU POOLS N/A 31417YJ24 16988.220000 PA USD 17152.950000 0.0200033 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 5.5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 3100000.000000 PA 150145.840000 0.175095 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N UPSTART SECURITIZATION TRUST 2022-3 N/A 91683TAB5 146456.610000 PA USD 146411.850000 0.170741 Long ABS-O CORP US N 2 2032-06-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RRR2 8305.840000 PA USD 8660.150000 0.0100992 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 1991.620000 0.0023226 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 N/A N/A 000000000 1.000000 NC -3708.530000 -0.0043248 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 282574.000000 USD 4648285785.000000 IDR 2025-04-16 -3708.530000 N N N FNMA PASS THRU POOLS N/A 31416CD29 21234.510000 PA USD 22094.990000 0.0257665 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1346.900000 0.0015707 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3018254.000000 TWD 92778.000000 USD 2025-07-16 1346.900000 N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 1000.090000 PA USD 955.180000 0.0011139 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.83529 N N N N N N N/A N/A 000000000 1.000000 NC -166.250000 -0.0001939 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 150813.400000 USD 116630.440000 GBP 2025-05-02 -166.250000 N N N EQUIFIRST LOAN SECURITIZATION TRUST 2007-1 N/A 29445UAN5 625112.570000 PA USD 577640.960000 0.673627 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 -215.080000 -0.0002508 N/A DFE TW N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 16365.490000 USD 536281.000000 TWD 2025-04-25 -215.080000 N N N FNMA PASS THRU POOLS N/A 31414G3K3 30353.190000 PA USD 31664.370000 0.036926 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N CENTEX HOME EQUITY LOAN TRUST 2006-A N/A 15231AAG1 500000.000000 PA USD 472234.150000 0.550705 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.92959 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 35046.390000 PA USD 19544.140000 0.0227918 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.47089 N N N N N N FNMA PASS THRU POOLS N/A 31411APZ2 391.510000 PA USD 399.910000 0.0004664 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 20961.140000 PA USD 19785.870000 0.0230737 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 128798.550000 PA USD 55052.300000 0.0642003 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414QVY0 506.420000 PA USD 517.790000 0.0006038 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402DP79 134.390000 PA USD 136.940000 0.0001597 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412DLW6 154010.690000 PA USD 160638.700000 0.187332 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -1405.040000 -0.0016385 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 108000.000000 USD 3509302.000000 TWD 2025-08-20 -1405.040000 N N N N/A N/A 000000000 1.000000 NC 17.160000 0.00002 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 66723029.000000 IDR 4016.000000 USD 2025-05-08 17.160000 N N N N/A N/A 000000000 1.000000 NC 53.580000 0.0000625 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 220922988.000000 IDR 13299.000000 USD 2025-04-30 53.580000 N N N N/A N/A 000000000 1.000000 NC 2924.380000 0.0034103 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 593934.000000 USD 3472969.670000 BRL 2025-07-02 2924.380000 N N N GNMA PASS THRU POOLS N/A 36296QL31 27703.910000 PA USD 27665.870000 0.0322631 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 42043.220000 PA USD 39261.890000 0.045786 Long ABS-MBS CORP US N 2 2046-10-25 Floating 6.13529 N N N N N N N/A N/A 000000000 1.000000 NC -1114.210000 -0.0012994 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 63433.000000 USD 1039095973.000000 IDR 2025-04-23 -1114.210000 N N N N/A N/A 000000000 1.000000 NC 4507.830000 0.0052569 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 719543.080000 USD 4131760.290000 BRL 2025-04-02 4507.830000 N N N N/A N/A 000000000 1.000000 NC -1134.150000 -0.0013226 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 880477.770000 CNY 120682.000000 USD 2025-06-18 -1134.150000 N N N FNMA PASS THRU POOLS N/A 31404V6A1 4116.310000 PA USD 4230.890000 0.0049339 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 7.273 N N N N N N N/A N/A 000000000 1.000000 NC 1599.590000 0.0018654 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 18199000.000000 MXN 881843.410000 USD 2025-06-18 1599.590000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 163535.870000 PA USD 159736.240000 0.18628 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.93073 N N N N N N N/A N/A 000000000 1.000000 NC -343.850000 -0.000401 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1046009.620000 CNY 144013.000000 USD 2025-05-12 -343.850000 N N N N/A N/A 000000000 1.000000 NC -18.220000 -0.0000212 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 132139.000000 USD 957347.060000 CNY 2025-05-12 -18.220000 N N N N/A N/A 000000000 1.000000 NC -626.690000 -0.0007308 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 117672.760000 USD 846000.000000 CNY 2025-06-18 -626.690000 N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 231387.710000 PA USD 232860.120000 0.271554 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 -81.520000 -0.0000951 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10996.000000 USD 16066256.000000 KRW 2025-04-28 -81.520000 N N N GNMA PASS THRU POOLS N/A 36296B2K7 697.660000 PA USD 696.700000 0.0008125 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGL7 1025000.000000 PA USD 1007784.870000 1.17525 Long DBT CORP US N 2 2028-04-24 Floating 3.705 N N N N N N GNMA PASS THRU POOLS N/A 36297BXM8 145770.160000 PA USD 147894.830000 0.172471 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1793.410000 0.0020914 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 220000.000000 GBP 285978.260000 USD 2025-04-02 1793.410000 N N N N/A N/A 000000000 1.000000 NC -1344.090000 -0.0015674 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 62539.000000 USD 90153216.000000 KRW 2025-04-07 -1344.090000 N N N FHLMC PASS THRU POOLS N/A 3128M7KW5 1831.710000 PA USD 1866.600000 0.0021768 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -338.570000 -0.0003948 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 941648.350000 CNY 130471.000000 USD 2025-08-20 -338.570000 N N N N/A N/A 000000000 1.000000 NC -663.070000 -0.0007733 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 199342.980000 USD 29800000.000000 JPY 2025-04-02 -663.070000 N N N N/A N/A 000000000 1.000000 NC 1418.600000 0.0016543 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4152948.000000 TWD 126487.000000 USD 2025-04-25 1418.600000 N N N FNMA PASS THRU POOLS N/A 31403DGZ6 18492.230000 PA USD 18933.970000 0.0220802 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 1338.010000 PA USD 1159.900000 0.0013526 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.66218 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 213127.680000 PA USD 213258.200000 0.248695 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 5.18315 N N N N N N N/A N/A 000000000 1.000000 NC 2710.810000 0.0031613 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4147130.000000 TWD 127604.000000 USD 2025-04-25 2710.810000 N N N N/A N/A 000000000 1.000000 NC 1156.720000 0.0013489 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2480200.000000 TWD 76492.730000 USD 2025-08-20 1156.720000 N N N N/A N/A 000000000 1.000000 NC 2442.480000 0.0028483 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3507671.000000 TWD 108078.000000 USD 2025-04-25 2442.480000 N N N FNMA PASS THRU POOLS N/A 31407MWT8 2006.800000 PA USD 2037.680000 0.0023763 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.013 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 600000.000000 PA 174641.370000 0.203662 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -247.490000 -0.0002886 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 51271.000000 USD 74907444.000000 KRW 2025-06-18 -247.490000 N N N N/A N/A 000000000 1.000000 NC -1200.220000 -0.0013997 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 287968.570000 USD 222000.000000 GBP 2025-04-02 -1200.220000 N N N N/A N/A 000000000 1.000000 NC 645.170000 0.0007524 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1424624.000000 TWD 43800.900000 USD 2025-07-16 645.170000 N N N FNMA PASS THRU POOLS N/A 31410RNM7 172.300000 PA USD 179.280000 0.0002091 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 7811.320000 PA USD 7640.000000 0.0089095 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.85459 N N N N N N N/A N/A 000000000 1.000000 NC 723.830000 0.0008441 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 426149.380000 PEN 116284.930000 USD 2025-09-10 723.830000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 2598.690000 PA USD 2291.220000 0.002672 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.63195 N N N N N N N/A N/A 000000000 1.000000 NC -971.370000 -0.0011328 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 157355.000000 USD 23455981.000000 JPY 2025-04-02 -971.370000 N N N N/A N/A 000000000 1.000000 NC 262.200000 0.0003058 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 42165.000000 USD 306660.560000 CNY 2025-06-18 262.200000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFU4 200000.000000 PA USD 198442.410000 0.231418 Long DBT CORP US N 2 2030-10-18 Floating 4.654 N N N N N N FHLMC PASS THRU POOLS N/A 3128CUM29 4016.820000 PA USD 4085.690000 0.0047646 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 6 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI24R197 1684386.800000 PA 79221.200000 0.0923854 Long DBT NUSS MX N 2 2026-12-03 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138EG4G6 2728.290000 PA USD 2690.090000 0.0031371 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 139647.430000 PA USD 117924.170000 0.13752 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.75248 N N N N N N FHLMC PASS THRU POOLS N/A 3129296L1 23308.920000 PA USD 23551.900000 0.0274655 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7E44 28980.550000 PA USD 29282.570000 0.0341484 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N N/A N/A OP0043SW9 -200000.000000 NC USD -190.510000 -0.0002222 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 -15.510000 N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669AK9 7236.250000 PA USD 4702.950000 0.0054844 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -172870.900000 -0.201597 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 -188113.070000 USD 9400000.000000 USD 15242.170000 N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7G5 1100000.000000 PA USD 997329.410000 1.16306 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.31959 N N N N N N FNMA PASS THRU POOLS N/A 31407YNU9 1654.600000 PA USD 1694.110000 0.0019756 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -540.690000 -0.0006305 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 130598.000000 USD 942395.170000 CNY 2025-05-12 -540.690000 N N N FNMA PASS THRU POOLS N/A 31416BUC0 197.650000 PA USD 206.180000 0.0002404 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 252.050000 0.0002939 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10900.000000 USD 953993.070000 INR 2025-04-15 252.050000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 2345053.520000 PA USD 780670.900000 0.910395 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.79459 N N N N N N FNMA PASS THRU POOLS N/A 3138XQQC8 48242.070000 PA USD 47252.950000 0.055105 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1442.350000 0.001682 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3789689.000000 TWD 115571.000000 USD 2025-04-25 1442.350000 N N N N/A N/A 000000000 1.000000 NC 318.380000 0.0003713 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 121417.000000 USD 882094.510000 CNY 2025-05-12 318.380000 N N N N/A N/A 000000000 1.000000 NC 1583.380000 0.0018465 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3617062.000000 TWD 111154.000000 USD 2025-07-16 1583.380000 N N N N/A N/A 000000000 1.000000 NC -1008.580000 -0.0011762 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -278.480000 EUR 100000.000000 EUR -730.100000 N N N N/A N/A 000000000 1.000000 NC 742.510000 0.0008659 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 151127.000000 USD 589625.010000 PLN 2025-06-06 742.510000 N N N N/A N/A 000000000 1.000000 NC USD 533.880000 0.0006226 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 796.380000 N N N N/A N/A 000000000 1.000000 NC -1335.140000 -0.001557 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 91332.000000 USD 2988383.000000 TWD 2025-04-25 -1335.140000 N N N N/A N/A 000000000 1.000000 NC 20.790000 0.0000242 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 75359570.000000 IDR 4537.000000 USD 2025-05-09 20.790000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 633383.190000 PA USD 6200821.420000 7.23121 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -1299.300000 -0.0015152 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 101275.310000 USD 160000.000000 AUD 2025-04-02 -1299.300000 N N N N/A N/A 000000000 1.000000 NC -1161.350000 -0.0013543 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 144437.000000 USD 21489914.000000 JPY 2025-04-02 -1161.350000 N N N N/A N/A 000000000 1.000000 NC 2743.280000 0.0031991 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13879574.000000 TWD 424335.000000 USD 2025-08-20 2743.280000 N N N N/A N/A 000000000 1.000000 NC 167.770000 0.0001956 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 116630.440000 GBP 150825.060000 USD 2025-04-02 167.770000 N N N FNMA PASS THRU POOLS N/A 3138ADYY5 35874.000000 PA USD 35397.610000 0.0412796 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -12800000.000000 NC USD -14589.440000 -0.0170138 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 8267.700000 N N N N/A N/A 000000000 1.000000 NC -245.720000 -0.0002866 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 127183.000000 USD 919787.460000 CNY 2025-05-12 -245.720000 N N N N/A N/A 000000000 1.000000 NC -7343.570000 -0.0085638 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 4300000.000000 MXN -7343.570000 N N N N/A N/A 000000000 -100000.000000 NC USD -118.620000 -0.0001383 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 276.380000 N N N N/A N/A 000000000 1.000000 NC 3455.710000 0.0040299 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 162012235.000000 KRW 113811.000000 USD 2025-06-18 3455.710000 N N N N/A N/A 000000000 1.000000 NC 946.480000 0.0011038 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 200670.000000 USD 1150514.350000 BRL 2025-04-02 946.480000 N N N N/A N/A 000000000 1.000000 NC USD -1151.820000 -0.0013432 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -296.250000 USD 100000.000000 USD -855.570000 N N N GNMA PASS THRU POOLS N/A 36297AKJ1 64907.760000 PA USD 65873.350000 0.0768195 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31408CA89 9603.410000 PA USD 9742.850000 0.0113618 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -572.320000 -0.0006674 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 -117.320000 N N N FNMA PASS THRU POOLS N/A 31410V6F2 1401.400000 PA USD 1434.870000 0.0016733 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36295L3X7 5807.500000 PA USD 5845.600000 0.006817 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -413.290000 -0.000482 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -432.500000 USD 100000.000000 USD 19.210000 N N N NOMURA ASSET ACCEPTANCE CORP 2006-WF1 N0RUIPD25XQCBR0TK507 65537BAC4 884559.530000 PA USD 241181.970000 0.281259 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 5.769 N N N N N N N/A N/A 000000000 1.000000 NC -196.750000 -0.0002294 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2630438.570000 TRY 63216.500000 USD 2025-06-13 -196.750000 N N N N/A N/A 000000000 -1.000000 NC USD -542.250000 -0.0006324 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 -183.120000 N N N FNMA PASS THRU POOLS N/A 31406L2T4 150.330000 PA USD 153.870000 0.0001794 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 6.425 N N N N N N FHLMC PASS THRU POOLS N/A 3128L9KD4 56968.330000 PA USD 57561.750000 0.0671268 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 23743.750000 0.0276892 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3138357.680000 CAD 2204703.000000 USD 2025-04-02 23743.750000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 4198.360000 PA USD 4030.330000 0.0047 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.87126 N N N N N N N/A N/A 000000000 1.000000 NC 36.470000 0.0000425 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10898.000000 USD 936416.830000 INR 2025-04-28 36.470000 N N N N/A N/A 000000000 1.000000 NC -42.140000 -0.0000491 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 15000000.000000 JPY 99964.530000 USD 2025-04-02 -42.140000 N N N FHLMC PASS THRU POOLS N/A 3128M4AK9 4869.090000 PA USD 4911.750000 0.0057279 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 638.150000 0.0007442 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5306116.000000 TWD 161811.290000 USD 2025-08-20 638.150000 N N N N/A N/A 000000000 1.000000 NC 42.150000 0.0000492 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10822.000000 USD 930394.400000 INR 2025-04-28 42.150000 N N N N/A N/A 000000000 1.000000 NC -147.440000 -0.0001719 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 31029.000000 USD 45337109.000000 KRW 2025-06-18 -147.440000 N N N N/A N/A 000000000 1.000000 NC -73.570000 -0.0000858 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 19171.000000 USD 2864423.000000 JPY 2025-04-02 -73.570000 N N N N/A N/A 000000000 1.000000 NC -189.370000 -0.0002208 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 909348.700000 TRY 23000.000000 USD 2025-04-28 -189.370000 N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 2659751.920000 PA USD 1052954.560000 1.22792 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 86278.200000 0.100615 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 122571.560000 USD 0.000000 USD 8300000.000000 USD -36293.360000 N N N N/A N/A 000000000 1.000000 NC 52.650000 0.0000614 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 188395887.000000 IDR 11343.000000 USD 2025-05-09 52.650000 N N N N/A N/A 000000000 1.000000 NC -26.540000 -0.000031 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 132765.480000 TRY 3132.000000 USD 2025-06-25 -26.540000 N N N FNMA PASS THRU POOLS N/A 31404H2N8 3337.060000 PA USD 3370.290000 0.0039303 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -1905.500000 -0.0022221 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 135061.000000 USD 2216925019.000000 IDR 2025-04-09 -1905.500000 N N N N/A N/A 000000000 1.000000 NC 5928.050000 0.0069131 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 317053192.000000 KRW 221821.000000 USD 2025-06-12 5928.050000 N N N N/A N/A 000000000 1.000000 NC 51.970000 0.0000606 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 188407230.000000 IDR 11343.000000 USD 2025-05-09 51.970000 N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 80048.220000 PA USD 76693.540000 0.0894377 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.36192 N N N N N N N/A N/A 000000000 1.000000 NC 44.000000 0.0000513 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10877.000000 USD 935422.000000 INR 2025-04-30 44.000000 N N N BX TRUST 2022-FOX2 N/A 05610AAW8 505466.260000 PA USD 501949.430000 0.585358 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.06838 N N N N N N N/A N/A 000000000 1.000000 NC -2801.720000 -0.0032673 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 804770.960000 PEN 215606.000000 USD 2025-08-04 -2801.720000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 904407.690000 PA USD 822109.940000 0.95872 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.81459 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NE3 1200000.000000 PA USD 1194783.000000 1.39332 Long DBT UST US N 2 2025-05-08 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31415BDJ5 8134.520000 PA USD 7988.050000 0.0093154 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 489.920000 0.0005713 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2545970.260000 TRY 65980.000000 USD 2025-04-21 489.920000 N N N N/A N/A 000000000 1.000000 NC 4179.150000 0.0048736 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3654968.560000 PEN 995145.000000 USD 2025-09-18 4179.150000 N N N FANNIE MAE-2005-75 N/A 31394FAF2 57103.990000 PA USD 56645.740000 0.0660585 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.85417 N N N N N N N/A N/A 000000000 1.000000 NC -607.870000 -0.0007089 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 218733.830000 PEN 58741.780000 USD 2025-08-14 -607.870000 N N N N/A N/A 000000000 1.000000 NC USD 148105.310000 0.172716 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 38915.020000 USD 0.000000 USD 2650000.000000 USD 109190.290000 N N N N/A N/A 000000000 1.000000 NC 798.270000 0.0009309 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3043615.000000 TWD 93248.000000 USD 2025-08-20 798.270000 N N N FREDDIE MAC-3289 N/A 31397FNM0 160596.820000 PA USD 158604.920000 0.18496 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 4.84315 N N N N N N STRUCTURED ASSET INVEST LN TR 2006-BNC3 N/A 86361KAA5 876235.240000 PA USD 539364.150000 0.62899 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.61459 N N N N N N N/A N/A 000000000 1.000000 NC 2178.700000 0.0025407 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1293558.480000 CHF 1469578.580000 USD 2025-05-02 2178.700000 N N N N/A N/A 000000000 1.000000 NC -1246.320000 -0.0014534 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 141746.000000 USD 2341927412.000000 IDR 2025-04-16 -1246.320000 N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4 N/A 52608GAA9 139780.850000 PA USD 137594.340000 0.160458 Long ABS-O CORP US N 2 2029-07-15 Fixed 5.7 N N N N N N FNMA PASS THRU POOLS N/A 31411DY78 155.100000 PA USD 159.920000 0.0001865 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 393.310000 0.0004587 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40420.630000 USD 295000.000000 CNY 2025-06-18 393.310000 N N N FNMA PASS THRU POOLS N/A 31410CB84 81.480000 PA USD 81.620000 0.0000952 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 301.630000 0.0003518 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 852000.000000 ZAR 46719.370000 USD 2025-04-16 301.630000 N N N N/A N/A 000000000 1.000000 NC -109.560000 -0.0001278 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 45524.150000 USD 42000.000000 EUR 2025-04-02 -109.560000 N N N N/A N/A 000000000 1.000000 NC -223.090000 -0.0002602 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 63477.000000 USD 245579.820000 PLN 2025-06-06 -223.090000 N N N N/A N/A 000000000 1.000000 NC -1761.760000 -0.0020545 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 -259.360000 EUR 100000.000000 EUR -1502.400000 N N N FNMA PASS THRU POOLS N/A 3140JCM76 1100000.000000 PA USD 1111825.580000 1.29658 Long ABS-MBS USGSE US N 2 2031-09-01 Variable 4.705 N N N N N N GNMA PASS THRU POOLS N/A 36296XU77 222538.960000 PA USD 225850.680000 0.26338 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 122523.550000 PA USD 121747.610000 0.141978 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.86417 N N N N N N N/A N/A 000000000 1.000000 NC 1415.830000 0.0016511 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3719975.000000 TWD 113445.000000 USD 2025-04-25 1415.830000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 B1KNGGII4 2000000.000000 PA 85460.780000 0.0996618 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.2 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 73828.880000 PA USD 72204.770000 0.084203 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.75459 N N N N N N N/A N/A 000000000 1.000000 NC USD 101340.960000 0.118181 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 15000000.000000 USD 101340.960000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 1193.080000 PA USD 1187.420000 0.0013847 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.41 N N N N N N N/A N/A 000000000 1.000000 NC 1084.950000 0.0012652 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3640112.000000 TWD 110709.000000 USD 2025-04-25 1084.950000 N N N N/A N/A 000000000 1.000000 NC -155.140000 -0.0001809 N/A DFE AU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 52000.000000 AUD 32337.060000 USD 2025-04-02 -155.140000 N N N N/A N/A 000000000 1.000000 NC -1788.720000 -0.002086 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 95354.000000 USD 1560096329.000000 IDR 2025-04-23 -1788.720000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 644420.480000 PA USD 329661.160000 0.384441 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.34734 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 47932.380000 PA USD 49997.090000 0.0583051 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -494.020000 -0.0005761 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 68975.540000 PEN 18274.570000 USD 2025-04-15 -494.020000 N N N N/A N/A 000000000 1.000000 NC 5372.320000 0.006265 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1301777.850000 USD 7459187.080000 BRL 2025-04-02 5372.320000 N N N FNMA PASS THRU POOLS N/A 31409VPY3 317.670000 PA USD 325.130000 0.0003792 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 5825.770000 0.0067938 N/A DFE KR N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 278848844.000000 KRW 195704.000000 USD 2025-06-12 5825.770000 N N N FNMA PASS THRU POOLS N/A 31416CKF2 46201.400000 PA USD 48192.560000 0.0562007 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 13338.820000 PA USD 13601.080000 0.0158612 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 3211.490000 0.0037451 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4401826.000000 TWD 135775.000000 USD 2025-04-25 3211.490000 N N N N/A N/A 000000000 1.000000 NC 144.810000 0.0001689 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 68977824.000000 KRW 46966.120000 USD 2025-04-07 144.810000 N N N N/A N/A 000000000 1.000000 NC USD 27372.430000 0.0319209 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2044-06-20 14040.570000 USD 0.000000 USD 900000.000000 USD 13331.860000 N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 18634.140000 PA USD 16854.190000 0.0196548 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.76228 N N N N N N N/A N/A 000000000 1.000000 NC -584.480000 -0.0006816 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 419000.000000 CNY 57385.150000 USD 2025-06-18 -584.480000 N N N N/A N/A 000000000 1.000000 NC 5429.520000 0.0063317 N/A DCR NL N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTL FIN NV CO GTD REGS Y Single Leg Swap 2028-06-20 0.000000 EUR -4783.710000 EUR 500000.000000 EUR 10213.230000 N N N FNMA PASS THRU POOLS N/A 31415XKP5 11331.900000 PA USD 11519.590000 0.0134338 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -591.620000 -0.0006899 N/A DFE CN N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 134022.000000 USD 966836.450000 CNY 2025-05-12 -591.620000 N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 3793.030000 PA USD 3922.770000 0.0045746 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.427 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 26891.210000 PA USD 26450.930000 0.0308463 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -777.800000 -0.000907 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 37461.000000 USD 54042216.000000 KRW 2025-04-07 -777.800000 N N N N/A N/A 000000000 -37.000000 NC USD 60815.820000 0.0709216 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short S&P 500 INDEX N/A N/A 2025-06-20 -10458512.500000 USD 60815.820000 N N N N/A N/A 000000000 1.000000 NC USD 400656.630000 0.467234 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 251092.010000 USD 0.000000 USD 2700000.000000 USD 149564.620000 N N N N/A N/A 000000000 1.000000 NC USD -1650.390000 -0.0019246 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -392.500000 USD 200000.000000 USD -1257.890000 N N N N/A N/A 000000000 1.000000 NC -1818.730000 -0.0021209 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 110726.000000 USD 3616311.000000 TWD 2025-04-25 -1818.730000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 575889.900000 PA USD 507858.240000 0.592249 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.73459 N N N N N N N/A N/A 000000000 1.000000 NC -1370.200000 -0.0015979 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 90739.000000 USD 2967528.000000 TWD 2025-04-25 -1370.200000 N N N N/A N/A 000000000 1.000000 NC 16353.670000 0.0190712 N/A DFE AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 2113433.000000 AUD 1337253.600000 USD 2025-05-02 16353.670000 N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 32867.900000 PA USD 32813.240000 0.0382658 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2PNWZ1 300000.000000 PA 84591.560000 0.0986481 Long DBT NUSS PE N 2 2039-08-12 Fixed 7.6 N N N N N N N/A N/A 000000000 1.000000 NC -592.960000 -0.0006915 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 894133.070000 CNY 123616.000000 USD 2025-08-20 -592.960000 N N N N/A N/A 000000000 1.000000 NC USD 51202.210000 0.0597105 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -41790.430000 USD 8510000.000000 USD 92992.640000 N N N FNMA PASS THRU POOLS N/A 31410GPD9 95498.650000 PA USD 97468.860000 0.113665 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 229717.900000 PA USD 239611.650000 0.279428 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409AF53 324.070000 PA USD 338.050000 0.0003942 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -1544.780000 -0.0018015 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1055044.900000 CNY 144059.000000 USD 2025-05-12 -1544.780000 N N N N/A N/A 000000000 1.000000 NC 222.930000 0.00026 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 339000.000000 PLN 87539.040000 USD 2025-06-06 222.930000 N N N N/A N/A 000000000 1.000000 NC 3411.370000 0.0039782 N/A DFE IL N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 531211.430000 ILS 146324.000000 USD 2025-04-16 3411.370000 N N N N/A N/A 000000000 1.000000 NC 1479.630000 0.0017255 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3785828.000000 TWD 115492.000000 USD 2025-04-25 1479.630000 N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 89820.130000 PA USD 74723.930000 0.0871408 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.90561 N N N N N N N/A N/A 000000000 1.000000 NC 906.890000 0.0010576 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1273796.730000 CNY 176700.000000 USD 2025-05-12 906.890000 N N N FNMA PASS THRU POOLS N/A 3138EKSM8 107611.590000 PA USD 109524.200000 0.127724 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 313121.380000 PA USD 281254.420000 0.32799 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.49459 N N N N N N N/A N/A 000000000 1.000000 NC 8.650000 0.0000101 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3999.000000 USD 599089.000000 JPY 2025-05-02 8.650000 N N N FNMA PASS THRU POOLS N/A 31416VKF0 59569.800000 PA USD 62146.080000 0.0724729 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 32.780000 0.0000382 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 63590.530000 USD 458000.000000 CNY 2025-08-20 32.780000 N N N FNMA PASS THRU POOLS N/A 31410FYY5 168.600000 PA USD 168.130000 0.0001961 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418XNQ7 7287.060000 PA USD 7200.850000 0.0083974 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A8BH8 2084.370000 PA USD 2056.260000 0.0023979 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -891.410000 -0.0010395 N/A DFE TW N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 62000.000000 USD 2029136.000000 TWD 2025-04-25 -891.410000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 596413.150000 PA USD 326672.840000 0.380956 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75459 N N N N N N FNMA PASS THRU POOLS N/A 3140LLW72 700000.000000 PA USD 710778.450000 0.828888 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.72 N N N N N N FNMA PASS THRU POOLS N/A 31371M7J0 138.700000 PA USD 141.560000 0.0001651 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1287.070000 0.0015009 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2952919.000000 TWD 90739.000000 USD 2025-07-16 1287.070000 N N N FNMA PASS THRU POOLS N/A 31403C5S6 1940.880000 PA USD 2024.750000 0.0023612 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2211.130000 0.0025786 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 585643794.000000 KRW 400000.000000 USD 2025-04-25 2211.130000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 200000.000000 PA USD 197380.650000 0.230179 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 -201.020000 -0.0002344 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 121390.000000 USD 878135.260000 CNY 2025-05-12 -201.020000 N N N N/A N/A 000000000 1.000000 NC 23.290000 0.0000272 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6073.000000 USD 522079.870000 INR 2025-04-28 23.290000 N N N FNMA PASS THRU POOLS N/A 31411S2B1 282.420000 PA USD 290.080000 0.0003383 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 28.470000 0.0000332 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 185652665.000000 IDR 11155.000000 USD 2025-05-08 28.470000 N N N N/A N/A 000000000 1.000000 NC -1938.570000 -0.0022607 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 540002.920000 PEN 145049.000000 USD 2025-04-03 -1938.570000 N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 5527.020000 PA USD 5659.200000 0.0065996 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N NELNET STUDENT LOAN TRUST 2021-CA N/A 64035GAA7 745311.180000 PA USD 742248.470000 0.865588 Long ABS-O CORP US N 2 2062-04-20 Floating 5.17385 N N N N N N N/A N/A 000000000 1.000000 NC -656.910000 -0.0007661 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 92657.000000 USD 3054901.000000 TWD 2025-04-25 -656.910000 N N N N/A N/A 000000000 1.000000 NC -93.250000 -0.0001087 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1015545.770000 TRY 24389.000000 USD 2025-06-13 -93.250000 N N N N/A N/A 000000000 1.000000 NC 1117.560000 0.0013033 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 521701.840000 PEN 142842.000000 USD 2025-06-20 1117.560000 N N N FNMA PASS THRU POOLS N/A 31412PWN7 45810.070000 PA USD 46596.230000 0.0543391 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2746.310000 -0.0032027 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 99369.560000 GBP 125614.250000 USD 2025-04-02 -2746.310000 N N N FNMA PASS THRU POOLS N/A 31371NU52 2057.690000 PA USD 2080.230000 0.0024259 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-N1 N/A 14688FAB2 48966.070000 PA USD 48986.670000 0.0571268 Long ABS-O CORP US N 2 2027-04-12 Fixed 6.36 N N N N N N N/A N/A 000000000 1.000000 NC -25452.100000 -0.0296815 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 789000.000000 EUR 827693.350000 USD 2025-04-02 -25452.100000 N N N N/A N/A 000000000 1.000000 NC -1926.320000 -0.0022464 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 400901.710000 USD 1549000.000000 PLN 2025-06-06 -1926.320000 N N N FNMA PASS THRU POOLS N/A 31403C6S5 9684.510000 PA USD 10088.920000 0.0117654 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419AK89 136.680000 PA USD 136.270000 0.0001589 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31297F2U6 13743.580000 PA USD 13916.640000 0.0162292 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -4049.380000 -0.0047223 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 -238.400000 EUR 100000.000000 EUR -3810.980000 N N N N/A N/A 000000000 1.000000 NC -1417.140000 -0.0016526 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 159868.000000 USD 615520.580000 PLN 2025-06-20 -1417.140000 N N N N/A N/A 000000000 1.000000 NC 40.020000 0.0000467 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 61345.000000 USD 5260082.050000 INR 2025-05-05 40.020000 N N N N/A N/A 000000000 1.000000 NC 385.630000 0.0004497 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18328260.000000 KRW 12866.000000 USD 2025-06-12 385.630000 N N N FNMA PASS THRU POOLS N/A 31413HWP9 4224.310000 PA USD 4406.650000 0.0051389 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -1080.900000 -0.0012605 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 142842.000000 USD 520801.930000 PEN 2025-04-03 -1080.900000 N N N N/A N/A 000000000 1.000000 NC 10648.540000 0.012418 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 280996.000000 USD 1664255.010000 BRL 2025-04-02 10648.540000 N N N FNMA PASS THRU POOLS N/A 31406TQU8 4730.590000 PA USD 4843.550000 0.0056484 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -12800000.000000 NC USD -26958.080000 -0.0314377 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 11137.160000 N N N N/A N/A 000000000 1.000000 NC 1216.950000 0.0014192 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3109074.000000 TWD 95655.000000 USD 2025-08-20 1216.950000 N N N FNMA PASS THRU POOLS N/A 31407W4J9 866.600000 PA USD 881.040000 0.0010274 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296QDB2 62240.650000 PA USD 63166.770000 0.0736632 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F030652 2200000.000000 PA USD 1906438.910000 2.22323 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7EX0 22070.120000 PA USD 22299.980000 0.0260056 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 467.250000 0.0005449 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 938855.960000 CNY 130598.000000 USD 2025-07-16 467.250000 N N N N/A N/A 000000000 1.000000 NC 2412.450000 0.0028133 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 110000.000000 USD 641476.000000 BRL 2025-04-02 2412.450000 N N N N/A N/A 000000000 1.000000 NC -1068.380000 -0.0012459 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 98431.000000 USD 3232966.000000 TWD 2025-04-25 -1068.380000 N N N N/A N/A 000000000 1.000000 NC -74.060000 -0.0000864 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10998.000000 USD 16080180.000000 KRW 2025-04-28 -74.060000 N N N FNMA PASS THRU POOLS N/A 31403NVY0 2688.370000 PA USD 2745.600000 0.0032018 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.435 N N N N N N FNMA PASS THRU POOLS N/A 31416YNX2 85530.610000 PA USD 83371.930000 0.0972258 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412SD28 2366.700000 PA USD 2396.040000 0.0027942 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406TGE5 18119.440000 PA USD 18850.280000 0.0219826 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 266912.900000 PA 288466.830000 0.336401 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.425 N N N N N N FNMA PASS THRU POOLS N/A 31410F3J2 15724.980000 PA USD 16023.250000 0.0186858 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1671.560000 0.0019493 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 2210.980000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 400000.000000 PA USD 416870.410000 0.486142 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N N/A N/A 000000000 1.000000 NC 219.290000 0.0002557 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 61361.000000 USD 5275468.040000 INR 2025-05-02 219.290000 N N N N/A N/A 000000000 1.000000 NC 1008.780000 0.0011764 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3628000.000000 CNY 504994.270000 USD 2025-08-20 1008.780000 N N N AREIT TRUST 2022-CRE7 N/A 00217VAA8 923690.630000 PA USD 925591.120000 1.0794 Long ABS-MBS CORP US N 2 2039-06-17 Floating 6.56118 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFT5 1300000.000000 PA 964753.710000 1.12507 Long DBT NUSS CA N 2 2034-09-01 Fixed 4.45 N N N N N N GNMA PASS THRU POOLS N/A 3620AVQ47 18198.200000 PA USD 18328.980000 0.0213747 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -8.630000 -0.0000101 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 601104.000000 JPY 3999.000000 USD 2025-04-02 -8.630000 N N N GNMA PASS THRU POOLS N/A 36210B4E2 32822.870000 PA USD 33165.790000 0.0386769 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7HT6 17471.210000 PA USD 17653.310000 0.0205868 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31415TFV7 760.600000 PA USD 793.530000 0.0009254 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 921803.520000 PA USD 217471.980000 0.253609 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.03459 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 5908.450000 PA USD 2236.210000 0.0026078 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.55459 N N N N N N FNMA PASS THRU POOLS N/A 31409T6S2 3258.710000 PA USD 3340.220000 0.0038953 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 900.240000 0.0010498 N/A DFE TW N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 2526924.000000 TWD 77000.000000 USD 2025-04-25 900.240000 N N N FNMA PASS THRU POOLS N/A 31416BN61 150.790000 PA USD 153.710000 0.0001793 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 80.690000 0.0000941 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 73384.400000 USD 531000.000000 CNY 2025-06-18 80.690000 N N N FNMA PASS THRU POOLS N/A 31416BS82 6549.540000 PA USD 6472.080000 0.0075475 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHXA5 13663.450000 PA USD 13751.870000 0.016037 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AE2F9 38567.810000 PA USD 37667.560000 0.0439268 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1803.360000 -0.002103 N/A DFE TW N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 105000.000000 USD 3426687.000000 TWD 2025-04-25 -1803.360000 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 54858.420000 PA USD 54823.210000 0.0639332 Long ABS-O CORP US N 2 2038-04-25 Floating 5.76845 N N N N N N N/A N/A 000000000 1.000000 NC -3343.440000 -0.003899 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3064513.170000 BRL 533682.760000 USD 2025-04-02 -3343.440000 N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 410297.780000 PA USD 341902.040000 0.398716 Long ABS-MBS CORP US N 2 2035-10-25 Variable 5.36165 N N N N N N N/A N/A 000000000 1.000000 NC 2434.400000 0.0028389 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 409883.550000 ILS 112706.000000 USD 2025-04-16 2434.400000 N N N N/A N/A 000000000 1.000000 NC 1278.340000 0.0014908 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3272756.000000 TWD 100419.000000 USD 2025-07-16 1278.340000 N N N N/A N/A 000000000 1.000000 NC 25653.930000 0.0299168 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3612905.380000 CAD 2540078.380000 USD 2025-05-02 25653.930000 N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-4 N/A 69121PAY9 710590.100000 PA USD 637356.120000 0.743265 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.25959 N N N N N N FNMA PASS THRU POOLS N/A 31407JDY5 420.250000 PA USD 438.350000 0.0005112 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 101.410000 0.0001183 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 282227805.000000 IDR 17015.000000 USD 2025-05-09 101.410000 N N N ACE SECURITIES CORP 2005-HE2 N/A 004421MG5 709663.270000 PA USD 693577.830000 0.808829 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.45459 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11 N/A 07387AFG5 1972.320000 PA USD 2036.870000 0.0023753 Long ABS-MBS CORP US N 2 2035-12-25 Floating 7.72845 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 774.340000 PA USD 788.870000 0.00092 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.606 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 1185860.910000 PA USD 1117358.940000 1.30303 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.39459 N N N N N N GNMA PASS THRU POOLS N/A 3620AAT81 9289.630000 PA USD 9355.680000 0.0109103 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -387.010000 -0.0004513 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 68286.000000 USD 263687.750000 PLN 2025-06-13 -387.010000 N N N N/A N/A 000000000 1.000000 NC 108.080000 0.000126 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 358529809.000000 IDR 21642.510000 USD 2025-04-09 108.080000 N N N FNMA PASS THRU POOLS N/A 3138A5W65 14244.300000 PA USD 13865.330000 0.0161693 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 369688.500000 PA USD 369608.090000 0.431026 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.16315 N N N N N N N/A N/A 000000000 1.000000 NC 7261.210000 0.0084678 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 171222.000000 USD 1018505.510000 BRL 2025-04-02 7261.210000 N N N N/A N/A 000000000 1.000000 NC -60.170000 -0.0000702 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 89000.000000 CHF 100538.900000 USD 2025-04-02 -60.170000 N N N N/A N/A 000000000 -100000.000000 NC -51.250000 -0.0000598 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 330.970000 N N N N/A N/A 000000000 1.000000 NC USD 1308.990000 0.0015265 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -317.500000 USD 100000.000000 USD 1626.490000 N N N FHLMC PASS THRU POOLS N/A 3128M7C95 9094.140000 PA USD 9267.380000 0.0108073 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 1100000.000000 PA USD 1050034.920000 1.22452 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N FNMA PASS THRU POOLS N/A 31403YNJ8 10459.930000 PA USD 10508.940000 0.0122552 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -153.180000 -0.0001786 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 993949.530000 CNY 137019.000000 USD 2025-05-12 -153.180000 N N N N/A N/A 000000000 1.000000 NC 2619.870000 0.0030552 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 307319541.000000 KRW 211951.820000 USD 2025-06-18 2619.870000 N N N N/A N/A 000000000 1.000000 NC -64.750000 -0.0000755 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1684050.000000 JPY 11163.000000 USD 2025-04-02 -64.750000 N N N FHLMC PASS THRU POOLS N/A 3128JREM4 815.520000 PA USD 832.180000 0.0009705 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.647 N N N N N N FNMA PASS THRU POOLS N/A 31418YC20 2366.550000 PA USD 2295.640000 0.0026771 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418U2M5 285.440000 PA USD 284.520000 0.0003318 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 71.010000 0.0000828 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 325481984.000000 IDR 19620.480000 USD 2025-04-09 71.010000 N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 849251.180000 PA USD 439676.020000 0.512737 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 -591.040000 -0.0006893 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 112414.000000 USD 1865735158.000000 IDR 2025-05-07 -591.040000 N N N FNMA PASS THRU POOLS N/A 31407FD64 5061.570000 PA USD 5180.450000 0.0060413 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -343.810000 -0.0004009 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 35225.000000 USD 135500.010000 PLN 2025-06-20 -343.810000 N N N N/A N/A 000000000 1.000000 NC -65.090000 -0.0000759 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10996.000000 USD 16090447.000000 KRW 2025-04-28 -65.090000 N N N N/A N/A 000000000 1.000000 NC -2181.860000 -0.0025444 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1469578.580000 USD 1298205.880000 CHF 2025-04-02 -2181.860000 N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 10917.790000 PA USD 10863.530000 0.0126687 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.80417 N N N N N N FNMA PASS THRU POOLS N/A 31403MUU1 8388.390000 PA USD 8496.850000 0.0099088 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 2376.650000 0.0027716 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 167962523.000000 KRW 116785.000000 USD 2025-06-18 2376.650000 N N N N/A N/A 000000000 1.000000 NC 2165.640000 0.0025255 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 802587.120000 PEN 219718.330000 USD 2025-09-29 2165.640000 N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 300000.000000 PA USD 302028.450000 0.352216 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 -163.470000 -0.0001906 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 50000.000000 USD 1640710.000000 TWD 2025-08-20 -163.470000 N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 55362.750000 PA USD 55410.570000 0.0646181 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.17315 N N N N N N N/A N/A 000000000 1.000000 NC USD -1371.980000 -0.0016 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -297.500000 USD 100000.000000 USD -1074.480000 N N N FNMA PASS THRU POOLS N/A 31371NLH6 3177.250000 PA USD 3228.450000 0.0037649 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 345.200000 0.0004026 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2736958.950000 TRY 71100.000000 USD 2025-04-17 345.200000 N N N N/A N/A 000000000 1.000000 NC 72.160000 0.0000842 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 24544.000000 USD 2108820.480000 INR 2025-05-02 72.160000 N N N FNMA PASS THRU POOLS N/A 31406XXM9 12347.850000 PA USD 12596.940000 0.0146902 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXK5 102154.800000 PA USD 103970.380000 0.121247 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402DF70 187.950000 PA USD 194.900000 0.0002273 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -0.040000 0 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 98195.000000 USD 8414325.920000 INR 2025-05-05 -0.040000 N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 1407.890000 PA USD 1329.170000 0.00155 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.35142 N N N N N N N/A N/A 000000000 1.000000 NC -1707.810000 -0.0019916 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 106914.000000 USD 3493415.000000 TWD 2025-04-25 -1707.810000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 168242.710000 PA USD 168326.980000 0.196298 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 -272.850000 -0.0003182 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 40183.000000 USD 154992.260000 PLN 2025-06-13 -272.850000 N N N N/A N/A 000000000 1.000000 NC 206.940000 0.0002413 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 33031.380000 USD 189672.800000 BRL 2025-04-02 206.940000 N N N N/A N/A 000000000 1.000000 NC USD 30904.540000 0.0360399 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2026-01-07 0.000000 USD 0.000000 USD 510830.420000 USD 30904.540000 N N N N/A N/A 000000000 1.000000 NC -191.920000 -0.0002238 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 115897.000000 USD 838398.900000 CNY 2025-05-12 -191.920000 N N N FNMA PASS THRU POOLS N/A 31410FVW2 449911.280000 PA USD 459744.460000 0.53614 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 4742.790000 0.0055309 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -358.750000 USD 100000.000000 USD 5101.540000 N N N N/A N/A 000000000 1.000000 NC USD -2089428.390000 -2.43663 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2025-04-16 0.000000 USD 0.000000 USD 50051605.990000 USD -2089428.390000 N N N N/A N/A 000000000 1.000000 NC -1330.400000 -0.0015515 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 150000.000000 USD 2479125000.000000 IDR 2025-04-25 -1330.400000 N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 300000.000000 PA USD 286601.310000 0.334226 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC 46.990000 0.0000548 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 165921.780000 PEN 45123.000000 USD 2025-06-18 46.990000 N N N N/A N/A 000000000 1.000000 NC -1343.600000 -0.0015669 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 95655.000000 USD 3131649.000000 TWD 2025-04-25 -1343.600000 N N N N/A N/A 000000000 1.000000 NC -773.900000 -0.0009025 N/A DFE AU N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 93876.560000 USD 149000.000000 AUD 2025-04-02 -773.900000 N N N UMBS PASS THRU POOLS N/A 01F060667 7160000.000000 PA USD 7258571.510000 8.46473 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 -187.580000 -0.0002188 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 417000.000000 CNY 57505.340000 USD 2025-06-18 -187.580000 N N N N/A N/A 000000000 1.000000 NC -345.440000 -0.0004028 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82859.290000 USD 73000.000000 CHF 2025-04-02 -345.440000 N N N GNMA PASS THRU POOLS N/A 36296DZF8 9862.840000 PA USD 9994.890000 0.0116557 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 812.770000 0.0009478 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 147005.000000 USD 843514.690000 BRL 2025-04-02 812.770000 N N N FNMA PASS THRU POOLS N/A 31414L2H0 15595.900000 PA USD 15904.920000 0.0185478 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -180761.870000 -0.210799 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 -166494.250000 GBP 6100000.000000 GBP -14267.620000 N N N N/A N/A 000000000 1.000000 NC USD -2514.580000 -0.0029324 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 4048.810000 USD 0.000000 USD 1400000.000000 USD -6563.390000 N N N N/A N/A 000000000 1.000000 NC -2127.990000 -0.0024816 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 102651.000000 USD 1673621904.000000 IDR 2025-04-09 -2127.990000 N N N UMBS PASS THRU POOLS N/A 01F050643 2630000.000000 PA USD 2577943.670000 3.00632 Long 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 USD 36892.570000 0.043023 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2039-06-20 28370.000000 USD 0.000000 USD 1700000.000000 USD 8522.570000 N N N GNMA PASS THRU POOLS N/A 21H050649 1530000.000000 PA USD 1505058.350000 1.75515 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31404U4Y3 817.690000 PA USD 846.710000 0.0009874 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNK5 362.220000 PA USD 358.890000 0.0004185 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 349.340000 0.0004074 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3574319.000000 TWD 107992.000000 USD 2025-04-25 349.340000 N N N N/A N/A 000000000 1.000000 NC 628.250000 0.0007326 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 726000.000000 CNY 101480.910000 USD 2025-08-20 628.250000 N N N N/A N/A 000000000 1.000000 NC 39.580000 0.0000462 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 111383294.000000 IDR 6715.000000 USD 2025-05-08 39.580000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 2200000.000000 PA 546385.930000 0.637179 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CML2 150958.500000 PA USD 155004.090000 0.180761 Long DBT UST US N 2 2035-01-15 Fixed 2.125 N N N N N N N/A N/A 000000000 12800000.000000 NC USD 50533.120000 0.0589302 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 -11059.260000 N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAC1 1261937.620000 PA USD 1018863.070000 1.18817 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.22948 N N N N N N N/A N/A 000000000 1.000000 NC 319.720000 0.0003728 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 351000.000000 PLN 90726.670000 USD 2025-06-06 319.720000 N N N FHLMC PASS THRU POOLS N/A 3128KKZG7 41424.740000 PA USD 41621.320000 0.0485375 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5BY5 19343.900000 PA USD 19545.360000 0.0227932 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -964.220000 -0.0011244 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -172.500000 USD 50000.000000 USD -791.720000 N N N FNMA PASS THRU POOLS N/A 31410G2H5 14472.730000 PA USD 14721.100000 0.0171673 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 447888.640000 0.522314 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 470083.070000 EUR 0.000000 EUR 2264152.560000 EUR -22194.430000 N N N N/A N/A OP0042MF4 -100000.000000 NC USD -81.360000 -0.0000949 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 56.140000 N N N FHLMC PASS THRU POOLS N/A 3128KKPP8 7220.770000 PA USD 7185.960000 0.00838 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31419AR66 2901.420000 PA USD 2863.790000 0.0033397 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K95C4 33874.600000 PA USD 34727.100000 0.0404977 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 147.200000 0.0001717 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 45492254.000000 KRW 31029.000000 USD 2025-04-14 147.200000 N N N N/A N/A 000000000 1.000000 NC 241.030000 0.0002811 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 47000.000000 SGD 35222.980000 USD 2025-04-02 241.030000 N N N N/A N/A 000000000 1.000000 NC 108.310000 0.0001263 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 376841506.000000 IDR 22692.000000 USD 2025-05-09 108.310000 N N N FHLMC PASS THRU POOLS N/A 3128P7NZ2 13426.000000 PA USD 13593.440000 0.0158523 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31414NEZ3 30743.370000 PA USD 31848.510000 0.0371408 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 5525.460000 PA USD 5267.710000 0.006143 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 USD 20647.440000 0.0240784 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -12101.750000 USD 2240000.000000 USD 32749.190000 N N N FHLMC PASS THRU POOLS N/A 3128M6QV3 17706.540000 PA USD 17891.050000 0.020864 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 3300000.000000 PA 172490.920000 0.201154 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31403CQ79 36133.370000 PA USD 36877.110000 0.043005 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 236203.540000 PA USD 208929.420000 0.243647 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.98851 N N N N N N GNMA PASS THRU POOLS N/A 36295LGE5 14796.400000 PA USD 14764.840000 0.0172183 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 568945.030000 PA USD 550779.600000 0.642303 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 478047.460000 PA USD 463118.130000 0.540074 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.81459 N N N N N N N/A N/A 000000000 1.000000 NC -229.370000 -0.0002675 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 891879.250000 TRY 21648.080000 USD 2025-05-29 -229.370000 N N N N/A N/A 000000000 1.000000 NC -15359.360000 -0.0179116 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 72.650000 CAD 0.000000 CAD 1200000.000000 CAD -15432.010000 N N N FHLMC PASS THRU POOLS N/A 3128MJCJ7 16676.790000 PA USD 16816.020000 0.0196103 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -384.690000 -0.0004486 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 27078.000000 USD 445081086.000000 IDR 2025-04-23 -384.690000 N N N AEGIS ASSET BACKED SECURITIES TR 2005-3 N/A 00764MFT9 1300000.000000 PA USD 1098892.600000 1.2815 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.16959 N N N N N N N/A N/A 000000000 1.000000 NC 56.310000 0.0000657 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 185117225.000000 IDR 11155.000000 USD 2025-04-30 56.310000 N N N FNMA PASS THRU POOLS N/A 31410LKA9 3458.580000 PA USD 3413.010000 0.0039801 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 65.690000 0.0000766 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12040.000000 USD 69080.510000 BRL 2025-04-02 65.690000 N N N FNMA PASS THRU POOLS N/A 3138A5WG3 20949.560000 PA USD 20546.680000 0.0239609 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200JJZ4 23159.020000 PA USD 23474.410000 0.0273751 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NLG8 4555.700000 PA USD 4560.260000 0.005318 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QPU7 1325.110000 PA USD 1382.150000 0.0016118 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 542.380000 0.0006325 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2770327.000000 TWD 84691.000000 USD 2025-08-20 542.380000 N N N N/A N/A 000000000 1.000000 NC 3781.010000 0.0044093 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4237940.000000 TWD 131409.000000 USD 2025-04-25 3781.010000 N N N FHLMC PASS THRU POOLS N/A 3128M6WG9 10529.330000 PA USD 10721.320000 0.0125029 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 428634.260000 PA USD 421533.930000 0.49158 Long ABS-MBS CORP US N 2 2042-05-25 Floating 4.54 N N N N N N N/A N/A 000000000 1.000000 NC -474.830000 -0.0005537 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 112019.000000 USD 1861083666.000000 IDR 2025-05-07 -474.830000 N N N N/A N/A 000000000 1.000000 NC -7.080000 -0.0000083 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 108392.920000 TRY 2606.000000 USD 2025-06-13 -7.080000 N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 22452.010000 PA USD 9779.220000 0.0114042 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 42.670000 0.0000498 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 173000.000000 PLN 44602.220000 USD 2025-06-06 42.670000 N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 10246.650000 PA USD 9463.920000 0.0110365 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.9671 N N N N N N N/A N/A 000000000 1.000000 NC -66.730000 -0.0000778 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 109637.710000 TRY 2743.000000 USD 2025-04-24 -66.730000 N N N FNMA PASS THRU POOLS N/A 31371MZM2 1579.810000 PA USD 1605.130000 0.0018719 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 4.640000 0.0000054 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 33996237.000000 IDR 2042.000000 USD 2025-05-09 4.640000 N N N N/A N/A 000000000 1.000000 NC -39.180000 -0.0000457 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 53777.590000 TRY 1339.000000 USD 2025-04-24 -39.180000 N N N N/A N/A 000000000 1.000000 NC USD 1037.180000 0.0012095 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -268.250000 USD 100000.000000 USD 1305.430000 N N N FNMA PASS THRU POOLS N/A 31404MZ92 345.530000 PA USD 352.360000 0.0004109 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 1684386.800000 PA 71922.970000 0.0838744 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N GNMA PASS THRU POOLS N/A 36296UNU0 107891.180000 PA USD 109496.560000 0.127692 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31411DAE9 2028.870000 PA USD 2088.370000 0.0024354 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -362.690000 -0.000423 N/A DFE PL N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 73744.000000 USD 284978.530000 PLN 2025-06-13 -362.690000 N N N N/A N/A 000000000 1.000000 NC 3671.650000 0.0042818 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16480788.000000 TWD 500000.000000 USD 2025-04-25 3671.650000 N N N N/A N/A 000000000 1.000000 NC -1217.250000 -0.0014195 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 66000.000000 USD 2151138.000000 TWD 2025-04-25 -1217.250000 N N N FHLMC PASS THRU POOLS N/A 3132XWE64 54788.910000 PA USD 51757.230000 0.0603577 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -576.100000 -0.0006718 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 999144.310000 CNY 137313.000000 USD 2025-05-12 -576.100000 N N N N/A N/A 000000000 1.000000 NC 755.300000 0.0008808 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 32701.000000 USD 2861991.520000 INR 2025-04-15 755.300000 N N N N/A N/A 000000000 1.000000 NC -16379.030000 -0.0191007 N/A DFE AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1336957.720000 USD 2113433.000000 AUD 2025-04-02 -16379.030000 N N N N/A N/A 000000000 1.000000 NC 1776.350000 0.0020715 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3402754.000000 TWD 104855.000000 USD 2025-07-16 1776.350000 N N N UMBS PASS THRU POOLS N/A 01F052656 1850000.000000 PA USD 1846095.480000 2.15286 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAV4 1296654.420000 PA USD 575669.310000 0.671328 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 62945.940000 PA USD 62560.160000 0.0729558 Long ABS-O CORP US N 2 2030-04-20 Fixed 3.8 N N N N N N N/A N/A 000000000 1.000000 NC -181.310000 -0.0002114 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 419000.000000 CNY 57788.320000 USD 2025-06-18 -181.310000 N N N FNMA PASS THRU POOLS N/A 3138A5VU3 1871.390000 PA USD 1818.700000 0.0021209 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31403QP53 2806.830000 PA USD 2862.870000 0.0033386 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 881.630000 0.0010281 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 45850.000000 USD 3995262.080000 INR 2025-04-07 881.630000 N N N N/A N/A 000000000 1.000000 NC -105.490000 -0.000123 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 67759.780000 USD 489000.000000 CNY 2025-06-18 -105.490000 N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 1179578.760000 PA USD 1180664.330000 1.37685 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 725.920000 0.0008465 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3708848.000000 TWD 112420.000000 USD 2025-04-25 725.920000 N N N N/A N/A 000000000 1.000000 NC -69.910000 -0.0000815 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10996.000000 USD 16083354.000000 KRW 2025-04-28 -69.910000 N N N FHLMC PASS THRU POOLS N/A 31292JH78 1389.030000 PA USD 1423.090000 0.0016596 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 179775.690000 0.209649 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 75826.990000 USD 0.000000 USD 3900000.000000 USD 103948.700000 N N N N/A N/A 000000000 1.000000 NC 37.830000 0.0000441 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 185496495.000000 IDR 11155.000000 USD 2025-05-08 37.830000 N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 698058.360000 PA USD 695005.960000 0.810495 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 5.59733 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEV3 100000.000000 PA USD 104012.790000 0.121297 Long DBT CORP US N 2 2028-10-18 Floating 6.296 N N N N N N FNMA PASS THRU POOLS N/A 31415TF54 12213.970000 PA USD 12416.110000 0.0144793 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -15.920000 -0.0000186 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7757.420000 USD 30055.940000 PLN 2025-06-06 -15.920000 N N N N/A N/A 000000000 1.000000 NC USD -1100.420000 -0.0012833 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -337.500000 USD 100000.000000 USD -762.920000 N N N N/A N/A 000000000 1.000000 NC -636.120000 -0.0007418 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 84691.000000 USD 2791077.000000 TWD 2025-04-25 -636.120000 N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 98967.140000 PA USD 94633.710000 0.110359 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.15958 N N N N N N N/A N/A 000000000 1.000000 NC 80.820000 0.0000942 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 833716.660000 CNY 115897.000000 USD 2025-08-20 80.820000 N N N N/A N/A 000000000 1.000000 NC 8.330000 0.0000097 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 29060850.000000 IDR 1750.000000 USD 2025-05-08 8.330000 N N N N/A N/A 000000000 1.000000 NC 2334.600000 0.0027225 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 -267.970000 EUR 100000.000000 EUR 2602.570000 N N N FNMA PASS THRU POOLS N/A 31371PCL2 1785.770000 PA USD 1789.780000 0.0020872 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 5759.070000 PA USD 5583.180000 0.0065109 Long ABS-MBS CORP US N 2 2030-12-15 Floating 4.87366 N N N N N N N/A N/A 000000000 -9.000000 NC USD -6583.670000 -0.0076777 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-06-30 -974425.780000 USD -6583.670000 N N N N/A N/A 000000000 1.000000 NC 6.120000 0.0000071 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 21812.850000 USD 157705.810000 CNY 2025-06-18 6.120000 N N N N/A N/A 000000000 1.000000 NC -2119.520000 -0.0024717 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 219718.330000 USD 799994.440000 PEN 2025-04-28 -2119.520000 N N N N/A N/A 000000000 1.000000 NC -1342.430000 -0.0015655 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 USD 145333330.000000 KRW 2025-04-14 -1342.430000 N N N N/A N/A 000000000 1.000000 NC -28.270000 -0.000033 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8347.000000 USD 11176.630000 SGD 2025-04-02 -28.270000 N N N N/A N/A 000000000 1.000000 NC USD 4560.380000 0.0053182 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 1100000.000000 USD 4560.380000 N N N N/A N/A 000000000 -100000.000000 NC -330.550000 -0.0003855 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 -151.890000 N N N N/A N/A 000000000 1.000000 NC USD -233629.260000 -0.272451 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 -256089.850000 USD 12140000.000000 USD 22460.590000 N N N N/A N/A 000000000 1.000000 NC 285.550000 0.000333 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1836339.230000 ZAR 100331.000000 USD 2025-04-16 285.550000 N N N FNMA PASS THRU POOLS N/A 31410GRN5 17857.970000 PA USD 18284.450000 0.0213228 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 4016.480000 0.0046839 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 221071444.000000 KRW 154552.000000 USD 2025-06-12 4016.480000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 477086.700000 PA USD 479268.800000 0.558909 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 USD 1238.560000 0.0014444 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-09 0.000000 USD 0.000000 USD 100000.000000 USD 1238.560000 N N N FNMA PASS THRU POOLS N/A 31408DFG4 9653.340000 PA USD 9883.780000 0.0115262 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 14247.020000 PA USD 14136.770000 0.0164859 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.80417 N N N N N N FNMA PASS THRU POOLS N/A 31416YE87 153414.910000 PA USD 156079.070000 0.182015 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 30.260000 0.0000353 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6155.000000 USD 924611.000000 JPY 2025-05-02 30.260000 N N N N/A N/A 000000000 1.000000 NC 96.830000 0.0001129 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 158788.340000 USD 123000.000000 GBP 2025-04-02 96.830000 N N N FNMA PASS THRU POOLS N/A 31411ECZ8 55.680000 PA USD 56.920000 0.0000664 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 477.690000 0.0005571 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 123616.000000 USD 899182.780000 CNY 2025-05-12 477.690000 N N N N/A N/A 000000000 1.000000 NC 2546.940000 0.0029702 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 115245.000000 USD 457320.740000 PLN 2025-06-06 2546.940000 N N N N/A N/A 000000000 1.000000 NC USD 29336.030000 0.0342108 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 15981.250000 USD 0.000000 USD 1050000.000000 USD 13354.780000 N N N N/A N/A 000000000 -1.000000 NC USD -74.420000 -0.0000868 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 174.300000 N N N N/A N/A 000000000 1.000000 NC 74.820000 0.0000873 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 21644.000000 USD 1859977.140000 INR 2025-04-28 74.820000 N N N N/A N/A 000000000 1.000000 NC -2971.520000 -0.0034653 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3406211.490000 BRL 593934.000000 USD 2025-04-02 -2971.520000 N N N N/A N/A 000000000 1.000000 NC 1636.520000 0.0019085 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 265000.000000 CHF 301173.090000 USD 2025-04-02 1636.520000 N N N N/A N/A 000000000 1.000000 NC -806.060000 -0.00094 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 161811.290000 USD 5346245.000000 TWD 2025-04-25 -806.060000 N N N N/A N/A 000000000 1.000000 NC 542.060000 0.0006321 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1801923.000000 TWD 54808.000000 USD 2025-04-25 542.060000 N N N N/A N/A 000000000 1.000000 NC -102.380000 -0.0001194 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 954502.000000 CNY 132197.000000 USD 2025-07-16 -102.380000 N N N N/A N/A 000000000 1.000000 NC 42.150000 0.0000492 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10822.000000 USD 930394.400000 INR 2025-04-28 42.150000 N N N FNMA PASS THRU POOLS N/A 31371KVF5 2538.230000 PA USD 2614.110000 0.0030485 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 8910.160000 PA USD 9100.880000 0.0106132 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 245773.880000 PA USD 245962.120000 0.286834 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.17417 N N N N N N N/A N/A 000000000 1.000000 NC -899.730000 -0.0010492 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 36280291.000000 JPY 240985.000000 USD 2025-04-02 -899.730000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 2039.660000 PA USD 1482.520000 0.0017289 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -5924.800000 -0.0069093 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -422.700000 EUR 100000.000000 EUR -5502.100000 N N N N/A N/A 000000000 -2.000000 NC USD -432.340000 -0.0005042 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 120.240000 N N N GNMA PASS THRU POOLS N/A 36295GBG6 11713.810000 PA USD 12065.240000 0.0140701 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -98.120000 -0.0001144 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 19647.590000 USD 325481984.000000 IDR 2025-04-09 -98.120000 N N N GNMA PASS THRU POOLS N/A 36296QRU5 1665.020000 PA USD 1687.330000 0.0019677 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1863.350000 0.002173 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4043810.000000 TWD 123645.000000 USD 2025-04-25 1863.350000 N N N FNMA PASS THRU POOLS N/A 31390WZK1 632.550000 PA USD 651.040000 0.0007592 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 1222813.730000 PA USD 397859.320000 0.463971 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.59459 N N N N N N N/A N/A 000000000 1.000000 NC 23.860000 0.0000278 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 92672026.000000 IDR 5580.000000 USD 2025-04-30 23.860000 N N N FNMA PASS THRU POOLS N/A 31412AWT7 12446.380000 PA USD 12763.290000 0.0148842 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410SS65 4881.760000 PA USD 4984.460000 0.0058127 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402X4D5 658.040000 PA USD 675.080000 0.0007873 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKL4 1334866.000000 PA USD 1374746.630000 1.60319 Long DBT UST US N 2 2029-04-15 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC -855.250000 -0.0009974 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1006840.670000 CNY 138096.000000 USD 2025-05-12 -855.250000 N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 3367.910000 PA USD 3249.760000 0.0037898 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.5275 N N N N N N FNMA PASS THRU POOLS N/A 31371MRS8 583.600000 PA USD 608.800000 0.00071 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1115.440000 0.0013008 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200668.000000 USD 1151467.100000 BRL 2025-04-02 1115.440000 N N N FNMA PASS THRU POOLS N/A 31418PCG8 2394.700000 PA USD 2366.360000 0.0027596 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36212NPC5 407.570000 PA USD 412.540000 0.0004811 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 41.090000 0.0000479 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 136335444.000000 IDR 8229.830000 USD 2025-04-09 41.090000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 2000000.000000 PA 90724.840000 0.105801 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K9RM8 9235.760000 PA USD 9518.350000 0.0111 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138AFVY3 124429.420000 PA USD 122456.120000 0.142805 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JCM50 600000.000000 PA USD 596485.090000 0.695603 Long ABS-MBS USGSE US N 2 2029-10-01 Variable 4.202 N N N N N N FNMA PASS THRU POOLS N/A 31408DKS2 552.650000 PA USD 565.620000 0.0006596 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36291TUF3 29588.900000 PA USD 29991.760000 0.0349755 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 48.690000 0.0000568 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -432.500000 USD 100000.000000 USD 481.190000 N N N N/A N/A 000000000 1.000000 NC -742.860000 -0.0008663 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 94244.360000 PEN 24884.970000 USD 2025-05-08 -742.860000 N N N N/A N/A 000000000 1.000000 NC 363.680000 0.0004241 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 724000.000000 CNY 100938.510000 USD 2025-08-20 363.680000 N N N FHLMC PASS THRU POOLS N/A 3128LAFY1 1962.590000 PA USD 2011.960000 0.0023463 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 322615.220000 PA USD 314366.300000 0.366605 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2JBZ32 4600000.000000 PA 222403.580000 0.25936 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 36297KH87 27581.400000 PA USD 27991.710000 0.0326431 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295GBH4 7149.480000 PA USD 7363.990000 0.0085877 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402RT58 2872.000000 PA USD 2940.570000 0.0034292 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -511.190000 -0.0005961 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 55577.000000 USD 1828483.000000 TWD 2025-04-25 -511.190000 N N N N/A N/A 000000000 1.000000 NC 138.400000 0.0001614 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 32633.000000 USD 2806986.230000 INR 2025-04-30 138.400000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 1538513.600000 PA USD 1553324.750000 1.81144 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 2.020000 0.0000024 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 45403574.000000 IDR 2723.000000 USD 2025-05-09 2.020000 N N N FNMA PASS THRU POOLS N/A 3138E0LC1 102848.380000 PA USD 101487.130000 0.118351 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2Q1SN0 100000.000000 PA 2641.760000 0.0030807 Long DBT NUSS TR N 2 2026-05-20 Floating 50 N N N N N N FNMA PASS THRU POOLS N/A 31417VAP8 27733.630000 PA USD 28328.490000 0.0330358 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 195929.620000 PA USD 196072.430000 0.228654 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.18315 N N N N N N FNMA PASS THRU POOLS N/A 3138ABDP1 4014.270000 PA USD 3961.380000 0.0046196 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 21.850000 PA USD 21.430000 0.000025 Long ABS-MBS CORP US N 2 2033-05-25 Floating 6.87029 N N N N N N N/A N/A 000000000 1.000000 NC 397.930000 0.0004641 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1858395210.000000 IDR 112019.000000 USD 2025-04-09 397.930000 N N N GNMA PASS THRU POOLS N/A 36296JJY2 6364.050000 PA USD 6410.760000 0.007476 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N LONG BEACH MORTGAGE LOAN TR 2002-5 N/A 542514DB7 544488.160000 PA USD 569140.410000 0.663714 Long ABS-MBS CORP US N 2 2032-11-25 Floating 5.67959 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797KS5 1100000.000000 PA USD 1097920.260000 1.28036 Long DBT UST US N 2 2025-04-17 None 0 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1000000.000000 PA USD 988777.400000 1.15308 Long ABS-MBS CORP US N 2 2032-04-15 Floating 5.35571 N N N N N N N/A N/A 000000000 1.000000 NC 5445.400000 0.0063503 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 339891683.000000 KRW 236964.000000 USD 2025-06-18 5445.400000 N N N N/A N/A 000000000 8.000000 NC USD 12242.160000 0.0142764 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-18 941625.000000 USD 12242.160000 N N N FNMA PASS THRU POOLS N/A 31417UC52 3024.340000 PA USD 2987.920000 0.0034844 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPK908 1078000.000000 PA USD 129360.000000 0.150856 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 31297SRD9 1399.250000 PA USD 1410.640000 0.001645 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -265.700000 -0.0003099 N/A DFE AU N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 79000.000000 AUD 49097.450000 USD 2025-04-02 -265.700000 N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 797.870000 PA USD 746.710000 0.0008708 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.69749 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638AV4 700000.000000 PA 188188.470000 0.21946 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N N/A N/A 000000000 1.000000 NC 1633.100000 0.0019045 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3475453.000000 TWD 106914.000000 USD 2025-07-16 1633.100000 N N N N/A N/A 000000000 1.000000 NC USD 4907.140000 0.0057226 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 0.000000 USD -480.000000 USD 100000.000000 USD 5387.140000 N N N FNMA PASS THRU POOLS N/A 31376KHQ2 656.600000 PA USD 670.920000 0.0007824 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 280227.220000 PA USD 203630.860000 0.237468 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.61929 N N N N N N N/A N/A 000000000 10.000000 NC USD 14010.460000 0.0163386 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-30 2072382.820000 USD 14010.460000 N N N N/A N/A 000000000 1.000000 NC -317.680000 -0.0003705 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 41706.080000 PEN 11023.440000 USD 2025-05-08 -317.680000 N N N GNMA PASS THRU POOLS N/A 36241LJY3 91443.790000 PA USD 93029.820000 0.108489 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -1435.390000 -0.0016739 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1031586.730000 CNY 140931.000000 USD 2025-05-12 -1435.390000 N N N N/A N/A 000000000 1.000000 NC -1412.140000 -0.0016468 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 92778.000000 USD 3033841.000000 TWD 2025-04-25 -1412.140000 N N N N/A N/A 000000000 1.000000 NC 222.890000 0.0002599 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1182214.090000 ZAR 64631.000000 USD 2025-04-16 222.890000 N N N FNMA PASS THRU POOLS N/A 31418MGG1 265.700000 PA USD 272.040000 0.0003172 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -243.020000 -0.0002834 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 739409.820000 USD -243.020000 N N N FHLMC PASS THRU POOLS N/A 3128L5HY0 28615.150000 PA USD 28913.320000 0.0337178 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 1000000.000000 PA USD 981807.760000 1.14495 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N N/A N/A 000000000 1.000000 NC -158.940000 -0.0001854 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20896.580000 PEN 5511.720000 USD 2025-08-08 -158.940000 N N N FNMA PASS THRU POOLS N/A 31412LQE3 2049.470000 PA USD 2059.800000 0.0024021 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 5.5 N N N N N N N/A N/A OP0042MG2 -100000.000000 NC USD -126.850000 -0.0001479 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 63.150000 N N N N/A N/A 000000000 -2.000000 NC USD -753.400000 -0.0008786 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 -107.960000 N N N N/A N/A 000000000 1.000000 NC 28.500000 0.0000332 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 72321.000000 USD 280892.960000 PLN 2025-06-06 28.500000 N N N N/A N/A 000000000 1.000000 NC -1391.690000 -0.0016229 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 76488.000000 USD 1252146804.000000 IDR 2025-04-23 -1391.690000 N N N N/A N/A 000000000 1.000000 NC -113.260000 -0.0001321 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8302.000000 USD 136335444.000000 IDR 2025-04-09 -113.260000 N N N N/A N/A 000000000 1.000000 NC 31.180000 0.0000364 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 113047660.000000 IDR 6806.000000 USD 2025-05-09 31.180000 N N N FNMA PASS THRU POOLS N/A 3138EKW35 946343.260000 PA USD 987117.130000 1.15115 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2839.900000 0.0033118 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 463399.580000 ILS 127509.000000 USD 2025-04-16 2839.900000 N N N N/A N/A 000000000 1.000000 NC 477.680000 0.0005571 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1061468.000000 TWD 32632.430000 USD 2025-07-16 477.680000 N N N N/A N/A 000000000 1.000000 NC -19.620000 -0.0000229 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 312000.000000 CNY 43146.310000 USD 2025-06-18 -19.620000 N N N FNMA PASS THRU POOLS N/A 31368HML4 10191.160000 PA USD 10434.540000 0.0121684 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 27.980000 0.0000326 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13967.070000 SGD 10441.100000 USD 2025-05-02 27.980000 N N N N/A N/A 000000000 36.000000 NC USD 105418.330000 0.122936 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-18 4118906.230000 USD 105418.330000 N N N N/A N/A 000000000 1.000000 NC 837.050000 0.0009761 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3293790.000000 TWD 100000.000000 USD 2025-04-21 837.050000 N N N N/A N/A 000000000 1.000000 NC 232.630000 0.0002713 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 75190460.000000 KRW 51271.000000 USD 2025-04-07 232.630000 N N N N/A N/A 000000000 1.000000 NC 3384.310000 0.0039467 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 214848795.000000 KRW 149628.000000 USD 2025-06-05 3384.310000 N N N FNMA PASS THRU POOLS N/A 3138AKTT6 6480.860000 PA USD 6444.080000 0.0075149 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 2235.330000 0.0026068 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 893080.800000 USD 828000.000000 EUR 2025-04-02 2235.330000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 9944.150000 PA USD 9110.500000 0.0106244 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.03529 N N N N N N N/A N/A 000000000 1.000000 NC 374.870000 0.0004372 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1320499.000000 TWD 40485.000000 USD 2025-08-20 374.870000 N N N N/A N/A 000000000 1.000000 NC 19473.450000 0.0227093 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 19108.130000 EUR 0.000000 EUR 98441.420000 EUR 365.320000 N N N N/A N/A 000000000 1.000000 NC -1137.680000 -0.0013267 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 188991.000000 USD 28176120.000000 JPY 2025-04-02 -1137.680000 N N N UMBS PASS THRU POOLS N/A 01F042657 4140000.000000 PA USD 3958319.620000 4.61607 Long ABS-MBS USGSE US N 2 2055-05-13 Fixed 4.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 61688.110000 PA USD 52268.390000 0.0609538 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.99459 N N N N N N N/A N/A 000000000 1.000000 NC 1674.990000 0.0019533 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4203540.000000 TWD 128267.000000 USD 2025-04-25 1674.990000 N N N N/A N/A 000000000 1.000000 NC -109.410000 -0.0001276 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 117658.600000 USD 91000.000000 GBP 2025-04-02 -109.410000 N N N GNMA PASS THRU POOLS N/A 36296P6L0 14133.060000 PA USD 14343.290000 0.0167267 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 424.660000 0.0004952 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 337663.000000 USD 50539439.000000 JPY 2025-05-02 424.660000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 2076928.000000 PA USD 1939675.560000 2.26199 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -498.460000 -0.0005813 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 113020.030000 USD 810000.000000 CNY 2025-08-20 -498.460000 N N N N/A N/A 000000000 1.000000 NC -867.780000 -0.001012 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 135029.040000 USD 521164.830000 PLN 2025-06-20 -867.780000 N N N FNMA PASS THRU POOLS N/A 31414LB98 101074.560000 PA USD 102809.020000 0.119893 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414CJM1 34116.180000 PA USD 35222.800000 0.0410758 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -678.460000 -0.0007912 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 93706.000000 USD 3089018.000000 TWD 2025-04-25 -678.460000 N N N N/A N/A 000000000 1.000000 NC -109.770000 -0.000128 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 952008.640000 CNY 132139.000000 USD 2025-08-20 -109.770000 N N N N/A N/A 000000000 1.000000 NC 660.770000 0.0007706 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 30430.000000 USD 120708.200000 PLN 2025-06-06 660.770000 N N N N/A N/A 000000000 1.000000 NC 104.940000 0.0001224 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 608120.910000 CNY 84030.000000 USD 2025-05-12 104.940000 N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 117.810000 PA USD 114.650000 0.0001337 Long ABS-MBS CORP US N 2 2030-06-15 Floating 4.91366 N N N N N N FNMA PASS THRU POOLS N/A 31414FFS5 238.680000 PA USD 244.110000 0.0002847 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0GYHC9 9100000.000000 PA 410430.600000 0.478632 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 -1474.270000 -0.0017192 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1003058.420000 CNY 136955.000000 USD 2025-05-12 -1474.270000 N N N FNMA PASS THRU POOLS N/A 31371MKF3 1911.480000 PA USD 1909.490000 0.0022268 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5.5 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 5141.380000 PA USD 5052.910000 0.0058926 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.99459 N N N N N N N/A N/A 000000000 1.000000 NC -33.250000 -0.0000388 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 26000.000000 EUR 28080.540000 USD 2025-04-02 -33.250000 N N N N/A N/A 000000000 1.000000 NC -5547.340000 -0.0064691 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 -388.300000 EUR 90000.000000 EUR -5159.040000 N N N N/A N/A 000000000 1.000000 NC 144.050000 0.000168 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 23462.000000 USD 3528778.000000 JPY 2025-05-02 144.050000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NB9 2700000.000000 PA USD 2697134.630000 3.14532 Long DBT UST US N 2 2025-04-10 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31412NBF2 948.830000 PA USD 987.240000 0.0011513 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 0.010000 0 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 132197.000000 USD 957899.460000 CNY 2025-05-12 0.010000 N N N FNMA PASS THRU POOLS N/A 31402RTS8 3765.240000 PA USD 3780.580000 0.0044088 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.096 N N N N N N N/A N/A 000000000 1.000000 NC -2080.870000 -0.0024266 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 200718.290000 USD 3646000.000000 ZAR 2025-04-16 -2080.870000 N N N FNMA PASS THRU POOLS N/A 31410GHP1 156391.490000 PA USD 159490.160000 0.185993 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.5 N N N N N N ARGENT SECURITIES INC 2005-W3 N/A 040104PC9 409868.320000 PA USD 399557.840000 0.465952 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.09459 N N N N N N N/A N/A 000000000 1.000000 NC 2894.730000 0.0033757 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 208856234.000000 KRW 145158.000000 USD 2025-06-18 2894.730000 N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 238520.160000 PA USD 191082.580000 0.222835 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.3124 N N N N N N N/A N/A 000000000 1.000000 NC 496.070000 0.0005785 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1538000.000000 ZAR 84287.720000 USD 2025-04-16 496.070000 N N N FNMA PASS THRU POOLS N/A 31400BNW2 382.030000 PA USD 381.640000 0.0004451 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DS1 100000.000000 PA USD 107206.080000 0.125021 Long DBT CORP US N 2 2034-05-01 Fixed 6.528 N N N N N N N/A N/A 000000000 1.000000 NC -414.180000 -0.000483 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 294990.250000 BRL 51280.000000 USD 2025-04-02 -414.180000 N N N N/A N/A 000000000 1.000000 NC -427.730000 -0.0004988 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 50710229.000000 JPY 337663.000000 USD 2025-04-02 -427.730000 N N N N/A N/A 000000000 1.000000 NC 38946.830000 0.0454186 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 39541.230000 EUR 0.000000 EUR 196882.830000 EUR -594.400000 N N N FHLMC PASS THRU POOLS N/A 3128M4QW6 33871.350000 PA USD 34175.080000 0.0398539 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 582.200000 PA USD 552.620000 0.0006444 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.05738 N N N N N N N/A N/A 000000000 1.000000 NC 897.290000 0.0010464 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 240985.000000 USD 36158064.000000 JPY 2025-05-02 897.290000 N N N N/A N/A 000000000 1.000000 NC -1407.490000 -0.0016414 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 100419.000000 USD 3287718.000000 TWD 2025-04-25 -1407.490000 N N N N/A N/A 000000000 1.000000 NC 570.890000 0.0006658 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3031644.000000 TWD 92657.000000 USD 2025-08-20 570.890000 N N N N/A N/A 000000000 1.000000 NC USD 4502.100000 0.0052502 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -440.000000 USD 100000.000000 USD 4942.100000 N N N N/A N/A 000000000 1.000000 NC 40.800000 0.0000476 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 129567313.000000 IDR 7809.000000 USD 2025-04-30 40.800000 N N N FNMA PASS THRU POOLS N/A 31407ADE8 687.680000 PA USD 702.120000 0.0008188 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAA7 36599.500000 PA USD 36678.410000 0.0427733 Long ABS-O CORP US N 2 2030-12-16 Fixed 7.6 N N N N N N GNMA PASS THRU POOLS N/A 36295KGC1 298.870000 PA USD 300.370000 0.0003503 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418RB75 16167.760000 PA USD 15964.740000 0.0186176 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -100000.000000 NC -77.020000 -0.0000898 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 101.640000 N N N WASHINGTON MUTUAL 2005-AR11 N/A 92922F2G2 777089.500000 PA USD 780302.140000 0.909965 Long ABS-MBS CORP US N 2 2045-08-25 Floating 5.07459 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 400000.000000 PA USD 356318.200000 0.415527 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N N/A N/A 000000000 1.000000 NC USD -1744.450000 -0.0020343 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -285.000000 USD 100000.000000 USD -1459.450000 N N N FHLMC PASS THRU POOLS N/A 3128KGF86 3404.070000 PA USD 3420.240000 0.0039886 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31412LM72 15654.250000 PA USD 15942.040000 0.0185911 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.5 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 1430.920000 PA USD 1445.470000 0.0016857 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.41484 N N N N N N N/A N/A 000000000 1.000000 NC USD 8206.990000 0.0095707 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-25 0.000000 USD 0.000000 USD 1600000.000000 USD 8206.990000 N N N FHLMC PASS THRU POOLS N/A 31297VLN6 2014.120000 PA USD 2030.460000 0.0023679 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -747.750000 -0.000872 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -431.250000 USD 100000.000000 USD -316.500000 N N N FNMA PASS THRU POOLS N/A 31413NGG4 5147.830000 PA USD 5245.470000 0.0061171 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -118.250000 -0.0001379 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 312000.000000 CNY 43047.680000 USD 2025-06-18 -118.250000 N N N N/A N/A 000000000 1.000000 NC 157.120000 0.0001832 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 916455.260000 CNY 127183.000000 USD 2025-07-16 157.120000 N N N N/A N/A 000000000 1.000000 NC -354.640000 -0.0004136 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30094.130000 USD 987512.000000 TWD 2025-04-25 -354.640000 N N N FNMA PASS THRU POOLS N/A 31414FS51 12984.330000 PA USD 12830.760000 0.0149628 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 1813.190000 PA USD 1867.060000 0.0021773 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.574 N N N N N N N/A N/A 000000000 1.000000 NC USD 1989.880000 0.0023205 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -276.250000 USD 100000.000000 USD 2266.130000 N N N N/A N/A 000000000 1.000000 NC 9.240000 0.0000108 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 31093.000000 TWD 953.690000 USD 2025-08-20 9.240000 N N N FNMA PASS THRU POOLS N/A 31400RKV2 73480.000000 PA USD 74007.560000 0.0863054 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -100000.000000 NC -82.300000 -0.000096 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 295.240000 N N N N/A N/A 000000000 1.000000 NC -1632.180000 -0.0019034 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 185732.220000 PEN 48851.190000 USD 2025-05-27 -1632.180000 N N N N/A N/A 000000000 1.000000 NC -1659.750000 -0.0019356 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1022879.450000 CNY 139858.000000 USD 2025-06-18 -1659.750000 N N N N/A N/A 000000000 1.000000 NC 1869.120000 0.0021797 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3820608.000000 TWD 117920.000000 USD 2025-08-20 1869.120000 N N N N/A N/A 000000000 1.000000 NC -444.950000 -0.0005189 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 877237.830000 CNY 121417.000000 USD 2025-08-20 -444.950000 N N N UMBS PASS THRU POOLS N/A 01F040651 5930000.000000 PA USD 5517409.580000 6.43424 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 0.600000 0.0000007 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3761110.000000 IDR 226.000000 USD 2025-05-09 0.600000 N N N FHLMC PASS THRU POOLS N/A 3128M6JE9 8954.940000 PA USD 9048.250000 0.0105518 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -80.860000 -0.0000943 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 16336.000000 USD 21839.600000 SGD 2025-04-02 -80.860000 N N N N/A N/A 000000000 1.000000 NC -2700.420000 -0.0031491 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 326327.120000 PEN 86024.970000 USD 2025-05-14 -2700.420000 N N N N/A N/A 000000000 1.000000 NC -2805.030000 -0.0032711 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 801990.670000 PEN 214866.890000 USD 2025-07-31 -2805.030000 N N N FNMA PASS THRU POOLS N/A 31419CSC8 2981.800000 PA USD 2946.520000 0.0034361 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -812.240000 -0.0009472 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 860111.550000 BRL 147005.000000 USD 2025-07-02 -812.240000 N N N N/A N/A 000000000 1.000000 NC 725.620000 0.0008462 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 744000.000000 ILS 200885.080000 USD 2025-04-16 725.620000 N N N N/A N/A 000000000 1.000000 NC -331.470000 -0.0003866 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 41756.790000 PEN 11023.440000 USD 2025-05-08 -331.470000 N N N N/A N/A 000000000 1.000000 NC -561.650000 -0.000655 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 144783.000000 USD 2406293460.000000 IDR 2025-05-07 -561.650000 N N N FHLMC PASS THRU POOLS N/A 3128K8Q25 1203.550000 PA USD 1214.590000 0.0014164 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NP8 989000.000000 PA USD 981517.940000 1.14462 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 -4804.750000 -0.0056032 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 601582.490000 PEN 158884.000000 USD 2025-04-16 -4804.750000 N N N N/A N/A 000000000 -100000.000000 NC USD -630.900000 -0.0007357 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 -235.900000 N N N N/A N/A 000000000 1.000000 NC -3424.170000 -0.0039932 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR -3045.790000 N N N N/A N/A 000000000 1.000000 NC -137.010000 -0.0001598 N/A DFE PL N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 80415.000000 USD 311674.870000 PLN 2025-06-06 -137.010000 N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 115610.210000 PA USD 113254.920000 0.132075 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 -850.640000 -0.000992 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 153208.900000 USD 3150000.000000 MXN 2025-06-18 -850.640000 N N N N/A N/A 000000000 1.000000 NC -169.000000 -0.0001971 N/A DFE IN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 602669.880000 INR 6881.600000 USD 2025-04-04 -169.000000 N N N N/A N/A 000000000 1.000000 NC -28.900000 -0.0000337 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10441.100000 USD 13989.310000 SGD 2025-04-02 -28.900000 N N N N/A N/A 000000000 1.000000 NC 294.520000 0.0003435 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 169210.140000 PEN 46263.880000 USD 2025-06-18 294.520000 N N N FNMA PASS THRU POOLS N/A 31416VGE8 30593.060000 PA USD 31324.050000 0.0365292 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.5 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF9 N/A 320276AF5 500000.000000 PA USD 452856.400000 0.528107 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.93459 N N N N N N FNMA PASS THRU POOLS N/A 3138A1CC3 81820.580000 PA USD 80016.030000 0.0933123 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 800000.000000 PA 229985.030000 0.268202 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSP0 10688.370000 PA USD 10925.950000 0.0127415 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414PU64 68704.510000 PA USD 71482.820000 0.0833611 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4W90 9937.570000 PA USD 10022.590000 0.011688 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138A37H4 162390.070000 PA USD 160418.020000 0.187075 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 201114.160000 0.234533 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 54441.940000 USD 0.000000 USD 1000000.000000 USD 146672.220000 N N N N/A N/A 000000000 1.000000 NC 525.700000 0.0006131 N/A DFE CN N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 963137.440000 CNY 134022.000000 USD 2025-07-16 525.700000 N N N GNMA PASS THRU POOLS N/A 36296QZD4 12408.470000 PA USD 12574.730000 0.0146643 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N N/A N/A OP0042696 -300000.000000 NC USD -308.030000 -0.0003592 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 84.970000 N N N N/A N/A 000000000 1.000000 NC -27.800000 -0.0000324 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 119853.720000 TRY 2868.000000 USD 2025-06-11 -27.800000 N N N FNMA PASS THRU POOLS N/A 31411W4N4 266.680000 PA USD 278.170000 0.0003244 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -2526.470000 -0.0029463 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 802805.720000 PEN 215837.000000 USD 2025-04-28 -2526.470000 N N N N/A N/A 000000000 1.000000 NC -252.760000 -0.0002948 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 42492.400000 USD 163993.090000 PLN 2025-06-06 -252.760000 N N N N/A N/A 000000000 1.000000 NC 939.600000 0.0010957 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1961125.000000 TWD 60000.000000 USD 2025-04-25 939.600000 N N N N/A N/A 000000000 1.000000 NC 20.900000 0.0000244 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 110960878.000000 IDR 6671.000000 USD 2025-05-08 20.900000 N N N GNMA PASS THRU POOLS N/A 36296Q6V6 23204.680000 PA USD 23630.250000 0.0275569 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 26.380000 0.0000308 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11160.400000 SGD 8347.000000 USD 2025-05-02 26.380000 N N N GNMA PASS THRU POOLS N/A 36296XUD4 28762.570000 PA USD 29190.580000 0.0340412 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 896.950000 0.001046 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1748250.000000 TWD 54000.000000 USD 2025-08-20 896.950000 N N N N/A N/A 000000000 1.000000 NC -243.610000 -0.0002841 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 908315.070000 CNY 125654.000000 USD 2025-07-16 -243.610000 N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 88267.620000 PA USD 77971.600000 0.0909281 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.26884 N N N N N N FNMA PASS THRU POOLS N/A 31414HJX6 16467.380000 PA USD 16985.000000 0.0198074 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 5762.290000 PA USD 5873.700000 0.0068497 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2311.660000 -0.0026958 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 121829.000000 USD 1992817868.000000 IDR 2025-04-23 -2311.660000 N N N N/A N/A 000000000 1.000000 NC USD 17822.420000 0.020784 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-30 0.000000 USD 0.000000 USD 3300000.000000 USD 17822.420000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 1149929.380000 PA USD 1007933.570000 1.17542 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.15238 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 100000.000000 PA USD 100071.200000 0.1167 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31407T7L8 1434.080000 PA USD 1467.720000 0.0017116 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -353.870000 -0.0004127 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 52021.000000 USD 76054694.000000 KRW 2025-04-28 -353.870000 N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 556804.720000 PA USD 294306.600000 0.343212 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.73459 N N N N N N N/A N/A 000000000 1.000000 NC -3980.990000 -0.0046425 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 995145.000000 USD 3643225.850000 PEN 2025-04-21 -3980.990000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 30352.000000 PA USD 30139.610000 0.0351479 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.83417 N N N N N N N/A N/A 000000000 1.000000 NC -35540.480000 -0.0414462 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3640838.380000 PEN 954974.000000 USD 2025-04-21 -35540.480000 N N N N/A N/A 000000000 1.000000 NC -5368.330000 -0.0062604 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 333307.250000 USD 12875659.070000 TRY 2025-04-29 -5368.330000 N N N N/A N/A 000000000 1.000000 NC -159.150000 -0.0001856 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 46966.120000 USD 68717162.000000 KRW 2025-06-18 -159.150000 N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 75574EAA5 174836.150000 PA USD 175400.020000 0.204546 Long ABS-MBS CORP US N 2 2037-06-25 Floating 6.78711 N N N N N N N/A N/A 000000000 1.000000 NC USD 31820.870000 0.0371085 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 34401.940000 USD 0.000000 USD 2800000.000000 USD -2581.070000 N N N FNMA PASS THRU POOLS N/A 31418PS22 11874.710000 PA USD 11730.500000 0.0136798 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 762.830000 PA USD 771.530000 0.0008997 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 7.43 N N N N N N FNMA PASS THRU POOLS N/A 3138AHGU4 4420.650000 PA USD 4364.680000 0.00509 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 1048275.280000 PA USD 953920.440000 1.11243 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.80459 N N N N N N N/A N/A 000000000 1.000000 NC 1248.440000 0.0014559 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2973770.000000 TWD 91332.000000 USD 2025-07-16 1248.440000 N N N FHLMC PASS THRU POOLS N/A 3128M6JM1 13539.590000 PA USD 13680.680000 0.015954 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 621.300000 0.0007245 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -390.000000 USD 100000.000000 USD 1011.300000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 900000.000000 PA 45147.750000 0.0526499 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N N/A N/A 000000000 1.000000 NC 229.060000 0.0002671 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 63216.500000 USD 2407600.400000 TRY 2025-04-03 229.060000 N N N N/A N/A 000000000 1.000000 NC 77.030000 0.0000898 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 21808.070000 SGD 16336.000000 USD 2025-05-02 77.030000 N N N GNMA PASS THRU POOLS N/A 36296DP28 46846.110000 PA USD 46495.360000 0.0542215 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31368HMQ3 16743.220000 PA USD 17143.140000 0.0199918 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -128.120000 -0.0001494 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 387000.000000 CNY 53632.180000 USD 2025-08-20 -128.120000 N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 4658.120000 PA USD 3891.710000 0.0045384 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.99459 N N N N N N N/A N/A 000000000 1.000000 NC 453.160000 0.0005285 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1443071610.000000 IDR 87000.000000 USD 2025-04-23 453.160000 N N N FNMA PASS THRU POOLS N/A 31403LUQ2 19490.440000 PA USD 19847.550000 0.0231456 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1345.610000 0.0015692 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -306.000000 USD 90000.000000 USD 1651.610000 N N N N/A N/A 000000000 1.000000 NC -1845.440000 -0.0021521 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 104855.000000 USD 3420475.000000 TWD 2025-04-25 -1845.440000 N N N FNMA PASS THRU POOLS N/A 3138EHPD8 27612.320000 PA USD 27233.870000 0.0317593 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1182.430000 -0.0013789 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1072113.960000 CNY 146777.000000 USD 2025-05-12 -1182.430000 N N N FNMA PASS THRU POOLS N/A 31416VGN8 3638.850000 PA USD 3715.410000 0.0043328 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 263.400000 0.0003072 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 713000.000000 CNY 98908.610000 USD 2025-06-18 263.400000 N N N FHLMC PASS THRU POOLS N/A 3128CULV6 2476.190000 PA USD 2518.540000 0.002937 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NC7 1200000.000000 PA USD 1196757.380000 1.39562 Long DBT UST US N 2 2025-04-24 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 56.310000 0.0000657 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 185117225.000000 IDR 11155.000000 USD 2025-04-30 56.310000 N N N FNMA PASS THRU POOLS N/A 31412DLU0 44297.420000 PA USD 45229.310000 0.0527451 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -254.300000 -0.0002966 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 590.700000 N N N FNMA PASS THRU POOLS N/A 3138EKRF4 26258.880000 PA USD 27322.740000 0.031863 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -57.170000 -0.0000667 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11447.550000 USD 189640146.000000 IDR 2025-04-09 -57.170000 N N N FHLMC PASS THRU POOLS N/A 3128M6SU3 13041.570000 PA USD 13292.670000 0.0155015 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411CDR9 115393.410000 PA USD 118056.690000 0.137674 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NAA3 1323.000000 PA USD 1344.250000 0.0015676 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -85.260000 -0.0000994 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 19620.480000 USD 325939730.000000 IDR 2025-05-07 -85.260000 N N N N/A N/A 000000000 1.000000 NC 1771.800000 0.0020662 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3596713.000000 TWD 110726.000000 USD 2025-07-16 1771.800000 N N N N/A N/A 000000000 1.000000 NC -8608.120000 -0.0100385 N/A DFE CH N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1018254.420000 CHF 1142352.000000 USD 2025-04-02 -8608.120000 N N N N/A N/A 000000000 1.000000 NC -829.570000 -0.0009674 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 93248.000000 USD 3068792.000000 TWD 2025-04-25 -829.570000 N N N N/A N/A 000000000 -200000.000000 NC USD -214.840000 -0.0002505 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 630.160000 N N N N/A N/A 000000000 11.000000 NC USD 40287.650000 0.0469822 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-18 1351453.130000 USD 40287.650000 N N N N/A N/A 000000000 1.000000 NC -380.150000 -0.0004433 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 100000.000000 CAD -380.150000 N N N FNMA PASS THRU POOLS N/A 31401XVM6 1261.030000 PA USD 1280.650000 0.0014935 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 216.080000 0.000252 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 130471.000000 USD 946958.520000 CNY 2025-05-12 216.080000 N N N FNMA PASS THRU POOLS N/A 31407YHH5 690.120000 PA USD 704.180000 0.0008212 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.338 N N N N N N N/A N/A 000000000 1.000000 NC -1350.100000 -0.0015744 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 150000.000000 USD 2478796500.000000 IDR 2025-04-25 -1350.100000 N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 663972.950000 PA USD 431526.640000 0.503233 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 6100000.000000 PA 1668205.620000 1.94541 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 450.810000 0.0005257 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 992916000.000000 IDR 60000.000000 USD 2025-04-23 450.810000 N N N FNMA PASS THRU POOLS N/A 31410KXL3 5202.000000 PA USD 5426.250000 0.0063279 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415YMN6 1287.680000 PA USD 1271.380000 0.0014826 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4WK5 24330.540000 PA USD 24583.900000 0.028669 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -2232.020000 -0.0026029 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 828000.000000 EUR 894533.110000 USD 2025-05-02 -2232.020000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 81788.720000 PA USD 82041.920000 0.0956748 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KV7 2678.640000 PA USD 2704.310000 0.0031537 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31412BFS6 116607.280000 PA USD 119106.950000 0.138899 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296UE30 5893.900000 PA USD 5938.060000 0.0069248 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 843.440000 PA USD 855.990000 0.0009982 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296GTL5 1642.870000 PA USD 1651.760000 0.0019262 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -62889.370000 -0.0733397 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 0.000000 USD -72359.700000 USD 3200000.000000 USD 9470.330000 N N N N/A N/A 000000000 1.000000 NC -4304.620000 -0.0050199 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1939146.020000 CZK 79730.000000 USD 2025-04-17 -4304.620000 N N N N/A N/A 000000000 1.000000 NC 552.080000 0.0006438 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2404121715.000000 IDR 144783.000000 USD 2025-04-16 552.080000 N N N GNMA PASS THRU POOLS N/A 36295QN55 4285.310000 PA USD 4348.040000 0.0050706 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7H9 59083.490000 PA USD 58434.460000 0.0681445 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 829.260000 0.0009671 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -455.000000 USD 100000.000000 USD 1284.260000 N N N THEOREM FUNDING TRUST 2022-2A N/A 88339FAA1 83565.540000 PA USD 83713.570000 0.0976242 Long ABS-O CORP US N 2 2028-12-15 Fixed 6.06 N N N N N N GNMA PASS THRU POOLS N/A 3620A6DC8 28555.460000 PA USD 28974.580000 0.0337893 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -5604.430000 -0.0065357 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-06 0.000000 EUR -470.890000 EUR 100000.000000 EUR -5133.540000 N N N GNMA PASS THRU POOLS N/A 36291CE76 2953.170000 PA USD 2972.540000 0.0034665 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 86.990000 0.0001014 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 457602375.000000 IDR 27512.000000 USD 2025-05-08 86.990000 N N N N/A N/A 000000000 1.000000 NC USD 2648.520000 0.0030886 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -272.500000 USD 100000.000000 USD 2921.020000 N N N FNMA PASS THRU POOLS N/A 31410KHH0 2195.430000 PA USD 2238.930000 0.002611 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1022.860000 0.0011928 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54150.000000 USD 4716935.020000 INR 2025-04-07 1022.860000 N N N N/A N/A 000000000 1.000000 NC 42831.440000 0.0499487 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1777064.000000 USD 10518619.520000 BRL 2025-06-03 42831.440000 N N N N/A N/A 000000000 1.000000 NC 236.240000 0.0002755 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54555.000000 USD 4693063.650000 INR 2025-04-30 236.240000 N N N N/A N/A 000000000 1.000000 NC 1114.620000 0.0012998 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2420189.000000 TWD 74000.000000 USD 2025-04-25 1114.620000 N N N N/A N/A 000000000 1.000000 NC 1553.110000 0.0018112 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 417000.000000 CAD 291341.620000 USD 2025-04-02 1553.110000 N N N N/A N/A 000000000 1.000000 NC USD 871.060000 0.0010158 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -273.000000 USD 100000.000000 USD 1144.060000 N N N FNMA PASS THRU POOLS N/A 31407NQC0 922.000000 PA USD 905.430000 0.0010559 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1432.380000 0.0016704 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 99924.000000 USD 578385.090000 BRL 2025-04-02 1432.380000 N N N N/A N/A 000000000 1.000000 NC 92.520000 0.0001079 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 2200000.000000 CZK 92.520000 N N N N/A N/A 000000000 1.000000 NC 1474.560000 0.0017196 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3693685.000000 TWD 112712.000000 USD 2025-04-25 1474.560000 N N N N/A N/A 000000000 1.000000 NC 64.780000 0.0000755 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 11163.000000 USD 1678398.000000 JPY 2025-05-02 64.780000 N N N N/A N/A 000000000 1.000000 NC USD 6468.690000 0.0075436 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 3873.280000 USD 0.000000 USD 1110000.000000 USD 2595.410000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2NBJY7 8421934.000000 PA 383607.580000 0.447352 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 1306.760000 0.0015239 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 56399.000000 USD 4936391.510000 INR 2025-04-15 1306.760000 N N N FNMA PASS THRU POOLS N/A 31418MG63 214.190000 PA USD 223.260000 0.0002604 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N VEROS AUTO RECEIVABLES TRUST 2023-1 N/A 924933AA2 195220.170000 PA USD 195841.890000 0.228385 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 2064.770000 0.0024079 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2220852.000000 TWD 68947.000000 USD 2025-04-25 2064.770000 N N N N/A N/A 000000000 1.000000 NC 969.960000 0.0011311 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 186622.000000 USD 1070484.130000 BRL 2025-04-02 969.960000 N N N FNMA PASS THRU POOLS N/A 31410GNL3 37800.620000 PA USD 38703.440000 0.0451348 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 16467.490000 0.0192039 N/A DFE AU N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1890433.000000 AUD 1197704.620000 USD 2025-04-02 16467.490000 N N N N/A N/A 000000000 1.000000 NC -122.800000 -0.0001432 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 793231.000000 TRY 19000.000000 USD 2025-06-13 -122.800000 N N N N/A N/A 000000000 1.000000 NC -43146.300000 -0.0503159 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10386939.080000 BRL 1777064.000000 USD 2025-04-02 -43146.300000 N N N N/A N/A 000000000 1.000000 NC 1918.590000 0.0022374 N/A DFE JP N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 14700000.000000 JPY 99925.120000 USD 2025-04-02 1918.590000 N N N N/A N/A 000000000 1.000000 NC 2117.750000 0.0024697 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 401000.000000 AUD 252682.610000 USD 2025-04-02 2117.750000 N N N FNMA PASS THRU POOLS N/A 31409XPU7 7070.020000 PA USD 7233.200000 0.0084351 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 0.050000 0.0000001 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 101932.810000 USD 8729423.920000 INR 2025-04-28 0.050000 N N N N/A N/A 000000000 1.000000 NC 496.870000 0.0005794 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1813339.000000 TWD 55577.000000 USD 2025-08-20 496.870000 N N N FNMA PASS THRU POOLS N/A 31371MQC4 952.800000 PA USD 975.560000 0.0011377 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 890.480000 0.0010385 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3211213.000000 TWD 98431.000000 USD 2025-08-20 890.480000 N N N N/A N/A 000000000 1.000000 NC -2003.390000 -0.0023363 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 872905.380000 TRY 20038.000000 USD 2025-05-06 -2003.390000 N N N FHLMC PASS THRU POOLS N/A 3128L7L96 70162.460000 PA USD 70893.330000 0.0826737 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -3136.140000 -0.0036573 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 424335.000000 USD 13986082.000000 TWD 2025-04-25 -3136.140000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-5 N/A 80286PAB7 22487.360000 PA USD 22496.180000 0.0262344 Long ABS-O CORP US N 2 2027-07-15 Fixed 6.31 N N N N N N N/A N/A 000000000 1.000000 NC -1658.390000 -0.001934 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 111154.000000 USD 3635847.000000 TWD 2025-04-25 -1658.390000 N N N FNMA PASS THRU POOLS N/A 3138LT4L9 3921.690000 PA USD 3831.990000 0.0044688 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 43919.330000 0.0512174 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 -20334.040000 AUD 3300000.000000 AUD 64253.370000 N N N N/A N/A 000000000 -100000.000000 NC -15.450000 -0.000018 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 362.090000 N N N N/A N/A 000000000 1.000000 NC 500.610000 0.0005838 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1863262050.000000 IDR 112414.000000 USD 2025-04-09 500.610000 N N N N/A N/A 000000000 1.000000 NC 276.300000 0.0003222 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4000000.000000 JPY 26944.740000 USD 2025-04-02 276.300000 N N N N/A N/A 000000000 1.000000 NC USD 58.460000 0.0000682 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -445.000000 USD 100000.000000 USD 503.460000 N N N FNMA PASS THRU POOLS N/A 31412MTG3 130350.600000 PA USD 132748.400000 0.154807 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -95.370000 -0.0001112 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 225056.260000 USD 1626000.000000 CNY 2025-06-18 -95.370000 N N N N/A N/A 000000000 1.000000 NC -25673.910000 -0.0299401 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2540078.380000 USD 3618178.830000 CAD 2025-04-02 -25673.910000 N N N FHLMC PASS THRU POOLS N/A 3128LBC55 17762.160000 PA USD 17947.340000 0.0209296 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7B2 13189.590000 PA USD 13174.740000 0.015364 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31415VK61 1462.230000 PA USD 1505.950000 0.0017562 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 16145.340000 0.0188282 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -32689.240000 USD 5200000.000000 USD 48834.580000 N N N N/A N/A 000000000 1.000000 NC 405.210000 0.0004725 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1063010.000000 TWD 32606.670000 USD 2025-07-16 405.210000 N N N N/A N/A 000000000 1.000000 NC 16.390000 0.0000191 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8713216.600000 INR 101932.810000 USD 2025-04-07 16.390000 N N N FNMA PASS THRU POOLS N/A 31412BFT4 4009.460000 PA USD 4092.180000 0.0047722 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 161314.370000 PA USD 137492.080000 0.160339 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.09063 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 2603.740000 PA USD 2499.390000 0.0029147 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.32771 N N N N N N N/A N/A 000000000 1.000000 NC -2727.720000 -0.003181 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR -2396.370000 N N N N/A N/A 000000000 1.000000 NC -218.130000 -0.0002544 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1753345.320000 TRY 45986.370000 USD 2025-04-02 -218.130000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB N/A 78449DAC0 610703.520000 PA USD 608375.700000 0.709469 Long ABS-O CORP US N 2 2054-09-15 Floating 5.28459 N N N N N N FNMA PASS THRU POOLS N/A 31413FYX4 344.480000 PA USD 353.700000 0.0004125 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -16161.890000 -0.0188475 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 338607.910000 USD 13375351.050000 TRY 2025-06-13 -16161.890000 N N N N/A N/A 000000000 1.000000 NC USD 87596.380000 0.102152 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -83273.700000 USD 11600000.000000 USD 170870.080000 N N N 2025-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer