NPORT-P false 0000810893 XXXXXXXX S000009678 C000026517 C000026518 C000026520 C000064132 C000200438 C000026522 C000026516 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO International Bond Fund (U.S. Dollar-Hedged) S000009678 549300NKY72DZUNDF872 2026-03-31 2025-06-30 N 32982179853.630000 17380442241.270000 15601737612.360000 0.000000 0.000000 1708894239.910000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 61541217.906735 0.000000 0.000000 95740205.120000 MYR CNY KRW JPY THB EUR SEK NGN ZAR GBP DKK CZK RON AUD CAD PEN NZD HUF SGD BRL CHF USD INR N Bloomberg Global Aggregate ex-USD Total Return Hedged Index LG38TRUH BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 752.430000 PA USD 710.670000 0.0000046 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.33924 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDX1 20900000.000000 PA USD 21970635.520000 0.140822 Long DBT CORP US N 2 2029-10-23 Floating 6.087 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 11000000.000000 PA USD 10989496.430000 0.0704376 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAH0 8200000.000000 PA USD 7966949.190000 0.0510645 Long DBT CORP DE N 2 2028-01-07 Floating 2.552 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNZ2 12341901.600000 PA USD 12754096.800000 0.0817479 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -6537406.850000 -0.0419018 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2027-06-17 0.000000 GBP -909333.450000 GBP 390900000.000000 GBP -5628073.400000 N N N ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV N/A 68622TAA9 3700000.000000 PA USD 3560868.900000 0.0228235 Long DBT CORP US N 2 2028-04-30 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC -115662.740000 -0.0007413 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 6349662.540000 ILS 1769584.640000 USD 2025-07-18 -115662.740000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 5.080000 PA 0.630000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N UMBS PASS THRU POOLS N/A 01F020471 -149800000.000000 PA USD -136920873.100000 -0.8776 Short ABS-MBS USGSE US N 2 2039-07-15 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3133BCMG9 3456537.700000 PA USD 3221863.230000 0.0206507 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 4952908800.000000 PA 35769765.990000 0.229268 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSEC8 12895298.380000 PA USD 13327990.830000 0.0854263 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 -10233.000000 NC -7089817.300000 -0.0454425 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2025-09-15 -771943641.010000 AUD -7089817.300000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 5562990.000000 PA USD 5543816.150000 0.0355333 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 496325.280000 0.0031812 N/A DIR CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2031-03-18 0.000000 CNY -477.200000 CNY 2775200000.000000 CNY 496802.480000 N N N N/A N/A 000000000 1.000000 NC 11221.500000 0.0000719 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3439474.000000 USD 24618035.160000 CNY 2025-08-08 11221.500000 N N N N/A N/A 000000000 -4584820.000000 PA USD -4596838.670000 -0.0294636 Short RA US N 2 Reverse repurchase N 2.250000 2027-05-20 4600000.000000 USD 4592407.380000 USD AMBS N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797RD1 9787000.000000 PA USD 9659291.590000 0.0619116 Long DBT UST US N 2 2025-10-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -9213.330000 -0.0000591 N/A DFE NO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24010000.000000 NOK 2372872.910000 USD 2025-07-02 -9213.330000 N N N N/A N/A 000000000 1.000000 NC -107510.410000 -0.0006891 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6208527.430000 GBP 8414622.780000 EUR 2025-07-02 -107510.410000 N N N BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM) VBHFXSYT7OG62HNT8T76 06675FBC0 13900000.000000 PA USD 14060300.080000 0.0901201 Long DBT CORP FR N 2 2027-01-23 Fixed 5.088 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 76053.950000 PA USD 76068.050000 0.0004876 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 5.01833 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQFII2 1832977.300000 PA 2466799.410000 0.0158111 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 5.33961 N N N N N N N/A N/A 000000000 1.000000 NC 124.470000 0.0000008 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 57078.970000 USD 408628.350000 CNY 2025-07-17 124.470000 N N N N/A N/A 000000000 1.000000 NC -7938594.620000 -0.0508828 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2050-05-27 0.000000 EUR 0.000000 EUR 15900000.000000 EUR -7938594.620000 N N N FNMA PASS THRU POOLS N/A 31418EW55 1154881.350000 PA USD 1194099.110000 0.0076536 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.5 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 5704376.860000 PA 6719114.260000 0.0430664 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.919 N N N N N N N/A N/A 000000000 1.000000 NC 957901.760000 0.0061397 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2027-03-19 117551.080000 JPY 0.000000 JPY 86610000000.000000 JPY 840350.680000 N N N N/A N/A 000000000 1.000000 NC -2008328.800000 -0.0128725 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 730778944.000000 AUD 479256523.940000 USD 2025-08-05 -2008328.800000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 1332080.840000 PA USD 1342906.530000 0.0086074 Long ABS-O CORP US N 2 2055-02-16 Floating 5.75385 N N N N N N N/A N/A 000000000 1.000000 NC -468233.730000 -0.0030012 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30400000.000000 BRL 4999588.850000 USD 2025-10-02 -468233.730000 N N N KKR CLO 28 LTD 28A N/A 48253WAL6 14400000.000000 PA USD 14410586.300000 0.0923653 Long ABS-CBDO CORP KY N 2 2035-02-09 Floating 5.70054 N N N N N N BAIN CAPITAL CREDIT CLO 2019-4 LTD N/A 05684AAY5 14400000.000000 PA USD 14356785.600000 0.0920204 Long ABS-CBDO CORP JE N 2 2035-04-23 Floating 5.26934 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 193231.680000 PA USD 200940.540000 0.0012879 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 1194629.650000 0.007657 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-20 7679809.500000 USD 0.000000 USD 1563320000.000000 USD -6485179.850000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAD9 1114000.000000 PA USD 1130602.610000 0.0072466 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.75 N N N N N N GNMA PASS THRU POOLS N/A 36179XNB8 617575.570000 PA USD 547087.870000 0.0035066 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 40687.120000 PA USD 39258.750000 0.0002516 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 -5566104.420000 -0.0356762 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 13690000000.000000 JPY 91426968.620000 USD 2026-01-05 -5566104.420000 N N N N/A N/A 000000000 1.000000 NC 57587.040000 0.0003691 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2987863000.000000 JPY 20805915.220000 USD 2025-07-02 57587.040000 N N N N/A N/A 000000000 1.000000 NC -10541.920000 -0.0000676 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 56318307.050000 SEK 5954919.760000 USD 2025-08-04 -10541.920000 N N N ELEVATION CLO 2022-16A LTD N/A 28623YAU7 9300000.000000 PA USD 9310248.600000 0.0596744 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.41177 N N N N N N N/A N/A 000000000 1.000000 NC USD 1412446.400000 0.0090531 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-06-18 2061209.330000 USD 0.000000 USD 38500000.000000 USD -648762.930000 N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 161254.080000 PA USD 153947.960000 0.0009867 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.93368 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3 N/A 362963AA8 7700000.000000 PA USD 7412786.150000 0.0475126 Long ABS-MBS CORP US N 2 2065-07-25 Fixed 4.1 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2G9 7400000.000000 PA USD 7147359.410000 0.0458113 Long DBT CORP US N 2 2027-01-06 Fixed 2.25 N N N N N N NEWGATE FUNDING PLC 2006-2 N/A ACI00QQA7 2300762.820000 PA 2548340.940000 0.0163337 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 2.179 N N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAB5 1125610.200000 PA USD 366501.610000 0.0023491 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.77368 N N N N N N N/A N/A 000000000 1.000000 NC USD -421516.210000 -0.0027017 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 63600000.000000 USD -421516.210000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 61000000.000000 PA USD 66371855.200000 0.425413 Long DBT CORP CH N 2 2033-08-12 Floating 6.537 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UUV5 2500000.000000 PA USD 2490562.000000 0.0159634 Long DBT CORP CA N 2 2025-07-29 None 0 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2HDVK6 1679500000.000000 PA 298172740.890000 1.91115 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 2204467.770000 0.0141296 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6410000000.000000 JPY 47619047.620000 USD 2026-01-05 2204467.770000 N N N FNMA PASS THRU POOLS N/A 3140QBZL5 19796940.370000 PA USD 17187414.590000 0.110164 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 12537.000000 0.0000804 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5527268.000000 USD 39547602.540000 CNY 2025-07-29 12537.000000 N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 20048.760000 PA USD 19574.730000 0.0001255 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.52452 N N N N N N N/A N/A 000000000 1.000000 NC 9015.020000 0.0000578 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1886466.000000 USD 30739963470.000000 IDR 2025-07-16 9015.020000 N N N N/A N/A 000000000 1.000000 NC 3443.260000 0.0000221 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 464327.680000 EUR 2017689.520000 RON 2025-07-11 3443.260000 N N N N/A N/A 000000000 1.000000 NC 16708.060000 0.0001071 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3420810.200000 USD 14482000.000000 MYR 2025-07-16 16708.060000 N N N JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5 N/A 466284AD8 6022367.740000 PA USD 5454001.970000 0.0349577 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.91368 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 20838.990000 PA USD 20600.470000 0.000132 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.07368 N N N N N N N/A N/A 000000000 1.000000 NC -711436.810000 -0.00456 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 207072377.000000 TWD 6487229.850000 USD 2025-08-20 -711436.810000 N N N N/A N/A 000000000 6652.000000 NC USD 14194424.680000 0.0909798 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 760042965.420000 USD 14194424.680000 N N N N/A N/A 000000000 1.000000 NC -77178.690000 -0.0004947 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 129828682.100000 THB 3920540.000000 USD 2025-07-16 -77178.690000 N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1VHWN6 62400000.000000 PA 33801787.710000 0.216654 Long DBT CORP AU N 2 2032-08-20 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 155753.310000 0.0009983 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13526331.450000 USD 560003648.360000 TRY 2025-08-05 155753.310000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PQ4 273000.000000 PA USD 271099.920000 0.0017376 Long DBT UST US N 2 2025-08-28 None 0 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1KDG39 59100000.000000 PA 30222821.110000 0.193715 Long DBT CORP AU N 2 2034-07-20 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -51025.720000 -0.0003271 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6323124.390000 GBP 8629673.580000 EUR 2025-08-04 -51025.720000 N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI2P78N0 84689000.000000 PA 79288126.370000 0.508201 Long DBT NUSS SG N 2 2054-06-01 Fixed 3.25 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514Y8A8 79200000.000000 PA USD 80810016.410000 0.517955 Long DBT NUSS IL N 2 2030-02-19 Fixed 5.375 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QY3 9090000.000000 PA 9379939.620000 0.0601211 Long DBT NUSS RO N 2 2029-12-02 Fixed 1.375 N N N N N N N/A N/A 000000000 1.000000 NC -689931.540000 -0.0044221 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 86579957.740000 SGD 67402839.000000 USD 2025-07-02 -689931.540000 N N N CITIGROUP MTGE LOAN TR INC 2007-6 N/A 17312VAH1 130561.990000 PA USD 127119.110000 0.0008148 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.74194 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1WLC57 125050000.000000 PA 139724003.220000 0.895567 Long DBT NUSS ES N 2 2028-01-31 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -925305.840000 -0.0059308 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 28100000.000000 USD -925305.840000 N N N N/A N/A 000000000 1.000000 NC 76997.320000 0.0004935 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5392770.960000 EUR 23593372.970000 RON 2025-07-11 76997.320000 N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 29974924.270000 PA USD 25506916.010000 0.163488 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N LUDGATE FUNDING PLC 2007-1 N/A B1Z520II7 82091.340000 PA 93453.850000 0.000599 Long ABS-MBS CORP GB N 2 2061-01-01 Floating 2.099 N N N N N N N/A N/A 000000000 1.000000 NC -268701.950000 -0.0017223 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2030-09-17 0.000000 INR -59305.040000 INR 2018330000.000000 INR -209396.910000 N N N N/A N/A 000000000 1.000000 NC 2739374.260000 0.0175581 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2030-06-18 0.000000 CNY -10491275.480000 CNY 14113450000.000000 CNY 13230649.740000 N N N N/A N/A 000000000 1.000000 NC -560815.000000 -0.0035946 N/A DIR MY N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Klibor Interbank Offered Rate Y 2034-09-18 0.000000 MYR -227817.950000 MYR 82530000.000000 MYR -332997.050000 N N N N/A N/A 000000000 1.000000 NC -297952.420000 -0.0019097 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 245484283.210000 CNY 34125373.000000 USD 2025-08-20 -297952.420000 N N N N/A N/A 000000000 1.000000 NC -18192275.100000 -0.116604 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2044-06-19 0.000000 JPY -8785389.190000 JPY 18580000000.000000 JPY -9406885.910000 N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 23913.900000 PA USD 22535.780000 0.0001444 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.5876 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSYX0 12614011.860000 PA USD 13037265.950000 0.0835629 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060675 8454690.000000 PA USD 8592324.660000 0.0550729 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 6 N N N N N N PANAMA GOVT 549300SHS4T08CL0LP14 BA000GRH5 34600000.000000 PA 41051661.480000 0.263122 Long LON CORP IE N 3 2027-03-05 Floating 4.103 N N N N N N N/A N/A 000000000 1.000000 NC -240833.590000 -0.0015436 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 14757983.000000 EUR 17189341.100000 RON 2025-08-11 -240833.590000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 15200000.000000 PA USD 16126048.750000 0.103361 Long DBT CORP US N 2 2029-10-24 Floating 6.484 N N N N N N FNMA PASS THRU POOLS N/A 3140AGWS9 12463690.460000 PA USD 12907381.640000 0.0827304 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -4345695.520000 -0.0278539 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US SOFR COMPOUNDED INDEX Y 2025-12-22 0.000000 USD -0.010000 USD 229500000.000000 USD -4345695.510000 N N N INVSC-5A N/A ACI2VXQH9 10100000.000000 PA 11874354.040000 0.0761092 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 3.299 N N N N N N N/A N/A 000000000 1.000000 NC -195.400000 -0.0000013 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 413841.220000 CNY 57762.750000 USD 2025-07-25 -195.400000 N N N N/A N/A 000000000 1.000000 NC 5359.450000 0.0000344 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3171603.410000 USD 22657934.760000 CNY 2025-08-12 5359.450000 N N N N/A N/A 000000000 1.000000 NC 4336.540000 0.0000278 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1223469.000000 USD 19918075320.000000 IDR 2025-07-14 4336.540000 N N N INDIGO CREDIT MANAGEMENT II DAC 2A N/A ACI2RZY31 28000000.000000 PA 33043985.620000 0.211797 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 3.479 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAE8 915000.000000 PA USD 928030.700000 0.0059483 Long ABS-O CORP US N 2 2054-11-25 Fixed 6.6 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 2159312.480000 PA USD 1183548.750000 0.007586 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75368 N N N N N N THAILAND GOVT 254900PHJ6MSKT6C7026 ACI2Q20Z1 4301080000.000000 PA 138363657.480000 0.886848 Long DBT NUSS TH N 2 2029-11-17 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -104012.160000 -0.0006667 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 290355022.350000 CNY 40611366.000000 USD 2025-08-20 -104012.160000 N N N N/A N/A 000000000 1.000000 NC -3903.850000 -0.000025 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3524623.780000 ZAR 194871.980000 USD 2025-07-23 -3903.850000 N N N WASHINGTON MUTUAL MTGE P/T 2007-OA5 N/A 93936RAB0 11224.480000 PA USD 14207.210000 0.0000911 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.23869 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH71 8393.910000 PA USD 7928.010000 0.0000508 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.28304 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 5052002.300000 PA USD 4597499.920000 0.0294679 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.71368 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BMF7LTII5 34900000.000000 PA 17540454.810000 0.112426 Long DBT MUN AU N 2 2035-09-17 Fixed 2 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 485.000000 PA 227203.510000 0.0014563 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC 6921.700000 0.0000444 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7514766.250000 USD 53896655.020000 CNY 2025-07-02 6921.700000 N N N N/A N/A 000000000 1.000000 NC -2216920.400000 -0.0142094 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 0.000000 CAD -3157.500000 CAD 46400000.000000 CAD -2213762.900000 N N N AREIT TRUST 2022-CRE7 N/A 00217VAA8 8005827.050000 PA USD 8011500.780000 0.0513501 Long ABS-MBS CORP US N 2 2039-06-17 Floating 6.5557 N N N N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 1866390.240000 PA 2194516.050000 0.0140658 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.929 N N N N N N N/A N/A 000000000 1.000000 NC -1295177.650000 -0.0083015 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 308321967.000000 TWD 9423331.000000 USD 2025-08-20 -1295177.650000 N N N FHLMC PASS THRU POOLS N/A 3132DWNK5 14837388.250000 PA USD 14844813.770000 0.0951485 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 4083.130000 PA USD 3829.210000 0.0000245 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.78547 N N N N N N SOUNDVIEW HOME EQUITY LN TR 2006-3 N/A 83612HAD0 6871508.130000 PA USD 6507124.420000 0.0417077 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.93368 N N N N N N TSTAT 2022-1A LTD N/A 872899AY5 1506488.970000 PA USD 1507840.770000 0.0096646 Long ABS-CBDO CORP BM N 2 2037-07-20 Floating 5.41947 N N N N N N N/A N/A 000000000 -4624.000000 NC 915321.910000 0.0058668 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2025-09-08 -587959553.890000 EUR 915321.910000 N N N FHLMC PASS THRU POOLS N/A 3133WA4F2 6788861.050000 PA USD 6924636.710000 0.0443838 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1444.520000 0.0000093 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4037371.250000 USD 28804625.180000 CNY 2025-08-12 1444.520000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1S5B09 79740000.000000 PA 18260014.570000 0.117038 Long DBT NUSS MY N 2 2031-04-15 Fixed 2.632 N N N N N N N/A N/A 000000000 1.000000 NC -1394397.850000 -0.0089375 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 30344253.740000 CHF 36849037.450000 USD 2025-07-02 -1394397.850000 N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 879815.860000 PA USD 880447.570000 0.0056433 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.86868 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 7400000.000000 PA USD 7411829.640000 0.0475064 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N CANADIAN NATURAL RESOURCES LIMITED 549300T15RIMIKZC5Q38 13638WUB6 2150000.000000 PA USD 2146893.680000 0.0137606 Long DBT CORP CA N 2 2025-07-11 None 0 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AW2 6700000.000000 PA USD 6251087.140000 0.0400666 Long DBT NUSS PL N 2 2053-04-04 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140ACVX8 374256.810000 PA USD 387541.470000 0.002484 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 15194959.270000 PA USD 15163932.680000 0.0971939 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.24517 N N N N N N GNMA PASS THRU POOLS N/A 21H030674 68000000.000000 PA USD 60157681.720000 0.385583 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -1288616.010000 -0.0082594 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 356476880.000000 TWD 10984743.000000 USD 2025-07-16 -1288616.010000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412BVE0 6150000.000000 PA USD 6112216.250000 0.0391765 Long DBT CORP US N 2 2025-08-14 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 119588.270000 0.0007665 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6829309.000000 USD 276689454.140000 TRY 2025-07-01 119588.270000 N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AD5 4479831.890000 PA USD 3669289.190000 0.0235185 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.16869 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 5625000.000000 PA USD 675000.000000 0.0043264 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 USD 8786083.050000 0.0563148 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-11-30 16480389.560000 USD 0.000000 USD 479900000.000000 USD -7694306.510000 N N N N/A N/A 000000000 1.000000 NC USD 639451.260000 0.0040986 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 30600000.000000 USD 639451.260000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 900000.000000 PA USD 844246.030000 0.0054112 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -67378.230000 -0.0004319 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2313159940.000000 HUF 6718340.200000 EUR 2025-10-01 -67378.230000 N N N MASTR ALT LN TR 2006-2 N/A 5764342E3 609627.630000 PA USD 535839.700000 0.0034345 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31329Q2L4 113084.950000 PA USD 111274.460000 0.0007132 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 7662.160000 0.0000491 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3044513.000000 USD 3880840.720000 SGD 2025-07-02 7662.160000 N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 3000000.000000 PA USD 3003462.030000 0.0192508 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.3361 N N N N N N N/A N/A 000000000 1.000000 NC USD 5924.230000 0.000038 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-12-20 58895.480000 USD 0.000000 USD 2800000.000000 USD -52971.250000 N N N N/A N/A 000000000 1.000000 NC 2229.420000 0.0000143 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 889415.930000 USD 6370085.830000 CNY 2025-07-15 2229.420000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI22TWV2 590000000.000000 PA 2541705.500000 0.0162912 Long DBT NUSS JP N 2 2051-12-20 Fixed 0.7 N N N N N N N/A N/A 000000000 1.000000 NC -7974.020000 -0.0000511 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3871509.290000 SGD 3044513.000000 USD 2025-08-05 -7974.020000 N N N CSMC 2021-ADV TRUST N/A 12660WAA3 4800000.000000 PA USD 4331892.960000 0.0277655 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 118238.230000 0.0007579 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9918246.000000 USD 862095925.970000 INR 2025-08-20 118238.230000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2WJ7V9 9271000000.000000 PA 64812984.480000 0.415422 Long DBT NUSS JP N 2 2045-03-20 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC -65748.500000 -0.0004214 N/A DFE AU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10041000.000000 AUD 6542737.690000 USD 2025-07-02 -65748.500000 N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 22043602.930000 PA USD 22063018.940000 0.141414 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 35422.600000 0.000227 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16577150.210000 USD 118708972.650000 CNY 2025-07-11 35422.600000 N N N FNMA PASS THRU POOLS N/A 31418E2E9 13878115.090000 PA USD 14123988.380000 0.0905283 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI23CJP6 900000.000000 PA 906825.280000 0.0058123 Long DBT NUSS RO N 2 2034-02-07 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140XBHT0 821930.450000 PA USD 712135.600000 0.0045645 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -36853.720000 -0.0002362 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1342300.000000 USD 712761300.000000 KZT 2025-12-15 -36853.720000 N N N FNMA PASS THRU POOLS N/A 31418C7C2 95666.170000 PA USD 94179.870000 0.0006036 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4 N N N N N N N/A N/A 000000000 -3600000.000000 NC USD -4275.720000 -0.0000274 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95500 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2025-07-23 XXXX 7784.280000 N N N FNMA PASS THRU POOLS N/A 31418FHH3 12621732.170000 PA USD 13043273.160000 0.0836014 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -11967623.290000 -0.076707 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-03-17 0.000000 JPY -12220788.730000 JPY 29934240000.000000 JPY 253165.440000 N N N N/A N/A 000000000 1.000000 NC -4083268.650000 -0.0261719 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2029-12-18 0.000000 CAD -12263931.700000 CAD 193700000.000000 CAD 8180663.050000 N N N FHLMC PASS THRU POOLS N/A 3133KYRW1 139891.970000 PA USD 134574.080000 0.0008626 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 3.5 N N N N N N ARES EUROPEAN CLO XV DAC 15A N/A ACI29GXM2 8335000.000000 PA 9800973.940000 0.0628198 Long ABS-CBDO CORP IE N 2 2036-01-15 Floating 3.229 N N N N N N PRPM 2024-RPL3 LLC N/A 69381LAA5 3737181.980000 PA USD 3629977.930000 0.0232665 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -1197583.940000 -0.007676 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 322184358.000000 TWD 9895097.000000 USD 2025-07-16 -1197583.940000 N N N N/A N/A 000000000 1.000000 NC -119193.960000 -0.000764 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 0.000000 CAD 0.000000 CAD 63200000.000000 CAD -119193.960000 N N N N/A N/A 000000000 1.000000 NC 499642.590000 0.0032025 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 42976786.000000 USD 1767893068.900000 TRY 2025-07-28 499642.590000 N N N PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC 213800QSH7EDGMUDJW25 69828QAD9 33409000.000000 PA USD 23774846.670000 0.152386 Long DBT CORP GB N 2 2032-04-05 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 31426B3Q7 1126144.530000 PA USD 1166119.190000 0.0074743 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PF2 20900000.000000 PA USD 21327560.080000 0.1367 Long DBT CORP US N 2 2030-02-13 Floating 5.174 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 254086.580000 PA USD 242044.150000 0.0015514 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.66368 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1 N/A 64831HAM5 11002082.680000 PA USD 11119947.990000 0.0712738 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.864 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SA7 34100000.000000 PA USD 25347222.570000 0.162464 Long DBT UST US N 2 2048-02-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 33215.210000 0.0002129 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 277202.300000 USD 9016005.000000 TWD 2025-07-16 33215.210000 N N N GNMA PASS THRU POOLS N/A 36202KTG0 46.400000 PA USD 46.310000 0.0000003 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 4.625 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 242855.920000 PA USD 171231.100000 0.0010975 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.04933 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI2V7HS2 62060000.000000 PA 51073379.830000 0.327357 Long DBT NUSS SG N 2 2035-03-01 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 4994.960000 0.000032 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1715218.000000 USD 12272384.790000 CNY 2025-08-08 4994.960000 N N N MORTIMER BTL 2021-1 PLC 21-1 N/A ACI1YG8D4 12710365.290000 PA 17446034.430000 0.111821 Long ABS-MBS CORP GB N 2 2053-06-23 Floating 4.91986 N N N N N N N/A N/A 000000000 1.000000 NC -1385630.690000 -0.0088813 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 355306792.000000 TWD 10966259.000000 USD 2025-08-20 -1385630.690000 N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAN7 27562000.000000 PA USD 28584954.260000 0.183217 Long DBT CORP FR N 2 2036-01-09 Floating 5.862 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0GTQ55 1330000000.000000 PA 7792698.170000 0.0499476 Long DBT NUSS JP N 2 2045-09-20 Fixed 1.4 N N N N N N FIRST FRANKLIN MTG LN ASSET 2003-FF5 N/A 32027NFD8 3023157.880000 PA USD 3067585.600000 0.0196618 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.33368 N N N N N N N/A N/A 000000000 1.000000 NC 37869.950000 0.0002427 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1522492.540000 USD 224700000.000000 JPY 2025-07-02 37869.950000 N N N FNMA PASS THRU POOLS N/A 31418DFP2 9965.360000 PA USD 9802.440000 0.0000628 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1PD3L8 7562000000.000000 PA 41586405.190000 0.26655 Long DBT NUSS JP N 2 2040-06-20 Fixed 0.4 N N N N N N N/A N/A 000000000 1.000000 NC 44687.980000 0.0002864 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6384356.000000 USD 8174529.420000 SGD 2025-07-02 44687.980000 N N N DSLA MORTGAGE LOAN TRUST 2005-AR3 N/A 23332UDX9 3305.070000 PA USD 113.300000 0.0000007 Long ABS-MBS CORP US N 2 2045-07-19 Floating 5.07206 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3A9 7500000.000000 PA USD 7564551.980000 0.0484853 Long DBT CORP US N 2 2028-07-25 Floating 4.808 N N N N N N OBX 2023-NQM1 TRUST N/A 670855AA3 5510242.630000 PA USD 5507803.800000 0.0353025 Long ABS-MBS CORP US N 2 2062-11-25 Variable 6.12 N N N N N N N/A N/A 000000000 1.000000 NC USD -138669.320000 -0.0008888 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 24400000.000000 USD -138669.320000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 485.000000 PA 5457730.270000 0.0349816 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N N/A N/A 000000000 -48500000.000000 NC USD -15059.250000 -0.0000965 N/A DIR KY N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.33000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.330000 USD 2025-09-25 XXXX 518440.750000 N N N N/A N/A 000000000 -54700000.000000 NC USD -197302.900000 -0.0012646 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55500 07/28/25-10Y LCH 2035-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2025-07-24 XXXX -23630.400000 N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 3800000.000000 PA USD 3384903.390000 0.0216957 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAU9 18200000.000000 PA USD 18182471.220000 0.116541 Long DBT CORP GB N 2 2030-09-11 Floating 4.858 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JQ1 300000.000000 PA USD 250235.350000 0.0016039 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1045913.930000 -0.0067038 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 249538858.000000 TWD 7629058.000000 USD 2025-08-20 -1045913.930000 N N N INDYMAC INDB MTGE LOAN TRUST 2005-1 N/A 45660LYW3 111425.600000 PA USD 63417.720000 0.0004065 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.03368 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 251236.030000 PA USD 239508.110000 0.0015351 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.2492 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBF5 51500000.000000 PA USD 52032234.480000 0.333503 Long DBT NUSS SA N 2 2030-01-16 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -190640.270000 -0.0012219 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 28600000.000000 USD -190640.270000 N N N N/A N/A 000000000 1.000000 NC 12372.430000 0.0000793 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1450000.000000 USD 47491557.100000 THB 2025-07-16 12372.430000 N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAA6 37064000.000000 PA USD 37019879.760000 0.237281 Long ABS-O CORP US N 3 2034-03-27 Fixed 4.91 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 2212.440000 PA USD 2199.690000 0.0000141 Long ABS-MBS CORP US N 2 2034-04-25 Floating 6.17417 N N N N N N N/A N/A 000000000 1.000000 NC 7807.830000 0.00005 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 7255939.830000 USD 5291000.000000 GBP 2025-08-04 7807.830000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 1044300000.000000 PA 58006540.480000 0.371795 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYW6 13236.800000 PA USD 12852.660000 0.0000824 Long ABS-MBS CORP US N 2 2033-10-25 Floating 6.1592 N N N N N N N/A N/A 000000000 1.000000 NC 2319744.040000 0.0148685 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 129610786.850000 USD 835615000.000000 DKK 2025-07-02 2319744.040000 N N N FNMA PASS THRU POOLS N/A 31418FAY3 13001228.590000 PA USD 13437475.450000 0.0861281 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36225CF50 397.600000 PA USD 396.870000 0.0000025 Long ABS-MBS USGSE US N 2 2028-04-20 Floating 4.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 35438079.000000 PA USD 33069803.570000 0.211962 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD4 N/A 232433AA0 203147.430000 PA USD 164878.250000 0.0010568 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.11368 N N N N N N GNMA PASS THRU POOLS N/A 36225CNZ5 9286.460000 PA USD 9279.430000 0.0000595 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 109525.870000 0.000702 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4094465.000000 USD 22840702.770000 BRL 2025-07-02 109525.870000 N N N N/A N/A 000000000 1.000000 NC -109.030000 -0.0000007 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 112529.000000 ZAR 6237.190000 USD 2025-07-23 -109.030000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 5.260000 PA 0.650000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 32500000.000000 PA 8684770.640000 0.0556654 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC 32940.650000 0.0002111 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7973357.000000 USD 129842132067.000000 IDR 2025-07-16 32940.650000 N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAE3 1600000.000000 PA USD 1183152.000000 0.0075835 Long DBT CORP QA N 2 2041-07-12 Fixed 3.125 N N N N N N FNMA PASS THRU POOLS N/A 3140ANQC6 13222655.800000 PA USD 13666341.880000 0.087595 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N SOUND POINT CLO XXIII 2019-2A N/A 83614BAQ2 7400000.000000 PA USD 7409083.500000 0.0474888 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.68771 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI2V6MH2 5700000.000000 PA 6547467.880000 0.0419663 Long DBT NUSS SA N 2 2037-03-05 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 3841.930000 0.0000246 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1320110.000000 USD 190655698.000000 JPY 2025-07-02 3841.930000 N N N N/A N/A 000000000 1.000000 NC -4392507.000000 -0.028154 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2035-03-19 0.000000 JPY -2989607.470000 JPY 36530000000.000000 JPY -1402899.530000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133 N/A 38380HCH3 64423.230000 PA USD 61658.810000 0.0003952 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 7380.240000 0.0000473 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1996590.000000 USD 2548048.160000 SGD 2025-07-02 7380.240000 N N N N/A N/A 000000000 1.000000 NC 52503.600000 0.0003365 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2546423.790000 EUR 11210248.780000 RON 2025-07-11 52503.600000 N N N AURIUM CLO III DAC 3A N/A ACI1FVVB0 6854818.790000 PA 8077666.230000 0.0517741 Long ABS-CBDO CORP IE N 2 2030-04-16 Floating 2.922 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA4 N/A 25151XAE1 5682929.610000 PA USD 4875465.440000 0.0312495 Long ABS-MBS CORP US N 2 2047-08-25 Floating 4.81368 N N N N N N N/A N/A 000000000 1.000000 NC 2983445.900000 0.0191225 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 70749197.000000 USD 62594000.000000 EUR 2025-07-02 2983445.900000 N N N FHLMC PASS THRU POOLS N/A 3133C5G54 4717744.370000 PA USD 4723640.650000 0.0302764 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -5493182.490000 -0.0352088 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 0.000000 USD -357710.390000 USD 359264000.000000 USD -5135472.100000 N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2X2 1300000.000000 PA USD 1306971.760000 0.0083771 Long DBT CORP SA N 2 2030-06-02 Fixed 4.75 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAA0 2456827.000000 PA USD 2183813.080000 0.0139972 Long ABS-MBS CORP US N 2 2047-11-25 Floating 5.77869 N N N N N N N/A N/A 000000000 1.000000 NC USD -534611.460000 -0.0034266 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-06-26 0.000000 USD -341581.400000 USD 19584000.000000 USD -193030.060000 N N N N/A N/A 000000000 1.000000 NC 3861243.100000 0.0247488 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 436360910.640000 USD 320709763.000000 GBP 2025-07-02 3861243.100000 N N N N/A N/A 000000000 1.000000 NC 10886.910000 0.0000698 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 463087.000000 USD 13774484.000000 TWD 2025-07-14 10886.910000 N N N N/A N/A 000000000 1.000000 NC -133.760000 -0.0000009 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 441526.710000 CNY 61779.850000 USD 2025-08-20 -133.760000 N N N THAILAND GOVT 254900PHJ6MSKT6C7026 ACI2TGV26 435690000.000000 PA 14368783.260000 0.0920973 Long DBT NUSS TH N 2 2035-03-17 Fixed 2.41 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2NSRJ4 361800000.000000 PA 430619104.950000 2.76007 Long DBT NUSS FR N 2 2030-02-25 Fixed 2.75 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-34CB N/A 12667GW41 95706.880000 PA USD 54874.430000 0.0003517 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.83368 N N N N N N N/A N/A 000000000 1.000000 NC -274.420000 -0.0000018 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 665391.730000 TRY 16352.910000 USD 2025-07-08 -274.420000 N N N FNMA PASS THRU POOLS N/A 31418FDC8 14067165.910000 PA USD 14306510.160000 0.0916982 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -845828.620000 -0.0054214 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-15 0.000000 USD 0.000000 USD 50000000.000000 USD -845828.620000 N N N N/A N/A 000000000 1.000000 NC -1206846.200000 -0.0077353 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 327001644.000000 TWD 10051692.000000 USD 2025-07-16 -1206846.200000 N N N N/A N/A 000000000 1.000000 NC 4145.080000 0.0000266 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1865630.920000 USD 13334000.000000 CNY 2025-08-20 4145.080000 N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAE1 11081402.190000 PA USD 9987528.170000 0.0640155 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.89368 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAA5 12201860.470000 PA USD 11886666.890000 0.0761881 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N N/A N/A 000000000 1.000000 NC -70682.150000 -0.000453 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 12455266.090000 SGD 9749658.000000 USD 2025-08-05 -70682.150000 N N N UMBS PASS THRU POOLS N/A 01F022683 -71530000.000000 PA USD -59329798.850000 -0.380277 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 2.5 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAG2 789566.410000 PA USD 720789.100000 0.0046199 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.77368 N N N N N N N/A N/A 000000000 1.000000 NC 193231.740000 0.0012385 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1406019.960000 KWD 4842000.000000 USD 2030-05-15 193231.740000 N N N N/A N/A 000000000 1.000000 NC 150172.210000 0.0009625 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11169192.000000 USD 972290449.710000 INR 2025-08-20 150172.210000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAA7 3661157.710000 PA USD 2628180.000000 0.0168454 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.69368 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638AV4 237800000.000000 PA 68419272.270000 0.438536 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N N/A N/A 000000000 1.000000 NC 2005405.800000 0.0128537 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 478956904.570000 USD 730778944.000000 AUD 2025-07-02 2005405.800000 N N N N/A N/A 000000000 1.000000 NC -21986.500000 -0.0001409 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 49372000.000000 CNY 6901260.890000 USD 2025-08-20 -21986.500000 N N N 365BANK A S 315700PLTAXHBHZP5J02 ACI2PW0Z6 10900000.000000 PA 13795872.920000 0.0884252 Long DBT CORP SK N 2 2028-07-04 Floating 7.125 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 53071.570000 PA USD 48546.190000 0.0003112 Long ABS-MBS CORP US N 2 2036-03-19 Floating 4.91206 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 5400000.000000 PA USD 648000.000000 0.0041534 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 USD -91021.090000 -0.0005834 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 18800000.000000 USD -91021.090000 N N N ITALY GOVT 815600DE60799F5A9309 551287II8 5900000.000000 PA 8424603.100000 0.0539979 Long DBT NUSS IT N 2 2028-08-04 Fixed 6 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2TMXJ4 13000000.000000 PA 15654386.920000 0.100338 Long DBT NUSS RO N 2 2030-03-10 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 3140BEHN1 1626121.000000 PA USD 1683895.010000 0.010793 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 158533.900000 PA USD 165101.370000 0.0010582 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.959 N N N N N N N/A N/A 000000000 1.000000 NC 159586.400000 0.0010229 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10303178.290000 USD 426123999.310000 TRY 2025-07-30 159586.400000 N N N AMERICAN MEDICAL SYSTEMS EUROPE BV 549300AA2JE6ZQ5D2493 ACI2V3MX4 23100000.000000 PA 27187810.650000 0.174261 Long DBT CORP NL N 2 2031-03-08 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -915415.820000 -0.0058674 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -2552768.550000 EUR 39600000.000000 EUR 1637352.730000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 173600000.000000 PA 50691200.000000 0.324907 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLG2 4500000.000000 PA USD 4599553.230000 0.029481 Long DBT CORP US N 2 2029-04-25 Floating 5.202 N N N N N N N/A N/A 000000000 1.000000 NC -15331468.900000 -0.0982677 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 850975000.000000 DKK 121575672.720000 USD 2026-04-01 -15331468.900000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2X1 13300000.000000 PA USD 13780537.110000 0.0883269 Long DBT CORP FR N 2 2035-02-20 Floating 5.738 N N N N N N FNMA PASS THRU POOLS N/A 3140HAR44 96529.650000 PA USD 88059.090000 0.0005644 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 2501911.810000 PA USD 1915908.770000 0.0122801 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.93368 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJ61 3968360.760000 PA USD 4101516.250000 0.0262888 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N EXPORT DEVELOPMENT CANADA (EDC) Z6MHCSLXHKYG4B6PHW02 ACI2N3ML9 2119600000.000000 PA 25140832.150000 0.161141 Long DBT CORP CA N 2 2029-03-11 Fixed 7.13 N N N N N N STRATTON MORTGAGE FUNDING 2024-2 PLC 24-2A N/A ACI2NCB49 5925753.370000 PA 8142400.520000 0.0521891 Long ABS-MBS CORP GB N 2 2050-06-28 Floating 5.11954 N N N N N N N/A N/A 000000000 1.000000 NC -439813.710000 -0.002819 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -1217470.470000 EUR 18800000.000000 EUR 777656.760000 N N N N/A N/A 000000000 1.000000 NC USD 535326.830000 0.0034312 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 1198016.580000 USD 0.000000 USD 15754000.000000 USD -662689.750000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638DR0 3300000.000000 PA USD 1778683.500000 0.0114005 Long DBT NUSS PE N 2 2099-12-31 Fixed 3.23 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMZ8B6II2 8800000.000000 PA 3150470.540000 0.0201931 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3J0 16100000.000000 PA USD 16494591.200000 0.105723 Long DBT CORP US N 2 2030-01-23 Floating 5.198 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 93785.330000 PA USD 81843.910000 0.0005246 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.3761 N N N N N N N/A N/A 000000000 1.000000 NC -294.510000 -0.0000019 N/A DFE MY N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 252102.000000 MYR 59545.650000 USD 2025-07-16 -294.510000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI2FJPF3 765672000.000000 PA 183789848.360000 1.17801 Long DBT NUSS MY N 2 2028-04-20 Fixed 3.519 N N N N N N N/A N/A 000000000 1.000000 NC USD -94407.780000 -0.0006051 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-06-25 102032.050000 USD 0.000000 USD 27500000.000000 USD -196439.830000 N N N N/A N/A 000000000 1.000000 NC 343426.960000 0.0022012 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13093422.850000 EUR 57958690.920000 RON 2025-07-11 343426.960000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI19Y843 1.410000 PA 0.180000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -14583.770000 -0.0000935 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3564473.000000 TWD 109331.610000 USD 2025-08-20 -14583.770000 N N N N/A N/A 000000000 1.000000 NC -498312.090000 -0.003194 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 52131137.030000 PEN 14187273.650000 USD 2025-09-15 -498312.090000 N N N COUNTRYWIDE HOME LOANS 2006-HYB5 N/A 170256AD3 60076.300000 PA USD 53242.330000 0.0003413 Long ABS-MBS CORP US N 2 2036-09-20 Floating 4.30022 N N N N N N FNMA PASS THRU POOLS N/A 3140AXYM3 12833418.540000 PA USD 13288988.210000 0.0851763 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 13699033.130000 0.0878045 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-03-19 20968019.090000 USD 0.000000 USD 1034970000.000000 USD -7268985.960000 N N N N/A N/A 000000000 1.000000 NC -189526.860000 -0.0012148 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 16867.080000 CAD 0.000000 CAD 32100000.000000 CAD -206393.940000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HD2 1100000.000000 PA USD 872737.200000 0.0055938 Long DBT CORP US N 2 2043-06-15 Fixed 4.6 N N N N N N N/A N/A 000000000 1.000000 NC -274301.120000 -0.0017581 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-12-18 182688.660000 JPY 0.000000 JPY 2867700000.000000 JPY -456989.780000 N N N N/A N/A 000000000 1.000000 NC -1768442.550000 -0.0113349 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 679722441.420000 BRL 123339220.000000 USD 2025-07-02 -1768442.550000 N N N N/A N/A 000000000 1.000000 NC -7552.950000 -0.0000484 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 938929.000000 USD 284824.110000 KWD 2027-06-10 -7552.950000 N N N GNMA PASS THRU POOLS N/A 36225CB70 1518.940000 PA USD 1518.310000 0.0000097 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 6032.400000 0.0000387 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 362430.000000 USD 14769276.200000 TRY 2025-07-10 6032.400000 N N N NOMURA RESECURITIZATION TRUST 2016-2R N/A 65541FAE5 7747511.150000 PA USD 6777466.970000 0.0434405 Long ABS-MBS CORP US N 2 2037-12-26 Variable 3.85063 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1701366.380000 PA USD 1024303.040000 0.0065653 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.65368 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAA0 677244.980000 PA USD 378758.190000 0.0024277 Long ABS-MBS CORP US N 2 2037-04-26 Fixed 5.25 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AC3 1643551.000000 PA USD 1594578.110000 0.0102205 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.947 N N N N N N RMAC SECURITIES PLC 2007-NS1X N/A B231LDII0 126730.200000 PA USD 123779.790000 0.0007934 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.73045 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI24V7D3 125660000.000000 PA 31314291.140000 0.20071 Long DBT NUSS MY N 2 2032-10-07 Fixed 4.193 N N N N N N N/A N/A 000000000 1.000000 NC 11441.160000 0.0000733 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1388090.000000 USD 56774269.090000 TRY 2025-07-25 11441.160000 N N N N/A N/A 000000000 1.000000 NC 219536.440000 0.0014071 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1468426.720000 KWD 5051000.000000 USD 2029-07-02 219536.440000 N N N N/A N/A 000000000 1.000000 NC USD -225500.850000 -0.0014454 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-29 0.000000 USD -131739.290000 USD 12336000.000000 USD -93761.560000 N N N FHLMC PASS THRU POOLS N/A 31425W3L3 9601378.040000 PA USD 9975174.570000 0.0639363 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140BAWS1 1617624.000000 PA USD 1674997.500000 0.010736 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 6.5 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JJ7 500000.000000 PA USD 321019.220000 0.0020576 Long DBT CORP US N 2 2050-08-01 Fixed 3.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1 N/A 36265LAB3 31851837.170000 PA USD 27153745.340000 0.174043 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC -1184.760000 -0.0000076 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 687365.000000 USD 209680.690000 KWD 2026-06-10 -1184.760000 N N N STRUCTURED ASSET MTG INV INC 2005-AR4 N/A 86360QAB1 12655.040000 PA USD 12470.800000 0.0000799 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.81368 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A N/A ACI2X1Q61 25000000.000000 PA 29459662.260000 0.188823 Long ABS-CBDO CORP IE N 2 2035-02-15 Floating 3.203 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAP9 812871.450000 PA USD 590954.290000 0.0037877 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.03368 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PW1 8476000.000000 PA USD 8404233.710000 0.0538673 Long DBT UST US N 2 2025-09-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1487283.680000 0.0095328 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 31369000.000000 USD 44589716.000000 CAD 2025-09-08 1487283.680000 N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 ACI1SY321 1200000.000000 PA USD 1066930.200000 0.0068385 Long DBT CORP SA N 2 2030-11-24 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 8888.910000 0.000057 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3472564.000000 USD 24837465.390000 CNY 2025-08-08 8888.910000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI28TF11 7300000.000000 PA 8842564.540000 0.0566768 Long DBT NUSS RO N 2 2026-09-27 Fixed 5 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQJII4 1366401.260000 PA 1487891.950000 0.0095367 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 3.475 N N N N N N FANNIE MAE 2003-34 N/A 31393CEY5 78598.830000 PA USD 79389.110000 0.0005088 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 6 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR20 12350.930000 PA USD 11996.090000 0.0000769 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.51261 N N N N N N WASHINGTON MUTUAL 2005-AR4 N/A 92922FG77 65225.860000 PA USD 63399.650000 0.0004064 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.38489 N N N N N N N/A N/A 000000000 1.000000 NC 12911960.090000 0.0827598 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2028-03-17 3029889.910000 GBP 0.000000 GBP 977400000.000000 GBP 9882070.180000 N N N N/A N/A 000000000 1.000000 NC 11297.900000 0.0000724 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3906139.540000 USD 27952334.550000 CNY 2025-08-06 11297.900000 N N N N/A N/A 000000000 1.000000 NC -584.490000 -0.0000037 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 457948.420000 MXN 23623.550000 USD 2025-09-17 -584.490000 N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 12803RAA2 9700000.000000 PA USD 10084273.940000 0.0646356 Long DBT CORP ES N 2 2029-01-18 Floating 6.208 N N N N N N N/A N/A 000000000 1.000000 NC USD -505171.680000 -0.0032379 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 44800000.000000 USD -505171.680000 N N N N/A N/A 000000000 1.000000 NC -8257.490000 -0.0000529 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1675000.000000 USD 509322.280000 KWD 2026-05-05 -8257.490000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GC44 14700000.000000 PA USD 15080425.270000 0.0966586 Long DBT CORP US N 2 2036-01-28 Floating 5.536 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 000000000 12400000.000000 PA USD 12460969.680000 0.0798691 Long DBT NUSS SA N 2 2033-07-18 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 4809.930000 0.0000308 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5916817.000000 USD 42305241.550000 CNY 2025-07-15 4809.930000 N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 4365357.920000 PA 5127895.340000 0.0328675 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.899 N N N N N N N/A N/A 000000000 1.000000 NC -9341.230000 -0.0000599 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4871798.920000 SGD 3831823.000000 USD 2025-08-05 -9341.230000 N N N COUNTRYWIDE HOME LOANS 2006-HYB2 N/A 126694D21 2031400.910000 PA USD 1841114.510000 0.0118007 Long ABS-MBS CORP US N 2 2036-04-20 Floating 4.6227 N N N N N N HAYFIN EMERALD CLO X DAC 10A N/A ACI2PCMS2 13600000.000000 PA 16049918.250000 0.102873 Long ABS-CBDO CORP IE N 2 2038-07-18 Floating 3.586 N N N N N N FNMA PASS THRU POOLS N/A 3140ATKK1 12847507.550000 PA USD 13278596.420000 0.0851097 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 161912.350000 0.0010378 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 5088950.320000 USD 18640825.020000 PEN 2025-09-17 161912.350000 N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAC6 413217.200000 PA USD 156962.370000 0.0010061 Long ABS-MBS CORP US N 2 2036-02-26 Floating 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 120837.860000 0.0007745 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 20594985.080000 USD 390629201.000000 MXN 2025-08-18 120837.860000 N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAF2 1046673.990000 PA USD 894593.100000 0.0057339 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.43395 N N N N N N N/A N/A 000000000 1.000000 NC -26374.020000 -0.000169 N/A DFE SE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18725000.000000 SEK 1952824.580000 USD 2025-07-02 -26374.020000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1V7HH8 19400000.000000 PA 6283452.620000 0.0402741 Long DBT NUSS FR N 2 2072-05-25 Fixed 0.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3VF1 17900000.000000 PA 13154074.770000 0.0843116 Long DBT NUSS RO N 2 2042-04-13 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC -302094.740000 -0.0019363 N/A DFE DK N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 404204861.680000 DKK 63515527.000000 USD 2025-07-02 -302094.740000 N N N N/A N/A 000000000 1.000000 NC -37303.120000 -0.0002391 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 2027-03-19 0.000000 GBP 0.000000 GBP N/A GBP Y 2027-03-19 0.000000 GBP -75640.990000 GBP 121000000.000000 GBP 38337.870000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694R75 308601.570000 PA USD 273863.960000 0.0017553 Long ABS-MBS CORP US N 2 2046-05-20 Floating 4.85206 N N N N N N N/A N/A 000000000 1.000000 NC 55938.720000 0.0003585 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12186173.000000 USD 1051550961.260000 INR 2025-08-20 55938.720000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1D66B5 800000.000000 PA 785071.120000 0.0050319 Long DBT NUSS RO N 2 2031-07-16 Fixed 2.124 N N N N N N FNMA PASS THRU POOLS N/A 31404NEV4 61946.850000 PA USD 63412.400000 0.0004064 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.125 N N N N N N NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A N/A 64134AAJ1 900000.000000 PA USD 899333.300000 0.0057643 Long ABS-CBDO CORP KY N 2 2036-07-17 Floating 5.32979 N N N N N N N/A N/A 000000000 1.000000 NC -16351.810000 -0.0001048 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1934375.940000 SGD 1504982.000000 USD 2025-07-02 -16351.810000 N N N TOWD POINT MORTGAGE TRUST 2024-4 N/A 89183GAA4 8289135.370000 PA USD 8333431.680000 0.0534135 Long ABS-MBS CORP US N 2 2064-10-27 Variable 4.435 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI2V6FB3 16800000.000000 PA 19376760.450000 0.124196 Long DBT NUSS ES N 2 2041-01-31 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -26780.690000 -0.0001717 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6470278.000000 TWD 198152.130000 USD 2025-08-20 -26780.690000 N N N N/A N/A 000000000 1.000000 NC -5552.930000 -0.0000356 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1187000.000000 USD 361026.050000 KWD 2026-05-04 -5552.930000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAF5 547000.000000 PA USD 556595.580000 0.0035675 Long ABS-O CORP US N 2 2054-11-25 Fixed 8.75 N N N N N N FNMA PASS THRU POOLS N/A 31418EU99 24682189.910000 PA USD 24728354.490000 0.158497 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY77 21900000.000000 PA 26575248.290000 0.170335 Long DBT CORP US N 2 2030-03-21 Floating 3.79 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAF4 13800000.000000 PA USD 13478535.620000 0.0863912 Long DBT CORP GB N 2 2028-02-16 Floating 2.972 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI06FV19 34900000.000000 PA 22735334.540000 0.145723 Long DBT MUN AU N 2 2032-12-20 Fixed 4.25 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1 N/A 17290FBA6 32130274.590000 PA USD 27391113.710000 0.175565 Long ABS-MBS CORP US N 2 2051-11-27 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 733355.730000 0.0047005 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7800205.050000 CZK 7167000.000000 EUR 2025-12-18 733355.730000 N N N N/A N/A 000000000 1.000000 NC -4023.120000 -0.0000258 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1779655.910000 USD 255700000.000000 JPY 2025-07-02 -4023.120000 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDT8 41800000.000000 PA USD 43120914.690000 0.276385 Long DBT CORP NL N 2 2030-03-05 Floating 5.447 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2 N/A 17309LAG0 11926220.320000 PA USD 11697074.690000 0.0749729 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.88368 N N N N N N N/A N/A 000000000 1.000000 NC 11717502.190000 0.0751038 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2039-06-19 10492582.600000 JPY 0.000000 JPY 11190000000.000000 JPY 1224919.590000 N N N N/A N/A 000000000 1.000000 NC 355207.300000 0.0022767 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 61262283.410000 USD 439415000.000000 CNY 2025-08-20 355207.300000 N N N N/A N/A 000000000 1.000000 NC 234885.170000 0.0015055 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4831174.000000 USD 27524406.070000 BRL 2025-07-02 234885.170000 N N N N/A N/A 000000000 1.000000 NC USD 3069419.790000 0.0196736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-18 1799975.140000 USD 0.000000 USD 370300000.000000 USD 1269444.650000 N N N N/A N/A 000000000 1.000000 NC -48086.630000 -0.0003082 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1593600000.000000 JPY 11018195.790000 USD 2025-07-02 -48086.630000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI1LSN29 38824610000.000000 PA 27129422.620000 0.173887 Long DBT NUSS KR N 2 2030-06-10 Fixed 1.375 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 43251.210000 PA USD 31023.330000 0.0001988 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.43146 N N N N N N N/A N/A 000000000 1.000000 NC -197320.280000 -0.0012647 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 177491000.000000 CNY 24691566.180000 USD 2025-08-20 -197320.280000 N N N FHLMC PASS THRU POOLS N/A 3133WEMK3 15791043.340000 PA USD 16071984.950000 0.103014 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 41656.760000 0.000267 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8773618.000000 USD 142961718501.000000 IDR 2025-07-16 41656.760000 N N N N/A N/A 000000000 1.000000 NC -9253.370000 -0.0000593 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1874726439.000000 KRW 1377422.000000 USD 2025-07-16 -9253.370000 N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 36219285.690000 PA USD 34802995.720000 0.223071 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 8213282.300000 PA USD 4652000.630000 0.0298172 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.73368 N N N N N N CIM TRUST 2023-R2 N/A 17181KAA8 5901595.220000 PA USD 5958939.250000 0.0381941 Long ABS-MBS CORP US N 2 2064-08-25 Variable 5.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 4250114.000000 PA USD 3376609.320000 0.0216425 Long DBT NUSS AR N 2 2030-07-09 Variable 0.75 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZK8 27895.210000 PA USD 28989.100000 0.0001858 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.37335 N N N N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 2794043.360000 PA USD 2797818.670000 0.0179327 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N N/A N/A 000000000 1.000000 NC 34471.680000 0.0002209 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1963000.000000 USD 91518004.500000 TRY 2025-12-12 34471.680000 N N N BANC OF AMERICA FUNDING CORP 2005-8 N/A 05946XZ48 10875.820000 PA USD 11025.660000 0.0000707 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI2SJ0T6 585100000.000000 PA 91999382.670000 0.589674 Long DBT CORP DK N 2 2026-01-01 Fixed 1 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 3115000.000000 PA 4271955.530000 0.0273813 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.36986 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 955PDJII7 15680000000.000000 PA 8295195.440000 0.0531684 Long DBT NUSS NG N 2 2026-06-12 None 0 N N N N N N KOMMUNALBANKEN AS I7ETN0QQO2AHZZGHJ389 ACI22XFG5 20700000.000000 PA 13274686.390000 0.0850847 Long DBT CORP NO N 2 2027-01-19 Fixed 1.9 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2P7MX2 10823000000.000000 PA 60435337.380000 0.387363 Long DBT NUSS JP N 2 2064-03-20 Fixed 2.2 N N N N N N RESLOC UK PLC 2007-1X N/A B1XCHGII3 505876.800000 PA 666113.080000 0.0042695 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 4.55961 N N N N N N EUROSAIL PLC 2006-2X N/A ACI01IBW2 931241.500000 PA 1094815.710000 0.0070173 Long ABS-MBS CORP GB N 2 2044-12-15 Floating 2.215 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWLA9 5450291.270000 PA USD 5544617.440000 0.0355385 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140AAEF0 1169897.420000 PA USD 1211318.390000 0.007764 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 9439000000.000000 PA 44384700.880000 0.284486 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N N/A N/A 000000000 1.000000 NC USD -184.520000 -0.0000012 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-15 0.000000 USD 0.000000 USD 100000.000000 USD -184.520000 N N N N/A N/A 000000000 1.000000 NC -797972.820000 -0.0051146 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2029-01-30 0.000000 CZK -1020777.310000 CZK 264500000.000000 CZK 222804.490000 N N N FHLMC PASS THRU POOLS N/A 3128JMN94 4168.090000 PA USD 4269.600000 0.0000274 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 7.355 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAG2 2105768.670000 PA USD 1130848.040000 0.0072482 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AS5 43400000.000000 PA USD 43115803.780000 0.276353 Long DBT NUSS JP N 2 2025-09-02 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -1675021.300000 -0.0107361 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2030-09-17 0.000000 SGD -755935.730000 SGD 56300000.000000 SGD -919085.570000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAY5 281746.480000 PA USD 129787.020000 0.0008319 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -5407.040000 -0.0000347 N/A DFE IL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 638313.480000 ILS 184099.080000 USD 2025-07-02 -5407.040000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QLH16 3458343.140000 PA 4076839.350000 0.0261307 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 3.259 N N N N N N N/A N/A 000000000 1.000000 NC 409444.030000 0.0026243 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2725836.480000 KWD 9371000.000000 USD 2029-05-07 409444.030000 N N N N/A N/A 000000000 1.000000 NC 9784.210000 0.0000627 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4655002.000000 USD 33290246.800000 CNY 2025-08-04 9784.210000 N N N N/A N/A 000000000 1.000000 NC 5642.940000 0.0000362 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 90511.980000 USD 2015187.690000 CZK 2025-08-22 5642.940000 N N N N/A N/A 000000000 1.000000 NC 391.850000 0.0000025 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 67246.340000 USD 2196597.020000 THB 2025-07-16 391.850000 N N N N/A N/A 000000000 1.000000 NC USD -1097661.280000 -0.0070355 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 34586.130000 USD 0.000000 USD 60900000.000000 USD -1132247.410000 N N N BAIN CAPITAL CREDIT CLO 2022-3 LTD N/A 05684NAL5 5000000.000000 PA USD 5003750.000000 0.0320717 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 -9320346.450000 -0.0597392 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 525260000.000000 DKK 75184891.910000 USD 2026-04-01 -9320346.450000 N N N N/A N/A 000000000 1.000000 NC 56920.580000 0.0003648 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17382216.410000 USD 124534889.470000 CNY 2025-07-23 56920.580000 N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 1324286.400000 PA USD 1085519.280000 0.0069577 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.87368 N N N N N N N/A N/A 000000000 1.000000 NC USD -312633.260000 -0.0020038 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-06-27 0.000000 USD -18851.360000 USD 35627000.000000 USD -293781.900000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CU2 5400000.000000 PA USD 5754067.690000 0.0368809 Long DBT CORP GB N 2 2034-07-06 Floating 6.296 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 222489.420000 PA USD 187100.140000 0.0011992 Long ABS-MBS CORP US N 2 2046-07-20 Floating 4.85206 N N N N N N N/A N/A 000000000 1.000000 NC 3220.850000 0.0000206 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11627682.000000 USD 999050437.440000 INR 2025-08-20 3220.850000 N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBK1 18300000.000000 PA USD 18509262.330000 0.118636 Long DBT CORP US N 2 2027-05-31 Floating 6.124 N N N N N N MASTR ASSET BACKED SEC TRUST 2005-HE2 N/A 57643LKN5 8788975.700000 PA USD 8639970.040000 0.0553783 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.16868 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNB5 3214374.130000 PA USD 3321727.890000 0.0212908 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAD6 3349385.460000 PA USD 1673939.450000 0.0107292 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.91368 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI29CD84 9710000000.000000 PA 56885138.710000 0.364608 Long DBT NUSS JP N 2 2042-09-20 Fixed 1.1 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AF3 600000.000000 PA USD 677880.910000 0.0043449 Long DBT NUSS HU N 2 2041-03-29 Fixed 7.625 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJH7 480281.010000 PA USD 497014.960000 0.0031856 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.5 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAZ2 10300000.000000 PA USD 9965528.000000 0.0638745 Long DBT CORP JP N 2 2027-01-22 Fixed 2.329 N N N N N N N/A N/A 000000000 1.000000 NC 324227.830000 0.0020782 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4216281.000000 USD 24669038.500000 BRL 2025-07-02 324227.830000 N N N N/A N/A 000000000 1.000000 NC -1181422.300000 -0.0075724 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 281743408.000000 TWD 8613109.000000 USD 2025-08-20 -1181422.300000 N N N N/A N/A 000000000 1.000000 NC -2249557.510000 -0.0144186 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2048-12-18 0.000000 CAD -3458323.100000 CAD 36900000.000000 CAD 1208765.590000 N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 2576.820000 PA USD 2159.960000 0.0000138 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.05368 N N N N N N N/A N/A 000000000 1.000000 NC -206784.640000 -0.0013254 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 276444340.130000 CNY 38454331.000000 USD 2025-07-16 -206784.640000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1.320000 PA 0.160000 0 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 52855.340000 0.0003388 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2003846.490000 USD 1746000.000000 EUR 2025-07-02 52855.340000 N N N N/A N/A 000000000 1.000000 NC -6412557.720000 -0.0411016 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2037-09-21 0.000000 EUR -8656782.750000 EUR 142090000.000000 EUR 2244225.030000 N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1KFVM5 35900000.000000 PA 19847021.820000 0.12721 Long DBT NUSS AU N 2 2033-03-08 Fixed 2 N N N N N N CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC) 549300CTE3HOMEUMM603 12610BUQ3 13800000.000000 PA USD 13755638.520000 0.0881673 Long DBT CORP US N 2 2025-07-24 None 0 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DQ2 4700000.000000 PA USD 2536731.000000 0.0162593 Long DBT NUSS PE N 2 2060-12-01 Fixed 2.78 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 705891.420000 PA USD 645212.290000 0.0041355 Long ABS-MBS CORP US N 2 2046-02-25 Floating 5.39869 N N N N N N N/A N/A 000000000 1.000000 NC 291066.410000 0.0018656 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12394527.000000 USD 68922097.550000 BRL 2025-07-02 291066.410000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 958ZIAII6 40737394000.000000 PA 21394074.480000 0.137126 Long DBT NUSS NG N 2 2026-06-26 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133CRCJ0 9881721.960000 PA USD 10266209.390000 0.0658017 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -10795.000000 -0.0000692 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1731797400.000000 KRW 1270000.000000 USD 2025-07-14 -10795.000000 N N N PMT LOAN TRUST 2021-INV1 N/A 69359YAC1 9964368.050000 PA USD 8157765.350000 0.0522875 Long ABS-MBS CORP US N 2 2051-07-25 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -16731.670000 -0.0001072 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1002751536.000000 JPY 6972321.000000 USD 2025-08-04 -16731.670000 N N N N/A N/A 000000000 1.000000 NC -2945.810000 -0.0000189 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1508145994.000000 KRW 1112581.700000 USD 2025-07-16 -2945.810000 N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 1724645.300000 PA USD 1701852.910000 0.0109081 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 4.81449 N N N N N N N/A N/A 000000000 1.000000 NC -118111.160000 -0.000757 N/A DFE PE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10553501.520000 PEN 2859020.270000 USD 2025-07-30 -118111.160000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2R9YZ8 38780000.000000 PA 45151027.410000 0.289397 Long DBT NUSS RO N 2 2031-09-24 Fixed 5.125 N N N N N N NEWGATE FUNDING PLC 2006-3X N/A B1H0JWII0 26513.440000 PA 35862.310000 0.0002299 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 4.56603 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRU1 16700000.000000 PA 11538237.560000 0.0739548 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.867 N N N N N N N/A N/A 000000000 1.000000 NC -7774.000000 -0.0000498 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 895471.660000 BRL 157043.810000 USD 2025-07-02 -7774.000000 N N N N/A N/A 000000000 1.000000 NC -2682.800000 -0.0000172 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5002150.320000 THB 151344.720000 USD 2025-07-16 -2682.800000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 26200000.000000 PA 30924454.110000 0.198212 Long DBT CORP US N 2 2027-03-19 Floating 2.664 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HN0 500000.000000 PA USD 373068.220000 0.0023912 Long DBT CORP US N 2 2046-03-15 Fixed 4.25 N N N N N N NYMT LOAN TRUST 2024-INV1 N/A 62956XAA9 3004890.870000 PA USD 3004239.710000 0.0192558 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 5.379 N N N N N N N/A N/A 000000000 1.000000 NC 6535.310000 0.0000419 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1806655.000000 USD 29414479770.000000 IDR 2025-07-14 6535.310000 N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 175290.560000 PA USD 167910.830000 0.0010762 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.13754 N N N N N N N/A N/A 000000000 1.000000 NC 94132.750000 0.0006033 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6602332.100000 HUF 5663837.000000 EUR 2025-08-27 94132.750000 N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 1724645.300000 PA USD 88576.750000 0.0005677 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.05325 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAB4 5260000.000000 PA USD 5371248.470000 0.0344272 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.35 N N N N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAD5 4600000.000000 PA USD 3109899.000000 0.019933 Long DBT CORP QA N 2 2051-07-12 Fixed 3.3 N N N N N N N/A N/A 000000000 1.000000 NC 28159.130000 0.0001805 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1920000.000000 USD 10584543.360000 BRL 2025-07-02 28159.130000 N N N N/A N/A 000000000 1.000000 NC 10896.080000 0.0000698 N/A DFE HK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 39666925.690000 HKD 5071297.160000 USD 2025-07-16 10896.080000 N N N N/A N/A 000000000 1.000000 NC -118640.620000 -0.0007604 N/A DFE KZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4160000.000000 USD 2144480000.000000 KZT 2025-09-12 -118640.620000 N N N N/A N/A 000000000 1.000000 NC 1204862.270000 0.0077226 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-10 0.000000 CHF -3801346.950000 CHF 127700000.000000 CHF 5006209.220000 N N N N/A N/A 000000000 1.000000 NC 118829.060000 0.0007616 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2027-06-15 0.000000 NZD -386735.230000 NZD 18100000.000000 NZD 505564.290000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 4673165.290000 PA USD 4131520.200000 0.0264812 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.63368 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087M68 20660000.000000 PA 10269645.490000 0.0658237 Long DBT NUSS CA N 2 2053-12-01 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -173540.970000 -0.0011123 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 69915.010000 CAD 0.000000 CAD 19300000.000000 CAD -243455.980000 N N N GNMA PASS THRU POOLS N/A 36202KW76 56.070000 PA USD 56.010000 0.0000004 Long ABS-MBS USGSE US N 2 2025-12-20 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 3140B43S7 2555595.970000 PA USD 2642084.290000 0.0169346 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 4730.180000 PA USD 4456.000000 0.0000286 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.09368 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMU4 12946648.460000 PA USD 13381063.930000 0.0857665 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -54510.840000 -0.0003494 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3495200.000000 EUR 4065101.050000 RON 2025-07-11 -54510.840000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BB3 2600000.000000 PA USD 2600829.300000 0.0166701 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC -13237.020000 -0.0000848 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1332971.900000 SGD 1035108.950000 USD 2025-07-02 -13237.020000 N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 10300000.000000 PA USD 10272260.450000 0.0658405 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 1468228.700000 0.0094107 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2029-09-01 0.000000 CAD -261262.400000 CAD 172000000.000000 CAD 1729491.100000 N N N N/A N/A 000000000 1.000000 NC -1251.100000 -0.000008 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 541546011.000000 KRW 399313.220000 USD 2025-07-16 -1251.100000 N N N N/A N/A 000000000 1.000000 NC -312578.390000 -0.0020035 N/A DFE TW N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 230743745.000000 TWD 7709000.000000 USD 2025-08-20 -312578.390000 N N N N/A N/A 000000000 1.000000 NC -1227363.960000 -0.0078668 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 80500000.000000 BRL 13251574.130000 USD 2025-10-02 -1227363.960000 N N N COLT 2022-3 MORTGAGE LOAN TRUST N/A 12659YAB0 8774285.640000 PA USD 8391689.060000 0.0537869 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.156 N N N N N N GNMA PASS THRU POOLS N/A 36179WZA9 56702434.330000 PA USD 50221566.090000 0.321897 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB78 32850000.000000 PA USD 32466608.640000 0.208096 Long DBT CORP US N 2 2035-10-23 Floating 5.016 N N N N N N N/A N/A 000000000 1.000000 NC USD -939779.590000 -0.0060236 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 25940000.000000 USD -939779.590000 N N N FHLMC PASS THRU POOLS N/A 3142GSQZ4 5695301.750000 PA USD 5792049.090000 0.0371244 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -111528.610000 -0.0007148 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 131921445.670000 THB 3950631.000000 USD 2025-07-16 -111528.610000 N N N N/A N/A 000000000 1.000000 NC 7473.140000 0.0000479 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 977293944.000000 JPY 6794001.000000 USD 2025-07-02 7473.140000 N N N N/A N/A 000000000 1.000000 NC USD -5535.600000 -0.0000355 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-15 0.000000 USD 0.000000 USD 3000000.000000 USD -5535.600000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 3257998.360000 PA USD 2959651.720000 0.01897 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.57368 N N N N N N N/A N/A 000000000 1.000000 NC 108156.280000 0.0006932 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13695412.480000 USD 559964330.070000 TRY 2025-07-25 108156.280000 N N N LOANCORE ISSUER LTD 2021-CRE6 N/A 53948HAA4 12521504.790000 PA USD 12544787.650000 0.0804063 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.72624 N N N N N N BANK OF QUEENSLAND LIMITED 549300WFIN7T02UKDG08 ACI2P76R3 30377000.000000 PA 36711824.610000 0.235306 Long DBT CORP AU N 2 2029-07-30 Fixed 3.3004 N N N N N N N/A N/A 000000000 1.000000 NC -4085265.370000 -0.0261847 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 419383998590.000000 KRW 306119707.000000 USD 2025-07-16 -4085265.370000 N N N N/A N/A 000000000 1.000000 NC 135269.830000 0.000867 N/A DFE EG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1630000.000000 USD 88199300.000000 EGP 2025-07-22 135269.830000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BGGL77II0 113568490000.000000 PA 83861128.930000 0.537512 Long DBT NUSS KR N 2 2028-12-10 Fixed 2.375 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI2TQPH8 553400000.000000 PA 86831485.300000 0.55655 Long DBT CORP DK N 2 2026-04-01 Fixed 1 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863EB0 14300000.000000 PA USD 14525225.000000 0.0931 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85 N N N N N N UMBS PASS THRU POOLS N/A 01F030678 52700000.000000 PA USD 45609375.210000 0.292335 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 3 N N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 842944.800000 PA USD 385985.600000 0.002474 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.19245 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 560437.610000 PA USD 514955.070000 0.0033006 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.64368 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMA8 19784140.540000 PA USD 19798675.750000 0.126901 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFT7 10800000.000000 PA USD 10936206.790000 0.0700961 Long DBT CORP US N 2 2035-07-19 Floating 5.32 N N N N N N N/A N/A 000000000 1.000000 NC 1308.980000 0.0000084 N/A DFE NO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3373375.940000 NOK 336052.710000 USD 2025-08-04 1308.980000 N N N N/A N/A 000000000 1.000000 NC -457786.220000 -0.0029342 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 121890997.000000 TWD 3738872.950000 USD 2025-07-16 -457786.220000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 K1R19DGF8 106400000.000000 PA 16695917.580000 0.107013 Long DBT CORP DK N 2 2026-04-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -519659.810000 -0.0033308 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 263273965.820000 CNY 36398245.000000 USD 2025-08-20 -519659.810000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 17884787.600000 PA USD 17920547.520000 0.114863 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 5.75385 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 101534.360000 PA USD 99595.610000 0.0006384 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3N1 38000000.000000 PA USD 38161237.040000 0.244596 Long DBT CORP US N 2 2035-12-03 Floating 5.211 N N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR6 N/A 86364RAA7 666893.160000 PA USD 563086.970000 0.0036091 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.89869 N N N N N N N/A N/A 000000000 1.000000 NC -139769.780000 -0.0008959 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9186990.000000 EUR 10688461.300000 RON 2025-07-11 -139769.780000 N N N N/A N/A 000000000 1.000000 NC 12060.590000 0.0000773 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3207451.700000 USD 23005768.060000 CNY 2025-07-11 12060.590000 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDU5 16100000.000000 PA USD 16768020.880000 0.107475 Long DBT CORP NL N 2 2033-01-21 Floating 5.71 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BJ6 7100000.000000 PA USD 7293415.930000 0.0467475 Long DBT CORP CH N 2 2030-02-08 Floating 5.428 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NMK96 9373400000.000000 PA 52274417.830000 0.335055 Long DBT NUSS JP N 2 2054-03-20 Fixed 1.8 N N N N N N PROVINCE OF BRITISH COLUMBIA CANADA 54930058TO7MEKUHWL16 110709AK8 102700000.000000 PA 77797315.310000 0.498645 Long DBT NUSS CA N 2 2034-06-18 Fixed 4.15 N N N N N N N/A N/A 000000000 1.000000 NC -96339.890000 -0.0006175 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 9431077.480000 PEN 2556401.790000 USD 2025-11-03 -96339.890000 N N N N/A N/A 000000000 1.000000 NC -1159820.930000 -0.0074339 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 75600000.000000 BRL 12437790.490000 USD 2025-10-02 -1159820.930000 N N N N/A N/A 000000000 1.000000 NC -198479.650000 -0.0012722 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 283592586.950000 CNY 39462328.000000 USD 2025-07-16 -198479.650000 N N N N/A N/A 000000000 1.000000 NC -1028971.100000 -0.0065952 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 55900000.000000 DKK 7964370.910000 USD 2026-04-01 -1028971.100000 N N N N/A N/A 000000000 1.000000 NC USD -796608.050000 -0.0051059 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-10 0.000000 USD -236375.000000 USD 77500000.000000 USD -560233.050000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 24882623.350000 PA USD 242282103.550000 1.55292 Long STIV RF US N 1 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI22Y4J9 23340000.000000 PA 5621335.480000 0.0360302 Long DBT NUSS MY N 2 2032-07-15 Fixed 3.582 N N N N N N N/A N/A 000000000 1.000000 NC -176649.940000 -0.0011322 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 401193211.530000 ZAR 22449173.000000 USD 2025-07-23 -176649.940000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAC1 2228000.000000 PA USD 2257981.080000 0.0144726 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.45 N N N N N N TEXAS NATURAL GAS SECURITIZATION FINANCE CORP N/A 88258MAA3 7944036.690000 PA USD 8129656.260000 0.0521074 Long DBT MUN US N 2 2035-04-01 Fixed 5.102 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 857524AF9 10000000.000000 PA USD 10207509.500000 0.0654255 Long DBT NUSS PL N 2 2030-02-12 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 5888.070000 0.0000377 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 476847.000000 USD 19318073.350000 TRY 2025-07-08 5888.070000 N N N FHLMC PASS THRU POOLS N/A 3132DWLM3 160195.320000 PA USD 163015.050000 0.0010449 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 109720.780000 0.0007033 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8629673.580000 GBP 7403000.000000 EUR 2025-08-04 109720.780000 N N N N/A N/A 000000000 1.000000 NC 1750275.300000 0.0112185 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 123339220.000000 USD 684915022.580000 BRL 2025-08-04 1750275.300000 N N N CHINA GOVT 300300CHN201808MOF68 ACI2FG9Z3 8080000.000000 PA 1428677.650000 0.0091572 Long DBT NUSS CN N 2 2053-04-15 Fixed 3.19 N N N N N N N/A N/A 000000000 1.000000 NC 16408.280000 0.0001052 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5527268.000000 USD 39575238.880000 CNY 2025-07-29 16408.280000 N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 89496.380000 PA USD 25164.940000 0.0001613 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.83368 N N N N N N N/A N/A 000000000 1.000000 NC 10686.930000 0.0000685 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5954919.760000 USD 56440008.340000 SEK 2025-07-02 10686.930000 N N N N/A N/A 000000000 1.000000 NC -7316.770000 -0.0000469 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2558586.750000 SGD 2009998.000000 USD 2025-08-05 -7316.770000 N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAC2 2944000.000000 PA USD 2934476.720000 0.0188087 Long ABS-O CORP US N 3 2034-03-27 Fixed 5.77 N N N N N N N/A N/A 000000000 2469.000000 NC USD 4646777.260000 0.0297837 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 276855912.830000 USD 4646777.260000 N N N N/A N/A 000000000 1.000000 NC USD -616579.590000 -0.003952 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 82700000.000000 USD -616579.590000 N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV5 N/A 90355DAV5 6330273.830000 PA USD 5386062.210000 0.0345222 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR15 N/A 45660LVM8 3071012.220000 PA USD 2529220.870000 0.0162111 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.0888 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 1363900000.000000 PA USD 1335953061.610000 8.56285 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BNDC0SII9 34500000.000000 PA 19046730.190000 0.122081 Long DBT MUN AU N 2 2033-09-15 Fixed 2.25 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 18112.660000 PA USD 16863.000000 0.0001081 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.24674 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 10826.090000 PA USD 10939.760000 0.0000701 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -40216.980000 -0.0002578 N/A DFE KZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2940000.000000 USD 1536885000.000000 KZT 2025-09-08 -40216.980000 N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 177294.240000 PA USD 123102.450000 0.000789 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.49368 N N N N N N FANNIE MAE REMICS 2025-19 N/A 3136BVBY3 8865592.820000 PA USD 8868807.480000 0.056845 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.46517 N N N N N N N/A N/A 000000000 1.000000 NC 5.060000 0 N/A DFE HK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 27000.000000 HKD 3449.510000 USD 2025-07-16 5.060000 N N N FREDDIE MAC REMICS 3740 N/A 3137GAPP6 697351.490000 PA USD 690435.860000 0.0044254 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 4.89833 N N N N N N N/A N/A 000000000 1.000000 NC USD -458442.560000 -0.0029384 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-18 1453862.620000 USD 0.000000 USD 222800000.000000 USD -1912305.180000 N N N N/A N/A 000000000 1.000000 NC -9746327.430000 -0.0624695 N/A DFE AU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 711659944.000000 AUD 458632809.210000 USD 2025-07-02 -9746327.430000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UUA1 2750000.000000 PA USD 2746437.100000 0.0176034 Long DBT CORP CA N 2 2025-07-10 None 0 N N N N N N N/A N/A 000000000 -16084000.000000 NC USD -440283.420000 -0.002822 N/A DFE KY N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-12-17 N/A 54.000000 USD 2025-12-16 XXXX 88397.660000 N N N N/A N/A 000000000 1.000000 NC 1331.360000 0.0000085 N/A DFE RO N 2 UBS AG BFM8T61CT2L1QCEMIK50 74771.000000 USD 328528.820000 RON 2025-07-23 1331.360000 N N N N/A N/A 000000000 1.000000 NC USD -421581.770000 -0.0027021 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 12540000.000000 USD -421581.770000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECP8 9800000.000000 PA USD 9989135.590000 0.0640258 Long DBT CORP GB N 2 2028-03-12 Floating 5.674 N N N N N N ACREC 2021-FL1 LTD N/A 00500RAA3 5812331.640000 PA USD 5799737.420000 0.0371737 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.57908 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UE6 343300000.000000 PA USD 327261453.130000 2.0976 Long DBT UST US N 2 2054-11-15 Fixed 4.5 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR6 N/A 93935FAA9 2145907.470000 PA USD 1818610.660000 0.0116565 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.81368 N N N N N N N/A N/A 000000000 1.000000 NC 20550.860000 0.0001317 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7496408.000000 USD 53610561.810000 CNY 2025-08-12 20550.860000 N N N N/A N/A 000000000 1.000000 NC 62184.540000 0.0003986 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4419917.680000 USD 3805000.000000 EUR 2025-07-02 62184.540000 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 3500000.000000 PA 4243090.140000 0.0271963 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBF6 15200000.000000 PA USD 15494287.960000 0.0993113 Long DBT CORP NL N 2 2035-12-03 Floating 5.515 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2RXB31 10720000000.000000 PA 68386758.790000 0.438328 Long DBT NUSS JP N 2 2044-09-20 Fixed 1.8 N N N N N N N/A N/A 000000000 1.000000 NC 795954.140000 0.0051017 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 7864408.320000 EUR 180837744.000000 CZK 2025-12-18 795954.140000 N N N FHLMC PASS THRU POOLS N/A 3132DWMC4 248579842.550000 PA USD 256920760.190000 1.64674 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAL4 6100000.000000 PA USD 4745800.000000 0.0304184 Long DBT NUSS MX N 2 2051-04-27 Fixed 5 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 5923480.030000 PA USD 2137958.090000 0.0137033 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.73368 N N N N N N PROJECT PANAMA SPV LIMITED LIABILITY CO N/A 000000000 15804000.000000 PA USD 15858272.200000 0.101644 Long ABS-O CORP US N 3 2054-12-20 Floating 7.82719 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 15196745.710000 PA 20934903.450000 0.134183 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.16986 N N N N N N N/A N/A 000000000 1.000000 NC -2231832.220000 -0.014305 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2042-09-21 0.000000 EUR -1968585.860000 EUR 27930000.000000 EUR -263246.360000 N N N N/A N/A 000000000 1.000000 NC -8388.640000 -0.0000538 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23210000.000000 SEK 2444866.340000 USD 2025-07-02 -8388.640000 N N N FNMA PASS THRU POOLS N/A 3140B7DZ3 8063942.070000 PA USD 8363501.790000 0.0536062 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3131XXFM8 339583.680000 PA USD 320811.200000 0.0020563 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC) 549300CTE3HOMEUMM603 12610BUA8 13100000.000000 PA USD 13082732.900000 0.0838543 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 409738.640000 0.0026262 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2725836.480000 KWD 9371000.000000 USD 2029-05-03 409738.640000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 5.120000 PA 0.630000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N FHLMC PASS THRU POOLS N/A 3133AFG62 1166711.020000 PA USD 971867.000000 0.0062292 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -98773.620000 -0.0006331 N/A DFE AU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 14401000.000000 AUD 9379247.450000 USD 2025-07-02 -98773.620000 N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 268291.290000 PA USD 94863.430000 0.000608 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.73368 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 14633925.000000 PA USD 15979966.150000 0.102424 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N FNMA PASS THRU POOLS N/A 3140AE2Z1 6665817.330000 PA USD 6840046.330000 0.0438416 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 8550000.000000 PA USD 6325998.030000 0.0405468 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 115711.460000 0.0007417 N/A DIR CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2031-03-18 298921.970000 CNY 0.000000 CNY 647000000.000000 CNY -183210.510000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 34456.030000 PA USD 31783.050000 0.0002037 Long ABS-MBS CORP US N 2 2046-03-20 Floating 4.85206 N N N N N N UMBS PASS THRU POOLS N/A 01F062671 59250000.000000 PA USD 61183496.960000 0.392158 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 165470.970000 0.0010606 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11779326.550000 USD 8702000.000000 GBP 2025-07-02 165470.970000 N N N IMPAC CMB TR 2004-8 N/A 45254NKQ9 89102.920000 PA USD 87498.880000 0.0005608 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.15368 N N N N N N N/A N/A 000000000 1.000000 NC -423028.100000 -0.0027114 N/A DFE DK N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 75641905.750000 DKK 11519645.000000 USD 2025-07-02 -423028.100000 N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPY0 7522000.000000 PA USD 6819191.710000 0.0437079 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.97368 N N N N N N N/A N/A 000000000 1.000000 NC -1408226.550000 -0.0090261 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 16048701110.000000 JPY 110449211.000000 USD 2025-08-04 -1408226.550000 N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 169960.250000 PA USD 158168.150000 0.0010138 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.07368 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 3600000.000000 PA USD 3508467.120000 0.0224877 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 1255780.170000 PA USD 729512.970000 0.0046758 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 244818.230000 PA USD 225938.310000 0.0014482 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.7828 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A 41161PMX8 52499.900000 PA USD 39233.360000 0.0002515 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.82414 N N N N N N N/A N/A 000000000 1.000000 NC -159296.930000 -0.001021 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 292038600.670000 CNY 40792163.000000 USD 2025-08-20 -159296.930000 N N N FNMA PASS THRU POOLS N/A 31389EZQ1 3850.240000 PA USD 3914.740000 0.0000251 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 6.46 N N N N N N N/A N/A 000000000 1.000000 NC -7064.500000 -0.0000453 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 399943.000000 EUR 464327.680000 RON 2025-07-11 -7064.500000 N N N N/A N/A 000000000 1.000000 NC -28875.060000 -0.0001851 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 41549434.990000 ILS 12306630.000000 USD 2025-07-09 -28875.060000 N N N MONDELEZ INTERNATIONAL INC 549300DV9GIB88LZ5P30 60920VVB5 5680000.000000 PA USD 5649921.560000 0.0362134 Long DBT CORP US N 2 2025-08-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 53653.050000 0.0003439 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2617939.020000 USD 2268000.000000 EUR 2025-07-02 53653.050000 N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 9419.950000 PA USD 9153.000000 0.0000587 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.95237 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 7001527.290000 PA USD 4740981.980000 0.0303875 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.67368 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3 N/A 25150WAA2 222053.850000 PA USD 206514.140000 0.0013237 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.71368 N N N N N N N/A N/A 000000000 3233.000000 NC 9531159.520000 0.0610904 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2025-09-26 412846340.100000 GBP 9531159.520000 N N N N/A N/A 000000000 1.000000 NC 19216.850000 0.0001232 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7559804.000000 USD 54079057.910000 CNY 2025-08-06 19216.850000 N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 71675CAE8 4500000.000000 PA USD 2938865.760000 0.0188368 Long DBT CORP MY N 2 2061-04-28 Fixed 3.404 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AR0 3300000.000000 PA USD 2798485.670000 0.017937 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55 N N N N N N HAYFIN EMERALD CLO XIV DAC 14A N/A ACI2SSWQ7 5500000.000000 PA 6485085.500000 0.0415664 Long ABS-CBDO CORP IE N 2 2039-01-22 Floating 3.914 N N N N N N N/A N/A 000000000 1.000000 NC 30016.630000 0.0001924 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2153725.740000 USD 3318000.000000 AUD 2025-07-02 30016.630000 N N N N/A N/A 000000000 1.000000 NC -64399040.850000 -0.412768 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-09-17 0.000000 EUR -66016575.650000 EUR 1682710000.000000 EUR 1617534.800000 N N N UMBS PASS THRU POOLS N/A 01F020679 -890350000.000000 PA USD -705029301.220000 -4.51892 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 2 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 N/A 61776YAA7 4014852.660000 PA USD 3888035.910000 0.0249205 Long ABS-MBS CORP US N 2 2064-06-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -2689.820000 -0.0000172 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 795206.000000 TWD 24954.730000 USD 2025-08-20 -2689.820000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 1.310000 PA 0.170000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BJ2 99000.000000 PA USD 97186.860000 0.0006229 Long DBT CORP US N 2 2028-02-15 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 193385.440000 0.0012395 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1406019.960000 KWD 4842000.000000 USD 2030-05-14 193385.440000 N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 70514.820000 PA USD 70828.030000 0.000454 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1 N/A 12667G2X0 842490.910000 PA USD 512343.070000 0.0032839 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.88368 N N N N N N N/A N/A 000000000 1.000000 NC 28714.990000 0.000184 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1250000.000000 USD 63912500.000000 EGP 2025-07-23 28714.990000 N N N N/A N/A 000000000 1.000000 NC -9547293.990000 -0.0611938 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 43 Y Single Leg Swap 2030-06-20 0.000000 EUR -8202327.690000 EUR 374890000.000000 EUR -1344966.300000 N N N N/A N/A 000000000 1.000000 NC 24754.900000 0.0001587 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1010000.000000 USD 51813000.000000 EGP 2025-07-28 24754.900000 N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 770898.640000 PA USD 744415.500000 0.0047714 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 389.530000 0.0000025 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 125610.000000 USD 2044027363.000000 IDR 2025-07-14 389.530000 N N N FNMA PASS THRU POOLS N/A 3140K6C78 56314.840000 PA USD 53068.300000 0.0003401 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BKLH46II9 2.000000 PA 0.240000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB3 N/A 1266943Y2 145607.750000 PA USD 135324.160000 0.0008674 Long ABS-MBS CORP US N 2 2036-05-20 Floating 4.51704 N N N N N N N/A N/A 000000000 1.000000 NC 63091.310000 0.0004044 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7140110.000000 USD 294529537.500000 TRY 2025-08-04 63091.310000 N N N N/A N/A 000000000 1.000000 NC -469558.420000 -0.0030097 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 258299407.180000 CNY 35750783.000000 USD 2025-08-20 -469558.420000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 05555XAB1 10000000.000000 PA USD 8726156.100000 0.0559307 Long ABS-MBS CORP US N 3 2052-08-25 Variable 3.10885 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HH3 1207000.000000 PA USD 983445.520000 0.0063034 Long DBT CORP US N 2 2044-02-15 Fixed 4.75 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GML0 49300000.000000 PA USD 50542568.540000 0.323955 Long DBT CORP US N 2 2031-01-24 Floating 5.162 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 6144128.980000 PA USD 2456946.250000 0.0157479 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.73368 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 41388.130000 PA USD 11690.920000 0.0000749 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.67368 N N N N N N N/A N/A 000000000 1.000000 NC -5812.470000 -0.0000373 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11609043.000000 USD 996673490.490000 INR 2025-08-20 -5812.470000 N N N JP MORGAN MORTGAGE TRUST 2006-A1 N/A 466247F57 151707.520000 PA USD 101068.430000 0.0006478 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.53733 N N N N N N FNMA PASS THRU POOLS N/A 3140QGYZ4 3648785.760000 PA USD 3055952.870000 0.0195873 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140A5FG8 6675388.110000 PA USD 6788784.330000 0.043513 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 16085.890000 0.0001031 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6575693.160000 USD 47052372.410000 CNY 2025-07-31 16085.890000 N N N N/A N/A 000000000 1.000000 NC 121156.610000 0.0007766 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11114995.000000 USD 965142803.340000 INR 2025-08-20 121156.610000 N N N N/A N/A 000000000 1.000000 NC -540219.690000 -0.0034626 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-12-18 0.000000 CAD -674406.020000 CAD 28000000.000000 CAD 134186.330000 N N N N/A N/A 000000000 1.000000 NC -40072.750000 -0.0002568 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3062000.000000 NZD 1826368.790000 USD 2025-07-02 -40072.750000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 34894.120000 PA USD 30752.790000 0.0001971 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.46048 N N N N N N N/A N/A 000000000 -750.000000 NC -192824.400000 -0.0012359 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2025-09-15 -53182335.580000 AUD -192824.400000 N N N N/A N/A 000000000 1.000000 NC 178817.450000 0.0011461 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23119661.060000 USD 82537189.980000 PEN 2025-07-03 178817.450000 N N N COUNTRYWIDE HOME LOANS 2005-7 N/A 12669GNL1 172270.610000 PA USD 160321.080000 0.0010276 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.97368 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 103106472.500000 PA USD 98571434.320000 0.631798 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N IMPAC CMB TR 2004-6 N/A 45254NKD8 23092.610000 PA USD 23077.340000 0.0001479 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.21368 N N N N N N FNMA PASS THRU POOLS N/A 3140B7KE2 2393405.000000 PA USD 2473340.010000 0.015853 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31425XLV9 10418375.700000 PA USD 10766328.920000 0.0690072 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAB3 9080000.000000 PA USD 9215679.720000 0.0590683 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.35 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 22550L2K6 3900000.000000 PA USD 3961000.760000 0.0253882 Long DBT CORP CH N 2 2027-07-09 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 -138800000.000000 PA USD -138676073.810000 -0.88885 Short 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 -1404433.430000 -0.0090018 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 359257861.240000 BRL 64719485.000000 USD 2025-07-02 -1404433.430000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2MHL63 121250000.000000 PA 123456384.020000 0.791299 Long DBT NUSS FR N 2 2049-06-25 Fixed 3 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 308625.470000 PA USD 291808.160000 0.0018704 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.48285 N N N N N N N/A N/A 000000000 1.000000 NC -383970.140000 -0.0024611 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR 0.000000 EUR 34492400.000000 EUR -383970.140000 N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 5216855.450000 PA USD 4365053.550000 0.027978 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.72368 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAA5 22800000.000000 PA USD 21946240.320000 0.140665 Long ABS-MBS CORP US N 2 2038-12-15 Floating 5.59544 N N N N N N N/A N/A 000000000 1.000000 NC 193231.740000 0.0012385 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1406019.960000 KWD 4842000.000000 USD 2030-05-16 193231.740000 N N N N/A N/A 000000000 1.000000 NC USD 52494.670000 0.0003365 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-22 0.000000 USD -16802.500000 USD 4700000.000000 USD 69297.170000 N N N N/A N/A 000000000 1.000000 NC 2270767.140000 0.0145546 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-12 0.000000 EUR 0.000000 EUR 51900000.000000 EUR 2270767.140000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571ABA2 8000000.000000 PA USD 8405345.040000 0.0538744 Long DBT CORP FR N 2 2036-01-14 Floating 6.293 N N N N N N N/A N/A 000000000 1.000000 NC -640.670000 -0.0000041 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 178452559.000000 KRW 131355.000000 USD 2025-07-16 -640.670000 N N N N/A N/A 000000000 1.000000 NC 35863.970000 0.0002299 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1250000.000000 USD 65062500.000000 EGP 2025-08-25 35863.970000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAT0 54200000.000000 PA USD 53965589.340000 0.345895 Long DBT CORP US N 2 2030-09-19 Floating 4.542 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZZ6 8300000.000000 PA USD 8418003.920000 0.0539556 Long DBT CORP CA N 2 2030-08-02 Floating 4.969 N N N N N N BANK OF AMERICA MTGE SEC 2005-H N/A 05949CFW1 8786.140000 PA USD 7749.060000 0.0000497 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.62493 N N N N N N N/A N/A 000000000 1.000000 NC 1021980.820000 0.0065504 N/A DIR CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2031-03-18 0.000000 CNY -2044577.570000 CNY 5714400000.000000 CNY 3066558.390000 N N N N/A N/A 000000000 1.000000 NC 234277.990000 0.0015016 N/A DIR MY N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Klibor Interbank Offered Rate Y 2030-03-19 0.000000 MYR -50893.670000 MYR 70330000.000000 MYR 285171.660000 N N N N/A N/A 000000000 1.000000 NC -371123.520000 -0.0023787 N/A DIR MY N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A Klibor Interbank Offered Rate Y 2035-03-19 42052.290000 MYR 0.000000 MYR 55280000.000000 MYR -413175.810000 N N N N/A N/A 000000000 1.000000 NC USD -20284714.320000 -0.130016 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-15 0.000000 USD -274558.180000 USD 1012838000.000000 USD -20010156.140000 N N N N/A N/A 000000000 1.000000 NC 81302.290000 0.0005211 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6718340.200000 HUF 5738000.000000 EUR 2025-10-01 81302.290000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 14700000.000000 PA USD 10115437.500000 0.0648353 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N FNMA PASS THRU POOLS N/A 3140AHRF1 6931781.470000 PA USD 7055583.430000 0.0452231 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -149867.120000 -0.0009606 N/A DIR CA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A CANADIAN ON REPO RATE CORRA Y 2029-06-19 0.000000 CAD -3763235.290000 CAD 107400000.000000 CAD 3613368.170000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 1.710000 PA 0.210000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 5157500.000000 NC 379978.420000 0.0024355 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-19 N/A 1.100000 EUR 2025-12-17 XXXX -209901.870000 N N N BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A N/A ACI1Y3X37 7600000.000000 PA 8913258.070000 0.0571299 Long ABS-CBDO CORP IE N 2 2035-07-19 Floating 3.116 N N N N N N N/A N/A 000000000 1.000000 NC -35410.620000 -0.000227 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2763050.000000 EUR 3227938.050000 RON 2025-08-11 -35410.620000 N N N N/A N/A 000000000 1.000000 NC -10782.690000 -0.0000691 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1511264223.000000 KRW 1106910.000000 USD 2025-07-08 -10782.690000 N N N N/A N/A 000000000 1.000000 NC 10343.360000 0.0000663 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5812336.580000 USD 41520426.360000 CNY 2025-08-14 10343.360000 N N N N/A N/A 000000000 1.000000 NC 512736.670000 0.0032864 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 22477252.000000 USD 82895588.400000 PLN 2025-07-18 512736.670000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A N/A ACI2S2BG9 3489310.380000 PA 4114507.600000 0.0263721 Long ABS-CBDO CORP IE N 2 2033-05-15 Floating 3.113 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 1391118.400000 PA USD 1256762.650000 0.0080553 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.87368 N N N N N N N/A N/A 000000000 1.000000 NC 28825.600000 0.0001848 N/A DFE RO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4065101.050000 EUR 17658798.960000 RON 2025-07-11 28825.600000 N N N UMBS PASS THRU POOLS N/A 01F062671 -69350000.000000 PA USD -71613088.840000 -0.459007 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 6.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI28T967 13100000.000000 PA 16645122.340000 0.106688 Long DBT NUSS RO N 2 2029-09-27 Fixed 6.625 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 3381.020000 PA USD 3301.930000 0.0000212 Long ABS-MBS CORP US N 2 2033-10-25 Floating 7.18234 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00913WUF0 3800000.000000 PA USD 3792463.840000 0.024308 Long DBT CORP US N 2 2025-07-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -51619.880000 -0.0003309 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 137295900.000000 TRY 2945000.000000 USD 2025-12-12 -51619.880000 N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 19718.420000 PA USD 15688.550000 0.0001006 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.11963 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 6230000.000000 PA 8607192.960000 0.0551682 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.86986 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 137433.630000 PA USD 119877.050000 0.0007684 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.72759 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAD0 2177000.000000 PA USD 2177999.330000 0.01396 Long ABS-O CORP US N 3 2034-03-27 Fixed 6.26 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 5100000.000000 PA USD 5119326.550000 0.0328125 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 6.16947 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BH0 2200000.000000 PA USD 2286004.970000 0.0146522 Long DBT CORP CH N 2 2035-02-08 Floating 5.699 N N N N N N FHLMC PASS THRU POOLS N/A 3133KMDF9 489787.620000 PA USD 425366.810000 0.0027264 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -4473444.050000 -0.0286727 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 -10102160.270000 GBP 362857000.000000 GBP 5628716.220000 N N N N/A N/A 000000000 1.000000 NC USD -2521689.660000 -0.0161629 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 180100000.000000 USD -2521689.660000 N N N N/A N/A 000000000 1.000000 NC -15588.710000 -0.0000999 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2782000.000000 NZD 1680178.880000 USD 2025-07-02 -15588.710000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 1728.480000 PA USD 1764.110000 0.0000113 Long ABS-MBS CORP US N 2 2032-08-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 83424.510000 0.0005347 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11249923.470000 EUR 48885417.460000 RON 2025-07-11 83424.510000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRA7 11200000.000000 PA USD 10715511.970000 0.0686815 Long DBT NUSS IL N 2 2033-01-17 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -51119103.900000 -0.32765 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1208156751.650000 EUR 1372029925.290000 USD 2025-07-02 -51119103.900000 N N N N/A N/A 000000000 1.000000 NC -1243998.100000 -0.0079735 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 43 Y Single Leg Swap 2035-06-20 0.000000 EUR -507522.270000 EUR 218200000.000000 EUR -736475.830000 N N N N/A N/A 000000000 1.000000 NC 132865.250000 0.0008516 N/A DFE NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 10317444.490000 USD 17144307.890000 NZD 2025-07-02 132865.250000 N N N N/A N/A 000000000 1.000000 NC 363.520000 0.0000023 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6957530.050000 THB 215161.600000 USD 2025-08-20 363.520000 N N N FANNIE MAE 2006-48 N/A 31395NLE5 123333.760000 PA USD 122201.720000 0.0007833 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 4.81965 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 43135.970000 PA USD 42986.630000 0.0002755 Long ABS-MBS CORP US N 2 2037-02-25 Floating 6.54998 N N N N N N N/A N/A 000000000 1.000000 NC -279.770000 -0.0000018 N/A DFE CA N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 172797.660000 CAD 126614.050000 USD 2025-07-02 -279.770000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2SJ0L3 111900000.000000 PA 17564965.300000 0.112583 Long DBT CORP DK N 2 2026-04-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -404891.870000 -0.0025952 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 267450442.510000 CNY 36998415.000000 USD 2025-07-16 -404891.870000 N N N FNMA PASS THRU POOLS N/A 3140AXHV2 10107132.150000 PA USD 10465932.010000 0.0670818 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N WIND RIVER CLO LTD 2014-2A N/A 88390AAT7 26849.870000 PA USD 26887.440000 0.0001723 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 5.65771 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 32122.720000 PA USD 31183.800000 0.0001999 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.89628 N N N N N N N/A N/A 000000000 1.000000 NC 60505.270000 0.0003878 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4162844.580000 USD 6417000.000000 AUD 2025-07-02 60505.270000 N N N N/A N/A 000000000 1.000000 NC -45997.780000 -0.0002948 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8155701.960000 SGD 6384356.000000 USD 2025-08-05 -45997.780000 N N N N/A N/A 000000000 1.000000 NC 47231.310000 0.0003027 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 727203.000000 USD 263433286.000000 HUF 2025-08-22 47231.310000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W3A0 11800000.000000 PA USD 12282740.240000 0.0787267 Long DBT CORP FR N 2 2033-01-13 Floating 5.786 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWPA5 13017138.940000 PA USD 13451885.740000 0.0862204 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N JP MORGAN MORTGAGE TRUST 2021-14 N/A 46653QBD6 10566064.390000 PA USD 9871726.030000 0.0632732 Long ABS-MBS CORP US N 2 2052-05-25 Floating 5 N N N N N N EUROSAIL PLC 2007-6NCX N/A B29Q4HII9 487270.790000 PA 663668.490000 0.0042538 Long ABS-MBS CORP GB N 2 2045-09-13 Floating 5.03988 N N N N N N N/A N/A 000000000 20227997.000000 NC 122044.880000 0.0007823 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-08-27 N/A 399.000000 EUR 2025-08-25 XXXX 30673.280000 N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCU5 402656.180000 PA USD 397204.900000 0.0025459 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.99368 N N N N N N N/A N/A 000000000 1.000000 NC -10332413.340000 -0.066226 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-06-15 0.000000 JPY -6410279.180000 JPY 5184300000.000000 JPY -3922134.160000 N N N TRINITAS CLO VII LTD 2017-7A N/A 89641CAU5 3600000.000000 PA USD 3586424.260000 0.0229873 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.34177 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 5.330000 PA 0.660000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 28828.430000 PA USD 22210.110000 0.0001424 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.90657 N N N N N N CANYON CAPITAL CLO 2019-2 LTD N/A 13887WAS9 4000000.000000 PA USD 4004615.600000 0.0256678 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.2661 N N N N N N JP MORGAN ALTERNATIVE LOAN TR 2005-A2 N/A 46627MBS5 3083112.040000 PA USD 2141398.280000 0.0137254 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.59305 N N N N N N AUSTRALIAN CAPITAL TERRITORY 549300DFQM5A0MPGF178 ACI2S54M7 67900000.000000 PA 46375695.980000 0.297247 Long DBT MUN AU N 2 2030-10-23 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 119674.400000 0.0007671 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -45220.000000 USD 13300000.000000 USD 164894.400000 N N N SPAIN GOVT 9598007A56S18711AH60 566648II4 900000.000000 PA 1271396.180000 0.0081491 Long DBT NUSS ES N 2 2029-04-06 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 3791792.550000 0.0243037 N/A DFE BR N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 49593616.000000 USD 290048263.180000 BRL 2025-07-02 3791792.550000 N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 1318243.320000 PA USD 865639.240000 0.0055484 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.79368 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 14201075.510000 PA USD 14236517.130000 0.0912496 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.12143 N N N N N N FNMA PASS THRU POOLS N/A 31418EW30 12744421.050000 PA USD 12765271.940000 0.0818196 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.5 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 287498.280000 PA USD 195403.470000 0.0012524 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.55584 N N N N N N N/A N/A 000000000 1.000000 NC 180330.580000 0.0011558 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4663716.000000 USD 17462911.460000 PLN 2025-07-10 180330.580000 N N N N/A N/A 000000000 1683.000000 NC USD 1302237.670000 0.0083467 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-30 350136315.140000 USD 1302237.670000 N N N N/A N/A 000000000 1.000000 NC 75009.150000 0.0004808 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12476521.540000 USD 203554448925.000000 IDR 2025-07-16 75009.150000 N N N N/A N/A 000000000 1.000000 NC -1931928.660000 -0.0123828 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2033-09-20 1760765.030000 MYR 0.000000 MYR 277980000.000000 MYR -3692693.690000 N N N N/A N/A 000000000 -15400000.000000 NC USD -4781.700000 -0.0000306 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.33000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.330000 USD 2025-09-25 XXXX 164618.300000 N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFT5 45700000.000000 PA 35323771.620000 0.226409 Long DBT NUSS CA N 2 2034-09-01 Fixed 4.45 N N N N N N N/A N/A 000000000 1.000000 NC USD -837207.180000 -0.0053661 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2030-06-20 0.000000 USD -785876.840000 USD 24600000.000000 USD -51330.340000 N N N TRINITAS CLO LTD 2020-14A N/A 89641QAN0 9800000.000000 PA USD 9806077.080000 0.0628525 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 5.62177 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2003-5 N/A 885220EB5 18430.490000 PA USD 17096.940000 0.0001096 Long ABS-MBS CORP US N 2 2043-10-25 Floating 5.63054 N N N N N N N/A N/A 000000000 1.000000 NC -1305860.840000 -0.00837 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 311697187.000000 TWD 9529984.000000 USD 2025-08-20 -1305860.840000 N N N N/A N/A 000000000 1.000000 NC -3777502.230000 -0.0242121 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 50706310516.000000 JPY 349639134.000000 USD 2025-08-04 -3777502.230000 N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 BMXC0WII0 23400000.000000 PA 12684202.390000 0.0812999 Long DBT CORP AU N 2 2033-08-22 Fixed 2 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAK1 577734.520000 PA USD 525321.920000 0.0033671 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.07211 N N N N N N N/A N/A 000000000 1.000000 NC -9194.760000 -0.0000589 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5869133.000000 USD 41864525.690000 CNY 2025-07-15 -9194.760000 N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 9494522.600000 PA USD 9518745.220000 0.0610108 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 5.85319 N N N N N N N/A N/A 000000000 1.000000 NC 299.990000 0.0000019 N/A DFE TW N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 13626.720000 USD 404498.000000 TWD 2025-07-16 299.990000 N N N N/A N/A 000000000 1.000000 NC -3571374.170000 -0.0228909 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-03-15 0.000000 EUR -3911334.580000 EUR 230010000.000000 EUR 339960.410000 N N N PANTHEON SENIOR DEBT SECONDARIES III N/A BA000HYC6 5200000.000000 PA USD 5200000.000000 0.0333296 Long LON CORP US Y 3 2026-03-26 Floating 6.317 N N N N N N BANC OF AMERICA FUNDING CORP 2006-B N/A 058928AF9 24030.650000 PA USD 22665.190000 0.0001453 Long ABS-MBS CORP US N 2 2036-03-20 Floating 2.37149 N N N N N N N/A N/A 000000000 1.000000 NC 141521.330000 0.0009071 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13961675.110000 USD 265937799.000000 MXN 2025-08-18 141521.330000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 28000000.000000 PA 20576512.870000 0.131886 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWL50 13970761.350000 PA USD 14439540.190000 0.0925508 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 38881.750000 PA USD 9885.930000 0.0000634 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.85368 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 1389064.440000 PA USD 797724.150000 0.005113 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.90516 N N N N N N N/A N/A 000000000 1.000000 NC USD -1699942.840000 -0.0108959 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2034-12-20 0.000000 USD -913493.690000 USD 165600000.000000 USD -786449.150000 N N N ARCAN-2A N/A ACI2YDJX3 13900000.000000 PA 16373514.020000 0.104947 Long ABS-CBDO CORP IE N 2 2039-07-25 Floating 3.189 N N N N N N NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A N/A 64134MAJ5 9800000.000000 PA USD 9781878.620000 0.0626974 Long ABS-CBDO CORP KY N 2 2036-10-14 Floating 5.30171 N N N N N N N/A N/A 000000000 1.000000 NC 7042.940000 0.0000451 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 361335.000000 USD 14896396.710000 TRY 2025-07-21 7042.940000 N N N N/A N/A 000000000 1.000000 NC USD -3006949.280000 -0.0192732 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD -799949.340000 USD 107200000.000000 USD -2206999.940000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1W77N5 1.430000 PA 0.180000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -7582.810000 -0.0000486 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2541918.630000 SGD 1996590.000000 USD 2025-08-05 -7582.810000 N N N GACI FIRST INVESTMENT COMPANY 558600TU1PWGNLZ3XM88 ACI2TFXT7 25800000.000000 PA USD 26695988.850000 0.171109 Long DBT CORP KY N 2 2034-07-29 Fixed 5.625 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2T3R46 20421000000.000000 PA 127476502.480000 0.817066 Long DBT NUSS JP N 2 2054-12-20 Fixed 2.3 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 109573.960000 PA USD 70366.300000 0.000451 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.81007 N N N N N N N/A N/A 000000000 1.000000 NC -43590.160000 -0.0002794 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 1231139377.000000 JPY 8505692.000000 USD 2025-07-02 -43590.160000 N N N MDGH GMTN (RSC) LTD 213800WRY6FRL9IXLT77 55285GAB0 6600000.000000 PA USD 6873042.000000 0.0440531 Long DBT MUN AE N 2 2033-04-28 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -713152.560000 -0.004571 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29400000.000000 BRL 4574807.440000 USD 2025-10-02 -713152.560000 N N N STRUCTURED ASSET MTG INV INC 2007-AR4 N/A 86364MAC4 1339506.790000 PA USD 1187762.240000 0.007613 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.87368 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-3 N/A 542514NT7 1983495.390000 PA USD 1951245.340000 0.0125066 Long ABS-MBS CORP US N 2 2045-08-25 Floating 4.95368 N N N N N N N/A N/A 000000000 5400000.000000 NC 17956.920000 0.0001151 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-11-28 N/A 1.110000 EUR 2025-11-26 XXXX -2752.900000 N N N N/A N/A 000000000 1.000000 NC -1993.670000 -0.0000128 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5885456.920000 TRY 144014.900000 USD 2025-07-17 -1993.670000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 BP5D0MII4 9715000000.000000 PA 42457798.340000 0.272135 Long DBT NUSS JP N 2 2051-06-20 Fixed 0.7 N N N N N N N/A N/A 000000000 1.000000 NC -34353.500000 -0.0002202 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 62453000.000000 CNY 8723192.660000 USD 2025-08-20 -34353.500000 N N N N/A N/A 000000000 1.000000 NC 92131.720000 0.0005905 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7215855.180000 USD 5324000.000000 GBP 2025-07-02 92131.720000 N N N TRINITAS CLO XIX LTD N/A 89642FAN3 10900000.000000 PA USD 10905834.770000 0.0699014 Long ABS-CBDO CORP BM N 2 2033-10-20 Floating 5.37947 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A N/A ACI2TS750 21100000.000000 PA 24786472.720000 0.15887 Long ABS-CBDO CORP IE N 2 2034-10-15 Floating 3.17 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CE7 10600000.000000 PA USD 10493655.610000 0.0672595 Long DBT CORP DE Y 2 2026-11-24 Floating 2.129 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI1LTCD5 4300000.000000 PA USD 4034665.830000 0.0258604 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 793.990000 0.0000051 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 302989.820000 USD 2169588.910000 CNY 2025-07-21 793.990000 N N N N/A N/A 000000000 1.000000 NC -25633.160000 -0.0001643 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1090000.000000 USD 564620000.000000 KZT 2025-09-11 -25633.160000 N N N N/A N/A 000000000 4225.000000 NC 3402627.220000 0.0218093 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2025-09-18 378520286.400000 CAD 3402627.220000 N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 31908.210000 PA USD 8681.560000 0.0000556 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.55368 N N N N N N N/A N/A 000000000 1.000000 NC -554306.870000 -0.0035529 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 38100000.000000 BRL 6298457.620000 USD 2025-10-02 -554306.870000 N N N N/A N/A 000000000 60000000.000000 NC USD 30.000000 0.0000002 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 08/22/25-1Y LCH 2026-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-08-20 XXXX -67170.000000 N N N N/A N/A 000000000 400000.000000 NC USD 0.440000 0 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.57000 08/15/25-1Y LCH 2026-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.570000 USD 2025-08-13 XXXX -562.330000 N N N RESIDENTIAL ASSET SEC CORP 2004-KS8 N/A 76110WD52 428787.720000 PA USD 419383.890000 0.0026881 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.27368 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 10695427.180000 PA USD 10255282.540000 0.0657317 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 2116272.090000 0.0135643 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2035-03-19 1463995.540000 KRW 0.000000 KRW 243346724000.000000 KRW 652276.550000 N N N HSI ASSET SEC CORP TRUST 2006-OPT2 N/A 40430HEC8 4500000.000000 PA USD 4302795.600000 0.027579 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.04868 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 24132.740000 PA USD 24346.020000 0.000156 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.008 N N N N N N CITICORP MORTGAGE SECURITIES 2007-3 N/A 17312FAA1 26185.320000 PA USD 22689.000000 0.0001454 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 4800000.000000 PA USD 4358522.780000 0.0279361 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N N/A N/A 000000000 1.000000 NC 29062.890000 0.0001863 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11541708.000000 USD 993885330.150000 INR 2025-08-20 29062.890000 N N N N/A N/A 000000000 1.000000 NC -12.310000 -0.0000001 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 137451.250000 CNY 19170.060000 USD 2025-07-02 -12.310000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI05M6Y1 3800000.000000 PA 4145241.310000 0.0265691 Long DBT NUSS FR N 2 2045-05-25 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -214566.330000 -0.0013753 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 20013388.350000 PEN 5431189.000000 USD 2025-07-30 -214566.330000 N N N N/A N/A 000000000 1.000000 NC 282.570000 0.0000018 N/A DFE CA N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 126614.050000 USD 172507.840000 CAD 2025-08-05 282.570000 N N N UMBS PASS THRU POOLS N/A 01F020489 -95000000.000000 PA USD -86862016.900000 -0.556746 Short ABS-MBS USGSE US N 2 2039-08-15 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140X7MW6 9186904.440000 PA USD 8390079.020000 0.0537766 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3142GTJU1 10375268.780000 PA USD 10746775.820000 0.0688819 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JF5 200000.000000 PA USD 189478.870000 0.0012145 Long DBT CORP US N 2 2027-08-01 Fixed 2.1 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-9 N/A 1266736F4 11913191.260000 PA USD 11734486.240000 0.0752127 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.40868 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 N/A 93935AAC6 264778.940000 PA USD 162312.930000 0.0010404 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.33869 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 289133.440000 PA USD 269663.480000 0.0017284 Long ABS-MBS CORP US N 2 2046-06-25 Floating 5.37869 N N N N N N FNMA PASS THRU POOLS N/A 3140AMJJ1 11393071.280000 PA USD 11803353.550000 0.0756541 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XH5X1 1892013.570000 PA USD 1815663.780000 0.0116376 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 816868.650000 PA USD 749236.990000 0.0048023 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.69368 N N N N N N GNMA PASS THRU POOLS N/A 3618N5H93 777097.500000 PA USD 708024.390000 0.0045381 Long ABS-MBS USGSE US N 2 2055-03-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -18458.430000 -0.0001183 N/A DFE KZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 800960.000000 USD 415097520.000000 KZT 2025-09-11 -18458.430000 N N N N/A N/A 000000000 1.000000 NC -120143.050000 -0.0007701 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 503137771.180000 CNY 70432949.000000 USD 2025-08-20 -120143.050000 N N N MORGAN STANLEY STRUCTURED TRUST 2007-1 N/A 61755FAD7 7248660.200000 PA USD 6672042.330000 0.0427647 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.73368 N N N N N N N/A N/A 000000000 1.000000 NC -336483.780000 -0.0021567 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 21654311.020000 PEN 5772174.070000 USD 2025-07-30 -336483.780000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0DG7 4445000.000000 PA 3269404.910000 0.0209554 Long DBT NUSS RO N 2 2041-04-14 Fixed 2.75 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI2XHL53 60900000.000000 PA 71557851.510000 0.458653 Long DBT NUSS ES N 2 2035-10-31 Fixed 3.2 N N N N N N N/A N/A 000000000 1.000000 NC 1393879.040000 0.0089341 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 64719485.000000 USD 361997113.440000 BRL 2025-08-04 1393879.040000 N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172DG1 13000000.000000 PA USD 13233741.430000 0.0848222 Long DBT CORP US N 2 2029-02-13 Fixed 4.875 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BW8 9500000.000000 PA USD 9526460.450000 0.0610603 Long DBT CORP GB N 2 2026-09-12 Floating 5.96573 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 8639197.510000 PA USD 8300400.150000 0.0532018 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N N/A N/A 000000000 1.000000 NC -280182.720000 -0.0017958 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 257582635.740000 CNY 35743098.000000 USD 2025-07-16 -280182.720000 N N N N/A N/A 000000000 1.000000 NC 586547.520000 0.0037595 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20719468.000000 USD 76823643.450000 PLN 2025-07-18 586547.520000 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 54058.530000 PA USD 51273.480000 0.0003286 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.17351 N N N N N N N/A N/A 000000000 1.000000 NC 67115.840000 0.0004302 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-09-17 0.000000 EUR -871256.640000 EUR 324100000.000000 EUR 938372.480000 N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NC75 3300000.000000 PA USD 3119572.830000 0.019995 Long DBT MUN US N 2 2028-06-01 Fixed 2.532 N N N N N N FANNIE MAE REMICS 2025-16 N/A 3136BU5D8 17667250.740000 PA USD 17669646.420000 0.113254 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.45517 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CG3 11100000.000000 PA USD 10783253.060000 0.0691157 Long DBT CORP GB N 2 2028-01-12 Floating 2.608 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 4045178.990000 PA USD 2959058.950000 0.0189662 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79368 N N N N N N N/A N/A 000000000 1.000000 NC -2272204.350000 -0.0145638 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 65483000.000000 EUR 74863537.970000 USD 2025-07-02 -2272204.350000 N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRT4 5394948.520000 PA 3862692.020000 0.0247581 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.381 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PG6 3730000.000000 PA USD 3717109.750000 0.023825 Long DBT UST US N 2 2025-07-31 None 0 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A N/A 14311UBA5 11300000.000000 PA USD 11313031.390000 0.0725114 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.35947 N N N N N N N/A N/A 000000000 1.000000 NC -1250741.210000 -0.0080167 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 312871343.000000 TWD 9625922.000000 USD 2025-08-20 -1250741.210000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-7 N/A 17307GA57 653434.670000 PA USD 587072.560000 0.0037629 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.84136 N N N N N N N/A N/A 000000000 -1215.000000 NC -3513859.410000 -0.0225222 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2025-09-12 -1172940522.900000 JPY -3513859.410000 N N N FHLMC PASS THRU POOLS N/A 31329KYG3 49034.480000 PA USD 48285.970000 0.0003095 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMM2 12650216.210000 PA USD 13074685.110000 0.0838027 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 7516524.860000 0.0481775 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 796546904.990000 USD 1094933375.600000 CAD 2025-07-02 7516524.860000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PL9 23200000.000000 PA USD 23706782.660000 0.15195 Long DBT CORP US N 2 2035-06-11 Floating 5.449 N N N N N N BANC OF AMERICA FUNDING CORP 2007-2 N/A 05951GBL5 109504.880000 PA USD 82848.210000 0.000531 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRL3 8200000.000000 PA USD 8314077.740000 0.0532894 Long DBT NUSS IL N 2 2034-03-12 Fixed 5.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR3 N/A 45660L5N5 3004691.850000 PA USD 2155225.800000 0.013814 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.80315 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 12919046.040000 PA USD 12938056.800000 0.082927 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.74108 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 34921031.930000 PA 4484282.280000 0.0287422 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GMA4 11000000.000000 PA USD 11304992.050000 0.0724598 Long DBT CORP US N 2 2035-01-23 Floating 5.468 N N N N N N FNMA PASS THRU POOLS N/A 3140ABVG7 1796180.980000 PA USD 1827244.480000 0.0117118 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -1034830.880000 -0.0066328 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -2475153.160000 EUR 32900000.000000 EUR 1440322.280000 N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 6891518.130000 PA 8096036.870000 0.0518919 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 2.665 N N N N N N N/A N/A 000000000 1.000000 NC 1239.510000 0.0000079 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1068425.100000 USD 7638598.410000 CNY 2025-07-23 1239.510000 N N N N/A N/A 000000000 1.000000 NC -69051.390000 -0.0004426 N/A DFE CH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1719000.000000 CHF 2097436.730000 USD 2025-07-02 -69051.390000 N N N N/A N/A 000000000 1.000000 NC -331558.450000 -0.0021251 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21094979.750000 PEN 5617239.110000 USD 2025-08-12 -331558.450000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 14.970000 PA 1.830000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC USD 129404.840000 0.0008294 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2026-06-20 270920.790000 USD 0.000000 USD 3100000.000000 USD -141515.950000 N N N ACE SECURITIES CORP 2007-WM1 N/A 004424AB3 3738009.020000 PA USD 1533574.640000 0.0098295 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.57368 N N N N N N N/A N/A 000000000 1.000000 NC USD 86293.570000 0.0005531 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -23785.000000 USD 6700000.000000 USD 110078.570000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 118403.660000 PA USD 112815.580000 0.0007231 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.79869 N N N N N N N/A N/A 000000000 1.000000 NC 90614.390000 0.0005808 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 641121.550000 USD 21048662.000000 TWD 2025-08-20 90614.390000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI29DC42 26203950000.000000 PA 21401411.940000 0.137173 Long DBT NUSS KR N 2 2032-12-10 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -3442666.470000 -0.0220659 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 1145719.390000 CAD 0.000000 CAD 94100000.000000 CAD -4588385.860000 N N N JP MORGAN MTGE ACQUIS CORP 2006-WMC3 N/A 46629KAD1 38352.250000 PA USD 28800.190000 0.0001846 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.65368 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2QPV94 6120000000.000000 PA 41667678.210000 0.267071 Long DBT NUSS JP N 2 2029-06-20 Fixed 0.4 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI2S1GW1 185208000.000000 PA 220526438.580000 1.41347 Long DBT NUSS ES N 2 2030-01-31 Fixed 2.7 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPH004 1600000.000000 PA USD 192000.000000 0.0012306 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 -14100000.000000 PA USD -13482238.110000 -0.086415 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 857524AH5 6000000.000000 PA USD 6123533.940000 0.0392491 Long DBT NUSS PL N 2 2035-02-12 Fixed 5.375 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 68269EUB6 500000.000000 PA USD 499282.950000 0.0032002 Long DBT CORP US N 2 2025-07-11 None 0 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 4299525.580000 PA 5063784.170000 0.0324565 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 2.605 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 73665.760000 PA USD 63117.560000 0.0004046 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.25165 N N N N N N KBC GROEP NV 213800X3Q9LSAKRUWY91 48241FAB0 8000000.000000 PA USD 8263103.360000 0.0529627 Long DBT CORP BE N 2 2029-01-19 Floating 5.796 N N N N N N N/A N/A 000000000 1.000000 NC 42087.600000 0.0002698 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6636387.940000 USD 2271765000.000000 HUF 2025-08-22 42087.600000 N N N N/A N/A 000000000 1.000000 NC USD -1950627.010000 -0.0125026 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 135400000.000000 USD -1950627.010000 N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VBQ1 16400000.000000 PA USD 16813830.550000 0.107769 Long DBT CORP JP N 2 2029-03-07 Fixed 5.2 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND41 7700000.000000 PA USD 6426668.710000 0.041192 Long DBT MUN US N 2 2036-06-01 Fixed 3.487 N N N N N N N/A N/A 000000000 1.000000 NC 125447.580000 0.0008041 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1410000.000000 USD 77691000.000000 EGP 2025-08-25 125447.580000 N N N GNMA PASS THRU POOLS N/A 21H062677 48300000.000000 PA USD 49596473.430000 0.317891 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31425VZG1 12919212.930000 PA USD 13375672.880000 0.0857319 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF94 10900000.000000 PA 13234866.870000 0.0848294 Long DBT NUSS RO N 2 2033-09-18 Fixed 6.375 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3 N/A 17312EAA4 1416773.970000 PA USD 1277344.000000 0.0081872 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.69368 N N N N N N N/A N/A 000000000 1.000000 NC 19086.180000 0.0001223 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3227938.050000 EUR 14035236.030000 RON 2025-08-11 19086.180000 N N N N/A N/A 000000000 1.000000 NC 45116.980000 0.0002892 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2035-06-18 282082.710000 JPY 0.000000 JPY 2240000000.000000 JPY -236965.730000 N N N N/A N/A 000000000 1.000000 NC 114824.460000 0.000736 N/A DFE ID N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 22571706.000000 USD 367918807800.000000 IDR 2025-07-16 114824.460000 N N N INTER-AMERICAN DEVELOPMENT BANK VKU1UKDS9E7LYLMACP54 ACI0QK6X4 15000000.000000 PA 9705609.410000 0.0622085 Long DBT CORP N/A N 2 2027-04-14 Fixed 2.5 N N N N N N MANSARD MORTGAGES PLC 2007-2X N/A B29VVWII5 1712524.890000 PA 2333830.740000 0.0149588 Long ABS-MBS CORP GB N 2 2049-12-15 Floating 4.98961 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 2241736.430000 PA USD 2139505.630000 0.0137133 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.21368 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L3F0 8300000.000000 PA USD 8305528.130000 0.0532346 Long DBT CORP SA N 2 2055-06-02 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC -3866053.610000 -0.0247796 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 320709763.000000 GBP 436420241.940000 USD 2025-08-04 -3866053.610000 N N N RMAC SECURITIES PLC 2007-NS1X N/A B1ZPGKII4 908233.110000 PA 1224264.250000 0.007847 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.49001 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 13561403.650000 PA USD 8821606.280000 0.0565425 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.69368 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A 03880RAA7 19031747.750000 PA USD 19078209.000000 0.122283 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 5.77624 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEB8 42000000.000000 PA USD 42782810.700000 0.274218 Long DBT CORP US N 2 2030-01-23 Floating 5.012 N N N N N N N/A N/A 000000000 1.000000 NC 18948.600000 0.0001215 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1409285.770000 USD 1816000.000000 SGD 2025-07-02 18948.600000 N N N BANC OF AMERICA FUNDING CORP 2004-B N/A 05946XJN4 112896.870000 PA USD 110606.320000 0.0007089 Long ABS-MBS CORP US N 2 2034-11-20 Floating 6.6188 N N N N N N N/A N/A 000000000 1.000000 NC -291.250000 -0.0000019 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 225432.610000 CAD 165255.000000 USD 2025-07-02 -291.250000 N N N N/A N/A 000000000 1.000000 NC -128.380000 -0.0000008 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 573000.000000 USD 175057.230000 KWD 2026-05-18 -128.380000 N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2 N/A 76112B2D1 557663.610000 PA USD 551242.450000 0.0035332 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.03368 N N N N N N N/A N/A 000000000 17000000.000000 NC 124997.060000 0.0008012 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-11 N/A 24.750000 EUR 2025-12-09 XXXX 23572.890000 N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAA0 1335822.450000 PA USD 1309444.630000 0.0083929 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.71368 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAB2 683597.020000 PA USD 701660.800000 0.0044973 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.62206 N N N N N N N/A N/A 000000000 1.000000 NC 197118.330000 0.0012634 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 11609926.760000 USD 84200000.000000 CNY 2025-08-20 197118.330000 N N N N/A N/A 000000000 1.000000 NC USD 24359645.550000 0.156134 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-06-15 22040144.160000 USD 0.000000 USD 66570000.000000 USD 2319501.390000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRN9 19550000.000000 PA USD 19964923.340000 0.127966 Long DBT NUSS IL N 2 2029-03-12 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 728872.590000 0.0046717 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-12 0.000000 EUR 0.000000 EUR 15100000.000000 EUR 728872.590000 N N N FHLMC PASS THRU POOLS N/A 3142GSRL4 12756762.890000 PA USD 12996991.620000 0.0833048 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439BA6 12300000.000000 PA USD 12517159.210000 0.0802293 Long DBT CORP GB N 2 2035-11-26 Floating 5.59 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 15441000.000000 PA 4739613.320000 0.0303788 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 212530.040000 0.0013622 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 7900000.000000 USD 212530.040000 N N N GSR MORTGAGE LOAN TRUST 2005-AR3 N/A 36242D4W0 44620.740000 PA USD 33311.030000 0.0002135 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.29892 N N N N N N N/A N/A 000000000 1.000000 NC 484253.060000 0.0031038 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 33640811.000000 USD 43390018.950000 SGD 2025-07-02 484253.060000 N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GS7 5869375.850000 PA USD 1890909.820000 0.0121199 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.79368 N N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4E6 3537773.700000 PA USD 2420301.010000 0.015513 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A 3140B2D92 13202307.270000 PA USD 13647288.400000 0.0874729 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3J5 100518.120000 PA USD 91903.770000 0.0005891 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.98341 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5 N/A 81379EAA0 153925.620000 PA USD 117737.080000 0.0007546 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.69368 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE2 N/A 40430RAD8 6148360.420000 PA USD 3062363.060000 0.0196283 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.95368 N N N N N N GACI FIRST INVESTMENT COMPANY 558600TU1PWGNLZ3XM88 ACI2MLG86 9300000.000000 PA USD 9390849.380000 0.060191 Long DBT CORP KY N 2 2034-01-29 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 122645.830000 0.0007861 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5129319.000000 USD 152630986.000000 TWD 2025-07-14 122645.830000 N N N N/A N/A 000000000 1.000000 NC USD -3588358.100000 -0.0229997 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-30 0.000000 USD 0.000000 USD 180400000.000000 USD -3588358.100000 N N N FNMA PASS THRU POOLS N/A 3140AQ2K7 12748151.640000 PA USD 13175906.690000 0.0844515 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 289604.940000 0.0018562 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1929407.040000 KWD 6633000.000000 USD 2029-05-08 289604.940000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 5732000.000000 PA USD 5817722.120000 0.0372889 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N FHLMC PASS THRU POOLS N/A 3133CSLM1 10622728.190000 PA USD 11005805.860000 0.0705422 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3G6 13600000.000000 PA USD 14376032.860000 0.0921438 Long DBT CORP US N 2 2029-10-23 Floating 6.303 N N N N N N GNMA PASS THRU POOLS N/A 36225CNK8 12798.930000 PA USD 12783.380000 0.0000819 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 4.875 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1X50B1 509200000.000000 PA 79847942.430000 0.511789 Long DBT CORP DK N 2 2026-04-01 Fixed 1 N N N N N N GSR MORTGAGE LOAN TRUST 2007-OA1 N/A 3622NAAA8 2547891.560000 PA USD 1207075.600000 0.0077368 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.66368 N N N N N N N/A N/A 000000000 -22100000.000000 NC USD -30926.740000 -0.0001982 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.93300 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.930000 USD 2025-07-23 XXXX 46423.260000 N N N FNMA PASS THRU POOLS N/A 3140A1HK6 2287612.310000 PA USD 2370098.300000 0.0151912 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYD9 128557.300000 PA USD 82333.790000 0.0005277 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.87128 N N N N N N N/A N/A 000000000 1.000000 NC USD -502415.830000 -0.0032203 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-22 0.000000 USD 0.000000 USD 208100000.000000 USD -502415.830000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ACI2TCJG8 3400000.000000 PA 4035494.480000 0.0258657 Long DBT CORP US N 2 2031-01-28 Floating 3.261 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI217GZ0 707500000.000000 PA 130804104.750000 0.838395 Long DBT NUSS CN N 2 2051-10-18 Fixed 3.53 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 N/A 36256BAC4 1902675.920000 PA USD 1859328.590000 0.0119174 Long ABS-MBS CORP US N 2 2057-10-25 Fixed 3.75 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAA8 4463750.230000 PA USD 4376596.180000 0.028052 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 5.92908 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AU0 14000000.000000 PA USD 13522520.200000 0.0866732 Long DBT NUSS HU N 2 2036-03-26 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 32465.390000 0.0002081 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4390856.000000 USD 71735214723.000000 IDR 2025-07-16 32465.390000 N N N FANNIE MAE REMICS 2024-90 N/A 3136BTXB4 31321658.080000 PA USD 31576544.340000 0.202391 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.80517 N N N N N N N/A N/A 000000000 -25600000.000000 NC USD -694092.800000 -0.0044488 N/A DFE LU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-12-12 N/A 53.500000 USD 2025-12-11 XXXX 137420.800000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI215R58 29830000.000000 PA 18593232.700000 0.119174 Long DBT NUSS GB N 2 2053-07-31 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 16703.940000 0.0001071 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6972321.000000 USD 1006454536.000000 JPY 2025-07-02 16703.940000 N N N N/A N/A 000000000 1.000000 NC -75043.570000 -0.000481 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 18666053.000000 TWD 573863.330000 USD 2025-08-20 -75043.570000 N N N N/A N/A 000000000 1.000000 NC -125155.450000 -0.0008022 N/A DFE HU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2289039724.000000 HUF 6602332.100000 EUR 2025-08-27 -125155.450000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBK4 27600000.000000 PA USD 28643502.730000 0.183592 Long DBT NUSS SA N 2 2031-01-13 Fixed 5.375 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 234830.580000 PA USD 207940.250000 0.0013328 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.99933 N N N N N N JABIL INC 5493000CGCQY2OQU7669 46652LU21 400000.000000 PA USD 399886.600000 0.0025631 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 -471494.790000 -0.0030221 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 28143151953.000000 JPY 195682751.000000 USD 2025-08-04 -471494.790000 N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAE0 1279368.980000 PA USD 277039.930000 0.0017757 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.4188 N N N N N N N/A N/A 000000000 1.000000 NC 19762.200000 0.0001267 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4901912.000000 USD 422753145.660000 INR 2025-08-20 19762.200000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 9700000.000000 PA USD 9076707.880000 0.0581775 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N N/A N/A 000000000 1.000000 NC -13410.200000 -0.000086 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 103064.730000 CAD 0.000000 CAD 12400000.000000 CAD -116474.930000 N N N DRSLF-2017-54A N/A 26244RAF8 6844141.790000 PA USD 6848913.800000 0.0438984 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 5.41947 N N N N N N UMBS PASS THRU POOLS N/A 01F060683 531065310.000000 PA USD 539191947.530000 3.45597 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N FREDDIE MAC REMICS 5511 N/A 3137HKKP8 33759815.400000 PA USD 33785445.850000 0.216549 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.45517 N N N N N N N/A N/A 000000000 1.000000 NC 3146807.020000 0.0201696 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-06-19 0.000000 CAD -27421.110000 CAD 310100000.000000 CAD 3174228.130000 N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CG7 8700000.000000 PA USD 5610025.260000 0.0359577 Long DBT CORP US N 2 2062-06-30 Fixed 3.95 N N N N N N N/A N/A 000000000 4002000.000000 NC 280261.430000 0.0017963 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-29 N/A 1.100000 EUR 2025-12-23 XXXX -184430.890000 N N N N/A N/A 000000000 -554.000000 NC USD -69250.000000 -0.0004439 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 09/19/25 2025-09-20 N/A USD N/A 110.250000 USD 2025-07-25 XXXX 68540.880000 N N N N/A N/A 000000000 1.000000 NC 1665862.090000 0.0106774 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2030-03-19 237177.060000 MYR 0.000000 MYR 500090000.000000 MYR 1428685.030000 N N N N/A N/A 000000000 -5361.000000 NC 5768847.730000 0.0369757 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2025-09-08 -821896394.530000 EUR 5768847.730000 N N N N/A N/A 000000000 1.000000 NC -10739.490000 -0.0000688 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2373875.160000 USD 3218000.000000 CAD 2025-07-02 -10739.490000 N N N N/A N/A 000000000 1.000000 NC -259601.240000 -0.0016639 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 596522035.430000 MYR 141684964.000000 USD 2025-09-17 -259601.240000 N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAB8 3881202.970000 PA USD 3388536.260000 0.021719 Long ABS-MBS CORP US N 2 2037-12-25 Floating 6.18368 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 1351834.810000 PA USD 1269394.920000 0.0081362 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.99368 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 155369.450000 PA USD 151497.270000 0.000971 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.99933 N N N N N N CARLYLE EURO CLO 2025-1 DAC 25-1A N/A ACI2XJFQ0 25000000.000000 PA 29448766.210000 0.188753 Long ABS-CBDO CORP IE N 3 2038-08-15 Floating 3.206 N N N N N N GNMA PASS THRU POOLS N/A 21H062677 -8200000.000000 PA USD -8420105.220000 -0.053969 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 6.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LCE7 12623929.480000 PA USD 12657887.850000 0.0811313 Long LON CORP US N 2 2031-12-15 Floating 6.5406 N N N N N N FHLMC PASS THRU POOLS N/A 31425YPC5 11326588.550000 PA USD 11794775.580000 0.0755991 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N INVESCO EURO CLO III DAC 3A N/A ACI2Q9953 15700000.000000 PA 18459149.260000 0.118315 Long ABS-CBDO CORP IE N 2 2038-10-30 Floating 3.296 N N N N N N N/A N/A 000000000 1.000000 NC 34685.450000 0.0002223 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4190862.270000 USD 608500000.000000 JPY 2025-07-02 34685.450000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 58886.280000 PA USD 43893.070000 0.0002813 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 205509.220000 PA USD 195917.320000 0.0012557 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.01368 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0PP6W6 5480000000.000000 PA 25987617.100000 0.166569 Long DBT NUSS JP N 2 2046-09-20 Fixed 0.5 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 12665JUF4 1800000.000000 PA USD 1796308.200000 0.0115135 Long DBT CORP US N 2 2025-07-15 None 0 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UUB2 1850000.000000 PA USD 1847405.930000 0.011841 Long DBT CORP US N 2 2025-07-11 None 0 N N N N N N JP MORGAN MORTGAGE TRUST 2021-INV8 N/A 46654RAG7 66256212.830000 PA USD 56649061.970000 0.363095 Long ABS-MBS CORP US N 2 2052-05-25 Variable 3 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 9000000.000000 PA 10546873.010000 0.0676006 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HY6 900000.000000 PA USD 635791.590000 0.0040751 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N N/A N/A 000000000 -50400000.000000 NC USD -14464.800000 -0.0000927 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.35000 09/29/25-5Y LCH 2030-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.350000 USD 2025-09-25 XXXX 469375.200000 N N N COUNTRYWIDE HOME LOANS 2007-13 N/A 17025JAB9 970396.720000 PA USD 438160.130000 0.0028084 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1308028.520000 0.0083839 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 45209399370.000000 JPY 315251290.000000 USD 2025-07-02 1308028.520000 N N N DRYDEN 73 EURO CLO 2019 DAC 19-73A N/A ACI2JX3K1 9495870.730000 PA 11174397.530000 0.0716228 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 3.219 N N N N N N DRYDEN EURO CLO 20-74A N/A ACI2RDRQ7 2933679.950000 PA 3453412.440000 0.0221348 Long ABS-CBDO CORP IE N 2 2033-04-18 Floating 3.236 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX3 N/A 45670AAA9 235665.060000 PA USD 219229.260000 0.0014052 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.91368 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 75242535.620000 PA USD 737075878.970000 4.72432 Long STIV RF US N 1 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13 N/A 02149DAN9 46091.730000 PA USD 40878.310000 0.000262 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.81878 N N N N N N GNMA PASS THRU POOLS N/A 36225CGH3 999.680000 PA USD 997.040000 0.0000064 Long ABS-MBS USGSE US N 2 2028-05-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -132676.660000 -0.0008504 N/A DFE NZ N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 17144307.890000 NZD 10328639.720000 USD 2025-08-04 -132676.660000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B64605II9 40600000.000000 PA 51661317.910000 0.331125 Long DBT NUSS GB N 2 2040-12-07 Fixed 4.25 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 3646505.690000 PA USD 3327982.690000 0.0213308 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.95368 N N N N N N N/A N/A 000000000 -3600000.000000 NC USD -16939.800000 -0.0001086 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60500 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2025-07-23 XXXX -3979.800000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AC2 900000.000000 PA USD 896209.550000 0.0057443 Long DBT CORP CH N 2 2028-01-09 Fixed 4.282 N N N N N N N/A N/A 000000000 1.000000 NC USD -182798.240000 -0.0011717 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 28400000.000000 USD -182798.240000 N N N CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI 81560029E2CE4D14F425 147918AB2 18800000.000000 PA USD 18993027.500000 0.121737 Long DBT MUN IT N 2 2026-05-05 Fixed 5.75 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BL1 11500000.000000 PA USD 11943970.380000 0.0765554 Long DBT CORP CH N 2 2030-09-13 Floating 5.617 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HCD7 15100000.000000 PA USD 16964164.010000 0.108733 Long DBT CORP IT N 2 2033-11-28 Fixed 7.2 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QG2 7700000.000000 PA 5654375.140000 0.036242 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECK9 6600000.000000 PA USD 6979108.360000 0.0447329 Long DBT CORP GB N 2 2029-09-13 Floating 6.49 N N N N N N N/A N/A 000000000 1.000000 NC 146944.740000 0.0009418 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7019609.000000 USD 292338636.410000 TRY 2025-08-01 146944.740000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087Q72 132000000.000000 PA 97459962.520000 0.624674 Long DBT NUSS CA N 2 2033-12-01 Fixed 3.25 N N N N N N THAILAND GOVT 254900PHJ6MSKT6C7026 B75489II5 977460000.000000 PA 34573570.900000 0.221601 Long DBT NUSS TH N 2 2032-06-25 Fixed 3.775 N N N N N N N/A N/A 000000000 44502781.000000 NC 224576.190000 0.0014394 N/A DFE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-29 N/A 24.600000 EUR 2025-12-22 XXXX 25629.860000 N N N N/A N/A 000000000 1.000000 NC -1797682.270000 -0.0115223 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 112900000.000000 BRL 18508803.570000 USD 2025-10-02 -1797682.270000 N N N VERDELITE STATIC CLO LTD 2024-1 N/A 92338VAA9 8325102.690000 PA USD 8314066.600000 0.0532894 Long ABS-CBDO CORP JE N 2 2032-07-20 Floating 5.39947 N N N N N N N/A N/A 000000000 1.000000 NC 969964.750000 0.006217 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 0.000000 AUD -54861.100000 AUD 94000000.000000 AUD 1024825.850000 N N N N/A N/A 000000000 1.000000 NC USD 1131483.880000 0.0072523 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -77080000000.000000 JPY 520599756.860000 USD 2026-12-17 61265.660000 N N N WEST STREET GLOBAL GROWTH PARTNERS LP 549300VKOBL0QVVJAP44 BA0004RR0 7500000.000000 PA USD 7608842.250000 0.0487692 Long ABS-MBS CORP US N 3 2026-05-29 Fixed 7.73 N N N N N N N/A N/A 000000000 1.000000 NC -2103.220000 -0.0000135 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4961497.630000 MYR 1178503.000000 USD 2025-09-17 -2103.220000 N N N N/A N/A 000000000 1.000000 NC -189688.220000 -0.0012158 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 29354767.260000 PEN 8054981.000000 USD 2025-12-22 -189688.220000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFL4 7700000.000000 PA USD 7880562.150000 0.0505108 Long DBT CORP US N 2 2035-01-18 Floating 5.466 N N N N N N N/A N/A 000000000 1.000000 NC USD -95791.310000 -0.000614 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 16600000.000000 USD -95791.310000 N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1 N/A 59020UC29 30273.060000 PA USD 30173.030000 0.0001934 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.15368 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2 N/A 83612MAG2 5649001.010000 PA USD 5622587.980000 0.0360382 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.83868 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668ALV5 97383.560000 PA USD 87131.910000 0.0005585 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.89869 N N N N N N N/A N/A 000000000 1.000000 NC 244804.490000 0.0015691 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 12796740.130000 USD 9501000.000000 GBP 2025-07-02 244804.490000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAT9 1057327.790000 PA USD 939935.330000 0.0060246 Long ABS-MBS CORP US N 2 2047-11-25 Floating 5.64869 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 5000000.000000 PA USD 4870354.650000 0.0312167 Long DBT CORP GB N 2 2030-05-22 Floating 3.973 N N N N N N N/A N/A 000000000 1.000000 NC -595448.020000 -0.0038165 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-11 0.000000 EUR -1427505.660000 EUR 19400000.000000 EUR 832057.640000 N N N N/A N/A 000000000 1.000000 NC -1308.280000 -0.0000084 N/A DFE NO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 336052.710000 USD 3374022.980000 NOK 2025-07-02 -1308.280000 N N N N/A N/A 000000000 1.000000 NC 2001.020000 0.0000128 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1052826.960000 USD 7535082.550000 CNY 2025-07-17 2001.020000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAA7 302166.360000 PA USD 247531.240000 0.0015866 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL N/A 95003WAA4 18800000.000000 PA USD 17978797.200000 0.115236 Long ABS-MBS CORP US N 2 2039-12-15 Fixed 3.862 N N N N N N N/A N/A 000000000 1.000000 NC 140609.150000 0.0009012 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 17189341.100000 EUR 74908570.110000 RON 2025-08-11 140609.150000 N N N N/A N/A 000000000 1.000000 NC 5448508.730000 0.0349224 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2030-03-19 0.000000 AUD -517809.040000 AUD 1440300000.000000 AUD 5966317.770000 N N N N/A N/A 000000000 1.000000 NC 4.550000 0 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 159614.680000 THB 4932.290000 USD 2025-08-20 4.550000 N N N N/A N/A 000000000 1.000000 NC 28874.890000 0.0001851 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 12306630.000000 USD 41549681.130000 ILS 2025-07-02 28874.890000 N N N N/A N/A 000000000 1.000000 NC -1502123.190000 -0.0096279 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 44609854.900000 CAD 31369000.000000 USD 2025-09-08 -1502123.190000 N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 109139.210000 PA USD 95788.790000 0.000614 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.62368 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 751148.130000 PA USD 625699.930000 0.0040105 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.71368 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 37574100.000000 PA USD 39103719.440000 0.250637 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 1933.760000 PA 226.970000 0.0000015 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 7113.640000 0.0000456 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2009998.000000 USD 2564757.450000 SGD 2025-07-02 7113.640000 N N N GNMA PASS THRU POOLS N/A 36225CN36 7582.790000 PA USD 7581.170000 0.0000486 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 5 N N N N N N N/A N/A 000000000 1.000000 NC 84771.880000 0.0005433 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-20 42206.460000 EUR 0.000000 EUR 1200000.000000 EUR 42565.420000 N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 1796.170000 PA USD 1661.500000 0.0000106 Long ABS-MBS CORP US N 2 2032-11-25 Floating 5.03368 N N N N N N TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE 254900OVY0XI1DFYC092 BA0005336 19400000.000000 PA 22698218.240000 0.145485 Long LON CORP LU N 3 2029-06-11 Floating 3.399 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BYZK81II4 8743000.000000 PA 9008071.090000 0.0577376 Long DBT NUSS ES N 2 2066-07-30 Fixed 3.45 N N N N N N N/A N/A 000000000 1.000000 NC -3159249.710000 -0.0202493 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-12-20 0.000000 CAD -1403445.060000 CAD 64570000.000000 CAD -1755804.650000 N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 196515.470000 PA USD 137133.640000 0.000879 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.85368 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC7 N/A 86358ECT1 2487834.600000 PA USD 2429040.850000 0.015569 Long ABS-MBS CORP US N 2 2033-07-25 Floating 5.38368 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 1454890.930000 PA USD 1337390.360000 0.0085721 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 1546.370000 PA USD 1446.840000 0.0000093 Long ABS-MBS CORP US N 2 2034-07-19 Floating 5.01206 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQM0 3442996.930000 PA 2521636.540000 0.0161625 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.65 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 000000000 1000000.000000 PA USD 853598.990000 0.0054712 Long DBT NUSS SA N 2 2053-01-18 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 3685129.450000 0.02362 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 2035-03-19 0.000000 GBP 0.000000 GBP N/A GBP Y 2035-03-19 4413467.690000 GBP 0.000000 GBP 65700000.000000 GBP -728338.240000 N N N N/A N/A 000000000 1.000000 NC 38471.380000 0.0002466 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1870000.000000 USD 87796500.000000 TRY 2025-12-17 38471.380000 N N N SPAIN GOVT 9598007A56S18711AH60 ACI2M9V60 48200000.000000 PA 57322850.360000 0.367413 Long DBT NUSS ES N 2 2027-05-31 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -386062.680000 -0.0024745 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 314885261.240000 ZAR 17372309.000000 USD 2025-07-23 -386062.680000 N N N N/A N/A 000000000 1.000000 NC -398970.280000 -0.0025572 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 25400000.000000 BRL 4169539.380000 USD 2025-10-02 -398970.280000 N N N NOMURA HOME EQUITY LOAN INC 2006-HE1 N/A 65536HCT3 9435913.570000 PA USD 8817552.680000 0.0565165 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.06368 N N N N N N N/A N/A 000000000 1.000000 NC 111446.030000 0.0007143 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 9784171.540000 USD 402706716.410000 TRY 2025-07-29 111446.030000 N N N N/A N/A 000000000 1.000000 NC -161937.420000 -0.0010379 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 225875642.000000 MYR 53585984.530000 USD 2025-09-17 -161937.420000 N N N N/A N/A 000000000 1.000000 NC 37075.080000 0.0002376 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8613758.950000 USD 61692000.000000 CNY 2025-08-20 37075.080000 N N N RAAC SERIES 2006-RP2 N/A 74919MAB2 4114868.210000 PA USD 4043800.730000 0.0259189 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.93368 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 4100000.000000 PA USD 4067665.720000 0.0260719 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973AC9 51159761.370000 PA USD 43741468.070000 0.280363 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC 357906.180000 0.002294 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-05-16 0.000000 CHF -907456.540000 CHF 30200000.000000 CHF 1265362.720000 N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NC67 5000000.000000 PA USD 4802689.500000 0.030783 Long DBT MUN US N 2 2027-06-01 Fixed 2.332 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UU78 5600000.000000 PA USD 5594931.440000 0.035861 Long DBT CORP CA N 2 2025-07-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 301978.340000 0.0019355 N/A DFE DK N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 63515527.000000 USD 403214953.140000 DKK 2025-08-04 301978.340000 N N N BAIN CAPITAL CREDIT CLO 2022-2 LTD N/A 05682GAQ1 12800000.000000 PA USD 12800000.000000 0.0820421 Long ABS-CBDO CORP JE N 2 2035-04-22 Floating 5.44235 N N N N N N N/A N/A 000000000 1.000000 NC 10711058.280000 0.068653 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-03-19 5986034.940000 EUR 0.000000 EUR 507230000.000000 EUR 4725023.340000 N N N N/A N/A 000000000 28386000.000000 NC 186647.050000 0.0011963 N/A DFE LU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-18 N/A 24.700000 EUR 2025-12-16 XXXX 9161.560000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1X8QV3 26871586.890000 PA 3449405.960000 0.0221091 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 54687.490000 0.0003505 N/A DFE CZ N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 894180.000000 USD 19886098.230000 CZK 2025-08-22 54687.490000 N N N INVESTINDUSTRIAL VIII SCSP 213800KUK2RJHCSU9551 BA000GNP1 3118500.000000 PA 3673439.100000 0.0235451 Long LON CORP GB Y 3 2026-02-27 Floating 4.256 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBJ7 44400000.000000 PA USD 45151808.330000 0.289402 Long DBT NUSS SA N 2 2028-01-13 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 1853.340000 0.0000119 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 77259.940000 USD 429830.350000 BRL 2025-07-02 1853.340000 N N N N/A N/A 000000000 1.000000 NC USD -828358.650000 -0.0053094 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2030-06-20 0.000000 USD -777570.930000 USD 24340000.000000 USD -50787.720000 N N N ARBOUR CLO DAC 11A N/A ACI2P5HV6 3900000.000000 PA 4596758.420000 0.0294631 Long ABS-CBDO CORP IE N 2 2038-05-15 Floating 3.473 N N N N N N N/A N/A 000000000 1.000000 NC 39247.430000 0.0002516 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1566587.310000 USD 52150595.000000 THB 2025-07-16 39247.430000 N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 18464641.000000 PA 25402201.690000 0.162817 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.23021 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 573298.120000 PA USD 508115.160000 0.0032568 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.56368 N N N N N N N/A N/A 000000000 1.000000 NC 12026.840000 0.0000771 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1485923.020000 USD 2276000.000000 AUD 2025-07-02 12026.840000 N N N N/A N/A 000000000 1.000000 NC 1104331.080000 0.0070783 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 45882385199.000000 JPY 319720943.000000 USD 2025-07-02 1104331.080000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPK908 1400000.000000 PA USD 168000.000000 0.0010768 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH3 N/A 17313CAD1 1102748.730000 PA USD 1101098.360000 0.0070575 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.82368 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 948FJBII0 25700000.000000 PA 31264145.110000 0.200389 Long LON NUSS RS N 3 2030-08-11 Floating 7.068 N N N N N N N/A N/A 000000000 1.000000 NC 23827.290000 0.0001527 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 606763.580000 USD 2273296.180000 PLN 2025-07-10 23827.290000 N N N N/A N/A 000000000 -648.000000 NC USD -20250.000000 -0.0001298 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 09/19/25 2025-09-20 N/A USD N/A 108.500000 USD 2025-07-25 XXXX 194639.760000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 41488.040000 PA USD 36148.150000 0.0002317 Long ABS-MBS CORP US N 2 2047-01-20 Floating 5.07781 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZL1 2600000.000000 PA USD 2608943.450000 0.0167221 Long DBT CORP US N 2 2028-02-24 Floating 5.44398 N N N N N N STWD 2022-FL3 LTD N/A 78485KAA3 16449728.050000 PA USD 16440213.030000 0.105374 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.65385 N N N N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAN9 9800000.000000 PA USD 9791221.360000 0.0627572 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.4151 N N N N N N FHLMC PASS THRU POOLS N/A 3133CX7B0 12529406.370000 PA USD 12974049.070000 0.0831577 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -105108.120000 -0.0006737 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 215419000.000000 CNY 30102277.230000 USD 2025-08-20 -105108.120000 N N N N/A N/A 000000000 1.000000 NC 344001.120000 0.0022049 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 14963266.000000 USD 444596041.000000 TWD 2025-07-16 344001.120000 N N N EUROMASTER PLC 2007-1V N/A ACI018DY8 58931.820000 PA 79507.620000 0.0005096 Long ABS-MBS CORP GB N 2 2040-06-15 Floating 4.53961 N N N N N N N/A N/A 000000000 1.000000 NC 185210.000000 0.0011871 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9083253.410000 USD 269200381.000000 TWD 2025-07-16 185210.000000 N N N N/A N/A 000000000 1.000000 NC -7686.130000 -0.0000493 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 5291000.000000 GBP 7255003.330000 USD 2025-07-02 -7686.130000 N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR1 N/A 45662BAD1 256602.440000 PA USD 201079.470000 0.0012888 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.79496 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412BVF7 5200000.000000 PA USD 5167349.720000 0.0331203 Long DBT CORP US N 2 2025-08-15 None 0 N N N N N N FORTRESS CREDIT BSL VII LTD 2019-1A N/A 34956NAL6 2883823.250000 PA USD 2886832.690000 0.0185033 Long ABS-CBDO CORP KY N 2 2032-07-23 Floating 5.36934 N N N N N N N/A N/A 000000000 1.000000 NC 59388.990000 0.0003807 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11494746.000000 USD 992456369.640000 INR 2025-08-20 59388.990000 N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BKVDQPII1 67600000.000000 PA 37320549.590000 0.239208 Long DBT MUN AU N 2 2033-09-15 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 55748.710000 0.0003573 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2929927356.000000 JPY 20401760.000000 USD 2025-07-02 55748.710000 N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JV1 156900.800000 PA USD 144686.700000 0.0009274 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.20994 N N N N N N TRINITAS EURO CLO V DAC 1A N/A ACI2XTDT4 6000000.000000 PA 7067703.890000 0.0453007 Long ABS-CBDO CORP IE N 3 2039-07-15 Floating 3.169 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 27333.400000 PA USD 24910.910000 0.0001597 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.00003 N N N N N N N/A N/A 000000000 1.000000 NC 70447.220000 0.0004515 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 0.000000 CAD 0.000000 CAD 7600000.000000 CAD 70447.220000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 55051880.000000 PA USD 50680717.790000 0.32484 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3B7 10000000.000000 PA USD 10005109.400000 0.0641282 Long DBT CORP US N 2 2033-07-25 Floating 4.897 N N N N N N N/A N/A 000000000 1.000000 NC USD -14441.460000 -0.0000926 N/A DFE US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 -1490000000.000000 JPY 9818780.890000 USD 2030-09-17 4033.780000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AN8 51000000.000000 PA USD 52985655.420000 0.339614 Long DBT CORP GB N 2 2035-03-01 Floating 5.778 N N N N N N N/A N/A 000000000 -2955210.000000 PA -3483901.290000 -0.0223302 Short RA GB N 2 Reverse repurchase N 1.500000 2027-06-11 3000000.000000 EUR 2925458.170000 EUR N N N N/A N/A 000000000 1.000000 NC -1754685.690000 -0.0112467 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-12-18 0.000000 JPY -489346.790000 JPY 21820900000.000000 JPY -1265338.900000 N N N GREENPOINT MORTGAGE FUND TRUST 2006-OH1 N/A 39539GAA0 245946.310000 PA USD 225126.510000 0.001443 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79368 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEK7 2600000.000000 PA USD 2524504.450000 0.0161809 Long DBT CORP US N 2 2028-01-21 Floating 2.475 N N N N N N N/A N/A 000000000 1.000000 NC -212921.080000 -0.0013647 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2476024792.760000 THB 76228770.000000 USD 2025-08-20 -212921.080000 N N N N/A N/A 000000000 1.000000 NC -498148.450000 -0.0031929 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44302183.030000 USD 6308000000.000000 JPY 2025-07-02 -498148.450000 N N N N/A N/A 000000000 1.000000 NC 468806.970000 0.0030048 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 195682751.000000 USD 28246805106.000000 JPY 2025-07-02 468806.970000 N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAF8 27544.570000 PA USD 16858.170000 0.0001081 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.95368 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAE1 3279687.210000 PA USD 2320366.890000 0.0148725 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.60368 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 20599.290000 PA USD 4028.980000 0.0000258 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.59368 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBV8 13200000.000000 PA USD 15328661.170000 0.0982497 Long DBT CORP IT N 2 2033-11-21 Floating 8.248 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAA5 6257841.270000 PA USD 6282379.520000 0.0402672 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.15 N N N N N N GNMA PASS THRU POOLS N/A 3618N5ML0 222902.970000 PA USD 203090.010000 0.0013017 Long ABS-MBS USGSE US N 2 2055-05-20 Fixed 3.5 N N N N N N N/A N/A 000000000 101468000.000000 NC 288173.080000 0.0018471 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-11-26 N/A 1.110000 EUR 2025-11-24 XXXX -187818.070000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 955PDHII1 15694000000.000000 PA 8306963.040000 0.0532438 Long DBT NUSS NG N 2 2026-06-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 23493.130000 0.0001506 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6970217.000000 USD 49959030.350000 CNY 2025-07-17 23493.130000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAA6 2800350.040000 PA USD 2802861.110000 0.0179651 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC 341.690000 0.0000022 N/A DFE CH N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 51640.740000 USD 41245.460000 CHF 2025-07-02 341.690000 N N N ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC 254900G082ZFKTCR2Q75 00402AAA9 5200000.000000 PA USD 5193986.150000 0.0332911 Long DBT CORP AE N 2 2030-05-06 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -904842.740000 -0.0057996 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 230670694.000000 TWD 7114196.100000 USD 2025-08-20 -904842.740000 N N N N/A N/A 000000000 1.000000 NC -8274.480000 -0.000053 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 687201791.000000 KRW 500026.770000 USD 2025-07-16 -8274.480000 N N N FNMA PASS THRU POOLS N/A 31402LPB2 9067.580000 PA USD 9165.960000 0.0000587 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 5.597 N N N N N N ARES EUROPEAN CLO 14A N/A ACI2RNVJ6 2183553.950000 PA 2571299.060000 0.0164809 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 3.266 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQHII8 833171.500000 PA 953533.700000 0.0061117 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 3.225 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX7L2 21800000.000000 PA 26936327.060000 0.17265 Long DBT NUSS PL N 2 2033-02-14 Fixed 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 1134.280000 PA USD 1133.250000 0.0000073 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 221572.340000 0.0014202 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11681739.410000 USD 476743467.060000 TRY 2025-07-09 221572.340000 N N N FNMA PASS THRU POOLS N/A 3140A3ZD8 13104627.160000 PA USD 13544343.490000 0.086813 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 74924.890000 PA USD 65590.550000 0.0004204 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.4289 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SE9 72400000.000000 PA USD 57294984.560000 0.367235 Long DBT UST US N 2 2048-11-15 Fixed 3.375 N N N N N N FHLMC PASS THRU POOLS N/A 3133CVAC8 12454312.260000 PA USD 12870261.750000 0.0824925 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -24944.510000 -0.0001599 N/A DFE SE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14470000.000000 SEK 1504508.290000 USD 2025-07-02 -24944.510000 N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2S3 10500000.000000 PA USD 10657345.020000 0.0683087 Long DBT CORP US N 2 2035-01-13 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC -399170.580000 -0.0025585 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 430293346.840000 ZAR 23867793.060000 USD 2025-07-23 -399170.580000 N N N FHLMC PASS THRU POOLS N/A 3131XFNV8 50890.370000 PA USD 50160.520000 0.0003215 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A N/A ACI2VQ1V0 13931977.940000 PA 16363294.620000 0.104881 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 2.983 N N N N N N N/A N/A 000000000 1.000000 NC -123399.190000 -0.0007909 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 14544.440000 CAD 0.000000 CAD 20900000.000000 CAD -137943.630000 N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 193312.870000 PA USD 186308.800000 0.0011942 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.17368 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFU4 27600000.000000 PA USD 27657980.980000 0.177275 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 1355.010000 0.0000087 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 407823.000000 USD 6637890277.000000 IDR 2025-07-14 1355.010000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI2BD3K3 8200000.000000 PA 10628892.560000 0.0681263 Long DBT CORP GB N 2 2034-01-29 Floating 5.262 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 9991165.180000 PA 11776451.660000 0.0754817 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.929 N N N N N N FNMA PASS THRU POOLS N/A 31418CPF5 68310.180000 PA USD 64719.140000 0.0004148 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4 N N N N N N ICG-2021-3A N/A 449249AS0 9900000.000000 PA USD 9906967.320000 0.0634991 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.41947 N N N N N N N/A N/A 000000000 1.000000 NC 6091.260000 0.000039 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 361335.000000 USD 14739577.320000 TRY 2025-07-11 6091.260000 N N N N/A N/A 000000000 1.000000 NC -40497.520000 -0.0002596 N/A DFE KZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1420000.000000 USD 732010000.000000 KZT 2025-09-12 -40497.520000 N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UUM8 1300000.000000 PA USD 1296493.640000 0.0083099 Long DBT CORP US N 2 2025-07-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 153811.170000 0.0009859 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1113984.730000 USD 36468630.000000 TWD 2025-08-20 153811.170000 N N N FNMA PASS THRU POOLS N/A 3140HEAR3 4907.520000 PA USD 4647.250000 0.0000298 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140APGL2 12865424.990000 PA USD 13297115.060000 0.0852284 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CNQK1 12965558.300000 PA USD 13424950.070000 0.0860478 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2W94G7 11051000000.000000 PA 70502931.980000 0.451892 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.4 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 15519236480.000000 PA 111594523.630000 0.71527 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N GNMA PASS THRU POOLS N/A 21H032670 618420000.000000 PA USD 562309442.350000 3.60415 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 3.5 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3K7 15000000.000000 PA USD 15388776.900000 0.098635 Long DBT CORP US N 2 2035-01-23 Floating 5.499 N N N N N N N/A N/A 000000000 1.000000 NC 4726.140000 0.0000303 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 216061.000000 USD 782248.850000 PEN 2025-07-07 4726.140000 N N N FNMA PASS THRU POOLS N/A 3140AQUE0 12312180.670000 PA USD 12727125.660000 0.0815751 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -97864.400000 -0.0006273 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7403000.000000 EUR 8622504.250000 GBP 2025-07-02 -97864.400000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 311473.970000 PA USD 96274.800000 0.0006171 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.78368 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 05555XAA3 28821336.870000 PA USD 27743570.760000 0.177824 Long ABS-MBS CORP US N 3 2050-04-25 Variable 3.10885 N N N N N N N/A N/A 000000000 1.000000 NC 6298.630000 0.0000404 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 347135.000000 USD 14212401.170000 TRY 2025-07-14 6298.630000 N N N OZLME IV DAC A4 N/A ACI2W69B9 18200000.000000 PA 21470636.890000 0.137617 Long ABS-CBDO CORP IE N 2 2038-04-27 Floating 3.361 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 79700000.000000 PA USD 74102340.640000 0.474962 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 -173855.460000 -0.0011143 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82796130.190000 PEN 23119661.060000 USD 2025-10-27 -173855.460000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGP0 10200000.000000 PA USD 10278890.680000 0.065883 Long DBT UST US N 2 2028-02-29 Fixed 4 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BLH381II0 47100000.000000 PA 28283869.440000 0.181287 Long DBT NUSS GB N 2 2051-07-31 Fixed 1.25 N N N N N N N/A N/A 000000000 -676.000000 NC USD -2759094.830000 -0.0176845 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-09-19 -80433437.500000 USD -2759094.830000 N N N N/A N/A 000000000 1.000000 NC 272630.690000 0.0017474 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 31730631.460000 USD 228226000.000000 CNY 2025-08-20 272630.690000 N N N N/A N/A 000000000 919900000.000000 NC USD 643.930000 0.0000041 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.70000 08/22/25-1Y LCH 2026-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.700000 USD 2025-08-20 XXXX -1176828.070000 N N N N/A N/A 000000000 1.000000 NC 16628.160000 0.0001066 N/A DFE AU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1164751.450000 USD 1795000.000000 AUD 2025-07-02 16628.160000 N N N N/A N/A 000000000 1.000000 NC 10357.070000 0.0000664 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2841158.450000 USD 20393835.350000 CNY 2025-07-07 10357.070000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WU23 1650000.000000 PA USD 1649579.250000 0.010573 Long DBT CORP US N 2 2025-07-02 None 0 N N N N N N FANNIE MAE 2010-115 N/A 31398NNS9 67261.520000 PA USD 66721.460000 0.0004277 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 4.91965 N N N N N N FHLMC PASS THRU POOLS N/A 3133WELE8 6440653.540000 PA USD 6567326.700000 0.0420936 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 3775485.940000 0.0241991 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 349639134.000000 USD 50893472345.000000 JPY 2025-07-02 3775485.940000 N N N FHLMC PASS THRU POOLS N/A 3133WCXL3 6085885.670000 PA USD 6257146.390000 0.0401054 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FBU4 6200000.000000 PA USD 6209633.870000 0.0398009 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.61947 N N N N N N FHLMC PASS THRU POOLS N/A 3142GR5J5 11915875.900000 PA USD 12315704.540000 0.078938 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 48893983.420000 0.313388 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 36683900.860000 USD 0.000000 USD 2177600000.000000 USD 12210082.560000 N N N FHLMC PASS THRU POOLS N/A 3142GSKF4 12327072.630000 PA USD 12777851.360000 0.0819002 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N HAYFIN EMERALD CLO V DAC 5A N/A ACI2RYDM5 16900000.000000 PA 19884994.060000 0.127454 Long ABS-CBDO CORP IE N 2 2037-11-17 Floating 3.337 N N N N N N N/A N/A 000000000 1.000000 NC -32532.300000 -0.0002085 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 42868000.000000 MXN 2233553.590000 USD 2025-09-17 -32532.300000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAA4 15200000.000000 PA USD 14536118.720000 0.0931699 Long ABS-MBS CORP US N 2 2038-09-15 Floating 5.47648 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11 N/A 12668AJK2 2987827.830000 PA USD 1571266.390000 0.0100711 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -3947115.390000 -0.0252992 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 236300000.000000 BRL 38554413.440000 USD 2025-10-02 -3947115.390000 N N N N/A N/A 000000000 1.000000 NC -2998132.590000 -0.0192167 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 0.000000 CAD -110807.560000 CAD 162200000.000000 CAD -2887325.030000 N N N N/A N/A 000000000 1.000000 NC USD -582.300000 -0.0000037 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -750000000.000000 JPY 4913763.450000 USD 2030-09-17 9498.790000 N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 9229.570000 PA USD 9193.790000 0.0000589 Long ABS-MBS CORP US N 2 2033-03-25 Floating 5.88 N N N N N N N/A N/A 000000000 1.000000 NC -134290.790000 -0.0008607 N/A DFE NZ N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 11300307.890000 NZD 6753809.820000 USD 2025-07-02 -134290.790000 N N N N/A N/A 000000000 1.000000 NC 4319.270000 0.0000277 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 196711.000000 USD 713667.510000 PEN 2025-09-17 4319.270000 N N N N/A N/A 000000000 1.000000 NC 133178.710000 0.0008536 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11323281.000000 USD 471727886.460000 TRY 2025-08-11 133178.710000 N N N N/A N/A 000000000 1.000000 NC -1320930.220000 -0.0084666 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 362467370.000000 TWD 11158679.000000 USD 2025-07-16 -1320930.220000 N N N N/A N/A 000000000 1.000000 NC 207757.550000 0.0013316 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2053-06-21 115509.560000 CAD 0.000000 CAD 35300000.000000 CAD 92247.990000 N N N FHLMC PASS THRU POOLS N/A 3142GRQZ6 9625863.430000 PA USD 9967330.440000 0.063886 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087S47 3400000.000000 PA 2488452.590000 0.0159498 Long DBT NUSS CA N 2 2030-03-01 Fixed 2.75 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 370170.330000 PA USD 34704.360000 0.0002224 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.83368 N N N N N N N/A N/A 000000000 1.000000 NC -360264.240000 -0.0023091 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 31933252.850000 CHF 40053031.750000 USD 2025-08-04 -360264.240000 N N N FHLMC PASS THRU POOLS N/A 3142GRZ29 12364546.460000 PA USD 12779429.910000 0.0819103 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133WFCF2 7009449.710000 PA USD 7206699.130000 0.0461916 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 148784.100000 PA USD 155336.190000 0.0009956 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.25368 N N N N N N N/A N/A 000000000 1.000000 NC 2260.070000 0.0000145 N/A DFE HU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 34292.040000 USD 12433646.000000 HUF 2025-08-22 2260.070000 N N N SEQUOIA MORTGAGE TRUST 2005-4 N/A 81744FJG3 11127.020000 PA USD 11301.100000 0.0000724 Long ABS-MBS CORP US N 2 2035-04-20 Floating 7.37323 N N N N N N N/A N/A 000000000 1.000000 NC USD 366113.180000 0.0023466 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 14200000.000000 USD 366113.180000 N N N FNMA PASS THRU POOLS N/A 31418E4N7 191841817.290000 PA USD 195100645.750000 1.25051 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140B7DW0 12391969.610000 PA USD 12805836.980000 0.0820796 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 19668.590000 0.0001261 N/A DFE CL N 2 UBS AG BFM8T61CT2L1QCEMIK50 2516583.790000 USD 2362820519.000000 CLP 2025-07-23 19668.590000 N N N N/A N/A 000000000 213.000000 NC -564809.050000 -0.0036202 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-09-08 29792280.180000 EUR -564809.050000 N N N FHLMC PASS THRU POOLS N/A 31425VXX6 10586838.930000 PA USD 10940418.490000 0.0701231 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -65511.880000 -0.0004199 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 179546000.000000 CNY 25111539.400000 USD 2025-08-20 -65511.880000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2P7GW1 13500000.000000 PA 14988585.660000 0.09607 Long DBT NUSS RO N 2 2037-05-30 Fixed 5.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KUY9 53.780000 PA USD 53.680000 0.0000003 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 4.625 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 N/A 36263TAB8 6748338.910000 PA USD 5509899.270000 0.0353159 Long ABS-MBS CORP US N 2 2052-04-25 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 47631.010000 0.0003053 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1700000.000000 USD 92735000.000000 EGP 2025-12-17 47631.010000 N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 2980727.300000 PA USD 3053127.380000 0.0195691 Long ABS-MBS CORP US N 2 2058-05-25 Floating 5.43368 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 9185847.350000 PA USD 9193525.710000 0.0589263 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.69108 N N N N N N N/A N/A 000000000 1.000000 NC -22546.200000 -0.0001445 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11513400.000000 USD 987020755.200000 INR 2025-08-20 -22546.200000 N N N COUNTRYWIDE ASSET-BACKED CERT 2004-10 N/A 126673JW3 7566990.300000 PA USD 6927713.560000 0.0444035 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.00868 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 3936.810000 PA USD 3930.010000 0.0000252 Long ABS-MBS CORP US N 2 2032-10-27 Floating 5.23368 N N N N N N N/A N/A 000000000 1.000000 NC -111304.020000 -0.0007134 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4640000.000000 USD 2402360000.000000 KZT 2025-09-11 -111304.020000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961CU18 2000000.000000 PA USD 1999728.000000 0.0128173 Long DBT CORP US N 2 2025-07-01 None 0 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-5 N/A 14311AAS1 5306602.880000 PA USD 5319514.850000 0.0340957 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.65771 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 20707209.330000 PA 28491961.260000 0.18262 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.22135 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 6170.370000 PA USD 2567.120000 0.0000165 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -1216.730000 -0.0000078 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 41657016.270000 CNY 5812336.580000 USD 2025-07-02 -1216.730000 N N N FNMA PASS THRU POOLS N/A 31418FBP1 20421986.020000 PA USD 20775433.210000 0.133161 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-3 N/A 68389BAC7 11559791.690000 PA USD 5474721.970000 0.0350905 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.71368 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 100000.000000 PA USD 89450.080000 0.0005733 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N FNMA PASS THRU POOLS N/A 3140X5MN0 159356.930000 PA USD 154136.770000 0.0009879 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.5 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HR1 800000.000000 PA USD 573571.120000 0.0036763 Long DBT CORP US N 2 2046-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -1277392.180000 -0.0081875 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 309538959.000000 TWD 9483424.000000 USD 2025-08-20 -1277392.180000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6 N/A 12668BD91 21586.670000 PA USD 19341.860000 0.000124 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.85368 N N N N N N N/A N/A 000000000 1.000000 NC USD -377957.350000 -0.0024225 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -63397.500000 USD 21400000.000000 USD -314559.850000 N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-68 N/A 38374HVU1 1856191.470000 PA USD 1877085.690000 0.0120313 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 40172.990000 0.0002575 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2937579.280000 USD 122000605.080000 TRY 2025-08-06 40172.990000 N N N N/A N/A 000000000 -6227.000000 NC 2409255.020000 0.0154422 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2025-09-08 -863194413.690000 EUR 2409255.020000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRM1 22900000.000000 PA USD 21240289.980000 0.136141 Long DBT NUSS IL N 2 2054-03-12 Fixed 5.75 N N N N N N JABIL INC 5493000CGCQY2OQU7669 46652LUE5 850000.000000 PA USD 848321.080000 0.0054373 Long DBT CORP US N 2 2025-07-14 None 0 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 49971.710000 PA USD 48334.420000 0.0003098 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.74387 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGM7 4970000.000000 PA USD 4792555.490000 0.0307181 Long DBT UST US N 2 2033-02-15 Fixed 3.5 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAD7 932698.680000 PA USD 484030.230000 0.0031024 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.78368 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO5 N/A 75114HAK3 148031.290000 PA USD 122556.940000 0.0007855 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.97368 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 554628.870000 PA USD 373049.310000 0.0023911 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.18037 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBC2 32100000.000000 PA USD 32371141.000000 0.207484 Long DBT NUSS SA N 2 2028-01-18 Fixed 4.75 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI1FN6F7 300000.000000 PA 158632.100000 0.0010168 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 10459.990000 0.000067 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1574202.000000 USD 63825075.570000 TRY 2025-07-16 10459.990000 N N N N/A N/A 000000000 1.000000 NC 124036.580000 0.000795 N/A DFE EG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1410000.000000 USD 77648700.000000 EGP 2025-08-26 124036.580000 N N N N/A N/A 000000000 1.000000 NC 428301.330000 0.0027452 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19729507.000000 USD 72683523.520000 PLN 2025-07-18 428301.330000 N N N N/A N/A 000000000 1.000000 NC -10477928.620000 -0.0671587 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 631000000.000000 BRL 103015362.510000 USD 2025-10-02 -10477928.620000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797LW5 71517000.000000 PA USD 71442145.300000 0.457912 Long DBT UST US N 2 2025-07-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -7539866.220000 -0.0483271 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1093104503.910000 CAD 796546904.990000 USD 2025-08-05 -7539866.220000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 126454.790000 PA USD 106977.460000 0.0006857 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.99368 N N N N N N N/A N/A 000000000 -554.000000 NC USD -242375.000000 -0.0015535 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 09/19/25 2025-09-20 N/A USD N/A 112.750000 USD 2025-07-25 XXXX -69959.120000 N N N N/A N/A 000000000 1.000000 NC USD -865166.200000 -0.0055453 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-06-20 6248652.780000 USD 0.000000 USD 869700000.000000 USD -7113818.980000 N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 3365.190000 PA USD 3283.530000 0.000021 Long ABS-MBS CORP US N 2 2030-06-15 Floating 4.90624 N N N N N N N/A N/A 000000000 1.000000 NC USD 10641063.520000 0.0682043 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2029-12-20 10102102.430000 USD 0.000000 USD 466200000.000000 USD 538961.090000 N N N N/A N/A 000000000 1.000000 NC -36393.800000 -0.0002333 N/A DFE PE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 21908206.030000 PEN 6134844.920000 USD 2025-09-17 -36393.800000 N N N FHLMC PASS THRU POOLS N/A 3133CLWL6 12290470.090000 PA USD 12733670.960000 0.081617 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -281968.190000 -0.0018073 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 283481898.000000 TWD 9573000.000000 USD 2025-08-20 -281968.190000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 780082AQ6 23700000.000000 PA USD 23974724.000000 0.153667 Long DBT CORP CA N 2 2026-12-14 Fixed 4.851 N N N N N N N/A N/A 000000000 1.000000 NC -3841.420000 -0.0000246 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 189953400.000000 JPY 1320110.000000 USD 2025-08-04 -3841.420000 N N N AMRIZE FINANCE US LLC 529900FB2F1WKLFNGY62 43475FUF7 1600000.000000 PA USD 1596931.520000 0.0102356 Long DBT CORP US N 2 2025-07-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1451064.900000 -0.0093007 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 207992164.410000 SGD 162129088.000000 USD 2025-07-02 -1451064.900000 N N N N/A N/A 000000000 1.000000 NC 1141155.990000 0.0073143 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8603000.000000 USD 280294343.000000 TWD 2025-08-20 1141155.990000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AV4 7800000.000000 PA USD 7764616.080000 0.0497676 Long DBT NUSS PL N 2 2033-10-04 Fixed 4.875 N N N N N N N/A N/A 000000000 783000000.000000 NC USD 391.500000 0.0000025 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 08/22/25-1Y LCH 2026-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-08-20 XXXX -876568.500000 N N N N/A N/A 000000000 1.000000 NC USD -799511.240000 -0.0051245 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-18 0.000000 USD -995975.000000 USD 158400000.000000 USD 196463.760000 N N N N/A N/A 000000000 4732.000000 NC -1002598.230000 -0.0064262 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-09-08 597818199.810000 EUR -1002598.230000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MH7 1567000.000000 PA USD 1554978.990000 0.0099667 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 1867.680000 0.000012 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 554232.000000 USD 9021327042.000000 IDR 2025-07-14 1867.680000 N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAD5 1355392.780000 PA USD 1152638.630000 0.0073879 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.94933 N N N N N N BAIN CAPITAL CREDIT CLO 2021-3 LTD N/A 05683NAJ1 4900000.000000 PA USD 4879782.360000 0.0312772 Long ABS-CBDO CORP KY N 2 2034-07-24 Floating 5.33518 N N N N N N N/A N/A 000000000 1.000000 NC 2875021.270000 0.0184276 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 168460348.000000 USD 217852922.030000 SGD 2025-07-02 2875021.270000 N N N FNMA PASS THRU POOLS N/A 3140A6VH6 247000.490000 PA USD 257037.600000 0.0016475 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CUJM9 12330180.140000 PA USD 12743910.460000 0.0816826 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 3807421.380000 0.0244038 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 72767922.330000 USD 416041499.930000 BRL 2025-07-02 3807421.380000 N N N N/A N/A 000000000 1.000000 NC -4854330.910000 -0.031114 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 260541763.000000 GBP 352778236.850000 USD 2025-07-02 -4854330.910000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAD0 727000.000000 PA USD 737863.120000 0.0047294 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -316457.770000 -0.0020283 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 28080328.000000 PEN 7593382.370000 USD 2025-09-17 -316457.770000 N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 436714.540000 PA USD 290630.080000 0.0018628 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.93368 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 12303112.500000 PA USD 11187266.950000 0.0717053 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAF7 14364579.760000 PA USD 4384467.640000 0.0281024 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.294 N N N N N N FHLMC PASS THRU POOLS N/A 31426G3A1 12450434.510000 PA USD 12880696.500000 0.0825594 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -152189.500000 -0.0009755 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2051-12-15 1666785.570000 JPY 0.000000 JPY 61700000.000000 JPY -1818975.070000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 461300000.000000 PA 23971314.610000 0.153645 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 9900000.000000 PA USD 9871561.850000 0.0632722 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.40177 N N N N N N N/A N/A 000000000 1.000000 NC -1233817.680000 -0.0079082 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 329343886.000000 TWD 10105363.000000 USD 2025-07-16 -1233817.680000 N N N N/A N/A 000000000 11376.000000 NC 5590254.270000 0.035831 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A ITALY GOVT 2025-09-08 1621444355.970000 EUR 5590254.270000 N N N N/A N/A 000000000 1.000000 NC 97346.780000 0.0006239 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1727175761.060000 THB 53420009.930000 USD 2025-08-20 97346.780000 N N N N/A N/A 000000000 1.000000 NC USD 976060.250000 0.0062561 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 43500000.000000 USD 976060.250000 N N N VENTURE 44 CLO LTD N/A 92332KAQ4 1500000.000000 PA USD 1498279.910000 0.0096033 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.40947 N N N N N N N/A N/A 000000000 1.000000 NC -14748.760000 -0.0000945 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 17220000.000000 NOK 1693686.270000 USD 2025-07-02 -14748.760000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BQ7 1700000.000000 PA 1537291.560000 0.0098533 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140AUZA4 12729033.410000 PA USD 13154158.050000 0.0843121 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -2473060.870000 -0.0158512 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 0.000000 CAD -81573.800000 CAD 82200000.000000 CAD -2391487.070000 N N N N/A N/A 000000000 1.000000 NC USD 276131.760000 0.0017699 N/A DCR US N 3 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A PETROLEOS MEXICANOS (PEMEX) Y Single Leg Swap 2026-07-06 0.000000 USD 0.000000 USD 51158430.000000 USD 276131.760000 N N N N/A N/A 000000000 1.000000 NC -202994.150000 -0.0013011 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11109381.490000 PEN 2930230.130000 USD 2025-08-08 -202994.150000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 113409.900000 PA USD 94810.680000 0.0006077 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMT7 6343110.830000 PA USD 6450866.960000 0.0413471 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI2T8432 179400000.000000 PA 25047314.000000 0.160542 Long DBT NUSS CN N 2 2055-01-15 Fixed 1.92 N N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 2530302.540000 PA USD 2072325.620000 0.0132827 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AX0 14800000.000000 PA USD 15033860.570000 0.0963602 Long DBT NUSS PL N 2 2029-03-18 Fixed 4.625 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWPK3 12310787.030000 PA USD 12721943.060000 0.0815418 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO2 N/A 75116AAA8 1129171.400000 PA USD 344779.730000 0.0022099 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.58368 N N N N N N N/A N/A 000000000 1.000000 NC -1522595.850000 -0.0097591 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110500000.000000 BRL 18352219.790000 USD 2025-10-02 -1522595.850000 N N N FHLMC PASS THRU POOLS N/A 31329QDG3 91107.440000 PA USD 89694.240000 0.0005749 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 1237.700000 0.0000079 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 577559.000000 USD 176865.890000 KWD 2026-06-30 1237.700000 N N N GNMA PASS THRU POOLS N/A 36202K6G5 248.800000 PA USD 248.270000 0.0000016 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 10860.480000 0.0000696 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4189502.000000 USD 29975886.810000 CNY 2025-08-04 10860.480000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SK5 9225000.000000 PA USD 5936071.270000 0.0380475 Long DBT UST US N 2 2049-11-15 Fixed 2.375 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AS5 17400000.000000 PA USD 18191237.160000 0.116598 Long DBT NUSS HU N 2 2032-09-22 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -790476.210000 -0.0050666 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -1937530.970000 EUR 25300000.000000 EUR 1147054.760000 N N N N/A N/A 000000000 1.000000 NC 4709.650000 0.0000302 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11627045.000000 USD 999123603.900000 INR 2025-08-20 4709.650000 N N N GNMA PASS THRU POOLS N/A 21H030682 314000000.000000 PA USD 277713346.740000 1.78002 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 3 N N N N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002AUG7 1150000.000000 PA USD 1147642.500000 0.0073559 Long DBT CORP NL N 2 2025-07-16 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140AMMY4 6902200.140000 PA USD 7019765.520000 0.0449935 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAF9 3229430.240000 PA USD 1054436.100000 0.0067585 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.87368 N N N N N N N/A N/A 000000000 1.000000 NC 8739.510000 0.000056 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3831823.000000 USD 4883275.230000 SGD 2025-07-02 8739.510000 N N N FHLMC PASS THRU POOLS N/A 3142GTAA4 13104185.660000 PA USD 13575401.690000 0.0870121 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AJ6 13900000.000000 PA USD 14208280.590000 0.0910686 Long DBT CORP US N 2 2027-06-01 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC -392495.310000 -0.0025157 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11441849.950000 EUR 13093422.850000 RON 2025-07-11 -392495.310000 N N N N/A N/A 000000000 1.000000 NC -465906.090000 -0.0029862 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 34478967.850000 PEN 9260573.660000 USD 2025-07-30 -465906.090000 N N N N/A N/A 000000000 1.000000 NC 53114.550000 0.0003404 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 27776516.880000 USD 198713201.760000 CNY 2025-07-25 53114.550000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 600000.000000 PA USD 585917.190000 0.0037555 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC -1328704.720000 -0.0085164 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 323149659.000000 TWD 9905274.000000 USD 2025-08-20 -1328704.720000 N N N N/A N/A 000000000 1.000000 NC 3174799.810000 0.020349 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2029-06-19 879932.110000 NZD 0.000000 NZD 106200000.000000 NZD 2294867.700000 N N N N/A N/A 000000000 17200000.000000 NC USD 18.920000 0.0000001 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.57000 08/15/25-1Y LCH 2026-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.570000 USD 2025-08-13 XXXX -24061.080000 N N N SEQUOIA MORTGAGE TRUST 2006-1 N/A 81743QAA2 1110984.660000 PA USD 629492.570000 0.0040348 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.478 N N N N N N FHLMC PASS THRU POOLS N/A 3133WCXJ8 6322744.640000 PA USD 6492875.220000 0.0416164 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -60299.550000 -0.0003865 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 271462334.510000 CNY 38005829.000000 USD 2025-08-20 -60299.550000 N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AS8 4200000.000000 PA USD 3617405.400000 0.0231859 Long DBT CORP MY N 2 2060-04-21 Fixed 4.8 N N N N N N RESLOC UK PLC 2007-1X N/A B1XCHCII2 293888.100000 PA 394127.080000 0.0025262 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 4.49961 N N N N N N FHLMC PASS THRU POOLS N/A 3133CQEQ4 10037537.480000 PA USD 10434066.380000 0.0668776 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 8804675.500000 PA USD 4567846.280000 0.0292778 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.60368 N N N N N N N/A N/A 000000000 1.000000 NC 193692.810000 0.0012415 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1406019.960000 KWD 4842000.000000 USD 2030-05-09 193692.810000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 1780000.000000 PA 2430122.520000 0.015576 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.86986 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YBA0 28500000.000000 PA USD 29607293.400000 0.189769 Long DBT CORP GB N 2 2030-06-05 Floating 5.721 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QO9 N/A 75114PAC3 419158.170000 PA USD 367462.140000 0.0023553 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.83368 N N N N N N N/A N/A 000000000 1.000000 NC 2867.320000 0.0000184 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 314910.430000 USD 12952580.900000 TRY 2025-07-31 2867.320000 N N N GSAMP TRUST 2007-HE2 N/A 362440AD1 1147912.910000 PA USD 877720.840000 0.0056258 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.70368 N N N N N N GNMA PASS THRU POOLS N/A 36225CQZ2 368.140000 PA USD 368.000000 0.0000024 Long ABS-MBS USGSE US N 2 2030-11-20 Floating 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 9547.530000 0.0000612 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 406899.000000 USD 12102641.000000 TWD 2025-07-14 9547.530000 N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 16534914.000000 PA USD 14797870.360000 0.0948476 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAH2 27491.240000 PA USD 23293.700000 0.0001493 Long ABS-MBS CORP US N 2 2046-10-20 Floating 4.62078 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 29442KUH1 1650000.000000 PA USD 1646408.280000 0.0105527 Long DBT CORP US N 2 2025-07-17 None 0 N N N N N N VIBRANT CLO XI LTD 2019-11A N/A 92558NAJ1 5175634.910000 PA USD 5185670.310000 0.0332378 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.65108 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAA9 2181164.580000 PA USD 1973259.460000 0.0126477 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.70368 N N N N N N N/A N/A 000000000 1.000000 NC -173283.620000 -0.0011107 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 170748400.000000 MYR 40456912.690000 USD 2025-09-17 -173283.620000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF11 9000000.000000 PA 11056892.660000 0.0708696 Long DBT NUSS RO N 2 2028-09-18 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 305745.870000 0.0019597 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8414622.780000 GBP 7403000.000000 EUR 2025-07-02 305745.870000 N N N N/A N/A 000000000 1.000000 NC -463094.510000 -0.0029682 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 277265736.640000 CNY 38416823.000000 USD 2025-08-20 -463094.510000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B77 1900000.000000 PA USD 1850361.740000 0.01186 Long DBT CORP US N 2 2026-08-10 Fixed 2.7 N N N N N N FNMA PASS THRU POOLS N/A 3140XQDE4 4574126.520000 PA USD 4662127.180000 0.0298821 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 255.830000 0.0000016 N/A DFE IN N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 66605.660000 USD 5743148.300000 INR 2025-08-20 255.830000 N N N FNMA PASS THRU POOLS N/A 3140A05Z8 837663.840000 PA USD 780307.630000 0.0050014 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797QK6 4855000.000000 PA USD 4826535.180000 0.0309359 Long DBT UST US N 2 2025-08-19 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2463.680000 -0.0000158 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 32401196.700000 NOK 3212742.000000 USD 2025-08-04 -2463.680000 N N N OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A N/A 67592CAL0 2999523.930000 PA USD 3002287.300000 0.0192433 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.41947 N N N N N N N/A N/A 000000000 1.000000 NC -66701.070000 -0.0004275 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2217052.050000 EUR 2546423.790000 RON 2025-07-11 -66701.070000 N N N FHLMC PASS THRU POOLS N/A 3132DWLN1 2346429.940000 PA USD 2429492.200000 0.0155719 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -1812172.200000 -0.0116152 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 108500000.000000 BRL 17702918.270000 USD 2025-10-02 -1812172.200000 N N N N/A N/A 000000000 1.000000 NC 2778.410000 0.0000178 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1588820.100000 USD 25811748910.000000 IDR 2025-07-16 2778.410000 N N N N/A N/A 000000000 1.000000 NC 4459022.410000 0.0285803 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-03-15 0.000000 AUD -4299384.510000 AUD 280500000.000000 AUD 8758406.920000 N N N N/A N/A 000000000 1.000000 NC USD 158013.700000 0.0010128 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -13632.500000 USD 3800000.000000 USD 171646.200000 N N N MFA 2020-NQM2 TRUST N/A 552751AA7 3976749.780000 PA USD 3860974.270000 0.0247471 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 1488358.750000 PA USD 1368155.740000 0.0087693 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLBK2 3758430.650000 PA USD 3122805.870000 0.0200158 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 13288.540000 0.0000852 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6991693.000000 USD 50039546.800000 CNY 2025-07-17 13288.540000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02 N/A 38383KMM1 11329641.840000 PA USD 11371251.080000 0.0728845 Long ABS-MBS USGSE US N 2 2073-12-20 Floating 5.30185 N N N N N N N/A N/A 000000000 1.000000 NC 3934244.340000 0.0252167 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-06-19 0.000000 CAD -28464.510000 CAD 395400000.000000 CAD 3962708.850000 N N N FNMA PASS THRU POOLS N/A 3140AVWD9 12697424.420000 PA USD 13121493.380000 0.0841028 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 228.660000 0.0000015 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5709.440000 USD 20000.000000 ILS 2025-07-18 228.660000 N N N N/A N/A 000000000 1.000000 NC -3679028.570000 -0.0235809 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-09-17 0.000000 EUR -27895694.790000 EUR 2101780000.000000 EUR 24216666.220000 N N N N/A N/A 000000000 -3795.000000 NC 326462.010000 0.0020925 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2025-09-08 -553604764.570000 EUR 326462.010000 N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAJ5 26069224.430000 PA USD 8652333.880000 0.0554575 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.731 N N N N N N N/A N/A 000000000 1.000000 NC -377215.280000 -0.0024178 N/A DFE DK N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 58616487.130000 DKK 8877410.670000 USD 2025-07-02 -377215.280000 N N N N/A N/A 000000000 1.000000 NC -113216.690000 -0.0007257 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8483000.000000 AUD 5469871.480000 USD 2025-07-02 -113216.690000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 226380130000.000000 PA 168569934.720000 1.08046 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJFR3 9943097.750000 PA USD 9955501.760000 0.0638102 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 USD -15743269.100000 -0.100907 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-11-30 0.000000 USD -783286.290000 USD 1502206000.000000 USD -14959982.810000 N N N FNMA PASS THRU POOLS N/A 3140AQUF7 11308017.570000 PA USD 11687449.960000 0.0749112 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -45400.970000 -0.000291 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2057736403.000000 JPY 14243939.000000 USD 2025-07-02 -45400.970000 N N N GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD N/A 38136NAY2 3000000.000000 PA USD 3002104.050000 0.0192421 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.41947 N N N N N N BANK OF AMERICA MTGE SECURITIES 2005-C N/A 05949AZ37 48963.410000 PA USD 48016.080000 0.0003078 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.97538 N N N N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 155484.460000 PA USD 158243.220000 0.0010143 Long ABS-MBS CORP US N 2 2029-06-25 Floating 5.37368 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1J8690 1400000.000000 PA 1339259.210000 0.008584 Long DBT NUSS RO N 2 2032-01-28 Fixed 2 N N N N N N KREDITANSTALT FUER WIEDERAUFBAU (KFW) 549300GDPG70E3MBBU98 ACI2TVKZ2 12800000.000000 PA 17714516.320000 0.113542 Long DBT CORP DE N 2 2030-02-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 245995.900000 0.0015767 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2485067233.950000 THB 76966852.000000 USD 2025-08-20 245995.900000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2X9NM2 22300000.000000 PA 31090972.360000 0.199279 Long DBT NUSS GB N 2 2056-01-31 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -399723.650000 -0.002562 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 280315488.910000 CNY 38907849.000000 USD 2025-08-20 -399723.650000 N N N FNMA PASS THRU POOLS N/A 3140QSUE9 19012.600000 PA USD 19716.040000 0.0001264 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 281697.140000 0.0018055 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 10000000.000000 USD 281697.140000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 12500000.000000 PA 12662527.740000 0.081161 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -341.680000 -0.0000022 N/A DFE CH N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 41074.790000 CHF 51640.740000 USD 2025-08-04 -341.680000 N N N N/A N/A 000000000 1.000000 NC -31279.510000 -0.0002005 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1330100.000000 USD 688991800.000000 KZT 2025-09-11 -31279.510000 N N N N/A N/A 000000000 1.000000 NC 3344.360000 0.0000214 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1112581.700000 USD 1508875513.000000 KRW 2025-07-08 3344.360000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 123570000.000000 PA 147023464.490000 0.942353 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAA1 206707.870000 PA USD 191948.390000 0.0012303 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.68368 N N N N N N N/A N/A 000000000 1.000000 NC -103.190000 -0.0000007 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 331000.000000 CNY 46311.680000 USD 2025-08-20 -103.190000 N N N N/A N/A 000000000 1.000000 NC -2149201.910000 -0.0137754 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 140400000.000000 BRL 23103505.020000 USD 2025-10-02 -2149201.910000 N N N N/A N/A 000000000 1.000000 NC 814742.100000 0.0052221 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 137867416.050000 USD 988989000.000000 CNY 2025-08-20 814742.100000 N N N N/A N/A 000000000 1.000000 NC 17694.550000 0.0001134 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1069280.860000 USD 1469544764.000000 KRW 2025-07-16 17694.550000 N N N N/A N/A 000000000 1.000000 NC 1407411.560000 0.0090209 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 110449211.000000 USD 16107912932.000000 JPY 2025-07-02 1407411.560000 N N N N/A N/A 000000000 1.000000 NC 2963800.640000 0.0189966 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-12 0.000000 EUR 0.000000 EUR 66000000.000000 EUR 2963800.640000 N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 ACI25ZFG7 12200000.000000 PA 14464914.540000 0.0927135 Long DBT CORP US N 2 2034-06-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 82589.740000 0.0005294 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10096520.850000 EUR 43999123.370000 RON 2025-08-11 82589.740000 N N N N/A N/A 000000000 1.000000 NC 157.360000 0.000001 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 12490.000000 USD 515911.940000 TRY 2025-08-01 157.360000 N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TZ6 25689.070000 PA USD 24111.050000 0.0001545 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.67669 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BLH1ZLII0 26890000.000000 PA 14666201.530000 0.0940036 Long DBT NUSS ES N 2 2071-10-31 Fixed 1.45 N N N N N N N/A N/A 000000000 1.000000 NC -78433.390000 -0.0005027 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3210060.000000 USD 1709838459.000000 KZT 2025-12-15 -78433.390000 N N N N/A N/A 000000000 1.000000 NC 6.480000 0 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 301.000000 USD 1091.580000 PEN 2025-09-17 6.480000 N N N N/A N/A 000000000 1.000000 NC USD 47764.150000 0.0003061 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2025-12-20 157513.390000 USD 0.000000 USD 2100000.000000 USD -109749.240000 N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAC0 2467710.610000 PA USD 1898495.160000 0.0121685 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.57368 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1ZX259 199070000.000000 PA 103572184.830000 0.66385 Long DBT NUSS AU N 2 2034-03-20 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -24641.940000 -0.0001579 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 850000.000000 USD 437962500.000000 KZT 2025-09-12 -24641.940000 N N N N/A N/A 000000000 40056000.000000 NC 170334.210000 0.0010918 N/A DFE KY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-18 N/A 24.550000 EUR 2025-12-16 XXXX -8934.180000 N N N FNMA PASS THRU POOLS N/A 31418FJV0 380000.030000 PA USD 392691.280000 0.002517 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 21100000.000000 PA USD 20961485.040000 0.134353 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BMBL1FII0 38900000.000000 PA 19641745.300000 0.125895 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.625 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI23KTK8 6450000.000000 PA 5036569.480000 0.0322821 Long DBT NUSS ES N 2 2052-10-31 Fixed 1.9 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280EF2 16900000.000000 PA USD 17222597.170000 0.110389 Long DBT CORP GB N 2 2028-05-17 Floating 5.597 N N N N N N N/A N/A 000000000 1.000000 NC USD -1614168.750000 -0.0103461 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A US SOFR COMPOUNDED INDEX Y 2025-09-22 705855.070000 USD 0.000000 USD 65400000.000000 USD -2320023.820000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CK3 9900000.000000 PA USD 8884558.490000 0.056946 Long DBT CORP DE Y 2 2032-05-28 Floating 3.035 N N N N N N N/A N/A 000000000 1.000000 NC 23530.790000 0.0001508 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4790402.000000 USD 192483142.760000 TRY 2025-07-07 23530.790000 N N N N/A N/A 000000000 10282.000000 NC USD 11864820.920000 0.0760481 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-30 1120938817.740000 USD 11864820.920000 N N N FNMA PASS THRU POOLS N/A 3140YWAF0 10135405.610000 PA USD 10501417.710000 0.0673093 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 59173LAD2 45200000.000000 PA USD 45125394.240000 0.289233 Long DBT NUSS JP N 2 2025-07-16 Fixed 0.75 N N N N N N FNMA PASS THRU POOLS N/A 3140A6V86 8692088.050000 PA USD 8843991.680000 0.0566859 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -108317.790000 -0.0006943 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 46700000.000000 USD -108317.790000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAA7 10712002.080000 PA USD 3476739.880000 0.0222843 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.79368 N N N N N N N/A N/A 000000000 1.000000 NC 368229.780000 0.0023602 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-12 16451.140000 EUR 0.000000 EUR 8200000.000000 EUR 351778.640000 N N N N/A N/A 000000000 1.000000 NC 38614.370000 0.0002475 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1576100000.000000 JPY 10983373.230000 USD 2025-07-02 38614.370000 N N N GREENPOINT MTGE FUNDING TR 2006-AR3 N/A 39538WHF8 158266.020000 PA USD 140496.400000 0.0009005 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.85368 N N N N N N N/A N/A 000000000 1.000000 NC -9975.400000 -0.0000639 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4775782.140000 USD 686300000.000000 JPY 2025-07-02 -9975.400000 N N N N/A N/A 000000000 1.000000 NC -355945.590000 -0.0022814 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2031-03-18 0.000000 AUD -339147.010000 AUD 64800000.000000 AUD -16798.580000 N N N FNMA PASS THRU POOLS N/A 31418E3D0 23987291.570000 PA USD 24409500.760000 0.156454 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6 N N N N N N WELLS FARGO HOME EQUITY TRUST 2006-3 N/A 9497EBAD1 12277558.040000 PA USD 12217606.720000 0.0783093 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.77868 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2003-4 N/A 64352VDK4 3748057.270000 PA USD 3749683.180000 0.0240338 Long ABS-MBS CORP US N 2 2033-10-25 Floating 5.55868 N N N N N N N/A N/A 000000000 1.000000 NC -1013264.570000 -0.0064946 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 95064814.750000 PEN 25728657.000000 USD 2025-10-31 -1013264.570000 N N N N/A N/A 000000000 1.000000 NC -1184046.530000 -0.0075892 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 319923269.000000 TWD 9830786.000000 USD 2025-07-16 -1184046.530000 N N N N/A N/A 000000000 1.000000 NC 6674.250000 0.0000428 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 334235.000000 USD 13807582.090000 TRY 2025-07-23 6674.250000 N N N N/A N/A 000000000 1.000000 NC 23313.780000 0.0001494 N/A DFE TR N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 1973945.750000 USD 82402365.330000 TRY 2025-08-13 23313.780000 N N N FNMA PASS THRU POOLS N/A 3140XQRY5 12354155.720000 PA USD 12770738.840000 0.0818546 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AY8 6100000.000000 PA USD 6137467.730000 0.0393384 Long DBT NUSS PL N 2 2034-09-18 Fixed 5.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 52187014.000000 PA USD 47320545.720000 0.303303 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAB4 3796000.000000 PA USD 3788428.230000 0.0242821 Long ABS-O CORP US N 3 2034-03-27 Fixed 5.25 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 55379.950000 PA USD 56552.270000 0.0003625 Long ABS-MBS CORP US N 2 2035-01-25 Floating 7.10494 N N N N N N LION III RE DESIGNATED ACTIVITY COMPANY 6354006E8VRXKKHS6U06 ACI1YQSF5 500000.000000 PA 589269.810000 0.0037769 Long DBT CORP IE N 2 2025-07-16 Floating 6.409 N N N N N N N/A N/A 000000000 1.000000 NC USD 246352.200000 0.001579 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -40392.500000 USD 10700000.000000 USD 286744.700000 N N N N/A N/A 000000000 1.000000 NC -289886.970000 -0.001858 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 269848282.010000 CNY 37448761.000000 USD 2025-07-16 -289886.970000 N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 9200000.000000 PA USD 9274354.400000 0.0594444 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N N/A N/A 000000000 -2399.000000 NC -1289479.020000 -0.008265 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Short N/A CANADA GOVT 2025-09-18 -201028008.080000 CAD -1289479.020000 N N N FREDDIE MAC REMICS 5511 N/A 3137HKKK9 11746800.530000 PA USD 11801967.030000 0.0756452 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.70517 N N N N N N N/A N/A 000000000 1.000000 NC -25555.950000 -0.0001638 N/A DFE KZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1108940.000000 USD 574708155.000000 KZT 2025-09-11 -25555.950000 N N N N/A N/A 000000000 1.000000 NC USD 69195.950000 0.0004435 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 10504.140000 USD 0.000000 USD 1600000.000000 USD 58691.810000 N N N NEWGATE FUNDING PLC 2007-2X N/A B1YXNZII7 1905410.000000 PA 2481140.840000 0.015903 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 4.53961 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAJ0 100374.800000 PA USD 99025.190000 0.0006347 Long ABS-MBS CORP US N 2 2047-01-26 Floating 5.17861 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI2V6L67 18700000.000000 PA 21956307.450000 0.14073 Long DBT NUSS SA N 2 2032-03-05 Fixed 3.375 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 ACI1D58V1 1300000.000000 PA 1494480.650000 0.0095789 Long DBT CORP LU N 2 2027-07-15 Fixed 1.625 N N N N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEJ9 100000.000000 PA USD 118837.520000 0.0007617 Long DBT MUN US N 2 2041-02-15 Fixed 7.834 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY69 28400000.000000 PA 34235209.230000 0.219432 Long DBT CORP US N 2 2035-03-21 Floating 3.955 N N N N N N N/A N/A 000000000 1.000000 NC -492283.790000 -0.0031553 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 43291451.370000 SGD 33640811.000000 USD 2025-08-05 -492283.790000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAC2 1454000.000000 PA USD 1474384.500000 0.0094501 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.45 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GBB0 30777.360000 PA USD 29872.110000 0.0001915 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.82271 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GMM8 21600000.000000 PA USD 22217656.540000 0.142405 Long DBT CORP US N 2 2036-01-24 Floating 5.511 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3D3 20200000.000000 PA USD 20677063.200000 0.132531 Long DBT CORP US N 2 2034-04-24 Floating 5.389 N N N N N N N/A N/A 000000000 1.000000 NC 61636.410000 0.0003951 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19815102.000000 USD 141957372.240000 CNY 2025-07-21 61636.410000 N N N N/A N/A 000000000 1.000000 NC -380249.350000 -0.0024372 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 281051000.610000 CNY 38925114.000000 USD 2025-07-16 -380249.350000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CT5 18000000.000000 PA USD 18277873.380000 0.117153 Long DBT CORP GB N 2 2027-07-06 Floating 6.187 N N N N N N N/A N/A 000000000 1.000000 NC -1133919.040000 -0.0072679 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 104445396.010000 PEN 28348776.160000 USD 2025-07-03 -1133919.040000 N N N N/A N/A 000000000 1.000000 NC 1458407.110000 0.0093477 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 (03/18/26) LCH N/A N/A 2031-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2031-03-18 1137827.830000 GBP 0.000000 GBP 312300000.000000 GBP 320579.280000 N N N GNMA PASS THRU POOLS N/A 36225CNP7 1213.030000 PA USD 1214.470000 0.0000078 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-4 N/A 12668WAF4 210476.830000 PA USD 197105.470000 0.0012634 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.683 N N N N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAC7 10200000.000000 PA USD 8947236.000000 0.0573477 Long DBT CORP QA N 2 2031-07-12 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC -140248.600000 -0.0008989 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8667387.000000 EUR 10096520.850000 RON 2025-08-11 -140248.600000 N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41282JV40 100000.000000 PA USD 99538.190000 0.000638 Long DBT CORP US N 2 2025-08-04 None 0 N N N N N N ANGEL OAK MORTGAGE TRUST 2023-1 N/A 03465WAA9 9528798.630000 PA USD 9460303.720000 0.0606362 Long ABS-MBS CORP US N 2 2067-09-26 Fixed 4.75 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 1.110000 PA 0.140000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAF4 834000.000000 PA USD 849321.080000 0.0054438 Long ABS-O CORP US N 2 2054-11-25 Fixed 8.75 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412BVN0 850000.000000 PA USD 843860.540000 0.0054088 Long DBT CORP US N 2 2025-08-22 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 972663.250000 0.0062343 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 37200000.000000 USD 972663.250000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 6680394.000000 PA USD 6793044.080000 0.0435403 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N ST PAULS CLO II DAC 2A N/A ACI21LGL0 8000000.000000 PA 9398950.210000 0.060243 Long ABS-CBDO CORP IE N 2 2035-10-25 Floating 3.138 N N N N N N N/A N/A 000000000 1.000000 NC -663579.490000 -0.0042532 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR 0.000000 EUR 158740000.000000 EUR -663579.490000 N N N TRINITAS CLO 2022 XXA LTD N/A 89640EAN8 1700000.000000 PA USD 1691629.170000 0.0108426 Long ABS-CBDO CORP BM N 2 2035-07-20 Floating 5.30947 N N N N N N N/A N/A 000000000 1.000000 NC 51502.560000 0.0003301 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3897827.350000 USD 5378000.000000 CAD 2025-07-02 51502.560000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UD8 87750000.000000 PA USD 80418075.950000 0.515443 Long DBT UST US N 2 2044-08-15 Fixed 4.125 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 2689.430000 PA USD 2685.060000 0.0000172 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 4.55645 N N N N N N FNMA PASS THRU POOLS N/A 3140QTYD5 66473706.570000 PA USD 68704183.930000 0.440362 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 144674.810000 0.0009273 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8551060.920000 USD 6335000.000000 GBP 2025-07-02 144674.810000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFK6 40100000.000000 PA USD 40947875.600000 0.262457 Long DBT CORP US N 2 2030-01-16 Floating 5.173 N N N N N N N/A N/A 000000000 1.000000 NC -810293.220000 -0.0051936 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 32332000.000000 EUR 37275207.150000 USD 2025-07-02 -810293.220000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 2589218.200000 PA USD 2083344.000000 0.0133533 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.39746 N N N N N N N/A N/A 000000000 1.000000 NC 410033.240000 0.0026281 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2725836.480000 KWD 9371000.000000 USD 2029-05-02 410033.240000 N N N N/A N/A 000000000 1.000000 NC 15569.120000 0.0000998 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1922447.000000 USD 78556375.030000 TRY 2025-07-24 15569.120000 N N N ELMWOOD CLO 15 LTD N/A 938KTRII5 2500000.000000 PA USD 2500000.000000 0.0160239 Long ABS-MBS CORP US N 3 2035-04-22 Floating 5.46348 N N N N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002AU93 1650000.000000 PA USD 1648106.130000 0.0105636 Long DBT CORP NL N 2 2025-07-09 None 0 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 15700000.000000 PA USD 16632474.180000 0.106607 Long DBT CORP US N 2 2029-11-01 Floating 6.407 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQGII0 1033132.660000 PA 1381219.570000 0.008853 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 5.58961 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 202686.820000 PA USD 92546.210000 0.0005932 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.33317 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 23200000.000000 PA USD 21952218.160000 0.140704 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N N/A N/A 000000000 1.000000 NC USD 2409424.620000 0.0154433 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 2310861.920000 USD 0.000000 USD 32900000.000000 USD 98562.700000 N N N FHLMC PASS THRU POOLS N/A 31425W3N9 12982145.390000 PA USD 13417983.530000 0.0860031 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 16195437.310000 PA USD 16147097.170000 0.103496 Long ABS-MBS CORP US N 2 2051-09-25 Variable 4.8429 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 375000.000000 PA USD 276416.020000 0.0017717 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 104213.160000 0.000668 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1190000.000000 USD 65509500.000000 EGP 2025-08-26 104213.160000 N N N N/A N/A 000000000 1.000000 NC -251996.190000 -0.0016152 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16500000.000000 BRL 2715736.460000 USD 2025-10-02 -251996.190000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAE7 1464000.000000 PA USD 1483222.470000 0.0095068 Long ABS-O CORP US N 2 2054-11-25 Fixed 6.6 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 N/A 362948AA9 4523701.360000 PA USD 4401402.640000 0.028211 Long ABS-MBS CORP US N 2 2061-09-25 Variable 3.9 N N N N N N FNMA PASS THRU POOLS N/A 31418FH26 12316036.840000 PA USD 12727368.210000 0.0815766 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 2557.330000 PA USD 2490.520000 0.000016 Long ABS-MBS CORP US N 2 2029-10-20 Floating 5.1368 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 11068.340000 PA USD 11125.100000 0.0000713 Long ABS-MBS CORP US N 2 2033-06-25 Floating 5.78157 N N N N N N N/A N/A 000000000 1.000000 NC USD 793840.400000 0.0050882 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-08-30 0.000000 USD -9494.400000 USD 220800000.000000 USD 803334.800000 N N N N/A N/A 000000000 1.000000 NC 6397.770000 0.000041 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3127241.020000 USD 22363213.260000 CNY 2025-08-04 6397.770000 N N N N/A N/A 000000000 1.000000 NC -470186.400000 -0.0030137 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 30500000.000000 BRL 5015622.440000 USD 2025-10-02 -470186.400000 N N N N/A N/A 000000000 1.000000 NC -4942634.020000 -0.03168 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 710545.040000 CAD 0.000000 CAD 199200000.000000 CAD -5653179.060000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AGT6 94245.620000 PA USD 87244.600000 0.0005592 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.43869 N N N N N N N/A N/A 000000000 1.000000 NC 3645.470000 0.0000234 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 485315.000000 USD 4928428.180000 NOK 2025-07-02 3645.470000 N N N N/A N/A 000000000 1.000000 NC USD -3439613.980000 -0.0220464 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 10885913.350000 USD 0.000000 USD 392350000.000000 USD -14325527.330000 N N N GNMA PASS THRU POOLS N/A 21H062685 330200000.000000 PA USD 338366744.140000 2.16878 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 3132DWLU5 4843197.330000 PA USD 4927017.970000 0.0315799 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 ACI2XLY35 25900000.000000 PA 30309340.360000 0.194269 Long DBT CORP US N 2 2029-06-06 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 3555553.840000 0.0227895 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-12-20 1925971.800000 USD 0.000000 USD 29070000.000000 USD 1629582.040000 N N N FNMA PASS THRU POOLS N/A 3140AD3V1 12803139.610000 PA USD 13260011.070000 0.0849906 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -860500.640000 -0.0055154 N/A DFE CZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 180844911.000000 CZK 7800205.050000 EUR 2025-12-18 -860500.640000 N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI2MHTY4 23400000.000000 PA 15310365.230000 0.0981324 Long DBT NUSS AU N 2 2035-09-20 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 271911.400000 0.0017428 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6503744.000000 USD 24426410.510000 PLN 2025-07-10 271911.400000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 5003.650000 PA USD 4754.940000 0.0000305 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.98802 N N N N N N N/A N/A 000000000 1.000000 NC -448757.180000 -0.0028763 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 121717900.000000 TWD 3741942.320000 USD 2025-07-16 -448757.180000 N N N N/A N/A 000000000 1.000000 NC -15472949.250000 -0.0991745 N/A DFE N/A N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 2187097786.930000 EUR 2566441149.680000 USD 2025-08-04 -15472949.250000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SJ8 39750000.000000 PA USD 24947783.300000 0.159904 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GP6 82393.550000 PA USD 78075.650000 0.0005004 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 2058346.410000 0.0131931 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-09-17 1572542.140000 EUR 0.000000 EUR 16810000.000000 EUR 485804.270000 N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 39243.730000 PA USD 36934.640000 0.0002367 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.97368 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CA0 6400000.000000 PA USD 4396068.800000 0.0281768 Long DBT CORP US N 2 2052-06-01 Fixed 3.9 N N N N N N TRINITAS CLO XII LTD N/A 89641GAN2 14500000.000000 PA USD 14519757.560000 0.093065 Long ABS-CBDO CORP KY N 2 2033-04-25 Floating 5.65177 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 1252165000.000000 PA USD 1291119139.420000 8.27548 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -343356.590000 -0.0022008 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 34923516278.000000 KRW 25488454.920000 USD 2025-07-16 -343356.590000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI137Q48 15800000.000000 PA 9953941.870000 0.0638002 Long DBT NUSS AU N 2 2030-05-21 Fixed 2.5 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECR4 18000000.000000 PA USD 18629015.400000 0.119404 Long DBT CORP GB N 2 2030-03-12 Floating 5.69 N N N N N N N/A N/A 000000000 1.000000 NC -1776283.450000 -0.0113852 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2029-10-02 0.000000 CAD -4349491.100000 CAD 65800000.000000 CAD 2573207.650000 N N N N/A N/A 000000000 1.000000 NC 903.210000 0.0000058 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 282211.000000 USD 4592820343.000000 IDR 2025-07-14 903.210000 N N N N/A N/A 000000000 1.000000 NC 106137.660000 0.0006803 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3915535.000000 USD 21850149.710000 BRL 2025-07-02 106137.660000 N N N N/A N/A 000000000 1.000000 NC USD -75144.720000 -0.0004816 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 2220000.000000 USD -75144.720000 N N N N/A N/A 000000000 1.000000 NC -662518.340000 -0.0042464 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2035-09-17 0.000000 KRW -105716.230000 KRW 78036530000.000000 KRW -556802.110000 N N N N/A N/A 000000000 1.000000 NC -117422.110000 -0.0007526 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4675010.000000 EUR 5392770.960000 RON 2025-07-11 -117422.110000 N N N ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC 254900G082ZFKTCR2Q75 00402AAB7 7400000.000000 PA USD 7396086.140000 0.0474055 Long DBT CORP AE N 2 2035-05-06 Fixed 5 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAE4 3725680.470000 PA USD 3312470.470000 0.0212314 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.72368 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1 N/A 004421WR0 15607060.950000 PA USD 13990917.010000 0.0896754 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.01868 N N N N N N N/A N/A 000000000 1.000000 NC 418095.140000 0.0026798 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2032-03-19 0.000000 JPY -1224007.590000 JPY 58150000000.000000 JPY 1642102.730000 N N N N/A N/A 000000000 1.000000 NC -370.630000 -0.0000024 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 574000.000000 USD 175288.120000 KWD 2026-06-02 -370.630000 N N N N/A N/A 000000000 1.000000 NC 9378.370000 0.0000601 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 810000.000000 USD 428287500.000000 KZT 2025-07-24 9378.370000 N N N OLYMPUS CORPORATION 5299000Y52IFDI1I2A21 68163WAA7 8700000.000000 PA USD 8413717.890000 0.0539281 Long DBT CORP JP N 2 2026-12-08 Fixed 2.143 N N N N N N CAIRN CLO VII BV 16-7A N/A ACI1G9KT1 2896060.940000 PA 3402888.320000 0.021811 Long ABS-CBDO CORP IE N 2 2030-01-31 Floating 2.856 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 329165.980000 PA USD 269385.390000 0.0017266 Long ABS-MBS CORP US N 2 2037-07-25 Variable 4.93866 N N N N N N N/A N/A 000000000 1.000000 NC USD 130454.800000 0.0008362 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -22600000000.000000 JPY 148196721.310000 USD 2030-09-17 305582.230000 N N N N/A N/A 000000000 1.000000 NC 168233.270000 0.0010783 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2025-12-20 212667.130000 EUR 0.000000 EUR 36300000.000000 EUR -44433.860000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PXFN5 6332000000.000000 PA 38698169.370000 0.248038 Long DBT NUSS JP N 2 2054-06-20 Fixed 2.2 N N N N N N FNMA PASS THRU POOLS N/A 31418EZM5 72330658.560000 PA USD 73620434.270000 0.471873 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAG3 1640972.120000 PA USD 787302.490000 0.0050462 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC 541.830000 0.0000035 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 51211.100000 USD 521638.510000 NOK 2025-07-02 541.830000 N N N N/A N/A 000000000 1.000000 NC -5216.160000 -0.0000334 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1120000.000000 USD 592424000.000000 KZT 2025-09-17 -5216.160000 N N N FNMA PASS THRU POOLS N/A 3140QDYC2 7446693.670000 PA USD 6998104.250000 0.0448546 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N AMERICAN MEDICAL SYSTEMS EUROPE BV 549300AA2JE6ZQ5D2493 ACI2V3N05 1200000.000000 PA 1397252.280000 0.0089557 Long DBT CORP NL N 2 2034-03-08 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -108680.230000 -0.0006966 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-07-17 599800.000000 USD 0.000000 USD 299900000.000000 USD -708480.230000 N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 2331977.470000 PA USD 2359507.400000 0.0151234 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.52868 N N N N N N N/A N/A 000000000 1.000000 NC 193385.440000 0.0012395 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1406019.960000 KWD 4842000.000000 USD 2030-05-13 193385.440000 N N N N/A N/A 000000000 1.000000 NC -2018.460000 -0.0000129 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2025-12-19 0.000000 EUR -16659.340000 EUR 300000.000000 EUR 14640.880000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UU94 2200000.000000 PA USD 2197436.340000 0.0140846 Long DBT CORP CA N 2 2025-07-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -829810.140000 -0.0053187 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 426058000.000000 CNY 58914679.370000 USD 2025-08-20 -829810.140000 N N N N/A N/A 000000000 1.000000 NC -758891.680000 -0.0048641 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 184419929.000000 TWD 5652285.000000 USD 2025-08-20 -758891.680000 N N N FNMA PASS THRU POOLS N/A 3140W1KH5 12929977.410000 PA USD 13378258.820000 0.0857485 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI2TFSN6 109540000.000000 PA 128857229.550000 0.825916 Long DBT NUSS ES N 2 2035-04-30 Fixed 3.15 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UG1 213900000.000000 PA USD 208285125.000000 1.33501 Long DBT UST US N 2 2055-02-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -116.590000 -0.0000007 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32767166.000000 KRW 24120.240000 USD 2025-07-16 -116.590000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AY4 16200000.000000 PA USD 16215258.460000 0.103932 Long DBT CORP CH N 2 2026-07-15 Floating 6.373 N N N N N N FARM CREDIT BANK OF TEXAS V1EBJIOLRNYDHDF63Z33 30767EAD1 10000000.000000 NS USD 9993800.000000 0.0640557 Long EP USGSE US N 2 N N N N/A N/A 000000000 1.000000 NC -13218.140000 -0.0000847 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1293385.230000 SGD 1003994.000000 USD 2025-07-02 -13218.140000 N N N N/A N/A 000000000 1.000000 NC -621584.190000 -0.0039841 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 151415583.000000 TWD 4642229.000000 USD 2025-08-20 -621584.190000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI24VWS2 2860000000.000000 PA 13364872.050000 0.0856627 Long DBT NUSS JP N 2 2052-03-20 Fixed 1 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2W3 12500000.000000 PA USD 12838983.250000 0.082292 Long DBT CORP FR N 2 2030-05-20 Floating 5.497 N N N N N N RMAC SECURITIES PLC 2006-NS3X N/A 99WKUBII8 55629.950000 PA 64101.130000 0.0004109 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 2.194 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8V51 6154131.810000 PA USD 5644725.400000 0.0361801 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 -1718104.520000 -0.0110123 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 2055-03-19 0.000000 GBP 0.000000 GBP N/A GBP Y 2055-03-19 0.000000 GBP -1483111.320000 GBP 10570000.000000 GBP -234993.200000 N N N FHLMC PASS THRU POOLS N/A 3132DWMK6 10138478.170000 PA USD 10145927.210000 0.0650308 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 5.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI23CKY5 14800000.000000 PA 16812856.620000 0.107763 Long DBT NUSS RO N 2 2028-03-07 Fixed 2.125 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 1390826.770000 PA USD 1254045.770000 0.0080379 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.81368 N N N N N N N/A N/A 000000000 1.000000 NC USD 7793729.170000 0.0499542 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-03-19 8056652.600000 USD 0.000000 USD 65100000.000000 USD -262923.430000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78017DAD0 40900000.000000 PA USD 40677513.000000 0.260724 Long DBT CORP CA N 2 2031-02-04 Floating 5.35714 N N N N N N N/A N/A 000000000 1.000000 NC -13370151.130000 -0.0856966 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2029-09-18 0.000000 SGD -234190.610000 SGD 360560000.000000 SGD -13135960.520000 N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 3034.870000 PA USD 1378.330000 0.0000088 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.55368 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 11251.890000 PA USD 11023.480000 0.0000707 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.05368 N N N N N N N/A N/A 000000000 1.000000 NC 28911.380000 0.0001853 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1220695.000000 USD 36315676.000000 TWD 2025-07-14 28911.380000 N N N N/A N/A 000000000 1.000000 NC -102143.780000 -0.0006547 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 0.000000 CAD -18551.180000 CAD 17300000.000000 CAD -83592.600000 N N N N/A N/A 000000000 1.000000 NC -14526.520000 -0.0000931 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 20863798.160000 THB 627917.000000 USD 2025-07-16 -14526.520000 N N N N/A N/A 000000000 1.000000 NC 295.400000 0.0000019 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 165255.000000 USD 225055.170000 CAD 2025-08-05 295.400000 N N N N/A N/A 000000000 1.000000 NC 159196.620000 0.0010204 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13809435.170000 USD 99615000.000000 CNY 2025-08-20 159196.620000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 5.240000 PA 0.660000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 1137861.760000 PA 1342297.880000 0.0086035 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 3.229 N N N N N N N/A N/A 000000000 1.000000 NC -1434527.270000 -0.0091947 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 90030000.000000 GBP 122145123.470000 USD 2025-07-02 -1434527.270000 N N N N/A N/A 000000000 1.000000 NC -60287.350000 -0.0003864 N/A DFE CN N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 306583568.640000 CNY 42930758.000000 USD 2025-08-20 -60287.350000 N N N N/A N/A 000000000 1.000000 NC 1187073.750000 0.0076086 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11171000.000000 USD 355484679.000000 TWD 2025-08-20 1187073.750000 N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 433428.220000 PA USD 406271.300000 0.002604 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.89869 N N N N N N N/A N/A 000000000 1.000000 NC 21470.910000 0.0001376 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10079556.000000 USD 72028507.180000 CNY 2025-08-14 21470.910000 N N N N/A N/A 000000000 1.000000 NC 35388.620000 0.0002268 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4089423.670000 USD 3005000.000000 GBP 2025-07-02 35388.620000 N N N N/A N/A 000000000 1.000000 NC -4016676.290000 -0.0257451 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-09-18 0.000000 JPY -813356.950000 JPY 57990000000.000000 JPY -3203319.340000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA87 15000000.000000 PA USD 15617511.750000 0.100101 Long DBT CORP US N 2 2030-04-25 Floating 5.727 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI1CY252 10768000.000000 PA 8520707.470000 0.0546138 Long DBT NUSS SG N 2 2039-07-01 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC 0.000000 0 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 72225058.520000 CNY 10079556.000000 USD 2025-07-02 0.000000 N N N N/A N/A 000000000 1.000000 NC 1741625.130000 0.011163 N/A DIR SE N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SEK-STIBOR-Bloomberg 3M Y 2030-02-03 0.000000 SEK -17816.630000 SEK 788000000.000000 SEK 1759441.760000 N N N N/A N/A 000000000 1.000000 NC -2688799.820000 -0.017234 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-03-15 1801269.610000 CAD 0.000000 CAD 116000000.000000 CAD -4490069.430000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 440276.590000 PA USD 404883.420000 0.0025951 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.71368 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFS7 337100000.000000 PA 247424864.700000 1.58588 Long DBT NUSS CA N 2 2033-09-01 Fixed 3.6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHG1 43861169.450000 PA USD 43949874.280000 0.281699 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 38314.930000 0.0002456 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3244636.000000 USD 134639415.460000 TRY 2025-08-07 38314.930000 N N N FNMA PASS THRU POOLS N/A 3138WFXD3 6028.030000 PA USD 5721.500000 0.0000367 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4 N N N N N N SOUND POINT CLO XIX LTD 2018-1A N/A 83610JAA4 742021.430000 PA USD 742880.250000 0.0047615 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.51771 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AF5 10500000.000000 PA USD 10726529.000000 0.0687521 Long DBT CORP GB N 2 2028-09-30 Floating 5.516 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAA4 26626213.200000 PA USD 15263734.990000 0.0978336 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.63368 N N N N N N N/A N/A 000000000 1.000000 NC 104417.250000 0.0006693 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11089419.000000 USD 961508074.400000 INR 2025-08-20 104417.250000 N N N N/A N/A 000000000 -648.000000 NC USD -486000.000000 -0.003115 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 09/19/25 2025-09-20 N/A USD N/A 112.000000 USD 2025-07-25 XXXX -264079.440000 N N N N/A N/A 000000000 1.000000 NC 117419.210000 0.0007526 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4894847.060000 USD 27232143.870000 BRL 2025-07-02 117419.210000 N N N N/A N/A 000000000 1.000000 NC 2690.040000 0.0000172 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 151200908.000000 JPY 1052659.890000 USD 2025-07-02 2690.040000 N N N N/A N/A 000000000 1.000000 NC -4447.650000 -0.0000285 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1948000.000000 USD 593906.240000 KWD 2026-05-28 -4447.650000 N N N GNMA PASS THRU POOLS N/A 3618N5C23 100001.720000 PA USD 91112.960000 0.000584 Long ABS-MBS USGSE US N 2 2054-12-20 Fixed 3.5 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L3B9 1300000.000000 PA USD 1307182.530000 0.0083784 Long DBT CORP SA N 2 2035-06-02 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -807259.080000 -0.0051742 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 44857143.770000 ILS 12511057.000000 USD 2025-07-18 -807259.080000 N N N UMBS PASS THRU POOLS N/A 01F050676 106000000.000000 PA USD 103894261.240000 0.665915 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -449180.090000 -0.002879 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-15 0.000000 USD 0.000000 USD 28200000.000000 USD -449180.090000 N N N GSR MORTGAGE LOAN TRUST 2005-AR1 N/A 36242DUL5 53386.590000 PA USD 50724.060000 0.0003251 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.92211 N N N N N N N/A N/A 000000000 1.000000 NC 69010.560000 0.0004423 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 9749658.000000 USD 12484437.070000 SGD 2025-07-02 69010.560000 N N N ATLAS SENIOR LOAN FUND LTD 2021-18A N/A 04943EAQ4 1900000.000000 PA USD 1898689.610000 0.0121697 Long ABS-CBDO CORP KY N 2 2035-01-18 Floating 5.37947 N N N N N N N/A N/A 000000000 1.000000 NC 8320911.910000 0.0533332 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-03-12 0.000000 EUR 0.000000 EUR 187300000.000000 EUR 8320911.910000 N N N N/A N/A 000000000 1.000000 NC -3528.230000 -0.0000226 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 39666363.000000 TWD 1362169.070000 USD 2025-07-16 -3528.230000 N N N N/A N/A 000000000 1.000000 NC -1879.330000 -0.000012 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 43256.510000 CHF 52637.670000 USD 2025-07-02 -1879.330000 N N N N/A N/A 000000000 1.000000 NC -35635.040000 -0.0002284 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 835835000.000000 KZT 1540000.000000 USD 2025-09-11 -35635.040000 N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 2294000.000000 PA USD 2281243.850000 0.0146217 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2KL3P4 6513000000.000000 PA 40092454.980000 0.256974 Long DBT NUSS JP N 2 2043-09-20 Fixed 1.5 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAB9 3165934.090000 PA USD 2703796.680000 0.0173301 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.99933 N N N N N N N/A N/A 000000000 1.000000 NC 2667.550000 0.0000171 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 117462.310000 USD 433155.310000 PLN 2025-07-18 2667.550000 N N N N/A N/A 000000000 1.000000 NC -1348414.540000 -0.0086427 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 364520670.000000 TWD 11201889.000000 USD 2025-07-16 -1348414.540000 N N N FHLMC PASS THRU POOLS N/A 3132DWJ53 64835063.340000 PA USD 66006096.100000 0.423069 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AJ5 570575.900000 PA USD 160328.920000 0.0010276 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -38471.380000 -0.0002466 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 87796500.000000 TRY 1870000.000000 USD 2025-12-17 -38471.380000 N N N N/A N/A 000000000 1.000000 NC 2443.450000 0.0000157 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3212742.000000 USD 32407140.270000 NOK 2025-07-02 2443.450000 N N N FNMA PASS THRU POOLS N/A 3140FXQR6 9019537.850000 PA USD 7778421.300000 0.0498561 Long ABS-MBS USGSE US N 2 2060-03-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 359419.730000 0.0023037 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 40053031.750000 USD 32065259.630000 CHF 2025-07-02 359419.730000 N N N N/A N/A 000000000 1.000000 NC -12095805.630000 -0.0775286 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1105042934.810000 CAD 799391570.770000 USD 2025-07-02 -12095805.630000 N N N BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1A N/A ACI2X1P88 13200000.000000 PA 18198755.450000 0.116646 Long ABS-MBS CORP GB N 2 2067-05-17 Floating 5.06542 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 1008544.110000 PA USD 981566.160000 0.0062914 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.59368 N N N N N N MAGNETITE XII LTD 2015-12A N/A 55953HBD4 2840904.460000 PA USD 2842336.470000 0.0182181 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.4061 N N N N N N N/A N/A 000000000 1.000000 NC -386062.680000 -0.0024745 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 314885261.240000 ZAR 17372309.000000 USD 2025-07-23 -386062.680000 N N N OBX 2023-NQM3 TRUST N/A 67117PAA1 6272869.530000 PA USD 6284069.110000 0.040278 Long ABS-MBS CORP US N 2 2063-02-25 Fixed 5.94871 N N N N N N N/A N/A 000000000 1.000000 NC 27702.720000 0.0001776 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2384593.000000 USD 99624718.650000 TRY 2025-08-14 27702.720000 N N N SPAIN GOVT 9598007A56S18711AH60 ACI2T2CQ5 85750000.000000 PA 101705221.970000 0.651884 Long DBT NUSS ES N 2 2028-05-31 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -2416314.140000 -0.0154875 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2035-06-20 0.000000 USD -370113.470000 USD 317200000.000000 USD -2046200.670000 N N N FHLMC PASS THRU POOLS N/A 3142GSKL1 108594.210000 PA USD 110505.600000 0.0007083 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAE2 10853003.250000 PA USD 3543501.220000 0.0227122 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.73368 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AF5 7680000.000000 PA USD 7563168.230000 0.0484764 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 2800000.000000 PA USD 336000.000000 0.0021536 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 35494.100000 0.0002275 N/A DFE PE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6148722.590000 USD 21908206.030000 PEN 2025-07-03 35494.100000 N N N MF1 2022-FL9 LLC N/A 55285AAA5 13399621.690000 PA USD 13408909.910000 0.085945 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 6.46758 N N N N N N N/A N/A 000000000 1.000000 NC USD -302275.880000 -0.0019375 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-03-20 0.000000 USD -2895379.710000 USD 25300000.000000 USD 2593103.830000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418BAK4 13700000.000000 PA USD 13824811.800000 0.0886107 Long DBT CORP CA N 2 2028-03-20 Fixed 4.299 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 8460690.550000 PA 9946627.410000 0.0637533 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 2.929 N N N N N N FHLMC PASS THRU POOLS N/A 31288LFQ9 113368.200000 PA USD 115142.210000 0.000738 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 584.140000 0.0000037 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8371363.000000 USD 59989187.260000 CNY 2025-07-02 584.140000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 300000.000000 PA USD 303071.880000 0.0019426 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002AUE2 4450000.000000 PA USD 4442028.720000 0.0284714 Long DBT CORP NL N 2 2025-07-14 None 0 N N N N N N RMAC SECURITIES PLC 2006-NS4X N/A 991ZHMII0 2457355.960000 PA 3295758.440000 0.0211243 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.51001 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 226335.520000 PA USD 219999.890000 0.0014101 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.81368 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAC9 6482255.800000 PA USD 3363914.140000 0.0215612 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.66368 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087ZH0 12721680.000000 PA 9188274.230000 0.0588926 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 50683.360000 0.0003249 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -14416000000.000000 JPY 97012113.060000 USD 2026-12-17 18052.300000 N N N N/A N/A 000000000 1.000000 NC -350978.390000 -0.0022496 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 41960551.400000 ILS 12106508.000000 USD 2025-07-02 -350978.390000 N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 354844.240000 PA USD 305774.390000 0.0019599 Long ABS-MBS CORP US N 2 2037-09-19 Floating 4.81206 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 2014990.730000 PA USD 1800618.080000 0.0115411 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.44893 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BN6TYWII4 1390000000.000000 PA 7115973.750000 0.0456101 Long DBT NUSS JP N 2 2053-03-20 Fixed 1.4 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 10866811.890000 PA 12802874.780000 0.0820606 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 2.979 N N N N N N FHLMC PASS THRU POOLS N/A 31425VAU7 1114295.020000 PA USD 1153803.700000 0.0073954 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3142GST73 10903453.750000 PA USD 11272723.090000 0.072253 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 15916231.200000 0.102016 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-19 28454083.010000 USD 0.000000 USD 420790000.000000 USD -12537851.810000 N N N SPAIN GOVT 9598007A56S18711AH60 ACI2GLWB8 178500000.000000 PA 218893433.160000 1.40301 Long DBT NUSS ES N 2 2033-10-31 Fixed 3.55 N N N N N N N/A N/A 000000000 1.000000 NC 39116.920000 0.0002507 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8622504.250000 EUR 6310146.930000 GBP 2025-07-02 39116.920000 N N N N/A N/A 000000000 32444000.000000 NC USD 169065.680000 0.0010836 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-11-28 N/A 10.200000 USD 2025-11-26 XXXX -33384.880000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 7237734.470000 PA USD 3843819.640000 0.0246371 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.69368 N N N N N N N/A N/A 000000000 1.000000 NC 7399369.980000 0.0474266 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 1077665.620000 AUD 0.000000 AUD 305200000.000000 AUD 6321704.360000 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 12665JUE7 8200000.000000 PA USD 8184333.900000 0.0524578 Long DBT CORP US N 2 2025-07-14 None 0 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAE0 16476581.920000 PA USD 4094512.990000 0.026244 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.675 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AV0 4500000.000000 PA USD 4676615.460000 0.029975 Long DBT CORP CH N 2 2028-08-11 Floating 6.442 N N N N N N N/A N/A 000000000 1.000000 NC 900366.100000 0.0057709 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-01-10 253085.570000 EUR 0.000000 EUR 218600000.000000 EUR 647280.530000 N N N AMRIZE FINANCE US LLC 529900FB2F1WKLFNGY62 43475FUG5 500000.000000 PA USD 498976.400000 0.0031982 Long DBT CORP US N 2 2025-07-16 None 0 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MVK9 1150000.000000 PA USD 1142660.820000 0.0073239 Long DBT CORP US N 2 2025-08-19 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1835.690000 -0.0000118 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1719068.000000 USD 524745.510000 KWD 2026-06-15 -1835.690000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 ACI2S28H1 3500000000.000000 PA 2093855.650000 0.0134207 Long DBT NUSS NG N 2 2025-11-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514Y8B6 15000000.000000 PA USD 15273712.200000 0.0978975 Long DBT NUSS IL N 2 2035-02-19 Fixed 5.625 N N N N N N N/A N/A 000000000 15897000.000000 NC 113329.030000 0.0007264 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2026-03-13 N/A 24.650000 EUR 2026-03-11 XXXX 4479.830000 N N N N/A N/A 000000000 1.000000 NC -325619.360000 -0.0020871 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR -39848.090000 EUR 257800000.000000 EUR -285771.270000 N N N N/A N/A 000000000 1.000000 NC 70340.300000 0.0004508 N/A DFE RO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10688461.300000 EUR 46407161.290000 RON 2025-07-11 70340.300000 N N N N/A N/A 000000000 -8785125.000000 PA USD -8987646.530000 -0.0576067 Short RA US N 2 Reverse repurchase N 4.300000 2026-12-20 9000000.000000 USD 9233266.140000 USD CDS N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 2262892.220000 PA USD 2214342.090000 0.0141929 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.66368 N N N N N N N/A N/A 000000000 1.000000 NC -933316.470000 -0.0059821 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26860000.000000 EUR 30706437.950000 USD 2025-07-02 -933316.470000 N N N N/A N/A 000000000 1.000000 NC -865399.400000 -0.0055468 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 71620114768.000000 KRW 52109716.000000 USD 2025-07-16 -865399.400000 N N N N/A N/A 000000000 1.000000 NC 15464199.860000 0.0991184 N/A DFE N/A N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 2560829056.760000 USD 2187097786.930000 EUR 2025-07-02 15464199.860000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 7.910000 PA 0.980000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1SQBN3 3700000.000000 PA 4090307.170000 0.026217 Long DBT CORP DE N 2 2030-11-19 Floating 1.75 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI02EIC7 96750000.000000 PA 115721812.820000 0.741724 Long DBT NUSS FR N 2 2027-10-25 Fixed 2.75 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI26WF16 1760000000.000000 PA 8879380.580000 0.0569128 Long DBT NUSS JP N 2 2052-06-20 Fixed 1.3 N N N N N N FNMA PASS THRU POOLS N/A 31418FAX5 1910882.560000 PA USD 1943766.460000 0.0124587 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 146851.650000 PA USD 143967.160000 0.0009228 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.85368 N N N N N N EUROSAIL PLC 2007-3X N/A B23DWGII5 144667.800000 PA 198532.950000 0.0012725 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 5.28988 N N N N N N N/A N/A 000000000 1.000000 NC 6363051.200000 0.0407842 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2025-12-18 0.000000 CAD -2644169.660000 CAD 1291800000.000000 CAD 9007220.860000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX2R4 6230000.000000 PA 7363216.960000 0.0471949 Long DBT NUSS PL N 2 2043-02-14 Fixed 4.25 N N N N N N EXPORT DEVELOPMENT CANADA (EDC) Z6MHCSLXHKYG4B6PHW02 ACI2TC0K9 6200000.000000 PA 8660466.870000 0.0555096 Long DBT CORP CA N 2 2030-01-28 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -75508.500000 -0.000484 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 130627967.730000 THB 3946822.000000 USD 2025-07-16 -75508.500000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KJ6 757470.680000 PA USD 681576.130000 0.0043686 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.91368 N N N N N N N/A N/A 000000000 1.000000 NC 9600.140000 0.0000615 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 542898.570000 USD 17896000.000000 THB 2025-08-20 9600.140000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HL4 600000.000000 PA USD 453473.260000 0.0029066 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC 617727.480000 0.0039594 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2190000000.000000 JPY 16133785.180000 USD 2026-01-05 617727.480000 N N N N/A N/A 000000000 1.000000 NC 7183.280000 0.000046 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3009372.000000 USD 21574187.870000 CNY 2025-07-07 7183.280000 N N N N/A N/A 000000000 1.000000 NC -38699066.710000 -0.248043 N/A DFE N/A N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 927398035.280000 EUR 1053730050.440000 USD 2025-07-02 -38699066.710000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 11313983.190000 PA USD 10870107.340000 0.0696724 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 306415.020000 0.001964 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-14 0.000000 CHF -1008805.750000 CHF 33300000.000000 CHF 1315220.770000 N N N FNMA PASS THRU POOLS N/A 3140AE2W8 7154695.530000 PA USD 7364855.910000 0.0472054 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQDII7 2883116.750000 PA 3341633.560000 0.0214183 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 2.575 N N N N N N N/A N/A 000000000 1.000000 NC 49800.790000 0.0003192 N/A DFE N/A N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 3153047.020000 USD 2719000.000000 EUR 2025-07-02 49800.790000 N N N BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM) VBHFXSYT7OG62HNT8T76 06675FBA4 24800000.000000 PA USD 25181474.840000 0.161402 Long DBT CORP FR N 2 2026-07-13 Fixed 5.896 N N N N N N FHLMC PASS THRU POOLS N/A 3133WGYS8 234913.510000 PA USD 243266.140000 0.0015592 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2TMX47 4900000.000000 PA 5830312.680000 0.0373696 Long DBT NUSS RO N 2 2034-09-10 Fixed 6.25 N N N N N N GCAT TRUST 2022-INV2 N/A 36168FAE8 14287127.300000 PA USD 12144142.500000 0.0778384 Long ABS-MBS CORP US N 2 2052-04-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 126652.210000 0.0008118 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 11600000.000000 USD 126652.210000 N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QBL4 15400000.000000 PA USD 15434611.810000 0.0989288 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 5.71238 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEQ5 15000000.000000 PA USD 15054150.600000 0.0964902 Long DBT CORP US N 2 2030-10-22 Floating 4.603 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 32310344.000000 PA 4143784.080000 0.0265598 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 577438.230000 0.0037011 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 19706863.410000 USD 383722190.890000 MXN 2025-09-17 577438.230000 N N N N/A N/A 000000000 -54700000.000000 NC USD -101036.370000 -0.0006476 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90500 07/28/25-10Y LCH 2035-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2025-07-24 XXXX 72636.130000 N N N N/A N/A 000000000 1.000000 NC USD 874547.700000 0.0056055 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-03-04 0.000000 USD 0.000000 USD 32600000.000000 USD 874547.700000 N N N N/A N/A 000000000 1.000000 NC 593.060000 0.0000038 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1156000.000000 USD 353429.660000 KWD 2026-05-21 593.060000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAZ8 3900000.000000 PA USD 4046721.320000 0.0259376 Long DBT CORP FR N 2 2031-01-14 Floating 5.876 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F6Y9 97203.040000 PA USD 89668.020000 0.0005747 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.68824 N N N N N N N/A N/A 000000000 1.000000 NC -15616.480000 -0.0001001 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1925674.000000 USD 584114.690000 KWD 2027-06-10 -15616.480000 N N N N/A N/A 000000000 1.000000 NC -561192.470000 -0.003597 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 63702928.040000 PEN 17374789.450000 USD 2025-10-01 -561192.470000 N N N GNMA PASS THRU POOLS N/A 36179XNC6 215514.510000 PA USD 196840.730000 0.0012617 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3.5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBG3 35500000.000000 PA USD 35601190.270000 0.228187 Long DBT NUSS SA N 2 2034-01-16 Fixed 5 N N N N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6J4 41632.580000 PA USD 38235.490000 0.0002451 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.44227 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122EH7 14300000.000000 PA USD 14651111.760000 0.0939069 Long DBT CORP US N 2 2034-02-22 Fixed 5.2 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 14835000.000000 PA 17214279.520000 0.110336 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 -464400000.000000 PA USD -367883213.940000 -2.35796 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 2 N N N N N N FORT CRE 2022-FL3 N/A 34706CAA7 243221.340000 PA USD 239520.580000 0.0015352 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 6.15217 N N N N N N GNMA PASS THRU POOLS N/A 36225CDP8 2414.030000 PA USD 2425.500000 0.0000155 Long ABS-MBS USGSE US N 2 2027-08-20 Floating 5 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAE8 4019000.000000 PA USD 5275545.210000 0.0338138 Long ABS-O CORP US N 3 2034-03-27 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC 221541.470000 0.00142 N/A DFE CN N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 17592513.090000 USD 127038000.000000 CNY 2025-08-20 221541.470000 N N N N/A N/A 000000000 23908000.000000 NC 99666.890000 0.0006388 N/A DFE KY N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-10-01 N/A 395.000000 EUR 2025-09-29 XXXX -20961.000000 N N N LCM 36 LTD N/A 50190LAL2 2000000.000000 PA USD 1993309.380000 0.0127762 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 5.3261 N N N N N N N/A N/A 000000000 1.000000 NC -1760262.900000 -0.0112825 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2027-03-16 0.000000 AUD -3953451.420000 AUD 77200000.000000 AUD 2193188.520000 N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 48836.920000 PA USD 42755.930000 0.000274 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.06831 N N N N N N N/A N/A 000000000 1.000000 NC -83526.220000 -0.0005354 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 13704819528.000000 KRW 10053491.830000 USD 2025-07-16 -83526.220000 N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VBP3 4300000.000000 PA USD 4366565.760000 0.0279877 Long DBT CORP JP N 2 2027-03-07 Fixed 5.2 N N N N N N N/A N/A 000000000 1.000000 NC -8535742.460000 -0.0547102 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 508200000.000000 DKK 72771314.070000 USD 2026-01-02 -8535742.460000 N N N N/A N/A 000000000 1.000000 NC 65.200000 0.0000004 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12217.260000 USD 87625.850000 CNY 2025-08-08 65.200000 N N N N/A N/A 000000000 1.000000 NC -167003.590000 -0.0010704 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9686457.000000 EUR 11249923.470000 RON 2025-07-11 -167003.590000 N N N BANK OF INDUSTRY LIMITED 5493006N5JD4B34R6G14 BA000BY62 12100000.000000 PA 14158176.740000 0.0907474 Long LON MUN NG N 2 2027-08-23 Floating 3.695 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 68333ZAY3 238700000.000000 PA 176269130.280000 1.1298 Long DBT NUSS CA N 2 2033-06-02 Fixed 3.65 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 61440.100000 PA USD 59088.350000 0.0003787 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.29344 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 6000000.000000 PA 5088958.830000 0.0326179 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 10933.240000 PA USD 10787.330000 0.0000691 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.99368 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 7002.210000 PA USD 7057.390000 0.0000452 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 231192.290000 0.0014818 N/A DFE EG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2570000.000000 USD 141735500.000000 EGP 2025-08-25 231192.290000 N N N N/A N/A 000000000 1.000000 NC 536.170000 0.0000034 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 577215.000000 USD 176546.980000 KWD 2026-06-17 536.170000 N N N N/A N/A 000000000 1.000000 NC -1335123.800000 -0.0085575 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 364091338.000000 TWD 11200398.000000 USD 2025-07-16 -1335123.800000 N N N N/A N/A 000000000 1.000000 NC USD -210034.070000 -0.0013462 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 17000000.000000 USD -210034.070000 N N N N/A N/A 000000000 1.000000 NC -669152.460000 -0.004289 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 7167000.000000 EUR 7864408.320000 CZK 2025-12-18 -669152.460000 N N N N/A N/A 000000000 1.000000 NC 27925.730000 0.000179 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3109951.440000 USD 2286000.000000 GBP 2025-07-02 27925.730000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A 36263KAB7 5429040.740000 PA USD 4431157.540000 0.0284017 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CW8 14000000.000000 PA USD 14455683.340000 0.0926543 Long DBT CORP GB N 2 2028-02-08 Floating 6.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -3725399.320000 -0.0238781 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A US SOFR COMPOUNDED INDEX Y 2025-09-22 1540334.890000 USD 0.000000 USD 149400000.000000 USD -5265734.210000 N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 355084.780000 PA USD 320704.020000 0.0020556 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.70471 N N N N N N FNMA PASS THRU POOLS N/A 3140QSXT3 3380675.830000 PA USD 3387077.410000 0.0217096 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 195924.630000 0.0012558 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 19800000.000000 USD 195924.630000 N N N N/A N/A 000000000 1.000000 NC 373917.510000 0.0023966 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13372287.000000 USD 74684503.710000 BRL 2025-07-02 373917.510000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JN8 100000.000000 PA USD 80700.100000 0.0005173 Long DBT CORP US N 2 2050-07-01 Fixed 4.95 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 920000.000000 PA USD 572700.000000 0.0036707 Long DBT NUSS AR N 2 2041-07-09 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -9991901.320000 -0.0640435 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 605580000.000000 DKK 86895007.960000 USD 2026-01-02 -9991901.320000 N N N N/A N/A 000000000 1.000000 NC -137640.070000 -0.0008822 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 286519539.880000 CNY 40039903.000000 USD 2025-08-20 -137640.070000 N N N FNMA PASS THRU POOLS N/A 31418CYL2 2097089.600000 PA USD 1920237.920000 0.0123078 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -22100000.000000 NC USD -90654.200000 -0.0005811 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.58300 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.580000 USD 2025-07-23 XXXX -13304.200000 N N N FNMA PASS THRU POOLS N/A 31418EYP9 59177467.970000 PA USD 61163125.300000 0.392028 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133WGTC9 31654.840000 PA USD 32783.520000 0.0002101 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -188342.200000 -0.0012072 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -34220.000000 USD 11800000.000000 USD -154122.200000 N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 38691.340000 PA USD 37407.110000 0.0002398 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.59869 N N N N N N N/A N/A 000000000 1.000000 NC -2911054.130000 -0.0186585 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 217352594.800000 SGD 168460348.000000 USD 2025-08-05 -2911054.130000 N N N OCEAN TRAILS CLO 8 2020-8A N/A 67514UAU5 11700000.000000 PA USD 11713579.490000 0.0750787 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.5461 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYR92 2159983.880000 PA USD 2074939.720000 0.0132994 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 3.5 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 784838.770000 PA USD 282512.050000 0.0018108 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 N N N N N N GNMA PASS THRU POOLS N/A 21H022689 68878000.000000 PA USD 58529209.990000 0.375146 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -343.620000 -0.0000022 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 976348.120000 TRY 24156.270000 USD 2025-07-03 -343.620000 N N N UMBS PASS THRU POOLS N/A 01F032682 -115100000.000000 PA USD -103609143.430000 -0.664087 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417BK55 273.130000 PA USD 270.400000 0.0000017 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -86808.660000 -0.0005564 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3089640.000000 USD 1639517466.000000 KZT 2025-12-15 -86808.660000 N N N N/A N/A 000000000 1.000000 NC -7065.040000 -0.0000453 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11513870.000000 USD 988390899.350000 INR 2025-08-20 -7065.040000 N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QS3 N/A 75116BAC2 5508805.610000 PA USD 4569131.730000 0.029286 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.25 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 518446.750000 PA USD 475100.510000 0.0030452 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 5.59869 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2T82B6 15958000000.000000 PA 104932396.650000 0.672569 Long DBT NUSS JP N 2 2044-12-20 Fixed 2 N N N N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WT6 1966.200000 PA USD 1907.810000 0.0000122 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.99573 N N N N N N N/A N/A 000000000 1.000000 NC 259833.750000 0.0016654 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10060667.000000 USD 56072312.610000 BRL 2025-07-02 259833.750000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 1780000.000000 PA 2410087.330000 0.0154476 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.36986 N N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 2826731.890000 PA 3335459.520000 0.0213788 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 2.886 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB37 10400000.000000 PA USD 10494944.720000 0.0672678 Long DBT CORP US N 2 2035-07-23 Floating 5.33 N N N N N N N/A N/A 000000000 1.000000 NC 112283.880000 0.0007197 N/A DFE IN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 16450405.000000 USD 1422672150.410000 INR 2025-08-20 112283.880000 N N N N/A N/A 000000000 1.000000 NC USD -710959.780000 -0.0045569 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-15 0.000000 USD 0.000000 USD 47100000.000000 USD -710959.780000 N N N FHLMC PASS THRU POOLS N/A 3142GU4F7 2486321.000000 PA USD 2575288.950000 0.0165064 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 90897261.000000 PA USD 89221195.500000 0.571867 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N FNMA PASS THRU POOLS N/A 31387UEQ0 1825.600000 PA USD 1842.910000 0.0000118 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 6.633 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 10483000000.000000 PA 46418422.620000 0.297521 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAE4 19167000.000000 PA USD 17790680.980000 0.11403 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.87368 N N N N N N N/A N/A 000000000 1.000000 NC USD -547718.630000 -0.0035106 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -81081.000000 USD 27600000.000000 USD -466637.630000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 1054500000.000000 PA 55619942.390000 0.356498 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 14389404.260000 0.0922295 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-19 30653938.800000 USD 0.000000 USD 659530000.000000 USD -16264534.540000 N N N N/A N/A 000000000 1.000000 NC 1610.290000 0.0000103 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 98720.000000 USD 433119.190000 RON 2025-07-23 1610.290000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI25TX22 95650000.000000 PA 108709467.900000 0.696778 Long DBT NUSS FR N 2 2028-02-25 Fixed 0.75 N N N N N N N/A N/A 000000000 1.000000 NC 15316.550000 0.0000982 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1388636.200000 USD 1911832.660000 CAD 2025-07-02 15316.550000 N N N MARVELL TECHNOLOGY INC N/A 573874AC8 6400000.000000 PA USD 6255932.670000 0.0400977 Long DBT CORP US N 2 2026-04-15 Fixed 1.65 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KU0 2300000.000000 PA USD 2280612.680000 0.0146177 Long DBT CORP US N 2 2035-03-01 Fixed 5.7 N N N N N N ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC 254900G082ZFKTCR2Q75 00402D2C8 47100000.000000 PA USD 46467781.410000 0.297837 Long DBT CORP AE N 2 2031-10-02 Fixed 4.375 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEJ1 6700000.000000 PA USD 6823837.370000 0.0437377 Long DBT CORP US N 2 2030-07-22 Floating 4.995 N N N N N N N/A N/A 000000000 1.000000 NC 88395.420000 0.0005666 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3807931.970000 USD 113167930.000000 TWD 2025-07-16 88395.420000 N N N N/A N/A 000000000 1.000000 NC USD -4315953.280000 -0.0276633 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -1453017.660000 USD 290400000.000000 USD -2862935.620000 N N N N/A N/A 000000000 1.000000 NC 52404.660000 0.0003359 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 8734558.320000 USD 142502572079.000000 IDR 2025-07-16 52404.660000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KC0 2500000.000000 PA USD 2346708.150000 0.0150413 Long DBT CORP US N 2 2032-03-01 Fixed 4.4 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 43456841.550000 PA 5580246.110000 0.0357668 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAD9 544967.110000 PA USD 323213.890000 0.0020717 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.73368 N N N N N N MASTR ASSET BACKED SEC TR 2006-WMC3 N/A 55291KAC1 6072323.980000 PA USD 2055717.270000 0.0131762 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.63368 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 54333.620000 PA USD 54078.100000 0.0003466 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.05368 N N N N N N N/A N/A 000000000 1.000000 NC -511.170000 -0.0000033 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 766301.960000 THB 23085.000000 USD 2025-07-16 -511.170000 N N N FNMA PASS THRU POOLS N/A 3140XQXQ5 2323471.190000 PA USD 2401433.590000 0.0153921 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 136200.780000 0.000873 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8575210.970000 USD 62124000.000000 CNY 2025-08-20 136200.780000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 ACI2T8KF7 10500000.000000 PA 12478245.900000 0.0799798 Long DBT CORP US N 2 2033-01-23 Floating 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -2502567.840000 -0.0160403 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 134300000.000000 DKK 19103976.560000 USD 2026-04-01 -2502567.840000 N N N ASSET BACKED SEC CORP HOME EQ 2003-HE2 N/A 04541GDS8 243565.180000 PA USD 243299.820000 0.0015594 Long ABS-MBS CORP US N 2 2033-04-15 Floating 5.77624 N N N N N N CANADIAN NATURAL RESOURCES LIMITED 549300T15RIMIKZC5Q38 13638WV66 11400000.000000 PA USD 11344322.400000 0.0727119 Long DBT CORP CA N 2 2025-08-06 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 31426G6S9 12954223.360000 PA USD 13386868.900000 0.0858037 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -7766547.030000 -0.04978 N/A DFE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -99528300000.000000 JPY 628742083.740000 USD 2026-10-15 290477.260000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAF2 9700000.000000 PA USD 9956819.630000 0.0638187 Long DBT NUSS KY N 2 2028-10-25 Fixed 5.268 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 1344972.780000 PA USD 1298745.020000 0.0083244 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179W2V9 70968095.080000 PA USD 62840061.670000 0.402776 Long ABS-MBS USGSE US N 2 2052-04-20 Fixed 3 N N N N N N 2025-08-19 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX