NPORT-P false 0000810893 XXXXXXXX S000069193 C000221063 C000221062 C000221065 C000221066 C000221064 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO ESG Income Fund S000069193 549300KQNYNNUS6TOH07 2026-03-31 2025-09-30 N 520044758.950000 165827248.210000 354217510.740000 0.000000 0.000000 16980767.880000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 7100000.000000 0.000000 0.000000 5262939.430000 AUD GBP NZD ZAR BRL INR MXN CAD JPY PEN USD EUR N N/A N/A 000000000 1.000000 NC 4425.240000 0.0012493 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-04-16 0.000000 EUR -324.460000 EUR 200000.000000 EUR 4749.700000 N N N CENTEX HOME EQUITY 2005-B N/A 152314NE6 204296.840000 PA USD 204067.780000 0.0576109 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.23239 N N N N N N PATTERN ENERGY OPERATIONS LP / PATTERN ENERGY OPERATIONS INC N/A 70339PAA7 500000.000000 PA USD 487701.700000 0.137684 Long DBT CORP US N 2 2028-08-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2463.680000 0.0006955 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -270.000000 USD 100000.000000 USD 2733.680000 N N N N/A N/A 000000000 1.000000 NC 84345.260000 0.0238117 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-09-18 19903.130000 JPY 0.000000 JPY 340000000.000000 JPY 64442.130000 N N N N/A N/A 000000000 1.000000 NC USD -1720.660000 -0.0004858 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-16 0.000000 USD -530.000000 USD 100000.000000 USD -1190.660000 N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ACI2MPXZ8 187400000.000000 PA 2124238.410000 0.599699 Long DBT CORP N/A N 2 2028-02-08 Fixed 6.72 N N N N N N N/A N/A 000000000 1.000000 NC USD 29113.700000 0.0082192 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-21 40964.220000 USD 0.000000 USD 1440000.000000 USD -11850.520000 N N N N/A N/A 000000000 1.000000 NC 2959.310000 0.0008354 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-05 0.000000 EUR -317.000000 EUR 100000.000000 EUR 3276.310000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 136743.990000 PA USD 123819.130000 0.0349557 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.57239 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38144GAG6 100000.000000 NS USD 98069.000000 0.0276861 Long EP CORP US N 2 N N N MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC) 213800227GGD6UI7PI97 ACI210QC5 100000.000000 PA 112777.910000 0.0318386 Long DBT CORP GB N 2 2028-11-30 Fixed 4.75 N N N N N N DOLP TRUST 2021-NYC N/A 23345LAL3 700000.000000 PA USD 572994.590000 0.161764 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI23QT82 200000.000000 PA 232521.850000 0.0656438 Long DBT CORP DE N 2 2028-02-23 Floating 1.875 N N N N N N STRUCTURED ASSET INVST LN TR 2005-4 N/A 86358ESP2 1639000.000000 PA USD 1529307.300000 0.431742 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.24739 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF11 500000.000000 PA 617174.950000 0.174236 Long DBT NUSS RO N 2 2028-09-18 Fixed 5.5 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1 N/A 76112BJH4 678021.410000 PA USD 653609.860000 0.184522 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.47239 N N N N N N METALSA SA DE CV 549300F2FONGJR575V67 59132VAB4 450000.000000 PA USD 399656.250000 0.112828 Long DBT CORP MX N 2 2031-05-04 Fixed 3.75 N N N N N N UMBS PASS THRU POOLS N/A 01F0206A2 -750000.000000 PA USD -604674.830000 -0.170707 Short ABS-MBS USGSE US N 2 2055-10-14 Fixed 2 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BS1 200000.000000 PA USD 178050.240000 0.0502658 Long DBT CORP US N 2 2032-04-15 Fixed 2.703 N N N N N N N/A N/A 000000000 1.000000 NC 6516.030000 0.0018396 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL -38775.750000 BRL 83675000.000000 BRL 45291.780000 N N N N/A N/A 000000000 1.000000 NC 19188.970000 0.0054173 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-12-20 0.000000 EUR -9867.460000 EUR 700000.000000 EUR 29056.430000 N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAH5 350000.000000 PA USD 319839.280000 0.0902946 Long DBT CORP CA N 2 2031-04-15 Fixed 2.724 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS7 N/A 76110WB54 78323.590000 PA USD 78544.240000 0.022174 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.15239 N N N N N N N/A N/A 000000000 1.000000 NC USD -1322.100000 -0.0003732 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -432.500000 USD 100000.000000 USD -889.600000 N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAG0 1400000.000000 PA USD 1386312.590000 0.391373 Long DBT CORP GB N 2 2028-11-03 Floating 3.823 N N N N N N N/A N/A 000000000 1.000000 NC -3.750000 -0.0000011 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12000.000000 USD 3648.880000 KWD 2026-05-05 -3.750000 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGT5 1700000.000000 PA USD 1740139.500000 0.491263 Long DBT CORP US N 2 2033-05-09 Fixed 5.05 N N N N N N N/A N/A 000000000 1.000000 NC USD -8276.330000 -0.0023365 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-10 0.000000 USD -1220.000000 USD 400000.000000 USD -7056.330000 N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AA4 119073.900000 PA USD 116805.410000 0.0329756 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.69239 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI1SQVK7 200000.000000 PA 265671.440000 0.0750023 Long DBT CORP GB N 2 2027-05-12 Floating 5.125 N N N N Y NATWEST GROUP PLC GBP XXXX N N N ZF NORTH AMERICA CAPITAL INC 529900JYGMS9CW9IQX78 98877DAF2 250000.000000 PA USD 244156.080000 0.0689283 Long DBT CORP US N 2 2030-04-23 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC -11620.740000 -0.0032807 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-08 0.000000 EUR -475.140000 EUR 200000.000000 EUR -11145.600000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UE6 3200000.000000 PA USD 3082000.000000 0.870087 Long DBT UST US N 2 2054-11-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 59.110000 0.0000167 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12323.000000 USD 3764.100000 KWD 2026-07-13 59.110000 N N N N/A N/A 000000000 1.000000 NC 72078.670000 0.0203487 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2029-06-19 10264.170000 NZD 0.000000 NZD 1600000.000000 NZD 61814.500000 N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBY8 500000.000000 PA USD 482917.500000 0.136334 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N N/A N/A 000000000 1.000000 NC USD -1897.340000 -0.0005356 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-17 0.000000 USD -525.000000 USD 100000.000000 USD -1372.340000 N N N HOWARD HUGHES CORP/THE 549300BVHY25JZC1KI49 44267DAF4 600000.000000 PA USD 563037.180000 0.158952 Long DBT CORP US N 2 2031-02-01 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -102222.300000 -0.0288586 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-06 0.000000 USD -57434.930000 USD 11110000.000000 USD -44787.370000 N N N N/A N/A 000000000 1.000000 NC USD -40.120000 -0.0000113 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-12-12 0.000000 USD -940.000000 USD 200000.000000 USD 899.880000 N N N WORKSPACE GROUP PLC 2138003GUZRFIN3UT430 ACI1W93R6 600000.000000 PA 750201.410000 0.211791 Long DBT CORP GB N 2 2028-03-11 Fixed 2.25 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BS1 300000.000000 PA USD 311392.970000 0.0879101 Long DBT CORP NL N 2 2036-03-25 Floating 5.525 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CH1 200000.000000 PA USD 184964.450000 0.0522178 Long DBT CORP GB N 2 2033-01-12 Floating 3.603 N N N N N N N/A N/A 000000000 1.000000 NC USD -4128.210000 -0.0011654 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -595.000000 USD 200000.000000 USD -3533.210000 N N N N/A N/A 000000000 1.000000 NC -14397.090000 -0.0040645 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 964651.640000 PEN 262483.100000 USD 2026-02-09 -14397.090000 N N N CENTEX HOME EQUITY 2004-D N/A 152314LQ1 55131.690000 PA USD 54824.390000 0.0154776 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.20239 N N N N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 ACI1N57Z2 200000.000000 PA 210710.220000 0.0594861 Long DBT CORP NL N 2 2031-02-01 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC 1475.720000 0.0004166 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 993546.960000 USD 1384706.400000 CAD 2025-10-02 1475.720000 N N N ACE SECURITIES CORP 2007-WM1 N/A 004424AD9 464755.810000 PA USD 191210.070000 0.053981 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.61239 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBA3 250000.000000 PA USD 222607.220000 0.0628448 Long DBT CORP US N 2 2031-12-15 Fixed 2.9 N N N N N N FHF ISSUER TRUST 2025-1A N/A 30340RAB2 1303942.390000 PA USD 1302080.230000 0.367593 Long ABS-O CORP US N 2 2031-02-15 Fixed 4.92 N N N N N N VASA TRUST 2021-VASA N/A 92230AAG1 400000.000000 PA USD 362263.520000 0.102272 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.36548 N N N N N N CREDIT AGRICOLE ASSURANCES 969500K2MUPSI57XK083 ACI20SW61 500000.000000 PA 524302.910000 0.148017 Long DBT CORP FR N 2 2031-10-06 Fixed 1.5 N N N N N N MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC) 213800227GGD6UI7PI97 ACI2YGQW0 400000.000000 PA 440256.390000 0.12429 Long DBT CORP GB N 2 2031-07-10 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -8007.870000 -0.0022607 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -1005.000000 USD 300000.000000 USD -7002.870000 N N N N/A N/A 000000000 1.000000 NC 26508.490000 0.0074837 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4279118.000000 USD 634530724.000000 JPY 2025-11-04 26508.490000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2MJTC8 1100000.000000 PA 1330522.260000 0.375623 Long DBT NUSS HU N 2 2029-07-25 Fixed 4 N N N N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAL9 700000.000000 PA USD 657387.500000 0.185589 Long ABS-MBS CORP US N 2 2035-08-10 Variable 4.28017 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS2 N/A 761118UK2 193851.600000 PA USD 159701.560000 0.0450857 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -3334.300000 -0.0009413 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -857.500000 USD 200000.000000 USD -2476.800000 N N N N/A N/A 000000000 1.000000 NC USD -9493.310000 -0.0026801 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-22 0.000000 USD -910.000000 USD 200000.000000 USD -8583.310000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397G72 2200000.000000 PA USD 2238111.110000 0.631846 Long DBT CORP US N 2 2028-03-20 Fixed 5.918 N N N N N N N/A N/A 000000000 1.000000 NC USD 8128.640000 0.0022948 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-22 0.000000 USD -1200.000000 USD 500000.000000 USD 9328.640000 N N N VILMORIN & CIE 969500TQ4OAZZXSUPZ18 ACI1WKXC1 400000.000000 PA 448235.500000 0.126542 Long DBT CORP FR N 2 2028-03-26 Fixed 1.375 N N N N N N N/A N/A 000000000 1.000000 NC 302.810000 0.0000855 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 51523.000000 USD 7637697.000000 JPY 2025-11-04 302.810000 N N N N/A N/A 000000000 1.000000 NC USD 9048.750000 0.0025546 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-20 0.000000 USD -2482.500000 USD 600000.000000 USD 11531.250000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TP3 652032.000000 PA USD 522400.770000 0.14748 Long DBT UST US N 2 2053-02-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 5501.070000 0.001553 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-05-06 0.000000 USD -280.460000 USD 250000.000000 USD 5781.530000 N N N N/A N/A 000000000 1.000000 NC -10481.210000 -0.002959 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-15 0.000000 EUR -754.710000 EUR 200000.000000 EUR -9726.500000 N N N N/A N/A 000000000 1.000000 NC -3539.260000 -0.0009992 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-01-03 0.000000 EUR -193.630000 EUR 100000.000000 EUR -3345.630000 N N N FNMA PASS THRU POOLS N/A 3140QSKW0 1918402.680000 PA USD 1811089.230000 0.511293 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 938.640000 0.000265 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-16 0.000000 EUR -373.130000 EUR 100000.000000 EUR 1311.770000 N N N N/A N/A 000000000 1.000000 NC USD 100979.510000 0.0285078 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-08-12 0.000000 USD -3347.290000 USD 250000.000000 USD 104326.800000 N N N GLOBALWORTH REAL ESTATE INVESTMENTS LIMITED 213800R3E823B1UBIA81 ACI2NWFK5 376001.200000 PA 450898.860000 0.127294 Long DBT CORP GG N 2 2030-03-31 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -1558.020000 -0.0004398 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 347259.000000 USD 51123990.000000 JPY 2025-10-02 -1558.020000 N N N N/A N/A 000000000 1.000000 NC USD 2171.710000 0.0006131 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-21 12104.340000 USD 0.000000 USD 380000.000000 USD -9932.630000 N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI1YMJ56 300000.000000 PA 348294.820000 0.098328 Long DBT CORP GG N 2 2026-06-22 Fixed 1.125 N N N N N N SOUTHWESTERN PUBLIC SERVICE COMPANY OL6FE7QD5EQ3DOYEO258 845743BU6 100000.000000 PA USD 67564.050000 0.0190742 Long DBT CORP US N 2 2050-05-01 Fixed 3.15 N N N N N N N/A N/A 000000000 1.000000 NC USD 3015.750000 0.0008514 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -790.000000 USD 200000.000000 USD 3805.750000 N N N N/A N/A 000000000 -4.000000 NC USD 13295.680000 0.0037535 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-06-16 -965025.000000 USD 13295.680000 N N N N/A N/A 000000000 1.000000 NC -39546.760000 -0.0111645 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2031-03-18 0.000000 EUR -31752.420000 EUR 13100000.000000 EUR -7794.340000 N N N N/A N/A 000000000 1.000000 NC 1038.480000 0.0002932 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 1311.170000 N N N N/A N/A 000000000 1.000000 NC 3820.450000 0.0010786 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 4246.430000 N N N N/A N/A 000000000 1.000000 NC USD -565.970000 -0.0001598 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -730.000000 USD 200000.000000 USD 164.030000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNR8 6300000.000000 PA USD 6330515.630000 1.78718 Long DBT UST US N 2 2032-07-31 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -2917.270000 -0.0008236 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-10-07 0.000000 EUR -374.990000 EUR 200000.000000 EUR -2542.280000 N N N N/A N/A 000000000 1.000000 NC USD -4407.930000 -0.0012444 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-11 0.000000 USD -727.500000 USD 200000.000000 USD -3680.430000 N N N N/A N/A 000000000 1.000000 NC USD 15241.420000 0.0043028 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -401406.540000 USD 30800000.000000 USD 416647.960000 N N N N/A N/A 000000000 1.000000 NC 6131.450000 0.001731 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 51397.260000 KWD 177000.000000 USD 2030-05-09 6131.450000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565ASK0 400000.000000 PA USD 365764.800000 0.10326 Long DBT CORP FR N 2 2031-02-25 Floating 4.625 N N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3 N/A 76113WAE3 508954.040000 PA USD 97964.140000 0.0276565 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.58239 N N N N N N N/A N/A 000000000 1.000000 NC USD 640.160000 0.0001807 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -720.000000 USD 200000.000000 USD 1360.160000 N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH 2549002JHJ73KGETOK78 05971BAG4 200000.000000 PA USD 198602.640000 0.056068 Long DBT CORP BR N 2 2026-01-11 Fixed 2.75 N N N N N N GRAPHIC PACKAGING INTERNATIONAL LLC SO75N4VY5NXGQSK8YQ65 ACI21QJC6 400000.000000 PA 456265.980000 0.128809 Long DBT CORP US N 2 2029-02-01 Fixed 2.625 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAG7 1480000.000000 PA USD 411697.670000 0.116227 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.56548 N N N N N N N/A N/A 000000000 300000.000000 NC USD 1905.210000 0.0005379 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.40000 07/22/27-30Y LCH 2057-07-22 0.000000 USD 0.000000 USD N/A USD N/A 2.400000 USD 2027-07-20 XXXX -37679.790000 N N N GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-2CS N/A 38237KAA8 772515.370000 PA USD 688783.050000 0.194452 Long ABS-O CORP US N 2 2049-04-20 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -326.800000 -0.0000923 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-03 0.000000 USD -457.500000 USD 100000.000000 USD 130.700000 N N N FNMA PASS THRU POOLS N/A 3140QSDX6 599727.440000 PA USD 584489.090000 0.165009 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.5 N N N N N N NETAPP INC QTX3D84DZDD5JYOCYH15 64110DAM6 350000.000000 PA USD 364352.170000 0.102861 Long DBT CORP US N 2 2032-03-17 Fixed 5.5 N N N N N N MOSAIC SOLAR LOAN TRUST 2022-1A N/A 61946QAA9 491114.050000 PA USD 423720.240000 0.119622 Long ABS-O CORP US N 2 2053-01-20 Fixed 2.64 N N N N N N MARKS AND SPENCER PLC 213800CN1RI3UCIZWB95 ACI1STT40 100000.000000 PA 133865.870000 0.037792 Long DBT CORP GB N 2 2026-05-19 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -4852.250000 -0.0013699 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-06-26 0.000000 EUR -293.900000 EUR 200000.000000 EUR -4558.350000 N N N N/A N/A 000000000 1.000000 NC -3137.130000 -0.0008857 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-08-14 0.000000 EUR -273.260000 EUR 200000.000000 EUR -2863.870000 N N N AMERICAN HOME MORTGAGE ASSETS 2006-6 N/A 008684AA0 26822.490000 PA USD 23254.480000 0.006565 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.46239 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020BC0 1400000.000000 PA USD 1456467.140000 0.411179 Long DBT CORP US N 2 2030-03-15 Fixed 6.25 N N N N N N DOLP TRUST 2021-NYC N/A 23345LAJ8 900000.000000 PA USD 777884.130000 0.219606 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N N/A N/A 000000000 1.000000 NC 276357.040000 0.078019 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4647942.000000 USD 26208350.560000 BRL 2025-10-02 276357.040000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHP9 3403616.000000 PA USD 3352468.840000 0.946444 Long DBT UST US N 2 2033-07-15 Fixed 1.375 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAR0 115692.120000 PA USD 94828.650000 0.0267713 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 18.070000 0.0000051 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4000.000000 USD 1222.040000 KWD 2026-05-18 18.070000 N N N N/A N/A 000000000 1.000000 NC USD 765.660000 0.0002162 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-21 0.000000 USD -680.000000 USD 200000.000000 USD 1445.660000 N N N N/A N/A 000000000 1.000000 NC USD 717.930000 0.0002027 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -820.000000 USD 200000.000000 USD 1537.930000 N N N N/A N/A 000000000 1.000000 NC USD -20195.900000 -0.0057016 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-24 0.000000 USD -400.500000 USD 50000.000000 USD -19795.400000 N N N N/A N/A 000000000 1.000000 NC USD 8998.960000 0.0025405 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -2380.500000 USD 600000.000000 USD 11379.460000 N N N N/A N/A 000000000 1.000000 NC USD -142.300000 -0.0000402 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1615.000000 USD 400000.000000 USD 1472.700000 N N N N/A N/A 000000000 1.000000 NC -217729.120000 -0.0614676 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 -6921.580000 BRL 18400000.000000 BRL -210807.540000 N N N N/A N/A 000000000 1.000000 NC USD 1759.430000 0.0004967 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -591.000000 USD 200000.000000 USD 2350.430000 N N N N/A N/A 000000000 1.000000 NC USD -1086.850000 -0.0003068 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-13 0.000000 USD -735.000000 USD 200000.000000 USD -351.850000 N N N N/A N/A 000000000 1.000000 NC USD 3595.710000 0.0010151 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-21 0.000000 USD -280.000000 USD 100000.000000 USD 3875.710000 N N N N/A N/A 000000000 1.000000 NC USD 3782.040000 0.0010677 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-20 0.000000 USD -26.220000 USD 100000.000000 USD 3808.260000 N N N ASSET BACKED SEC HOME EQTY LN 2006-HE1 N/A 04541GVM1 2085221.810000 PA USD 1908104.530000 0.538682 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.90239 N N N N N N N/A N/A 000000000 1.000000 NC USD 752.790000 0.0002125 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-23 0.000000 USD -417.500000 USD 100000.000000 USD 1170.290000 N N N N/A N/A 000000000 1.000000 NC USD -39089.520000 -0.0110355 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-12-21 0.000000 USD -29705.000000 USD 100000.000000 USD -9384.520000 N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 36186CBY8 450000.000000 PA USD 513203.380000 0.144884 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N GOODMAN US FINANCE FIVE LLC N/A 38239PAA5 1000000.000000 PA USD 995061.440000 0.280918 Long DBT CORP US N 2 2032-05-04 Fixed 4.625 N N N N N N VERISIGN INC LMPL4N8ZOJRMF0KOF759 92343EAM4 400000.000000 PA USD 360689.410000 0.101827 Long DBT CORP US N 2 2031-06-15 Fixed 2.7 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQEK4 1538411.630000 PA USD 1530077.820000 0.43196 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 7197.680000 0.002032 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -790.000000 USD 200000.000000 USD 7987.680000 N N N WEST AFRICAN DEVELOPMENT BANK (AKA: BANQUE OUEST AFRICAINE DE DEVELOPPEMENT) 529900LIZJABE4JJS826 ACI1V4M48 100000.000000 PA 102150.450000 0.0288383 Long DBT CORP N/A N 2 2033-01-22 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 111125.910000 0.0313722 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2042-03-15 20323.400000 JPY 0.000000 JPY 79000000.000000 JPY 90802.510000 N N N N/A N/A 000000000 1.000000 NC USD -7153.580000 -0.0020195 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-03-05 0.000000 USD -857.500000 USD 100000.000000 USD -6296.080000 N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6 N/A 05492TBH2 854000.000000 PA USD 664725.080000 0.18766 Long ABS-MBS CORP US N 2 2053-02-15 Variable 3.81129 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 1070560.000000 PA USD 791383.520000 0.223417 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKJ9 5200000.000000 PA USD 5264898.440000 1.48635 Long DBT UST US N 2 2027-04-15 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QUFM3 4153360.800000 PA USD 4128814.650000 1.16562 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -83981.690000 -0.0237091 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 6100000.000000 BRL -83981.690000 N N N N/A N/A 000000000 1.000000 NC USD -4826.400000 -0.0013626 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-19 0.000000 USD -840.000000 USD 200000.000000 USD -3986.400000 N N N FHLMC PASS THRU POOLS N/A 3142GQBQ4 1062691.470000 PA USD 1002581.670000 0.283041 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 4 N N N N N N BRIDGEGATE FUNDING PLC 2023-1A N/A ACI2C6Q30 950000.000000 PA 1288819.920000 0.36385 Long ABS-MBS CORP GB N 2 2062-10-16 Floating 8.07284 N N N N N N N/A N/A 000000000 1.000000 NC USD -8839.570000 -0.0024955 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-02 0.000000 USD -915.000000 USD 300000.000000 USD -7924.570000 N N N N/A N/A 000000000 1.000000 NC -18331.780000 -0.0051753 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -2535.130000 EUR 700000.000000 EUR -15796.650000 N N N N/A N/A 000000000 1.000000 NC USD -8708.480000 -0.0024585 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 -7532.480000 N N N N/A N/A 000000000 1.000000 NC -1829.910000 -0.0005166 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-06 0.000000 EUR -608.400000 EUR 200000.000000 EUR -1221.510000 N N N N/A N/A 000000000 1.000000 NC 13240.580000 0.003738 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-20 0.000000 EUR -386.060000 EUR 200000.000000 EUR 13626.640000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAD9 27940.940000 PA USD 27780.000000 0.0078426 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.55239 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2006-BC2 N/A 22237JAG2 259635.500000 PA USD 247391.350000 0.0698416 Long ABS-MBS CORP US N 2 2045-01-25 Floating 4.70739 N N N N N N WEST AFRICAN DEVELOPMENT BANK (AKA: BANQUE OUEST AFRICAINE DE DEVELOPPEMENT) 529900LIZJABE4JJS826 ACI1V4PH6 770000.000000 PA 786558.510000 0.222055 Long DBT CORP N/A N 2 2033-01-22 Fixed 2.75 N N N N N N CTP NV 3157000YTVO4TN65UM14 ACI20LMV2 500000.000000 PA 521705.700000 0.147284 Long DBT CORP NL N 2 2031-09-27 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 2233656.000000 PA USD 2098117.980000 0.592325 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBB1 300000.000000 PA USD 307494.500000 0.0868095 Long DBT CORP US N 2 2034-07-01 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC 91231.380000 0.0257558 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2032-06-15 804.140000 JPY 0.000000 JPY 233400000.000000 JPY 90427.240000 N N N GAP INC T2ZG1WRWZ4BUCMQL9224 364760AP3 250000.000000 PA USD 234227.880000 0.0661254 Long DBT CORP US N 2 2029-10-01 Fixed 3.625 N N N N N N FNMA PASS THRU POOLS N/A 3140QTNF2 2335559.540000 PA USD 2362549.710000 0.666977 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 14.890000 0.0000042 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4663.000000 USD 1422.450000 KWD 2026-06-10 14.890000 N N N N/A N/A 000000000 1.000000 NC -216.180000 -0.000061 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 27458.000000 USD 4028656.000000 JPY 2025-10-02 -216.180000 N N N TDC NET A/S 549300SH2G3R15Y3FX20 BNVQWHII7 400000.000000 PA 491091.020000 0.138641 Long DBT CORP DK N 2 2028-05-31 Fixed 5.056 N N N N N N LEHMAN XS TRUST 2006-15 N/A 52523MAD2 106324.780000 PA USD 96065.580000 0.0271205 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.61239 N N N N N N N/A N/A 000000000 1.000000 NC -32367.470000 -0.0091377 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 5815409.000000 USD 855225096.000000 JPY 2025-10-02 -32367.470000 N N N SARTORIUS FINANCE BV 529900JCAKTMRXK9EA58 ACI2JQ1Z5 600000.000000 PA 753989.590000 0.212861 Long DBT CORP NL N 2 2035-09-14 Fixed 4.875 N N N N N N UMBS PASS THRU POOLS N/A 01F0506A9 -8300000.000000 PA USD -8232699.700000 -2.32419 Short ABS-MBS USGSE US N 2 2055-10-14 Fixed 5 N N N N N N URUGUAY GOVT 549300RDR012H2V82H43 760942BD3 100000.000000 PA USD 91325.000000 0.0257822 Long DBT NUSS UY N 2 2055-04-20 Fixed 4.975 N N N N N N FNMA PASS THRU POOLS N/A 3140QRAB9 860134.210000 PA USD 838636.580000 0.236758 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF94 500000.000000 PA 616405.950000 0.174019 Long DBT NUSS RO N 2 2033-09-18 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 1831.560000 0.0005171 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-12-14 0.000000 USD -435.000000 USD 100000.000000 USD 2266.560000 N N N UMBS PASS THRU POOLS N/A 01F0626A4 24200000.000000 PA USD 25011666.550000 7.0611 Long ABS-MBS USGSE US N 2 2054-10-15 Fixed 6.5 N N N N N N NETAPP INC QTX3D84DZDD5JYOCYH15 64110DAN4 350000.000000 PA USD 366063.810000 0.103344 Long DBT CORP US N 2 2035-03-17 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC -177.500000 -0.0000501 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 19546.690000 USD 2864413.000000 JPY 2025-10-02 -177.500000 N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG16 1800000.000000 PA 2424799.840000 0.684551 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.37502 N N N N N N UZBEKISTAN GOVT 213800L6VDKUM3TCM927 ACI2P7GV3 400000.000000 PA 484990.940000 0.136919 Long DBT NUSS UZ N 2 2027-05-29 Fixed 5.375 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2NBJY7 6327494.320000 PA 330963.870000 0.0934352 Long DBT NUSS MX N 2 2034-08-24 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 23.630000 0.0000067 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3996.800000 USD 1222.460000 KWD 2026-06-17 23.630000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 BLGM75II1 200000.000000 PA USD 193272.400000 0.0545632 Long DBT CORP NL N 2 2029-05-16 Floating 4.875 N N N N Y ING GROEP NV EUR XXXX N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCP4 1400000.000000 PA 1029216.220000 0.290561 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 USD -847.120000 -0.0002392 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -432.500000 USD 100000.000000 USD -414.620000 N N N N/A N/A 000000000 1.000000 NC USD -8125.840000 -0.002294 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -1292.000000 USD 400000.000000 USD -6833.840000 N N N VASA TRUST 2021-VASA N/A 92230AAE6 400000.000000 PA USD 368230.520000 0.103956 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.01548 N N N N N N N/A N/A 000000000 1.000000 NC USD -19752.010000 -0.0055762 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-26 0.000000 USD -438.170000 USD 50000.000000 USD -19313.840000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 400000.000000 PA USD 357109.490000 0.100816 Long DBT CORP US N 2 2032-07-21 Floating 2.383 N N N N N N N/A N/A 000000000 1.000000 NC 282.460000 0.0000797 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-19 0.000000 EUR -263.360000 EUR 100000.000000 EUR 545.820000 N N N N/A N/A 000000000 1.000000 NC USD -2625.280000 -0.0007411 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -335.000000 USD 100000.000000 USD -2290.280000 N N N MFT TRUST 2020-B6 N/A 55316TAA7 180000.000000 PA USD 135695.920000 0.0383086 Long ABS-MBS CORP US N 2 2040-08-10 Fixed 3.39221 N N N N N N N/A N/A 000000000 1.000000 NC USD -3568.760000 -0.0010075 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 -2988.760000 N N N N/A N/A 000000000 1.000000 NC USD -87.450000 -0.0000247 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-22 0.000000 USD -715.000000 USD 200000.000000 USD 627.550000 N N N N/A N/A 000000000 1.000000 NC USD 8216.000000 0.0023195 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -697.500000 USD 200000.000000 USD 8913.500000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAL0 1000000.000000 PA USD 925442.200000 0.261264 Long ABS-MBS CORP US N 2 2038-09-15 Floating 7.01548 N N N N N N N/A N/A 000000000 1.000000 NC USD 7926.290000 0.0022377 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-03 0.000000 USD -540.000000 USD 200000.000000 USD 8466.290000 N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 656029AN5 1400000.000000 PA USD 1433152.250000 0.404597 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 USD 7112.370000 0.0020079 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-17 0.000000 USD -681.000000 USD 200000.000000 USD 7793.370000 N N N N/A N/A 000000000 1.000000 NC 114.390000 0.0000323 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-09-25 0.000000 EUR -339.010000 EUR 200000.000000 EUR 453.400000 N N N N/A N/A 000000000 1.000000 NC -8465.770000 -0.00239 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -431.440000 EUR 100000.000000 EUR -8034.330000 N N N EQT AB 213800U7P9GOIRKCTB34 ACI1XP2B5 800000.000000 PA 825408.250000 0.233023 Long DBT CORP SE N 2 2031-05-14 Fixed 0.875 N N N N N N ST MARYS CEMENT INC (CANADA) 5493009981WBHS86CJ89 78478EAC2 400000.000000 PA USD 413606.400000 0.116766 Long DBT CORP CA N 2 2034-04-02 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 1173.110000 0.0003312 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-20 0.000000 USD -710.000000 USD 200000.000000 USD 1883.110000 N N N N/A N/A 000000000 1.000000 NC 56536.040000 0.0159608 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 28862862.520000 EUR 34010813.820000 USD 2025-11-04 56536.040000 N N N FNMA PASS THRU POOLS N/A 31418ER77 169351.810000 PA USD 168783.610000 0.0476497 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 USD 5477.010000 0.0015462 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -717.500000 USD 200000.000000 USD 6194.510000 N N N ONEMAIN FINANCE CORPORATION 5493008I795YYBFWFU90 682691AB6 781000.000000 PA USD 763788.800000 0.215627 Long DBT CORP US N 2 2027-01-15 Fixed 3.5 N N N N N N GREENKO WIND PROJECTS (MAURITIUS) LTD 254900MSUXE1FF83DP82 39531JAB0 800000.000000 PA USD 814777.220000 0.230022 Long DBT CORP MU N 2 2028-09-27 Fixed 7.25 N N N N N N FNMA PASS THRU POOLS N/A 3140N0YT6 402767.350000 PA USD 401602.890000 0.113378 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 7100.940000 0.0020047 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-29 0.000000 USD -572.500000 USD 200000.000000 USD 7673.440000 N N N N/A N/A 000000000 1.000000 NC USD -3540.920000 -0.0009996 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -640.000000 USD 200000.000000 USD -2900.920000 N N N NE PROPERTY BV 7245006AG9J70KOIJH36 ACI1NVNL8 300000.000000 PA 357118.260000 0.100819 Long DBT CORP NL N 2 2027-07-14 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -3718.280000 -0.0010497 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 -2948.280000 N N N LOANPAL SOLAR LOAN 2021-2GS LTD N/A 53948QAA4 118323.690000 PA USD 96578.170000 0.0272652 Long ABS-O CORP US N 2 2048-03-20 Fixed 2.22 N N N N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 2015-SRCH N/A 05547HAN1 900000.000000 PA USD 849639.420000 0.239864 Long ABS-MBS CORP US N 2 2035-08-10 Variable 5.12177 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAD8 400000.000000 PA USD 394754.950000 0.111444 Long DBT CORP US N 2 2028-02-15 Fixed 5.95 N N N N N N N/A N/A 000000000 1.000000 NC -160057.190000 -0.0451861 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2030-09-17 0.000000 GBP -143597.100000 GBP 27700000.000000 GBP -16460.090000 N N N FNMA PASS THRU POOLS N/A 3140QUMN3 4021795.890000 PA USD 3793885.220000 1.07106 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 4 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1Z2SX8 610000.000000 PA 583758.070000 0.164802 Long DBT NUSS MX N 2 2036-08-12 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 104.960000 0.0000296 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-27 0.000000 EUR -259.080000 EUR 100000.000000 EUR 364.040000 N N N BBCCRE TRUST 2015-GTP N/A 05490TAG7 2660000.000000 PA USD 1905690.500000 0.538 Long ABS-MBS CORP US N 2 2033-08-10 Variable 4.71469 N N N N N N N/A N/A 000000000 1.000000 NC USD -6084.000000 -0.0017176 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-15 0.000000 USD -871.250000 USD 200000.000000 USD -5212.750000 N N N GOODLEAP SUSTAINABLE HOME IMPROVEMENT LOAN TRUST 2022-3CS N/A 38237TAA9 785038.600000 PA USD 711999.940000 0.201006 Long ABS-O CORP US N 2 2049-07-20 Fixed 4.95 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWKQ5 249248.910000 PA USD 257868.570000 0.0727995 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 44816.850000 PA USD 41683.650000 0.0117678 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.61921 N N N N N N N/A N/A 000000000 1.000000 NC USD 1244.280000 0.0003513 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -750.000000 USD 200000.000000 USD 1994.280000 N N N N/A N/A 000000000 1.000000 NC USD -3797.290000 -0.001072 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-29 0.000000 USD -626.000000 USD 200000.000000 USD -3171.290000 N N N N/A N/A 000000000 1.000000 NC -26022.590000 -0.0073465 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-09-14 0.000000 JPY -4843.370000 JPY 260000000.000000 JPY -21179.220000 N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAB6 600000.000000 PA USD 565122.780000 0.159541 Long DBT CORP GB N 2 2031-07-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 1426.290000 0.0004027 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 1688.790000 N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAL0 996471.000000 PA USD 853586.430000 0.240978 Long ABS-MBS CORP US N 2 2043-10-15 Floating 7.01448 N N N N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH 2549002JHJ73KGETOK78 05971AAG6 800000.000000 PA USD 794410.560000 0.224272 Long DBT CORP BR N 2 2026-01-11 Fixed 2.75 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-9 N/A 54251WAD4 728188.940000 PA USD 227782.230000 0.0643058 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.59239 N N N N N N FHLMC PASS THRU POOLS N/A 3132DV3V5 134651.980000 PA USD 128947.980000 0.0364036 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 12495.100000 0.0035275 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4924345.300000 USD 26654988.670000 BRL 2025-12-02 12495.100000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QL8W8 1000000.000000 PA 1175985.730000 0.331995 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 3.926 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 90265EAS9 100000.000000 PA USD 86305.460000 0.0243651 Long DBT CORP US N 2 2034-11-01 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC USD 17645.070000 0.0049814 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-17 0.000000 USD -118.610000 USD 500000.000000 USD 17763.680000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAN1 400000.000000 PA USD 380649.010000 0.107462 Long DBT CORP US N 2 2029-11-15 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC -5452.350000 -0.0015393 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR -5073.970000 N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AK3 400000.000000 PA USD 370892.880000 0.104708 Long DBT CORP US N 2 2028-10-12 Fixed 3.125 N N N N N N EQT AB 213800U7P9GOIRKCTB34 ACI24Q3R7 800000.000000 PA 932974.340000 0.26339 Long DBT CORP SE N 2 2028-04-06 Fixed 2.375 N N N N N N FNMA PASS THRU POOLS N/A 3140FXNR9 1260279.930000 PA USD 1144458.870000 0.323095 Long ABS-MBS USGSE US N 2 2059-08-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 9788772.000000 PA USD 9016464.610000 2.54546 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC USD -1474.470000 -0.0004163 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-12-13 0.000000 USD -1413.750000 USD 600000.000000 USD -60.720000 N N N N/A N/A 000000000 1.000000 NC 314479.560000 0.0887815 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-06-16 90495.100000 JPY 0.000000 JPY 1600000000.000000 JPY 223984.460000 N N N N/A N/A 000000000 1.000000 NC 96979.730000 0.0273786 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 134166.270000 AUD 0.000000 AUD 6300000.000000 AUD -37186.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKH3 5100000.000000 PA USD 5116585.610000 1.44448 Long DBT UST US N 2 2026-03-31 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 10.820000 0.0000031 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -397.500000 USD 100000.000000 USD 408.320000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797RX7 23000.000000 PA USD 22814.760000 0.0064409 Long DBT UST US N 2 2025-12-16 None 0 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAY2 600000.000000 PA USD 570690.290000 0.161113 Long DBT CORP US N 2 2029-12-15 Fixed 3.375 N N N N N N FNMA PASS THRU POOLS N/A 3140QSST9 1602850.760000 PA USD 1513850.640000 0.427379 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QUWN2 15682141.140000 PA USD 15582624.310000 4.39917 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 7022.150000 0.0019824 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -545.000000 USD 200000.000000 USD 7567.150000 N N N ASSET BACKED SEC CORP HOME EQ 2005-HE4 N/A 04541GRR5 402515.760000 PA USD 382764.430000 0.108059 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.11739 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBD1 300000.000000 PA USD 201509.820000 0.0568887 Long DBT CORP US N 2 2050-06-15 Fixed 3.1 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKA6 1400000.000000 PA USD 1242253.120000 0.350704 Long DBT CORP US N 2 2032-07-21 Floating 2.299 N N N N N N N/A N/A 000000000 293.000000 NC USD 28258.670000 0.0079778 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-12-31 31988503.830000 USD 28258.670000 N N N N/A N/A 000000000 1.000000 NC USD 2719.430000 0.0007677 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-07 0.000000 USD -1950.000000 USD 400000.000000 USD 4669.430000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAS2 500000.000000 PA USD 496686.810000 0.140221 Long DBT CORP GB N 2 2028-03-18 Floating 3.75 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQEL2 2257614.980000 PA USD 2281089.950000 0.64398 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 5.5 N N N N N N AHLSTROM HOLDING 3 OY 743700UEY0YM039XN974 78475BAB3 300000.000000 PA USD 300675.000000 0.0848843 Long LON CORP FI N 2 2030-05-23 Floating 8.5131 N N N N N N N/A N/A 000000000 1.000000 NC USD -1649.510000 -0.0004657 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -352.500000 USD 100000.000000 USD -1297.010000 N N N N/A N/A 000000000 1.000000 NC 65773.690000 0.0185687 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-09-18 8008.650000 JPY 0.000000 JPY 580000000.000000 JPY 57765.040000 N N N N/A N/A 000000000 1.000000 NC -786.570000 -0.0002221 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4942103.620000 ZAR 285380.400000 USD 2025-10-02 -786.570000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAE4 1600000.000000 PA USD 995800.960000 0.281127 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.56548 N N N N N N N/A N/A 000000000 1.000000 NC USD 2681.520000 0.000757 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -525.000000 USD 200000.000000 USD 3206.520000 N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAG2 450000.000000 PA USD 464722.240000 0.131197 Long DBT CORP US N 2 2034-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1593.700000 0.0004499 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A CMBX.NA.AAA.14 Y Single Leg Swap 2072-12-16 0.000000 USD -50842.430000 USD 2100000.000000 USD 52436.130000 N N N N/A N/A 000000000 1.000000 NC 7593.720000 0.0021438 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-03-09 0.000000 EUR -11171.330000 EUR 500000.000000 EUR 18765.050000 N N N ACCOR 969500QZC2Q0TK11NV07 ACI21X8H2 900000.000000 PA 1041834.150000 0.294123 Long DBT CORP FR N 2 2028-11-29 Fixed 2.375 N N N N N N STANDARD INDUSTRIES INC N/A ACI1GX0P8 439743.780000 PA 513754.700000 0.145039 Long DBT CORP US N 2 2026-11-21 Fixed 2.25 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440CA0 350000.000000 PA USD 229247.870000 0.0647195 Long DBT CORP US N 2 2051-08-15 Fixed 2.95 N N N N N N BEIGNET INVESTOR LLC N/A 990AAXQG4 7100000.000000 PA USD 7100000.000000 2.00442 Long DBT CORP US N 3 2049-06-01 Fixed 6.85 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAK9 175173.630000 PA USD 141034.880000 0.0398159 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140N8W53 282327.730000 PA USD 285535.970000 0.0806103 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 7103343.000000 PA USD 7209477.390000 2.03532 Long DBT UST US N 2 2034-07-15 Fixed 1.875 N N N N N N TERRAFORM POWER OPERATING LLC 5493000S2OLR3UT5BE13 88104LAE3 200000.000000 PA USD 198705.600000 0.0560971 Long DBT CORP US N 2 2028-01-31 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 612.040000 0.0001728 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-14 0.000000 USD -660.000000 USD 200000.000000 USD 1272.040000 N N N N/A N/A 000000000 1.000000 NC USD -118167.540000 -0.0333602 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -55934.080000 USD 11400000.000000 USD -62233.460000 N N N N/A N/A 000000000 1.000000 NC 1382.390000 0.0003903 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -349.380000 EUR 100000.000000 EUR 1731.770000 N N N WELLS FARGO MTG BKD SEC 2007-15 N/A 949797AA2 67181.060000 PA USD 65724.780000 0.0185549 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -13647.250000 -0.0038528 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 26281230.870000 BRL 4924345.300000 USD 2025-10-02 -13647.250000 N N N SUNNOVA HELIOS VIII ISSUER 2022-A N/A 86745AAA4 1326855.840000 PA USD 1125852.170000 0.317842 Long ABS-O CORP US N 2 2049-02-22 Fixed 2.79 N N N N N N N/A N/A 000000000 1.000000 NC -630.580000 -0.000178 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-07 0.000000 EUR -279.990000 EUR 100000.000000 EUR -350.590000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AW3 200000.000000 PA USD 183117.670000 0.0516964 Long DBT CORP NL N 2 2032-04-01 Floating 2.727 N N N N N N LEGAL & GENERAL GROUP PLC 213800JH9QQWHLO99821 ACI1N5DJ1 200000.000000 PA 256485.560000 0.0724091 Long DBT CORP GB N 2 2031-03-24 Floating 5.625 N N N N Y LEGAL & GENERAL GROUP PLC GBP XXXX N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AL5 200000.000000 PA USD 189419.140000 0.0534754 Long DBT CORP US N 2 2031-05-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -103.640000 -0.0000293 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 4944211.750000 ZAR 286049.370000 USD 2025-10-09 -103.640000 N N N N/A N/A 000000000 1.000000 NC USD 1047.190000 0.0002956 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -377.500000 USD 100000.000000 USD 1424.690000 N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCK9 500000.000000 PA USD 519040.500000 0.146532 Long DBT CORP US N 2 2055-01-15 Floating 7.6 N N N N N N AES ANDES SA 549300IF4IFG0FS0RM26 00111VAA5 350000.000000 PA USD 366380.700000 0.103434 Long DBT CORP CL N 2 2029-03-15 Fixed 6.3 N N N N N N SHINHAN BANK CO LTD 5493003P813VL21KG928 82460EAN0 200000.000000 PA USD 196484.360000 0.05547 Long DBT CORP KR N 2 2029-04-23 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 104.350000 0.0000295 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 286049.370000 USD 4941874.730000 ZAR 2025-10-02 104.350000 N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BX1 100000.000000 PA USD 99076.740000 0.0279706 Long DBT CORP US N 2 2029-11-15 Fixed 4 N N N N N N ARBOUR CLO VI DAC 6A N/A ACI2RC930 2600000.000000 PA 3059426.170000 0.863714 Long ABS-CBDO CORP IE N 2 2037-11-15 Floating 3.186 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAA8 249154.250000 PA USD 229392.850000 0.0647604 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.59239 N N N N N N N/A N/A 000000000 1.000000 NC USD 7534.390000 0.0021271 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA Y Single Leg Swap 2026-12-20 0.000000 USD -43775.470000 USD 1000000.000000 USD 51309.860000 N N N MSCI INC 549300HTIN2PD78UB763 55354GAK6 600000.000000 PA USD 572917.940000 0.161742 Long DBT CORP US N 2 2030-09-01 Fixed 3.625 N N N N N N BRIDGEGATE FUNDING PLC 2023-1A N/A ACI2C6RF2 950000.000000 PA 1286203.030000 0.363111 Long ABS-MBS CORP GB N 2 2062-10-16 Floating 9.07284 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG04 N/A 3137F84T7 2767396.380000 PA USD 96306.500000 0.0271885 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.931079 N N N N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 1495960.940000 PA USD 1510404.140000 0.426406 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 USD -1818.120000 -0.0005133 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -384.000000 USD 100000.000000 USD -1434.120000 N N N JONES LANG LASALLE INCORPORATED 6SYKCME112RT8TQUO411 48020QAB3 500000.000000 PA USD 536976.940000 0.151595 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 3648.420000 0.00103 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -580.000000 USD 200000.000000 USD 4228.420000 N N N N/A N/A 000000000 1.000000 NC 68647.240000 0.01938 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 -14924.600000 AUD 4000000.000000 AUD 83571.840000 N N N FHLMC PASS THRU POOLS N/A 3133KQTD8 18736231.610000 PA USD 18986981.030000 5.36026 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N MFT TRUST 2020-ABC E N/A 55317BAA5 100000.000000 PA USD 82077.600000 0.0231715 Long ABS-MBS CORP US N 2 2042-02-10 Fixed 3.358 N N N N N N HERO FUTURE ENERGIES (CLEAN RENEWABLE POWER MAURITIUS PTE LTD) 2138003P9CSDW7P4MT75 18452NAB0 154000.000000 PA USD 151395.400000 0.0427408 Long DBT CORP MU N 2 2027-03-25 Fixed 4.25 N N N N N N INDIA GREEN POWER HOLDINGS 254900I7N0GT4VVL6V29 45410LAA0 216650.000000 PA USD 212584.930000 0.0600154 Long DBT CORP MU N 2 2027-02-22 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -5699.540000 -0.0016091 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-15 0.000000 USD -712.500000 USD 200000.000000 USD -4987.040000 N N N N/A N/A 000000000 1.000000 NC USD 402.030000 0.0001135 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -810.000000 USD 200000.000000 USD 1212.030000 N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF4 N/A 362334FV1 1577176.850000 PA USD 1515606.860000 0.427875 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.81239 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAB0 1217770.540000 PA USD 1227516.110000 0.346543 Long ABS-O CORP US N 2 2050-06-21 Fixed 5.08 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR35 N/A 45667SAA5 57679.270000 PA USD 52025.910000 0.0146876 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.61239 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AE7 212782.870000 PA USD 47360.450000 0.0133704 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.94751 N N N N N N N/A N/A 000000000 804.000000 NC USD 544681.530000 0.15377 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-12-19 90443719.150000 USD 544681.530000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFF3 2200000.000000 PA USD 2045484.360000 0.577466 Long DBT UST US N 2 2032-08-15 Fixed 2.75 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBZ9 700000.000000 PA USD 770861.830000 0.217624 Long DBT CORP IT N 2 2033-06-20 Fixed 6.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 3501.520000 0.0009885 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-27 0.000000 USD -470.000000 USD 200000.000000 USD 3971.520000 N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AW9 400000.000000 PA USD 338305.530000 0.0955079 Long DBT CORP US N 2 2032-05-18 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 5685.360000 0.001605 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-30 0.000000 USD -640.000000 USD 200000.000000 USD 6325.360000 N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI21W3V8 200000.000000 PA 224433.710000 0.0633604 Long DBT CORP GG N 2 2028-11-24 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 1108.090000 0.0003128 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8721.600000 KWD 30000.000000 USD 2029-07-02 1108.090000 N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 BMBQMGII4 400000.000000 PA 470246.360000 0.132756 Long DBT CORP IE N 2 2031-05-30 Floating 2.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 239009.110000 0.0674752 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 179284.000000 USD 0.000000 USD 3000000.000000 USD 59725.110000 N N N EQUIFIRST MORTGAGE LOAN TRUST 2005-1 N/A 29445FCU0 210446.060000 PA USD 191951.980000 0.0541904 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.07239 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 2400000.000000 PA 131829.070000 0.037217 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC -3137.160000 -0.0008857 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-11-05 0.000000 EUR -1035.830000 EUR 400000.000000 EUR -2101.330000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AM34 1000000.000000 PA USD 1061752.000000 0.299746 Long DBT CORP FR N 2 2029-08-16 Floating 7.75 N N N N N N JDE PEETS NV 724500EHG519SE5ZRT89 47216QAC7 800000.000000 PA USD 693929.700000 0.195905 Long DBT CORP NL N 2 2031-09-24 Fixed 2.25 N N N N N N PENNYMAC FINANCIAL SERVICES INC 549300W1D516HBDEU871 70932MAC1 200000.000000 PA USD 198431.030000 0.0560195 Long DBT CORP US N 2 2031-09-15 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 5382.340000 0.0015195 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 387849.520000 USD 7260000.000000 MXN 2025-12-17 5382.340000 N N N N/A N/A 000000000 1.000000 NC USD 642.060000 0.0001813 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -915.000000 USD 200000.000000 USD 1557.060000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-17 N/A 12666VAD3 191590.150000 PA USD 182538.470000 0.0515329 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.75239 N N N N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AE3 115000.000000 PA USD 113901.910000 0.0321559 Long DBT CORP US N 2 2026-06-15 Fixed 3.375 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCR5 1400000.000000 PA USD 1256088.320000 0.354609 Long DBT CORP US N 2 2032-11-08 Floating 2.545 N N N N N N BOISE CASCADE LLC 549300Z8B8LSRHC7XA55 09739DAD2 500000.000000 PA USD 490160.500000 0.138378 Long DBT CORP US N 2 2030-07-01 Fixed 4.875 N N N N N N INTERCONTINENTAL HOTELS GROUP PLC 2138007ZFQYRUSLU3J98 ACI1RXXZ8 300000.000000 PA 388165.600000 0.109584 Long DBT CORP GB N 2 2028-10-08 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 13022.330000 0.0036764 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-09-30 0.000000 USD 0.000000 USD 700000.000000 USD 13022.330000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863DX3 300000.000000 PA USD 295062.000000 0.0832997 Long DBT NUSS CL N 2 2027-01-31 Fixed 2.75 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBP4 800000.000000 PA USD 747908.870000 0.211144 Long DBT CORP US N 2 2028-11-02 Fixed 2.2 N N N N N N N/A N/A 000000000 1.000000 NC 4961.510000 0.0014007 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-05-06 0.000000 EUR -305.730000 EUR 200000.000000 EUR 5267.240000 N N N COMM 2021-2400 MORTGAGE TRUST N/A 20048FAL2 1000000.000000 PA USD 956981.500000 0.270168 Long ABS-MBS CORP US N 2 2038-12-15 Floating 7.41548 N N N N N N FNMA PASS THRU POOLS N/A 3140QQDV4 84002.290000 PA USD 81963.380000 0.0231393 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAG5 1000000.000000 PA USD 996282.500000 0.281263 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.66548 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 4800000.000000 PA 1541770.420000 0.435261 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQQZ2 394469.400000 PA USD 384405.570000 0.108522 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 4.5 N N N N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 ACI1RH4P7 300000.000000 PA 303209.540000 0.0855998 Long DBT CORP NL N 2 2032-01-15 Fixed 1 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AY9 200000.000000 PA USD 192241.080000 0.054272 Long DBT CORP NL N 2 2027-05-16 Floating 3.875 N N N N Y ING GROEP NV EUR XXXX N N N SNAM SPA 8156002278562044AF79 83304JAA5 1200000.000000 PA USD 1217657.950000 0.34376 Long DBT CORP IT N 2 2030-05-28 Fixed 5 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 356247.920000 PA USD 352789.790000 0.0995969 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65 N N N N N N N/A N/A 000000000 1.000000 NC 9287.410000 0.002622 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2678000.000000 EUR 3153395.080000 USD 2025-10-02 9287.410000 N N N N/A N/A 000000000 1.000000 NC USD 794.810000 0.0002244 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -740.000000 USD 200000.000000 USD 1534.810000 N N N GNMA PASS THRU POOLS N/A 21H0506B3 2800000.000000 PA USD 2781871.200000 0.785357 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 5 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAZ4 600000.000000 PA USD 515823.090000 0.145623 Long DBT CORP US N 2 2031-08-01 Fixed 2.625 N N N N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAJ6 1500000.000000 PA USD 1462695.900000 0.412937 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.81048 N N N N N N N/A N/A 000000000 1.000000 NC USD 6671.430000 0.0018834 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -550.000000 USD 200000.000000 USD 7221.430000 N N N FHF TRUST 2022-1A N/A 30327CAA4 71572.590000 PA USD 71563.600000 0.0202033 Long ABS-O CORP US N 2 2028-01-18 Fixed 4.43 N N N N N N N/A N/A 000000000 1.000000 NC USD 36504.690000 0.0103057 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-23 0.000000 USD -756.250000 USD 100000.000000 USD 37260.940000 N N N N/A N/A 000000000 1.000000 NC -322043.020000 -0.0909167 N/A DFE N/A N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 26399862.520000 EUR 30672733.070000 USD 2025-10-02 -322043.020000 N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAA0 67923.580000 PA USD 67084.130000 0.0189387 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.69239 N N N N N N N/A N/A 000000000 1.000000 NC USD 2142.800000 0.0006049 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-15 0.000000 USD -377.500000 USD 100000.000000 USD 2520.300000 N N N N/A N/A 000000000 1.000000 NC 2448.430000 0.0006912 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 2987.850000 N N N N/A N/A 000000000 1.000000 NC 27261.680000 0.0076963 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-09-17 33152.900000 GBP 0.000000 GBP 1600000.000000 GBP -5891.220000 N N N FNMA PASS THRU POOLS N/A 3140QUMP8 3965694.740000 PA USD 3849771.260000 1.08684 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 18615.000000 0.0052552 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1958478.000000 USD 291369039.000000 JPY 2025-11-04 18615.000000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SF5 285000.000000 PA USD 281856.240000 0.0795715 Long DBT UST US N 2 2026-01-13 None 0 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBC3 500000.000000 PA USD 450867.880000 0.127286 Long DBT CORP US N 2 2030-06-15 Fixed 2.1 N N N N N N N/A N/A 000000000 1.000000 NC USD 92205.200000 0.0260307 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-05-10 7543.600000 USD 0.000000 USD 800000.000000 USD 84661.600000 N N N FHLMC PASS THRU POOLS N/A 3133KR3C6 1022589.180000 PA USD 965066.250000 0.27245 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4 N N N N N N CNP ASSURANCES 969500QKVPV2H8UXM738 ACI232Q39 500000.000000 PA 555893.530000 0.156936 Long DBT CORP FR N 2 2029-01-27 Fixed 1.25 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAM4 300000.000000 PA USD 312021.790000 0.0880876 Long DBT CORP FR N 2 2033-07-19 Floating 5.748 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBB9 100000.000000 PA USD 95996.650000 0.027101 Long DBT CORP US N 2 2029-06-21 Fixed 3.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -327074.530000 -0.0923372 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-20 0.000000 USD -196194.760000 USD 26800000.000000 USD -130879.770000 N N N FHLMC PASS THRU POOLS N/A 3133BUWC7 540930.430000 PA USD 537983.440000 0.151879 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5 N N N N N N N/A N/A 000000000 300000.000000 NC USD 79036.260000 0.0223129 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.40000 07/22/27-30Y LCH 2057-07-22 0.000000 USD 0.000000 USD N/A USD N/A 2.400000 USD 2027-07-20 XXXX 39451.260000 N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 624246.410000 PA USD 629850.270000 0.177814 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 2628.890000 0.0007422 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-04-24 0.000000 EUR -150.460000 EUR 100000.000000 EUR 2779.350000 N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAK2 213879.080000 PA USD 188123.210000 0.0531095 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 18227.430000 0.0051458 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-30 0.000000 USD -1387.500000 USD 500000.000000 USD 19614.930000 N N N N/A N/A 000000000 1.000000 NC USD 267.560000 0.0000755 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -850.000000 USD 200000.000000 USD 1117.560000 N N N FHLMC PASS THRU POOLS N/A 3133KR3D4 2947725.740000 PA USD 2867040.800000 0.809401 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4.5 N N N N N N NORTHWOODS CAPITAL XIV-B LTD N/A 66860CAL7 1428095.790000 PA USD 1430688.750000 0.403901 Long ABS-CBDO CORP KY N 2 2031-11-13 Floating 5.47836 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMF3 341518.910000 PA USD 228376.050000 0.0644734 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.79239 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAA9 244544.910000 PA USD 44390.130000 0.0125319 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.59239 N N N N N N N/A N/A 000000000 1.000000 NC USD 140573.470000 0.0396856 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 51947.080000 USD 0.000000 USD 3490000.000000 USD 88626.390000 N N N MFT TRUST 2020-B6 N/A 55316TAC3 1000000.000000 PA USD 709739.700000 0.200368 Long ABS-MBS CORP US N 2 2040-08-10 Fixed 3.39221 N N N N N N N/A N/A 000000000 1.000000 NC USD 1414.290000 0.0003993 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -757.500000 USD 200000.000000 USD 2171.790000 N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBE3 150000.000000 PA USD 129753.160000 0.0366309 Long DBT CORP US N 2 2032-04-01 Fixed 2.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 31235.380000 0.0088181 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-07-16 0.000000 USD -975.160000 USD 250000.000000 USD 32210.540000 N N N UMBS PASS THRU POOLS N/A 01F0306A1 -500000.000000 PA USD -439256.840000 -0.124008 Short ABS-MBS USGSE US N 2 2055-10-14 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -5513.080000 -0.0015564 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -680.000000 USD 200000.000000 USD -4833.080000 N N N 37 CAPITAL CLO II 2022-1A N/A 88429PAU6 1300000.000000 PA USD 1301950.340000 0.367557 Long ABS-CBDO CORP JE N 2 2034-07-15 Floating 5.60755 N N N N N N N/A N/A 000000000 1.000000 NC 3062.030000 0.0008644 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-04 0.000000 EUR -309.380000 EUR 100000.000000 EUR 3371.410000 N N N N/A N/A 000000000 1.000000 NC 59904.860000 0.0169119 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10977338.100000 USD 8206742.000000 GBP 2025-10-02 59904.860000 N N N MARKS AND SPENCER PLC 213800CN1RI3UCIZWB95 ACI1D35Z0 300000.000000 PA 394736.600000 0.111439 Long DBT CORP GB N 2 2027-07-10 Variable 3.25 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACZ6 115247.590000 PA USD 103262.080000 0.0291522 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.88992 N N N N N N N/A N/A 000000000 1.000000 NC -4409.540000 -0.0012449 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-29 0.000000 EUR -161.260000 EUR 100000.000000 EUR -4248.280000 N N N N/A N/A 000000000 1.000000 NC USD 94817.740000 0.0267682 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-01-16 44548.790000 USD 0.000000 USD 3500000.000000 USD 50268.950000 N N N N/A N/A 000000000 1.000000 NC -899.970000 -0.0002541 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-07 0.000000 EUR -250.370000 EUR 100000.000000 EUR -649.600000 N N N GAP INC T2ZG1WRWZ4BUCMQL9224 364760AQ1 250000.000000 PA USD 228402.930000 0.064481 Long DBT CORP US N 2 2031-10-01 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -1938.180000 -0.0005472 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-01 0.000000 EUR -253.670000 EUR 100000.000000 EUR -1684.510000 N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RBA0 100000.000000 PA USD 97389.930000 0.0274944 Long DBT CORP US N 2 2030-06-15 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC 4092.280000 0.0011553 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 211806.090000 USD 3986000.000000 MXN 2025-12-17 4092.280000 N N N N/A N/A 000000000 1.000000 NC 13.140000 0.0000037 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3997.000000 USD 1219.400000 KWD 2026-06-10 13.140000 N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AN1 250000.000000 PA USD 229038.830000 0.0646605 Long DBT CORP US N 2 2032-02-15 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC USD -17007.140000 -0.0048013 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-06 0.000000 USD -3905.000000 USD 1100000.000000 USD -13102.140000 N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 48877.450000 PA USD 15634.580000 0.0044138 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.41239 N N N N N N REGATTA XVI FUNDING LTD 2019-2A N/A 75888TAL9 1300026.620000 PA USD 1303214.000000 0.367914 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 5.51755 N N N N N N N/A N/A 000000000 1.000000 NC -6778.350000 -0.0019136 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -403.280000 EUR 100000.000000 EUR -6375.070000 N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAK8 500000.000000 PA USD 488147.260000 0.13781 Long DBT CORP FR N 2 2027-10-19 Floating 2.045 N N N N N N N/A N/A 000000000 1.000000 NC -7.630000 -0.0000022 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7994.000000 USD 2424.980000 KWD 2027-06-10 -7.630000 N N N N/A N/A 000000000 1.000000 NC -303.100000 -0.0000856 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7664303.000000 JPY 51523.000000 USD 2025-10-02 -303.100000 N N N FHLMC PASS THRU POOLS N/A 3133KRBS2 411752.510000 PA USD 388675.840000 0.109728 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -1947.680000 -0.0005499 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 273017.000000 USD 40087086.000000 JPY 2025-10-02 -1947.680000 N N N N/A N/A 000000000 1.000000 NC USD 26078.690000 0.0073623 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-10-04 0.000000 USD 0.000000 USD 670000.000000 USD 26078.690000 N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-NEMA N/A 63874RAC5 23885000.000000 PA USD 385828.740000 0.108924 Long ABS-MBS CORP US N 2 2039-02-15 Variable 0.660584 N N N N N N SUNNOVA HELIOS XI ISSUER LLC 2023-A N/A 86746AAA3 960413.420000 PA USD 882430.830000 0.249121 Long ABS-O CORP US N 2 2050-05-20 Fixed 5.3 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 19200.280000 PA USD 19178.370000 0.0054143 Long ABS-O CORP US N 2 2030-04-20 Fixed 3.8 N N N N N N N/A N/A 000000000 1.000000 NC USD -3910.900000 -0.0011041 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 -3318.400000 N N N FHLMC PASS THRU POOLS N/A 3142GQEH1 761819.820000 PA USD 718649.020000 0.202883 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3142GRU65 3377274.630000 PA USD 3498051.140000 0.987543 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -10019.670000 -0.0028287 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-12 0.000000 USD -655.000000 USD 100000.000000 USD -9364.670000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797RD1 5000.000000 PA USD 4988.780000 0.0014084 Long DBT UST US N 2 2025-10-21 None 0 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAQ5 200000.000000 PA USD 166379.360000 0.046971 Long DBT CORP US N 2 2032-11-15 Fixed 2.5 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAT2 300000.000000 PA USD 314054.720000 0.0886615 Long DBT CORP GB N 2 2029-01-10 Floating 6.534 N N N N N N N/A N/A 000000000 1.000000 NC -1472.900000 -0.0004158 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1382515.630000 CAD 993546.960000 USD 2025-11-04 -1472.900000 N N N N/A N/A 000000000 1.000000 NC USD 5739.360000 0.0016203 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -710.000000 USD 200000.000000 USD 6449.360000 N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3 N/A 76113WAF0 508954.040000 PA USD 67446.890000 0.0190411 Long ABS-O CORP US N 2 2037-04-25 Floating 2.41761 N N N N N N N/A N/A 000000000 1.000000 NC USD 500335.150000 0.141251 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 148560.000000 USD 0.000000 USD 2400000.000000 USD 351775.150000 N N N INTERNATIONAL DISTRIBUTION SERVICES PLC 213800TCZZU84G8Z2M70 ACI2JQ0Q6 500000.000000 PA 721341.860000 0.203644 Long DBT CORP GB N 2 2030-09-14 Fixed 7.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -6919.520000 -0.0019535 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-02 0.000000 USD -652.500000 USD 200000.000000 USD -6267.020000 N N N N/A N/A 000000000 1.000000 NC 4562.790000 0.0012881 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-05-02 0.000000 EUR -289.470000 EUR 200000.000000 EUR 4852.260000 N N N N/A N/A 000000000 1.000000 NC -6942.810000 -0.00196 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-20 0.000000 EUR -398.500000 EUR 100000.000000 EUR -6544.310000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CS7 600000.000000 PA USD 624360.220000 0.176265 Long DBT CORP GB N 2 2029-01-09 Floating 6.301 N N N N N N N/A N/A 000000000 1.000000 NC -6149.040000 -0.001736 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -5766.900000 N N N FNMA PASS THRU POOLS N/A 3140QQKU8 425578.690000 PA USD 375002.770000 0.105868 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAM3 113466.300000 PA USD 45533.790000 0.0128548 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.30391 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC N/A 466330AJ6 365000.000000 PA USD 365222.650000 0.103107 Long ABS-MBS CORP US N 2 2038-04-15 Floating 5.81548 N N N N N N SHINHAN BANK CO LTD 5493003P813VL21KG928 82460CAR5 500000.000000 PA USD 489906.140000 0.138307 Long DBT CORP KR N 2 2032-04-13 Fixed 4.375 N N N N N N FAIR ISAAC CORPORATION RI6HET5SJUEY30V1PS26 303250AF1 570000.000000 PA USD 555022.540000 0.15669 Long DBT CORP US N 2 2028-06-15 Fixed 4 N N N N N N MASTR ASSET BACKED SEC TRUST 2005-HE2 N/A 57643LKP0 225000.000000 PA USD 208845.920000 0.0589598 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.17239 N N N N N N SOLAR STAR FUNDING LLC N/A 83416WAA1 137130.200000 PA USD 141294.990000 0.0398893 Long DBT CORP US N 2 2035-06-30 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -0.550000 -0.0000002 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8000.000000 USD 2433.200000 KWD 2026-05-04 -0.550000 N N N N/A N/A 000000000 1.000000 NC -969.650000 -0.0002737 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 122000.000000 AUD 79757.740000 USD 2025-10-02 -969.650000 N N N N/A N/A 000000000 1.000000 NC 1999.470000 0.0005645 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-05-05 0.000000 EUR -341.270000 EUR 100000.000000 EUR 2340.740000 N N N N/A N/A 000000000 1.000000 NC USD 5072.690000 0.0014321 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-16 0.000000 USD -690.000000 USD 200000.000000 USD 5762.690000 N N N N/A N/A 000000000 1.000000 NC USD 4274.580000 0.0012068 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -635.000000 USD 200000.000000 USD 4909.580000 N N N N/A N/A 000000000 1.000000 NC USD -1564.670000 -0.0004417 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -425.000000 USD 100000.000000 USD -1139.670000 N N N N/A N/A 000000000 1.000000 NC USD 2915.360000 0.000823 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 7719.920000 USD 0.000000 USD 510000.000000 USD -4804.560000 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 900000.000000 PA USD 737154.500000 0.208108 Long DBT CORP US N 2 2033-11-15 Fixed 2.65 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAZ9 200000.000000 PA USD 187857.740000 0.0530346 Long DBT CORP US N 2 2030-09-15 Fixed 3.5 N N N N N N NATIONSTAR MORTGAGE HOLDINGS INC N/A 63861CAE9 300000.000000 PA USD 304133.400000 0.0858606 Long DBT CORP US N 2 2031-11-15 Fixed 5.75 N N N N N N RESIDENTIAL ASSET MTG PROD INC 2003-RS9 N/A 760985B34 149355.040000 PA USD 149413.260000 0.0421812 Long ABS-MBS CORP US N 2 2033-10-25 Floating 5.26239 N N N N N N KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP N/A 50085PAJ6 2000000.000000 PA USD 1329601.800000 0.375363 Long ABS-MBS CORP US N 2 2044-11-05 Fixed 3.02449 N N N N N N N/A N/A 000000000 1.000000 NC 33831.380000 0.009551 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-10-03 0.000000 EUR -1531.850000 EUR 400000.000000 EUR 35363.230000 N N N LIBERTY STREET TRUST 2016-225L N/A 902055AE2 1550000.000000 PA USD 1500967.610000 0.423742 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 4.501 N N N N N N N/A N/A 000000000 1.000000 NC USD 7092.060000 0.0020022 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-21 0.000000 USD -1790.000000 USD 400000.000000 USD 8882.060000 N N N N/A N/A 000000000 1.000000 NC USD -3367.830000 -0.0009508 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -696.000000 USD 200000.000000 USD -2671.830000 N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAH5 245693.390000 PA USD 75695.870000 0.0213699 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.83239 N N N N N N N/A N/A 000000000 1.000000 NC USD 2876.910000 0.0008122 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 0.000000 USD -480.000000 USD 100000.000000 USD 3356.910000 N N N N/A N/A 000000000 1.000000 NC 34.500000 0.0000097 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13656.000000 USD 4163.440000 KWD 2026-05-28 34.500000 N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAJ9 484883.710000 PA USD 485607.250000 0.137093 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.51448 N N N N N N N/A N/A 000000000 1.000000 NC USD 7981.260000 0.0022532 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-01-12 0.000000 USD -21.290000 USD 110000.000000 USD 8002.550000 N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAC3 1000000.000000 PA USD 968372.200000 0.273384 Long ABS-MBS CORP US N 2 2036-01-15 Floating 5.51548 N N N N N N N/A N/A 000000000 1.000000 NC -7968.100000 -0.0022495 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-06 0.000000 EUR -470.890000 EUR 100000.000000 EUR -7497.210000 N N N N/A N/A 000000000 1.000000 NC USD -86.160000 -0.0000243 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -910.000000 USD 200000.000000 USD 823.840000 N N N VONOVIA SE 5299005A2ZEP6AP7KM81 ACI24H5K0 600000.000000 PA 691017.280000 0.195083 Long DBT CORP DE N 2 2028-06-28 Fixed 1.875 N N N N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAN5 1600000.000000 PA USD 1455800.000000 0.41099 Long ABS-MBS CORP US N 2 2035-08-10 Variable 4.28017 N N N N N N WEIR GROUP INC 2138009WEPEV2V98AV65 94877DAA2 600000.000000 PA USD 617419.360000 0.174305 Long DBT CORP US N 2 2030-05-06 Fixed 5.35 N N N N N N GRAINGER PLC (AKA: GRAINGER TRUST PLC) 2138007CEIRKZMNI2979 ACI1NGD16 100000.000000 PA 122064.460000 0.0344603 Long DBT CORP GB N 2 2030-07-03 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 1093.950000 0.0003088 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-02-12 0.000000 EUR -267.970000 EUR 100000.000000 EUR 1361.920000 N N N CTP NV 3157000YTVO4TN65UM14 ACI1YLP85 200000.000000 PA 220083.710000 0.0621324 Long DBT CORP NL N 2 2029-06-21 Fixed 1.25 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 ACI1NVLN6 400000.000000 PA 473242.800000 0.133602 Long DBT CORP NL N 2 2027-06-29 Floating 4.375 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11 N/A 073879PA0 205920.410000 PA USD 206787.480000 0.0583787 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.14739 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAF0 1565666.620000 PA USD 1576600.610000 0.445094 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.70739 N N N N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A 98162JAA4 100000.000000 PA USD 67608.960000 0.0190868 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 3.5263 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 259724.060000 PA USD 261471.950000 0.0738168 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N UMBS PASS THRU POOLS N/A 01F0606B6 34380000.000000 PA USD 35118155.450000 9.91429 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 6 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAE7 1100000.000000 PA USD 1087008.120000 0.306876 Long ABS-MBS CORP US N 2 2036-02-10 Variable 3.95961 N N N N N N N/A N/A 000000000 1.000000 NC -4653.830000 -0.0013138 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR -4322.480000 N N N FHLMC PASS THRU POOLS N/A 3133BMDL6 870732.790000 PA USD 882074.820000 0.249021 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797QS9 113000.000000 PA USD 112217.960000 0.0316805 Long DBT UST US N 2 2025-12-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 50434.280000 0.0142382 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-01-17 534.510000 USD 0.000000 USD 2500000.000000 USD 49899.770000 N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 ACI1SRVK5 400000.000000 PA 532909.970000 0.150447 Long DBT CORP GB N 2 2026-02-17 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -21573.300000 -0.0060904 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-20 250086.000000 USD 0.000000 USD 11200000.000000 USD -271659.300000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECD5 800000.000000 PA USD 848584.290000 0.239566 Long DBT CORP GB N 2 2028-11-02 Floating 7.385 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBU9 400000.000000 PA USD 383880.940000 0.108374 Long DBT CORP US N 2 2032-04-15 Fixed 3.9 N N N N N N N/A N/A 000000000 1.000000 NC -4267.020000 -0.0012046 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -733.580000 EUR 200000.000000 EUR -3533.440000 N N N N/A N/A 000000000 1.000000 NC USD 3717.980000 0.0010496 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -536.500000 USD 200000.000000 USD 4254.480000 N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498AX4 580000.000000 PA USD 526975.730000 0.148772 Long DBT CORP US N 2 2031-09-15 Fixed 3.125 N N N N N N N/A N/A 000000000 1.000000 NC -10755.170000 -0.0030363 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 10989438.790000 ZAR 623394.000000 USD 2025-11-20 -10755.170000 N N N FNMA PASS THRU POOLS N/A 3138MTKK2 4839847.640000 PA USD 4884444.270000 1.37894 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -553.480000 -0.0001563 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 -145.150000 N N N N/A N/A 000000000 1.000000 NC 1031.540000 0.0002912 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -267.940000 EUR 100000.000000 EUR 1299.480000 N N N FHLMC PASS THRU POOLS N/A 3142GSD96 5042568.810000 PA USD 5006575.810000 1.41342 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5 N N N N N N MNSN HOLDINGS INC N/A 55339C109 1017.000000 NS USD 61020.000000 0.0172267 Long EC CORP US Y 1 N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAG2 1000000.000000 PA USD 981976.500000 0.277224 Long ABS-MBS CORP US N 2 2036-02-10 Variable 3.95961 N N N N N N N/A N/A 000000000 1.000000 NC -11910.880000 -0.0033626 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -1685.040000 EUR 450000.000000 EUR -10225.840000 N N N N/A N/A 000000000 1.000000 NC USD 527.200000 0.0001488 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -380.000000 USD 100000.000000 USD 907.200000 N N N NEXI SPA 5493000P70CQRQG8SN85 ACI1X5NT7 550000.000000 PA 642489.760000 0.181383 Long DBT CORP IT N 2 2026-04-30 Fixed 1.625 N N N N N N N/A N/A 000000000 1.000000 NC 53091.350000 0.0149883 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2026-12-15 16312.730000 JPY 0.000000 JPY 590000000.000000 JPY 36778.620000 N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BK3 48316.830000 PA USD 45576.870000 0.0128669 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.61921 N N N N N N N/A N/A 000000000 1.000000 NC 6982.990000 0.0019714 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1384607.050000 CAD 1001934.280000 USD 2025-10-02 6982.990000 N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAA4 230000.000000 PA USD 221474.410000 0.062525 Long DBT CORP US N 2 2027-11-01 Fixed 3.95 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 34569.430000 PA USD 31620.730000 0.0089269 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.32686 N N N N N N CELLNEX FINANCE COMPANY SA 549300OUROMFTRFA7T23 15118JAA3 200000.000000 PA USD 159757.880000 0.0451016 Long DBT CORP ES N 2 2041-07-07 Fixed 3.875 N N N N N N SUNRUN DEMETER ISSUER 2021-2A N/A 86772HAA5 603479.160000 PA USD 543614.090000 0.153469 Long ABS-O CORP US N 2 2057-01-30 Fixed 2.27 N N N N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AL7 149000.000000 PA USD 155188.800000 0.0438117 Long DBT CORP US N 2 2027-06-15 Fixed 8 N N N N N N HANWHA LIFE INSURANCE CO LTD 988400ZKCI3R9DQHR320 41135UAB1 300000.000000 PA USD 294917.920000 0.083259 Long DBT CORP KR N 2 2032-02-04 Floating 3.379 N N N N N N N/A N/A 000000000 1.000000 NC -489.130000 -0.0001381 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15464354.000000 JPY 104081.000000 USD 2025-10-02 -489.130000 N N N BANCO MERCANTIL DEL NORTE SA/ GRAND CAYMAN BRANCH 549300QTVYRPFHS0J362 05973KAB3 200000.000000 PA USD 195358.060000 0.055152 Long DBT CORP MX N 2 2032-01-24 Floating 6.625 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCH6 300000.000000 PA USD 307336.380000 0.0867649 Long DBT CORP US N 2 2028-06-01 Fixed 5.45 N N N N N N UMBS PASS THRU POOLS N/A 01F0526B3 -6400000.000000 PA USD -6448973.060000 -1.82063 Short ABS-MBS USGSE US N 2 2054-11-15 Fixed 5.5 N N N N N N CONVATEC (180 MEDICAL INC) 254900ZB648OPWVFVX59 682357AA6 700000.000000 PA USD 671080.450000 0.189454 Long DBT CORP US N 2 2029-10-15 Fixed 3.875 N N N N N N UMBS PASS THRU POOLS N/A 01F0626B2 9000000.000000 PA USD 9307132.830000 2.62752 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 6.5 N N N N N N N/A N/A 000000000 -622500.000000 PA USD -623174.370000 -0.17593 Short RA US N 2 Reverse repurchase N 3.250000 2027-09-19 800000.000000 USD 821951.200000 USD CDS N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAC8 100000.000000 PA USD 72800.130000 0.0205524 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.01548 N N N N N N COSTAR GROUP INC 984500Q1D53D08E2E698 22160NAA7 800000.000000 PA USD 732680.770000 0.206845 Long DBT CORP US N 2 2030-07-15 Fixed 2.8 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1J42H5 200000.000000 PA 256535.810000 0.0724232 Long DBT CORP LU N 2 2028-01-22 Variable 4 N N N N N N N/A N/A 000000000 1.000000 NC 1277.380000 0.0003606 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -382.130000 EUR 100000.000000 EUR 1659.510000 N N N VIA OUTLETS BV 2594009AT1MND8D7E216 ACI21N9Q3 500000.000000 PA 565751.290000 0.159719 Long DBT CORP NL N 2 2028-11-15 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 36.110000 0.0000102 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8327.000000 USD 2542.480000 KWD 2026-07-07 36.110000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863DV7 300000.000000 PA USD 275370.000000 0.0777404 Long DBT NUSS CL N 2 2034-01-31 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 488.400000 0.0001379 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 104081.000000 USD 15410649.000000 JPY 2025-11-04 488.400000 N N N N/A N/A 000000000 1.000000 NC USD 122.040000 0.0000345 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -410.000000 USD 100000.000000 USD 532.040000 N N N N/A N/A 000000000 46.000000 NC USD 104914.590000 0.0296187 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-12-19 5364031.250000 USD 104914.590000 N N N N/A N/A 000000000 1.000000 NC -6148.830000 -0.0017359 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 21233426.110000 ZAR 1219133.000000 USD 2025-11-20 -6148.830000 N N N N/A N/A 000000000 1.000000 NC 12441.450000 0.0035124 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-09 0.000000 EUR -473.200000 EUR 200000.000000 EUR 12914.650000 N N N N/A N/A 000000000 1.000000 NC USD -4424.280000 -0.001249 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -560.000000 USD 200000.000000 USD -3864.280000 N N N N/A N/A 000000000 1.000000 NC -5745.890000 -0.0016221 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 -5543.540000 N N N N/A N/A 000000000 -4.000000 NC USD 18840.150000 0.0053188 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-12-16 -959587.500000 USD 18840.150000 N N N FHLMC PASS THRU POOLS N/A 3133KQQY5 380999.430000 PA USD 359843.500000 0.101588 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0226A8 -750000.000000 PA USD -631989.080000 -0.178418 Short ABS-MBS USGSE US N 2 2055-10-14 Fixed 2.5 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65559CAD3 500000.000000 PA USD 465834.050000 0.131511 Long DBT CORP FI N 2 2029-03-01 Floating 3.75 N N N N Y NORDEA BANK ABP EUR XXXX N N N N/A N/A 000000000 1.000000 NC -8.160000 -0.0000023 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7994.000000 USD 2424.820000 KWD 2027-06-10 -8.160000 N N N N/A N/A 000000000 1.000000 NC USD -215040.070000 -0.0607085 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-03-19 0.000000 USD -435368.000000 USD 5800000.000000 USD 220327.930000 N N N N/A N/A 000000000 1.000000 NC -8551.880000 -0.0024143 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-13 0.000000 EUR -378.890000 EUR 200000.000000 EUR -8172.990000 N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DAW0 500000.000000 PA USD 473148.240000 0.133576 Long DBT CORP NL N 2 2029-12-13 Floating 2.47 N N N N N N GS MORTGAGE SECURITIES TRUST 2016-GS3 N/A 36251PBD5 200000.000000 PA USD 174390.800000 0.0492327 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 3.72177 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AV0 300000.000000 PA USD 321008.540000 0.0906247 Long DBT CORP CH N 2 2034-01-12 Floating 5.959 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 ACI167F39 700000.000000 PA 826332.640000 0.233284 Long DBT CORP LU N 2 2028-11-13 Fixed 3.25 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918 N/A 95004QAA6 1700000.000000 PA USD 1713150.520000 0.483644 Long ABS-MBS CORP US N 2 2040-09-15 Variable 5.57549 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822CB8 500000.000000 PA USD 445948.120000 0.125897 Long DBT CORP JP N 2 2032-10-13 Floating 2.494 N N N N N N ONEMAIN FINANCE CORPORATION 5493008I795YYBFWFU90 682691AG5 600000.000000 PA USD 622654.800000 0.175783 Long DBT CORP US N 2 2031-11-15 Fixed 7.125 N N N N N N ACEF HOLDING SCA 213800KW7LHVG5QUS111 ACI1YGTT6 500000.000000 PA 558328.750000 0.157623 Long DBT CORP LU N 2 2028-06-14 Fixed 0.75 N N N N N N TRANSURBAN FINANCE COMPANY PTY LTD 54930081LPJMUMEA6E57 89400PAK9 600000.000000 PA USD 543385.750000 0.153405 Long DBT CORP AU N 2 2031-03-16 Fixed 2.45 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAG5 1000000.000000 PA USD 991773.700000 0.27999 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.598 N N N N N N N/A N/A 000000000 1.000000 NC -266.310000 -0.0000752 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 120732.000000 USD 17815069.000000 JPY 2025-10-02 -266.310000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AQ2 400000.000000 PA USD 394815.480000 0.111461 Long DBT CORP GB N 2 2028-11-07 Floating 3.574 N N N N N N FNMA PASS THRU POOLS N/A 3140QTAW9 260374.520000 PA USD 263443.730000 0.0743734 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.5 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1V7SM5 100000.000000 PA 97804.540000 0.0276114 Long DBT CORP LU N 2 2031-01-27 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -1141.940000 -0.0003224 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 13347944.000000 JPY 89117.000000 USD 2025-10-02 -1141.940000 N N N N/A N/A 000000000 1.000000 NC -26475.930000 -0.0074745 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 636732758.000000 JPY 4279118.000000 USD 2025-10-02 -26475.930000 N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AD5 300000.000000 PA USD 276855.530000 0.0781598 Long DBT CORP US N 2 2030-09-15 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -2874.160000 -0.0008114 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-01-08 0.000000 EUR -238.400000 EUR 100000.000000 EUR -2635.760000 N N N N/A N/A 000000000 60.000000 NC -16097.560000 -0.0045445 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2025-12-15 4500286.850000 AUD -16097.560000 N N N N/A N/A 000000000 1.000000 NC 279096.480000 0.0787924 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-12-15 203248.840000 JPY 0.000000 JPY 1100000000.000000 JPY 75847.640000 N N N N/A N/A 000000000 1.000000 NC -18606.760000 -0.0052529 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 292381180.000000 JPY 1958478.000000 USD 2025-10-02 -18606.760000 N N N N/A N/A 000000000 368.000000 NC USD 48321.150000 0.0136417 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-12-31 76680562.590000 USD 48321.150000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAB0 736428.360000 PA USD 198501.020000 0.0560393 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.67239 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAG8 450000.000000 PA USD 445228.380000 0.125694 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.66448 N N N N N N N/A N/A 000000000 1.000000 NC USD -442.190000 -0.0001248 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -940.000000 USD 200000.000000 USD 497.810000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAC0 261000000.000000 PA USD 274.050000 0.0000774 Long ABS-MBS CORP US N 2 2038-09-15 Variable 0 N N N N N N FNMA PASS THRU POOLS N/A 3140A32V4 153182.390000 PA USD 157439.380000 0.0444471 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CH1 700000.000000 PA USD 717150.000000 0.20246 Long DBT NUSS BR N 2 2034-03-15 Fixed 6.125 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBB3 1300000.000000 PA USD 1317468.190000 0.371938 Long DBT CORP NL N 2 2033-01-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 24755.890000 0.0069889 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 8206742.000000 GBP 11061998.850000 USD 2025-10-02 24755.890000 N N N FNMA PASS THRU POOLS N/A 3140QSDW8 341161.590000 PA USD 322307.060000 0.0909913 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CN8 500000.000000 PA USD 535535.780000 0.151188 Long DBT CORP GB N 2 2028-11-16 Floating 7.767 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2MJSF2 1100000.000000 PA 1331155.080000 0.375802 Long DBT NUSS MX N 2 2032-05-25 Fixed 4.4899 N N N N N N N/A N/A 000000000 1.000000 NC -4963.640000 -0.0014013 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-03-18 0.000000 EUR -4289.930000 EUR 270000.000000 EUR -673.710000 N N N N/A N/A 000000000 -5.000000 NC USD 19087.940000 0.0053888 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-03-17 -1203906.250000 USD 19087.940000 N N N N/A N/A 000000000 1.000000 NC USD -3940.840000 -0.0011125 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 -3219.340000 N N N N/A N/A 000000000 1.000000 NC USD -144.750000 -0.0000409 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-31 0.000000 USD -432.500000 USD 100000.000000 USD 287.750000 N N N SERVICE EXPERTS ISSUER 2021-1A LLC N/A 81758VAA3 245090.370000 PA USD 240774.480000 0.0679736 Long ABS-O CORP US N 2 2032-02-02 Fixed 2.67 N N N N N N N/A N/A 000000000 1.000000 NC 35949.730000 0.0101491 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 1771758.790000 USD 33374620.330000 MXN 2025-12-17 35949.730000 N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 200000.000000 PA USD 196892.040000 0.0555851 Long ABS-MBS CORP US N 2 2036-01-15 Floating 5.21548 N N N N N N N/A N/A 000000000 1.000000 NC USD 692.670000 0.0001955 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-07 0.000000 USD -502.500000 USD 100000.000000 USD 1195.170000 N N N N/A N/A 000000000 1.000000 NC USD -30904.280000 -0.0087247 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-02-23 0.000000 USD -1822.500000 USD 200000.000000 USD -29081.780000 N N N N/A N/A 000000000 1.000000 NC USD -548.800000 -0.0001549 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -680.000000 USD 200000.000000 USD 131.200000 N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAL6 500000.000000 PA USD 149963.100000 0.0423364 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.76548 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CC2 200000.000000 PA USD 178972.490000 0.0505262 Long DBT CORP GB N 2 2032-06-29 Floating 2.678 N N N N N N N/A N/A 000000000 1.000000 NC USD 20250.150000 0.0057169 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-15 0.000000 USD -91.020000 USD 550000.000000 USD 20341.170000 N N N CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A N/A ACI2VPZ11 1400000.000000 PA 1646175.390000 0.464736 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 3.576 N N N N N N N/A N/A 000000000 1.000000 NC USD -7190.170000 -0.0020299 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-05 0.000000 USD -807.500000 USD 200000.000000 USD -6382.670000 N N N N/A N/A 000000000 1.000000 NC 8890.650000 0.0025099 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 69811.200000 KWD 240000.000000 USD 2029-05-02 8890.650000 N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AL4 1200000.000000 PA USD 402623.520000 0.113666 Long ABS-MBS CORP US N 2 2037-02-15 Floating 7.001 N N N N N N N/A N/A 000000000 6.000000 NC 5347.050000 0.0015095 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-12-08 905686.160000 EUR 5347.050000 N N N ZF FINANCE GMBH 5493001N9T6QDCCXB426 ACI1XFRX2 700000.000000 PA 801364.140000 0.226235 Long DBT CORP DE N 2 2027-05-06 Fixed 2 N N N N N N SLM CORP (SALLIE MAE) N/A 78442PGE0 900000.000000 PA USD 882445.860000 0.249125 Long DBT CORP US N 2 2026-11-02 Fixed 3.125 N N N N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A 98162JAJ5 1310000.000000 PA USD 297107.350000 0.0838771 Long ABS-MBS CORP US N 2 2036-11-10 Variable 3.71539 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAY5 700000.000000 PA USD 661586.530000 0.186774 Long DBT CORP JP N 2 2028-07-14 Fixed 2.172 N N N N N N N/A N/A 000000000 1.000000 NC USD 106462.260000 0.0300556 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-16 51580.330000 USD 0.000000 USD 700000.000000 USD 54881.930000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KK2 1100000.000000 PA USD 1177656.730000 0.332467 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 46.650000 0.0000132 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11992.540000 USD 3660.720000 KWD 2026-06-15 46.650000 N N N SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP 549300PUNBPJCGT6X741 866677AH0 300000.000000 PA USD 290855.240000 0.082112 Long DBT CORP US N 2 2032-04-15 Fixed 4.2 N N N N N N XPLR INFRASTRUCTURE OPERATING PARTNERS LP 549300KJEC5IUVJWR786 65342QAM4 800000.000000 PA USD 821951.200000 0.232047 Long DBT CORP US N 2 2029-01-15 Fixed 7.25 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-LIH N/A 78486EAN8 1100000.000000 PA USD 1098688.690000 0.310173 Long ABS-MBS CORP US N 2 2036-11-15 Floating 6.57 N N N N N N N/A N/A 000000000 1.000000 NC USD -6896.220000 -0.0019469 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -862.500000 USD 250000.000000 USD -6033.720000 N N N N/A N/A 000000000 300000.000000 NC USD 84048.810000 0.023728 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.11000 07/28/32-30Y LCH 2062-07-28 0.000000 USD 0.000000 USD N/A USD N/A 2.110000 USD 2032-07-26 XXXX 35448.810000 N N N N/A N/A 000000000 1.000000 NC 4864.020000 0.0013732 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-20 0.000000 EUR -929.080000 EUR 200000.000000 EUR 5793.100000 N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCG8 720000.000000 PA USD 645090.770000 0.182117 Long DBT CORP US N 2 2031-01-15 Fixed 2.45 N N N N N N N/A N/A 000000000 1.000000 NC USD 2807.160000 0.0007925 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -457.500000 USD 100000.000000 USD 3264.660000 N N N FNMA PASS THRU POOLS N/A 3140FXLN0 1162464.310000 PA USD 1017607.670000 0.287283 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC N/A 466330AL1 900000.000000 PA USD 901501.470000 0.254505 Long ABS-MBS CORP US N 2 2038-04-15 Floating 6.21548 N N N N N N N/A N/A 000000000 1.000000 NC -8225.270000 -0.0023221 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -422.700000 EUR 100000.000000 EUR -7802.570000 N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAW1 500000.000000 PA USD 447081.180000 0.126217 Long DBT CORP US N 2 2030-10-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FXC59 158599.150000 PA USD 144418.350000 0.0407711 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 562429.420000 0.158781 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-03-19 1245733.200000 USD 0.000000 USD 24600000.000000 USD -683303.780000 N N N N/A N/A 000000000 1.000000 NC -1157.610000 -0.0003268 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-12-31 0.000000 EUR -264.550000 EUR 100000.000000 EUR -893.060000 N N N MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG (MUNICHRE) 529900MUF4C20K50JS49 62582PAA8 400000.000000 PA USD 417680.000000 0.117916 Long DBT CORP DE N 2 2042-05-23 Floating 5.875 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BC6 500000.000000 PA USD 489823.630000 0.138283 Long DBT CORP NL N 2 2033-03-28 Floating 4.252 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AS8 400000.000000 PA USD 403444.470000 0.113897 Long DBT CORP IT N 2 2035-06-30 Floating 5.459 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFL0 3000000.000000 PA USD 3021035.160000 0.852876 Long DBT UST US N 2 2029-09-30 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -56263.450000 -0.0158839 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 33942726.320000 USD 28862862.520000 EUR 2025-10-02 -56263.450000 N N N N/A N/A 000000000 1.000000 NC USD 178577.310000 0.0504146 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-21 227998.170000 USD 0.000000 USD 2470000.000000 USD -49420.860000 N N N N/A N/A 000000000 1.000000 NC 6032.780000 0.0017031 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-21 0.000000 EUR -394.200000 EUR 100000.000000 EUR 6426.980000 N N N N/A N/A 000000000 1.000000 NC USD 5035.270000 0.0014215 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -880.000000 USD 200000.000000 USD 5915.270000 N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA16 N/A 23242GAE4 58436.750000 PA USD 54805.740000 0.0154723 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.65239 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBW2 200000.000000 PA USD 159789.000000 0.0451104 Long DBT CORP US N 2 2042-03-15 Fixed 5.05 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAJ0 1000000.000000 PA USD 889454.900000 0.251104 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.35548 N N N N N N N/A N/A 000000000 1.000000 NC -8159.270000 -0.0023035 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-19 0.000000 EUR -374.830000 EUR 200000.000000 EUR -7784.440000 N N N SVB FINANCIAL TRUST N/A 000000000 1159.000000 NS USD 631655.000000 0.178324 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC USD -2869.170000 -0.00081 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 -2079.170000 N N N SUNNOVA SOL V ISSUER LLC 2023-1A N/A 86745XAA4 1037537.090000 PA USD 1006912.110000 0.284264 Long ABS-O CORP US N 2 2058-04-30 Fixed 5.4 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAG9 300000.000000 PA USD 135142.680000 0.0381525 Long ABS-MBS CORP US N 2 2036-03-15 Floating 7.36548 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBX7 110000.000000 PA USD 86871.610000 0.0245249 Long DBT CORP GB N 2 2081-06-04 Floating 5.125 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BQ7 200000.000000 PA 184459.800000 0.0520753 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36179YAS3 1958365.450000 PA USD 1986054.490000 0.560688 Long ABS-MBS USGSE US N 2 2053-07-20 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 405.250000 0.0001144 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -1420.000000 USD 400000.000000 USD 1825.250000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 200000.000000 PA USD 182202.900000 0.0514381 Long DBT CORP CH N 2 2031-02-10 Floating 4.375 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-B N/A 64352VNL1 1800000.000000 PA USD 1583760.240000 0.447115 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.00739 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAE2 612686.960000 PA USD 207194.490000 0.0584936 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.51239 N N N N N N UNITED UTILITIES WATER FINANCE PLC 213800313INX42GDLR44 ACI2MYMZ1 600000.000000 PA 706872.700000 0.199559 Long DBT CORP GB N 2 2034-05-23 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -8919.660000 -0.0025181 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-22 0.000000 EUR -719.090000 EUR 200000.000000 EUR -8200.570000 N N N N/A N/A 000000000 1.000000 NC -11389.880000 -0.0032155 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4221603.900000 PEN 1198978.670000 USD 2026-03-18 -11389.880000 N N N FIRST AMERICAN FINANCIAL CORPORATION 549300B6VEZK3N0A1P55 31847RAH5 600000.000000 PA USD 521811.820000 0.147314 Long DBT CORP US N 2 2031-08-15 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC -8890.250000 -0.0025098 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8755902.810000 ZAR 496372.000000 USD 2025-11-20 -8890.250000 N N N N/A N/A 000000000 1.000000 NC -182760.050000 -0.0515954 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 13200000.000000 BRL -182760.050000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLC1 1600000.000000 PA USD 1667746.640000 0.470826 Long DBT CORP US N 2 2028-11-10 Floating 6.204 N N N N N N N/A N/A 000000000 1.000000 NC -5438.930000 -0.0015355 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 -5231.060000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DV8 600000.000000 PA USD 653663.160000 0.184537 Long DBT CORP GB N 2 2034-03-09 Floating 6.254 N N N N N N N/A N/A 000000000 1.000000 NC 43.990000 0.0000124 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8327.000000 USD 2545.860000 KWD 2026-05-21 43.990000 N N N N/A N/A 000000000 200000.000000 NC USD 4390.420000 0.0012395 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.11000 07/28/32-30Y LCH 2062-07-28 0.000000 USD 0.000000 USD N/A USD N/A 2.110000 USD 2032-07-26 XXXX -28009.580000 N N N N/A N/A 000000000 1.000000 NC 363.400000 0.0001026 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -278.480000 EUR 100000.000000 EUR 641.880000 N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBA5 300000.000000 PA USD 269385.710000 0.0760509 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 USD -1633.490000 -0.0004612 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -795.000000 USD 200000.000000 USD -838.490000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAG9 400000.000000 PA USD 399491.180000 0.112781 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.35032 N N N N N N N/A N/A 000000000 1.000000 NC 16.820000 0.0000047 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3997.000000 USD 1220.600000 KWD 2026-06-02 16.820000 N N N N/A N/A 000000000 1.000000 NC 1142.260000 0.0003225 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 89117.000000 USD 13301728.000000 JPY 2025-11-04 1142.260000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 90375000.000000 PA 5141222.860000 1.45143 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 1150.100000 0.0003247 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-07 0.000000 USD -502.500000 USD 100000.000000 USD 1652.600000 N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CBH6 402000.000000 PA USD 296407.430000 0.0836795 Long DBT CORP US N 2 2052-03-15 Fixed 3.55 N N N N N N GSAA HOME EQUITY TRUST 2007-9 N/A 3622EEAA0 5240.230000 PA USD 4684.930000 0.0013226 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 500000.000000 PA USD 453750.020000 0.128099 Long DBT CORP US N 2 2032-04-22 Floating 2.615 N N N N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 00135TAD6 500000.000000 PA USD 530931.060000 0.149888 Long DBT CORP IE N 2 2029-09-13 Floating 6.608 N N N N N N N/A N/A 000000000 1.000000 NC -98.150000 -0.0000277 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 277.850000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 200000.000000 PA USD 178622.870000 0.0504275 Long DBT CORP NL N 2 2031-05-16 Floating 4.25 N N N N Y ING GROEP NV EUR XXXX N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 ACI2YQ7R0 400000.000000 PA 479104.250000 0.135257 Long DBT CORP JP N 2 2029-07-17 Fixed 5.25 N N N N N N STAR ENERGY GEOTHERMAL WAYANG WINDU LTD N/A G84393AC4 273800.000000 PA USD 283863.520000 0.0801382 Long DBT CORP VG N 2 2033-04-24 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 720.410000 0.0002034 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 251700.480000 USD 215000.000000 EUR 2025-10-02 720.410000 N N N N/A N/A 000000000 1.000000 NC 3037.190000 0.0008574 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-06-12 0.000000 EUR -172.210000 EUR 100000.000000 EUR 3209.400000 N N N ILLUMINA INC SQ95QG8SR5Q56LSNF682 452327AM1 300000.000000 PA USD 268207.740000 0.0757184 Long DBT CORP US N 2 2031-03-23 Fixed 2.55 N N N N N N LENOVO GROUP LIMITED 254900VUZRGD5U73RE46 Y5257YAJ6 400000.000000 PA USD 379939.240000 0.107262 Long DBT CORP HK N 2 2030-11-02 Fixed 3.421 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBJ4 500000.000000 PA USD 520993.400000 0.147083 Long DBT CORP US N 2 2030-01-09 Floating 6.174 N N N N N N FONDO MIVIVIENDA SA 549300X41PNOK11PZ670 344593AF5 400000.000000 PA USD 402104.810000 0.113519 Long DBT CORP PE N 2 2027-04-12 Fixed 4.625 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 ACI1RXY95 200000.000000 PA 243543.370000 0.0687553 Long DBT CORP ES N 2 2027-10-09 Floating 5.875 N N N N Y CAIXABANK SA (AKA: LA CAIXA) EUR XXXX N N N MERRILL LYNCH MORTGAGE INVS 2006-HE1 N/A 59020U3F0 980752.690000 PA USD 941120.470000 0.26569 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.87239 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CY3 700000.000000 PA USD 631108.440000 0.17817 Long DBT CORP GB N 2 2032-11-22 Floating 2.871 N N N N N N CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 549300S8SEQBOJLKHW63 15189XBC1 700000.000000 PA USD 688190.830000 0.194285 Long DBT CORP US N 2 2053-04-01 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC USD -24269.520000 -0.0068516 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-24 0.000000 USD -7280.000000 USD 100000.000000 USD -16989.520000 N N N GNMA PASS THRU POOLS N/A 36179YDK7 1736637.280000 PA USD 1759399.470000 0.4967 Long ABS-MBS USGSE US N 2 2053-08-20 Fixed 5.5 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAG5 274064.720000 PA USD 274384.610000 0.0774622 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.96448 N N N N N N N/A N/A 000000000 1.000000 NC USD 95187.780000 0.0268727 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-05-22 179439.910000 USD 0.000000 USD 18580000.000000 USD -84252.130000 N N N CHOBANI LLC / CHOBANI FINANCE CORP INC N/A 17027NAC6 500000.000000 PA USD 521998.500000 0.147367 Long DBT CORP US N 2 2029-07-01 Fixed 7.625 N N N N N N N/A N/A 000000000 17100000.000000 PA USD 17100000.000000 4.82754 Long RA US N 2 Repurchase N 4.220000 2025-10-01 17561000.000000 USD 17439925.160000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 687264.490000 0.194023 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-19 1541129.640000 USD 0.000000 USD 30200000.000000 USD -853865.150000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UC0 600000.000000 PA USD 554062.500000 0.156419 Long DBT UST US N 2 2054-08-15 Fixed 4.25 N N N N N N FNMA PASS THRU POOLS N/A 3140QSSU6 2016312.040000 PA USD 1962996.290000 0.554178 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 9.000000 NC USD 29729.060000 0.0083929 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-12-19 1081546.880000 USD 29729.060000 N N N SERBIA GOVT 254900W94OCY91V32O78 ACI20JG85 300000.000000 PA 328204.690000 0.0926563 Long DBT NUSS RS N 2 2028-09-23 Fixed 1 N N N N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6 N/A 05492TBK5 1599000.000000 PA USD 1209049.470000 0.34133 Long ABS-MBS CORP US N 2 2053-02-15 Variable 3.81129 N N N N N N N/A N/A 000000000 1.000000 NC USD 239766.450000 0.067689 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-16 0.000000 USD -15100.630000 USD 1900000.000000 USD 254867.080000 N N N N/A N/A 000000000 1.000000 NC USD 755.510000 0.0002133 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-09 0.000000 USD 0.000000 USD 200000.000000 USD 755.510000 N N N ARGENT SECURITIES INC 2004-W11 N/A 040104MK4 300169.540000 PA USD 276801.250000 0.0781444 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.07239 N N N N N N N/A N/A 000000000 1.000000 NC USD 776.480000 0.0002192 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-23 0.000000 USD -417.500000 USD 100000.000000 USD 1193.980000 N N N COUNTRYWIDE HOME LOANS 2003-R4 N/A 12669FFS7 63585.560000 PA USD 57534.820000 0.0162428 Long ABS-MBS CORP US N 2 2034-01-25 Variable 4.75664 N N N N N N N/A N/A 000000000 1.000000 NC 28.910000 0.0000082 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3996.810000 USD 1223.940000 KWD 2026-06-30 28.910000 N N N N/A N/A 000000000 1.000000 NC -491.740000 -0.0001388 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1044000.000000 ZAR 59752.620000 USD 2025-11-20 -491.740000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBY0 1000000.000000 PA USD 1021702.330000 0.288439 Long DBT CORP GB N 2 2028-08-09 Floating 5.501 N N N N N N N/A N/A 000000000 1.000000 NC -768.300000 -0.0002169 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-03 0.000000 EUR -316.100000 EUR 100000.000000 EUR -452.200000 N N N FHLMC PASS THRU POOLS N/A 3142GRGS3 2266175.340000 PA USD 2252086.910000 0.635792 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5 N N N N N N RENEW PRIVATE LIMITED 335800BITJZHVZ1CN475 Y7279WAA9 200000.000000 PA USD 200029.580000 0.0564708 Long DBT CORP IN N 2 2027-03-05 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 4277.990000 0.0012077 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-10 0.000000 USD -750.000000 USD 200000.000000 USD 5027.990000 N N N N/A N/A 000000000 1.000000 NC 1745.570000 0.0004928 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-29 0.000000 EUR -281.640000 EUR 100000.000000 EUR 2027.210000 N N N N/A N/A 000000000 1.000000 NC USD 1211.760000 0.0003421 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -745.000000 USD 200000.000000 USD 1956.760000 N N N N/A N/A 000000000 1.000000 NC USD -2624.130000 -0.0007408 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-12 0.000000 USD -570.000000 USD 100000.000000 USD -2054.130000 N N N N/A N/A 000000000 1.000000 NC USD -259962.660000 -0.0733907 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-03-19 0.000000 USD -750557.000000 USD 13800000.000000 USD 490594.340000 N N N N/A N/A 000000000 1.000000 NC -5590.360000 -0.0015782 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2036-03-18 8930.120000 EUR 0.000000 EUR 4000000.000000 EUR -14520.480000 N N N N/A N/A 000000000 1.000000 NC -9210.860000 -0.0026003 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10102912.070000 ZAR 573781.000000 USD 2025-11-20 -9210.860000 N N N SPECIALTY UNDERWRITING & RESID 2005-BC1 N/A 84751PEU9 110584.880000 PA USD 110449.540000 0.0311813 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.44239 N N N N N N N/A N/A 000000000 1.000000 NC USD 27508.440000 0.007766 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-12-16 0.000000 USD -9339.260000 USD 500000.000000 USD 36847.700000 N N N N/A N/A 000000000 1.000000 NC USD -125287.460000 -0.0353702 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 190518.150000 USD 0.000000 USD 8400000.000000 USD -315805.610000 N N N N/A N/A 000000000 1.000000 NC USD 114.420000 0.0000323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -721.000000 USD 200000.000000 USD 835.420000 N N N FNMA PASS THRU POOLS N/A 3138MTKL0 3089154.400000 PA USD 3160625.290000 0.892284 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N CAPITAL FOUR CLO X DAC 10A N/A ACI2ZN408 2800000.000000 PA 3292641.050000 0.929553 Long ABS-CBDO CORP IE N 2 2038-10-25 Floating 3.279 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAE3 450000.000000 PA USD 445912.340000 0.125887 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.06448 N N N N N N N/A N/A 000000000 1.000000 NC 34.120000 0.0000096 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2025-12-08 138314.910000 EUR 34.120000 N N N N/A N/A 000000000 1.000000 NC USD 14146.880000 0.0039938 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-24 0.000000 USD -97.470000 USD 400000.000000 USD 14244.350000 N N N N/A N/A 000000000 1.000000 NC -59898.630000 -0.0169101 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8206742.000000 GBP 10979283.100000 USD 2025-11-04 -59898.630000 N N N CDW LLC / CDW FINANCE CORP N/A 12513GBJ7 500000.000000 PA USD 467360.390000 0.131942 Long DBT CORP US N 2 2031-12-01 Fixed 3.569 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA2 N/A 25150UAA6 63765.770000 PA USD 57790.050000 0.0163148 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.92342 N N N N N N IBERDROLA INTERNATIONAL BV 549300ZMLFJKWC63XN87 29266MAE9 250000.000000 PA USD 274799.430000 0.0775793 Long DBT CORP NL N 2 2033-09-15 Fixed 6.75 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAL6 1097000.000000 PA USD 76054.020000 0.021471 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.06548 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 6200000.000000 PA USD 5663589.210000 1.5989 Long ABS-MBS USGSE US N 2 2055-11-13 Fixed 3.5 N N N N N N N/A N/A 000000000 -6.000000 NC USD -8258.290000 -0.0023314 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-12-19 -690515.630000 USD -8258.290000 N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAJ5 1000000.000000 PA USD 913835.900000 0.257987 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.51448 N N N N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 ACI1YSZV8 200000.000000 PA 247108.690000 0.0697619 Long DBT CORP GB N 2 2031-07-15 Fixed 4.5 N N N N N N 2025-11-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer