NPORT-P false 0000810893 XXXXXXXX S000079898 C000241367 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Total Return Fund V S000079898 549300FWMPGHJPL5Y817 2026-03-31 2025-06-30 N 387432173.200000 112764636.220000 274667536.980000 0.000000 0.000000 2254309.440000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4014380.690000 USD BRL PEN AUD EUR CAD GBP JPY N Bloomberg US Aggregate Total Return Unhedged USD Index LBUSTRUU N/A N/A 000000000 1.000000 NC -390.350000 -0.0001421 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 68786.140000 SGD 53844.000000 USD 2025-08-05 -390.350000 N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 318229.640000 PA USD 321579.900000 0.11708 Long ABS-O CORP US N 2 2030-02-15 Fixed 5.69 N N N N N N N/A N/A 000000000 1.000000 NC 235.540000 0.0000858 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 297462.000000 TWD 2025-07-14 235.540000 N N N N/A N/A 000000000 1.000000 NC -25776.450000 -0.0093846 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6147117.000000 TWD 187922.000000 USD 2025-08-20 -25776.450000 N N N N/A N/A 000000000 1.000000 NC 93.130000 0.0000339 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30000.000000 USD 488185800.000000 IDR 2025-07-14 93.130000 N N N N/A N/A 000000000 1.000000 NC USD -3532.310000 -0.001286 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -592.500000 USD 200000.000000 USD -2939.810000 N N N N/A N/A 000000000 1.000000 NC -28491.390000 -0.010373 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6800636.000000 TWD 207926.000000 USD 2025-08-20 -28491.390000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 300000.000000 PA USD 206437.500000 0.075159 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N N/A N/A 000000000 -1700000.000000 NC USD -3268.930000 -0.0011901 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.48900 07/23/25-10Y LCH 2035-07-23 0.000000 USD 0.000000 USD N/A USD N/A 3.490000 USD 2025-07-21 XXXX 8873.930000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UE6 1300000.000000 PA USD 1239265.630000 0.451188 Long DBT UST US N 2 2054-11-15 Fixed 4.5 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -250.920000 -0.0000914 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70000 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2025-06-30 XXXX 449.080000 N N N FHLMC PASS THRU POOLS N/A 3142GRGT1 1354977.240000 PA USD 1356321.620000 0.493805 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.5 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECK9 1400000.000000 PA USD 1480416.920000 0.538985 Long DBT CORP GB N 2 2029-09-13 Floating 6.49 N N N N N N N/A N/A 000000000 1.000000 NC USD -1565.480000 -0.00057 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 1980000.000000 USD -1565.480000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFQ3 200000.000000 PA USD 207780.670000 0.0756481 Long DBT CORP US N 2 2030-04-18 Floating 5.656 N N N N N N AVOCA STATIC CLO I DAC 1A N/A ACI2S1S08 462517.030000 PA 544845.500000 0.198366 Long ABS-CBDO CORP IE N 2 2035-01-15 Floating 3.249 N N N N N N N/A N/A 000000000 14200000.000000 NC USD 1993.680000 0.0007259 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 07/23/25-1Y LCH 2026-07-23 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2025-07-21 XXXX -10076.320000 N N N N/A N/A 000000000 1.000000 NC -51.530000 -0.0000188 N/A DFE SG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7000.000000 SGD 5453.780000 USD 2025-07-02 -51.530000 N N N N/A N/A 000000000 -200000.000000 NC USD -2083.480000 -0.0007585 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.79000 07/11/25-10Y LCH 2035-07-11 0.000000 USD 0.000000 USD N/A USD N/A 3.790000 USD 2025-07-09 XXXX -1428.480000 N N N N/A N/A 000000000 1.000000 NC 648.700000 0.0002362 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54415.000000 USD 4729762.680000 INR 2025-08-20 648.700000 N N N BRANDYWINE OPERATING PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AQ6 100000.000000 PA USD 97416.500000 0.0354671 Long DBT CORP US N 2 2027-11-15 Fixed 3.95 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HN6 200000.000000 PA USD 125830.560000 0.045812 Long DBT CORP US N 2 2052-02-01 Fixed 3.45 N N N N N N N/A N/A 000000000 1.000000 NC USD -9693.940000 -0.0035293 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 900000.000000 USD -9693.940000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UC0 600000.000000 PA USD 548109.370000 0.199554 Long DBT UST US N 2 2054-08-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 76935.270000 0.0280103 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 62763.340000 USD 0.000000 USD 3800000.000000 USD 14171.930000 N N N N/A N/A 000000000 1.000000 NC -103.290000 -0.0000376 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 487809559.000000 IDR 29943.500000 USD 2025-07-07 -103.290000 N N N N/A N/A 000000000 1.000000 NC 12948.430000 0.0047142 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-03-20 0.000000 AUD -14431.660000 AUD 500000.000000 AUD 27380.090000 N N N N/A N/A 000000000 1.000000 NC -2775.900000 -0.0010106 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 756991.000000 TWD 23287.000000 USD 2025-07-16 -2775.900000 N N N N/A N/A 000000000 -1.000000 NC -212.030000 -0.0000772 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Put Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 09/08/25 2025-09-09 N/A EUR N/A 117.250000 EUR 2025-07-25 XXXX 8.590000 N N N N/A N/A 000000000 1.000000 NC USD -14377.450000 -0.0052345 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-04-30 0.000000 USD 0.000000 USD 1350000.000000 USD -14377.450000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 132880.000000 PA USD 96363.790000 0.0350838 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N N/A N/A 000000000 1.000000 NC 464.960000 0.0001693 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 62884.000000 USD 1027361690.000000 IDR 2025-07-16 464.960000 N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KE0 775000.000000 PA USD 768621.390000 0.279837 Long DBT CORP US N 2 2026-04-01 Fixed 3.25 N N N N N N FHLMC PASS THRU POOLS N/A 3133KRBP8 4179277.810000 PA USD 4004707.370000 1.45802 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -40.410000 -0.0000147 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 14130.800000 SGD 11101.000000 USD 2025-08-05 -40.410000 N N N N/A N/A 000000000 1.000000 NC USD 187.480000 0.0000683 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -318.000000 USD 80000.000000 USD 505.480000 N N N N/A N/A 000000000 1.000000 NC 1134.950000 0.0004132 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 168944.000000 USD 229939542.000000 KRW 2025-07-16 1134.950000 N N N N/A N/A 000000000 1.000000 NC USD -7937.960000 -0.00289 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -1176.000000 USD 400000.000000 USD -6761.960000 N N N N/A N/A 000000000 1.000000 NC USD -34313.530000 -0.0124928 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 4900000.000000 USD -34313.530000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGW5 213878.000000 PA USD 213517.310000 0.0777366 Long DBT UST US N 2 2028-04-15 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 142296.160000 0.0518067 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.43 Y Single Leg Swap 2029-12-20 138301.100000 USD 0.000000 USD 1900000.000000 USD 3995.060000 N N N N/A N/A 000000000 1.000000 NC -51.590000 -0.0000188 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 26905.470000 SGD 21162.000000 USD 2025-08-05 -51.590000 N N N N/A N/A 000000000 -100000.000000 NC USD -374.020000 -0.0001362 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68000 07/09/25-10Y LCH 2035-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2025-07-07 XXXX -15.020000 N N N N/A N/A 000000000 1.000000 NC -1155.300000 -0.0004206 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-29 0.000000 EUR -376.000000 EUR 200000.000000 EUR -779.300000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 400000.000000 PA USD 295953.120000 0.10775 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SE9 900000.000000 PA USD 712230.470000 0.259306 Long DBT UST US N 2 2048-11-15 Fixed 3.375 N N N N N N HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC 254900ZZRL7MWL1X8E92 41068XAF7 200000.000000 PA USD 200132.950000 0.0728637 Long DBT CORP US N 2 2034-07-01 Fixed 6.375 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JJ3 300000.000000 PA USD 303216.830000 0.110394 Long DBT CORP US N 2 2030-03-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -18870.220000 -0.0068702 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2156928.980000 PEN 587623.000000 USD 2025-11-14 -18870.220000 N N N N/A N/A 000000000 1.000000 NC 58.090000 0.0000211 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-05 0.000000 EUR 0.000000 EUR 400000.000000 EUR 58.090000 N N N N/A N/A 000000000 1.000000 NC -68887.850000 -0.0250804 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 -76183.370000 EUR 1800000.000000 EUR 7295.520000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFN0 500000.000000 PA USD 502980.920000 0.183123 Long DBT CORP US N 2 2028-04-13 Floating 5.36166 N N N N N N N/A N/A 000000000 1.000000 NC -67.560000 -0.0000246 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 651708.000000 THB 20000.000000 USD 2025-07-16 -67.560000 N N N N/A N/A 000000000 1.000000 NC USD -551.960000 -0.000201 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 800000.000000 USD -551.960000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YCZ0 200000.000000 PA USD 207714.710000 0.075624 Long DBT CORP JP N 2 2029-07-06 Floating 5.778 N N N N N N N/A N/A 000000000 1.000000 NC -5494.380000 -0.0020004 N/A DFE PE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 537866.030000 PEN 145794.760000 USD 2025-11-03 -5494.380000 N N N N/A N/A 000000000 1.000000 NC -28258.300000 -0.0102882 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6726994.000000 TWD 205599.000000 USD 2025-08-20 -28258.300000 N N N N/A N/A 000000000 1.000000 NC -82.180000 -0.0000299 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 30073.000000 USD 4318828.000000 JPY 2025-07-02 -82.180000 N N N N/A N/A 000000000 -900000.000000 NC USD -11536.200000 -0.0042001 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73900 08/14/25-10Y LCH 2035-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.740000 USD 2025-08-12 XXXX -5025.560000 N N N N/A N/A 000000000 1.000000 NC -84.570000 -0.0000308 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 157666.100000 THB 4770.330000 USD 2025-07-16 -84.570000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BPSNB4II5 2800000.000000 PA 3839076.040000 1.39772 Long DBT NUSS GB N 2 2027-03-07 Fixed 3.75 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 2300000.000000 PA USD 2252871.940000 0.820218 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N KEB HANA BANK (AKA: KOREA EXCHANGE BANK) 6RPK2YDJN6L35AS0M510 48723RAE5 300000.000000 PA USD 306028.690000 0.111418 Long DBT CORP KR N 2 2027-04-23 Fixed 5.375 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.120000 0 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10000 07/08/25-10Y LCH 2035-07-08 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2025-07-03 XXXX 747.880000 N N N N/A N/A 000000000 1.000000 NC -16.100000 -0.0000059 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24132.620000 THB 727.000000 USD 2025-07-16 -16.100000 N N N FNMA PASS THRU POOLS N/A 3140QSDX6 7338798.110000 PA USD 7038374.650000 2.56251 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1214.420000 -0.0004421 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-09-08 153310.280000 EUR -1214.420000 N N N N/A N/A 000000000 1.000000 NC -16.480000 -0.000006 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 14036.710000 USD 227618447.000000 IDR 2025-07-08 -16.480000 N N N N/A N/A 000000000 1.000000 NC 20602.970000 0.0075011 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1254853.370000 USD 7037217.700000 BRL 2025-09-03 20602.970000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLW9 16100000.000000 PA USD 16157859.380000 5.8827 Long DBT UST US N 2 2034-11-15 Fixed 4.25 N N N N N N SOLAR STAR FUNDING LLC N/A 83416WAA1 274260.400000 PA USD 282634.150000 0.102901 Long DBT CORP US N 2 2035-06-30 Fixed 5.375 N N N N N N N/A N/A 000000000 -100000.000000 NC -0.510000 -0.0000002 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.38000 07/07/25-10Y LCH 2035-07-07 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.380000 EUR 2025-07-03 XXXX 263.810000 N N N N/A N/A 000000000 1.000000 NC USD -1773.410000 -0.0006457 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 500000.000000 USD -1773.410000 N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2V3 300000.000000 PA USD 304206.100000 0.110754 Long DBT CORP CA N 2 2026-12-11 Fixed 5.264 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQM78 7187630.370000 PA USD 7070884.850000 2.57434 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 656029AN5 400000.000000 PA USD 405970.870000 0.147805 Long DBT CORP JP N 2 2029-10-16 Fixed 5.094 N N N N N N N/A N/A 000000000 1.000000 NC -70.830000 -0.0000258 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 115438.000000 USD 9909601.950000 INR 2025-08-20 -70.830000 N N N GREATAMERICA LEASING RECEIVABLES FUNDING LLC 2025-1 N/A 39154GAH9 1200000.000000 PA USD 1202088.000000 0.437652 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.52 N N N N N N BMW VEHICLE LEASE TRUST 2024-1 N/A 05611UAD5 500000.000000 PA USD 501816.900000 0.1827 Long ABS-O CORP US N 2 2027-03-25 Fixed 4.98 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEG7 200000.000000 PA USD 207709.680000 0.0756222 Long DBT CORP US N 2 2030-04-22 Floating 5.581 N N N N N N N/A N/A 000000000 1.000000 NC 5693.810000 0.002073 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 218116.810000 USD 190000.000000 EUR 2025-07-02 5693.810000 N N N N/A N/A 000000000 1.000000 NC -58.280000 -0.0000212 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 116393.000000 USD 9992711.510000 INR 2025-08-20 -58.280000 N N N N/A N/A 000000000 3400000.000000 NC USD 3364.640000 0.001225 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70000 08/15/25-1Y LCH 2026-08-15 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2025-08-13 XXXX -35.360000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 1037043.000000 PA USD 554290.470000 0.201804 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAJ6 300000.000000 PA USD 307649.190000 0.112008 Long DBT CORP GB N 2 2027-10-18 Floating 6.557 N N N N N N N/A N/A 000000000 -1.000000 NC -129.570000 -0.0000472 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Call Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 09/08/25 2025-09-09 N/A EUR N/A 118.500000 EUR 2025-07-25 XXXX 50.410000 N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBQ8 500000.000000 PA USD 513448.780000 0.186935 Long DBT CORP US N 2 2031-03-20 Floating 5.741 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 1000000.000000 PA USD 1050721.050000 0.382543 Long DBT CORP CH N 2 2029-09-22 Floating 6.246 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBR0 300000.000000 PA USD 316304.590000 0.115159 Long DBT CORP US N 2 2027-11-15 Fixed 7.1 N N N N N N N/A N/A 000000000 1.000000 NC 1.410000 0.0000005 N/A DFE IN N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 365.940000 USD 31553.590000 INR 2025-08-20 1.410000 N N N HANWHA Q CELLS AMERICAS HOLDINGS CORP 988400471QDZGCLXRM35 41136TAA5 300000.000000 PA USD 305542.510000 0.111241 Long DBT CORP US N 2 2028-07-27 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -2432.130000 -0.0008855 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4091292.020000 THB 123548.000000 USD 2025-07-16 -2432.130000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEE2 200000.000000 PA USD 204182.930000 0.0743382 Long DBT CORP US N 2 2028-04-22 Floating 5.571 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -32.500000 -0.0000118 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09700 07/18/25-10Y LCH 2035-07-18 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2025-07-16 XXXX 545.000000 N N N N/A N/A 000000000 1.000000 NC -79.430000 -0.0000289 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 13816373.000000 KRW 10140.100000 USD 2025-07-16 -79.430000 N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 700000.000000 PA USD 697989.220000 0.254122 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.40177 N N N N N N N/A N/A 000000000 1.000000 NC -2718.710000 -0.0009898 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 239082.990000 SGD 185786.000000 USD 2025-08-05 -2718.710000 N N N N/A N/A 000000000 1.000000 NC -20879.190000 -0.0076016 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6931182.590000 BRL 1254853.370000 USD 2025-07-02 -20879.190000 N N N N/A N/A 000000000 1.000000 NC USD 26034.940000 0.0094787 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-18 45814.400000 USD 0.000000 USD 3200000.000000 USD -19779.460000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NS6 1100000.000000 PA USD 1104412.490000 0.402091 Long DBT CORP US N 2 2028-05-24 Floating 4.658 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TU2 1200000.000000 PA USD 1144195.310000 0.416575 Long DBT UST US N 2 2043-08-15 Fixed 4.375 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DAW0 800000.000000 PA USD 746196.140000 0.271672 Long DBT CORP NL N 2 2029-12-13 Floating 2.47 N N N N N N NEDERLANDSE WATERSCHAPSBANK NV (NWB BANK) JLP5FSPH9WPSHY3NIM24 63983TEH4 200000.000000 PA USD 200960.950000 0.0731652 Long DBT NUSS NL N 2 2028-06-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 891.630000 0.0003246 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 60000.000000 USD 1977498.000000 THB 2025-07-16 891.630000 N N N POST ROAD EQUIPMENT FINANCE 2025-1 LLC N/A 73747LAB4 1200000.000000 PA USD 1207444.560000 0.439602 Long ABS-O CORP US N 2 2031-05-15 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC -5.780000 -0.0000021 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 287259.000000 JPY 1989.000000 USD 2025-07-02 -5.780000 N N N N/A N/A 000000000 1.000000 NC 162.980000 0.0000593 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 30000.000000 USD 489696000.000000 IDR 2025-07-07 162.980000 N N N N/A N/A 000000000 1.000000 NC -25615.720000 -0.0093261 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6891357.000000 TWD 211651.000000 USD 2025-07-16 -25615.720000 N N N N/A N/A 000000000 6600000.000000 NC USD 3851.760000 0.0014023 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 08/06/25-1Y LCH 2026-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2025-08-04 XXXX -4233.240000 N N N N/A N/A 000000000 -200000.000000 NC USD -1361.480000 -0.0004957 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 07/08/25-10Y LCH 2035-07-08 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2025-07-03 XXXX -613.480000 N N N N/A N/A 000000000 1.000000 NC -17557.630000 -0.0063923 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2880821575.000000 KRW 2113294.240000 USD 2025-07-16 -17557.630000 N N N N/A N/A 000000000 1.000000 NC 995.140000 0.0003623 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 41219.000000 USD 1226100.000000 TWD 2025-07-16 995.140000 N N N N/A N/A 000000000 1.000000 NC USD 9000.830000 0.003277 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-12-17 0.000000 USD 0.000000 USD 300000.000000 USD 9000.830000 N N N GNMA PASS THRU POOLS N/A 21H040673 2300000.000000 PA USD 2138845.420000 0.778703 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4 N N N N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI2R4B43 100000.000000 PA 116674.530000 0.0424785 Long DBT NUSS N/A N 2 2031-12-04 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 87881.760000 0.0319957 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 13055.180000 USD 0.000000 USD 1200000.000000 USD 74826.580000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 2500000.000000 PA USD 2233789.050000 0.81327 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N INTERSTATE POWER AND LIGHT COMPANY EF9UQIIO4KY2BWOK3P26 461070AP9 200000.000000 PA USD 198390.070000 0.0722292 Long DBT CORP US N 2 2028-09-26 Fixed 4.1 N N N N N N N/A N/A 000000000 72000.000000 NC 5042.180000 0.0018357 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-29 N/A 1.100000 EUR 2025-12-23 XXXX -3318.100000 N N N UMBS PASS THRU POOLS N/A 01F040685 3700000.000000 PA USD 3440133.760000 1.25247 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.220000 -0.0000001 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07500 07/08/25-10Y LCH 2035-07-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2025-07-03 XXXX 752.280000 N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565ECY9 500000.000000 PA USD 509338.420000 0.185438 Long DBT CORP US N 2 2030-03-21 Fixed 5.05 N N N N N N N/A N/A 000000000 1.000000 NC 2121.840000 0.0007725 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 166419.000000 USD 24181329.000000 JPY 2025-08-04 2121.840000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2MJSF2 300000.000000 PA 358088.750000 0.130372 Long DBT NUSS MX N 2 2032-05-25 Fixed 4.4899 N N N N N N N/A N/A 000000000 7800000.000000 NC USD 6066.840000 0.0022088 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 08/14/25-1Y LCH 2026-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2025-08-12 XXXX -563.160000 N N N N/A N/A 000000000 -800000.000000 NC USD -8139.360000 -0.0029633 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70750 08/06/25-10Y LCH 2035-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-08-04 XXXX 95.930000 N N N N/A N/A 000000000 -100000.000000 NC -123.320000 -0.0000449 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.64000 07/07/25-10Y LCH 2035-07-07 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.640000 EUR 2025-07-03 XXXX 141.000000 N N N FNMA PASS THRU POOLS N/A 3140QRAB9 1314734.110000 PA USD 1260686.510000 0.458986 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 17.050000 0.0000062 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 648960.000000 THB 20000.000000 USD 2025-07-16 17.050000 N N N N/A N/A 000000000 67000.000000 NC 4936.230000 0.0017972 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-12-19 N/A 1.100000 EUR 2025-12-17 XXXX -2726.780000 N N N SUNNOVA HESTIA I ISSUER LLC 2023-GRID1 N/A 86746BAA1 356086.340000 PA USD 359284.920000 0.130807 Long ABS-O MUN US N 2 2050-12-20 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 22643.640000 0.008244 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-09-18 4137.540000 AUD 0.000000 AUD 900000.000000 AUD 18506.100000 N N N N/A N/A 000000000 -200000.000000 NC USD -90.120000 -0.0000328 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05000 07/23/25-10Y LCH 2035-07-23 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2025-07-21 XXXX 544.880000 N N N N/A N/A 000000000 1.000000 NC 1701.130000 0.0006193 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 132389.100000 USD 2563000.000000 MXN 2025-12-17 1701.130000 N N N N/A N/A 000000000 1.000000 NC 803.870000 0.0002927 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 89581.320000 USD 71716.130000 CHF 2025-07-02 803.870000 N N N N/A N/A 000000000 1.000000 NC -55.120000 -0.0000201 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 13706489.000000 KRW 10083.130000 USD 2025-07-16 -55.120000 N N N N/A N/A 000000000 -200000.000000 NC USD -4.060000 -0.0000015 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.01900 07/09/25-10Y LCH 2035-07-09 0.000000 USD 0.000000 USD N/A USD N/A 4.020000 USD 2025-07-07 XXXX 746.940000 N N N BROOKFIELD FINANCE I UK PLC / BROOKFIELD FINANCE INC N/A 11272BAA1 1400000.000000 PA USD 1191200.470000 0.433688 Long DBT CORP GB N 2 2032-01-30 Fixed 2.34 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HM8 300000.000000 PA USD 258767.010000 0.094211 Long DBT CORP US N 2 2032-02-01 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -178.610000 -0.000065 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 13758500.000000 KRW 10000.000000 USD 2025-07-07 -178.610000 N N N N/A N/A 000000000 1.000000 NC 25.210000 0.0000092 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10505.000000 USD 1510817.000000 JPY 2025-08-04 25.210000 N N N N/A N/A 000000000 1.000000 NC 40.760000 0.0000148 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 11026.000000 USD 14071.380000 SGD 2025-07-02 40.760000 N N N N/A N/A 000000000 1.000000 NC USD -118303.530000 -0.0430715 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -59234.540000 USD 7900000.000000 USD -59068.990000 N N N N/A N/A 000000000 1.000000 NC USD 214898.540000 0.0782395 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.44 Y Single Leg Swap 2030-06-20 131570.000000 USD 0.000000 USD 2800000.000000 USD 83328.540000 N N N N/A N/A 000000000 1.000000 NC USD -22030.360000 -0.0080207 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-15 0.000000 USD -3102.480000 USD 1100000.000000 USD -18927.880000 N N N N/A N/A 000000000 1509000.000000 NC 4285.620000 0.0015603 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-11-26 N/A 1.110000 EUR 2025-11-24 XXXX -2793.170000 N N N VF CORPORATION CWAJJ9DJ5Z7P057HV541 918204BC1 500000.000000 PA USD 422246.200000 0.15373 Long DBT CORP US N 2 2030-04-23 Fixed 2.95 N N N N N N N/A N/A 000000000 1.000000 NC USD -3562.870000 -0.0012972 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 N/A N/A 000000000 1.000000 NC -41.870000 -0.0000152 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 14037.530000 SGD 11026.000000 USD 2025-08-05 -41.870000 N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 216572.660000 PA USD 219247.460000 0.0798229 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 -22819.900000 -0.0083082 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5444478.000000 TWD 166452.000000 USD 2025-08-20 -22819.900000 N N N N/A N/A 000000000 1.000000 NC 84.300000 0.0000307 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 48209.110000 USD 783198452.000000 IDR 2025-07-16 84.300000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EL5 300000.000000 PA USD 302037.000000 0.109965 Long DBT NUSS CO N 2 2035-11-14 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -1928.120000 -0.000702 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 464701.000000 USD 66641608.000000 JPY 2025-07-02 -1928.120000 N N N AP MOLLER - MAERSK A/S 549300D2K6PKKKXVNN73 00203QAF4 500000.000000 PA USD 527369.590000 0.192003 Long DBT CORP DK N 2 2033-09-14 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC 5691.720000 0.0020722 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 526816.000000 USD 76401332.000000 JPY 2025-08-04 5691.720000 N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07700 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2025-06-30 XXXX 304.990000 N N N N/A N/A 000000000 1.000000 NC -2524.770000 -0.0009192 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 0.000000 AUD -760.450000 AUD 700000.000000 AUD -1764.320000 N N N TESLA AUTO LEASE TRUST 2024-A N/A 88166VAB2 32593.720000 PA USD 32611.720000 0.0118732 Long ABS-O CORP US N 2 2026-06-22 Fixed 5.37 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCH6 700000.000000 PA USD 715505.830000 0.260499 Long DBT CORP US N 2 2028-06-01 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC 7919.940000 0.0028835 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 332067.270000 USD 9874850.000000 TWD 2025-07-16 7919.940000 N N N HANWHA ENERGY USA HOLDINGS CORPORATION 549300VVIE7XDIYNIT55 41135WAC5 400000.000000 PA USD 401592.440000 0.14621 Long DBT CORP US N 2 2028-07-02 Fixed 4.375 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1546.600000 -0.0005631 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70000 07/23/25-10Y LCH 2035-07-23 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2025-07-21 XXXX -911.600000 N N N N/A N/A 000000000 1.000000 NC 2379.570000 0.0008663 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-03-28 0.000000 GBP -425.980000 GBP 100000.000000 GBP 2805.550000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAZ9 1300000.000000 PA USD 1207739.260000 0.439709 Long DBT CORP US N 2 2030-09-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 549.860000 0.0002002 N/A DFE MX N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54246.180000 USD 1033265.000000 MXN 2025-08-18 549.860000 N N N N/A N/A 000000000 -200000.000000 NC USD -237.540000 -0.0000865 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95500 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2025-07-23 XXXX 432.460000 N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HAY4 15000.000000 PA USD 14202.000000 0.0051706 Long DBT CORP NL N 2 2030-05-01 Fixed 3.4 N N N N N N N/A N/A 000000000 17.000000 NC 37783.870000 0.0137562 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2025-09-26 2170859.200000 GBP 37783.870000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LW9 600000.000000 PA USD 594142.750000 0.216313 Long DBT CORP US N 2 2029-04-23 Floating 4.075 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SH2 1800000.000000 PA USD 1292695.310000 0.47064 Long DBT UST US N 2 2049-05-15 Fixed 2.875 N N N N N N MONDELEZ INTERNATIONAL INC 549300DV9GIB88LZ5P30 609207BD6 500000.000000 PA 380562.890000 0.138554 Long DBT CORP US N 2 2031-07-03 Fixed 4.625 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAS4 400000.000000 PA USD 439652.170000 0.160067 Long DBT CORP FR N 2 2034-10-19 Floating 7.003 N N N N N N N/A N/A 000000000 1.000000 NC 45.140000 0.0000164 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2096.000000 USD 7601.140000 PEN 2025-09-17 45.140000 N N N N/A N/A 000000000 1.000000 NC 674.110000 0.0002454 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 30334.000000 USD 549824.980000 ZAR 2025-07-23 674.110000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 124764.000000 PA USD 72543.600000 0.0264114 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N FNMA PASS THRU POOLS N/A 3140QRAA1 8934225.500000 PA USD 8329563.370000 3.0326 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 35653.670000 0.0129807 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 43 Y Single Leg Swap 2030-06-20 30647.410000 EUR 0.000000 EUR 1400000.000000 EUR 5006.260000 N N N DENSO CORPORATION 549300RYPA10CQM3QK38 24872BAB6 700000.000000 PA USD 700225.560000 0.254936 Long DBT CORP JP N 2 2029-09-11 Fixed 4.42 N N N N N N N/A N/A 000000000 1.000000 NC 48.260000 0.0000176 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 21162.000000 USD 26968.850000 SGD 2025-07-02 48.260000 N N N SMURFIT WESTROCK FINANCING DESIGNATED ACTIVITY COMPANY 6354005S6ZLHLVX7VT12 83272YAB8 500000.000000 PA USD 506825.010000 0.184523 Long DBT CORP IE N 2 2035-01-15 Fixed 5.418 N N N N N N FHF ISSUER TRUST 2023-2A N/A 30333LAB4 219204.730000 PA USD 222372.410000 0.0809606 Long ABS-O CORP US N 2 2029-10-15 Fixed 6.79 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQBU5 3899837.520000 PA USD 3904208.850000 1.42143 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 70.070000 0.0000255 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 13673.000000 USD 1979071.000000 JPY 2025-07-02 70.070000 N N N N/A N/A 000000000 1.000000 NC -63608.560000 -0.0231584 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 3414000.000000 GBP 4622617.450000 USD 2025-07-02 -63608.560000 N N N N/A N/A 000000000 1.000000 NC 664.700000 0.000242 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 60980.000000 USD 5295045.850000 INR 2025-08-20 664.700000 N N N N/A N/A 000000000 1.000000 NC 214.480000 0.0000781 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46724.000000 USD 4031837.320000 INR 2025-08-20 214.480000 N N N N/A N/A 000000000 -200000.000000 NC USD -5.600000 -0.000002 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.12200 07/14/25-10Y LCH 2035-07-14 0.000000 USD 0.000000 USD N/A USD N/A 4.120000 USD 2025-07-10 XXXX 649.400000 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDJ0 800000.000000 PA USD 793370.680000 0.288848 Long DBT CORP NL N 2 2026-09-24 Floating 1.004 N N N N N N N/A N/A 000000000 1.000000 NC 625.320000 0.0002277 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 70000.000000 USD 2293606.000000 THB 2025-07-16 625.320000 N N N N/A N/A 000000000 1.000000 NC 39.290000 0.0000143 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 11101.000000 USD 14164.880000 SGD 2025-07-02 39.290000 N N N EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 635400B4JJBON4TCHF02 29449W7M3 15000.000000 PA USD 14556.070000 0.0052995 Long DBT CORP US N 2 2026-07-12 Fixed 1.3 N N N N N N WISCONSIN POWER AND LIGHT COMPANY JWBYHVQVMY66CVCOSO49 976826BR7 300000.000000 PA USD 300520.930000 0.109413 Long DBT CORP US N 2 2033-04-01 Fixed 4.95 N N N N N N 37 CAPITAL CLO 4 LTD 2023-2A N/A 883932AN5 700000.000000 PA USD 697805.420000 0.254055 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 5.3461 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67700 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2025-06-30 XXXX 304.990000 N N N N/A N/A 000000000 1.000000 NC 299131.120000 0.108907 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 267513.740000 EUR 0.000000 EUR 1378179.820000 EUR 31617.380000 N N N N/A N/A 000000000 1.000000 NC 4050.930000 0.0014748 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 242219.300000 USD 4366777.980000 ZAR 2025-07-23 4050.930000 N N N FHLMC PASS THRU POOLS N/A 3142GQEL2 4189821.260000 PA USD 4193438.420000 1.52673 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 5.5 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 400000.000000 PA USD 314424.620000 0.114475 Long DBT CORP US N 2 2033-11-15 Fixed 2.65 N N N N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI2Q0PD7 900000.000000 PA 1081739.950000 0.393836 Long DBT NUSS N/A N 2 2029-10-05 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 150610.720000 0.0548338 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-09-17 101805.340000 EUR 0.000000 EUR 1230000.000000 EUR 48805.380000 N N N N/A N/A 000000000 1.000000 NC 1376.810000 0.0005013 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 63051.000000 USD 1871291.000000 TWD 2025-07-16 1376.810000 N N N N/A N/A 000000000 1.000000 NC -17381.480000 -0.0063282 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2032-06-18 0.000000 JPY -29644.530000 JPY 160000000.000000 JPY 12263.050000 N N N N/A N/A 000000000 320.000000 NC USD 612713.830000 0.223075 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 35882499.840000 USD 612713.830000 N N N N/A N/A 000000000 1.000000 NC -8135.540000 -0.002962 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 -17977.470000 GBP 660000.000000 GBP 9841.930000 N N N MUTUAL OF OMAHA COMPANIES GLOBAL FUNDING 635400AL5J3F1ZPTAN95 62829D2E9 400000.000000 PA USD 403732.960000 0.14699 Long DBT CORP US N 2 2029-10-15 Fixed 4.75 N N N N N N N/A N/A 000000000 -1.000000 NC -164.910000 -0.00006 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Call Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 09/08/25 2025-09-09 N/A EUR N/A 132.500000 EUR 2025-07-25 XXXX 360.660000 N N N N/A N/A 000000000 -400000.000000 NC USD -5544.240000 -0.0020185 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75650 08/15/25-10Y LCH 2035-08-15 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2025-08-13 XXXX -2139.980000 N N N N/A N/A 000000000 1.000000 NC 78.580000 0.0000286 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16111.000000 USD 21887626.000000 KRW 2025-07-16 78.580000 N N N FHLMC PASS THRU POOLS N/A 3132DWLL5 1806706.190000 PA USD 1808033.450000 0.658262 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N COTY INC 549300BO9IWPF3S48F93 ACI2P8220 300000.000000 PA 359528.440000 0.130896 Long DBT CORP US N 2 2027-05-15 Fixed 4.5 N N N N N N N/A N/A 000000000 10900000.000000 NC USD 6361.240000 0.002316 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 08/06/25-1Y LCH 2026-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2025-08-04 XXXX -7263.760000 N N N N/A N/A 000000000 -200000.000000 NC USD -3.180000 -0.0000012 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.12000 07/11/25-10Y LCH 2035-07-11 0.000000 USD 0.000000 USD N/A USD N/A 4.120000 USD 2025-07-09 XXXX 636.820000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA87 800000.000000 PA USD 832933.960000 0.303252 Long DBT CORP US N 2 2030-04-25 Floating 5.727 N N N N N N N/A N/A 000000000 1.000000 NC -72.570000 -0.0000264 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 7100.780000 SGD 5512.000000 USD 2025-07-02 -72.570000 N N N SNAM SPA 8156002278562044AF79 83304JAA5 600000.000000 PA USD 605299.220000 0.220375 Long DBT CORP IT N 2 2030-05-28 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 361.310000 0.0001315 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 136460.650000 USD 184977501.000000 KRW 2025-07-16 361.310000 N N N N/A N/A 000000000 1.000000 NC USD -1796.500000 -0.0006541 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 200000.000000 USD -1796.500000 N N N N/A N/A 000000000 1.000000 NC 1020.870000 0.0003717 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 41169.000000 USD 1225395.000000 TWD 2025-07-16 1020.870000 N N N N/A N/A 000000000 1.000000 NC USD -5045.830000 -0.0018371 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 -6551.160000 -0.0023851 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-06-18 0.000000 JPY -932.180000 JPY 20000000.000000 JPY -5618.980000 N N N N/A N/A 000000000 1.000000 NC 595.440000 0.0002168 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 115247.000000 USD 9950425.980000 INR 2025-08-20 595.440000 N N N N/A N/A 000000000 1.000000 NC 741.080000 0.0002698 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 32950.530000 USD 978565.000000 TWD 2025-07-16 741.080000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAX3 400000.000000 PA USD 410668.290000 0.149515 Long DBT CORP ES N 2 2027-11-07 Floating 6.527 N N N N N N SMURFIT KAPPA TREASURY UNLIMITED COMPANY 635400B3DOXSWFOWJT40 83272GAD3 300000.000000 PA USD 306171.800000 0.11147 Long DBT CORP IE N 2 2030-01-15 Fixed 5.2 N N N N N N N/A N/A 000000000 1.000000 NC 15877.740000 0.0057807 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 930348.000000 USD 1203126.030000 SGD 2025-07-02 15877.740000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TY4 554974.650000 PA USD 508324.420000 0.185069 Long DBT UST US N 2 2054-02-15 Fixed 2.125 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -2882.550000 -0.0010495 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.51500 07/21/25-10Y LCH 2035-07-21 0.000000 USD 0.000000 USD N/A USD N/A 3.520000 USD 2025-07-17 XXXX 9092.240000 N N N GOLUB CAPITAL BDC INC 2549005WE0QLGK9APF78 38173MAD4 300000.000000 PA USD 315110.640000 0.114724 Long DBT CORP US N 2 2028-12-05 Fixed 7.05 N N N N N N N/A N/A 000000000 1.000000 NC 2702.140000 0.0009838 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 406109.830000 USD 621153.000000 AUD 2025-07-02 2702.140000 N N N N/A N/A 000000000 1.000000 NC 592.350000 0.0002157 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 35668.000000 USD 49022456.000000 KRW 2025-07-16 592.350000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 720000.000000 PA 221003.920000 0.0804623 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC 60683.490000 0.0220934 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1159790.480000 USD 6630957.100000 BRL 2025-07-02 60683.490000 N N N N/A N/A 000000000 -200000.000000 NC USD -0.480000 -0.0000002 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.12500 07/09/25-10Y LCH 2035-07-09 0.000000 USD 0.000000 USD N/A USD N/A 4.130000 USD 2025-07-07 XXXX 615.020000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFP5 200000.000000 PA USD 204519.060000 0.0744606 Long DBT CORP US N 2 2028-04-13 Floating 5.652 N N N N N N N/A N/A 000000000 1.000000 NC -5878.230000 -0.0021401 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-29 0.000000 EUR -207.870000 EUR 100000.000000 EUR -5670.360000 N N N N/A N/A 000000000 -1300000.000000 NC USD -12793.430000 -0.0046578 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70000 08/06/25-10Y LCH 2035-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2025-08-04 XXXX 862.030000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SJ8 1900000.000000 PA USD 1192472.660000 0.434151 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC -44.040000 -0.000016 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21381.270000 SGD 16814.000000 USD 2025-08-05 -44.040000 N N N N/A N/A 000000000 1.000000 NC 278.340000 0.0001013 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 30000.000000 USD 983310.000000 THB 2025-07-16 278.340000 N N N N/A N/A 000000000 1.000000 NC USD -6091.170000 -0.0022177 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 1400000.000000 USD -6091.170000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BF9 1500000.000000 PA USD 1527877.080000 0.556264 Long DBT CORP NL N 2 2027-09-11 Floating 6.083 N N N N N N N/A N/A 000000000 -100000.000000 NC -111.720000 -0.0000407 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.46000 07/18/25-10Y LCH 2035-07-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.460000 EUR 2025-07-16 XXXX 195.080000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAY2 750000.000000 PA USD 708160.590000 0.257825 Long DBT CORP US N 2 2029-12-15 Fixed 3.375 N N N N N N FHLMC PASS THRU POOLS N/A 3142GTLS3 16943517.370000 PA USD 16955967.810000 6.17327 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -2898.790000 -0.0010554 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 300000.000000 USD -2898.790000 N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AW9 15000.000000 PA USD 12461.650000 0.004537 Long DBT CORP US N 2 2032-05-18 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 182106.400000 PA USD 134061.030000 0.0488085 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDF3 400000.000000 PA USD 411665.760000 0.149878 Long DBT CORP JP N 2 2030-07-10 Floating 5.382 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1390.140000 -0.0005061 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69500 07/21/25-10Y LCH 2035-07-21 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2025-07-17 XXXX -810.140000 N N N N/A N/A 000000000 1.000000 NC 17298.880000 0.0062981 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 590377.720000 USD 11495539.770000 MXN 2025-09-17 17298.880000 N N N N/A N/A 000000000 1.000000 NC -12.020000 -0.0000044 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10922.000000 USD 1571092.000000 JPY 2025-07-02 -12.020000 N N N N/A N/A 000000000 1.000000 NC 832.510000 0.0003031 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 30000.000000 USD 167516.100000 BRL 2025-07-02 832.510000 N N N N/A N/A 000000000 1.000000 NC 469.500000 0.0001709 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 80018.930000 USD 1517735.000000 MXN 2025-08-18 469.500000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 3696090.000000 PA USD 2015372.090000 0.73375 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAM8 1100000.000000 PA USD 1077658.700000 0.39235 Long DBT CORP US N 2 2029-01-23 Floating 3.509 N N N N N N FHLMC PASS THRU POOLS N/A 3133C7VK0 160577.610000 PA USD 144718.520000 0.0526886 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SK5 500000.000000 PA USD 321738.280000 0.117137 Long DBT UST US N 2 2049-11-15 Fixed 2.375 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CU7 500000.000000 PA USD 518471.850000 0.188763 Long DBT CORP US N 2 2028-08-15 Fixed 5.65 N N N N N N N/A N/A 000000000 70.000000 NC USD 57604.260000 0.0209724 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 FREDDIE MAC REMICS 5560 N/A 3137HLZD7 500000.000000 PA USD 500625.000000 0.182266 Long ABS-MBS USGSE US N 3 2055-06-25 Floating 5.3062 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -42.060000 -0.0000153 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09500 07/21/25-10Y LCH 2035-07-21 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2025-07-17 XXXX 537.940000 N N N N/A N/A 000000000 1.000000 NC -457.780000 -0.0001667 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 657495.880000 THB 19788.000000 USD 2025-07-16 -457.780000 N N N N/A N/A 000000000 1.000000 NC -48927.170000 -0.0178132 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2032-06-01 0.000000 CAD -12226.520000 CAD 1400000.000000 CAD -36700.650000 N N N FNMA PASS THRU POOLS N/A 3140QSDY4 10032150.920000 PA USD 9883697.060000 3.59842 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 273.540000 0.0000996 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 57241.000000 USD 932742095.000000 IDR 2025-07-16 273.540000 N N N N/A N/A 000000000 -200000.000000 NC USD -346.640000 -0.0001262 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.91400 07/28/25-10Y LCH 2035-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.910000 USD 2025-07-24 XXXX 263.360000 N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFT5 1400000.000000 PA 1082128.670000 0.393978 Long DBT NUSS CA N 2 2034-09-01 Fixed 4.45 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDK7 1200000.000000 PA USD 1173829.960000 0.427364 Long DBT CORP NL N 2 2027-02-24 Floating 1.106 N N N N N N N/A N/A 000000000 1.000000 NC 10366.970000 0.0037744 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 113829.710000 USD 3607264.000000 TWD 2025-07-16 10366.970000 N N N N/A N/A 000000000 1.000000 NC -10013.330000 -0.0036456 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2345718.000000 TWD 71533.240000 USD 2025-08-20 -10013.330000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KK2 1265000.000000 PA USD 1269956.350000 0.462361 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 -2120.610000 -0.0007721 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 24270546.000000 JPY 166419.000000 USD 2025-07-02 -2120.610000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 5485568.000000 PA USD 5178462.100000 1.88536 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -805.750000 -0.0002934 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 71420.880000 CHF 89581.320000 USD 2025-08-04 -805.750000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CMM0 9500000.000000 PA USD 9804296.880000 3.56951 Long DBT UST US N 2 2035-02-15 Fixed 4.625 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BD3 81000.000000 PA 24862.940000 0.009052 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC 1450.920000 0.0005282 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 63064.000000 USD 1873821.000000 TWD 2025-07-16 1450.920000 N N N N/A N/A 000000000 1.000000 NC -25326.220000 -0.0092207 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6843012.000000 TWD 210276.000000 USD 2025-07-16 -25326.220000 N N N N/A N/A 000000000 -200000.000000 NC USD -267.700000 -0.0000975 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70100 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2025-06-30 XXXX 389.800000 N N N N/A N/A 000000000 -200000.000000 NC USD -1349.600000 -0.0004914 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69700 07/18/25-10Y LCH 2035-07-18 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2025-07-16 XXXX -772.100000 N N N HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC 254900ZZRL7MWL1X8E92 40408AAA9 500000.000000 PA USD 506416.830000 0.184375 Long DBT CORP US N 2 2031-01-15 Fixed 6.15 N N N N N N NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION 4NYF266XZC35SCTGX023 637432NW1 400000.000000 PA USD 336800.010000 0.122621 Long DBT CORP US N 2 2031-03-15 Fixed 1.35 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -86.080000 -0.0000313 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.03700 07/22/25-10Y LCH 2035-07-22 0.000000 USD 0.000000 USD N/A USD N/A 4.040000 USD 2025-07-18 XXXX 546.420000 N N N AMEREN MISSOURI SECURITIZATION FUNDING I LLC N/A 023940AA7 600000.000000 PA USD 595631.160000 0.216855 Long DBT CORP US N 2 2041-10-01 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC 1322.520000 0.0004815 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 135765.000000 USD 185359955.000000 KRW 2025-07-08 1322.520000 N N N N/A N/A 000000000 1.000000 NC 72.070000 0.0000262 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 60000.000000 USD 1950882.000000 THB 2025-07-16 72.070000 N N N N/A N/A 000000000 -200000.000000 NC USD -74.640000 -0.0000272 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUL 30YR N/A 96.470000 USD 2025-07-07 XXXX 862.860000 N N N BMW VEHICLE LEASE TRUST 2025-1 N/A 096912AD2 1000000.000000 PA USD 1006323.600000 0.366379 Long ABS-O CORP US N 2 2028-06-26 Fixed 4.43 N N N N N N N/A N/A 000000000 1.000000 NC -286925.060000 -0.104463 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 7015000.000000 EUR 7976398.740000 USD 2025-07-02 -286925.060000 N N N N/A N/A 000000000 -200000.000000 NC USD -721.400000 -0.0002626 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55500 07/28/25-10Y LCH 2035-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2025-07-24 XXXX -86.400000 N N N N/A N/A 000000000 1.000000 NC USD -870.930000 -0.0003171 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 100000.000000 USD -870.930000 N N N N/A N/A 000000000 1.000000 NC USD -1850.900000 -0.0006739 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 200000.000000 USD -1850.900000 N N N N/A N/A 000000000 1.000000 NC 1920.530000 0.0006992 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 70000.000000 USD 2335669.000000 THB 2025-07-16 1920.530000 N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AT2 450000.000000 PA USD 441637.230000 0.16079 Long DBT CORP US N 2 2029-04-15 Fixed 3.65 N N N N N N N/A N/A 000000000 1.000000 NC 400.360000 0.0001458 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 42519.000000 USD 3686609.900000 INR 2025-08-20 400.360000 N N N PROVINCE OF BRITISH COLUMBIA CANADA 54930058TO7MEKUHWL16 110709AK8 200000.000000 PA 151504.020000 0.0551591 Long DBT NUSS CA N 2 2034-06-18 Fixed 4.15 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DY2 500000.000000 PA USD 511864.130000 0.186358 Long DBT CORP US N 2 2031-01-30 Floating 5.085 N N N N N N N/A N/A 000000000 1.000000 NC -2.310000 -0.0000008 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 227677822.000000 IDR 14036.710000 USD 2025-07-16 -2.310000 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 12665JUE7 700000.000000 PA USD 698662.650000 0.254367 Long DBT CORP US N 2 2025-07-14 None 0 N N N N N N GOODMAN US FINANCE FIVE LLC N/A 38239PAA5 615000.000000 PA USD 603802.900000 0.219831 Long DBT CORP US N 2 2032-05-04 Fixed 4.625 N N N N N N N/A N/A 000000000 -1.000000 NC -400.500000 -0.0001458 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Put Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 09/08/25 2025-09-09 N/A EUR N/A 129.000000 EUR 2025-07-25 XXXX 56.520000 N N N SOUTHWESTERN PUBLIC SERVICE COMPANY OL6FE7QD5EQ3DOYEO258 845743BT9 200000.000000 PA USD 144995.750000 0.0527895 Long DBT CORP US N 2 2049-06-15 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -3514.590000 -0.0012796 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4157232.680000 THB 124496.000000 USD 2025-07-16 -3514.590000 N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAN6 800000.000000 PA USD 706665.250000 0.25728 Long DBT CORP US N 2 2030-06-27 Fixed 1.96 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AV7 700000.000000 PA USD 472943.440000 0.172188 Long DBT CORP US N 2 2050-04-15 Fixed 3.15 N N N N N N N/A N/A 000000000 1.000000 NC -3299.780000 -0.0012014 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 71808.390000 CHF 87201.690000 USD 2025-07-02 -3299.780000 N N N N/A N/A 000000000 265000.000000 NC 762.290000 0.0002775 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2025-11-28 N/A 1.110000 EUR 2025-11-26 XXXX -352.880000 N N N FHLMC PASS THRU POOLS N/A 3133KQQ25 1419030.590000 PA USD 1396567.630000 0.508458 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 38.420000 0.000014 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 473000.000000 CAD 347385.580000 USD 2025-07-02 38.420000 N N N N/A N/A 000000000 1.000000 NC -25220.900000 -0.0091823 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4026551.800000 CAD 2931674.120000 USD 2025-07-02 -25220.900000 N N N N/A N/A 000000000 1.000000 NC 303.690000 0.0001106 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 120604.000000 USD 10385511.950000 INR 2025-08-20 303.690000 N N N FHLMC PASS THRU POOLS N/A 3133KQDD5 2297332.830000 PA USD 2140639.250000 0.779357 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4 N N N N N N ABU DHABI NATIONAL ENERGY COMPANY PJSC (TAQA) 213800UNJSVQFNUYYW03 00388WAP6 400000.000000 PA USD 383120.000000 0.139485 Long DBT CORP AE N 2 2037-03-09 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -121708.600000 -0.0443112 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 6809996.940000 EUR 7917633.410000 USD 2025-08-04 -121708.600000 N N N LOANPAL SOLAR LOAN 2020-3GS LTD N/A 53948NAA1 27686.160000 PA USD 23351.230000 0.0085016 Long ABS-O CORP US N 2 2047-12-20 Fixed 2.47 N N N N N N TENNESSEE VALLEY AUTHORITY (TVA) 549300HE1ISW43LNKM54 880591EX6 60000.000000 PA USD 51582.240000 0.0187799 Long DBT USGA US N 2 2031-09-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -2708.970000 -0.0009863 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 621153.000000 AUD 406360.160000 USD 2025-08-05 -2708.970000 N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBA5 600000.000000 PA USD 530099.230000 0.192997 Long DBT CORP NL N 2 2031-05-11 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 1581121.680000 0.575649 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 1453083.540000 EUR 0.000000 EUR 7284664.740000 EUR 128038.140000 N N N N/A N/A 000000000 1.000000 NC -7966.630000 -0.0029005 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1141917.150000 SGD 890120.000000 USD 2025-07-02 -7966.630000 N N N N/A N/A 000000000 115.000000 NC USD 290277.480000 0.105683 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 13139648.380000 USD 290277.480000 N N N N/A N/A 000000000 1.000000 NC 66.920000 0.0000244 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 20997.000000 USD 3033310.000000 JPY 2025-07-02 66.920000 N N N N/A N/A 000000000 1.000000 NC -76541.390000 -0.0278669 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 -10905.980000 BRL 11500000.000000 BRL -65635.410000 N N N N/A N/A 000000000 1.000000 NC USD -791.210000 -0.0002881 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-06 0.000000 USD -790.000000 USD 200000.000000 USD -1.210000 N N N N/A N/A 000000000 1.000000 NC -1180.810000 -0.0004299 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 99.500000 CAD 0.000000 CAD 200000.000000 CAD -1280.310000 N N N N/A N/A 000000000 1.000000 NC -488.720000 -0.0001779 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1514542400.000000 IDR 92800.000000 USD 2025-07-08 -488.720000 N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAC7 300000.000000 PA USD 314875.460000 0.114639 Long DBT CORP US N 2 2028-11-21 Fixed 6 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCP4 700000.000000 PA 517648.590000 0.188464 Long DBT CORP US N 2 2033-02-15 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC 41103.470000 0.0149648 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4645122.540000 USD 3414000.000000 GBP 2025-07-02 41103.470000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GK3 100000.000000 PA USD 72634.700000 0.0264446 Long DBT CORP US N 2 2048-03-01 Fixed 4.125 N N N N N N N/A N/A 000000000 16500000.000000 NC USD 376.200000 0.000137 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.36000 07/16/25-1Y LCH 2026-07-16 0.000000 USD 0.000000 USD N/A USD N/A 3.360000 USD 2025-07-14 XXXX -16123.800000 N N N EDP FINANCE BV 5299007L43AQDFOW5739 26835PAH3 2200000.000000 PA USD 2058799.970000 0.749561 Long DBT CORP NL N 2 2028-01-24 Fixed 1.71 N N N N N N N/A N/A 000000000 1.000000 NC -12487.980000 -0.0045466 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 929843.550000 PEN 249712.930000 USD 2025-08-14 -12487.980000 N N N N/A N/A 000000000 -300000.000000 NC USD -0.030000 0 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.13500 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.130000 USD 2025-06-30 XXXX 1027.470000 N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI24TRG9 100000.000000 PA 82428.160000 0.0300102 Long DBT NUSS N/A N 2 2043-02-04 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 1500000.000000 PA USD 1105664.070000 0.402546 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 98.930000 0.000036 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 44946.250000 USD 1308327.000000 TWD 2025-07-16 98.930000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H23 N/A 38376RHF6 815322.680000 PA USD 817033.230000 0.297463 Long ABS-MBS USGSE US N 2 2065-09-20 Floating 4.96602 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863EB0 500000.000000 PA USD 507875.000000 0.184905 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 85325C2A9 400000.000000 PA USD 404245.050000 0.147176 Long DBT CORP GB N 2 2030-10-15 Floating 5.005 N N N N N N N/A N/A 000000000 1.000000 NC -5688.680000 -0.0020711 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 76683336.000000 JPY 526816.000000 USD 2025-07-02 -5688.680000 N N N N/A N/A 000000000 1.000000 NC USD -4730.460000 -0.0017222 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 SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAT2 500000.000000 PA USD 522017.680000 0.190054 Long DBT CORP GB N 2 2029-01-10 Floating 6.534 N N N N N N N/A N/A OP0043WK0 -400000.000000 NC USD -27.120000 -0.0000099 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 0.900000 USD 2025-07-16 XXXX 452.880000 N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAC4 497482.100000 PA USD 498108.330000 0.18135 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.50648 N N N N N N N/A N/A 000000000 1.000000 NC 9391.010000 0.003419 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 224620.000000 USD 843615.670000 PLN 2025-07-10 9391.010000 N N N N/A N/A 000000000 1.000000 NC USD -49478.760000 -0.0180141 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 0.000000 USD -3098.960000 USD 3236000.000000 USD -46379.800000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLG2 1800000.000000 PA USD 1839821.290000 0.669836 Long DBT CORP US N 2 2029-04-25 Floating 5.202 N N N N N N JDE PEETS NV 724500EHG519SE5ZRT89 ACI1YJCM3 200000.000000 PA 216674.770000 0.0788862 Long DBT CORP NL N 2 2029-01-16 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -2697.490000 -0.0009821 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 1103.710000 CAD 0.000000 CAD 300000.000000 CAD -3801.200000 N N N N/A N/A 000000000 1.000000 NC 121829.920000 0.0443554 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 7917633.410000 USD 6824957.680000 EUR 2025-07-02 121829.920000 N N N N/A N/A 000000000 1.000000 NC -1627.860000 -0.0005927 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 471290.000000 USD 67633696.000000 JPY 2025-07-02 -1627.860000 N N N GOODLEAP SUSTAINABLE HOME IMPROVEMENT LOAN TRUST 2023-3C N/A 38237CAA6 417026.260000 PA USD 400453.390000 0.145796 Long ABS-O CORP US N 2 2055-07-20 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 4073.860000 0.0014832 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 199793.490000 USD 5921280.000000 TWD 2025-07-16 4073.860000 N N N N/A N/A 000000000 1.000000 NC USD -1735.950000 -0.000632 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-05 0.000000 USD -770.000000 USD 200000.000000 USD -965.950000 N N N N/A N/A OP0043SX7 -800000.000000 NC USD -54.250000 -0.0000198 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 849.750000 N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05000 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2025-06-30 XXXX 699.980000 N N N N/A N/A 000000000 -200000.000000 NC USD -827.080000 -0.0003011 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.71500 07/07/25-10Y LCH 2035-07-07 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-07-02 XXXX -111.080000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4B4 500000.000000 PA USD 502070.180000 0.182792 Long DBT CORP US N 2 2026-08-27 Floating 5.35398 N N N N N N GNMA PASS THRU POOLS N/A 21H060689 100000.000000 PA USD 101363.070000 0.0369039 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -763.080000 -0.0002778 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56400 07/28/25-10Y LCH 2035-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2025-07-24 XXXX -93.080000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEF9 300000.000000 PA USD 300920.920000 0.109558 Long DBT CORP US N 2 2028-04-22 Floating 5.25378 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TR9 2500000.000000 PA USD 2039843.750000 0.742659 Long DBT UST US N 2 2053-05-15 Fixed 3.625 N N N N N N ARES EUROPEAN CLO 14A N/A ACI2RNVJ6 363925.660000 PA 428549.850000 0.156025 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 3.266 N N N N N N N/A N/A 000000000 1.000000 NC -254.030000 -0.0000925 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 45040.370000 SGD 35258.000000 USD 2025-08-05 -254.030000 N N N N/A N/A 000000000 1.000000 NC -226.050000 -0.0000823 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 115434.000000 USD 9895925.950000 INR 2025-08-20 -226.050000 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCS2 400000.000000 PA USD 397359.210000 0.144669 Long DBT CORP US N 2 2029-09-27 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC 294.710000 0.0001073 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 18655.350000 USD 67224.550000 PEN 2025-08-25 294.710000 N N N N/A N/A 000000000 1.000000 NC 146.400000 0.0000533 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 29943.500000 USD 487982931.000000 IDR 2025-07-16 146.400000 N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 BKMG43II7 600000.000000 PA 653429.910000 0.237899 Long DBT CORP NL N 2 2030-03-15 Fixed 1.5 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06500 07/07/25-10Y LCH 2035-07-07 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2025-07-02 XXXX 715.980000 N N N FHLMC PASS THRU POOLS N/A 3133KPW79 3148697.090000 PA USD 2934915.390000 1.06853 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 997.590000 0.0003632 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 241469.000000 USD 3932201931.000000 IDR 2025-07-16 997.590000 N N N FNMA PASS THRU POOLS N/A 3140QQDV4 1648642.830000 PA USD 1582114.770000 0.576011 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -25.160000 -0.0000092 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1516396.000000 JPY 10505.000000 USD 2025-07-02 -25.160000 N N N N/A N/A 000000000 1.000000 NC -89.770000 -0.0000327 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 10619.270000 SGD 8262.000000 USD 2025-07-02 -89.770000 N N N N/A N/A 000000000 1.000000 NC -410.190000 -0.0001493 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 185066978.000000 KRW 136460.650000 USD 2025-07-08 -410.190000 N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAH4 625000.000000 PA USD 580905.040000 0.211494 Long DBT CORP US N 2 2029-12-01 Fixed 2.5 N N N N N N N/A N/A 000000000 116.000000 NC USD 138958.610000 0.0505916 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-30 12646265.600000 USD 138958.610000 N N N N/A N/A 000000000 1.000000 NC -41154.680000 -0.0149835 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3414000.000000 GBP 4645754.130000 USD 2025-08-04 -41154.680000 N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAH5 15000.000000 PA USD 13569.570000 0.0049404 Long DBT CORP CA N 2 2031-04-15 Fixed 2.724 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1774.880000 -0.0006462 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.77500 07/09/25-10Y LCH 2035-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.770000 USD 2025-07-07 XXXX -1159.380000 N N N N/A N/A OP00442S4 -400000.000000 NC USD -28.690000 -0.0000104 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 459.310000 N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10100 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2025-06-30 XXXX 657.480000 N N N MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17 N/A 55287HAA8 1200000.000000 PA USD 1198463.870000 0.436333 Long ABS-CBDO CORP US N 2 2040-02-18 Floating 5.6346 N N N N N N FNMA PASS THRU POOLS N/A 3140QSSU6 449580.980000 PA USD 430989.020000 0.156913 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 3366.410000 0.0012256 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2045-06-18 4951.320000 JPY 0.000000 JPY 30000000.000000 JPY -1584.910000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 200000.000000 PA USD 212184.850000 0.0772515 Long DBT CORP US N 2 2029-10-24 Floating 6.484 N N N N N N KODIT GLOBAL 2024-1 COLTD N/A ACI2P7FP7 300000.000000 PA USD 304772.150000 0.11096 Long DBT CORP KR N 2 2027-05-29 Fixed 5.357 N N N N N N N/A N/A 000000000 1.000000 NC -6185.360000 -0.0022519 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-22 0.000000 EUR -202.350000 EUR 100000.000000 EUR -5983.010000 N N N N/A N/A 000000000 1.000000 NC 1123.300000 0.000409 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20000.000000 USD 114765.000000 BRL 2025-07-02 1123.300000 N N N N/A N/A 000000000 1.000000 NC 917.570000 0.0003341 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 40670.640000 USD 1207920.000000 TWD 2025-07-16 917.570000 N N N N/A N/A 000000000 1.000000 NC USD -3192.240000 -0.0011622 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -580.000000 USD 200000.000000 USD -2612.240000 N N N ENTERPRISE FLEET FINANCING 2025-1 LLC N/A 29390HAB5 1200000.000000 PA USD 1203858.600000 0.438297 Long ABS-O CORP US N 2 2027-10-20 Fixed 4.65 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBW9 1850000.000000 PA USD 1729218.290000 0.629568 Long DBT CORP US N 2 2028-06-15 Fixed 1.9 N N N N N N N/A N/A 000000000 1.000000 NC 1410189.590000 0.513417 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 1304860.560000 EUR 0.000000 EUR 6497133.420000 EUR 105329.030000 N N N N/A N/A 000000000 1.000000 NC -30995.820000 -0.0112849 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4493670.720000 CAD 3274544.650000 USD 2025-08-05 -30995.820000 N N N N/A N/A 000000000 1.000000 NC USD 54356.960000 0.0197901 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-12-18 13384.990000 USD 0.000000 USD 700000.000000 USD 40971.970000 N N N N/A N/A 000000000 1.000000 NC -13.630000 -0.000005 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 13719.560000 MXN 711.610000 USD 2025-09-17 -13.630000 N N N N/A N/A 000000000 -200000.000000 NC USD -662.920000 -0.0002414 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.66900 07/09/25-10Y LCH 2035-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2025-07-07 XXXX 88.080000 N N N N/A N/A 000000000 1.000000 NC 174.400000 0.0000635 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6179.000000 USD 22510.100000 PEN 2025-07-07 174.400000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 1300000.000000 PA USD 1271107.410000 0.46278 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC -2746.360000 -0.0009999 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 753606.000000 TWD 23200.000000 USD 2025-07-16 -2746.360000 N N N N/A N/A OP0043Z50 -400000.000000 NC USD -28.690000 -0.0000104 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 521.310000 N N N N/A N/A 000000000 1.000000 NC -3787.860000 -0.0013791 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 475341.200000 SGD 370055.000000 USD 2025-07-02 -3787.860000 N N N N/A N/A OP0043WJ3 -400000.000000 NC USD -24.900000 -0.0000091 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 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 1.000000 USD 2025-07-16 XXXX 385.100000 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAN2 100000.000000 PA USD 99280.550000 0.0361457 Long DBT CORP US N 2 2028-12-15 Fixed 4.75 N N N N N N BMW VEHICLE LEASE TRUST 2024-1 N/A 05611UAB9 58740.730000 PA USD 58785.010000 0.0214022 Long ABS-O CORP US N 2 2026-07-27 Fixed 5.1 N N N N N N N/A N/A 000000000 1.000000 NC USD 9892.330000 0.0036016 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 200000.000000 USD 9892.330000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBA3 58000.000000 PA USD 50857.140000 0.0185159 Long DBT CORP US N 2 2031-12-15 Fixed 2.9 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -369.420000 -0.0001345 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90500 07/28/25-10Y LCH 2035-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2025-07-24 XXXX 265.580000 N N N N/A N/A 000000000 1.000000 NC USD 2137.700000 0.0007783 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 1897.920000 USD 0.000000 USD 300000.000000 USD 239.780000 N N N N/A N/A 000000000 1.000000 NC -145.990000 -0.0000532 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 190000.000000 MXN 9897.780000 USD 2025-09-17 -145.990000 N N N N/A N/A 000000000 1.000000 NC -8046.540000 -0.0029296 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 621153.000000 AUD 400765.430000 USD 2025-07-02 -8046.540000 N N N AVANGRID INC 549300OX0Q38NLSKPB49 05351WAB9 400000.000000 PA USD 390936.160000 0.142331 Long DBT CORP US N 2 2029-06-01 Fixed 3.8 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 3700000.000000 PA 1080400.000000 0.393348 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCG8 1400000.000000 PA USD 1224636.910000 0.445862 Long DBT CORP US N 2 2031-01-15 Fixed 2.45 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 68333ZBG1 500000.000000 PA 367006.750000 0.133619 Long DBT NUSS CA N 2 2034-12-02 Fixed 3.8 N N N N N N MOSAIC SOLAR LOAN TRUST 2023-3A N/A 618933AA3 103373.450000 PA USD 102577.950000 0.0373462 Long ABS-O CORP US N 2 2053-11-20 Fixed 5.91 N N N N N N N/A N/A 000000000 1.000000 NC -25813.890000 -0.0093982 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6994413.000000 TWD 215001.000000 USD 2025-07-16 -25813.890000 N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAX2 500000.000000 PA USD 498998.710000 0.181674 Long DBT CORP US N 2 2028-11-15 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC 110.630000 0.0000403 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-05 0.000000 EUR 0.000000 EUR 300000.000000 EUR 110.630000 N N N N/A N/A 000000000 1.000000 NC 710.420000 0.0002586 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 294844.000000 USD 42404552.000000 JPY 2025-08-04 710.420000 N N N N/A N/A 000000000 1.000000 NC 1432.750000 0.0005216 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 70000.000000 USD 2319828.000000 THB 2025-07-16 1432.750000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61748UAE2 400000.000000 PA USD 409585.660000 0.14912 Long DBT CORP US N 2 2031-01-15 Floating 5.23 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.160000 -0.0000001 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUL 30YR N/A 92.470000 USD 2025-07-07 XXXX 1093.590000 N N N N/A N/A 000000000 1.000000 NC -43.560000 -0.0000159 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 325321.100000 THB 10000.000000 USD 2025-08-20 -43.560000 N N N N/A N/A 000000000 1.000000 NC 430.520000 0.0001567 N/A DFE IN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 63074.000000 USD 5454797.210000 INR 2025-08-20 430.520000 N N N N/A N/A 000000000 1.000000 NC 55761.930000 0.0203016 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 19290.590000 AUD 0.000000 AUD 2300000.000000 AUD 36471.340000 N N N FNMA PASS THRU POOLS N/A 3140QUFM3 2551413.680000 PA USD 2507924.220000 0.913076 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CW3 600000.000000 PA USD 608137.750000 0.221409 Long DBT CORP US N 2 2034-08-15 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC -31.630000 -0.0000115 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 87617123.000000 IDR 5371.000000 USD 2025-07-16 -31.630000 N N N N/A N/A 000000000 1.000000 NC -54.700000 -0.0000199 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 1280123484.000000 IDR 78880.000000 USD 2025-07-16 -54.700000 N N N N/A N/A 000000000 1.000000 NC 1101.290000 0.000401 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 425184.560000 USD 12381374.000000 TWD 2025-07-16 1101.290000 N N N N/A N/A 000000000 -100000.000000 NC USD -1.630000 -0.0000006 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.03000 07/09/25-10Y LCH 2035-07-09 0.000000 USD 0.000000 USD N/A USD N/A 4.030000 USD 2025-07-07 XXXX 357.370000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 370866.000000 PA USD 369587.740000 0.134558 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A N/A 39571NAC0 1400000.000000 PA USD 1426727.120000 0.519438 Long ABS-O CORP US N 2 2060-03-25 Fixed 5.32 N N N N N N PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC) PUSS41EMO3E6XXNV3U28 744573AW6 1500000.000000 PA USD 1570559.100000 0.571804 Long DBT CORP US N 2 2028-10-15 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC 18643.970000 0.0067878 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 -10258.510000 AUD 700000.000000 AUD 28902.480000 N N N N/A N/A 000000000 1.000000 NC -26752.780000 -0.0097401 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6692173.000000 TWD 205894.000000 USD 2025-08-20 -26752.780000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SC3 600000.000000 PA USD 455414.060000 0.165806 Long DBT UST US N 2 2048-05-15 Fixed 3.125 N N N N N N N/A N/A 000000000 -100000.000000 NC -165.110000 -0.0000601 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.72000 07/18/25-10Y LCH 2035-07-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.720000 EUR 2025-07-16 XXXX 141.690000 N N N N/A N/A 000000000 1.000000 NC 674.090000 0.0002454 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 30333.000000 USD 549806.860000 ZAR 2025-07-23 674.090000 N N N N/A N/A 000000000 1.000000 NC -2803.510000 -0.0010207 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 757880.000000 TWD 23290.000000 USD 2025-07-16 -2803.510000 N N N N/A N/A 000000000 1.000000 NC 42.320000 0.0000154 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16814.000000 USD 21432.810000 SGD 2025-07-02 42.320000 N N N N/A N/A 000000000 1.000000 NC -2.160000 -0.0000008 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1693.000000 USD 243489.000000 JPY 2025-07-02 -2.160000 N N N N/A N/A 000000000 -200000.000000 NC USD -2.340000 -0.0000009 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14000 07/11/25-10Y LCH 2035-07-11 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2025-07-09 XXXX 652.660000 N N N N/A N/A 000000000 -200000.000000 NC USD -661.700000 -0.0002409 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.52500 07/30/25-10Y LCH 2035-07-30 0.000000 USD 0.000000 USD N/A USD N/A 3.520000 USD 2025-07-28 XXXX -5.700000 N N N N/A N/A 000000000 1.000000 NC -1595.420000 -0.0005809 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4338381693.000000 IDR 265916.940000 USD 2025-07-16 -1595.420000 N N N WISCONSIN POWER AND LIGHT COMPANY JWBYHVQVMY66CVCOSO49 976826BS5 300000.000000 PA USD 307523.300000 0.111962 Long DBT CORP US N 2 2034-03-30 Fixed 5.375 N N N N N N N/A N/A 000000000 33200000.000000 PA USD 33200000.000000 12.0873 Long RA US N 2 Repurchase N 4.470000 2025-07-01 33283300.000000 USD 33910612.320000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TP3 507167.600000 PA USD 402081.210000 0.146388 Long DBT UST US N 2 2053-02-15 Fixed 1.5 N N N N N N 37 CAPITAL CLO II 2022-1A N/A 88429PAU6 500000.000000 PA USD 500595.310000 0.182255 Long ABS-CBDO CORP JE N 2 2034-07-15 Floating 5.5461 N N N N N N N/A N/A 000000000 1.000000 NC -706.370000 -0.0002572 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 42560731.000000 JPY 294844.000000 USD 2025-07-02 -706.370000 N N N N/A N/A 000000000 1.000000 NC -2679.230000 -0.0009754 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 741171.000000 TWD 22839.000000 USD 2025-07-16 -2679.230000 N N N N/A N/A 000000000 1.000000 NC -1619.500000 -0.0005896 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 -408.330000 EUR 200000.000000 EUR -1211.170000 N N N N/A N/A 000000000 -100000.000000 NC USD -410.200000 -0.0001493 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.58300 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.580000 USD 2025-07-23 XXXX -60.200000 N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8B9 250000.000000 PA USD 255382.430000 0.0929787 Long DBT CORP US N 2 2028-05-26 Floating 5.504 N N N N N N N/A N/A 000000000 1.000000 NC 30899.870000 0.0112499 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3274544.650000 USD 4501189.080000 CAD 2025-07-02 30899.870000 N N N N/A N/A 000000000 1.000000 NC 621.980000 0.0002264 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30000.000000 USD 892167.000000 TWD 2025-07-07 621.980000 N N N N/A N/A 000000000 1.000000 NC -638.930000 -0.0002326 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1500101358.000000 IDR 91860.000000 USD 2025-07-16 -638.930000 N N N UMBS PASS THRU POOLS N/A 01F042681 19000000.000000 PA USD 18167554.900000 6.61438 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 USD -1093.330000 -0.0003981 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 300000.000000 USD -1093.330000 N N N N/A N/A 000000000 1.000000 NC 108.420000 0.0000395 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26894.000000 USD 2319405.800000 INR 2025-08-20 108.420000 N N N N/A N/A 000000000 1.000000 NC -90.000000 -0.0000328 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13642957.000000 KRW 10000.000000 USD 2025-07-14 -90.000000 N N N JONES LANG LASALLE INCORPORATED 6SYKCME112RT8TQUO411 48020QAB3 200000.000000 PA USD 214798.850000 0.0782032 Long DBT CORP US N 2 2028-12-01 Fixed 6.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 6879.860000 0.0025048 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 1070000.000000 USD 6879.860000 N N N N/A N/A 000000000 1.000000 NC 6228.130000 0.0022675 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 161072.000000 USD 603121.220000 PLN 2025-07-10 6228.130000 N N N N/A N/A 000000000 -200000.000000 NC USD -1002.560000 -0.000365 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.63700 07/22/25-10Y LCH 2035-07-22 0.000000 USD 0.000000 USD N/A USD N/A 3.640000 USD 2025-07-18 XXXX -370.060000 N N N N/A N/A 000000000 1.000000 NC 3674.060000 0.0013376 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 159814.000000 USD 4748473.000000 TWD 2025-07-16 3674.060000 N N N MANULIFE FINANCIAL CORPORATION 5493007GBX87QOZACS27 56501RAN6 15000.000000 PA USD 14211.520000 0.0051741 Long DBT CORP CA N 2 2032-03-16 Fixed 3.703 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HD8 1275000.000000 PA USD 1107912.350000 0.403365 Long DBT CORP US N 2 2031-06-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -50.940000 -0.0000185 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 78880.000000 USD 1279789822.000000 IDR 2025-07-08 -50.940000 N N N BRANDYWINE OPERATING PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AR4 100000.000000 PA USD 107296.800000 0.0390642 Long DBT CORP US N 2 2028-03-15 Variable 8.3 N N N N N N N/A N/A 000000000 1.000000 NC 246.790000 0.0000899 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 35258.000000 USD 45144.340000 SGD 2025-07-02 246.790000 N N N N/A N/A 000000000 -200000.000000 NC USD -510.040000 -0.0001857 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.87500 07/30/25-10Y LCH 2035-07-30 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2025-07-28 XXXX 145.960000 N N N GNMA PASS THRU POOLS N/A 21H042679 2300000.000000 PA USD 2201952.100000 0.801679 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4.5 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8F0 400000.000000 PA USD 400343.100000 0.145756 Long DBT CORP US N 2 2027-10-15 Floating 5.0216 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAP3 1250000.000000 PA USD 1097085.840000 0.399423 Long DBT CORP NL N 2 2031-07-12 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 822.940000 0.0002996 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20956.110000 USD 78514.020000 PLN 2025-07-10 822.940000 N N N JDE PEETS NV 724500EHG519SE5ZRT89 47216QAC7 500000.000000 PA USD 426667.970000 0.15534 Long DBT CORP NL N 2 2031-09-24 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 86.890000 0.0000316 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10140.100000 USD 13823897.000000 KRW 2025-07-07 86.890000 N N N N/A N/A 000000000 1.000000 NC -16076.740000 -0.0058532 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1200362.900000 SGD 930348.000000 USD 2025-08-05 -16076.740000 N N N N/A N/A 000000000 -200000.000000 NC USD -941.100000 -0.0003426 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60500 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2025-07-23 XXXX -221.100000 N N N N/A N/A 000000000 -300000.000000 NC USD -1257.270000 -0.0004577 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73500 07/02/25-10Y LCH 2035-07-02 0.000000 USD 0.000000 USD N/A USD N/A 3.730000 USD 2025-06-30 XXXX -229.770000 N N N N/A N/A 000000000 1.000000 NC 2674.350000 0.0009737 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 185786.000000 USD 239627.340000 SGD 2025-07-02 2674.350000 N N N VASA TRUST 2021-VASA N/A 92230AAA4 500000.000000 PA USD 486254.650000 0.177034 Long ABS-MBS CORP US N 2 2039-07-15 Floating 5.32648 N N N N N N N/A N/A 000000000 1.000000 NC USD -10962.580000 -0.0039912 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-02 0.000000 USD -6428.570000 USD 900000.000000 USD -4534.010000 N N N ONCOR ELECTRIC DELIVERY COMPANY LLC 549300SP2X2BS1KERD24 ACI2P4RP1 300000.000000 PA 359666.440000 0.130946 Long DBT CORP US N 2 2031-05-15 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 408645.000000 PA USD 298611.020000 0.108717 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440CE2 1400000.000000 PA USD 1430052.710000 0.520649 Long DBT CORP US N 2 2028-08-15 Fixed 4.95 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 300000.000000 PA USD 317817.980000 0.11571 Long DBT CORP US N 2 2029-11-01 Floating 6.407 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 300000.000000 PA USD 191214.840000 0.0696168 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDU7 1300000.000000 PA USD 1334984.870000 0.486037 Long DBT CORP US N 2 2029-07-24 Floating 5.299 N N N N N N N/A N/A 000000000 1.000000 NC 442.510000 0.0001611 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20904.000000 USD 75630.670000 PEN 2025-07-07 442.510000 N N N RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES N/A Y7280PAA1 600000.000000 PA USD 569853.470000 0.20747 Long DBT CORP IN N 2 2028-07-14 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 381.120000 0.0001388 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 53844.000000 USD 68947.240000 SGD 2025-07-02 381.120000 N N N N/A N/A 000000000 1.000000 NC 1263.980000 0.0004602 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 266216.000000 USD 4337856612.000000 IDR 2025-07-16 1263.980000 N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 298785JV9 15000.000000 PA USD 14710.440000 0.0053557 Long DBT CORP N/A N 2 2033-02-14 Fixed 3.75 N N N N N N N/A N/A 000000000 12600000.000000 NC USD 1038.240000 0.000378 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.45000 07/21/25-1Y LCH 2026-07-21 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2025-07-17 XXXX -10931.760000 N N N N/A N/A 000000000 -2000000.000000 NC USD -2712.800000 -0.0009877 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.51900 07/16/25-10Y LCH 2035-07-16 0.000000 USD 0.000000 USD N/A USD N/A 3.520000 USD 2025-07-14 XXXX 14093.920000 N N N N/A N/A 000000000 1.000000 NC 143.510000 0.0000522 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-05 0.000000 EUR 0.000000 EUR 200000.000000 EUR 143.510000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2Q6 1000000.000000 PA USD 971911.500000 0.35385 Long DBT CORP FR N 2 2027-06-30 Floating 1.675 N N N N N N N/A N/A 000000000 1.000000 NC 1105.460000 0.0004025 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 82062.110000 USD 112439041.000000 KRW 2025-07-16 1105.460000 N N N N/A N/A 000000000 1.000000 NC 237.250000 0.0000864 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 1.000000 NC 40.150000 0.0000146 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5103.000000 USD 91196.630000 ZAR 2025-07-23 40.150000 N N N N/A N/A 000000000 4.000000 NC 2786.170000 0.0010144 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2025-09-18 358362.400000 CAD 2786.170000 N N N FHLMC PASS THRU POOLS N/A 3142GQV90 3040848.740000 PA USD 3043082.430000 1.10791 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UG1 2900000.000000 PA USD 2823875.000000 1.02811 Long DBT UST US N 2 2055-02-15 Fixed 4.625 N N N N N N FNMA PASS THRU POOLS N/A 3140QSSW2 4080637.700000 PA USD 4018568.670000 1.46307 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N PUBLIC SERVICE COMPANY OF OKLAHOMA F3TJNSIZRGXRH8GEIK79 744533BM1 875000.000000 PA USD 758755.070000 0.276245 Long DBT CORP US N 2 2031-08-15 Fixed 2.2 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1904.780000 -0.0006935 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.77200 07/14/25-10Y LCH 2035-07-14 0.000000 USD 0.000000 USD N/A USD N/A 3.770000 USD 2025-07-10 XXXX -1249.780000 N N N NSTAR ELECTRIC COMPANY 54930080R72Y2Z31UR68 67021CAP2 870000.000000 PA USD 853809.810000 0.310852 Long DBT CORP US N 2 2030-04-01 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC -26390.780000 -0.0096083 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7044512.000000 TWD 216149.000000 USD 2025-07-16 -26390.780000 N N N N/A N/A 000000000 1.000000 NC USD 4713.120000 0.0017159 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 100000.000000 USD 4713.120000 N N N N/A N/A 000000000 -200000.000000 NC USD -1064.920000 -0.0003877 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.72500 07/08/25-10Y LCH 2035-07-08 0.000000 USD 0.000000 USD N/A USD N/A 3.730000 USD 2025-07-03 XXXX -312.420000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2MY5W7 400000.000000 PA 449044.210000 0.163487 Long DBT NUSS RO N 2 2036-02-22 Fixed 5.625 N N N N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AL7 900000.000000 PA USD 938771.100000 0.341784 Long DBT CORP US N 2 2027-06-15 Fixed 8 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLC1 780000.000000 PA USD 811912.580000 0.295598 Long DBT CORP US N 2 2028-11-10 Floating 6.204 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCN8 430000.000000 PA USD 403918.900000 0.147057 Long DBT CORP JP N 2 2029-01-14 Fixed 2.472 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAK8 300000.000000 PA USD 290162.230000 0.105641 Long DBT CORP FR N 2 2027-10-19 Floating 2.045 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBL1 800000.000000 PA USD 805083.180000 0.293112 Long DBT CORP US N 2 2027-11-19 Floating 4.876 N N N N N N N/A N/A 000000000 1.000000 NC 5.790000 0.0000021 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1989.000000 USD 286201.000000 JPY 2025-08-04 5.790000 N N N WISCONSIN ELECTRIC POWER COMPANY AENKIFMULUAWOUU8Q584 976656CN6 300000.000000 PA USD 303763.250000 0.110593 Long DBT CORP US N 2 2032-09-30 Fixed 4.75 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 1900000.000000 PA USD 1927462.130000 0.701744 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1826.720000 -0.0006651 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.77000 07/11/25-10Y LCH 2035-07-11 0.000000 USD 0.000000 USD N/A USD N/A 3.770000 USD 2025-07-09 XXXX -1186.720000 N N N N/A N/A 000000000 1.000000 NC -16557.570000 -0.0060282 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4023689.000000 TWD 123322.000000 USD 2025-08-20 -16557.570000 N N N N/A N/A 000000000 1.000000 NC -27870.220000 -0.0101469 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6753542.000000 TWD 206910.000000 USD 2025-08-20 -27870.220000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SA7 700000.000000 PA USD 520324.220000 0.189438 Long DBT UST US N 2 2048-02-15 Fixed 3 N N N N N N PEAC SOLUTIONS RECEIVABLES 2025-1A LLC N/A 69392HAB9 1200000.000000 PA USD 1204895.280000 0.438674 Long ABS-O CORP US N 2 2028-10-20 Fixed 4.94 N N N N N N N/A N/A 000000000 564000.000000 NC USD 2939.000000 0.00107 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-11-28 N/A 10.200000 USD 2025-11-26 XXXX -580.360000 N N N BNG BANK NV 529900GGYMNGRQTDOO93 05591F2Y5 600000.000000 PA USD 620490.640000 0.225906 Long DBT CORP NL N 2 2030-02-01 Fixed 4.75 N N N N N N MERCEDES-BENZ FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 58769JAZ0 500000.000000 PA USD 505833.880000 0.184162 Long DBT CORP US N 2 2027-11-15 Fixed 4.9 N N N N N N DEVELOPMENT BANK OF JAPAN INC (DBJ) 5493001HGBABMWFZUI25 25159MBK2 500000.000000 PA USD 505755.510000 0.184134 Long DBT CORP JP N 2 2026-09-01 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC -2379.510000 -0.0008663 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4116505.570000 THB 124377.000000 USD 2025-07-16 -2379.510000 N N N N/A N/A 000000000 1.000000 NC USD 3837.850000 0.0013973 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON SR UNSEC**REPURCHASE OFFER** Y Single Leg Swap 2029-12-20 3619.840000 USD 0.000000 USD 200000.000000 USD 218.010000 N N N UMBS PASS THRU POOLS N/A 01F050676 -2300000.000000 PA USD -2254309.440000 -0.820741 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 5 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAB0 483344.600000 PA USD 485460.880000 0.176745 Long ABS-O CORP US N 2 2050-06-21 Fixed 5.08 N N N N N N N/A N/A 000000000 1.000000 NC 13152.910000 0.0047887 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 985582.000000 USD 1350247340.000000 KRW 2025-07-16 13152.910000 N N N JDE PEETS NV 724500EHG519SE5ZRT89 ACI1YJ6N8 200000.000000 PA 194779.170000 0.0709145 Long DBT CORP NL N 2 2033-06-16 Fixed 1.125 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAQ5 900000.000000 PA USD 724922.770000 0.263927 Long DBT CORP US N 2 2032-11-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UH9 2134692.000000 PA USD 2065649.810000 0.752055 Long DBT UST US N 2 2055-02-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 300000.000000 PA USD 294292.970000 0.107145 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N GNMA PASS THRU POOLS N/A 21H050672 2600000.000000 PA USD 2554395.270000 0.929995 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 14196000.000000 PA USD 14183325.240000 5.16382 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -139.940000 -0.0000509 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.93300 07/25/25-10Y LCH 2035-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.930000 USD 2025-07-23 XXXX 210.060000 N N N KOREA ELECTRIC POWER CORPORATION (KEPCO) 988400QG33WS7JEIV602 500631AZ9 300000.000000 PA USD 303345.370000 0.110441 Long DBT MUN KR N 2 2026-07-31 Fixed 5.375 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 848000.000000 PA 1008949.570000 0.367335 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 3411.320000 0.001242 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC SRUNSEC SOFRRATE Y Single Leg Swap 2026-06-20 3112.730000 USD 0.000000 USD 500000.000000 USD 298.590000 N N N N/A N/A 000000000 1.000000 NC -19571.050000 -0.0071254 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-12-20 0.000000 CAD -1797.690000 CAD 400000.000000 CAD -17773.360000 N N N N/A N/A 000000000 1.000000 NC -28420.340000 -0.0103472 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6912014.000000 TWD 211869.000000 USD 2025-08-20 -28420.340000 N N N 2025-08-19 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX