NPORT-P false 0000810893 XXXXXXXX S000077182 C000237352 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (866) 746-2606 PIMCO All Authority: Multi-RAE PLUS Fund S000077182 549300DLC8MKXQ8KIH64 2026-03-31 2025-06-30 N 449089863.060000 260653438.930000 188436424.130000 0.000000 0.000000 8644221.600000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6856045.760000 JPY PEN EGP MXN USD CLP BRL PLN COP ZAR AUD GBP EUR CZK TRY N 33.33% S&P 500 Index, 33.33% MSCI Emerging Markets Index, 33.33% MSCI EAFE Net Total Return Index M2EF, NDDUEAFE, SPTR N/A N/A 000000000 1.000000 NC USD -32921.280000 -0.0174708 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 8676.020000 USD 0.000000 USD 3000000.000000 USD -41597.300000 N N N FHLMC PASS THRU POOLS N/A 3132A94D6 2.490000 PA USD 2.490000 0.0000013 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 2546.410000 0.0013513 N/A DFE DK N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 535384.000000 USD 3407116.750000 DKK 2025-07-02 2546.410000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 113050.230000 PA USD 58269.680000 0.0309227 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.30037 N N N N N N FNMA PASS THRU POOLS N/A 31371M6G7 790.040000 PA USD 816.170000 0.0004331 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -13111.600000 -0.0069581 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-04-03 0.000000 USD -69327.000000 USD 6400000.000000 USD 56215.400000 N N N AMRIZE FINANCE US LLC 529900FB2F1WKLFNGY62 43475FUG5 930000.000000 PA USD 928096.100000 0.492525 Long DBT CORP US N 2 2025-07-16 None 0 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 400000.000000 PA USD 404221.260000 0.214513 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC USD 216181.840000 0.114724 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2025-09-03 0.000000 USD 0.000000 USD 11049481.900000 USD 216181.840000 N N N N/A N/A 000000000 1.000000 NC USD -5045.830000 -0.0026777 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -588.750000 USD 300000.000000 USD -4457.080000 N N N N/A N/A 000000000 1.000000 NC 160.470000 0.0000852 N/A DFE TR N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 13586.770000 USD 567179.710000 TRY 2025-08-13 160.470000 N N N N/A N/A 000000000 1.000000 NC -1930.830000 -0.0010247 N/A DFE AU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 162000.000000 AUD 104689.500000 USD 2025-07-02 -1930.830000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAC3 500000.000000 PA USD 502591.450000 0.266717 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.63 N N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 69739.170000 PA USD 58099.740000 0.0308325 Long ABS-MBS CORP US N 2 2035-10-25 Variable 5.32647 N N N N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 534773.420000 PA 630720.270000 0.334713 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 3.391 N N N N N N N/A N/A 000000000 1.000000 NC -3581.510000 -0.0019006 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 300000.000000 BRL 50377.270000 USD 2025-10-02 -3581.510000 N N N N/A N/A 000000000 1.000000 NC -749.250000 -0.0003976 N/A DFE TW N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3099448.000000 TWD 107000.000000 USD 2025-08-20 -749.250000 N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 13787.500000 PA USD 13213.210000 0.007012 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.10717 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JQ1 100000.000000 PA USD 83411.780000 0.0442652 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 -15623.600000 -0.0082912 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3642376.000000 TWD 111000.000000 USD 2025-08-20 -15623.600000 N N N N/A N/A 000000000 1.000000 NC 79.310000 0.0000421 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2810.000000 USD 10236.830000 PEN 2025-07-07 79.310000 N N N N/A N/A 000000000 1.000000 NC -13033.840000 -0.0069168 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1868240.180000 SGD 1456286.000000 USD 2025-07-02 -13033.840000 N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 219608.040000 PA USD 215289.540000 0.114251 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.09368 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A N/A 63939XAD3 471080.650000 PA USD 466242.460000 0.247427 Long ABS-O CORP US N 2 2058-12-16 Fixed 3.91 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 170.080000 PA USD 162.940000 0.0000865 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.59869 N N N N N N DIAMETER CAPITAL CLO 2024-6A N/A 25255UAA0 1000000.000000 PA USD 1003119.850000 0.532339 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 5.8661 N N N N N N N/A N/A 000000000 1.000000 NC 2876.270000 0.0015264 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 213925.000000 USD 18622406.570000 INR 2025-08-20 2876.270000 N N N N/A N/A 000000000 1.000000 NC 2910.430000 0.0015445 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 202186.000000 USD 260780.110000 SGD 2025-07-02 2910.430000 N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3 N/A 161927AC2 617272.280000 PA USD 553492.440000 0.293729 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 28094.490000 0.0149093 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1711135.010000 USD 9596045.140000 BRL 2025-09-03 28094.490000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAC6 500000.000000 PA USD 503566.600000 0.267234 Long ABS-O CORP US N 2 2028-07-10 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC 33.410000 0.0000177 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 19106.050000 USD 310394213.000000 IDR 2025-07-16 33.410000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 100000.000000 PA USD 100590.380000 0.0533816 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 556.190000 PA USD 542.240000 0.0002878 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 -118.730000 -0.000063 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11617.350000 SGD 9018.000000 USD 2025-07-02 -118.730000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412BVN0 940000.000000 PA USD 933210.470000 0.495239 Long DBT CORP US N 2 2025-08-22 None 0 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DW6 400000.000000 PA USD 405111.930000 0.214986 Long DBT CORP US N 2 2035-07-26 Floating 5.284 N N N N N N N/A N/A 000000000 1.000000 NC 46.050000 0.0000244 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 18298.000000 USD 23324.460000 SGD 2025-07-02 46.050000 N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4 N/A 59023EAE8 370755.610000 PA USD 78455.260000 0.0416349 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.93368 N N N N N N N/A N/A 000000000 1.000000 NC -2435.390000 -0.0012924 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1608689.360000 CNY 222542.000000 USD 2025-07-16 -2435.390000 N N N N/A N/A 000000000 1.000000 NC 8173.480000 0.0043375 N/A DFE CH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 270356.990000 USD 221000.000000 CHF 2025-07-02 8173.480000 N N N MASTER CREDIT CARD TRUST II 2023-2A N/A 576339DJ1 1400000.000000 PA USD 1399437.620000 0.742658 Long ABS-MBS CORP CA N 2 2027-01-21 Floating 5.15319 N N N N N N N/A N/A 000000000 1.000000 NC -1516.760000 -0.0008049 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 84000.000000 EUR 97431.090000 USD 2025-07-02 -1516.760000 N N N N/A N/A 000000000 1.000000 NC -20373.280000 -0.0108118 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 8300000.000000 MXN -20373.280000 N N N N/A N/A 000000000 1.000000 NC -257.820000 -0.0001368 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 510000.000000 CNY 71257.540000 USD 2025-08-20 -257.820000 N N N N/A N/A 000000000 1.000000 NC -9877.440000 -0.0052418 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1013995910.000000 KRW 740143.000000 USD 2025-07-16 -9877.440000 N N N N/A N/A 000000000 1.000000 NC -51838.070000 -0.0275096 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12143563.000000 TWD 370320.900000 USD 2025-08-20 -51838.070000 N N N ARES STRATEGIC INCOME FUND 549300IANZJVZPTICV54 04020EAL1 500000.000000 PA USD 500356.700000 0.265531 Long DBT CORP US N 2 2028-09-09 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -27683.210000 -0.014691 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6590097.000000 TWD 201415.000000 USD 2025-08-20 -27683.210000 N N N N/A N/A 000000000 1.000000 NC -471.930000 -0.0002504 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1625282.760000 TRY 39624.420000 USD 2025-07-24 -471.930000 N N N N/A N/A 000000000 1.000000 NC 3587.380000 0.0019038 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1497392.000000 USD 216148535.000000 JPY 2025-07-02 3587.380000 N N N N/A N/A 000000000 -20400000.000000 NC USD -11999.280000 -0.0063678 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.83000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 2.830000 USD 2025-10-30 XXXX 24429.290000 N N N FREDDIE MAC 3368 N/A 31397KL82 34998.520000 PA USD 35012.610000 0.0185806 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 5.13833 N N N N N N N/A N/A 000000000 1.000000 NC 90.200000 0.0000479 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 222694.000000 USD 19136318.110000 INR 2025-08-20 90.200000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 97365.240000 PA USD 97497.560000 0.0517403 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 423.920000 PA USD 371.110000 0.0001969 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.4289 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797QU4 2555000.000000 PA USD 2531828.990000 1.3436 Long DBT UST US N 2 2025-09-16 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -59.670000 -0.0000317 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 275095.730000 TRY 6700.190000 USD 2025-07-29 -59.670000 N N N N/A N/A 000000000 1.000000 NC 378.510000 0.0002009 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 93887.000000 USD 8097049.600000 INR 2025-08-20 378.510000 N N N N/A N/A 000000000 1.000000 NC -575.730000 -0.0003055 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 101129.340000 PEN 27961.000000 USD 2025-07-17 -575.730000 N N N N/A N/A 000000000 1.000000 NC -25251.920000 -0.0134008 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6022030.000000 TWD 184098.000000 USD 2025-08-20 -25251.920000 N N N N/A N/A 000000000 1.000000 NC -22232.410000 -0.0117984 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6471012.000000 TWD 202725.930000 USD 2025-08-20 -22232.410000 N N N MASTR ASSET BACKED SEC TR 2007-HE1 N/A 576457AC9 450947.130000 PA USD 437632.330000 0.232244 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.85368 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MUV6 970000.000000 PA USD 966407.020000 0.512856 Long DBT CORP US N 2 2025-07-29 None 0 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 187888.120000 PA USD 73847.420000 0.0391896 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.91368 N N N N N N N/A N/A 000000000 1.000000 NC 51.650000 0.0000274 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 17182.590000 USD 23302908.000000 KRW 2025-07-08 51.650000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AT6 100000.000000 PA USD 99704.690000 0.0529116 Long DBT CORP US N 2 2034-09-15 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 3134.480000 0.0016634 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -275.000000 USD 100000.000000 USD 3409.480000 N N N N/A N/A 000000000 1.000000 NC -6153.090000 -0.0032653 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5018661.940000 ZAR 276881.000000 USD 2025-07-23 -6153.090000 N N N N/A N/A 000000000 1.000000 NC 19187.150000 0.0101823 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 143000.000000 USD 4665375.000000 TWD 2025-08-20 19187.150000 N N N N/A N/A 000000000 1.000000 NC -9644.530000 -0.0051182 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10396499.850000 ZAR 576679.860000 USD 2025-07-23 -9644.530000 N N N N/A N/A 000000000 1.000000 NC -17495.860000 -0.0092848 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1306320.460000 SGD 1012471.000000 USD 2025-08-05 -17495.860000 N N N N/A N/A 000000000 1.000000 NC -7494.230000 -0.0039771 N/A DFE CZ N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2725136.920000 CZK 122536.000000 USD 2025-08-22 -7494.230000 N N N N/A N/A 000000000 1.000000 NC 3916.960000 0.0020787 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 49600000.000000 JPY 348349.440000 USD 2025-07-02 3916.960000 N N N UMBS PASS THRU POOLS N/A 01F052680 6310000.000000 PA USD 6304366.180000 3.34562 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 337.180000 0.0001789 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-16 0.000000 EUR -373.130000 EUR 100000.000000 EUR 710.310000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAA0 251231.990000 PA USD 230860.520000 0.122514 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.81368 N N N N N N N/A N/A 000000000 1.000000 NC -3353.320000 -0.0017795 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -556.960000 EUR 200000.000000 EUR -2796.360000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 177240.210000 PA USD 161476.640000 0.0856929 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.80368 N N N N N N N/A N/A 000000000 1.000000 NC 3358.380000 0.0017822 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 863173.660000 USD 1180000.000000 CAD 2025-07-02 3358.380000 N N N N/A N/A 000000000 -300000.000000 NC USD -8212.200000 -0.0043581 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 1648.800000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 128623.740000 PA USD 113596.740000 0.0602839 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.97368 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 4170000.000000 PA USD 3877123.720000 2.05752 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2011-35 N/A 31397SVH4 398811.690000 PA USD 385684.320000 0.204676 Long ABS-MBS USGSE US N 2 2041-04-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -3968.940000 -0.0021062 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -588.000000 USD 200000.000000 USD -3380.940000 N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 618832.750000 PA USD 607566.960000 0.322425 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 109086.600000 0.0578904 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2026-04-15 0.000000 USD 0.000000 USD 2041286.800000 USD 109086.600000 N N N N/A N/A 000000000 1.000000 NC 170.650000 0.0000906 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 655055.960000 THB 2025-07-16 170.650000 N N N N/A N/A 000000000 1.000000 NC -623.750000 -0.000331 N/A DFE NZ N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 245779.560000 NZD 149348.930000 USD 2025-08-04 -623.750000 N N N N/A N/A 000000000 1.000000 NC -17149.610000 -0.009101 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2737959.830000 CAD 1993468.950000 USD 2025-07-02 -17149.610000 N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 1842078.820000 PA USD 574908.190000 0.305094 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75368 N N N N N N N/A N/A 000000000 1.000000 NC USD 26789.420000 0.0142167 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1400000.000000 USD 26789.420000 N N N N/A N/A 000000000 1.000000 NC 321045.490000 0.170373 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 20864501.160000 USD 17985088.490000 EUR 2025-07-02 321045.490000 N N N N/A N/A 000000000 1.000000 NC 13118.050000 0.0069615 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 109478.480000 USD 3560788.000000 TWD 2025-07-16 13118.050000 N N N ARES XXXIV CLO LTD 2015-2A N/A 04015GAX7 1000000.000000 PA USD 1003226.950000 0.532396 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 5.59979 N N N N N N N/A N/A 000000000 1.000000 NC -158.220000 -0.000084 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 105666600.000000 KRW 78000.000000 USD 2025-07-16 -158.220000 N N N N/A N/A 000000000 1.000000 NC 92.550000 0.0000491 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4215.000000 USD 15292.020000 PEN 2025-09-17 92.550000 N N N N/A N/A 000000000 1.000000 NC USD 2545.590000 0.0013509 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -780.000000 USD 200000.000000 USD 3325.590000 N N N N/A N/A 000000000 1.000000 NC -2648.940000 -0.0014057 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 107389593.750000 INR 1250000.000000 USD 2025-07-09 -2648.940000 N N N N/A N/A 000000000 1.000000 NC USD 334698.810000 0.177619 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2026-05-20 0.000000 USD 0.000000 USD 7617624.240000 USD 334698.810000 N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 47221.840000 PA USD 48755.530000 0.0258737 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 400000.000000 PA USD 48000.000000 0.0254728 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 300000.000000 PA USD 297500.800000 0.157879 Long DBT CORP US N 2 2028-02-01 Floating 3.782 N N N N N N N/A N/A 000000000 1.000000 NC -9.890000 -0.0000052 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2755143.000000 KRW 2028.000000 USD 2025-07-16 -9.890000 N N N N/A N/A 000000000 1.000000 NC 6680.450000 0.0035452 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 160296.870000 USD 592777.830000 PEN 2025-09-17 6680.450000 N N N N/A N/A 000000000 1.000000 NC 11981.680000 0.0063585 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 483185.000000 USD 14382002.000000 TWD 2025-07-16 11981.680000 N N N N/A N/A 000000000 1.000000 NC -572.670000 -0.0003039 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1581565.530000 TRY 38981.700000 USD 2025-07-07 -572.670000 N N N N/A N/A 000000000 1.000000 NC -85.000000 -0.0000451 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 13636200.000000 KRW 10000.000000 USD 2025-07-14 -85.000000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAB5 444289.620000 PA USD 444971.520000 0.236139 Long ABS-O CORP US N 2 2053-07-15 Floating 5.40319 N N N N N N N/A N/A 000000000 1.000000 NC -2065.150000 -0.0010959 N/A DFE CH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 52000.000000 CHF 63471.430000 USD 2025-07-02 -2065.150000 N N N N/A N/A 000000000 1.000000 NC -166.530000 -0.0000884 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 23339804.000000 KRW 17095.000000 USD 2025-07-08 -166.530000 N N N FREDDIE MAC 3355 N/A 31397KC90 62840.250000 PA USD 62815.460000 0.0333351 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.11833 N N N N N N N/A N/A 000000000 1.000000 NC 59.410000 0.0000315 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16424.000000 USD 267402141.000000 IDR 2025-07-14 59.410000 N N N N/A N/A 000000000 1.000000 NC -22737.570000 -0.0120664 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1603981.370000 PEN 429733.790000 USD 2025-07-31 -22737.570000 N N N N/A N/A 000000000 1.000000 NC 78.040000 0.0000414 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6609.000000 USD 274247.060000 TRY 2025-08-07 78.040000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CML2 406560.000000 PA USD 413441.790000 0.219407 Long DBT UST US N 2 2035-01-15 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC -1347.980000 -0.0007154 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-03 0.000000 EUR -316.100000 EUR 100000.000000 EUR -1031.880000 N N N N/A N/A 000000000 18.000000 NC USD 1438.060000 0.0007632 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-30 1962351.560000 USD 1438.060000 N N N N/A N/A 000000000 1.000000 NC -4369.440000 -0.0023188 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 420355.900000 BRL 73000.000000 USD 2025-07-02 -4369.440000 N N N N/A N/A 000000000 1.000000 NC USD 41223.340000 0.0218765 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2025-09-03 0.000000 USD 0.000000 USD 3833304.500000 USD 41223.340000 N N N N/A N/A 000000000 1.000000 NC USD 1674.240000 0.0008885 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -268.250000 USD 100000.000000 USD 1942.490000 N N N N/A N/A 000000000 1.000000 NC -1856.140000 -0.000985 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK 0.000000 CZK 3500000.000000 CZK -1856.140000 N N N N/A N/A 000000000 1.000000 NC -102.870000 -0.0000546 N/A DFE IL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 12144.040000 ILS 3502.520000 USD 2025-07-02 -102.870000 N N N N/A N/A 000000000 1.000000 NC 780.190000 0.000414 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -349.380000 EUR 100000.000000 EUR 1129.570000 N N N BX COMMERCIAL MORTGAGE TRUST 2022-AHP N/A 05610FAA5 3000000.000000 PA USD 2999268.300000 1.59166 Long ABS-MBS CORP US N 2 2039-01-17 Floating 5.30176 N N N N N N N/A N/A 000000000 1.000000 NC 2467.960000 0.0013097 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-20 144.330000 EUR 0.000000 EUR 100000.000000 EUR 2323.630000 N N N N/A N/A 000000000 1.000000 NC -6104.270000 -0.0032394 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 174000.000000 EUR 198859.140000 USD 2025-07-02 -6104.270000 N N N N/A N/A 000000000 1.000000 NC -6463.020000 -0.0034298 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 500000.000000 BRL 83468.270000 USD 2025-10-02 -6463.020000 N N N N/A N/A 000000000 1.000000 NC 29.390000 0.0000156 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10101.000000 USD 1458827.000000 JPY 2025-07-02 29.390000 N N N N/A N/A 000000000 1.000000 NC 4.330000 0.0000023 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 201.000000 USD 728.930000 PEN 2025-09-17 4.330000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDG1 400000.000000 PA USD 411846.750000 0.21856 Long DBT CORP JP N 2 2035-07-10 Floating 5.594 N N N N N N N/A N/A 000000000 1.000000 NC 4450.970000 0.0023621 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 157228.000000 USD 582969.980000 PLN 2025-07-18 4450.970000 N N N N/A N/A 000000000 1.000000 NC USD 35641.930000 0.0189146 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2025-11-05 0.000000 USD 0.000000 USD 1851289.340000 USD 35641.930000 N N N N/A N/A 000000000 1.000000 NC -1540.240000 -0.0008174 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 16446.020000 USD 2025-10-02 -1540.240000 N N N N/A N/A OP0043Z50 -200000.000000 NC USD -14.340000 -0.0000076 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG44 (V1 ONLY) 5Y SP Single Leg Swap 2030-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2025-07-16 XXXX 260.660000 N N N N/A N/A 000000000 1.000000 NC 11679.890000 0.0061983 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 483778.000000 USD 14390460.000000 TWD 2025-07-16 11679.890000 N N N N/A N/A 000000000 1.000000 NC -521.270000 -0.0002766 N/A DFE AU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 76000.000000 AUD 49498.150000 USD 2025-07-02 -521.270000 N N N N/A N/A 000000000 1.000000 NC -3267.610000 -0.0017341 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1797478.850000 CNY 248786.000000 USD 2025-08-20 -3267.610000 N N N N/A N/A 000000000 1.000000 NC -107.790000 -0.0000572 N/A DFE NO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 27687.350000 USD 277985.420000 NOK 2025-07-02 -107.790000 N N N N/A N/A 000000000 1.000000 NC -5819.490000 -0.0030883 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 66125.540000 USD 2025-10-02 -5819.490000 N N N MFA 2023-NQM1 TRUST N/A 55285PAA2 3676597.590000 PA USD 3669625.290000 1.94741 Long ABS-MBS CORP US N 2 2067-11-25 Fixed 5.75 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 1820.010000 PA USD 1812.870000 0.0009621 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.76965 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2XSL83 100000.000000 PA 29151.160000 0.01547 Long DBT NUSS PE N 2 2035-08-12 Fixed 6.85 N N N N N N N/A N/A 000000000 1.000000 NC USD -1280.740000 -0.0006797 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -172.500000 USD 50000.000000 USD -1108.240000 N N N N/A N/A 000000000 1.000000 NC USD 790640.050000 0.419579 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2025-07-02 0.000000 USD 0.000000 USD 14790530.650000 USD 790640.050000 N N N FNMA PASS THRU POOLS N/A 31407H2U9 441.280000 PA USD 455.840000 0.0002419 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 6.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-A N/A 78450QAA1 514520.030000 PA USD 522426.500000 0.277243 Long ABS-O CORP US N 2 2053-01-15 Fixed 5.38 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 8200000.000000 PA USD 8031978.230000 4.26243 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1071.400000 0.0005686 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 233403.000000 USD 20140461.570000 INR 2025-08-20 1071.400000 N N N UMBS PASS THRU POOLS N/A 01F040677 5810000.000000 PA USD 5403074.510000 2.86732 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 11300000.000000 PA 3299600.000000 1.75104 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 28214.590000 PA USD 27504.040000 0.0145959 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.92784 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 2454.000000 PA USD 2424.290000 0.0012865 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.76965 N N N N N N N/A N/A 000000000 1.000000 NC 52.530000 0.0000279 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 23029.000000 USD 29348.160000 SGD 2025-07-02 52.530000 N N N N/A N/A 000000000 1.000000 NC USD 1247.260000 0.0006619 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 1509.760000 N N N N/A N/A 000000000 1.000000 NC -1949.760000 -0.0010347 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1792487.160000 CNY 248732.000000 USD 2025-07-16 -1949.760000 N N N N/A N/A 000000000 1.000000 NC 961.180000 0.0005101 N/A DFE TW N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 59000.000000 USD 1724806.000000 TWD 2025-08-20 961.180000 N N N N/A N/A 000000000 1.000000 NC -45.490000 -0.0000241 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 23291642.000000 KRW 17182.590000 USD 2025-07-16 -45.490000 N N N FANNIE MAE 2005-79 N/A 31394FHD0 20530.970000 PA USD 20396.130000 0.0108239 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.82965 N N N N N N N/A N/A 000000000 1.000000 NC USD 18649.390000 0.0098969 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 30618.050000 USD 0.000000 USD 7750000.000000 USD -11968.660000 N N N N/A N/A 000000000 1.000000 NC 4086.250000 0.0021685 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 187131.000000 USD 5553861.000000 TWD 2025-07-16 4086.250000 N N N N/A N/A 000000000 1.000000 NC USD 167545.630000 0.0889136 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2025-07-02 0.000000 USD 0.000000 USD 8590151.220000 USD 167545.630000 N N N N/A N/A 000000000 1.000000 NC USD 429302.080000 0.227823 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2025-09-03 0.000000 USD 0.000000 USD 7890629.320000 USD 429302.080000 N N N N/A N/A 000000000 1.000000 NC 12.320000 0.0000065 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3707.000000 USD 60336615.000000 IDR 2025-07-14 12.320000 N N N N/A N/A 000000000 1.000000 NC -3016.710000 -0.0016009 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5218834.250000 THB 157683.000000 USD 2025-07-16 -3016.710000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 200000.000000 PA USD 201211.450000 0.10678 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC2 N/A 46657BAA2 708153.280000 PA USD 708173.180000 0.375815 Long ABS-MBS CORP US N 2 2063-11-25 Variable 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 56658.740000 0.0300678 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6403030.660000 USD 4706000.000000 GBP 2025-07-02 56658.740000 N N N N/A N/A 000000000 1.000000 NC -615.770000 -0.0003268 N/A DFE TW N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 71000.000000 USD 2024629.000000 TWD 2025-08-20 -615.770000 N N N N/A N/A 000000000 1.000000 NC -26208.340000 -0.0139083 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6555985.000000 TWD 201704.000000 USD 2025-08-20 -26208.340000 N N N N/A N/A 000000000 1.000000 NC -27955.970000 -0.0148358 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7557419.000000 TWD 232243.000000 USD 2025-07-16 -27955.970000 N N N N/A N/A 000000000 1.000000 NC -56.140000 -0.0000298 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 29279.190000 SGD 23029.000000 USD 2025-08-05 -56.140000 N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCN9 200000.000000 PA USD 200072.410000 0.106175 Long DBT CORP US N 2 2035-01-31 Fixed 5 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 240.780000 PA USD 227.420000 0.0001207 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.33924 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 200000.000000 PA USD 202890.750000 0.107671 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N N/A N/A 000000000 1.000000 NC 3083.020000 0.0016361 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 171077.910000 USD 1242000.000000 CNY 2025-08-20 3083.020000 N N N N/A N/A 000000000 1.000000 NC 720.050000 0.0003821 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 35000.000000 USD 1643250.000000 TRY 2025-12-17 720.050000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 1726.390000 PA USD 1554.930000 0.0008252 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.79869 N N N N N N N/A N/A 000000000 1.000000 NC -3083.440000 -0.0016363 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5186901.800000 THB 156633.000000 USD 2025-07-16 -3083.440000 N N N CONTEGO CLO BV 8A N/A ACI299F71 2230000.000000 PA 2623874.760000 1.39245 Long ABS-CBDO CORP IE N 2 2034-01-25 Floating 3.188 N N N N N N N/A N/A 000000000 1.000000 NC -26716.210000 -0.0141778 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7390651.000000 TWD 227741.000000 USD 2025-07-16 -26716.210000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2JBZ32 3600000.000000 PA 191594.550000 0.101676 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC -43.970000 -0.0000233 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 15376.990000 SGD 12080.000000 USD 2025-08-05 -43.970000 N N N N/A N/A 000000000 1.000000 NC -1629.080000 -0.0008645 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2693276.000000 TWD 92000.000000 USD 2025-08-20 -1629.080000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 400000.000000 PA USD 403304.020000 0.214027 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N PRKCM 2023-AFC3 TRUST N/A 693984AA4 804212.800000 PA USD 812198.310000 0.43102 Long ABS-MBS CORP US N 2 2058-09-25 Variable 6.584 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-B N/A 83189DAD2 1100000.000000 PA USD 1070721.520000 0.568214 Long ABS-O CORP US N 2 2041-12-16 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 32910000.000000 PA USD 33933811.340000 18.0081 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 6954.190000 0.0036905 N/A DFE SG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 691433.540000 USD 888000.000000 SGD 2025-07-02 6954.190000 N N N N/A N/A 000000000 1.000000 NC -3234.420000 -0.0017165 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 245779.560000 NZD 146580.470000 USD 2025-07-02 -3234.420000 N N N N/A N/A 000000000 1.000000 NC USD 47223.640000 0.0250608 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2026-02-04 0.000000 USD 0.000000 USD 885098.920000 USD 47223.640000 N N N N/A N/A 000000000 1.000000 NC -135.320000 -0.0000718 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 220526.000000 USD 18930723.680000 INR 2025-08-20 -135.320000 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 9197.360000 PA USD 9209.560000 0.0048874 Long ABS-O CORP US N 2 2038-04-25 Floating 5.57494 N N N N N N N/A N/A 000000000 1.000000 NC -1101.500000 -0.0005845 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -330.110000 EUR 90000.000000 EUR -771.390000 N N N N/A N/A 000000000 1.000000 NC -295.420000 -0.0001568 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 13389645.000000 JPY 92685.000000 USD 2025-07-02 -295.420000 N N N N/A N/A 000000000 1.000000 NC 120.590000 0.000064 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 67047.750000 USD 479000.000000 CNY 2025-08-20 120.590000 N N N N/A N/A 000000000 1.000000 NC -146.880000 -0.0000779 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 17374.890000 SGD 13518.000000 USD 2025-07-02 -146.880000 N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 397303.330000 PA USD 190055.050000 0.100859 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.53368 N N N N N N N/A N/A 000000000 1.000000 NC -2750.700000 -0.0014597 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-07 0.000000 EUR -279.990000 EUR 100000.000000 EUR -2470.710000 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 124870.540000 PA USD 114664.880000 0.0608507 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.79368 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 436.910000 PA USD 420.190000 0.000223 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.29344 N N N N N N N/A N/A 000000000 1.000000 NC 2805.570000 0.0014889 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 337687.210000 USD 460331828.000000 KRW 2025-07-16 2805.570000 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599EL5 500000.000000 PA USD 490953.800000 0.260541 Long DBT CORP US N 2 2034-10-01 Fixed 5.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 46187.690000 0.024511 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 3380000.000000 USD 46187.690000 N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAU1 100000.000000 PA USD 100578.910000 0.0533755 Long DBT CORP US N 2 2035-06-15 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -2200.570000 -0.0011678 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 120806.970000 ILS 33667.640000 USD 2025-07-18 -2200.570000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 200000.000000 PA USD 201960.780000 0.107177 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N N/A N/A 000000000 1.000000 NC 64217.490000 0.0340791 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 655232.850000 USD 4000000.000000 BRL 2025-10-02 64217.490000 N N N N/A N/A 000000000 1.000000 NC 189.150000 0.0001004 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 63000.000000 USD 5427708.300000 INR 2025-08-20 189.150000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-C N/A 78449CAB4 391757.180000 PA USD 395535.600000 0.209904 Long ABS-O CORP US N 2 2050-05-16 Floating 6.15385 N N N N N N N/A N/A 000000000 1.000000 NC USD 1002.610000 0.0005321 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-07 0.000000 USD -975.000000 USD 200000.000000 USD 1977.610000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 160993.560000 PA USD 37683.970000 0.0199982 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.03368 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 200000.000000 PA USD 195708.690000 0.103859 Long DBT CORP US N 2 2027-03-09 Floating 1.431 N N N N N N N/A N/A 000000000 1.000000 NC -75417.660000 -0.0400229 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5821868.000000 AUD 3756245.950000 USD 2025-07-02 -75417.660000 N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 1767.330000 PA USD 1628.830000 0.0008644 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.92526 N N N N N N N/A N/A 000000000 1.000000 NC USD 1324.250000 0.0007028 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -396.750000 USD 100000.000000 USD 1721.000000 N N N N/A N/A 000000000 1.000000 NC 108.410000 0.0000575 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22686.000000 USD 369668370.000000 IDR 2025-07-16 108.410000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 401000.000000 PA 123086.910000 0.0653201 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 755029.030000 PA USD 753487.340000 0.399863 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.24517 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 9324.910000 PA USD 9325.180000 0.0049487 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.12833 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2NBJY7 17851778.700000 PA 885154.060000 0.469736 Long DBT NUSS MX N 2 2034-08-24 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 734.700000 0.0003899 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 38103.470000 USD 1574282.970000 TRY 2025-07-24 734.700000 N N N BX TRUST 2022-FOX2 N/A 05610AAW8 740686.510000 PA USD 740031.590000 0.392722 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.06096 N N N N N N N/A N/A 000000000 1.000000 NC -3374.550000 -0.0017908 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 586290.760000 PEN 161999.050000 USD 2025-08-04 -3374.550000 N N N N/A N/A 000000000 1.000000 NC USD 33001.130000 0.0175131 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2025-07-02 0.000000 USD 0.000000 USD 2788385.280000 USD 33001.130000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 24227.980000 PA USD 20524.190000 0.0108918 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.72309 N N N N N N N/A N/A 000000000 1.000000 NC USD 397898.250000 0.211158 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2025-07-02 0.000000 USD 0.000000 USD 21260980.880000 USD 397898.250000 N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 92780JUU3 930000.000000 PA USD 926771.600000 0.491822 Long DBT CORP US N 2 2025-07-28 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1017.880000 0.0005402 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 85922.360000 USD 620000.000000 CNY 2025-08-20 1017.880000 N N N N/A N/A 000000000 1.000000 NC -22110.740000 -0.0117338 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1707357.310000 PEN 459758.000000 USD 2025-07-09 -22110.740000 N N N NELNET STUDENT LOAN TRUST 2018-3A N/A 64034AAB9 61209.410000 PA USD 61224.000000 0.0324905 Long ABS-O CORP US N 2 2066-09-27 Floating 4.87368 N N N N N N N/A N/A 000000000 1.000000 NC -424.810000 -0.0002254 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 74858.140000 SGD 58597.000000 USD 2025-08-05 -424.810000 N N N N/A N/A 000000000 1.000000 NC -205132.710000 -0.10886 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 -228329.190000 EUR 5360000.000000 EUR 23196.480000 N N N N/A N/A 000000000 1.000000 NC 1607.200000 0.0008529 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 69235.880000 USD 2057621.000000 TWD 2025-07-16 1607.200000 N N N N/A N/A 000000000 1.000000 NC 4428.610000 0.0023502 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 245296.930000 USD 212000.000000 EUR 2025-07-02 4428.610000 N N N N/A N/A 000000000 1.000000 NC 685.510000 0.0003638 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 400000.000000 BRL 685.510000 N N N N/A N/A 000000000 1.000000 NC 3227.130000 0.0017126 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 146000.000000 USD 4292575.000000 TWD 2025-08-20 3227.130000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FZ1 100000.000000 PA USD 80931.650000 0.042949 Long DBT CORP US N 2 2043-10-01 Fixed 4.65 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 4482.750000 PA USD 4486.790000 0.0023811 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 1033.210000 PA USD 406.360000 0.0002156 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.55368 N N N N N N N/A N/A 000000000 1.000000 NC -738.350000 -0.0003918 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-01-06 0.000000 GBP -274.180000 GBP 100000.000000 GBP -464.170000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 400000.000000 PA USD 407751.000000 0.216387 Long DBT CORP US N 2 2028-03-15 Floating 6.18419 N N N N N N N/A N/A 000000000 1.000000 NC -1238.880000 -0.0006575 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4753667.490000 TRY 115571.870000 USD 2025-07-29 -1238.880000 N N N N/A N/A 000000000 1.000000 NC 2199.430000 0.0011672 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 97793.450000 USD 2904270.000000 TWD 2025-07-16 2199.430000 N N N N/A N/A 000000000 1.000000 NC USD 708077.580000 0.375765 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2025-07-02 0.000000 USD 0.000000 USD 14313907.300000 USD 708077.580000 N N N N/A N/A 000000000 191.000000 NC USD 272272.120000 0.14449 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 21417367.090000 USD 272272.120000 N N N N/A N/A 000000000 1.000000 NC 1189.090000 0.000631 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 49730.000000 USD 1479795.000000 TWD 2025-07-14 1189.090000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 200473.650000 PA USD 189725.680000 0.100684 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.39368 N N N N N N N/A N/A 000000000 1.000000 NC -37946.100000 -0.0201373 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3363482.780000 CHF 4218727.210000 USD 2025-08-04 -37946.100000 N N N UMBS PASS THRU POOLS N/A 01F032674 -9600000.000000 PA USD -8644221.600000 -4.58734 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -1801.230000 -0.0009559 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1720205.000000 TWD 58000.000000 USD 2025-08-20 -1801.230000 N N N FREDDIE MAC-3289 N/A 31397FNM0 24930.280000 PA USD 24674.470000 0.0130943 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 4.79833 N N N N N N N/A N/A 000000000 1.000000 NC -625.070000 -0.0003317 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2617666.210000 CNY 366440.290000 USD 2025-08-20 -625.070000 N N N N/A N/A 000000000 1.000000 NC USD 320850.420000 0.17027 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2026-03-04 0.000000 USD 0.000000 USD 6486555.460000 USD 320850.420000 N N N FNMA PASS THRU POOLS N/A 3140JCM76 1800000.000000 PA USD 1834305.820000 0.973435 Long ABS-MBS USGSE US N 2 2031-09-01 Variable 4.70513 N N N N N N N/A N/A 000000000 1.000000 NC 11460.530000 0.0060819 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 490632.930000 USD 2727924.000000 BRL 2025-07-02 11460.530000 N N N GNMA PASS THRU POOLS N/A 3618N5EU9 425572.160000 PA USD 418427.070000 0.222052 Long ABS-MBS USGSE US N 2 2055-01-20 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2640.090000 0.0014011 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -276.250000 USD 100000.000000 USD 2916.340000 N N N N/A N/A 000000000 1.000000 NC -8038.410000 -0.0042658 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 7257000.000000 CNY 1009583.040000 USD 2025-08-20 -8038.410000 N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 402863.990000 PA 554318.300000 0.294167 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.22135 N N N N N N N/A N/A 000000000 1.000000 NC 863.500000 0.0004582 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 189142.990000 USD 1355000.000000 CNY 2025-08-20 863.500000 N N N N/A N/A 000000000 1.000000 NC -282.690000 -0.00015 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 381000.000000 MXN 19857.710000 USD 2025-09-17 -282.690000 N N N N/A N/A 000000000 1.000000 NC -111.330000 -0.0000591 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 222349.000000 USD 19089373.170000 INR 2025-08-20 -111.330000 N N N UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST N/A 90932WAA1 99129.750000 PA USD 100387.050000 0.0532737 Long DBT CORP US N 2 2038-08-15 Fixed 5.45 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAG7 2900000.000000 PA USD 2824515.610000 1.49892 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.154 N N N N N N N/A N/A 000000000 1.000000 NC -716.090000 -0.00038 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1490663.740000 CNY 208314.000000 USD 2025-08-20 -716.090000 N N N N/A N/A 000000000 1.000000 NC -830.180000 -0.0004406 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 84438987.000000 KRW 61626.650000 USD 2025-07-16 -830.180000 N N N N/A N/A 000000000 1.000000 NC -15358.240000 -0.0081504 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 853414.840000 ILS 238025.000000 USD 2025-07-18 -15358.240000 N N N N/A N/A 000000000 1.000000 NC USD 3900.820000 0.0020701 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -635.000000 USD 200000.000000 USD 4535.820000 N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 11987.560000 PA USD 11741.180000 0.0062308 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.75368 N N N N N N N/A N/A 000000000 1.000000 NC -7330.980000 -0.0038904 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -403.280000 EUR 100000.000000 EUR -6927.700000 N N N N/A N/A 000000000 1.000000 NC 183776.080000 0.0975268 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -1516.160000 AUD 6900000.000000 AUD 185292.240000 N N N N/A N/A 000000000 1.000000 NC 2150.590000 0.0011413 N/A DFE IN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 315077.000000 USD 27248646.650000 INR 2025-08-20 2150.590000 N N N FNMA PASS THRU POOLS N/A 3140LLVF5 600000.000000 PA USD 612065.110000 0.324813 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.77 N N N N N N N/A N/A 000000000 1.000000 NC 127.820000 0.0000678 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 53354.000000 USD 7701649.000000 JPY 2025-07-02 127.820000 N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC1 N/A 46656NAA7 878667.260000 PA USD 856072.600000 0.454303 Long ABS-MBS CORP US N 2 2063-07-25 Variable 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 626.700000 0.0003326 N/A DFE NZ N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 149188.190000 USD 245779.560000 NZD 2025-07-02 626.700000 N N N N/A N/A OP0043SX7 -500000.000000 NC USD -33.910000 -0.000018 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG44 (V1 ONLY) 5Y SP Single Leg Swap 2030-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2025-07-16 XXXX 531.090000 N N N N/A N/A 000000000 1.000000 NC USD 3307.500000 0.0017552 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -272.500000 USD 100000.000000 USD 3580.000000 N N N N/A N/A 000000000 1.000000 NC 308.700000 0.0001638 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12600000.000000 JPY 87805.660000 USD 2025-07-02 308.700000 N N N N/A N/A 000000000 6900000.000000 PA USD 6900000.000000 3.66171 Long RA US N 2 Repurchase N 4.440000 2025-07-01 6996200.000000 USD 6985268.440000 USD UST N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 600000.000000 PA USD 605728.140000 0.32145 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC -25288.600000 -0.0134202 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6852085.000000 TWD 210626.000000 USD 2025-07-16 -25288.600000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 155409.300000 PA USD 137210.960000 0.0728155 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.77368 N N N N N N N/A N/A 000000000 1.000000 NC -45.570000 -0.0000242 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 15277.560000 SGD 12000.000000 USD 2025-08-05 -45.570000 N N N N/A N/A 000000000 1.000000 NC -2551.080000 -0.0013538 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5793818.680000 ZAR 324199.000000 USD 2025-07-23 -2551.080000 N N N N/A N/A 000000000 1.000000 NC 500.950000 0.0002658 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 105508.000000 USD 1719200106.000000 IDR 2025-07-16 500.950000 N N N N/A N/A 000000000 1.000000 NC USD 16213.900000 0.0086044 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 878396.810000 USD 16213.900000 N N N N/A N/A 000000000 1.000000 NC -153.720000 -0.0000816 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-04 0.000000 EUR -136.150000 EUR 100000.000000 EUR -17.570000 N N N FNMA PASS THRU POOLS N/A 3140LL6D8 800000.000000 PA USD 836152.740000 0.443732 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC -947.220000 -0.0005027 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3032040.470000 TRY 73558.400000 USD 2025-07-29 -947.220000 N N N N/A N/A 000000000 1.000000 NC 6431.770000 0.0034132 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 403168.930000 USD 2921000.000000 CNY 2025-08-20 6431.770000 N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 1590724.010000 PA USD 1594171.320000 0.846 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 5.9637 N N N N N N TPMT-2019-1 N/A 89177BAA3 1309463.980000 PA USD 1275417.520000 0.676842 Long ABS-MBS CORP US N 2 2058-03-25 Variable 3.75 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 22518.700000 PA USD 9092.380000 0.0048252 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1093.880000 0.0005805 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40893.000000 USD 228118.900000 BRL 2025-07-02 1093.880000 N N N N/A N/A 000000000 1.000000 NC 390.410000 0.0002072 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 52802.000000 USD 862647923.000000 IDR 2025-07-16 390.410000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2NGJ67 2200000.000000 PA 609891.380000 0.323659 Long DBT NUSS PL N 2 2029-07-25 Fixed 4.75 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2MFC91 19900000.000000 PA 3299376.890000 1.75092 Long DBT NUSS BR N 2 2026-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -812.910000 -0.0004314 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 77557.210000 PLN 20700.730000 USD 2025-07-10 -812.910000 N N N N/A N/A 000000000 1.000000 NC 3250.160000 0.0017248 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 149717.000000 USD 551557.580000 PLN 2025-07-18 3250.160000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 81828.510000 PA USD 79537.950000 0.0422094 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 20.250000 0.0000107 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 891.750000 USD 3288.430000 PLN 2025-07-18 20.250000 N N N N/A N/A 000000000 1.000000 NC -6889.570000 -0.0036562 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 500000.000000 BRL 83041.720000 USD 2025-10-02 -6889.570000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 100000.000000 PA USD 93245.400000 0.0494837 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N N/A N/A 000000000 1.000000 NC -3141.500000 -0.0016671 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 200000.000000 BRL 32831.020000 USD 2025-10-02 -3141.500000 N N N N/A N/A 000000000 1.000000 NC USD -1596.120000 -0.000847 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -290.000000 USD 100000.000000 USD -1306.120000 N N N N/A N/A 000000000 1.000000 NC USD -8775.340000 -0.0046569 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-04-07 0.000000 USD -16673.000000 USD 2200000.000000 USD 7897.660000 N N N N/A N/A 000000000 1.000000 NC USD -1766.060000 -0.0009372 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -296.250000 USD 100000.000000 USD -1469.810000 N N N N/A N/A 000000000 1.000000 NC 8.220000 0.0000044 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2568.000000 USD 41792711.000000 IDR 2025-07-14 8.220000 N N N N/A N/A 000000000 1.000000 NC -14966.510000 -0.0079425 N/A DFE DK N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2325686.000000 DKK 352222.910000 USD 2025-07-02 -14966.510000 N N N N/A N/A 000000000 1.000000 NC -4441.640000 -0.0023571 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3659485.030000 CNY 508714.000000 USD 2025-08-20 -4441.640000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UUA1 930000.000000 PA USD 928795.090000 0.492896 Long DBT CORP CA N 2 2025-07-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -8370.810000 -0.0044422 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 956811.630000 PEN 260669.000000 USD 2025-11-14 -8370.810000 N N N N/A N/A 000000000 1.000000 NC 3.540000 0.0000019 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1141.000000 USD 18567273.000000 IDR 2025-07-14 3.540000 N N N N/A N/A 000000000 1.000000 NC USD 1162.380000 0.0006169 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 1424.880000 N N N N/A N/A 000000000 1.000000 NC 443.200000 0.0002352 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -267.940000 EUR 100000.000000 EUR 711.140000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI2VM0V0 13900000.000000 PA 276467.080000 0.146716 Long DBT NUSS EG N 2 2028-03-04 Fixed 21.954 N N N N N N N/A N/A 000000000 1.000000 NC -1830.430000 -0.0009714 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1842131.270000 MXN 95548.210000 USD 2025-09-17 -1830.430000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 58332.880000 PA USD 56986.110000 0.0302416 Long ABS-MBS CORP US N 2 2035-06-19 Floating 4.91206 N N N N N N N/A N/A 000000000 1.000000 NC -20.420000 -0.0000108 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 30605.610000 THB 922.000000 USD 2025-07-16 -20.420000 N N N N/A N/A 000000000 1.000000 NC -52449.060000 -0.0278338 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5576673.010000 PEN 1518371.000000 USD 2025-09-18 -52449.060000 N N N N/A N/A 000000000 1.000000 NC 106832.540000 0.0566942 N/A DCR N/A N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 98288.740000 EUR 0.000000 EUR 492207.080000 EUR 8543.800000 N N N N/A N/A 000000000 1.000000 NC -4654.690000 -0.0024702 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2358194.960000 CNY 326026.000000 USD 2025-08-20 -4654.690000 N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 303394.570000 PA USD 268336.870000 0.142402 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.56368 N N N N N N N/A N/A 000000000 1.000000 NC -9021.890000 -0.0047878 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -431.440000 EUR 100000.000000 EUR -8590.450000 N N N N/A N/A 000000000 1.000000 NC USD 1234.840000 0.0006553 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -449.000000 USD 100000.000000 USD 1683.840000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAB7 1224617.940000 PA USD 1218768.800000 0.64678 Long ABS-O CORP US N 2 2053-01-15 Floating 5.15624 N N N N N N N/A N/A 000000000 1.000000 NC USD 4987.960000 0.002647 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 MORGAN STANLEY MORGAN STANLEY DEAN WITTER GLBL SR UNSEC Y Single Leg Swap 2026-06-20 4428.480000 USD 0.000000 USD 700000.000000 USD 559.480000 N N N N/A N/A 000000000 1.000000 NC 1403.080000 0.0007446 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-05-05 0.000000 EUR -341.270000 EUR 100000.000000 EUR 1744.350000 N N N N/A N/A 000000000 1.000000 NC 2967.090000 0.0015746 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 81891.050000 USD 301662.060000 PEN 2025-10-31 2967.090000 N N N N/A N/A 000000000 1.000000 NC -309.320000 -0.0001642 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 8736542.000000 JPY 60359.000000 USD 2025-07-02 -309.320000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 2295228.690000 PA 119922.630000 0.0636409 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 39.420000 0.0000209 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11122.000000 USD 181066160.000000 IDR 2025-07-14 39.420000 N N N N/A N/A 000000000 1.000000 NC -16480.940000 -0.0087462 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 499000.000000 EUR 571316.430000 USD 2025-07-02 -16480.940000 N N N N/A N/A 000000000 1.000000 NC USD 1640.170000 0.0008704 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -290.000000 USD 100000.000000 USD 1930.170000 N N N SLM STUDENT LOAN TRUST 2010-C N/A 78445QAE1 1735233.820000 PA USD 1819733.290000 0.965701 Long ABS-O CORP US N 2 2041-10-15 Floating 9.17624 N N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 3.750000 PA USD 3.690000 0.000002 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7.02168 N N N N N N N/A N/A 000000000 1.000000 NC 28890.560000 0.0153317 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2675489.000000 USD 389444178.000000 JPY 2025-07-02 28890.560000 N N N N/A N/A 000000000 70.000000 NC USD 57604.260000 0.0305696 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-30 14563007.760000 USD 57604.260000 N N N N/A N/A 000000000 1.000000 NC 19223.680000 0.0102017 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 133000.000000 USD 4378772.000000 TWD 2025-08-20 19223.680000 N N N N/A N/A 000000000 1.000000 NC 16.980000 0.000009 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5038.000000 USD 82004369.000000 IDR 2025-07-14 16.980000 N N N GNMA PASS THRU POOLS N/A 21H042679 2180000.000000 PA USD 2087067.650000 1.10757 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 201.320000 0.0001068 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 264697.000000 USD 2670016.080000 NOK 2025-07-02 201.320000 N N N N/A N/A 000000000 1.000000 NC 22.830000 0.0000121 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 200000.000000 USD 6495880.000000 THB 2025-07-16 22.830000 N N N N/A N/A 000000000 1.000000 NC USD 3391.710000 0.0017999 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-21 0.000000 USD -280.000000 USD 100000.000000 USD 3671.710000 N N N N/A N/A 000000000 1.000000 NC -1136.840000 -0.0006033 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1448000.000000 CNY 201910.680000 USD 2025-08-20 -1136.840000 N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002AU93 970000.000000 PA USD 968886.630000 0.514172 Long DBT CORP NL N 2 2025-07-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -444.710000 -0.000236 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24337.910000 PEN 6419.410000 USD 2025-08-08 -444.710000 N N N N/A N/A 000000000 1.000000 NC 1904.610000 0.0010107 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-02-12 0.000000 EUR -267.970000 EUR 100000.000000 EUR 2172.580000 N N N N/A N/A 000000000 1.000000 NC 19.090000 0.0000101 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1073139.000000 JPY 7471.190000 USD 2025-07-02 19.090000 N N N N/A N/A 000000000 1.000000 NC USD -436.790000 -0.0002318 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -850.200000 USD 100000.000000 USD 413.410000 N N N N/A N/A 000000000 1.000000 NC 414.770000 0.0002201 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 58597.000000 USD 75033.460000 SGD 2025-07-02 414.770000 N N N N/A N/A 000000000 20400000.000000 NC USD 70581.960000 0.0374566 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2025-10-30 XXXX -27580.900000 N N N N/A N/A 000000000 1.000000 NC -262.760000 -0.0001394 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 252965.610000 NOK 24834.530000 USD 2025-07-02 -262.760000 N N N FNMA PASS THRU POOLS N/A 3140NVEB9 400000.000000 PA USD 410340.750000 0.217761 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.93 N N N N N N N/A N/A 000000000 1.000000 NC 1313.380000 0.000697 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 113952.550000 USD 822000.000000 CNY 2025-08-20 1313.380000 N N N N/A N/A 000000000 1.000000 NC -184.780000 -0.0000981 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 506000.000000 CNY 70769.670000 USD 2025-08-20 -184.780000 N N N N/A N/A 000000000 1.000000 NC -2026.680000 -0.0010755 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2014344.000000 TWD 68000.000000 USD 2025-08-20 -2026.680000 N N N N/A N/A 000000000 1.000000 NC 92.550000 0.0000491 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3944.000000 USD 117309.000000 TWD 2025-07-14 92.550000 N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LUZ2 500000.000000 PA USD 504305.720000 0.267626 Long DBT CORP US N 2 2026-04-10 Fixed 5.6 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PUN1 960000.000000 PA USD 957065.090000 0.507898 Long DBT CORP US N 2 2025-07-22 None 0 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 2437119.950000 PA USD 689391.040000 0.365848 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.53368 N N N N N N N/A N/A 000000000 1.000000 NC -23410.360000 -0.0124235 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5367868.000000 AUD 3511675.350000 USD 2025-08-05 -23410.360000 N N N N/A N/A 000000000 1.000000 NC -107.190000 -0.0000569 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 199861.190000 THB 6046.990000 USD 2025-07-16 -107.190000 N N N N/A N/A 000000000 1.000000 NC -5573.330000 -0.0029577 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 620188.560000 PEN 168667.000000 USD 2025-12-12 -5573.330000 N N N N/A N/A 000000000 1.000000 NC 5738.800000 0.0030455 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 405544.610000 USD 2933000.000000 CNY 2025-08-20 5738.800000 N N N N/A N/A 000000000 1.000000 NC -25094.450000 -0.0133172 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6751121.000000 TWD 207344.000000 USD 2025-07-16 -25094.450000 N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WBA5 700000.000000 PA USD 736812.790000 0.391014 Long DBT CORP US N 2 2031-04-15 Fixed 5.85 N N N N N N UMBS PASS THRU POOLS N/A 01F060683 16430000.000000 PA USD 16681420.400000 8.85255 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -36031.370000 -0.0191212 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-06-18 1471.320000 JPY 0.000000 JPY 110000000.000000 JPY -37502.690000 N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4 N/A 268432AA9 4177333.200000 PA USD 4196588.200000 2.22706 Long ABS-MBS CORP US N 2 2067-09-25 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC 293.320000 0.0001557 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 110255.660000 BRL 2025-07-02 293.320000 N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 1106666.150000 PA USD 1110586.630000 0.589369 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 282.760000 PA USD 205.200000 0.0001089 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1137.480000 0.0006036 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 220160.000000 USD 19008614.400000 INR 2025-08-20 1137.480000 N N N N/A N/A 000000000 1.000000 NC 3849.300000 0.0020428 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 501610.060000 USD 768000.000000 AUD 2025-07-02 3849.300000 N N N N/A N/A 000000000 1.000000 NC -603.750000 -0.0003204 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-12-31 0.000000 EUR -264.550000 EUR 100000.000000 EUR -339.200000 N N N N/A N/A 000000000 1.000000 NC 7185.900000 0.0038134 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 298557229.000000 JPY 2080428.000000 USD 2025-07-02 7185.900000 N N N ST PAUL'S CLO VIII DAC 8A N/A ACI29C1K0 926619.940000 PA 1089729.790000 0.578301 Long ABS-CBDO CORP IE N 2 2030-07-17 Floating 3.023 N N N N N N N/A N/A 000000000 1.000000 NC 368.390000 0.0001955 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 34400000.000000 JPY 239248.980000 USD 2025-07-02 368.390000 N N N N/A N/A 000000000 1.000000 NC 660.310000 0.0003504 N/A DFE CO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2387087319.600000 COP 578821.140000 USD 2025-09-17 660.310000 N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UL6 658513.580000 PA USD 197374.690000 0.104743 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.97368 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 192356.900000 PA USD 196660.460000 0.104364 Long ABS-O CORP US N 2 2041-02-20 Floating 6.50185 N N N N N N N/A N/A 000000000 1.000000 NC USD -4855.650000 -0.0025768 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-25 0.000000 USD 0.000000 USD 3500000.000000 USD -4855.650000 N N N N/A N/A 000000000 1.000000 NC -6197.160000 -0.0032887 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 777685.200000 SGD 605431.000000 USD 2025-07-02 -6197.160000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 200000.000000 PA USD 210144.210000 0.11152 Long DBT CORP CH N 2 2029-09-22 Floating 6.246 N N N N N N N/A N/A 000000000 1.000000 NC -39099.930000 -0.0207497 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4501539.750000 PEN 1228921.580000 USD 2025-09-17 -39099.930000 N N N ANCHORAGE CREDIT FUNDING 14 LTD N/A 033295AA4 300000.000000 PA USD 279549.710000 0.148352 Long ABS-CBDO CORP KY N 2 2040-01-21 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -1498.010000 -0.000795 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -348.000000 USD 100000.000000 USD -1150.010000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 147354.200000 PA USD 147930.520000 0.0785042 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N NELNET STUDENT LOAN TRUST 2021-CA N/A 64035GAA7 837159.030000 PA USD 833328.610000 0.442233 Long ABS-O CORP US N 2 2062-04-20 Floating 5.17206 N N N N N N N/A N/A 000000000 1.000000 NC -3083.810000 -0.0016365 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 89000.000000 EUR 101753.800000 USD 2025-07-02 -3083.810000 N N N N/A N/A 000000000 5.000000 NC USD 11360.180000 0.0060287 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 571289.060000 USD 11360.180000 N N N N/A N/A 000000000 1.000000 NC -6002.430000 -0.0031854 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR -5624.050000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 200000.000000 PA USD 207770.770000 0.11026 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N N/A N/A 000000000 1.000000 NC USD 144558.990000 0.076715 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2025-11-05 0.000000 USD 0.000000 USD 2711743.930000 USD 144558.990000 N N N N/A N/A 000000000 1.000000 NC 5101.090000 0.0027071 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 447839.440000 USD 18432623.510000 TRY 2025-07-29 5101.090000 N N N N/A N/A 000000000 1.000000 NC -10775.950000 -0.0057186 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 122806933.000000 JPY 845173.000000 USD 2025-08-04 -10775.950000 N N N N/A N/A 000000000 1.000000 NC -70.440000 -0.0000374 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 249243.020000 TRY 6059.000000 USD 2025-07-28 -70.440000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 3200000.000000 PA 172597.110000 0.0915943 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KK2 500000.000000 PA USD 501959.030000 0.266381 Long DBT CORP US N 2 2053-04-01 Fixed 6.7 N N N N N N N/A N/A 000000000 1.000000 NC -202.980000 -0.0001077 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2669526.390000 NOK 264697.000000 USD 2025-08-04 -202.980000 N N N N/A N/A 000000000 -1.000000 NC USD -3142.100000 -0.0016675 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-09-19 -115359.380000 USD -3142.100000 N N N N/A N/A 000000000 1.000000 NC USD -97953.000000 -0.051982 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2026-04-01 0.000000 USD 0.000000 USD 3444666.850000 USD -97953.000000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 867.230000 PA USD 846.970000 0.0004495 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.87882 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 4588.230000 PA USD 2122.670000 0.0011265 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N N/A N/A 000000000 1.000000 NC USD 29675.380000 0.0157482 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1460000.000000 USD 29675.380000 N N N N/A N/A 000000000 1.000000 NC 237.250000 0.0001259 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-24 0.000000 EUR -272.690000 EUR 100000.000000 EUR 509.940000 N N N N/A N/A 000000000 -20400000.000000 NC USD -28347.840000 -0.0150437 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2025-10-30 XXXX 32366.450000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 7100000.000000 PA 394375.600000 0.209288 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -431.830000 -0.0002292 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 220517.000000 USD 18904481.380000 INR 2025-08-20 -431.830000 N N N N/A N/A 000000000 1.000000 NC -580.370000 -0.000308 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 833565.750000 THB 25087.000000 USD 2025-07-16 -580.370000 N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 16814.280000 PA USD 16106.400000 0.0085474 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 -713169.330000 -0.378467 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 17436200.000000 EUR 19825813.770000 USD 2025-07-02 -713169.330000 N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 6051.110000 PA USD 3368.240000 0.0017875 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.42818 N N N N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 540805.380000 PA 743997.530000 0.394827 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.23021 N N N N N N N/A N/A 000000000 1.000000 NC 1917.400000 0.0010175 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 600000.000000 USD 814072444.000000 KRW 2025-07-10 1917.400000 N N N N/A N/A 000000000 1.000000 NC 1161.100000 0.0006162 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 527508.760000 USD 15355094.000000 TWD 2025-07-16 1161.100000 N N N N/A N/A 000000000 1.000000 NC USD 66370.360000 0.0352216 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2025-11-05 0.000000 USD 0.000000 USD 1244129.110000 USD 66370.360000 N N N GNMA PASS THRU POOLS N/A 21H050672 2000000.000000 PA USD 1964919.440000 1.04275 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 860.040000 0.0004564 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -71.000000 USD 20000.000000 USD 931.040000 N N N OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A N/A 67592CAL0 352885.060000 PA USD 353210.160000 0.187443 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 USD 562.010000 0.0002982 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-09-30 0.000000 USD 0.000000 USD 1300000.000000 USD 562.010000 N N N N/A N/A 000000000 1.000000 NC USD 180300.300000 0.0956823 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2026-04-01 0.000000 USD 0.000000 USD 9217335.400000 USD 180300.300000 N N N N/A N/A 000000000 1.000000 NC 5943.320000 0.003154 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 485409.250000 USD 3504000.000000 CNY 2025-08-20 5943.320000 N N N N/A N/A 000000000 1.000000 NC 14599.740000 0.0077478 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 268000.000000 USD 1535392.640000 BRL 2025-07-02 14599.740000 N N N N/A N/A 000000000 1.000000 NC USD 29449.590000 0.0156284 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 163823.290000 USD 0.000000 USD 2200000.000000 USD -134373.700000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 9258.590000 PA USD 8421.990000 0.0044694 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.77206 N N N N N N N/A N/A 000000000 1.000000 NC 6254.520000 0.0033192 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 272058.000000 USD 8083523.000000 TWD 2025-07-16 6254.520000 N N N N/A N/A 000000000 1.000000 NC 396.130000 0.0002102 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 95884.000000 USD 1561422998.000000 IDR 2025-07-16 396.130000 N N N N/A N/A 000000000 1.000000 NC -6677.440000 -0.0035436 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 798308.800000 ILS 230329.000000 USD 2025-07-02 -6677.440000 N N N N/A N/A 000000000 1.000000 NC 4.900000 0.0000026 N/A DFE IN N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1276.010000 USD 110025.400000 INR 2025-08-20 4.900000 N N N N/A N/A 000000000 1.000000 NC 1218.710000 0.0006467 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 203129.260000 USD 3314013251.000000 IDR 2025-07-16 1218.710000 N N N FNMA PASS THRU POOLS N/A 31371M2L0 703.000000 PA USD 726.230000 0.0003854 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 6.5 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 33081.340000 PA USD 33096.330000 0.0175637 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.13833 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 401134.560000 PA USD 401450.170000 0.213043 Long ABS-MBS CORP US N 2 2055-05-25 Floating 5.55517 N N N N N N N/A N/A 000000000 1.000000 NC 53.030000 0.0000281 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6935276.000000 JPY 48213.000000 USD 2025-07-02 53.030000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAD7 400000.000000 PA USD 402127.520000 0.213402 Long ABS-O CORP US N 2 2028-12-18 Fixed 4.85 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 243.150000 PA USD 245.840000 0.0001305 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.39516 N N N N N N N/A N/A 000000000 1.000000 NC -56729.320000 -0.0301053 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4706000.000000 GBP 6403901.270000 USD 2025-08-04 -56729.320000 N N N N/A N/A 000000000 1.000000 NC USD 43881.840000 0.0232873 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2025-08-20 0.000000 USD 0.000000 USD 2534496.000000 USD 43881.840000 N N N N/A N/A 000000000 1.000000 NC 8905.230000 0.0047259 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL -86.810000 BRL 5800000.000000 BRL 8992.040000 N N N N/A N/A 000000000 1.000000 NC -20416.370000 -0.0108346 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-07-25 0.000000 PLN 0.000000 PLN 2200000.000000 PLN -20416.370000 N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 1155135.080000 PA USD 1154760.240000 0.612812 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 28058.960000 PA USD 24046.710000 0.0127612 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.09275 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 385927.250000 PA USD 177768.050000 0.0943385 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.64368 N N N N N N ALBACORE EURO CLO I DAC A N/A ACI2MJBJ2 900000.000000 PA 1058284.830000 0.561614 Long ABS-CBDO CORP IE N 2 2034-10-18 Floating 3.316 N N N N N N NORTHWOODS CAPITAL XIV-B LTD N/A 66860CAL7 641260.460000 PA USD 640437.900000 0.339869 Long ABS-CBDO CORP KY N 2 2031-11-13 Floating 5.55816 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAU5 300000.000000 PA USD 278671.880000 0.147886 Long DBT UST US N 2 2027-10-31 Fixed 0.5 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAA6 846645.580000 PA USD 833374.830000 0.442258 Long ABS-MBS CORP US N 2 2035-02-15 Floating 5.409 N N N N N N N/A N/A 000000000 1.000000 NC -23639.940000 -0.0125453 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5758597.000000 TWD 176552.000000 USD 2025-08-20 -23639.940000 N N N N/A N/A 000000000 1.000000 NC 10699.010000 0.0056778 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1133803.820000 USD 1558526.730000 CAD 2025-07-02 10699.010000 N N N N/A N/A 000000000 1.000000 NC -9276.290000 -0.0049228 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 833309.900000 PLN 221876.000000 USD 2025-07-10 -9276.290000 N N N N/A N/A 000000000 1.000000 NC -4455.770000 -0.0023646 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5270505.240000 THB 157835.000000 USD 2025-07-16 -4455.770000 N N N EURO-GALAXY V CLO BV 16-5A N/A ACI29B7N0 2499297.940000 PA 2935936.120000 1.55805 Long ABS-CBDO CORP IE N 2 2034-02-15 Floating 3.093 N N N N N N N/A N/A 000000000 1.000000 NC -44561.680000 -0.0236481 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11360062.000000 TWD 350359.660000 USD 2025-08-20 -44561.680000 N N N N/A N/A 000000000 1.000000 NC 42.750000 0.0000227 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 12080.000000 USD 15414.080000 SGD 2025-07-02 42.750000 N N N N/A N/A 000000000 1.000000 NC 362.760000 0.0001925 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 19065001.000000 JPY 132754.000000 USD 2025-07-02 362.760000 N N N N/A N/A 000000000 41200000.000000 PA USD 41200000.000000 21.8641 Long RA US N 2 Repurchase N 4.450000 2025-07-01 40792100.000000 USD 41520302.620000 USD UST N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 748264.080000 PA USD 242055.870000 0.128455 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 141472.100000 PA USD 142150.740000 0.075437 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI24R197 8500847.000000 PA 443713.910000 0.235471 Long DBT NUSS MX N 2 2026-12-03 Fixed 3 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2PJ5W7 10400000.000000 PA 253354.350000 0.134451 Long DBT NUSS TR N 2 2028-05-17 Floating 48.8 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 199236.090000 PA USD 175160.000000 0.0929544 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.05727 N N N N N N N/A N/A 000000000 1.000000 NC -541.140000 -0.0002872 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1510617.540000 CNY 211287.000000 USD 2025-08-20 -541.140000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961CU18 930000.000000 PA USD 929873.520000 0.493468 Long DBT CORP US N 2 2025-07-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 675.050000 0.0003582 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -382.130000 EUR 100000.000000 EUR 1057.180000 N N N N/A N/A 000000000 1.000000 NC -2545.430000 -0.0013508 N/A DFE DK N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3398772.630000 DKK 535384.000000 USD 2025-08-04 -2545.430000 N N N N/A N/A 000000000 1.000000 NC USD -21952.530000 -0.0116498 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2026-02-04 0.000000 USD 0.000000 USD 469768.570000 USD -21952.530000 N N N N/A N/A 000000000 1.000000 NC -720.050000 -0.0003821 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1643250.000000 TRY 35000.000000 USD 2025-12-17 -720.050000 N N N N/A N/A 000000000 1.000000 NC 25335.660000 0.0134452 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 201000.000000 USD 6510631.000000 TWD 2025-08-20 25335.660000 N N N N/A N/A 000000000 1.000000 NC -420.520000 -0.0002232 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 800000.000000 BRL -420.520000 N N N N/A N/A 000000000 1.000000 NC USD 783339.130000 0.415705 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 1242994.450000 USD 0.000000 USD 19020000.000000 USD -459655.320000 N N N N/A N/A 000000000 1.000000 NC -313.790000 -0.0001665 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1412666.170000 CNY 197779.000000 USD 2025-08-20 -313.790000 N N N N/A N/A 000000000 1.000000 NC 3561.910000 0.0018902 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 70367.470000 USD 249000.000000 ILS 2025-07-18 3561.910000 N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 14908.440000 PA USD 12416.830000 0.0065894 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.89666 N N N N N N N/A N/A 000000000 1.000000 NC -142.910000 -0.0000758 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 28953404.000000 KRW 21273.000000 USD 2025-07-16 -142.910000 N N N N/A N/A 000000000 1.000000 NC 556.640000 0.0002954 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 221059.000000 USD 19035943.140000 INR 2025-08-20 556.640000 N N N UMBS PASS THRU POOLS N/A 01F042681 7290000.000000 PA USD 6970603.960000 3.69918 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 269385.020000 0.142958 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-09-17 182090.870000 EUR 0.000000 EUR 2200000.000000 EUR 87294.150000 N N N N/A N/A 000000000 1.000000 NC USD 69074.520000 0.0366567 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.44 Y Single Leg Swap 2030-06-20 45470.000000 USD 0.000000 USD 900000.000000 USD 23604.520000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 541694.140000 PA USD 238645.520000 0.126645 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.56368 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 100000.000000 PA USD 100564.960000 0.0533681 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N UMBS PASS THRU POOLS N/A 01F030678 4800000.000000 PA USD 4154174.590000 2.20455 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 3 N N N N N N VISIO TRUST 2023-2 N/A 92839CAA5 1076021.380000 PA USD 1085341.230000 0.575972 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 6.598 N N N N N N N/A N/A 000000000 1.000000 NC 3890.860000 0.0020648 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 170567.000000 USD 629047.170000 PLN 2025-07-18 3890.860000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 100000.000000 PA USD 96383.530000 0.0511491 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N N/A N/A 000000000 1.000000 NC 13517.910000 0.0071737 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2028-04-28 0.000000 COP 0.000000 COP 2191300000.000000 COP 13517.910000 N N N N/A N/A 000000000 1.000000 NC 91714.170000 0.0486711 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1202733.000000 USD 7032860.940000 BRL 2025-07-02 91714.170000 N N N N/A N/A 000000000 1.000000 NC -1750.270000 -0.0009288 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-19 0.000000 EUR -263.360000 EUR 100000.000000 EUR -1486.910000 N N N N/A N/A 000000000 1.000000 NC -828.770000 -0.0004398 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1519379.300000 CNY 212228.000000 USD 2025-08-20 -828.770000 N N N N/A N/A 000000000 1.000000 NC -549.350000 -0.0002915 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 790485.980000 ILS 234136.000000 USD 2025-07-09 -549.350000 N N N N/A N/A 000000000 1.000000 NC -27911.610000 -0.0148122 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6662252.000000 TWD 203695.000000 USD 2025-08-20 -27911.610000 N N N N/A N/A 000000000 1.000000 NC 14903.210000 0.0079089 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 2358.340000 BRL 0.000000 BRL 12100000.000000 BRL 12544.870000 N N N N/A N/A 000000000 1.000000 NC USD 537634.600000 0.285314 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 141707.290000 USD 0.000000 USD 2650000.000000 USD 395927.310000 N N N FANNIE MAE-2005-75 N/A 31394FAF2 9329.220000 PA USD 9244.260000 0.0049058 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.81965 N N N N N N HERTZ VEHICLE FINANCING III LLC 2024-1A N/A 42806MCK3 1000000.000000 PA USD 1016489.600000 0.539434 Long ABS-O CORP US N 2 2029-01-25 Fixed 5.44 N N N N N N N/A N/A 000000000 1.000000 NC USD 2922.910000 0.0015511 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR US INDEX NTR Y 2025-07-16 0.000000 USD 0.000000 USD 92128.890000 USD 2922.910000 N N N N/A N/A 000000000 1.000000 NC -128.030000 -0.0000679 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7673313.000000 JPY 53354.000000 USD 2025-08-04 -128.030000 N N N N/A N/A 000000000 1.000000 NC 27323.780000 0.0145003 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 197893.800000 USD 6478469.000000 TWD 2025-08-20 27323.780000 N N N N/A N/A 000000000 1.000000 NC USD 201754.420000 0.107068 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2026-01-07 0.000000 USD 0.000000 USD 4032742.780000 USD 201754.420000 N N N N/A N/A 000000000 1.000000 NC -20308.820000 -0.0107775 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5508428.000000 TWD 169344.190000 USD 2025-07-16 -20308.820000 N N N FNMA PASS THRU POOLS N/A 3140JCM50 900000.000000 PA USD 903701.780000 0.479579 Long ABS-MBS USGSE US N 2 2029-10-01 Variable 4.20158 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 41199.790000 PA USD 41220.040000 0.0218748 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.13965 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 335000.000000 PA USD 352818.380000 0.187235 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N N/A N/A 000000000 1.000000 NC -6153.090000 -0.0032653 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5018661.940000 ZAR 276881.000000 USD 2025-07-23 -6153.090000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 96712.520000 PA USD 85528.050000 0.0453883 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.73368 N N N N N N N/A N/A 000000000 1.000000 NC -2319.990000 -0.0012312 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7016553380.000000 IDR 430000.000000 USD 2025-07-11 -2319.990000 N N N N/A N/A 000000000 1.000000 NC -4691.270000 -0.0024896 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 129.670000 BRL 0.000000 BRL 9000000.000000 BRL -4820.940000 N N N N/A N/A 000000000 1.000000 NC 5276.780000 0.0028003 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 485123.490000 USD 9277000.000000 MXN 2025-09-17 5276.780000 N N N N/A N/A 000000000 1.000000 NC USD -5286.450000 -0.0028054 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 N/A CMBX.NA.AAA.16 Y Single Leg Swap 2065-04-17 0.000000 USD -9209.070000 USD 600000.000000 USD 3922.620000 N N N N/A N/A 000000000 1.000000 NC -1430.170000 -0.000759 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 831000.000000 CNY 115097.790000 USD 2025-08-20 -1430.170000 N N N N/A N/A 000000000 1.000000 NC 8511.360000 0.0045168 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 294177971.000000 JPY 2051343.000000 USD 2025-07-02 8511.360000 N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 70736.860000 PA USD 59140.540000 0.0313849 Long ABS-MBS CORP US N 2 2042-05-25 Floating 10 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 900000.000000 PA 277225.410000 0.147119 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 1.000000 NC 2149.660000 0.0011408 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 393631.250000 USD 2506777.360000 DKK 2025-07-02 2149.660000 N N N N/A N/A 000000000 1.000000 NC -13513.740000 -0.0071715 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3811808.000000 TWD 119000.000000 USD 2025-08-20 -13513.740000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 800000.000000 PA USD 789103.660000 0.418764 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N N/A N/A 000000000 1.000000 NC 464.670000 0.0002466 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22788.950000 USD 675396.000000 TWD 2025-07-16 464.670000 N N N N/A N/A 000000000 1.000000 NC 2526.520000 0.0013408 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 197880.330000 USD 146000.000000 GBP 2025-07-02 2526.520000 N N N THEOREM FUNDING TRUST 2022-3A N/A 882925AA8 102926.670000 PA USD 103159.670000 0.0547451 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.6 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 40494.410000 PA USD 35857.420000 0.0190289 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.99933 N N N N N N N/A N/A 000000000 1.000000 NC -8781.710000 -0.0046603 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -422.700000 EUR 100000.000000 EUR -8359.010000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 5248.030000 PA USD 5189.020000 0.0027537 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.79965 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 144978.830000 PA USD 144270.810000 0.0765621 Long ABS-MBS CORP US N 2 2051-07-25 Variable 4.7436 N N N N N N N/A N/A 000000000 1.000000 NC -6151.990000 -0.0032648 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 595748.460000 PLN 159103.000000 USD 2025-07-10 -6151.990000 N N N N/A N/A 000000000 1.000000 NC 2320.530000 0.0012315 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 212887.000000 USD 18485510.430000 INR 2025-08-20 2320.530000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAH4 1105518.940000 PA USD 996134.360000 0.528632 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.07 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AA6 729553.110000 PA USD 453964.350000 0.240911 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.70368 N N N N N N N/A N/A 000000000 1.000000 NC 3956.690000 0.0020997 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 4496.110000 N N N N/A N/A 000000000 1.000000 NC -82799.190000 -0.0439401 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 4444000.000000 GBP 6017255.990000 USD 2025-07-02 -82799.190000 N N N N/A N/A 000000000 1.000000 NC 1368.380000 0.0007262 N/A DFE HK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4981566.300000 HKD 636878.270000 USD 2025-07-16 1368.380000 N N N N/A N/A 000000000 1.000000 NC 38590.280000 0.0204792 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 287000.000000 USD 9365728.000000 TWD 2025-08-20 38590.280000 N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDP2 200000.000000 PA USD 206610.340000 0.109645 Long DBT CORP JP N 2 2034-07-09 Fixed 5.558 N N N N N N N/A N/A 000000000 1.000000 NC -320725.790000 -0.170204 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 17945664.030000 EUR 20864501.160000 USD 2025-08-04 -320725.790000 N N N N/A N/A 000000000 1.000000 NC -18656.760000 -0.0099008 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5944560.000000 TWD 188000.000000 USD 2025-08-20 -18656.760000 N N N N/A N/A 000000000 1.000000 NC USD -1464.070000 -0.000777 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -352.500000 USD 100000.000000 USD -1111.570000 N N N N/A N/A 000000000 1.000000 NC USD -25785.020000 -0.0136837 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -54673.580000 USD 8750000.000000 USD 28888.560000 N N N N/A N/A 000000000 1.000000 NC 549.350000 0.0002915 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 234136.000000 USD 790490.670000 ILS 2025-07-02 549.350000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2HDVK6 2800000.000000 PA 497102.520000 0.263804 Long DBT NUSS BR N 2 2025-10-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NX1 610000.000000 PA USD 609858.140000 0.323641 Long DBT UST US N 2 2025-07-03 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -5306.130000 -0.0028159 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 66638.900000 USD 2025-10-02 -5306.130000 N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 15324.410000 PA USD 13486.580000 0.0071571 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.19122 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAA9 76965.560000 PA USD 74717.870000 0.0396515 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.71368 N N N N N N N/A N/A 000000000 1.000000 NC 3588.930000 0.0019046 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 243068.940000 USD 1759000.000000 CNY 2025-08-20 3588.930000 N N N N/A N/A 000000000 1.000000 NC USD 698.170000 0.0003705 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -445.000000 USD 100000.000000 USD 1143.170000 N N N N/A N/A 000000000 1.000000 NC -43056.140000 -0.0228492 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 28611885.720000 MXN 1469423.810000 USD 2025-09-17 -43056.140000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 201913.010000 PA USD 190640.990000 0.10117 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.91206 N N N N N N N/A N/A 000000000 1.000000 NC -27842.060000 -0.0147753 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6771372.000000 TWD 207558.000000 USD 2025-08-20 -27842.060000 N N N N/A N/A 000000000 1.000000 NC 6700.590000 0.0035559 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 87135.000000 USD 509818.170000 BRL 2025-07-02 6700.590000 N N N N/A N/A 000000000 1.000000 NC -773.330000 -0.0004104 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 276167.740000 CZK 12404.050000 USD 2025-08-22 -773.330000 N N N N/A N/A 000000000 1.000000 NC -5531.900000 -0.0029357 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 288000.000000 GBP 389791.210000 USD 2025-07-02 -5531.900000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 894400.970000 PA USD 654256.630000 0.347203 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79368 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAC7 5000000.000000 PA USD 4841874.000000 2.5695 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.109 N N N N N N N/A N/A 000000000 1.000000 NC -1270.300000 -0.0006741 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 917000.000000 CNY 127317.120000 USD 2025-08-20 -1270.300000 N N N N/A N/A 000000000 1.000000 NC USD 540090.720000 0.286617 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 105973.840000 USD 0.000000 USD 6800000.000000 USD 434116.880000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 600000.000000 PA USD 562972.380000 0.29876 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.86223 N N N N N N N/A N/A 000000000 -3.000000 NC USD -6239.120000 -0.003311 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-09-19 -356953.130000 USD -6239.120000 N N N N/A N/A 000000000 1.000000 NC 23351.310000 0.0123921 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3509512.100000 USD 5367868.000000 AUD 2025-07-02 23351.310000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 4335431.970000 PA 204767.690000 0.108667 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 256398.080000 0.136066 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 232401.350000 EUR 0.000000 EUR 1181296.990000 EUR 23996.730000 N N N N/A N/A 000000000 1.000000 NC USD -1713.750000 -0.0009095 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -337.500000 USD 100000.000000 USD -1376.250000 N N N N/A N/A 000000000 1.000000 NC 107.850000 0.0000572 N/A DFE NO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 277932.110000 NOK 27687.350000 USD 2025-08-04 107.850000 N N N N/A N/A 000000000 1.000000 NC 124.350000 0.000066 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17941625.900000 INR 209000.000000 USD 2025-08-20 124.350000 N N N N/A N/A 000000000 1.000000 NC -16784.160000 -0.0089071 N/A DFE DK N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3001185.100000 DKK 457056.000000 USD 2025-07-02 -16784.160000 N N N N/A N/A 000000000 1.000000 NC -163165.410000 -0.0865891 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3550731.730000 CHF 4311888.760000 USD 2025-07-02 -163165.410000 N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 381836.450000 PA 450490.920000 0.239068 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 3.096 N N N N N N N/A N/A 000000000 1.000000 NC 6764.330000 0.0035897 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 257982.710000 USD 1888000.000000 CNY 2025-08-20 6764.330000 N N N N/A N/A 000000000 1.000000 NC USD 245632.720000 0.130353 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2026-03-04 0.000000 USD 0.000000 USD 4601693.950000 USD 245632.720000 N N N FNMA PASS THRU POOLS N/A 3140LLW72 500000.000000 PA USD 509284.520000 0.270269 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.72 N N N N N N N/A N/A 000000000 1.000000 NC USD 1950.480000 0.0010351 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2025-12-20 3614.170000 USD 0.000000 USD 500000.000000 USD -1663.690000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 4400000.000000 PA 216354.610000 0.114816 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC -554.770000 -0.0002944 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 135593.000000 TWD 4158.990000 USD 2025-08-20 -554.770000 N N N N/A N/A 000000000 1.000000 NC -1167.670000 -0.0006197 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 16818.590000 USD 2025-10-02 -1167.670000 N N N N/A N/A 000000000 1.000000 NC -46088.090000 -0.0244582 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1900000.000000 BRL 295650.820000 USD 2025-10-02 -46088.090000 N N N N/A N/A 000000000 1.000000 NC -25853.680000 -0.0137201 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6901144.000000 TWD 211750.000000 USD 2025-07-16 -25853.680000 N N N N/A N/A 000000000 1.000000 NC 37857.150000 0.0200901 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4218727.210000 USD 3377386.860000 CHF 2025-07-02 37857.150000 N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 45826CU16 950000.000000 PA USD 949879.450000 0.504085 Long DBT CORP US N 2 2025-07-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 26107.910000 0.013855 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 20249.910000 AUD 0.000000 AUD 1100000.000000 AUD 5858.000000 N N N N/A N/A 000000000 1.000000 NC 536.470000 0.0002847 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-23 0.000000 EUR -392.320000 EUR 100000.000000 EUR 928.790000 N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 48433.550000 PA USD 34894.580000 0.018518 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.50372 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 263759.380000 PA USD 130366.660000 0.0691834 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.53368 N N N N N N N/A N/A 000000000 1.000000 NC -10672.730000 -0.0056638 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 700000.000000 BRL 115231.080000 USD 2025-10-02 -10672.730000 N N N N/A N/A 000000000 1.000000 NC USD 92687.700000 0.0491878 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2026-05-20 0.000000 USD 0.000000 USD 5363643.880000 USD 92687.700000 N N N N/A N/A 000000000 1.000000 NC -33382.620000 -0.0177156 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5288485.120000 BRL 940000.000000 USD 2025-07-02 -33382.620000 N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAS4 200000.000000 PA USD 201652.110000 0.107013 Long DBT CORP GB N 2 2026-11-21 Floating 6.833 N N N N N N N/A N/A 000000000 1.000000 NC -52.650000 -0.0000279 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 592035.000000 TWD 20330.880000 USD 2025-07-16 -52.650000 N N N N/A N/A 000000000 1.000000 NC 1060.070000 0.0005626 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 39107.000000 USD 218231.690000 BRL 2025-07-02 1060.070000 N N N N/A N/A 000000000 1.000000 NC -28471.150000 -0.0151092 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 9451454.230000 BRL 1711135.010000 USD 2025-07-02 -28471.150000 N N N N/A N/A 000000000 1.000000 NC -701.490000 -0.0003723 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-27 0.000000 EUR -259.080000 EUR 100000.000000 EUR -442.410000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KV8 100000.000000 PA USD 93442.600000 0.0495884 Long DBT CORP US N 2 2055-03-01 Fixed 6.15 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 111389.030000 PA USD 61987.780000 0.0328959 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.25013 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAB5 188359.990000 PA USD 172134.400000 0.0913488 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.71368 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBV0 200000.000000 PA USD 206999.990000 0.109851 Long DBT CORP JP N 2 2034-07-03 Fixed 5.783 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 533937.480000 PA USD 409764.550000 0.217455 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.33368 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0GYHC9 18900000.000000 PA 923117.480000 0.489883 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 718015.290000 PA USD 393554.020000 0.208852 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75368 N N N N N N N/A N/A 000000000 1.000000 NC -204347.870000 -0.108444 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 -352709.010000 GBP 16559000.000000 GBP 148361.140000 N N N N/A N/A 000000000 1.000000 NC USD -8367.000000 -0.0044402 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -6189.920000 USD 8410000.000000 USD -2177.080000 N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 3061.640000 PA USD 2764.820000 0.0014672 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.74531 N N N N N N N/A N/A 000000000 1.000000 NC -534.690000 -0.0002838 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 2300000.000000 BRL -534.690000 N N N N/A N/A 000000000 1.000000 NC 2547.240000 0.0013518 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 97578.570000 USD 85000.000000 EUR 2025-07-02 2547.240000 N N N N/A N/A 000000000 1.000000 NC -1291.530000 -0.0006854 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-13 0.000000 EUR -259.360000 EUR 100000.000000 EUR -1032.170000 N N N N/A N/A 000000000 1.000000 NC -1193.840000 -0.0006336 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1705781.360000 CNY 237362.000000 USD 2025-07-16 -1193.840000 N N N N/A N/A 000000000 1.000000 NC 105.600000 0.000056 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4492.000000 USD 133614.000000 TWD 2025-07-14 105.600000 N N N N/A N/A 000000000 1.000000 NC -491.300000 -0.0002607 N/A DFE SE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 285000.000000 SEK 29632.680000 USD 2025-07-02 -491.300000 N N N STWD 2022-FL3 LTD N/A 78485KAA3 1675017.980000 PA USD 1674049.100000 0.888389 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.65385 N N N N N N N/A N/A 000000000 1.000000 NC -15341.540000 -0.0081415 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1000000.000000 BRL 164521.040000 USD 2025-10-02 -15341.540000 N N N N/A N/A 000000000 1.000000 NC USD -41034.950000 -0.0217765 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 874291.510000 USD -41034.950000 N N N N/A N/A 000000000 1.000000 NC 2193.900000 0.0011643 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1222477.020000 USD 11586489.150000 SEK 2025-07-02 2193.900000 N N N N/A N/A 000000000 1.000000 NC 30953.710000 0.0164266 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 591591.200000 USD 3382348.740000 BRL 2025-07-02 30953.710000 N N N N/A N/A 000000000 1.000000 NC -809.990000 -0.0004298 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-09 0.000000 EUR -204.170000 EUR 100000.000000 EUR -605.820000 N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 352288.620000 PA USD 114717.930000 0.0608789 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.59368 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 2300000.000000 PA USD 2283542.350000 1.21184 Long ABS-MBS CORP US N 2 2032-04-15 Floating 5.34771 N N N N N N N/A N/A 000000000 1.000000 NC -2457.810000 -0.0013043 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 120000.000000 GBP 162260.150000 USD 2025-07-02 -2457.810000 N N N N/A N/A 000000000 1.000000 NC -47414.730000 -0.0251622 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19900000.000000 BRL 3376005.590000 USD 2026-04-02 -47414.730000 N N N N/A N/A 000000000 1.000000 NC -6699.800000 -0.0035555 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -6317.660000 N N N N/A N/A 000000000 1.000000 NC USD 121490.500000 0.0644729 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2025-08-06 0.000000 USD 0.000000 USD 2448635.860000 USD 121490.500000 N N N N/A N/A 000000000 1.000000 NC 123.240000 0.0000654 N/A DFE PE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6584.000000 USD 23811.040000 PEN 2025-09-17 123.240000 N N N N/A N/A 000000000 1.000000 NC -276.450000 -0.0001467 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 49017.070000 SGD 38371.000000 USD 2025-08-05 -276.450000 N N N N/A N/A 000000000 1.000000 NC -47.930000 -0.0000254 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23268.380000 SGD 18298.000000 USD 2025-08-05 -47.930000 N N N N/A N/A 000000000 1.000000 NC USD 37695.010000 0.0200041 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2025-09-24 0.000000 USD 0.000000 USD 1955141.290000 USD 37695.010000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KF3 100000.000000 PA USD 101200.880000 0.0537056 Long DBT CORP US N 2 2027-06-15 Fixed 5.45 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 87155.260000 PA USD 87564.590000 0.046469 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N N/A N/A 000000000 1.000000 NC -27386.160000 -0.0145334 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7514845.000000 TWD 231347.000000 USD 2025-07-16 -27386.160000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI05MPY0 2477100000.000000 PA 545710.840000 0.289599 Long DBT NUSS CO N 2 2028-04-28 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 242.060000 0.0001285 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13823.000000 USD 560038.850000 TRY 2025-07-01 242.060000 N N N N/A N/A 000000000 1.000000 NC 2264.640000 0.0012018 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 189966.000000 USD 16511882.710000 INR 2025-08-20 2264.640000 N N N N/A N/A 000000000 1.000000 NC 1380.830000 0.0007328 N/A DFE ID N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 271437.000000 USD 4424423100.000000 IDR 2025-07-16 1380.830000 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 192356.900000 PA USD 199232.810000 0.10573 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 6600000.000000 PA 342967.000000 0.182007 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 500000.000000 PA USD 504683.800000 0.267827 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N N/A N/A 000000000 1.000000 NC -27303.010000 -0.0144892 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6616095.000000 TWD 202699.000000 USD 2025-08-20 -27303.010000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZZ6 400000.000000 PA USD 405686.940000 0.215291 Long DBT CORP CA N 2 2030-08-02 Floating 4.969 N N N N N N N/A N/A 000000000 1.000000 NC USD 1332.330000 0.000707 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-20 0.000000 USD -413.750000 USD 100000.000000 USD 1746.080000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 2700000.000000 PA USD 2648636.710000 1.40559 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 864958.140000 PA USD 866670.430000 0.459927 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.5614 N N N N N N N/A N/A 000000000 1.000000 NC 268.580000 0.0001425 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 38371.000000 USD 49130.230000 SGD 2025-07-02 268.580000 N N N N/A N/A 000000000 1.000000 NC USD -78902.850000 -0.0418724 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2025-08-06 0.000000 USD 0.000000 USD 1683337.380000 USD -78902.850000 N N N N/A N/A 000000000 1.000000 NC 17279.290000 0.0091698 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1012471.000000 USD 1309327.500000 SGD 2025-07-02 17279.290000 N N N ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A N/A 03329LAS0 300000.000000 PA USD 294679.650000 0.156382 Long ABS-CBDO CORP KY N 2 2038-04-25 Fixed 3.928 N N N N N N N/A N/A 000000000 1.000000 NC 505.180000 0.0002681 N/A DCR FR N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BNP PARIBAS BNP PARIBAS SR UNSEC Y Single Leg Swap 2025-12-20 654.720000 EUR 0.000000 EUR 100000.000000 EUR -149.540000 N N N N/A N/A 000000000 1.000000 NC -17430.150000 -0.0092499 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 1657527.590000 PEN 448150.000000 USD 2025-12-19 -17430.150000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBB6 100000.000000 PA USD 92726.560000 0.0492084 Long DBT UST US N 2 2027-12-31 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -4828.680000 -0.0025625 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 400000.000000 BRL 67116.350000 USD 2025-10-02 -4828.680000 N N N N/A N/A 000000000 1.000000 NC -1767.790000 -0.0009381 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 2389934.520000 NOK 235343.000000 USD 2025-07-02 -1767.790000 N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 41644.700000 PA USD 33136.730000 0.0175851 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.23217 N N N N N N N/A N/A 000000000 1.000000 NC -8355.750000 -0.0044343 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 480000000.000000 CLP -8355.750000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418GAK3 800000.000000 PA USD 831079.760000 0.44104 Long DBT CORP CA N 2 2029-08-01 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -1505.870000 -0.0007991 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2315782.000000 TWD 79000.000000 USD 2025-08-20 -1505.870000 N N N N/A N/A 000000000 1.000000 NC 4306.130000 0.0022852 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 187167.000000 USD 5561293.000000 TWD 2025-07-16 4306.130000 N N N N/A N/A 000000000 1.000000 NC -2941.620000 -0.0015611 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2646000.000000 CNY 368096.880000 USD 2025-08-20 -2941.620000 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 150000.000000 PA 175781.220000 0.0932841 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 44568.530000 0.0236518 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2025-11-05 0.000000 USD 0.000000 USD 2173894.430000 USD 44568.530000 N N N N/A N/A 000000000 1.000000 NC 8373.200000 0.0044435 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 122522.000000 USD 711166.700000 BRL 2025-07-02 8373.200000 N N N N/A N/A 000000000 1.000000 NC USD 227623.070000 0.120796 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2026-06-03 0.000000 USD 0.000000 USD 27707114.510000 USD 227623.070000 N N N N/A N/A 000000000 1.000000 NC -4871.590000 -0.0025853 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 546166.660000 PEN 148637.000000 USD 2025-11-28 -4871.590000 N N N FHLMC PASS THRU POOLS N/A 3142GQBT8 463827.330000 PA USD 456197.850000 0.242096 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -3836.860000 -0.0020362 N/A DFE CL N 2 UBS AG BFM8T61CT2L1QCEMIK50 460928141.000000 CLP 490923.570000 USD 2025-07-23 -3836.860000 N N N N/A N/A 000000000 1.000000 NC USD 19635.020000 0.01042 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2025-08-06 0.000000 USD 0.000000 USD 1014202.930000 USD 19635.020000 N N N N/A N/A 000000000 1.000000 NC 1560.010000 0.0008279 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 259481.780000 USD 4233445241.000000 IDR 2025-07-16 1560.010000 N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 601000.000000 PA USD 605461.690000 0.321308 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC -10732.240000 -0.0056954 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1555923.520000 CAD 1133803.820000 USD 2025-08-05 -10732.240000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBE9 200000.000000 PA USD 202650.000000 0.107543 Long DBT NUSS MX N 2 2032-07-02 Fixed 5.85 N N N N N N N/A N/A 000000000 1.000000 NC 44.360000 0.0000235 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 12000.000000 USD 15314.400000 SGD 2025-07-02 44.360000 N N N N/A N/A 000000000 1.000000 NC USD -105421.360000 -0.0559453 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2026-01-07 0.000000 USD 0.000000 USD 2257498.970000 USD -105421.360000 N N N N/A N/A 000000000 1.000000 NC USD 11467.310000 0.0060855 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2025-11-05 0.000000 USD 0.000000 USD 589861.800000 USD 11467.310000 N N N N/A N/A 000000000 1.000000 NC -2157.450000 -0.0011449 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2500691.980000 DKK 393631.250000 USD 2025-08-04 -2157.450000 N N N N/A N/A 000000000 1.000000 NC -4776.840000 -0.002535 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 300000.000000 BRL 49181.940000 USD 2025-10-02 -4776.840000 N N N N/A N/A 000000000 1.000000 NC -5192.730000 -0.0027557 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR -4861.380000 N N N N/A N/A 000000000 1.000000 NC -14384.920000 -0.0076338 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1190490577.000000 KRW 866183.000000 USD 2025-07-16 -14384.920000 N N N N/A N/A 000000000 1.000000 NC USD 30585.640000 0.0162313 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.43 Y Single Leg Swap 2029-12-20 29019.210000 USD 0.000000 USD 1340000.000000 USD 1566.430000 N N N DRYDEN 53 CLO LTD 2017-53A N/A 26243EAB7 1600000.000000 PA USD 1598192.110000 0.848133 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 5.91771 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 300000.000000 PA USD 302453.220000 0.160507 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 55717.070000 PA USD 54636.960000 0.0289949 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB N/A 78449DAC0 703323.270000 PA USD 698704.340000 0.370791 Long ABS-O CORP US N 2 2054-09-15 Floating 5.28368 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2P59J2 100000.000000 PA 2522.240000 0.0013385 Long DBT NUSS TR N 2 2026-08-19 Floating 48.8 N N N N N N N/A N/A 000000000 1.000000 NC -2694.330000 -0.0014298 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 585000.000000 DKK 89668.010000 USD 2025-07-02 -2694.330000 N N N N/A N/A 000000000 1.000000 NC -3607.940000 -0.0019147 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 215355366.000000 JPY 1497392.000000 USD 2025-08-04 -3607.940000 N N N N/A N/A 000000000 1.000000 NC USD -815.420000 -0.0004327 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -192.000000 USD 50000.000000 USD -623.420000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 1000000.000000 PA USD 1061738.570000 0.563447 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 900000.000000 PA USD 903410.570000 0.479425 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 6.16947 N N N N N N N/A N/A 000000000 1.000000 NC 2608.690000 0.0013844 N/A DCR NL N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTL FIN NV SR UNSEC Y Single Leg Swap 2028-06-20 2372.640000 EUR 0.000000 EUR 300000.000000 EUR 236.050000 N N N N/A N/A 000000000 1.000000 NC -1014.320000 -0.0005383 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 76000.000000 AUD 49005.100000 USD 2025-07-02 -1014.320000 N N N TOWD POINT MORTGAGE TRUST 2022-4 N/A 89180YAA8 1012968.150000 PA USD 969890.060000 0.514704 Long ABS-MBS CORP US N 2 2062-09-25 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -3562.870000 -0.0018908 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -721.500000 USD 200000.000000 USD -2841.370000 N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 96620.750000 PA USD 50868.380000 0.026995 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.73368 N N N N N N N/A N/A 000000000 1.000000 NC -305.480000 -0.0001621 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 440000.000000 CNY 61394.040000 USD 2025-08-20 -305.480000 N N N N/A N/A 000000000 1.000000 NC USD 453.250000 0.0002405 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -457.500000 USD 100000.000000 USD 910.750000 N N N N/A N/A 000000000 1.000000 NC -29.390000 -0.0000156 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1453454.000000 JPY 10101.000000 USD 2025-08-04 -29.390000 N N N N/A N/A 000000000 1.000000 NC USD 3005.430000 0.0015949 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -546.000000 USD 200000.000000 USD 3551.430000 N N N N/A N/A 000000000 1.000000 NC -24810.820000 -0.0131667 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6703760.000000 TWD 205997.000000 USD 2025-07-16 -24810.820000 N N N N/A N/A 000000000 1.000000 NC -3766.510000 -0.0019988 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-01-08 0.000000 EUR -238.400000 EUR 100000.000000 EUR -3528.110000 N N N N/A N/A 000000000 1.000000 NC -1743.650000 -0.0009253 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1623113.660000 CNY 225251.000000 USD 2025-07-16 -1743.650000 N N N N/A N/A 000000000 1.000000 NC 25735.430000 0.0136574 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1170000.000000 USD 34800684.000000 TWD 2025-07-09 25735.430000 N N N N/A N/A 000000000 1.000000 NC USD 105015.530000 0.05573 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2025-10-01 0.000000 USD 0.000000 USD 1171537.160000 USD 105015.530000 N N N N/A N/A OP00442S4 -100000.000000 NC USD -7.170000 -0.0000038 N/A DCR US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 Put Written Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG44 (V1 ONLY) 5Y SP Single Leg Swap 2030-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2025-07-16 XXXX 114.830000 N N N N/A N/A 000000000 1.000000 NC -3071.530000 -0.00163 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-06 0.000000 EUR -304.200000 EUR 100000.000000 EUR -2767.330000 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAL7 200000.000000 PA USD 214534.730000 0.11385 Long DBT CORP US N 2 2033-11-21 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -16220.580000 -0.008608 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3941794.000000 TWD 120812.000000 USD 2025-08-20 -16220.580000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 480000000.000000 PA 506964.500000 0.269037 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC 2092.550000 0.0011105 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 74000.000000 USD 2188831.000000 TWD 2025-08-20 2092.550000 N N N N/A N/A 000000000 1.000000 NC 61.690000 0.0000327 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 222706.000000 USD 19134899.520000 INR 2025-08-20 61.690000 N N N N/A N/A 000000000 1.000000 NC 1068.460000 0.000567 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 66520.560000 USD 482000.000000 CNY 2025-08-20 1068.460000 N N N N/A N/A 000000000 1.000000 NC USD -4730.460000 -0.0025104 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -570.000000 USD 200000.000000 USD -4160.460000 N N N N/A N/A 000000000 1.000000 NC 280.300000 0.0001488 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11834.000000 USD 352062.000000 TWD 2025-07-14 280.300000 N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A 63939KAC3 1156887.070000 PA USD 1162707.140000 0.617029 Long ABS-O CORP US N 2 2040-07-16 Floating 5.87624 N N N N N N N/A N/A 000000000 1.000000 NC 10769.710000 0.0057153 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 845173.000000 USD 123260030.000000 JPY 2025-07-02 10769.710000 N N N N/A N/A 000000000 1.000000 NC -14618.850000 -0.007758 N/A DFE SE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 11294302.380000 SEK 1179168.460000 USD 2025-07-02 -14618.850000 N N N N/A N/A 000000000 1.000000 NC -2958.690000 -0.0015701 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 260187.700000 SGD 202186.000000 USD 2025-08-05 -2958.690000 N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 112711.960000 PA USD 71675.920000 0.0380372 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 897393.460000 0.476231 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 854180.600000 EUR 0.000000 EUR 4134539.450000 EUR 43212.860000 N N N N/A N/A 000000000 1.000000 NC -28905.990000 -0.0153399 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 388011989.000000 JPY 2675489.000000 USD 2025-08-04 -28905.990000 N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 360954.440000 PA USD 365412.440000 0.193918 Long ABS-O CORP US N 2 2030-06-15 Fixed 5.89 N N N N N N N/A N/A 000000000 1.000000 NC 170932.060000 0.0907107 N/A DCR N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 152864.980000 EUR 0.000000 EUR 787531.320000 EUR 18067.080000 N N N N/A N/A 000000000 1.000000 NC -2164.140000 -0.0011485 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11561505.270000 SEK 1222477.020000 USD 2025-08-04 -2164.140000 N N N N/A N/A 000000000 1.000000 NC USD 241115.260000 0.127956 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2025-07-16 0.000000 USD 0.000000 USD 12474063.480000 USD 241115.260000 N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 465914.940000 PA USD 176522.870000 0.0936777 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -118136.230000 -0.0626929 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 28185476.000000 TWD 861704.000000 USD 2025-08-20 -118136.230000 N N N N/A N/A 000000000 1.000000 NC USD -7418.770000 -0.003937 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-27 0.000000 USD 0.000000 USD 3100000.000000 USD -7418.770000 N N N N/A N/A 000000000 1.000000 NC USD 4767.540000 0.0025301 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2026-12-20 6482.210000 USD 0.000000 USD 500000.000000 USD -1714.670000 N N N N/A N/A 000000000 1.000000 NC USD 157172.060000 0.0834085 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 148746.300000 USD 0.000000 USD 7000000.000000 USD 8425.760000 N N N GNMA PASS THRU POOLS N/A 21H040673 3630000.000000 PA USD 3375656.030000 1.7914 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 B1KNGGII4 3100000.000000 PA 145529.550000 0.0772301 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.2 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 29862.780000 PA USD 25263.140000 0.0134067 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.99368 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 273012.560000 PA USD 271701.340000 0.144187 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.384 N N N N N N N/A N/A 000000000 1.000000 NC USD 6921.960000 0.0036734 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2025-07-02 0.000000 USD 0.000000 USD 139774.140000 USD 6921.960000 N N N N/A N/A 000000000 1.000000 NC 1999.920000 0.0010613 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 212397.000000 USD 18415881.890000 INR 2025-08-20 1999.920000 N N N N/A N/A 000000000 1.000000 NC -27680.410000 -0.0146895 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7548515.000000 TWD 232212.000000 USD 2025-07-16 -27680.410000 N N N N/A N/A 000000000 1.000000 NC -1235.180000 -0.0006555 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4788326.380000 TRY 116427.240000 USD 2025-07-29 -1235.180000 N N N N/A N/A 000000000 1.000000 NC -1452.710000 -0.0007709 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1646000.000000 MXN 85558.050000 USD 2025-09-17 -1452.710000 N N N N/A N/A 000000000 1.000000 NC 1583.640000 0.0008404 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 5000000.000000 MXN 1583.640000 N N N CANADIAN NATURAL RESOURCES LIMITED 549300T15RIMIKZC5Q38 13638WV66 930000.000000 PA USD 925457.880000 0.491125 Long DBT CORP CA N 2 2025-08-06 None 0 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 46792.410000 PA USD 26872.360000 0.0142607 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 -887.050000 -0.0004707 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1452000.000000 CNY 202721.380000 USD 2025-08-20 -887.050000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 3500000.000000 PA 935282.990000 0.496339 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 -6008.860000 -0.0031888 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1320291.450000 BRL 237000.000000 USD 2025-07-02 -6008.860000 N N N N/A N/A 000000000 1.000000 NC -261.230000 -0.0001386 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 305000.000000 NOK 29998.510000 USD 2025-07-02 -261.230000 N N N OBX 2023-NQM1 TRUST N/A 670855AA3 1612753.940000 PA USD 1612040.140000 0.855482 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 2136.030000 0.0011336 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1253869.940000 USD 8957000.000000 CNY 2025-08-20 2136.030000 N N N N/A N/A 000000000 1.000000 NC USD 99469.180000 0.0527866 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 35004.750000 USD 0.000000 USD 2300000.000000 USD 64464.430000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 407696.460000 PA USD 132323.960000 0.0702221 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 USD 1589.360000 0.0008434 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -275.000000 USD 100000.000000 USD 1864.360000 N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 2518.000000 PA USD 2508.120000 0.001331 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.77368 N N N N N N 2025-08-19 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX