NPORT-P false 0000810893 XXXXXXXX S000009704 C000026632 C000026634 C000064152 C000200449 C000026636 C000026630 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Fund S000009704 C0FSZ71JI1IAVNM4U731 2026-03-31 2025-06-30 N 4120980437.480000 1474075217.670000 2646905219.810000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6800000.000000 0.000000 0.000000 80952562.530000 GBP EUR BRL MXN USD ILS CZK N S&P 500 Index SPTR N/A N/A 000000000 1.000000 NC -5624.260000 -0.0002125 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 672397.770000 ILS 194001.000000 USD 2025-07-02 -5624.260000 N N N N/A N/A 000000000 1.000000 NC -4788.170000 -0.0001809 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4307000.000000 CNY 599166.020000 USD 2025-08-20 -4788.170000 N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 521392.910000 PA USD 344806.360000 0.0130268 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75368 N N N N N N N/A N/A 000000000 1.000000 NC -103773.670000 -0.0039206 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 27918084.000000 TWD 857435.000000 USD 2025-07-16 -103773.670000 N N N FNMA PASS THRU POOLS N/A 3140H5LR0 25798.590000 PA USD 23556.490000 0.00089 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87613EUV5 9800000.000000 PA USD 9760557.940000 0.368754 Long DBT CORP US N 2 2025-07-29 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7DU4 1425.290000 PA USD 1424.180000 0.0000538 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 5 N N N N N N TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST N/A 89239TAB8 2855411.300000 PA USD 2855876.450000 0.107895 Long ABS-O CORP US N 2 2027-08-16 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC -9825.350000 -0.0003712 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6490114.810000 CNY 897826.000000 USD 2025-07-16 -9825.350000 N N N N/A N/A 000000000 1.000000 NC -5017.970000 -0.0001896 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 6708372.360000 CNY 933157.000000 USD 2025-07-16 -5017.970000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAC7 1321302.590000 PA USD 1322170.550000 0.0499516 Long ABS-O CORP US N 2 2027-08-16 Floating 4.96385 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 10800000.000000 PA USD 10887540.480000 0.411331 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N FANNIE MAE 2009-47 N/A 31396QFA2 21496.020000 PA USD 21641.220000 0.0008176 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 5.31965 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418GAH0 8600000.000000 PA USD 8803138.020000 0.332582 Long DBT CORP CA N 2 2027-06-04 Fixed 5.4 N N N N N N FREDDIE MAC 3597 N/A 31398L5U8 12655.330000 PA USD 12691.380000 0.0004795 Long ABS-MBS USGSE US N 2 2039-11-15 Floating 5.26833 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRJ7 208.650000 PA USD 209.060000 0.0000079 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 5.21602 N N N N N N N/A N/A 000000000 1.000000 NC 16.180000 0.0000006 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6637.000000 USD 8438.310000 SGD 2025-08-05 16.180000 N N N FNMA PASS THRU POOLS N/A 31418CS47 802774.730000 PA USD 736322.730000 0.0278183 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 14435.440000 0.0005454 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 627439.000000 USD 18643095.000000 TWD 2025-07-16 14435.440000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 800000.000000 PA USD 731310.500000 0.0276289 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 19061574.490000 PA USD 185602550.770000 7.01206 Long STIV RF US N 1 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DP1 1100000.000000 PA USD 1112884.470000 0.0420447 Long DBT CORP US N 2 2028-02-16 Floating 5.098 N N N N N N FNMA PASS THRU POOLS N/A 31384VZC9 158.070000 PA USD 162.230000 0.0000061 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 8 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAB8 1764975.730000 PA USD 1768817.910000 0.0668259 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC -116825.220000 -0.0044137 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 31581691.000000 TWD 970520.000000 USD 2025-07-16 -116825.220000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 7600000.000000 PA USD 7623944.180000 0.288032 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJVX2 2473850.910000 PA USD 2478816.920000 0.0936496 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.25517 N N N N N N N/A N/A 000000000 1.000000 NC 72.350000 0.0000027 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4066567.000000 JPY 28311.420000 USD 2025-07-02 72.350000 N N N GNMA PASS THRU POOLS N/A 36225CB62 5678.000000 PA USD 5676.520000 0.0002145 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -114443.990000 -0.0043237 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 31403785.000000 TWD 966776.000000 USD 2025-07-16 -114443.990000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEV4 1900000.000000 PA USD 1948886.560000 0.0736289 Long DBT CORP US N 2 2031-01-24 Floating 5.14 N N N N N N N/A N/A 000000000 1.000000 NC -1187.170000 -0.0000449 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 290160.000000 TWD 8899.960000 USD 2025-08-20 -1187.170000 N N N N/A N/A 000000000 1.000000 NC -10659.490000 -0.0004027 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3640891.650000 BRL 649231.750000 USD 2025-09-03 -10659.490000 N N N N/A N/A 000000000 1.000000 NC 2020.680000 0.0000763 N/A DCR FR N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BNP PARIBAS BNP PARIBAS SR UNSEC Y Single Leg Swap 2025-12-20 2618.900000 EUR 0.000000 EUR 400000.000000 EUR -598.220000 N N N N/A N/A 000000000 1.000000 NC -60470.220000 -0.0022846 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4668000.000000 AUD 3011774.930000 USD 2025-07-02 -60470.220000 N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 354066.590000 PA USD 354462.560000 0.0133916 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 5.63399 N N N N N N N/A N/A 000000000 1.000000 NC -72959.340000 -0.0027564 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5500000.000000 BRL 916284.880000 USD 2025-10-02 -72959.340000 N N N N/A N/A 000000000 1.000000 NC -25794.900000 -0.0009745 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 795200.000000 ILS 210442.740000 USD 2025-09-02 -25794.900000 N N N GOLDEN CREDIT CARD TRUST 2022-4A N/A 380881FP2 3260000.000000 PA USD 3258909.530000 0.123121 Long ABS-MBS CORP CA N 2 2027-09-15 Fixed 4.31 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-7 N/A 69545AAA2 1032910.960000 PA USD 1041628.730000 0.0393527 Long ABS-O CORP US N 2 2031-12-15 Fixed 6.117 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADL6 1600000.000000 PA USD 1589354.960000 0.0600458 Long DBT CORP US N 2 2029-10-01 Fixed 4.2 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1377212.700000 PA USD 1323359.280000 0.0499965 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -307.890000 -0.0000116 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 18551140.000000 JPY 128515.000000 USD 2025-07-02 -307.890000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 5500000.000000 PA USD 5502643.300000 0.20789 Long DBT CORP US N 2 2025-08-04 Floating 5.47714 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DY2 2000000.000000 PA USD 2047456.520000 0.0773528 Long DBT CORP US N 2 2031-01-30 Floating 5.085 N N N N N N FANNIE MAE 2007-14 N/A 31396PZU8 5372.480000 PA USD 5290.370000 0.0001999 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.76965 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1268564.700000 PA USD 1262369.540000 0.0476923 Long ABS-MBS CORP US N 2 2051-07-25 Variable 4.7436 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 1679605.800000 PA USD 1627436.910000 0.0614845 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.73368 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MH7 3304000.000000 PA USD 3278653.860000 0.123867 Long DBT UST US N 2 2025-09-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -47753.450000 -0.0018041 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4000000.000000 BRL 671696.890000 USD 2025-10-02 -47753.450000 N N N FREDDIE MAC 3360 N/A 31397KE31 326767.670000 PA USD 326915.760000 0.0123509 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.13833 N N N N N N N/A N/A 000000000 1.000000 NC 20479.230000 0.0007737 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1289373.600000 USD 9341000.000000 CNY 2025-08-20 20479.230000 N N N CSMC 2018-RPL9 TRUST N/A 12654PAA6 2161957.870000 PA USD 2128835.380000 0.0804273 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85 N N N N N N FNMA PASS THRU POOLS N/A 31362L4P2 929.150000 PA USD 922.010000 0.0000348 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 4.529 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7 N/A 320277AF3 12141200.000000 PA USD 10512510.230000 0.397162 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.91368 N N N N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 1631584.630000 PA USD 1626232.050000 0.061439 Long ABS-MBS CORP US N 2 2060-12-27 Variable 4.11756 N N N N N N N/A N/A 000000000 1.000000 NC -358.630000 -0.0000135 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 292512.550000 ZAR 16138.000000 USD 2025-07-23 -358.630000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 4300000.000000 PA USD 4249364.710000 0.160541 Long DBT CORP US N 2 2027-06-17 Floating 3.196 N N N N N N N/A N/A 000000000 1.000000 NC 832494.780000 0.0314516 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 54103198.790000 USD 46636668.210000 EUR 2025-07-02 832494.780000 N N N N/A N/A 000000000 1.000000 NC 5152.460000 0.0001947 N/A DFE ID N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 1012849.000000 USD 16509438700.000000 IDR 2025-07-16 5152.460000 N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JX7 697595.460000 PA USD 360039.130000 0.0136023 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N MOUNTAIN VIEW CLO XVI LTD 2022-1A N/A 62432UAN1 2900000.000000 PA USD 2904350.000000 0.109726 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 5.7161 N N N N N N N/A N/A 000000000 1.000000 NC -1650.840000 -0.0000624 N/A DCR DE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 DEUTSCHE BANK AKTIENGESELLSCHAFT DEUTSCHE BANK AG SR UNSEC FRN Y Single Leg Swap 2031-12-20 0.000000 EUR -9884.860000 EUR 500000.000000 EUR 8234.020000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAC8 1500000.000000 PA USD 1516119.300000 0.0572789 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.33 N N N N N N N/A N/A 000000000 1.000000 NC 4519.050000 0.0001707 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 182646.610000 USD 3540650.200000 MXN 2025-09-17 4519.050000 N N N N/A N/A 000000000 1.000000 NC 183227.360000 0.0069223 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8330000.000000 USD 247768969.000000 TWD 2025-07-09 183227.360000 N N N M&T BANK AUTO RECEIVABLES TRUST 2025-1A N/A 55287XAD7 9900000.000000 PA USD 10021628.430000 0.378617 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.73 N N N N N N N/A N/A 000000000 1.000000 NC 5042.420000 0.0001905 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 291801.000000 USD 376490.400000 SGD 2025-08-05 5042.420000 N N N NAVIENT EDUCATION LOAN TRUST 2025-A N/A 63943EAA5 3800000.000000 PA USD 3830466.310000 0.144715 Long ABS-O CORP US N 2 2055-07-15 Fixed 5.02 N N N N N N BAIN CAPITAL CREDIT CLO 2022-3 LTD N/A 05684NAL5 6800000.000000 PA USD 6805100.000000 0.257097 Long ABS-CBDO CORP JE N 2 2035-07-15 Floating 5.45561 N N N N N N N/A N/A 000000000 1.000000 NC -86.670000 -0.0000033 N/A DFE IL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10231.410000 ILS 2950.890000 USD 2025-07-02 -86.670000 N N N FHLMC PASS THRU POOLS N/A 3128M6PB8 1247.040000 PA USD 1302.250000 0.0000492 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -541.210000 -0.0000204 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 75854703.000000 KRW 55559.000000 USD 2025-07-08 -541.210000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 3169618.270000 PA USD 2804065.240000 0.105938 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.19869 N N N N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 2001347.560000 PA USD 2018705.650000 0.0762666 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.79368 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNNH4 247549.590000 PA 287123.950000 0.0108475 Long ABS-CBDO CORP IE N 2 2031-01-15 Fixed 1.05 N N N N N N N/A N/A 000000000 1.000000 NC 3330.850000 0.0001258 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 644687.000000 USD 55662275.580000 INR 2025-08-20 3330.850000 N N N N/A N/A 000000000 1.000000 NC 200.990000 0.0000076 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 26283794.000000 JPY 182721.000000 USD 2025-07-02 200.990000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02 N/A 38376RPV2 1490970.610000 PA USD 1498362.390000 0.0566081 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 5.44602 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEQ5 2600000.000000 PA USD 2609386.100000 0.0985825 Long DBT CORP US N 2 2030-10-22 Floating 4.603 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2MFC91 123500000.000000 PA 20476032.460000 0.773584 Long DBT NUSS BR N 2 2026-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3472.760000 0.0001312 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 100546.190000 USD 2180000.000000 CZK 2025-08-22 3472.760000 N N N CARMAX AUTO OWNER TRUST 2024-3 N/A 14319GAD3 8800000.000000 PA USD 8895851.360000 0.336085 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.89 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00913WUF0 1570000.000000 PA USD 1566886.380000 0.0591969 Long DBT CORP US N 2 2025-07-15 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 363787.260000 PA USD 365654.290000 0.0138144 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 5.44602 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 4145057.140000 PA USD 4148318.470000 0.156723 Long ABS-MBS CORP US N 2 2055-05-25 Floating 5.55517 N N N N N N N/A N/A 000000000 1.000000 NC -1172.330000 -0.0000443 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 33110829.000000 JPY 228756.000000 USD 2025-07-02 -1172.330000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAE1 7000000.000000 PA USD 6594386.400000 0.249136 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.96648 N N N N N N BNPAM-2018-1A N/A ACI1W1J88 1148187.590000 PA 1349340.060000 0.050978 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 2.879 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 406542.790000 PA USD 390497.600000 0.014753 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.92868 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-B N/A 78449YAA8 1762324.560000 PA USD 1653180.630000 0.0624571 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 549681.170000 PA USD 503325.480000 0.0190156 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 6631.440000 0.0002505 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 556269.000000 USD 48351012.730000 INR 2025-08-20 6631.440000 N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBG4 11700000.000000 PA USD 11808314.860000 0.446118 Long DBT CORP NL N 2 2027-01-22 Fixed 4.718 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A N/A 30166UAB6 681362.060000 PA USD 681789.750000 0.025758 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.6 N N N N N N N/A N/A 000000000 -1353.000000 NC USD -935206.290000 -0.0353321 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-09-30 -281482135.700000 USD -935206.290000 N N N N/A N/A 000000000 1.000000 NC -2989.740000 -0.000113 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5481078.430000 CNY 765601.000000 USD 2025-08-20 -2989.740000 N N N N/A N/A 000000000 1.000000 NC USD -18174.000000 -0.0006866 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 13100000.000000 USD -18174.000000 N N N N/A N/A 000000000 1.000000 NC 4017.990000 0.0001518 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 173088.740000 USD 5144024.000000 TWD 2025-07-16 4017.990000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VBD1 300000.000000 PA USD 306808.140000 0.0115912 Long DBT CORP US N 2 2030-04-01 Fixed 5.2 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 1300000.000000 PA USD 1307344.480000 0.0493914 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N GSAA HOME EQUITY TRUST 2005-15 N/A 362341D71 703976.020000 PA USD 216033.420000 0.0081617 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.93368 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 604550.250000 PA USD 618075.730000 0.0233509 Long ABS-O CORP US N 2 2041-02-20 Floating 6.50185 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1 N/A 69392FAA5 3339878.010000 PA USD 3236314.070000 0.122268 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31362M2L1 614.370000 PA USD 608.500000 0.000023 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.473 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAT2 300000.000000 PA USD 304386.830000 0.0114997 Long DBT CORP FR N 2 2027-01-18 Fixed 5.203 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 238219.710000 PA USD 237799.540000 0.0089841 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.58108 N N N N N N BAIN CAPITAL CREDIT CLO 2020-2 LTD N/A 05683EAW2 5500000.000000 PA USD 5513352.410000 0.208294 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 5.50947 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8A1 100000.000000 PA USD 100837.430000 0.0038096 Long DBT CORP US N 2 2028-01-14 Floating 4.952 N N N N N N N/A N/A 000000000 1.000000 NC 19557.780000 0.0007389 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1420144.500000 USD 10267000.000000 CNY 2025-08-20 19557.780000 N N N N/A N/A 000000000 1.000000 NC -358.630000 -0.0000135 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 292512.550000 ZAR 16138.000000 USD 2025-07-23 -358.630000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 96823.510000 PA USD 97067.210000 0.0036672 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 5.24602 N N N N N N FREDDIE MAC 3404 N/A 31397PST8 144941.100000 PA USD 145644.790000 0.0055025 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 5.27333 N N N N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 2421504.240000 PA USD 2424776.180000 0.091608 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N PAGAYA AI DEBT TRUST 2024-1 N/A 69548AAA9 3763461.950000 PA USD 3788282.730000 0.143121 Long ABS-O CORP US N 2 2031-07-15 Fixed 6.66 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 4500000.000000 PA USD 4542154.200000 0.171602 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 250000.000000 PA USD 244864.480000 0.009251 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAA6 1782515.500000 PA USD 1802206.770000 0.0680873 Long ABS-O CORP US N 2 2056-10-16 Fixed 5.09 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAB1 26233.210000 PA USD 11319.850000 0.0004277 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.59368 N N N N N N N/A N/A 000000000 1.000000 NC 13.140000 0.0000005 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3459.000000 USD 4403.760000 SGD 2025-08-05 13.140000 N N N REACH ABS TRUST 2025-1A N/A 75525PAA0 358637.220000 PA USD 358724.870000 0.0135526 Long ABS-O CORP US N 2 2032-08-16 Fixed 4.96 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DV8 500000.000000 PA USD 506932.660000 0.0191519 Long DBT CORP US N 2 2028-07-26 Floating 5.043 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAM0 800000.000000 PA USD 776602.310000 0.02934 Long DBT CORP NL N 2 2026-07-12 Variable 1.625 N N N N N N N/A N/A 000000000 1.000000 NC 213102.350000 0.008051 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 24082797.000000 USD 17700000.000000 GBP 2025-07-02 213102.350000 N N N SIXTH STREET LENDING PARTNERS 549300S9P1HMDERGCR64 829932AE2 800000.000000 PA USD 815031.980000 0.0307919 Long DBT CORP US N 2 2030-07-15 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC -37261.620000 -0.0014077 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9921347.000000 TWD 304326.460000 USD 2025-07-16 -37261.620000 N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 73577.210000 PA USD 72128.100000 0.002725 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.93206 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 254321.820000 PA USD 258133.950000 0.0097523 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.34868 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-B N/A 78449LAC2 2144995.660000 PA USD 2141262.080000 0.0808968 Long ABS-O CORP US N 2 2037-01-15 Floating 5.14624 N N N N N N N/A N/A 000000000 1.000000 NC USD 1094070.870000 0.041334 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-10-01 0.000000 USD 0.000000 USD 23292691.700000 USD 1094070.870000 N N N GPMT LLC 2021-FL3 N/A 36264BAA8 557968.780000 PA USD 547074.520000 0.0206685 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 5.92908 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 197766.160000 PA USD 195451.840000 0.0073842 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A3E0 6100000.000000 PA USD 6188072.350000 0.233785 Long DBT CORP CA N 2 2028-01-31 Fixed 4.861 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 4662284.250000 PA USD 4656459.190000 0.175921 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 5.55116 N N N N N N FREDDIE MAC REMICS 5499 N/A 3137HJWY9 2754090.560000 PA USD 2761149.290000 0.104316 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.50517 N N N N N N FREDDIE MAC REMICS 5500 N/A 3137HJBW6 708933.090000 PA USD 708714.460000 0.0267752 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 5.30517 N N N N N N TOWD POINT MORTGAGE TRUST 2022-4 N/A 89180YAA8 12776905.200000 PA USD 12233546.860000 0.462183 Long ABS-MBS CORP US N 2 2062-09-25 Variable 3.75 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 408292.790000 PA 481638.920000 0.0181963 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 3.116 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2878274.510000 PA USD 2799731.870000 0.105774 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.49868 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAB9 2114084.140000 PA USD 2119418.820000 0.0800716 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.75 N N N N N N BMO 2025-5C11 MORTGAGE TRUST N/A 096941AC3 6335000.000000 PA USD 6602926.790000 0.249458 Long ABS-MBS CORP US N 2 2058-07-15 Fixed 5.6689 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 118310.500000 PA USD 94131.300000 0.0035563 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.11963 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 4073.410000 PA USD 3979.610000 0.0001503 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.50001 N N N N N N N/A N/A 000000000 1.000000 NC 79.680000 0.000003 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11059.000000 USD 14127.330000 SGD 2025-08-05 79.680000 N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 4326000.000000 PA USD 4079048.990000 0.154106 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.36368 N N N N N N N/A N/A 000000000 1.000000 NC 2437.430000 0.0000921 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 406258.530000 USD 6628026665.000000 IDR 2025-07-16 2437.430000 N N N N/A N/A 000000000 1.000000 NC -19075.710000 -0.0007207 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-12-25 93.820000 MXN 0.000000 MXN 53600000.000000 MXN -19169.530000 N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BU5 2650000.000000 PA USD 2653978.820000 0.100267 Long DBT CORP US N 2 2025-09-12 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC 3440.610000 0.00013 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 572287.340000 USD 9336867952.000000 IDR 2025-07-16 3440.610000 N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 502674.460000 PA USD 495939.880000 0.0187366 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.87368 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 1631821.820000 PA 2244763.520000 0.0848071 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 5.36954 N N N N N N N/A N/A 000000000 1.000000 NC USD 82931.960000 0.0031332 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-20 6120.550000 USD 0.000000 USD 108700000.000000 USD 76811.410000 N N N N/A N/A 000000000 1.000000 NC USD 348422.420000 0.0131634 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 7398855.010000 USD 348422.420000 N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 2600000.000000 PA USD 2533892.920000 0.0957304 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 51078.830000 PA USD 50075.530000 0.0018919 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.85368 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 N/A 10806EAB0 2146762.350000 PA USD 2148024.650000 0.0811523 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.84 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BY7 2950000.000000 PA USD 2952260.440000 0.111536 Long DBT CORP US N 2 2025-09-12 Floating 5.26022 N N N N N N N/A N/A 000000000 1.000000 NC USD 3144761.350000 0.118809 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-10-15 0.000000 USD 0.000000 USD 67124709.290000 USD 3144761.350000 N N N N/A N/A 000000000 1.000000 NC 160.340000 0.0000061 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5664.000000 USD 21000.980000 PLN 2025-07-18 160.340000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAU5 300000.000000 PA USD 278671.880000 0.0105282 Long DBT UST US N 2 2027-10-31 Fixed 0.5 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 437092.040000 PA 514059.300000 0.0194211 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.059 N N N N N N FNMA PASS THRU POOLS N/A 3140H5NN7 107066.700000 PA USD 98348.390000 0.0037156 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 1630.000000 0.0000616 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 647320.000000 USD 55742343.500000 INR 2025-08-20 1630.000000 N N N N/A N/A 000000000 1.000000 NC 225687.250000 0.0085265 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4313363.470000 USD 24661116.470000 BRL 2025-07-02 225687.250000 N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAB4 1033319.970000 PA USD 1038783.960000 0.0392452 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.88 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBN7 19200000.000000 PA USD 19312494.910000 0.729626 Long DBT CORP US N 2 2027-05-29 Fixed 4.576 N N N N N N N/A N/A 000000000 1.000000 NC USD 90091.030000 0.0034036 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-04-10 0.000000 USD 0.000000 USD 80800000.000000 USD 90091.030000 N N N N/A N/A 000000000 1.000000 NC USD 347349.580000 0.0131229 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 S&P 500 INDEX N/A N/A Y 2026-02-04 0.000000 USD 0.000000 USD 7398855.010000 USD 347349.580000 N N N N/A N/A 000000000 1.000000 NC -8641.150000 -0.0003265 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 520651107.000000 JPY 3606866.000000 USD 2025-07-02 -8641.150000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-9 N/A 69546QAA6 1174277.670000 PA USD 1174461.560000 0.0443711 Long ABS-O CORP US N 2 2032-03-15 Fixed 5.065 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDL0 2400000.000000 PA USD 2400477.620000 0.09069 Long DBT CORP JP N 2 2031-07-08 Floating 4.711 N N N N N N GNMA PASS THRU POOLS N/A 21H050680 8900000.000000 PA USD 8738676.640000 0.330147 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 3801451.330000 PA USD 37239017.230000 1.40689 Long STIV RF US N 1 N N N EAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-HE9 N/A 073879KC1 4758426.770000 PA USD 4766741.640000 0.180087 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.40868 N N N N N N FNMA PASS THRU POOLS N/A 3140NU6L8 25000000.000000 PA USD 25546847.000000 0.965159 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.76 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0SZJH0 82800000.000000 PA 3680671.690000 0.139056 Long DBT NUSS MX N 2 2047-11-07 Fixed 8 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A 78449MAA4 4658168.880000 PA USD 4352604.650000 0.164441 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 2356000.000000 PA USD 2350075.980000 0.0887858 Long DBT CORP US N 2 2027-01-29 Floating 3.96 N N N N N N N/A N/A 000000000 1.000000 NC -62796.950000 -0.0023725 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1366558.810000 CHF 1659502.890000 USD 2025-07-02 -62796.950000 N N N MF1 2021-FL6 LTD N/A 55283TAA6 219816.520000 PA USD 219969.830000 0.0083105 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 5.52908 N N N N N N N/A N/A 000000000 1.000000 NC -112120.110000 -0.0042359 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 26690622.000000 TWD 815753.000000 USD 2025-08-20 -112120.110000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UU29 12830000.000000 PA USD 12826692.430000 0.484592 Long DBT CORP CA N 2 2025-07-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -43571.910000 -0.0016461 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1242000.000000 EUR 1419442.800000 USD 2025-07-02 -43571.910000 N N N N/A N/A 000000000 1.000000 NC -7230.300000 -0.0002732 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5957077.710000 CNY 828108.000000 USD 2025-08-20 -7230.300000 N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 725108.770000 PA USD 698389.450000 0.0263851 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI1WKQ05 1600000.000000 PA 2131576.860000 0.0805309 Long DBT CORP GB N 2 2027-07-24 Floating 1.75 N N N N N N FREDDIE MAC REMICS 5500 N/A 3137HJCB1 1307295.420000 PA USD 1301936.030000 0.0491871 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.20517 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JE4 3233.290000 PA USD 3252.600000 0.0001229 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5 N N N N N N N/A N/A 000000000 1973.000000 NC USD 18631075.660000 0.703882 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2025-09-19 616932437.500000 USD 18631075.660000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 487664.680000 PA USD 488538.480000 0.018457 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N N/A N/A 000000000 1.000000 NC -213367.840000 -0.008061 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 17700000.000000 GBP 24086071.500000 USD 2025-08-04 -213367.840000 N N N N/A N/A 000000000 1.000000 NC -1264.510000 -0.0000478 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 645733.000000 USD 55357398.620000 INR 2025-08-20 -1264.510000 N N N AFFIRM MASTER TRUST 2025-2A N/A 00833BAG3 8600000.000000 PA USD 8637493.850000 0.326324 Long ABS-O CORP US N 2 2033-07-15 Fixed 4.67 N N N N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAA3 3538857.550000 PA USD 2332447.560000 0.0881198 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.73368 N N N N N N N/A N/A 000000000 1.000000 NC 180.640000 0.0000068 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 652142.000000 USD 56032040.640000 INR 2025-08-20 180.640000 N N N N/A N/A 000000000 1.000000 NC USD 26.890000 0.000001 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.39 Y Single Leg Swap 2028-06-20 0.000000 USD -6850.000000 USD 100000.000000 USD 6876.890000 N N N N/A N/A 000000000 1.000000 NC 23963.930000 0.0009054 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 173559.940000 USD 5681849.000000 TWD 2025-08-20 23963.930000 N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 1903068.710000 PA USD 1868630.590000 0.0705968 Long ABS-MBS CORP US N 2 2054-05-25 Fixed 4 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 47028.690000 PA USD 46742.290000 0.0017659 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.40868 N N N N N N N/A N/A 000000000 1.000000 NC 124289.870000 0.0046957 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1616274.000000 USD 9456657.550000 BRL 2025-07-02 124289.870000 N N N FREDDIE MAC REMICS 5500 N/A 3137HJB30 5235363.220000 PA USD 5240945.690000 0.198003 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 5.25517 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 25-3A N/A 36272GAC3 2000000.000000 PA USD 2001062.600000 0.0756001 Long ABS-O CORP US N 2 2030-10-15 Fixed 4.46 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 7900000.000000 PA USD 8039753.610000 0.303742 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N FREDDIE MAC 3609 N/A 31398LN38 40199.070000 PA USD 40275.260000 0.0015216 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 5.16833 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 26527.450000 PA USD 24786.470000 0.0009364 Long ABS-MBS CORP US N 2 2042-06-25 Floating 5.79869 N N N N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VBT5 1300000.000000 PA USD 1305606.280000 0.0493258 Long DBT CORP JP N 2 2027-09-10 Fixed 4.45 N N N N N N NAVIENT STUDENT LOAN TRUST 2019-BA N/A 63941LAC7 1801113.010000 PA USD 1798499.960000 0.0679473 Long ABS-O CORP US N 2 2059-12-15 Floating 5.40624 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-2A N/A 78398HAC2 9500000.000000 PA USD 9577172.780000 0.361825 Long ABS-O CORP US N 2 2030-12-20 Fixed 4.44 N N N N N N JABIL INC 5493000CGCQY2OQU7669 46652LU21 1200000.000000 PA USD 1199659.800000 0.0453231 Long DBT CORP US N 2 2025-07-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 23019.090000 0.0008697 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5916397.100000 USD 8088000.000000 CAD 2025-07-02 23019.090000 N N N FNMA PASS THRU POOLS N/A 31418CSG0 4804265.870000 PA USD 4640984.730000 0.175336 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 3 N N N N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BU0 6700000.000000 PA USD 6867658.990000 0.25946 Long DBT CORP US N 2 2030-09-23 Fixed 5.1 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-F N/A 83207VAA6 1825248.030000 PA USD 1846658.920000 0.0697667 Long ABS-O CORP US N 2 2054-03-16 Fixed 5.06 N N N N N N N/A N/A 000000000 1.000000 NC -2583.270000 -0.0000976 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5377485.310000 CNY 751481.000000 USD 2025-08-20 -2583.270000 N N N GNMA PASS THRU POOLS N/A 36225FC72 585381.740000 PA USD 596771.140000 0.022546 Long ABS-MBS USGSE US N 2 2041-04-20 Floating 4.875 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AC2 3975676.850000 PA USD 3977124.790000 0.150256 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.88 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 493129.100000 PA USD 493439.350000 0.0186421 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 5.56215 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 2700000.000000 PA USD 2669336.450000 0.100848 Long DBT CORP US N 2 2026-11-16 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 42853.450000 0.001619 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1641615.980000 USD 1430000.000000 EUR 2025-07-02 42853.450000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 900000.000000 PA USD 892502.390000 0.0337187 Long DBT CORP US N 2 2028-02-01 Floating 3.782 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 913278.750000 PA USD 923088.280000 0.0348742 Long ABS-O CORP US N 2 2052-11-15 Floating 5.85319 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 604550.250000 PA USD 626160.260000 0.0236563 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N N/A N/A 000000000 1.000000 NC -5129.650000 -0.0001938 N/A DFE NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 662847.850000 NZD 399334.680000 USD 2025-08-04 -5129.650000 N N N N/A N/A 000000000 1.000000 NC -334378.450000 -0.0126328 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21000000.000000 BRL 3442735.830000 USD 2025-10-02 -334378.450000 N N N RECETTE CLO LTD 2015-1A N/A 75620TAW8 4050000.000000 PA USD 4061745.000000 0.153453 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.61108 N N N N N N N/A N/A 000000000 1.000000 NC 852.710000 0.0000322 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 58271.000000 USD 74987.380000 SGD 2025-08-05 852.710000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412BVE0 3330000.000000 PA USD 3309541.480000 0.125034 Long DBT CORP US N 2 2025-08-14 None 0 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 1579584.300000 PA USD 1488885.360000 0.05625 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N N/A N/A 000000000 1.000000 NC -5699.240000 -0.0002153 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 2309000.000000 CNY 318083.030000 USD 2025-08-20 -5699.240000 N N N N/A N/A 000000000 1.000000 NC -15.140000 -0.0000006 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 8458.190000 SGD 6637.000000 USD 2025-07-02 -15.140000 N N N N/A N/A 000000000 1.000000 NC -115673.750000 -0.0043702 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 31544500.000000 TWD 970391.000000 USD 2025-07-16 -115673.750000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 400000.000000 PA USD 415541.540000 0.0156991 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N DTE ENERGY COMPANY 549300IX8SD6XXD71I78 233331BM8 100000.000000 PA USD 101196.600000 0.0038232 Long DBT CORP US N 2 2027-07-01 Fixed 4.95 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2JBZ32 47100000.000000 PA 2506695.410000 0.0947029 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.5 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 1173858.940000 PA USD 1129928.330000 0.0426887 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFU4 1900000.000000 PA USD 1903991.440000 0.0719327 Long DBT CORP US N 2 2030-10-18 Floating 4.654 N N N N N N N/A N/A 000000000 1.000000 NC -28725.590000 -0.0010853 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2377318351.000000 KRW 1729701.000000 USD 2025-07-16 -28725.590000 N N N CSMC 2021-RPL2 TRUST N/A 12656TAB4 1266177.580000 PA USD 1070745.220000 0.0404527 Long ABS-MBS CORP US N 2 2060-01-25 Variable 1.11456 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 339740.790000 PA USD 339927.230000 0.0128424 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 5.47908 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAD5 1700000.000000 PA USD 1711297.180000 0.0646528 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.56 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 66112.580000 PA USD 65510.520000 0.002475 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.81965 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412BVN0 12920000.000000 PA USD 12826680.130000 0.484592 Long DBT CORP US N 2 2025-08-22 None 0 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599EH4 6000000.000000 PA USD 6055685.400000 0.228784 Long DBT CORP US N 2 2027-08-01 Fixed 5 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-5 N/A 69544LAA9 739696.050000 PA USD 746957.650000 0.02822 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.278 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 1500000.000000 PA USD 1514705.880000 0.0572255 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N FNMA PASS THRU POOLS N/A 31362QGF0 1182.260000 PA USD 1172.110000 0.0000443 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.583 N N N N N N N/A N/A 000000000 1.000000 NC 3003.050000 0.0001135 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 317256.980000 USD 435373.020000 CAD 2025-08-05 3003.050000 N N N N/A N/A 000000000 1.000000 NC -10543.420000 -0.0003983 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-12-12 63.170000 MXN 0.000000 MXN 35700000.000000 MXN -10606.590000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 6198725.950000 PA USD 5905105.940000 0.223095 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.71368 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 7105000.000000 PA USD 7053558.380000 0.266483 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.734 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LB7 5050.560000 PA USD 5067.420000 0.0001914 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138E0KF5 275886.370000 PA USD 272657.650000 0.010301 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 26923.610000 PA USD 23260.690000 0.0008788 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 7497172.980000 PA USD 7461165.560000 0.281883 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.384 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HS5 1703000.000000 PA USD 1745618.720000 0.0659494 Long DBT CORP US N 2 2027-11-01 Fixed 5.85 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-SP2 N/A 1248MHAG7 1888000.000000 PA USD 1838606.330000 0.0694625 Long ABS-MBS CORP US N 2 2046-03-25 Floating 6.00868 N N N N N N N/A N/A 000000000 1.000000 NC -24409.390000 -0.0009222 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24260991.000000 TWD 819000.000000 USD 2025-08-20 -24409.390000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE2 N/A 04541GHW5 941284.080000 PA USD 981459.780000 0.0370795 Long ABS-MBS CORP US N 2 2034-04-25 Floating 5.25868 N N N N N N N/A N/A 000000000 1.000000 NC 2565.510000 0.0000969 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 8100000.000000 MXN 2565.510000 N N N N/A N/A 000000000 1.000000 NC 6131.110000 0.0002316 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1342985.050000 USD 9621000.000000 CNY 2025-08-20 6131.110000 N N N RAMP TRUST 2006-RZ5 N/A 749239AF6 4811172.520000 PA USD 4273437.870000 0.16145 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.79368 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 1332763.530000 PA USD 1277916.850000 0.0482797 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-1 N/A 542514AJ3 2183540.530000 PA USD 2140291.580000 0.0808602 Long ABS-MBS CORP US N 2 2031-04-21 Floating 4.87591 N N N N N N FORD CREDIT AUTO OWNER TRUST 2023-A N/A 344928AD8 1980222.530000 PA USD 1982717.210000 0.074907 Long ABS-O CORP US N 2 2028-02-15 Fixed 4.65 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 6191463.600000 PA 8512875.330000 0.321616 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 5.11859 N N N N N N N/A N/A 000000000 1.000000 NC 47614.310000 0.0017989 N/A DFE SG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4734139.520000 USD 6080000.000000 SGD 2025-07-02 47614.310000 N N N N/A N/A 000000000 1.000000 NC 1869.240000 0.0000706 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 393694.000000 USD 6415046883.000000 IDR 2025-07-16 1869.240000 N N N PARALLEL 2021-1 LTD N/A 69916HAL4 8000000.000000 PA USD 7987142.320000 0.301754 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.3661 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 400000.000000 PA USD 375220.460000 0.0141758 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAB0 737533.650000 PA USD 738794.610000 0.0279116 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -12.320000 -0.0000005 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4443.030000 SGD 3482.000000 USD 2025-07-02 -12.320000 N N N N/A N/A 000000000 1.000000 NC USD 3839.990000 0.0001451 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 CITIGROUP INC CITIGROUP INC SR UNSEC TSFR3M Y Single Leg Swap 2025-12-20 6402.180000 USD 0.000000 USD 1000000.000000 USD -2562.190000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NX1 2323000.000000 PA USD 2322459.760000 0.0877425 Long DBT UST US N 2 2025-07-03 None 0 N N N N N N BMO 2025-5C11 MORTGAGE TRUST N/A 096941AB5 10800000.000000 PA USD 11036010.240000 0.41694 Long ABS-MBS CORP US N 2 2058-07-15 Fixed 5.187 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCW9 2200000.000000 PA USD 2072963.640000 0.0783165 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.34868 N N N N N N N/A N/A 000000000 1.000000 NC -184.330000 -0.000007 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2072124.000000 TWD 71158.090000 USD 2025-07-16 -184.330000 N N N FNMA PASS THRU POOLS N/A 31407YHH5 25568.090000 PA USD 26062.690000 0.0009846 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.098 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC2 N/A 61746RHS3 516522.850000 PA USD 524185.520000 0.0198037 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.34868 N N N N N N N/A N/A 000000000 1.000000 NC 3536.420000 0.0001336 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29513.630000 USD 959931.000000 TWD 2025-07-16 3536.420000 N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAG8 1800000.000000 PA USD 1847892.020000 0.0698133 Long DBT CORP US N 2 2030-01-09 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -9699.950000 -0.0003665 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 6802316.750000 CNY 944163.000000 USD 2025-08-20 -9699.950000 N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 3303329.160000 PA USD 3243192.380000 0.122528 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A 86358HGW3 38761.380000 PA USD 37862.340000 0.0014304 Long ABS-MBS CORP US N 2 2029-06-25 Floating 3.90503 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAC1 231159.790000 PA USD 218222.590000 0.0082444 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.38 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JU8 1285.160000 PA USD 1292.820000 0.0000488 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -396.250000 -0.000015 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 645759.000000 USD 55434212.720000 INR 2025-08-20 -396.250000 N N N N/A N/A 000000000 1.000000 NC -65695.210000 -0.002482 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 15964734.000000 TWD 489303.000000 USD 2025-08-20 -65695.210000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4J7 3600000.000000 PA USD 3605410.010000 0.136212 Long DBT CORP US N 2 2026-07-16 Floating 5.08529 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 7933.570000 PA USD 7836.250000 0.0002961 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.74833 N N N N N N N/A N/A 000000000 1.000000 NC USD 1277.590000 0.0000483 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.38 Y Single Leg Swap 2027-12-20 0.000000 USD -42270.000000 USD 500000.000000 USD 43547.590000 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 12665JUE7 5430000.000000 PA USD 5419625.990000 0.204753 Long DBT CORP US N 2 2025-07-14 None 0 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KS5 10800000.000000 PA USD 10800245.920000 0.408033 Long DBT CORP US N 2 2025-09-04 Floating 5.27563 N N N N N N N/A N/A 000000000 1.000000 NC -298.070000 -0.0000113 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 555759.250000 THB 16815.010000 USD 2025-07-16 -298.070000 N N N N/A N/A 000000000 1.000000 NC -7307.610000 -0.0002761 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 656459.330000 PLN 174788.000000 USD 2025-07-10 -7307.610000 N N N CHASE AUTO OWNER TRUST 2024-1A N/A 16144BAB4 1206221.480000 PA USD 1207871.590000 0.0456334 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N GNMA PASS THRU POOLS N/A 36202K5J0 238.080000 PA USD 238.870000 0.000009 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -18860.460000 -0.0007125 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 764613907.500000 INR 8900000.000000 USD 2025-07-09 -18860.460000 N N N FHLMC PASS THRU POOLS N/A 3128M6PN2 29.950000 PA USD 30.470000 0.0000012 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6 N N N N N N FANNIE MAE 2009-87 N/A 31398FM57 35658.960000 PA USD 35734.810000 0.0013501 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 5.16965 N N N N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDN3 26092.300000 PA USD 25711.490000 0.0009714 Long ABS-MBS CORP US N 2 2028-06-25 Floating 4.98368 N N N N N N FNMA PASS THRU POOLS N/A 3140JCMZ4 14605579.970000 PA USD 14953547.400000 0.564945 Long ABS-MBS USGSE US N 2 2029-08-01 Variable 4.8038 N N N N N N FANNIE MAE 2009-111 N/A 31398GQS1 20528.730000 PA USD 20514.850000 0.0007751 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 5.16965 N N N N N N N/A N/A 000000000 1.000000 NC 1478.130000 0.0000558 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 357785.000000 USD 5826349833.000000 IDR 2025-07-16 1478.130000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 35626.340000 PA USD 35225.730000 0.0013308 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.79965 N N N N N N N/A N/A 000000000 1.000000 NC USD 139780.700000 0.0052809 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 104028.620000 USD 0.000000 USD 7100000.000000 USD 35752.080000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAA8 815313.100000 PA USD 777643.190000 0.0293793 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94054 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAB0 1330614.580000 PA USD 1333180.270000 0.0503675 Long ABS-O CORP US N 2 2027-11-10 Fixed 5.63 N N N N N N N/A N/A 000000000 1.000000 NC 27741.990000 0.0010481 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3615119.380000 USD 5535000.000000 AUD 2025-07-02 27741.990000 N N N N/A N/A 000000000 1.000000 NC -11394.600000 -0.0004305 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6268055.980000 CNY 867551.000000 USD 2025-08-20 -11394.600000 N N N LEGACY MORTGAGE ASSET TRUST 2020-RPL1 N/A 52474HAA8 1466944.730000 PA USD 1404467.990000 0.0530608 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 307310.020000 PA USD 213377.580000 0.0080614 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.49368 N N N N N N FANNIE MAE 2007-14 N/A 31396PZS3 14505.700000 PA USD 14288.980000 0.0005398 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.77965 N N N N N N N/A N/A 000000000 1.000000 NC -106099.440000 -0.0040084 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7700000.000000 BRL 1278842.460000 USD 2025-10-02 -106099.440000 N N N N/A N/A 000000000 1.000000 NC -104576.210000 -0.0039509 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 28335502.000000 TWD 871004.000000 USD 2025-07-16 -104576.210000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 4500000.000000 PA USD 4403445.570000 0.166362 Long DBT CORP US N 2 2027-03-09 Floating 1.431 N N N N N N FHLMC PASS THRU POOLS N/A 31292HYL2 2572.210000 PA USD 2642.680000 0.0000998 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -4980.010000 -0.0001881 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 377357.050000 SGD 291801.000000 USD 2025-07-02 -4980.010000 N N N N/A N/A 000000000 1.000000 NC 5136.950000 0.0001941 N/A DFE NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 398901.840000 USD 662847.850000 NZD 2025-07-02 5136.950000 N N N N/A N/A 000000000 1.000000 NC -62772.940000 -0.0023716 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5200000.000000 BRL 872512.500000 USD 2025-10-02 -62772.940000 N N N GNMA PASS THRU POOLS N/A 36225CC61 13098.150000 PA USD 13053.800000 0.0004932 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 4.625 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDM9 700000.000000 PA USD 721344.820000 0.0272524 Long DBT CORP JP N 2 2029-07-09 Fixed 5.316 N N N N N N N/A N/A 000000000 1.000000 NC 38068.780000 0.0014382 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1576797.000000 USD 46903404.000000 TWD 2025-07-16 38068.780000 N N N N/A N/A 000000000 1.000000 NC -6455.400000 -0.0002439 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1605688.000000 TWD 49364.760000 USD 2025-08-20 -6455.400000 N N N N/A N/A 000000000 -2.000000 NC -4449.610000 -0.0001681 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2025-09-26 -255395.200000 GBP -4449.610000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GJ6 400000.000000 PA USD 389032.310000 0.0146976 Long DBT CORP US N 2 2028-03-01 Fixed 3.65 N N N N N N N/A N/A 000000000 1.000000 NC 3784.430000 0.000143 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1719327.900000 USD 50047400.000000 TWD 2025-07-16 3784.430000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 500000.000000 PA USD 485761.840000 0.0183521 Long DBT CORP US N 2 2030-04-15 Fixed 3.875 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 618155.050000 PA USD 617911.190000 0.0233447 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.11833 N N N N N N N/A N/A 000000000 1.000000 NC -8722.960000 -0.0003296 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 662847.850000 NZD 395315.830000 USD 2025-07-02 -8722.960000 N N N IMPAC CMB TR 2005-4 N/A 45254NPA9 3166396.470000 PA USD 3042502.660000 0.114946 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.97368 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 3400000.000000 PA USD 3404808.140000 0.128634 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LVE8 3600000.000000 PA USD 3705344.390000 0.139988 Long DBT CORP US N 2 2030-01-13 Fixed 5.35 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 7800000.000000 PA USD 7556577.600000 0.285487 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N N/A N/A 000000000 1.000000 NC -23343.300000 -0.0008819 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 23492488.350000 MXN 1218515.340000 USD 2025-09-17 -23343.300000 N N N N/A N/A 000000000 1.000000 NC 140.150000 0.0000053 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6144.000000 USD 22658.930000 PLN 2025-07-18 140.150000 N N N N/A N/A 000000000 1.000000 NC USD 1092520.290000 0.0412754 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2026-04-08 0.000000 USD 0.000000 USD 23279642.570000 USD 1092520.290000 N N N N/A N/A 000000000 1.000000 NC 1108.370000 0.0000419 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 274925.000000 USD 23710219.310000 INR 2025-08-20 1108.370000 N N N N/A N/A 000000000 1.000000 NC -640.370000 -0.0000242 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 61095.690000 PLN 16307.000000 USD 2025-07-10 -640.370000 N N N N/A N/A 000000000 1.000000 NC 25956.720000 0.0009806 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2035823.000000 USD 295813021.000000 JPY 2025-08-04 25956.720000 N N N FREDDIE MAC-3372 N/A 31397KQ61 34144.630000 PA USD 34019.990000 0.0012853 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.01833 N N N N N N N/A N/A 000000000 1.000000 NC -304.200000 -0.0000115 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 35986.250000 SGD 27998.000000 USD 2025-07-02 -304.200000 N N N N/A N/A 000000000 1.000000 NC USD 1622738.670000 0.061307 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2025-09-19 0.000000 USD 0.000000 USD 34488842.660000 USD 1622738.670000 N N N SYNCHRONY CARD ISSUANCE TRUST 2024-A2 N/A 87166PAN1 11800000.000000 PA USD 11981481.640000 0.45266 Long ABS-MBS CORP US N 2 2030-07-15 Fixed 4.93 N N N N N N N/A N/A 000000000 1.000000 NC 14.350000 0.0000005 N/A DFE IN N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3736.430000 USD 322177.900000 INR 2025-08-20 14.350000 N N N N/A N/A 000000000 1.000000 NC -1613.840000 -0.000061 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2317882.290000 THB 69759.000000 USD 2025-07-16 -1613.840000 N N N N/A N/A 000000000 14300000.000000 PA USD 14300000.000000 0.540254 Long RA US N 2 Repurchase N 4.400000 2025-07-01 14584900.000000 USD 14586078.750000 USD UST N N N FREDDIE MAC REMICS 4638 N/A 3137BTH38 183879.110000 PA USD 182415.300000 0.0068916 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 4.90449 N N N N N N CANADIAN NATURAL RESOURCES LIMITED 549300T15RIMIKZC5Q38 13638WUB6 4000000.000000 PA USD 3994220.800000 0.150901 Long DBT CORP CA N 2 2025-07-11 None 0 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 3400000.000000 PA USD 3432459.460000 0.129678 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N FANNIE MAE REMICS 2024-104 N/A 3136BUEQ9 3655637.580000 PA USD 3648089.790000 0.137825 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 5.35517 N N N N N N N/A N/A 000000000 169001858.000000 PA USD 169001858.000000 6.38489 Long RA US N 2 Repurchase N 4.400000 2026-07-30 252800000.000000 USD 164553016.300000 USD UST N N N N/A N/A 000000000 1.000000 NC 6795.120000 0.0002567 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 623389.000000 USD 54130425.340000 INR 2025-08-20 6795.120000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 600000.000000 PA USD 591827.750000 0.0223592 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N FANNIE MAE 2003-25 N/A 31393APU5 60849.150000 PA USD 60658.770000 0.0022917 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -159737.950000 -0.0060349 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 106149873.150000 MXN 5451550.890000 USD 2025-09-17 -159737.950000 N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 2808501.580000 PA 3304554.450000 0.124846 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 3.003 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 226643.360000 PA USD 205888.810000 0.0077785 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.57368 N N N N N N BMO 2024-5C7 MORTGAGE TRUST N/A 09660WAT8 2600000.000000 PA USD 2647460.400000 0.100021 Long ABS-MBS CORP US N 2 2057-11-15 Fixed 5.0916 N N N N N N AG TRUST 2024-NLP N/A 00792MAA1 760265.090000 PA USD 762711.170000 0.0288152 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.3274 N N N N N N GNMA PASS THRU POOLS N/A 36202KWD3 108.010000 PA USD 107.900000 0.0000041 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -128922.010000 -0.0048707 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2034-11-03 0.000000 MXN 0.000000 MXN 35700000.000000 MXN -128922.010000 N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 11426.380000 PA USD 10946.950000 0.0004136 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.59869 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HQ9 300000.000000 PA USD 301171.440000 0.0113782 Long DBT CORP US N 2 2027-06-01 Fixed 4.7 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 375341.070000 PA USD 376741.540000 0.0142333 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 8820000.000000 PA USD 8885477.740000 0.335693 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N JP MORGAN SEASONED MORTGAGE TRUST 2024-1 N/A 61777HAE5 3813944.550000 PA USD 3658295.180000 0.13821 Long ABS-MBS CORP US N 2 2063-01-25 Variable 4.44606 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1M35 328235.110000 PA USD 322610.010000 0.0121882 Long ABS-MBS USGSE US N 2 2058-05-25 Floating 4.81449 N N N N N N LINCOLN FINANCIAL GLOBAL FUNDING 984500OC010458395923 53359KAA9 400000.000000 PA USD 411271.110000 0.0155378 Long DBT CORP US N 2 2030-01-13 Fixed 5.3 N N N N N N SREIT TRUST 2021-IND N/A 78473JAG7 9000000.000000 PA USD 8964946.800000 0.338695 Long ABS-MBS CORP US N 2 2038-10-15 Floating 5.52348 N N N N N N N/A N/A 000000000 -1978.000000 NC USD -3497020.230000 -0.132117 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-09-19 -221798702.140000 USD -3497020.230000 N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAL4 2200000.000000 PA USD 2082949.880000 0.0786938 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.09368 N N N N N N ARGENT SECURITIES INC 2004-W9 N/A 040104LB5 467470.850000 PA USD 471532.800000 0.0178145 Long ABS-MBS CORP US N 2 2034-06-26 Floating 5.30368 N N N N N N N/A N/A 000000000 1.000000 NC 8690.690000 0.0003283 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3606866.000000 USD 518740550.000000 JPY 2025-08-04 8690.690000 N N N MADISON PARK FUNDING XLVI LTD 2020-46A N/A 55822AAW7 11700000.000000 PA USD 11713500.400000 0.442536 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.2561 N N N N N N N/A N/A 000000000 1.000000 NC USD 288929.040000 0.0109157 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2026-02-18 0.000000 USD 0.000000 USD 6172237.070000 USD 288929.040000 N N N RTX CORPORATION I07WOS4YJ0N7YRFE7309 78109FUG5 12800000.000000 PA USD 12773589.760000 0.482586 Long DBT CORP US N 2 2025-07-16 None 0 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAC4 3800000.000000 PA USD 3800959.500000 0.1436 Long ABS-O CORP US N 2 2029-01-10 Fixed 4.53 N N N N N N GNMA PASS THRU POOLS N/A 36202KY33 1971.820000 PA USD 1969.940000 0.0000744 Long ABS-MBS USGSE US N 2 2026-03-20 Floating 5.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 21463.020000 0.0008109 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -138699.200000 USD 3772000.000000 USD 160162.220000 N N N THEOREM FUNDING TRUST 2023-1A N/A 88338QAA8 152604.660000 PA USD 153144.870000 0.0057858 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.58 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 7376458.570000 PA USD 7382955.750000 0.278928 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.50648 N N N N N N N/A N/A 000000000 1.000000 NC USD 390.100000 0.0000147 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2025-12-20 646.810000 USD 0.000000 USD 100000.000000 USD -256.710000 N N N N/A N/A 000000000 1.000000 NC 33743.460000 0.0012748 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1503556.250000 USD 10963000.000000 CNY 2025-08-20 33743.460000 N N N N/A N/A 000000000 1.000000 NC -25941.700000 -0.0009801 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 296904426.000000 JPY 2035823.000000 USD 2025-07-02 -25941.700000 N N N PRPM 2025-NQM1 TRUST N/A 74391EAA9 4183017.710000 PA USD 4220301.780000 0.159443 Long ABS-MBS CORP US N 2 2069-11-25 Fixed 5.802 N N N N N N WORLD OMNI SELECT AUTO TRUST 2024-A N/A 98164LAB5 1981199.530000 PA USD 1985900.520000 0.0750273 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.37 N N N N N N FNMA PASS THRU POOLS N/A 3140W0AN5 9715877.490000 PA USD 9899447.040000 0.374001 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 495317.500000 0.0187131 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 10556743.740000 USD 495317.500000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 1500000.000000 PA USD 1501471.340000 0.0567255 Long DBT CORP US N 2 2026-08-10 Floating 5.38595 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 256630000.000000 PA USD 264613613.020000 9.99709 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31425YQZ3 334073.040000 PA USD 344170.850000 0.0130028 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 122.440000 0.0000046 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 16888.000000 USD 21574.560000 SGD 2025-08-05 122.440000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PUN1 16040000.000000 PA USD 15990962.510000 0.604138 Long DBT CORP US N 2 2025-07-22 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31361ULM1 63.010000 PA USD 62.480000 0.0000024 Long ABS-MBS USGSE US N 2 2027-02-01 Floating 4.686 N N N N N N N/A N/A 000000000 1.000000 NC USD 23908.690000 0.0009033 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-04-10 13400.000000 USD 0.000000 USD 3000000.000000 USD 10508.690000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 2600000.000000 PA USD 2615748.880000 0.0988229 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 700000.000000 PA USD 702480.120000 0.0265397 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 754881.600000 PA USD 413760.950000 0.0156319 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75368 N N N N N N FREDDIE MAC REMICS 5517 N/A 3137HKH72 1297731.750000 PA USD 1300282.570000 0.0491246 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.25517 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1003046.450000 PA USD 1027409.850000 0.0388155 Long ABS-MBS CORP US N 2 2058-05-25 Floating 5.43368 N N N N N N FREDDIE MAC REMICS 5505 N/A 3137HJ6H5 1157790.430000 PA USD 1143345.950000 0.0431956 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 5.15001 N N N N N N N/A N/A 000000000 1.000000 NC USD 209764.100000 0.0079249 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-07-16 0.000000 USD 0.000000 USD 4462801.430000 USD 209764.100000 N N N CROSS 2024-H3 MORTGAGE TRUST N/A 22758DAA7 4494973.170000 PA USD 4547205.660000 0.171793 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.272 N N N N N N TTAN 2021-MHC N/A 87303TAA5 2076420.120000 PA USD 2077983.660000 0.0785062 Long ABS-MBS CORP US N 2 2038-03-15 Floating 5.27648 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-2A N/A 78398HAB4 2700000.000000 PA USD 2704578.530000 0.102179 Long ABS-O CORP US N 2 2028-11-20 Fixed 4.52 N N N N N N N/A N/A 000000000 1.000000 NC 15209.040000 0.0005746 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8927856.370000 USD 63776000.000000 CNY 2025-08-20 15209.040000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAY7 1500000.000000 PA USD 1394589.840000 0.0526876 Long DBT UST US N 2 2027-11-30 Fixed 0.625 N N N N N N ACHV ABS TRUST 2024-2PL N/A 00092HAA9 822135.910000 PA USD 825244.650000 0.0311777 Long ABS-O CORP US N 2 2031-10-27 Fixed 5.07 N N N N N N N/A N/A 000000000 1.000000 NC USD 1120232.610000 0.0423224 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 78838.010000 USD 0.000000 USD 27200000.000000 USD 1041394.600000 N N N N/A N/A 000000000 1.000000 NC -1939.830000 -0.0000733 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4356000.000000 CNY 608885.450000 USD 2025-08-20 -1939.830000 N N N N/A N/A 000000000 1.000000 NC USD 1659103.670000 0.0626809 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-03-19 4078395.660000 USD 0.000000 USD 75390000.000000 USD -2419291.990000 N N N N/A N/A 000000000 1.000000 NC -16671.530000 -0.0006298 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50421278940.000000 IDR 3090000.000000 USD 2025-07-11 -16671.530000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYM0 500000.000000 PA USD 484259.460000 0.0182953 Long DBT CORP US N 2 2027-10-21 Floating 1.948 N N N N N N N/A N/A 000000000 1.000000 NC 462.710000 0.0000175 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 197208.000000 USD 665814.240000 ILS 2025-07-02 462.710000 N N N N/A N/A 000000000 1.000000 NC -56.770000 -0.0000021 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 85111.470000 THB 2564.000000 USD 2025-07-16 -56.770000 N N N POST ROAD EQUIPMENT FINANCE 2025-1 LLC N/A 73747LAB4 4000000.000000 PA USD 4024815.200000 0.152057 Long ABS-O CORP US N 2 2031-05-15 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 7373.130000 0.0002786 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 327832.770000 USD 9735978.000000 TWD 2025-07-16 7373.130000 N N N N/A N/A 000000000 1.000000 NC -102272.610000 -0.0038639 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 24389780.000000 TWD 745614.000000 USD 2025-08-20 -102272.610000 N N N N/A N/A 000000000 1.000000 NC -102600.570000 -0.0038762 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 27722145.000000 TWD 851862.000000 USD 2025-07-16 -102600.570000 N N N N/A N/A 000000000 1.000000 NC -5685.890000 -0.0002148 N/A DFE AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 665000.000000 AUD 431984.000000 USD 2025-07-02 -5685.890000 N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LUZ2 5200000.000000 PA USD 5244779.440000 0.198148 Long DBT CORP US N 2 2026-04-10 Fixed 5.6 N N N N N N CANADIAN NATURAL RESOURCES LIMITED 549300T15RIMIKZC5Q38 13638WV66 9030000.000000 PA USD 8985897.480000 0.339487 Long DBT CORP CA N 2 2025-08-06 None 0 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAB1 495440.400000 PA USD 496720.120000 0.0187661 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAD3 363748.780000 PA USD 346815.980000 0.0131027 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.73368 N N N N N N FREDDIE MAC 4559 N/A 3137BNCR3 73080.850000 PA USD 73771.460000 0.0027871 Long ABS-MBS USGSE US N 2 2042-03-15 Floating 4.96449 N N N N N N N/A N/A 000000000 1.000000 NC USD 419258.340000 0.0158396 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-09-24 0.000000 USD 0.000000 USD 8938651.990000 USD 419258.340000 N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-2 N/A 89616PAA1 243649.610000 PA USD 244429.190000 0.0092345 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.36 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32 N/A 38376RMP8 735977.630000 PA USD 737449.440000 0.0278608 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 5.19602 N N N N N N N/A N/A 000000000 1.000000 NC -519720.850000 -0.019635 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 -402901.650000 GBP 42080000.000000 GBP -116819.200000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 2354915.870000 PA USD 2367064.170000 0.0894276 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N BEAR STEARNS ALT-A TR 2004-12 N/A 07386HNV9 2247699.220000 PA USD 2198892.000000 0.0830741 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.00868 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 23389.160000 PA USD 23373.110000 0.000883 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 5.16965 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 5700000.000000 PA USD 5725929.300000 0.216325 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 326701.710000 PA USD 328662.120000 0.0124168 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 90720.970000 PA USD 94150.020000 0.003557 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 6.845 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 6081286.430000 PA USD 5573852.210000 0.21058 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AA9 82648.300000 PA USD 81151.680000 0.0030659 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.71368 N N N N N N N/A N/A 000000000 1.000000 NC 70.800000 0.0000027 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 24333.000000 USD 3501326.000000 JPY 2025-08-04 70.800000 N N N FNMA PASS THRU POOLS N/A 31384WV31 1804.400000 PA USD 1808.270000 0.0000683 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 282943.260000 PA USD 282591.170000 0.0106763 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.08833 N N N N N N PRPM 2024-NQM4 TRUST N/A 69381UAA5 3636438.800000 PA USD 3644385.150000 0.137685 Long ABS-MBS CORP US N 2 2069-12-26 Fixed 5.674 N N N N N N N/A N/A 000000000 1.000000 NC USD 22008.270000 0.0008315 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 21958.270000 USD 0.000000 USD 1000000.000000 USD 50.000000 N N N N/A N/A 000000000 1.000000 NC -119.530000 -0.0000045 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 21625.080000 SGD 16888.000000 USD 2025-07-02 -119.530000 N N N ACHV ABS TRUST 2024-1PL N/A 00092BAA2 479195.530000 PA USD 483610.650000 0.0182708 Long ABS-O CORP US N 2 2031-04-25 Fixed 5.9 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 425359.240000 PA USD 422680.670000 0.0159689 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 4.96833 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 42929.260000 PA USD 39171.710000 0.0014799 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618KWBS1 1300000.000000 PA USD 1320276.040000 0.04988 Long ABS-MBS USGSE US N 2 2055-06-20 Fixed 7 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D26 200000.000000 PA USD 202769.930000 0.0076606 Long DBT CORP US N 2 2026-06-10 Fixed 6.95 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 600000.000000 PA USD 630432.630000 0.0238177 Long DBT CORP CH N 2 2029-09-22 Floating 6.246 N N N N N N M&T EQUIPMENT 2024-LEAF1 LLC N/A 55376YAB1 2319106.500000 PA USD 2324087.940000 0.087804 Long ABS-O CORP US N 2 2031-08-18 Fixed 4.99 N N N N N N N/A N/A 000000000 1.000000 NC USD 30991047.760000 1.17084 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-07-16 0.000000 USD 0.000000 USD 302795301.600000 USD 30991047.760000 N N N N/A N/A 000000000 1.000000 NC USD 108165.700000 0.0040865 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-05-15 0.000000 USD 0.000000 USD 26500000.000000 USD 108165.700000 N N N N/A N/A 000000000 1.000000 NC USD 643725.030000 0.0243199 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 724755.920000 USD 0.000000 USD 5800000.000000 USD -81030.890000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 500000.000000 PA USD 481493.250000 0.0181908 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N LENDBUZZ SECURITIZATION TRUST 2025-1A N/A 525938AC0 1000000.000000 PA USD 1003668.300000 0.0379186 Long ABS-O CORP US N 2 2030-10-15 Fixed 5.1 N N N N N N N/A N/A 000000000 1.000000 NC USD 4594540.470000 0.173582 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-09-03 0.000000 USD 0.000000 USD 97907599.880000 USD 4594540.470000 N N N N/A N/A 000000000 1.000000 NC 39052.380000 0.0014754 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1574867.000000 USD 46875916.000000 TWD 2025-07-16 39052.380000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAC4 273811.600000 PA USD 273988.150000 0.0103513 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.31 N N N N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 18036821.530000 PA USD 17999992.140000 0.680039 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.24517 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-14 N/A 126670LS5 8900000.000000 PA USD 8663962.210000 0.327324 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.52868 N N N N N N FREDDIE MAC REMICS 5517 N/A 3137HKGJ7 6799078.750000 PA USD 6746035.740000 0.254865 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.25517 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 200000.000000 PA USD 199873.940000 0.0075512 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N TOWD POINT MORTGAGE TRUST 2024-5 N/A 891944AA8 8858534.430000 PA USD 8852188.180000 0.334435 Long ABS-MBS CORP US N 2 2064-10-25 Variable 4.51781 N N N N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 577461.470000 PA USD 579620.830000 0.0218981 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A N/A ACI2Q3MV4 1326204.680000 PA 1561133.550000 0.0589796 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 3.133 N N N N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002AUG7 8500000.000000 PA USD 8482575.000000 0.320471 Long DBT CORP NL N 2 2025-07-16 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -12936.020000 -0.0004887 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 718818.920000 ILS 200485.000000 USD 2025-07-18 -12936.020000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 600000.000000 PA USD 596061.190000 0.0225192 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -182558.010000 -0.006897 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -457664.270000 USD 61950000.000000 USD 275106.260000 N N N PRPM 2025-RCF3 LLC N/A 69392PAA3 2500000.000000 PA USD 2498048.500000 0.0943762 Long ABS-MBS CORP US N 2 2055-07-25 Variable 5.25 N N N N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 4789990.550000 PA 6589692.490000 0.248958 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.23021 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAD1 7134094.720000 PA USD 7180735.290000 0.271288 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.84 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 21400000.000000 PA USD 19896989.830000 0.751708 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 209764.510000 0.0079249 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2026-04-15 0.000000 USD 0.000000 USD 4475850.560000 USD 209764.510000 N N N FREDDIE MAC 5557 N/A 3137HLZ21 1400000.000000 PA USD 1400439.320000 0.0529086 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 5.40385 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 79363.090000 PA USD 79402.090000 0.0029998 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.13965 N N N N N N N/A N/A 000000000 1.000000 NC 15636.390000 0.0005907 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 680148.000000 USD 20208897.000000 TWD 2025-07-16 15636.390000 N N N N/A N/A 000000000 1.000000 NC -9227.370000 -0.0003486 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 6820158.190000 CNY 944581.000000 USD 2025-07-16 -9227.370000 N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 5258605.250000 PA 6202082.650000 0.234315 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 3.391 N N N N N N N/A N/A 000000000 1.000000 NC -23353.280000 -0.0008823 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2000000.000000 BRL 336371.890000 USD 2025-10-02 -23353.280000 N N N N/A N/A 000000000 1.000000 NC 10851.920000 0.00041 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 916043.190000 USD 6610000.000000 CNY 2025-08-20 10851.920000 N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 233805.370000 PA USD 233925.950000 0.0088377 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 5.56771 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 N/A 46654PAG1 8900000.000000 PA USD 8829062.550000 0.333562 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.09148 N N N N N N N/A N/A 000000000 1.000000 NC USD 2040602.250000 0.0770939 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2026-01-16 0.000000 USD 0.000000 USD 43466642.040000 USD 2040602.250000 N N N N/A N/A 000000000 1.000000 NC -111644.260000 -0.0042179 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30884763.000000 TWD 951706.000000 USD 2025-07-16 -111644.260000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 400000.000000 PA USD 48000.000000 0.0018134 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 5137.660000 0.0001941 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 36702.430000 USD 1203546.000000 TWD 2025-08-20 5137.660000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 7700000.000000 PA USD 7224812.210000 0.272953 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.86223 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 295906.030000 PA USD 296146.870000 0.0111884 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UUW3 1750000.000000 PA USD 1743167.650000 0.0658568 Long DBT CORP CA N 2 2025-07-30 None 0 N N N N N N F&G GLOBAL FUNDING 6354009CCUKJIZ7KFX73 30321L2C5 300000.000000 PA USD 275682.530000 0.0104153 Long DBT CORP US N 2 2028-09-20 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 31362JUL7 337.730000 PA USD 334.880000 0.0000127 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 4.517 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-1 N/A 02008FAB0 537893.350000 PA USD 538172.840000 0.0203322 Long ABS-O CORP US N 2 2027-01-15 Fixed 5.32 N N N N N N FANNIE MAE REMICS 2025-6 N/A 3136BUTN0 3968974.460000 PA USD 3986245.850000 0.1506 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.55517 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 261728.840000 PA USD 238981.690000 0.0090287 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 9252119.250000 0.349545 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2025-08-13 0.000000 USD 0.000000 USD 139664404.790000 USD 9252119.250000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECP8 400000.000000 PA USD 407719.820000 0.0154036 Long DBT CORP GB N 2 2028-03-12 Floating 5.674 N N N N N N N/A N/A 000000000 1.000000 NC USD -75839.780000 -0.0028652 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -66971.390000 USD 7810000.000000 USD -8868.390000 N N N N/A N/A 000000000 1.000000 NC -147.860000 -0.0000056 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 75698191.000000 KRW 55843.680000 USD 2025-07-16 -147.860000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KDJ6 6700000.000000 PA USD 6858861.360000 0.259128 Long DBT CORP US N 2 2030-03-15 Fixed 5.05 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 43732.950000 PA USD 43149.290000 0.0016302 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.99368 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HY2 100000.000000 PA USD 102467.550000 0.0038712 Long DBT CORP US N 2 2028-10-01 Fixed 5.65 N N N N N N N/A N/A 000000000 1.000000 NC 3637.760000 0.0001374 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 339700000.000000 JPY 2362583.630000 USD 2025-07-02 3637.760000 N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 N/A 107933AC7 232120.210000 PA USD 232438.730000 0.0087815 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.53 N N N N N N N/A N/A 000000000 1.000000 NC -294257.260000 -0.011117 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 123500000.000000 BRL 20951592.490000 USD 2026-04-02 -294257.260000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 4400000.000000 PA USD 4470992.860000 0.168914 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N N/A N/A 000000000 1.000000 NC 14764257.530000 0.557793 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 13922800.880000 EUR 0.000000 EUR 68023018.000000 EUR 841456.650000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 26377.750000 PA USD 25349.370000 0.0009577 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.06319 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4R0 472.120000 PA USD 395.090000 0.0000149 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.098 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LT8 13115.340000 PA USD 13187.240000 0.0004982 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAD3 2794127.310000 PA USD 1098839.740000 0.0415141 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.75368 N N N N N N N/A N/A 000000000 1.000000 NC -115135.630000 -0.0043498 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 28001734.000000 TWD 858317.000000 USD 2025-08-20 -115135.630000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 4900000.000000 PA USD 4949514.550000 0.186993 Long DBT CORP CA N 2 2027-01-19 Fixed 4.875 N N N N N N FNMA PASS THRU POOLS N/A 3140NVBF3 2700000.000000 PA USD 2750881.120000 0.103928 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 4.73 N N N N N N REACH ABS TRUST 2024-1A N/A 75526PAA9 561743.320000 PA USD 563114.030000 0.0212744 Long ABS-O CORP US N 2 2031-02-18 Fixed 6.3 N N N N N N ALLY AUTO RECEIVABLES TRUST 2023-1 N/A 02007WAC2 2729809.250000 PA USD 2749578.530000 0.103879 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.46 N N N N N N FNMA PASS THRU POOLS N/A 3140NVR90 10300000.000000 PA USD 10469629.980000 0.395542 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 4.61 N N N N N N N/A N/A 000000000 1.000000 NC -3250.310000 -0.0001228 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 330595577.000000 KRW 241280.700000 USD 2025-07-16 -3250.310000 N N N N/A N/A 000000000 1.000000 NC 8052.610000 0.0003042 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 394924.120000 USD 11704366.000000 TWD 2025-07-16 8052.610000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR5 N/A 94983RAA2 879201.590000 PA USD 889762.300000 0.0336152 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.74097 N N N N N N GNMA PASS THRU POOLS N/A 36225CER3 4526.350000 PA USD 4560.260000 0.0001723 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -1853.490000 -0.00007 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 101753.080000 ILS 28357.520000 USD 2025-07-18 -1853.490000 N N N FNMA PASS THRU POOLS N/A 31403VDD8 33055.990000 PA USD 33676.600000 0.0012723 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.605 N N N N N N N/A N/A 000000000 1.000000 NC -77836.180000 -0.0029406 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19842703.000000 TWD 611975.790000 USD 2025-08-20 -77836.180000 N N N REGATTA XXIII FUNDING LTD N/A 75889FAC8 10868000.000000 PA USD 10916329.780000 0.412419 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.68108 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST 2021-2A N/A 00258BAA2 3381253.180000 PA USD 3152202.690000 0.11909 Long ABS-O CORP US N 2 2047-01-15 Fixed 2.798 N N N N N N CHASE ISSUANCE TRUST 2024-A2 N/A 161571HW7 11100000.000000 PA USD 11310669.120000 0.427317 Long ABS-MBS CORP US N 2 2031-01-15 Fixed 4.63 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 B1KNGGII4 43800000.000000 PA 2056191.760000 0.0776829 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC -108379.960000 -0.0040946 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 27111110.000000 TWD 834111.000000 USD 2025-08-20 -108379.960000 N N N N/A N/A 000000000 1.000000 NC USD 283973.060000 0.0107285 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.44 Y Single Leg Swap 2030-06-20 196630.000000 USD 0.000000 USD 3700000.000000 USD 87343.060000 N N N N/A N/A 000000000 1.000000 NC 8422.460000 0.0003182 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 626428.000000 USD 54531246.470000 INR 2025-08-20 8422.460000 N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 2571025.330000 PA USD 2389120.150000 0.0902609 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.74368 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAC8 2000000.000000 PA USD 2026988.200000 0.0765796 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1900000.000000 PA USD 1886404.550000 0.0712683 Long ABS-MBS CORP US N 2 2032-04-15 Floating 5.34771 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 297832.430000 PA 351382.930000 0.0132752 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 3.096 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZX1 6900000.000000 PA USD 6948071.610000 0.262498 Long DBT CORP CA N 2 2027-07-23 Floating 5.069 N N N N N N N/A N/A 000000000 1.000000 NC -43141.120000 -0.0016299 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2246000.000000 GBP 3039830.060000 USD 2025-07-02 -43141.120000 N N N FNMA PASS THRU POOLS N/A 31363EH73 209.850000 PA USD 210.780000 0.000008 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 5.6 N N N N N N N/A N/A 000000000 1.000000 NC -325.990000 -0.0000123 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 651097.000000 USD 55898760.960000 INR 2025-08-20 -325.990000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAC1 815000.000000 PA USD 790559.780000 0.0298673 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.89368 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368L8M1 2100000.000000 PA USD 2106678.210000 0.0795902 Long DBT CORP CA N 2 2027-09-10 Floating 5.20585 N N N N N N N/A N/A 000000000 1.000000 NC 163.260000 0.0000062 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1430000.000000 USD 46445542.000000 THB 2025-07-16 163.260000 N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAB5 3160473.040000 PA USD 3031836.100000 0.114543 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.69368 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJG84 841571.680000 PA USD 843805.040000 0.0318789 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.30517 N N N N N N N/A N/A 000000000 1.000000 NC -1266.140000 -0.0000478 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 463356.000000 USD 66543250.000000 JPY 2025-07-02 -1266.140000 N N N N/A N/A 000000000 1.000000 NC -2011651.010000 -0.0760001 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 116200000.000000 BRL 18888381.370000 USD 2025-10-02 -2011651.010000 N N N TOYOTA AUTO RECEIVABLES 2023-A OWNER TRUST N/A 891940AC2 2352684.910000 PA USD 2354049.000000 0.0889359 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.63 N N N N N N TCW CLO AMR LTD 2019-1A N/A 87241EAQ8 4000000.000000 PA USD 4005580.920000 0.151331 Long ABS-CBDO CORP KY N 2 2034-08-16 Floating 5.6242 N N N N N N N/A N/A 000000000 1.000000 NC 70417.620000 0.0026604 N/A DFE CH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2329229.490000 USD 1904000.000000 CHF 2025-07-02 70417.620000 N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484AL5 1300000.000000 PA USD 1302276.940000 0.0492 Long DBT CORP US N 2 2026-06-10 Floating 5.14584 N N N N N N N/A N/A 000000000 1.000000 NC -70.810000 -0.0000027 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3514271.000000 JPY 24333.000000 USD 2025-07-02 -70.810000 N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 59920.430000 PA USD 34411.630000 0.0013001 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.90516 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 376686.840000 PA USD 332678.860000 0.0125686 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.97368 N N N N N N N/A N/A 000000000 1.000000 NC USD 486.670000 0.0000184 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -2346.000000 USD 92000.000000 USD 2832.670000 N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 296133.000000 PA 348359.070000 0.013161 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 2.929 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1299627.350000 PA USD 1237417.050000 0.0467496 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.75368 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TY4 6720314.500000 PA USD 6155416.220000 0.232551 Long DBT UST US N 2 2054-02-15 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 212501.710000 0.0080283 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2029-12-20 205912.560000 USD 0.000000 USD 9310000.000000 USD 6589.150000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QL8W8 1000000.000000 PA 1179890.260000 0.0445762 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 4.179 N N N N N N GNMA PASS THRU POOLS N/A 36225CCY0 518.980000 PA USD 521.160000 0.0000197 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 18121.940000 0.0006846 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 15299.190000 USD 0.000000 USD 2000000.000000 USD 2822.750000 N N N N/A N/A 000000000 1.000000 NC 11328.010000 0.000428 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 768610.050000 USD 5562000.000000 CNY 2025-08-20 11328.010000 N N N TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST N/A 89239TAD4 3800000.000000 PA USD 3817964.500000 0.144243 Long ABS-O CORP US N 2 2029-06-15 Fixed 4.4 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 16338.480000 PA USD 16467.240000 0.0006221 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.49 N N N N N N N/A N/A 000000000 1.000000 NC USD 1835516.160000 0.0693457 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-31 0.000000 USD 0.000000 USD 103800000.000000 USD 1835516.160000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBJ7 9500000.000000 PA USD 9660859.890000 0.364987 Long DBT NUSS SA N 2 2028-01-13 Fixed 5.125 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3L5 1100000.000000 PA USD 1124259.660000 0.0424745 Long DBT CORP US N 2 2028-04-22 Floating 5.707 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 67977.440000 PA USD 70254.710000 0.0026542 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.826 N N N N N N RCKT MORTGAGE TRUST 2024-CES6 N/A 749410AA4 2240691.620000 PA USD 2242158.380000 0.0847087 Long ABS-MBS CORP US N 2 2044-09-25 Variable 5.344 N N N N N N N/A N/A 000000000 1.000000 NC -1915217.950000 -0.0723569 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 46824957.360000 EUR 53242270.940000 USD 2025-07-02 -1915217.950000 N N N N/A N/A 000000000 1.000000 NC -26995.270000 -0.0010199 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3869436.770000 SGD 3016211.000000 USD 2025-07-02 -26995.270000 N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAD2 2564000.000000 PA USD 2292614.450000 0.0866149 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.175 N N N N N N N/A N/A 000000000 65.000000 NC USD 182716.950000 0.006903 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 7498359.380000 USD 182716.950000 N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 1108296.290000 PA USD 1112748.090000 0.0420396 Long ABS-O CORP US N 2 2031-12-26 Fixed 5.01 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397G23 2900000.000000 PA USD 2848811.230000 0.107628 Long DBT CORP US N 2 2029-09-06 Fixed 5.303 N N N N N N N/A N/A 000000000 1.000000 NC 9269.050000 0.0003502 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2025-12-20 11717.190000 EUR 0.000000 EUR 2000000.000000 EUR -2448.140000 N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 28788.520000 PA USD 28914.450000 0.0010924 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.01368 N N N N N N N/A N/A 000000000 1.000000 NC USD -5136.340000 -0.0001941 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.40 Y Single Leg Swap 2028-12-20 0.000000 USD -55440.000000 USD 1200000.000000 USD 50303.660000 N N N CARMAX AUTO OWNER TRUST 2023-1 N/A 14318DAC3 1700853.230000 PA USD 1702862.280000 0.0643341 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.75 N N N N N N OPORTUN ISSUANCE TRUST 2025-A N/A 68377TAA6 2400000.000000 PA USD 2399277.120000 0.0906446 Long ABS-O CORP US N 2 2033-02-08 Fixed 5.01 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB60 100000.000000 PA USD 100322.460000 0.0037902 Long DBT CORP US N 2 2030-10-23 Floating 4.692 N N N N N N DRYDEN SENIOR LOAN FUND 2016-43A N/A 26245CBQ5 3500000.000000 PA USD 3500890.300000 0.132264 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.33947 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-A N/A 22411CAA8 203438.350000 PA USD 203643.010000 0.0076936 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.71 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 313058.300000 PA USD 297765.340000 0.0112496 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -12241.390000 -0.0004625 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.43 Y Single Leg Swap 2030-06-20 0.000000 USD -17980.000000 USD 500000.000000 USD 5738.610000 N N N N/A N/A 000000000 1.000000 NC USD -7423.700000 -0.0002805 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.42 Y Single Leg Swap 2029-12-20 0.000000 USD -14570.000000 USD 500000.000000 USD 7146.300000 N N N FLAGSHIP CREDIT AUTO TRUST 2024-3 N/A 33843YAA5 1000852.870000 PA USD 1002684.930000 0.0378814 Long ABS-O CORP US N 2 2028-11-15 Fixed 4.88 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 458815.230000 PA 541249.150000 0.0204484 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 3.229 N N N N N N CARVAL CLO III LTD N/A 14686WAW1 7693842.990000 PA USD 7699595.060000 0.290891 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.25947 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 92854.000000 PA USD 92856.660000 0.0035081 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.12833 N N N N N N N/A N/A 000000000 1.000000 NC -77.410000 -0.0000029 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 14159.940000 SGD 11059.000000 USD 2025-07-02 -77.410000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 2300000.000000 PA USD 276000.000000 0.0104273 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DP7 600000.000000 PA USD 617536.160000 0.0233305 Long DBT CORP US N 2 2027-05-01 Fixed 6.259 N N N N N N BLACKBIRD CAPITAL AIRCRAFT LEASE SECURITIZATION LTD 2021-1A N/A 09229CAA7 2191201.310000 PA USD 2057476.020000 0.0777314 Long ABS-O CORP US N 2 2046-07-15 Fixed 2.443 N N N N N N HENLEY CLO VII DAC 7A N/A ACI2QFVZ8 2800000.000000 PA 3294852.070000 0.124479 Long ABS-CBDO CORP IE N 2 2034-04-25 Floating 3.148 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAC4 178601.670000 PA USD 179024.460000 0.0067635 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.45 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2023-B N/A 44933XAD9 2771875.160000 PA USD 2790203.350000 0.105414 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.48 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 9042.780000 PA USD 8609.040000 0.0003252 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.83368 N N N N N N N/A N/A 000000000 1.000000 NC 308.390000 0.0000117 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 128515.000000 USD 18482885.000000 JPY 2025-08-04 308.390000 N N N N/A N/A 000000000 1.000000 NC -134757.900000 -0.0050911 N/A DFE CZ N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 49002225.600000 CZK 2203389.000000 USD 2025-08-22 -134757.900000 N N N N/A N/A 000000000 1.000000 NC 264.140000 0.00001 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 652107.000000 USD 56036206.620000 INR 2025-08-20 264.140000 N N N N/A N/A 000000000 1.000000 NC -12835.330000 -0.0004849 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1610713.730000 SGD 1253947.000000 USD 2025-07-02 -12835.330000 N N N N/A N/A 000000000 1.000000 NC -1952.130000 -0.0000738 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5449475.170000 CNY 762207.000000 USD 2025-08-20 -1952.130000 N N N N/A N/A 000000000 1.000000 NC USD 284558.360000 0.0107506 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-18 0.000000 USD -278913.020000 USD 138260000.000000 USD 563471.380000 N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 7953322.850000 PA USD 7901277.900000 0.29851 Long ABS-MBS CORP US N 2 2051-08-25 Variable 4.6696 N N N N N N N/A N/A 000000000 1.000000 NC -11237.740000 -0.0004246 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 6728306.270000 CNY 932247.000000 USD 2025-08-20 -11237.740000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2016-C N/A 78449KAD2 5594712.340000 PA USD 5516330.980000 0.208407 Long ABS-O CORP US N 2 2040-11-15 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -25081.130000 -0.0009476 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 7261373.000000 USD 1042062211.000000 JPY 2025-07-02 -25081.130000 N N N N/A N/A 000000000 1.000000 NC -462.710000 -0.0000175 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 665810.300000 ILS 197208.000000 USD 2025-07-09 -462.710000 N N N N/A N/A 000000000 1.000000 NC 13613.520000 0.0005143 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4260000.000000 USD 5779914354.000000 KRW 2025-07-10 13613.520000 N N N N/A N/A 000000000 1.000000 NC 210996.020000 0.0079714 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1628000.000000 USD 52899418.000000 TWD 2025-08-20 210996.020000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 U94974KM0 900000.000000 PA 951759.490000 0.0359574 Long DBT CORP US N 2 2030-03-25 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -246.270000 -0.0000093 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 24799.360000 SGD 19257.750000 USD 2025-07-02 -246.270000 N N N STRUCTURED ASSET SECUR CORP 2004-23XS N/A 86359BU74 1221530.750000 PA USD 1275354.570000 0.0481829 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.25868 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4G3 600000.000000 PA USD 613868.680000 0.0231919 Long DBT CORP US N 2 2030-01-07 Fixed 5.38 N N N N N N MF1 2020-FL4 LTD N/A 58003UAC2 12000000.000000 PA USD 12030717.360000 0.45452 Long ABS-CBDO CORP US N 2 2035-12-15 Floating 6.52818 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 3025162.470000 PA USD 3034969.440000 0.114661 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 100000.000000 PA USD 98499.180000 0.0037213 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N N/A N/A 000000000 1.000000 NC -25879.150000 -0.0009777 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK 0.000000 CZK 48800000.000000 CZK -25879.150000 N N N N/A N/A 000000000 1.000000 NC 202646.580000 0.007656 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1538000.000000 USD 50070359.000000 TWD 2025-08-20 202646.580000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 296708.910000 PA USD 262318.750000 0.0099104 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.63368 N N N N N N N/A N/A 000000000 1.000000 NC USD -84495.170000 -0.0031922 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -149872.490000 USD 7700000.000000 USD 65377.320000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JF1 500000.000000 PA USD 499343.790000 0.0188652 Long DBT CORP US N 2 2026-09-06 Fixed 4.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -1450.670000 -0.0000548 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -652.000000 USD 100000.000000 USD -798.670000 N N N N/A N/A 000000000 1.000000 NC -102115.700000 -0.0038579 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7900000.000000 BRL 1318798.720000 USD 2025-10-02 -102115.700000 N N N N/A N/A 000000000 1.000000 NC 13698.410000 0.0005175 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 627323.000000 USD 18618319.000000 TWD 2025-07-16 13698.410000 N N N CROSS 2024-H8 MORTGAGE TRUST N/A 22757GAC7 3800900.370000 PA USD 3820748.290000 0.144348 Long ABS-MBS CORP US N 2 2069-12-25 Variable 5.549 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PW1 5116000.000000 PA USD 5072682.830000 0.191646 Long DBT UST US N 2 2025-09-11 None 0 N N N N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 1292053.000000 PA USD 1303609.120000 0.0492503 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAM3 161000.000000 PA USD 158051.540000 0.0059712 Long DBT CORP KY N 2 2026-02-21 Fixed 2.125 N N N N N N GSAMP TRUST 2005-HE5 N/A 362341ZE2 303058.140000 PA USD 295910.910000 0.0111795 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.33368 N N N N N N DRYDEN 95 CLO LTD N/A 262487AJ0 3800000.000000 PA USD 3790955.010000 0.143222 Long ABS-CBDO CORP KY N 2 2034-08-20 Floating 5.36199 N N N N N N N/A N/A 000000000 1.000000 NC -113044.830000 -0.0042708 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26982784.000000 TWD 824985.000000 USD 2025-08-20 -113044.830000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 4500000.000000 PA USD 4627737.900000 0.174836 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC -40839.480000 -0.0015429 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2600000.000000 BRL 426803.240000 USD 2025-10-02 -40839.480000 N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 2175465.570000 PA 2993318.890000 0.113087 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.22135 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-2A N/A 379924AC7 2088658.710000 PA USD 2109067.410000 0.0796805 Long ABS-O CORP US N 2 2030-06-17 Fixed 5.58 N N N N N N N/A N/A 000000000 1.000000 NC -13.270000 -0.0000005 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6721.490000 SGD 5273.000000 USD 2025-07-02 -13.270000 N N N N/A N/A 000000000 28.000000 NC USD 81117.040000 0.0030646 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 3199218.740000 USD 81117.040000 N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 2676984.020000 PA USD 2673943.640000 0.101022 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 5.50847 N N N N N N CARDS II TRUST 2023-2A N/A 14161GCF5 4000000.000000 PA USD 4000628.800000 0.151144 Long ABS-MBS CORP CA N 2 2028-07-15 Floating 5.16818 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI0M1TC1 8400000.000000 PA 9774534.120000 0.369282 Long DBT CORP US N 2 2026-10-26 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBZ3 4600000.000000 PA USD 4300101.570000 0.162458 Long DBT UST US N 2 2028-04-30 Fixed 1.25 N N N N N N FNMA PASS THRU POOLS N/A 3140H6PA1 8572.650000 PA USD 7863.070000 0.0002971 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -1372112.110000 -0.0518384 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 -1056492.560000 USD 61110000.000000 USD -315619.550000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 1800000.000000 PA USD 1758576.370000 0.066439 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC) 549300CTE3HOMEUMM603 12610BUA8 13090000.000000 PA USD 13072746.070000 0.493888 Long DBT CORP US N 2 2025-07-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -6799.090000 -0.0002569 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6250658.670000 CNY 867364.000000 USD 2025-07-16 -6799.090000 N N N N/A N/A 000000000 1.000000 NC 9059399.690000 0.342264 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 8340729.430000 EUR 0.000000 EUR 41739160.120000 EUR 718670.260000 N N N N/A N/A 000000000 1.000000 NC -8574.220000 -0.0003239 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14423403.830000 THB 435555.000000 USD 2025-07-16 -8574.220000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFP5 100000.000000 PA USD 102259.530000 0.0038634 Long DBT CORP US N 2 2028-04-13 Floating 5.652 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2HDVK6 173200000.000000 PA 30749341.300000 1.16171 Long DBT NUSS BR N 2 2025-10-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -709642.240000 -0.0268103 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-18 0.000000 USD -1036838.190000 USD 39700000.000000 USD 327195.950000 N N N N/A N/A 000000000 1.000000 NC -47929.790000 -0.0018108 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7652057.180000 CAD 5571352.150000 USD 2025-07-02 -47929.790000 N N N N/A N/A 000000000 1.000000 NC 7176.460000 0.0002711 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 863782.780000 USD 1177500048.000000 KRW 2025-07-16 7176.460000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VBF7 200000.000000 PA USD 201898.760000 0.0076277 Long DBT CORP US N 2 2029-09-01 Fixed 4.9 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A45 400000.000000 PA USD 394383.740000 0.0148998 Long DBT CORP US N 2 2027-01-09 Fixed 4.271 N N N N N N VENTURE 36 CLO LTD N/A 92332LAU3 653706.560000 PA USD 654359.570000 0.0247217 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 5.66399 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B93 200000.000000 PA USD 181917.010000 0.0068728 Long DBT CORP US N 2 2029-02-10 Fixed 2.9 N N N N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002AUE2 4320000.000000 PA USD 4312261.580000 0.162917 Long DBT CORP NL N 2 2025-07-14 None 0 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 110128.380000 PA USD 106345.070000 0.0040177 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 2599422.200000 0.0982061 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-16 610464.470000 USD 0.000000 USD 72100000.000000 USD 1988957.730000 N N N N/A N/A 000000000 1.000000 NC USD 59117.500000 0.0022335 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2026-12-20 79594.270000 USD 0.000000 USD 6200000.000000 USD -20476.770000 N N N N/A N/A 000000000 1.000000 NC USD 24757.470000 0.0009353 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 12435.110000 USD 0.000000 USD 1200000.000000 USD 12322.360000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78017DAC2 700000.000000 PA USD 714667.280000 0.0270001 Long DBT CORP CA N 2 2031-02-04 Floating 5.153 N N N N N N FREDDIE MAC REMICS 5549 N/A 3137HLS52 2170237.700000 PA USD 2176417.670000 0.082225 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.50517 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 1400000.000000 PA USD 1371310.820000 0.0518081 Long DBT CORP US N 2 2027-02-04 Floating 1.04 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JB0 2300000.000000 PA USD 2311860.410000 0.087342 Long DBT CORP US N 2 2026-03-01 Fixed 5.35 N N N N N N EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 635400B4JJBON4TCHF02 29449WAU1 8600000.000000 PA USD 8637056.200000 0.326308 Long DBT CORP US N 2 2027-04-01 Fixed 4.6 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N1 N/A 14687QAC7 2314000.000000 PA USD 2321666.980000 0.0877125 Long ABS-O CORP US N 2 2028-03-10 Fixed 5.6 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 700000.000000 PA 790382.150000 0.0298606 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAA0 1800000.000000 PA USD 1449743.220000 0.0547713 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.37648 N N N N N N N/A N/A 000000000 1.000000 NC -108303.020000 -0.0040917 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 31823226.000000 TWD 998000.000000 USD 2025-08-20 -108303.020000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 4284233.410000 PA USD 4289759.210000 0.162067 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 6.721 N N N N N N N/A N/A 000000000 1.000000 NC -90541.960000 -0.0034207 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 21601907.000000 TWD 660427.000000 USD 2025-08-20 -90541.960000 N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 1151.980000 PA USD 1140.190000 0.0000431 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.78368 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 340032.020000 PA USD 335610.280000 0.0126793 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 USD -138269.360000 -0.0052238 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 36439.300000 USD 0.000000 USD 12600000.000000 USD -174708.660000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3V1 6900000.000000 PA USD 6963126.930000 0.263067 Long DBT CORP US N 2 2026-05-08 Fixed 5.62 N N N N N N N/A N/A 000000000 1.000000 NC 20810.110000 0.0007862 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1699064.090000 USD 12265000.000000 CNY 2025-08-20 20810.110000 N N N N/A N/A 000000000 1.000000 NC USD 190210.610000 0.0071862 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -389.270000 USD 1380000.000000 USD 190599.880000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BC1 1400000.000000 PA USD 1437821.600000 0.0543209 Long DBT CORP CH N 2 2027-12-22 Floating 6.327 N N N N N N N/A N/A 000000000 1.000000 NC -838.800000 -0.0000317 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 75158.110000 SGD 58271.000000 USD 2025-07-02 -838.800000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 16423.450000 PA USD 16224.580000 0.000613 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.76965 N N N N N N N/A N/A 000000000 1.000000 NC 3137.340000 0.0001185 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 683466.000000 USD 58976622.870000 INR 2025-08-20 3137.340000 N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 445250.500000 PA 523741.700000 0.0197869 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.059 N N N N N N N/A N/A 000000000 1.000000 NC 10802.410000 0.0004081 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 649231.750000 USD 3586031.570000 BRL 2025-07-02 10802.410000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 2700000.000000 PA USD 2734487.910000 0.103309 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 USD 4436153.070000 0.167598 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2025-07-09 0.000000 USD 0.000000 USD 94332139.080000 USD 4436153.070000 N N N BMO 2022-C1 MORTGAGE TRUST N/A 05609MCJ2 5737000.000000 PA USD 5203967.870000 0.196606 Long ABS-MBS CORP US N 2 2055-02-17 Variable 3.37762 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 348133.420000 PA USD 348273.540000 0.0131578 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 5.13833 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GML0 7700000.000000 PA USD 7894072.570000 0.298238 Long DBT CORP US N 2 2031-01-24 Floating 5.162 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 400000.000000 PA USD 48000.000000 0.0018134 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N MF1 2024-FL14 LLC N/A 55416AAA7 900000.000000 PA USD 903833.270000 0.0341468 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.05458 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 222915.710000 PA USD 198400.020000 0.0074955 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.02963 N N N N N N N/A N/A 000000000 1.000000 NC USD 343461.210000 0.012976 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2025-11-05 0.000000 USD 0.000000 USD 5932815.500000 USD 343461.210000 N N N N/A N/A 000000000 1.000000 NC 167.860000 0.0000063 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 55843.680000 USD 75734808.000000 KRW 2025-07-08 167.860000 N N N N/A N/A 000000000 1.000000 NC -119193.780000 -0.0045031 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30563957.000000 TWD 943332.000000 USD 2025-08-20 -119193.780000 N N N FANNIE MAE 2004-11 N/A 31393T7H3 13730.250000 PA USD 13707.930000 0.0005179 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 4.55645 N N N N N N N/A N/A 000000000 1.000000 NC 69627.710000 0.0026305 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6444622.000000 USD 934629372.000000 JPY 2025-08-04 69627.710000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAL5 800000.000000 PA USD 742968.750000 0.0280693 Long DBT UST US N 2 2027-09-30 Fixed 0.375 N N N N N N N/A N/A 000000000 1.000000 NC -13904.870000 -0.0005253 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4965663.390000 CZK 223032.340000 USD 2025-08-22 -13904.870000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GC36 1500000.000000 PA USD 1535564.750000 0.0580136 Long DBT CORP US N 2 2031-01-28 Floating 5.207 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 1795.110000 PA USD 1793.480000 0.0000678 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 4.875 N N N N N N UMBS PASS THRU POOLS N/A 01F060683 195100000.000000 PA USD 198085521.650000 7.48367 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAA3 7900000.000000 PA USD 7129573.830000 0.269355 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.82648 N N N N N N N/A N/A 000000000 1.000000 NC USD 67715.440000 0.0025583 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 335014.970000 USD 0.000000 USD 28140000.000000 USD -267299.530000 N N N FNMA PASS THRU POOLS N/A 31373UCE5 973.550000 PA USD 962.520000 0.0000364 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.447 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 2811122.720000 PA USD 1621460.930000 0.0612587 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.60774 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AB9 3759266.510000 PA USD 1874427.050000 0.0708158 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.54368 N N N N N N N/A N/A 000000000 1.000000 NC -1131.490000 -0.0000427 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 5754057.070000 CNY 805738.000000 USD 2025-08-20 -1131.490000 N N N N/A N/A 000000000 1.000000 NC USD 547910.150000 0.0207 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-01-15 0.000000 USD -27252.570000 USD 7700000.000000 USD 575162.720000 N N N N/A N/A 000000000 1.000000 NC -199063.970000 -0.0075206 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2034-10-19 0.000000 MXN 0.000000 MXN 53600000.000000 MXN -199063.970000 N N N N/A N/A 000000000 1.000000 NC 12.670000 0.0000005 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3482.000000 USD 4432.340000 SGD 2025-08-05 12.670000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3 N/A 021464AA0 1260940.820000 PA USD 1171191.720000 0.0442476 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.79368 N N N N N N N/A N/A 000000000 1.000000 NC USD -58499.120000 -0.0022101 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 23300000.000000 USD -58499.120000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAA7 2114464.620000 PA USD 2122761.780000 0.0801979 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.183 N N N N N N FHLMC PASS THRU POOLS N/A 31300MNY5 205191.420000 PA USD 212469.190000 0.0080271 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 6.901 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 72881.220000 PA USD 68592.910000 0.0025914 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.97368 N N N N N N OPORTUN ISSUANCE TRUST 2025-1 N/A 68377PAA4 2365738.660000 PA USD 2362418.110000 0.0892521 Long ABS-O CORP US N 2 2032-08-16 Fixed 4.96 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 428953.100000 PA 505376.640000 0.0190931 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 2.979 N N N N N N N/A N/A 000000000 1.000000 NC 5708.490000 0.0002157 N/A DFE AU N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 432236.700000 USD 665000.000000 AUD 2025-08-05 5708.490000 N N N FANNIE MAE REMICS 2025-4 N/A 3136BUU65 4154125.130000 PA USD 4164771.320000 0.157345 Long ABS-MBS USGSE US N 2 2053-12-25 Floating 5.50517 N N N N N N N/A N/A 000000000 1.000000 NC USD 1621905.190000 0.0612755 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 S&P 500 INDEX N/A N/A Y 2025-11-21 0.000000 USD 0.000000 USD 34488842.660000 USD 1621905.190000 N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 6741.300000 PA USD 6804.970000 0.0002571 Long ABS-MBS CORP US N 2 2033-04-25 Floating 6.57453 N N N N N N GNMA PASS THRU POOLS N/A 36202KVA0 303.700000 PA USD 303.070000 0.0000114 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 4.75 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAN9 7700000.000000 PA USD 7702937.010000 0.291017 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.58177 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRG3 122120.110000 PA USD 122948.710000 0.004645 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 5.59602 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 124681.970000 PA USD 125053.240000 0.0047245 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.88359 N N N N N N N/A N/A 000000000 1.000000 NC USD 117958.100000 0.0044565 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-05-16 0.000000 USD 0.000000 USD 24900000.000000 USD 117958.100000 N N N N/A N/A 000000000 1.000000 NC -3510.730000 -0.0001326 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4343000.000000 CNY 605491.610000 USD 2025-08-20 -3510.730000 N N N FANNIE MAE REMICS 2025-18 N/A 3136BVKH0 4354420.350000 PA USD 4340033.780000 0.163966 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 5.20517 N N N N N N N/A N/A 000000000 1.000000 NC -16942.660000 -0.0006401 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1100000.000000 BRL 180906.180000 USD 2025-10-02 -16942.660000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0DVTJ0 800000.000000 PA 240016.630000 0.0090678 Long DBT NUSS IL N 2 2025-08-31 Fixed 1.75 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 470638.380000 PA USD 472848.780000 0.0178642 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N N/A N/A 000000000 1.000000 NC -2254.880000 -0.0000852 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9443058.580000 CNY 1321909.230000 USD 2025-08-20 -2254.880000 N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 342262.610000 PA 403146.850000 0.0152309 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.919 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2005-2 N/A 367910AV8 4517492.750000 PA USD 4384513.120000 0.165647 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.07368 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAB8 200497.530000 PA USD 200613.300000 0.0075792 Long ABS-O CORP US N 2 2027-06-21 Fixed 5.35 N N N N N N CREDIT-BASED ASSET SERVC SEC 2005-CB3 N/A 12489WLH5 1750401.700000 PA USD 1702266.700000 0.0643116 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.48368 N N N N N N CHASE AUTO OWNER TRUST 2024-4A N/A 16144YAB4 1979404.600000 PA USD 1984158.540000 0.0749615 Long ABS-O CORP US N 2 2027-09-27 Fixed 5.25 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 42754.900000 PA USD 42929.670000 0.0016219 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 5.23965 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 12612.880000 PA USD 11889.420000 0.0004492 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.72873 N N N N N N GNMA PASS THRU POOLS N/A 36225CE69 6521.690000 PA USD 6489.520000 0.0002452 Long ABS-MBS USGSE US N 2 2028-01-20 Floating 5.625 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 2743346.050000 PA USD 2718863.330000 0.102719 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 3.78406 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 3400000.000000 PA 4013097.100000 0.151615 Long DBT CORP US N 2 2027-03-19 Floating 2.664 N N N N N N FANNIE MAE 2007-42 N/A 31396VN53 12595.650000 PA USD 12354.470000 0.0004668 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 4.66965 N N N N N N N/A N/A 000000000 1.000000 NC -32.160000 -0.0000012 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8956931.000000 KRW 6593.000000 USD 2025-07-16 -32.160000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAE2 2300000.000000 PA USD 2305869.140000 0.0871157 Long ABS-O CORP US N 2 2028-07-17 Fixed 4.75 N N N N N N TOWD POINT ASSET TRUST 2021-SL1 N/A 89179XAL9 3065854.550000 PA USD 3054632.910000 0.115404 Long ABS-O CORP US N 2 2061-11-20 Floating 5.13206 N N N N N N WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST 2025-A N/A 98164PAD2 11500000.000000 PA USD 11532060.850000 0.435681 Long ABS-O CORP US N 2 2028-04-17 Fixed 4.42 N N N N N N GSAMP TRUST 2004-WF N/A 36242DKL6 19475.250000 PA USD 19671.560000 0.0007432 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.08368 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 561722.550000 PA USD 562485.930000 0.0212507 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAC6 500000.000000 PA USD 502366.800000 0.0189794 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.95 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 36267KAD9 2782966.960000 PA USD 2801088.530000 0.105825 Long ABS-O CORP US N 2 2028-06-16 Fixed 5.45 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 289818.620000 PA USD 297673.920000 0.0112461 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 38783.100000 PA USD 37995.800000 0.0014355 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.05368 N N N N N N SG RESIDENTIAL MORTGAGE TRUST 2022-2 N/A 78434KAA5 8736683.550000 PA USD 8725595.820000 0.329653 Long ABS-MBS CORP US N 2 2062-08-25 Fixed 5.353 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAC4 83409.260000 PA USD 79290.640000 0.0029956 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.35311 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 7145.850000 PA USD 7090.800000 0.0002679 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.612 N N N N N N N/A N/A 000000000 1.000000 NC -245.910000 -0.0000093 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 24061.750000 SGD 18678.000000 USD 2025-07-02 -245.910000 N N N N/A N/A 000000000 1.000000 NC -12.790000 -0.0000005 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4414.380000 SGD 3459.000000 USD 2025-07-02 -12.790000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MVK9 2100000.000000 PA USD 2086598.010000 0.0788316 Long DBT CORP US N 2 2025-08-19 None 0 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAB3 154106.530000 PA USD 145749.800000 0.0055064 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.277 N N N N N N N/A N/A 000000000 1.000000 NC USD 1004660.490000 0.037956 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-01-06 0.000000 USD -143045.020000 USD 11300000.000000 USD 1147705.510000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AC2 800000.000000 PA USD 785540.240000 0.0296777 Long DBT CORP CH N 2 2027-01-30 Floating 1.364 N N N N N N N/A N/A 000000000 1.000000 NC -4846.410000 -0.0001831 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 469318.110000 PLN 125338.000000 USD 2025-07-10 -4846.410000 N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 2420059.280000 PA USD 2344250.680000 0.0885657 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CFM3 211.160000 PA USD 211.560000 0.000008 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 5.625 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 400000.000000 PA USD 364250.440000 0.0137614 Long DBT CORP US N 2 2031-02-15 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC -110580.350000 -0.0041777 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26795939.000000 TWD 820954.000000 USD 2025-08-20 -110580.350000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDF3 3700000.000000 PA USD 3807908.280000 0.143863 Long DBT CORP JP N 2 2030-07-10 Floating 5.382 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAB5 722504.050000 PA USD 722938.350000 0.0273126 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.91 N N N N N N N/A N/A 000000000 1.000000 NC USD 3958.420000 0.0001495 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 3483.550000 USD 0.000000 USD 300000.000000 USD 474.870000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 2853130.860000 PA USD 2844447.040000 0.107463 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 5.62908 N N N N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI21W3V8 200000.000000 PA 223401.290000 0.0084401 Long DBT CORP GG N 2 2028-11-24 Fixed 1.75 N N N N N N N/A N/A 000000000 212299999.990000 PA USD 212299999.990000 8.02069 Long RA US N 2 Repurchase N 4.440000 2025-07-01 214715600.000000 USD 215344650.100000 USD UST N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 48097.020000 PA USD 47489.480000 0.0017942 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC -69590.550000 -0.0026291 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 938079178.000000 JPY 6444622.000000 USD 2025-07-02 -69590.550000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 3700000.000000 PA USD 3739046.660000 0.141261 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N FREDDIE MAC REMICS 5495 N/A 3137HJ2H9 2723281.690000 PA USD 2723849.770000 0.102907 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 5.45517 N N N N N N N/A N/A 000000000 1.000000 NC -50593.820000 -0.0019114 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12324464.000000 TWD 377854.000000 USD 2025-08-20 -50593.820000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 362583AD8 731654.590000 PA USD 731593.500000 0.0276396 Long ABS-O CORP US N 2 2028-02-16 Fixed 4.47 N N N N N N N/A N/A 000000000 1.000000 NC USD 562557.420000 0.0212534 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-18 377303.710000 USD 0.000000 USD 170200000.000000 USD 185253.710000 N N N N/A N/A 000000000 1.000000 NC -464.450000 -0.0000175 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 94098222.000000 KRW 69137.000000 USD 2025-07-16 -464.450000 N N N PAGAYA AI DEBT TRUST 2025-1 N/A 69544NAB3 999914.620000 PA USD 1002962.260000 0.0378919 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.156 N N N N N N CROSS 2024-H4 MORTGAGE TRUST N/A 22758HAA8 1397231.740000 PA USD 1410710.830000 0.0532966 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 6.147 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 3349838.060000 PA USD 3149660.110000 0.118994 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N CARMAX AUTO OWNER TRUST 2024-3 N/A 14319GAB7 6355225.760000 PA USD 6372226.620000 0.240743 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.21 N N N N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 4000000.000000 PA USD 4004616.040000 0.151294 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.3361 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 63117.210000 PA USD 60901.400000 0.0023009 Long ABS-MBS CORP US N 2 2034-02-27 Floating 4.184 N N N N N N N/A N/A 000000000 1.000000 NC 13.810000 0.0000005 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5273.000000 USD 6705.330000 SGD 2025-08-05 13.810000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 72965.220000 PA USD 64669.210000 0.0024432 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.56368 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAA5 1213507.580000 PA USD 1154029.330000 0.0435992 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.02 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 23500000.000000 PA USD 23018474.190000 0.869637 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961CU18 2260000.000000 PA USD 2259692.640000 0.0853711 Long DBT CORP US N 2 2025-07-01 None 0 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8E3 700000.000000 PA USD 708523.870000 0.026768 Long DBT CORP US N 2 2028-07-14 Floating 4.968 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 400000.000000 PA USD 391109.970000 0.0147761 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 1622183.010000 0.061286 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2025-10-17 0.000000 USD 0.000000 USD 34488842.660000 USD 1622183.010000 N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348BS4 1400000.000000 PA USD 1412574.520000 0.053367 Long DBT CORP US N 2 2028-03-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 152684.130000 0.0057684 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-05-16 0.000000 USD 0.000000 USD 26200000.000000 USD 152684.130000 N N N N/A N/A 000000000 1.000000 NC -29707.420000 -0.0011223 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 7159860.000000 USD 1026777622.000000 JPY 2025-07-02 -29707.420000 N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A N/A 78398AAD5 2772638.140000 PA USD 2791535.330000 0.105464 Long ABS-O CORP US N 2 2028-10-20 Fixed 5.47 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZW6 200000.000000 PA USD 198679.070000 0.0075061 Long DBT CORP US N 2 2026-08-01 Fixed 4.542 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GV9 100000.000000 PA USD 97498.410000 0.0036835 Long DBT CORP US N 2 2026-02-01 Fixed 1.2 N N N N N N N/A N/A 000000000 1.000000 NC 5856.280000 0.0002213 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 621954.000000 USD 53926521.570000 INR 2025-08-20 5856.280000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1107521.770000 PA USD 996278.740000 0.0376394 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.71368 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 500000.000000 PA USD 486092.080000 0.0183645 Long DBT CORP US N 2 2027-07-22 Floating 1.734 N N N N N N AMRIZE FINANCE US LLC 529900FB2F1WKLFNGY62 43475FUG5 7990000.000000 PA USD 7973642.870000 0.301244 Long DBT CORP US N 2 2025-07-16 None 0 N N N N N N CHASE FUNDING MORTGAGE LOAN AS 2002-4 N/A 161546DQ6 35275.280000 PA USD 35040.060000 0.0013238 Long ABS-MBS CORP US N 2 2032-10-25 Floating 5.17368 N N N N N N N/A N/A 000000000 1.000000 NC USD -3731.930000 -0.000141 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.41 Y Single Leg Swap 2029-06-20 0.000000 USD -15300.000000 USD 400000.000000 USD 11568.070000 N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR2 N/A 251508AA5 1964420.930000 PA USD 1824837.630000 0.0689423 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.67368 N N N N N N FANNIE MAE REMICS 2025-1 N/A 3136BUZM5 2158554.340000 PA USD 2164091.030000 0.0817593 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.50517 N N N N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI1YMJ56 500000.000000 PA 578285.720000 0.0218476 Long DBT CORP GG N 2 2026-06-22 Fixed 1.125 N N N N N N N/A N/A 000000000 1.000000 NC -2867.630000 -0.0001083 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 202000.000000 AUD 130078.710000 USD 2025-07-02 -2867.630000 N N N N/A N/A 000000000 1.000000 NC -831665.750000 -0.0314203 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 46534437.650000 EUR 54103198.790000 USD 2025-08-04 -831665.750000 N N N FREDDIE MAC REMICS 5508 N/A 3137HJGF8 1495374.130000 PA USD 1497367.160000 0.0565705 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.30517 N N N N N N N/A N/A 000000000 1.000000 NC -12610.400000 -0.0004764 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6388773.770000 CNY 883263.000000 USD 2025-08-20 -12610.400000 N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8B9 2300000.000000 PA USD 2349518.330000 0.0887647 Long DBT CORP US N 2 2028-05-26 Floating 5.504 N N N N N N N/A N/A 000000000 1.000000 NC -6016.450000 -0.0002273 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 536750.690000 CHF 670460.570000 USD 2025-07-02 -6016.450000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAB6 116772.970000 PA USD 111129.900000 0.0041985 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.14689 N N N N N N CIM TRUST 2020-R5 N/A 12559UAE3 6300000.000000 PA USD 5944760.010000 0.224593 Long ABS-MBS CORP US N 2 2059-12-25 Variable 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -128376.260000 -0.0048501 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 52300000.000000 MXN -128376.260000 N N N FANNIE MAE REMICS 2025-54 N/A 3136BWNW2 1100000.000000 PA USD 1100345.180000 0.041571 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 5.40218 N N N N N N FREDDIE MAC-3271 N/A 31397FFP2 1103.330000 PA USD 1084.340000 0.000041 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.71833 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 780756.470000 PA 920343.640000 0.0347706 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 2.893 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 1559562.420000 PA 1838381.790000 0.069454 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 2.999 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6N79 85347.780000 PA USD 88407.150000 0.00334 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -562.150000 -0.0000212 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 605983.150000 ZAR 33613.070000 USD 2025-07-23 -562.150000 N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 1140000.840000 PA USD 1142234.900000 0.0431536 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N ANCHORAGE CAPITAL CLO 21 LTD N/A 03331KAJ8 7500000.000000 PA USD 7501906.050000 0.283422 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.31947 N N N N N N FANNIE MAE REMICS 2025-12 N/A 3136BVFH6 2568092.340000 PA USD 2570638.350000 0.0971186 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.25517 N N N N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 249925.640000 PA USD 250116.130000 0.0094494 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N N/A N/A 000000000 1.000000 NC -38672.210000 -0.001461 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3970001070.000000 KRW 2897811.000000 USD 2025-07-16 -38672.210000 N N N FANNIE MAE 2007-4 N/A 31396PMC2 32552.040000 PA USD 32252.300000 0.0012185 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 4.86465 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 1781325.540000 PA USD 1673694.290000 0.0632321 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 346481.530000 0.0130901 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2026-01-07 0.000000 USD 0.000000 USD 7411904.140000 USD 346481.530000 N N N BMW VEHICLE OWNER TRUST 2023-A N/A 05592XAD2 2257252.060000 PA USD 2271062.380000 0.0858007 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.47 N N N N N N N/A N/A 000000000 1.000000 NC USD 939768.760000 0.0355044 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-31 0.000000 USD 0.000000 USD 65800000.000000 USD 939768.760000 N N N N/A N/A 000000000 1.000000 NC 5372.840000 0.000203 N/A DCR DE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A DEUTSCHE BANK AKTIENGESELLSCHAFT Y Single Leg Swap 2029-12-20 1332.100000 EUR 0.000000 EUR 400000.000000 EUR 4040.740000 N N N GE HEALTHCARE TECHNOLOGIES INC 549300OI9J7XOWZMUN85 36266GAA5 500000.000000 PA USD 507473.490000 0.0191723 Long DBT CORP US N 2 2029-08-14 Fixed 4.8 N N N N N N PRPM 2024-NQM3 TRUST N/A 69381FAA8 7349210.510000 PA USD 7338751.850000 0.277258 Long ABS-MBS CORP US N 2 2069-08-25 Fixed 5.228 N N N N N N FANNIE MAE REMICS 2025-18 N/A 3136BU7K0 2510984.990000 PA USD 2515367.660000 0.0950305 Long ABS-MBS USGSE US N 2 2053-11-25 Floating 5.25517 N N N N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAA6 1062148.700000 PA USD 1060351.330000 0.04006 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.68 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 1403352.390000 PA USD 1405325.780000 0.0530932 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2025-1A N/A 14856VAA5 3601786.240000 PA USD 3657191.440000 0.138169 Long ABS-O CORP US N 2 2050-02-15 Fixed 5.783 N N N N N N N/A N/A 000000000 1.000000 NC USD 5886310.550000 0.222385 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2026-01-07 0.000000 USD 0.000000 USD 125832731.660000 USD 5886310.550000 N N N FCCU AUTO RECEIVABLES TRUST 2025-1A N/A 31424YAB4 6900000.000000 PA USD 6916492.380000 0.261305 Long ABS-O CORP US N 2 2029-01-16 Fixed 4.87 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAK3 1100000.000000 PA USD 1141457.990000 0.0431242 Long DBT CORP US N 2 2030-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -8388.650000 -0.0003169 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 14512173.980000 THB 438474.000000 USD 2025-07-16 -8388.650000 N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 35105AAB3 981483.070000 PA USD 985374.750000 0.0372274 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.49 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB29 800000.000000 PA USD 813470.110000 0.0307329 Long DBT CORP US N 2 2029-07-23 Floating 5.049 N N N N N N N/A N/A 000000000 1.000000 NC USD 700656.470000 0.0264708 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-07-09 0.000000 USD 0.000000 USD 14928201.290000 USD 700656.470000 N N N TIAA CLO IV LTD 2018-1A N/A 88631YAL1 2621876.980000 PA USD 2624482.760000 0.0991529 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.40947 N N N N N N N/A N/A 000000000 1.000000 NC USD 618665.110000 0.0233731 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2026-02-18 0.000000 USD 0.000000 USD 224632003.510000 USD 618665.110000 N N N N/A N/A 000000000 1.000000 NC -106913.390000 -0.0040392 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 28538472.000000 TWD 875655.000000 USD 2025-07-16 -106913.390000 N N N FNMA PASS THRU POOLS N/A 31418CUA0 592611.820000 PA USD 543559.970000 0.0205357 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -44464.800000 -0.0016799 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12942023.000000 TWD 405451.850000 USD 2025-08-20 -44464.800000 N N N ALLY AUTO RECEIVABLES TRUST 2024-2 N/A 02007NAC2 1000000.000000 PA USD 999473.700000 0.0377601 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.14 N N N N N N N/A N/A 000000000 1.000000 NC USD 31407147.100000 1.18656 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-10-01 0.000000 USD 0.000000 USD 362676050.380000 USD 31407147.100000 N N N N/A N/A 000000000 1.000000 NC 6297.480000 0.0002379 N/A DFE IN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 922626.000000 USD 79791003.050000 INR 2025-08-20 6297.480000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 1328912.000000 PA USD 1330702.280000 0.0502739 Long DBT UST US N 2 2034-07-15 Fixed 1.875 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAC6 2182264.680000 PA USD 2182511.280000 0.0824552 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.76 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 9278.210000 PA USD 9203.210000 0.0003477 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.885 N N N N N N N/A N/A 000000000 1.000000 NC -36526.820000 -0.00138 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9907290.000000 TWD 304577.280000 USD 2025-07-16 -36526.820000 N N N HPS CORPORATE LENDING FUND 549300ZS7IHUA6FKFV61 40440VAH8 4400000.000000 PA USD 4413653.330000 0.166748 Long DBT CORP US N 2 2028-01-14 Fixed 5.45 N N N N N N FREDDIE MAC REMICS 5510 N/A 3137HJMM6 744160.590000 PA USD 746462.950000 0.0282013 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.28517 N N N N N N N/A N/A 000000000 1.000000 NC -287933.990000 -0.0108781 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 15454000.000000 GBP 20924994.170000 USD 2025-07-02 -287933.990000 N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBQ7 6100000.000000 PA USD 6114182.380000 0.230994 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.33108 N N N N N N BANK OF INDUSTRY LIMITED 5493006N5JD4B34R6G14 BA000BY62 3500000.000000 PA 4095340.380000 0.154722 Long LON MUN NG N 2 2027-08-23 Floating 3.695 N N N N N N N/A N/A 000000000 1.000000 NC -1131.720000 -0.0000428 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5094887.960000 CNY 713305.000000 USD 2025-08-20 -1131.720000 N N N N/A N/A 000000000 1.000000 NC -4816.430000 -0.000182 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6881831.260000 CNY 957617.000000 USD 2025-07-16 -4816.430000 N N N N/A N/A 000000000 1.000000 NC USD 18779814.040000 0.709501 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-08-20 0.000000 USD 0.000000 USD 176569527.960000 USD 18779814.040000 N N N N/A N/A 000000000 1.000000 NC USD 281792.750000 0.0106461 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2025-08-20 0.000000 USD 0.000000 USD 6015647.550000 USD 281792.750000 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 4542647.430000 PA USD 4462965.760000 0.168611 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.805 N N N N N N N/A N/A 000000000 1.000000 NC -2993.760000 -0.0001131 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 436101.440000 CAD 317256.980000 USD 2025-07-02 -2993.760000 N N N UMBS PASS THRU POOLS N/A 01F052680 10524593.000000 PA USD 10515196.220000 0.397264 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 597.290000 0.0000226 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 70000.000000 USD 2292695.860000 THB 2025-07-16 597.290000 N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAC4 4624052.620000 PA USD 4582337.650000 0.173121 Long ABS-MBS CORP US N 2 2034-04-15 Floating 5.92648 N N N N N N N/A N/A 000000000 1.000000 NC -237939.960000 -0.0089894 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 37694521.600000 BRL 6700000.000000 USD 2025-07-02 -237939.960000 N N N N/A N/A 000000000 1.000000 NC 6030.580000 0.0002278 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 670460.570000 USD 534540.980000 CHF 2025-08-04 6030.580000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECT0 2500000.000000 PA USD 2519797.680000 0.0951979 Long DBT CORP GB N 2 2028-09-10 Floating 4.837 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 8185.600000 PA USD 8262.030000 0.0003121 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 5.598 N N N N N N N/A N/A 000000000 1204.000000 NC USD 1050133.200000 0.039674 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-30 131259515.320000 USD 1050133.200000 N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714M5 339422.220000 PA USD 331549.360000 0.0125259 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.83368 N N N N N N N/A N/A 000000000 1.000000 NC -148.690000 -0.0000056 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 337693.820000 ZAR 18896.000000 USD 2025-07-23 -148.690000 N N N FANNIE MAE REMICS 2010-109 N/A 31398NRZ9 386081.050000 PA USD 371102.880000 0.0140203 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 3 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-6 N/A 69548KAA7 920024.100000 PA USD 926187.340000 0.0349913 Long ABS-O CORP US N 2 2031-11-15 Fixed 6.093 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YT4 300000.000000 PA USD 289697.480000 0.0109448 Long DBT CORP US N 2 2027-11-02 Fixed 3.815 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3 N/A 83611MGU6 286040.070000 PA USD 284385.470000 0.0107441 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.13868 N N N N N N N/A N/A 000000000 1.000000 NC -7034.580000 -0.0002658 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6548306.780000 CNY 908755.000000 USD 2025-07-16 -7034.580000 N N N N/A N/A 000000000 1.000000 NC 1031.120000 0.000039 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 323502.000000 USD 46734392.000000 JPY 2025-07-02 1031.120000 N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 523629.300000 PA USD 523766.980000 0.0197879 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 5.48679 N N N N N N N/A N/A 000000000 1.000000 NC -12390.320000 -0.0004681 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14655868.070000 THB 438897.000000 USD 2025-07-16 -12390.320000 N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 142550.840000 PA USD 101516.430000 0.0038353 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.06213 N N N N N N N/A N/A 000000000 472599999.980000 PA USD 472599999.980000 17.8548 Long RA US N 2 Repurchase N 4.470000 2025-07-01 499102400.000000 USD 482270031.800000 USD UST N N N FNMA PASS THRU POOLS N/A 31384UJH8 1170.440000 PA USD 1170.130000 0.0000442 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36202KYK5 470.910000 PA USD 470.010000 0.0000178 Long ABS-MBS USGSE US N 2 2026-02-20 Floating 5.625 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ADA2 1200000.000000 PA USD 1209921.460000 0.0457108 Long DBT CORP US N 2 2026-06-24 Fixed 5.45 N N N N N N FREDDIE MAC-3271 N/A 31397FFJ6 33907.860000 PA USD 33516.410000 0.0012662 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.75833 N N N N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FBU4 8900000.000000 PA USD 8913829.270000 0.336764 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.61947 N N N N N N FREDDIE MAC REMICS 5410 N/A 3137HCUC4 6293361.150000 PA USD 6322042.510000 0.238847 Long ABS-MBS USGSE US N 2 2054-05-25 Floating 5.55517 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 81808.150000 PA USD 68390.620000 0.0025838 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.99368 N N N N N N N/A N/A 000000000 -136.000000 NC USD -555273.300000 -0.0209782 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-09-19 -16181875.000000 USD -555273.300000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 3157613.040000 PA USD 2352081.960000 0.0888616 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.19869 N N N N N N N/A N/A 000000000 1.000000 NC 1456.810000 0.000055 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 197029.000000 USD 3218943555.000000 IDR 2025-07-16 1456.810000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QLH16 628789.660000 PA 741243.520000 0.0280042 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 3.259 N N N N N N FNMA PASS THRU POOLS N/A 3140JCM27 10225000.000000 PA USD 10381209.270000 0.392202 Long ABS-MBS USGSE US N 2 2029-09-01 Variable 4.53226 N N N N N N N/A N/A 000000000 1.000000 NC 404.530000 0.0000153 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 84651.000000 USD 1379388045.000000 IDR 2025-07-16 404.530000 N N N VOYA CLO 2017-3A N/A 92915QBG7 900000.000000 PA USD 896639.450000 0.033875 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.32947 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECF0 5100000.000000 PA USD 5152758.280000 0.194671 Long DBT CORP GB N 2 2027-05-09 Floating 5.829 N N N N N N N/A N/A 000000000 1.000000 NC 124.670000 0.0000047 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 71294.300000 USD 1158237217.000000 IDR 2025-07-16 124.670000 N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 3883613.470000 PA USD 3768764.530000 0.142384 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N FREDDIE MAC REMICS 5500 N/A 3137HJAP2 1404718.290000 PA USD 1408020.640000 0.053195 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.50517 N N N N N N 2025-08-19 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX