NPORT-P false 0000810893 XXXXXXXX S000009706 C000031215 C000031217 C000064154 C000200451 C000026642 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Short Fund S000009706 P42MUQ6KRRELZQZE1595 2026-03-31 2025-12-31 N 263578889.140000 181451189.140000 82127700.000000 0.000000 0.000000 22192030.420000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4441690.520000 JPY TRY PEN AUD MXN CZK GBP BRL EUR USD PLN ZAR N S&P 500 Index SPTR ROMANIA GOVT 315700IASY927EDWBK92 ACI2W14X7 200000.000000 PA 245193.730000 0.298552 Long DBT NUSS RO N 2 2039-07-11 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 1540.030000 0.0018752 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1904020.000000 TWD 62161.920000 USD 2026-01-22 1540.030000 N N N N/A N/A 000000000 1.000000 NC -91.070000 -0.0001109 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3606267.840000 INR 40000.000000 USD 2026-01-12 -91.070000 N N N N/A N/A 000000000 -1000000.000000 NC USD -748.000000 -0.0009108 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 102.130000 USD 2026-03-05 XXXX 1947.310000 N N N FNMA PASS THRU POOLS N/A 31409JUL2 543.590000 PA USD 568.650000 0.0006924 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -80.080000 -0.0000975 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 907361.000000 INR 10000.000000 USD 2026-01-20 -80.080000 N N N FNMA PASS THRU POOLS N/A 31417YJ24 7234.070000 PA USD 7337.130000 0.0089338 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412NBF2 815.830000 PA USD 860.540000 0.0010478 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620AAT81 8652.340000 PA USD 8864.160000 0.0107931 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 131.110000 0.0001596 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 104000.000000 NZD 60028.490000 USD 2026-01-14 131.110000 N N N N/A N/A 000000000 -200000.000000 NC USD -298.570000 -0.0003635 N/A DCR US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 Call Written Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-02-18 XXXX 12.430000 N N N N/A N/A 000000000 1.000000 NC -3794.770000 -0.0046206 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1873781.830000 ZAR 109192.200000 USD 2026-01-26 -3794.770000 N N N N/A N/A 000000000 1.000000 NC -1357.820000 -0.0016533 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 96000.000000 CHF 119944.230000 USD 2026-01-14 -1357.820000 N N N N/A N/A 000000000 -100000.000000 NC USD -31.350000 -0.0000382 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.63900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.640000 USD 2026-01-12 XXXX 204.900000 N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 13978.020000 PA USD 13257.300000 0.0161423 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.38048 N N N N N N N/A N/A 000000000 1.000000 NC 67.950000 0.0000827 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5200000.000000 JPY 33289.590000 USD 2026-01-14 67.950000 N N N N/A N/A 000000000 1.000000 NC 149.920000 0.0001825 N/A DFE NZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 69000.000000 NZD 39889.530000 USD 2026-01-14 149.920000 N N N FNMA PASS THRU POOLS N/A 3140X6JR3 84078.820000 PA USD 82092.950000 0.0999577 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36295GBG6 11232.440000 PA USD 11711.120000 0.0142596 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36210B4E2 28977.110000 PA USD 29696.450000 0.0361589 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 24273.390000 0.0295557 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 735911.260000 USD 13786561.540000 MXN 2026-03-18 24273.390000 N N N FNMA PASS THRU POOLS N/A 31412DLU0 39587.200000 PA USD 41412.530000 0.0504246 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 2400000.000000 NC USD 1336.800000 0.0016277 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX -1994.700000 N N N N/A N/A 000000000 1.000000 NC -3504.280000 -0.0042669 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 5900000.000000 BRL -3504.280000 N N N N/A N/A 000000000 1.000000 NC 1806.320000 0.0021994 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 87666.000000 USD 321240.660000 PLN 2026-01-23 1806.320000 N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 500000.000000 PA USD 509920.000000 0.620887 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418XNQ7 6030.560000 PA USD 6080.160000 0.0074033 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1200000.000000 NC USD 54725.160000 0.0666342 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -50964.840000 N N N N/A N/A 000000000 1.000000 NC 2539.240000 0.0030918 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2663433.000000 TWD 87340.000000 USD 2026-01-22 2539.240000 N N N N/A N/A 000000000 12600000.000000 NC USD 5711.580000 0.0069545 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08200 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2027-01-04 XXXX -3738.420000 N N N FHLMC PASS THRU POOLS N/A 3128KKZG7 38697.080000 PA USD 39263.190000 0.0478075 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -151.080000 -0.000184 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 200000.000000 BRL -151.080000 N N N N/A N/A 000000000 1.000000 NC -601.620000 -0.0007325 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 100442.570000 USD 3135817.000000 TWD 2026-01-22 -601.620000 N N N N/A N/A 000000000 1.000000 NC -21790.180000 -0.0265321 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 7781655.290000 ZAR 447435.000000 USD 2026-01-26 -21790.180000 N N N FNMA PASS THRU POOLS N/A 31416H4W2 38961.620000 PA USD 39319.810000 0.0478764 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RTS8 3568.580000 PA USD 3628.960000 0.0044187 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.096 N N N N N N N/A N/A 000000000 1.000000 NC 840.600000 0.0010235 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 80086.330000 USD 564000.000000 CNY 2026-01-21 840.600000 N N N N/A N/A 000000000 1.000000 NC USD -63833.010000 -0.0777241 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -41790.430000 USD 8510000.000000 USD -22042.580000 N N N N/A N/A 000000000 12600000.000000 NC USD 5654.880000 0.0068855 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.85700 10/09/26-1Y LCH 2027-10-09 0.000000 USD 0.000000 USD N/A USD N/A 3.860000 USD 2026-10-07 XXXX -4110.120000 N N N N/A N/A 000000000 1200000.000000 NC USD 9909.480000 0.0120659 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2026-08-03 XXXX -13910.520000 N N N N/A N/A 000000000 1.000000 NC 4298.950000 0.0052345 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 204073.370000 USD 3779000.000000 MXN 2026-03-18 4298.950000 N N N N/A N/A 000000000 1.000000 NC USD -1422.720000 -0.0017323 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -12101.750000 USD 2240000.000000 USD 10679.030000 N N N FHLMC PASS THRU POOLS N/A 3128K95C4 31533.110000 PA USD 33023.110000 0.0402095 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABDP1 3685.640000 PA USD 3711.970000 0.0045198 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 4312.840000 0.0052514 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3714330.000000 TWD 122573.000000 USD 2026-01-22 4312.840000 N N N FHLMC PASS THRU POOLS N/A 3128M6JM1 12364.760000 PA USD 12736.320000 0.0155079 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNL3 33797.120000 PA USD 35353.770000 0.0430473 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 24.000000 NC USD -3777.180000 -0.0045992 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A FEDERAL FUND 2026-02-27 9641021.220000 USD -3777.180000 N N N FNMA PASS THRU POOLS N/A 31402X4D5 582.630000 PA USD 590.960000 0.0007196 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 69.460000 0.0000846 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 128214.420000 ILS 40332.000000 USD 2026-02-19 69.460000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 900000.000000 PA 55756.520000 0.06789 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N N/A N/A 000000000 1.000000 NC 1556.140000 0.0018948 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18800000.000000 JPY 121665.140000 USD 2026-01-14 1556.140000 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 45539.080000 PA USD 45662.500000 0.0555994 Long ABS-O CORP US N 2 2038-04-25 Floating 5.52474 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4W90 8676.450000 PA USD 8920.630000 0.0108619 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LBC55 17022.520000 PA USD 17534.290000 0.02135 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31412LM72 14895.150000 PA USD 15568.490000 0.0189564 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -301.190000 -0.0003667 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 247041.080000 PEN 73000.000000 USD 2026-03-18 -301.190000 N N N N/A N/A 000000000 600000.000000 NC USD 2852.820000 0.0034736 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75800 04/01/26-7Y LCH 2033-04-01 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-03-30 XXXX -1887.180000 N N N N/A N/A 000000000 1.000000 NC -206.170000 -0.000251 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK -100.220000 CZK 200000.000000 CZK -105.950000 N N N FNMA PASS THRU POOLS N/A 3138A1CC3 79152.430000 PA USD 78890.360000 0.0960582 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31411S2B1 270.260000 PA USD 280.510000 0.0003416 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1394.440000 0.0016979 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1294158.000000 TWD 42599.000000 USD 2026-01-22 1394.440000 N N N GNMA PASS THRU POOLS N/A 21H052611 1420000.000000 PA USD 1433990.750000 1.74605 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -461.850000 -0.0005624 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.18000 02/09/26-10Y LCH 2036-02-09 0.000000 USD 0.000000 USD N/A USD N/A 4.180000 USD 2026-02-05 XXXX 888.150000 N N N FNMA PASS THRU POOLS N/A 3138EHPD8 25616.240000 PA USD 25804.540000 0.03142 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N N/A N/A 000000000 12600000.000000 NC USD 4907.700000 0.0059757 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14100 01/04/27-1Y LCH 2028-01-04 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2026-12-30 XXXX -4479.300000 N N N FNMA PASS THRU POOLS N/A 31410GHP1 140718.850000 PA USD 147208.210000 0.179243 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 3505.150000 0.0042679 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 61000.000000 USD 1086318.500000 ZAR 2026-08-19 3505.150000 N N N N/A N/A 000000000 1200000.000000 NC USD 3414.960000 0.0041581 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23000 04/01/26-5Y LCH 2031-04-01 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2026-03-30 XXXX -5765.040000 N N N N/A N/A 000000000 1.000000 NC USD -5944.730000 -0.0072384 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-27 0.000000 USD 0.000000 USD 1100000.000000 USD -5944.730000 N N N N/A N/A 000000000 1.000000 NC 39462.660000 0.0480504 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 -34645.880000 GBP 7100000.000000 GBP 74108.540000 N N N N/A N/A 000000000 1.000000 NC 2154.740000 0.0026236 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 91678.000000 USD 336878.150000 PLN 2026-01-16 2154.740000 N N N N/A N/A 000000000 1.000000 NC USD -211002.590000 -0.25692 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-06-18 0.000000 USD -226510.000000 USD 4500000.000000 USD 15507.410000 N N N FHLMC PASS THRU POOLS N/A 312929MQ2 5103.530000 PA USD 5256.960000 0.006401 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SG3 420000.000000 PA USD 419258.850000 0.510496 Long DBT UST US N 2 2026-01-20 None 0 N N N N N N FREDDIE MAC-3289 N/A 31397FNM0 135701.700000 PA USD 134500.690000 0.16377 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 4.47833 N N N N N N FNMA PASS THRU POOLS N/A 31418PCG8 2284.540000 PA USD 2303.350000 0.0028046 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 11787.120000 PA USD 12330.300000 0.0150136 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1000000.000000 NC USD 0.100000 0.0000001 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.18850 01/06/26-7Y LCH 2033-01-06 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2026-01-02 XXXX -4290.940000 N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% JAN 30YR N/A 97.380000 USD 2026-01-07 XXXX 554.670000 N N N FNMA PASS THRU POOLS N/A 31410KXK5 91309.020000 PA USD 95325.440000 0.11607 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 300000.000000 NC USD 13680.570000 0.0166577 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -12749.430000 N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 2054.400000 PA USD 1970.420000 0.0023992 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.95116 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 584585.110000 PA USD 583867.240000 0.710926 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 5.18671 N N N N N N N/A N/A 000000000 300000.000000 NC USD 18236.310000 0.0222048 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -8163.690000 N N N N/A N/A 000000000 1.000000 NC -12846.670000 -0.0156423 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2031-02-28 0.000000 ZAR -4405.760000 ZAR 8610000.000000 ZAR -8440.910000 N N N FNMA PASS THRU POOLS N/A 31407PFB9 18510.970000 PA USD 19363.570000 0.0235774 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404MZ92 320.120000 PA USD 325.830000 0.0003967 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRN5 15635.430000 PA USD 16355.520000 0.0199147 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 7900000.000000 PA 2536386.300000 3.08834 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N GNMA PASS THRU POOLS N/A 36296QZD4 11478.730000 PA USD 11814.430000 0.0143854 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANY56 2924.440000 PA USD 2942.630000 0.003583 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407JDY5 396.810000 PA USD 419.890000 0.0005113 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N N/A N/A 000000000 -22.000000 NC USD -46950.100000 -0.0571672 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A S&P 500 TOTAL RETURN INDEX 2026-03-20 -7382424.500000 USD -46950.100000 N N N FREDDIE MAC 3355 N/A 31397KC90 326298.230000 PA USD 326920.480000 0.398064 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.79833 N N N N N N N/A N/A 000000000 23.000000 NC USD 3835.480000 0.0046701 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-31 4801699.240000 USD 3835.480000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 294178.540000 PA USD 270018.600000 0.328779 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.90621 N N N N N N N/A N/A 000000000 1.000000 NC 1080.630000 0.0013158 N/A DFE SG N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 181077.550000 USD 234000.000000 SGD 2026-01-14 1080.630000 N N N FNMA PASS THRU POOLS N/A 31414HJX6 15803.900000 PA USD 16578.540000 0.0201863 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H030625 -3400000.000000 PA USD -3051632.840000 -3.71572 Short ABS-MBS USGSE US N 2 2056-02-19 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 652.560000 PA USD 663.620000 0.000808 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.723 N N N N N N N/A N/A 000000000 1.000000 NC 4168.190000 0.0050753 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 4436.130000 N N N N/A N/A 000000000 1.000000 NC 54.630000 0.0000665 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 1806810.260000 INR 2026-01-30 54.630000 N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 589077.790000 PA USD 315931.670000 0.384684 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.21042 N N N N N N N/A N/A 000000000 1.000000 NC -1093.980000 -0.001332 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 165509.000000 USD 25734977.000000 JPY 2026-01-14 -1093.980000 N N N N/A N/A 000000000 1.000000 NC -1512.010000 -0.001841 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 132205.000000 USD 11774706.120000 INR 2026-01-30 -1512.010000 N N N N/A N/A 000000000 1.000000 NC 707.920000 0.000862 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5304484.360000 INR 59584.880000 USD 2026-01-30 707.920000 N N N N/A N/A 000000000 1.000000 NC 175.850000 0.0002141 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 45022.700000 USD 315000.000000 CNY 2026-01-21 175.850000 N N N FNMA PASS THRU POOLS N/A 31371NU52 1294.920000 PA USD 1313.350000 0.0015992 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 6.330000 0.0000077 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-02 0.000000 PLN 0.000000 PLN 100000.000000 PLN 6.330000 N N N N/A N/A 000000000 1.000000 NC 385.410000 0.0004693 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 42501.450000 USD 711237.960000 ZAR 2026-01-26 385.410000 N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI11JW62 200000.000000 PA 213007.350000 0.259361 Long DBT NUSS CI N 2 2048-03-22 Fixed 6.625 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 9134.320000 PA USD 8507.510000 0.0103589 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.50734 N N N N N N N/A N/A 000000000 1200000.000000 NC USD 71121.120000 0.0865982 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -34568.880000 N N N FHLMC PASS THRU POOLS N/A 3128K9RM8 8777.210000 PA USD 9186.610000 0.0111858 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6 N N N N N N N/A N/A 000000000 -3733997.580000 PA USD -3743056.670000 -4.55761 Short RA US N 2 Reverse repurchase N 3.970000 2026-01-07 3804457.920000 USD 3903946.300000 USD AMBS N N N FHLMC PASS THRU POOLS N/A 3128KGF86 3241.850000 PA USD 3286.820000 0.0040021 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -382.930000 -0.0004663 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 25000.000000 CHF 31206.150000 USD 2026-01-14 -382.930000 N N N GNMA PASS THRU POOLS N/A 36296XUD4 24362.000000 PA USD 25069.810000 0.0305254 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31415TFV7 723.120000 PA USD 765.230000 0.0009318 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 473483.800000 PA USD 463760.730000 0.564682 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31371M7M3 10178.080000 PA USD 10321.150000 0.0125672 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296DP28 36325.980000 PA USD 36576.430000 0.044536 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -13787.410000 -0.0167878 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-08-25 0.000000 USD -12191.020000 USD 9100000.000000 USD -1596.390000 N N N N/A N/A 000000000 1.000000 NC USD 81922.830000 0.0997505 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 15981.250000 USD 0.000000 USD 1050000.000000 USD 65941.580000 N N N ACE SECURITIES CORP 2005-HE2 N/A 004421MG5 398018.770000 PA USD 394421.520000 0.480254 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.86621 N N N N N N N/A N/A 000000000 1.000000 NC -2555.330000 -0.0031114 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 -2301.660000 N N N GNMA PASS THRU POOLS N/A 36297AKJ1 58371.210000 PA USD 60078.380000 0.0731524 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -1665.620000 -0.0020281 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 -1287.240000 N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF9 N/A 320276AF5 500000.000000 PA USD 470529.300000 0.572924 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.34621 N N N N N N FNMA PASS THRU POOLS N/A 31371KVF5 2113.170000 PA USD 2192.850000 0.00267 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAV4 1285508.580000 PA USD 520226.040000 0.633436 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -10990.260000 -0.0133819 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 517105.000000 AUD 334123.260000 USD 2026-01-14 -10990.260000 N N N FNMA PASS THRU POOLS N/A 31407T7L8 1340.990000 PA USD 1390.960000 0.0016937 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -1300000.000000 NC USD -11013.340000 -0.01341 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -1865.190000 N N N GNMA PASS THRU POOLS N/A 3620A6DC8 25990.400000 PA USD 26748.150000 0.032569 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TB3 1902000.000000 PA USD 1885717.910000 2.29608 Long DBT UST US N 2 2026-03-31 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JE9 7632.160000 PA USD 7861.490000 0.0095723 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -49342.830000 -0.0600806 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-09-17 0.000000 USD -75187.210000 USD 4020000.000000 USD 25844.380000 N N N FNMA PASS THRU POOLS N/A 3138EKW35 851230.870000 PA USD 900776.580000 1.0968 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31404H2N8 2994.730000 PA USD 3044.370000 0.0037069 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296X3G7 17453.430000 PA USD 17959.130000 0.0218673 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 189.920000 0.0002312 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 69500.000000 USD 250200.630000 PLN 2026-01-16 189.920000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 45000.000000 PA USD 45330.470000 0.0551951 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 275.900000 0.0003359 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 40600.000000 USD 130179.840000 ILS 2026-01-15 275.900000 N N N FNMA PASS THRU POOLS N/A 3138AHGU4 4095.580000 PA USD 4121.960000 0.005019 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -15.000000 NC USD -2938.070000 -0.0035774 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/26 2026-03-21 N/A USD N/A 114.000000 USD 2026-02-20 XXXX 6887.830000 N N N N/A N/A 000000000 1.000000 NC USD -387.440000 -0.0004718 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 3873.280000 USD 0.000000 USD 1110000.000000 USD -4260.720000 N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAC1 1250979.600000 PA USD 1025715.580000 1.24893 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.18712 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TA5 891000.000000 PA USD 883960.790000 1.07632 Long DBT UST US N 2 2026-03-24 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6WG9 9627.130000 PA USD 10050.220000 0.0122373 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -2980572.390000 PA USD -2981880.530000 -3.63079 Short RA US N 2 Reverse repurchase N 3.950000 2026-01-07 3000000.000000 USD 3060129.840000 USD AMBS N N N N/A N/A 000000000 1.000000 NC 830.280000 0.001011 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 102683.910000 USD 142000.000000 CAD 2026-01-14 830.280000 N N N N/A N/A 000000000 -100000.000000 NC USD -19.850000 -0.0000242 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.92500 01/12/26-10Y LCH 2036-01-12 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2026-01-08 XXXX 235.150000 N N N N/A N/A 000000000 1.000000 NC 3055.870000 0.0037209 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 3323.840000 N N N N/A N/A 000000000 64800000.000000 NC USD 300587.760000 0.366001 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX -24870.240000 N N N N/A N/A 000000000 -4.000000 NC USD 1963.510000 0.0023908 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-03-20 -459031.250000 USD 1963.510000 N N N N/A N/A 000000000 1.000000 NC 10740.350000 0.0130776 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 231000000.000000 JPY 1486547.710000 USD 2026-01-14 10740.350000 N N N N/A N/A 000000000 900000.000000 NC USD 47497.230000 0.0578334 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -25132.770000 N N N N/A N/A 000000000 1.000000 NC USD -100009.270000 -0.121773 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-17 0.000000 USD -138961.110000 USD 7620000.000000 USD 38951.840000 N N N FNMA PASS THRU POOLS N/A 31416JAW1 35777.860000 PA USD 37426.860000 0.0455715 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 3804.030000 PA USD 3712.220000 0.0045201 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.28552 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 1698.870000 PA USD 1753.790000 0.0021354 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.405 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 17335.800000 PA USD 18134.340000 0.0220807 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N PETROLEOS DEL PERU SA - PETROPERU SA 549300ZMGDLC9JT2OR80 P7808BAB3 200000.000000 PA USD 127339.500000 0.155051 Long DBT CORP PE N 2 2047-06-19 Fixed 5.625 N N N N N N FNMA PASS THRU POOLS N/A 31407RVX9 525.810000 PA USD 530.120000 0.0006455 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 68.750000 0.0000837 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12810.000000 USD 404412.000000 TWD 2026-01-20 68.750000 N N N N/A N/A 000000000 470000.000000 NC USD 37910.200000 0.0461601 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 18.000000 USD 2026-08-19 XXXX 17286.130000 N N N N/A N/A 000000000 1.000000 NC 230972.870000 0.281236 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 226584.740000 EUR 0.000000 EUR 980000.000000 EUR 4388.130000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2Q1SN0 100000.000000 PA 2342.480000 0.0028522 Long DBT NUSS TR N 2 2026-05-20 Floating 42.56 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 1905.740000 PA USD 1362.190000 0.0016586 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -10.960000 -0.0000133 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.57750 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.580000 USD 2026-01-12 XXXX 209.040000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797RL3 1400000.000000 PA USD 1395330.970000 1.69898 Long DBT UST US N 2 2026-02-05 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 2187.770000 0.0026639 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-30 0.000000 USD -320.000000 USD 100000.000000 USD 2507.770000 N N N N/A N/A 000000000 1.000000 NC -724.590000 -0.0008823 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 100786.720000 ILS 30922.000000 USD 2026-01-15 -724.590000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 20.300000 PA USD 19.930000 0.0000243 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7.02169 N N N N N N GNMA PASS THRU POOLS N/A 21H042620 1480000.000000 PA USD 1440745.310000 1.75427 Long ABS-MBS USGSE US N 2 2056-02-19 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31409VPY3 301.330000 PA USD 313.140000 0.0003813 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128LAFY1 1730.350000 PA USD 1806.670000 0.0021998 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 51.690000 0.0000629 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 11083.000000 USD 349646.000000 TWD 2026-01-20 51.690000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 28000.000000 PA USD 28280.000000 0.0344342 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -8265.090000 -0.0100637 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-10-29 0.000000 USD 0.000000 USD 1600000.000000 USD -8265.090000 N N N FNMA PASS THRU POOLS N/A 31411ECZ8 52.490000 PA USD 54.910000 0.0000669 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHXA5 11967.430000 PA USD 12142.680000 0.0147851 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413NGG4 4831.100000 PA USD 4970.360000 0.006052 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPA5 5391.600000 PA USD 5630.870000 0.0068562 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -4.000000 NC USD 4208.300000 0.0051241 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-03-20 -469812.500000 USD 4208.300000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 400000.000000 PA USD 430324.230000 0.52397 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N N/A N/A 000000000 1.000000 NC -251.300000 -0.000306 N/A DFE TW N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 96000.000000 USD 3007287.000000 TWD 2026-01-22 -251.300000 N N N FNMA PASS THRU POOLS N/A 3138AHS80 23912.290000 PA USD 24038.890000 0.0292701 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 1340.160000 PA USD 1262.800000 0.0015376 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.71697 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 5898.950000 PA USD 5842.780000 0.0071143 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.26621 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 81209.500000 PA USD 69069.580000 0.0841002 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.46087 N N N N N N FNMA PASS THRU POOLS N/A 31412SD28 1469.760000 PA USD 1517.560000 0.0018478 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403LUQ2 18015.200000 PA USD 18303.830000 0.022287 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416JMP3 919.540000 PA USD 914.250000 0.0011132 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116 N/A 38381PC92 4121276.710000 PA USD 4160053.800000 5.06535 Long ABS-MBS USGSE US N 2 2055-07-20 Floating 5.26765 N N N N N N N/A N/A 000000000 1.000000 NC 8.240000 0.00001 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10019.060000 USD 36000.000000 PLN 2026-01-16 8.240000 N N N N/A N/A 000000000 1.000000 NC -1310.030000 -0.0015951 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 125611757.000000 KRW 85808.000000 USD 2026-01-08 -1310.030000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 115181.420000 PA USD 1121982.220000 1.36614 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC USD 1036.990000 0.0012627 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -390.000000 USD 100000.000000 USD 1426.990000 N N N N/A N/A 000000000 1.000000 NC -2497.640000 -0.0030412 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 404211.950000 PLN 110090.000000 USD 2026-01-16 -2497.640000 N N N N/A N/A 000000000 1.000000 NC 135.850000 0.0001654 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 76685.000000 USD 244655.820000 ILS 2026-01-15 135.850000 N N N N/A N/A 000000000 1.000000 NC 100.210000 0.000122 N/A DFE CH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16000.000000 CHF 20317.220000 USD 2026-01-14 100.210000 N N N FNMA PASS THRU POOLS N/A 31410RNM7 148.630000 PA USD 156.820000 0.0001909 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1268.650000 0.0015447 N/A DFE IN N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 10336652.120000 INR 116000.000000 USD 2026-01-30 1268.650000 N N N N/A N/A 000000000 1.000000 NC -4454.070000 -0.0054233 N/A DFE TW N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 137000.000000 USD 4163019.000000 TWD 2026-01-22 -4454.070000 N N N FNMA PASS THRU POOLS N/A 31414PU64 65539.250000 PA USD 69354.350000 0.084447 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -0.020000 0 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% JAN 30YR N/A 97.380000 USD 2026-01-07 XXXX 546.860000 N N N N/A N/A 000000000 800000.000000 NC USD 447.200000 0.0005445 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX -599.200000 N N N N/A N/A 000000000 1.000000 NC -57182.310000 -0.0696261 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-12-17 2128.220000 JPY 0.000000 JPY 130000000.000000 JPY -59310.530000 N N N UMBS PASS THRU POOLS N/A 01F032625 -6100000.000000 PA USD -5620816.390000 -6.844 Short ABS-MBS USGSE US N 2 2056-02-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 379.180000 0.0004617 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2026-12-24 32900.000000 USD 379.180000 N N N N/A N/A 000000000 1.000000 NC 3381.550000 0.0041174 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 671918.440000 BRL 126000.000000 USD 2026-01-05 3381.550000 N N N N/A N/A 000000000 1.000000 NC USD -53899.870000 -0.0656293 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -83273.700000 USD 11600000.000000 USD 29373.830000 N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 94.940000 PA USD 93.460000 0.0001138 Long ABS-MBS CORP US N 2 2030-06-15 Floating 4.3446 N N N N N N N/A N/A 000000000 1.000000 NC -1619.370000 -0.0019718 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 7700000.000000 BRL -1619.370000 N N N FNMA PASS THRU POOLS N/A 31406TGE5 17067.450000 PA USD 18007.040000 0.0219257 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SF5 2131000.000000 PA USD 2128721.870000 2.59197 Long DBT UST US N 2 2026-01-13 None 0 N N N N N N N/A N/A 000000000 100000.000000 NC USD 240.970000 0.0002934 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -463.260000 N N N N/A N/A 000000000 1.000000 NC -916.900000 -0.0011164 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 -585.550000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 1384.660000 PA USD 1417.950000 0.0017265 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.48 N N N N N N N/A N/A 000000000 1.000000 NC USD -5491.550000 -0.0066866 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -32689.240000 USD 5200000.000000 USD 27197.690000 N N N FNMA PASS THRU POOLS N/A 31414FFS5 230.050000 PA USD 238.020000 0.0002898 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407HRF5 10894.720000 PA USD 11486.030000 0.0139856 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412BFT4 3807.470000 PA USD 3983.040000 0.0048498 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 142.330000 PA USD 146.270000 0.0001781 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 6.425 N N N N N N FNMA PASS THRU POOLS N/A 31408DKS2 443.120000 PA USD 461.970000 0.0005625 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -519.870000 -0.000633 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 34000.000000 EUR 39453.970000 USD 2026-01-14 -519.870000 N N N N/A N/A 000000000 1.000000 NC 131984.520000 0.160707 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 129119.040000 EUR 0.000000 EUR 560000.000000 EUR 2865.480000 N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 1200187.210000 PA USD 391307.480000 0.476462 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.00621 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 B1W32LII9 14470000.000000 PA 747101.130000 0.909682 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -69.120000 -0.0000842 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64750 01/20/26-10Y LCH 2036-01-20 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-01-15 XXXX 201.130000 N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 85991.080000 PA USD 76100.370000 0.092661 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.18292 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 480000.000000 PA 158770.880000 0.193322 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -1432.550000 -0.0017443 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 134386.000000 USD 11978361.720000 INR 2026-01-30 -1432.550000 N N N N/A N/A 000000000 1.000000 NC -6930.990000 -0.0084393 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 503068.000000 AUD 328814.300000 USD 2026-01-14 -6930.990000 N N N FHLMC PASS THRU POOLS N/A 3128M75R3 12004.620000 PA USD 12561.490000 0.0152951 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 233379.600000 PA USD 182794.340000 0.222573 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.88166 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2W94G7 70000000.000000 PA 367142.490000 0.447039 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.4 N N N N N N FANNIE MAE REMICS 2025-12 N/A 3136BVGN2 1753193.780000 PA USD 1759649.210000 2.14258 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.78419 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8EE2 11037.710000 PA USD 11349.910000 0.0138198 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1323.440000 0.0016114 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2052-07-20 1500.050000 USD 0.000000 USD 100000.000000 USD -176.610000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNS6 547576.200000 PA USD 546281.190000 0.665161 Long DBT UST US N 2 2035-07-15 Fixed 1.875 N N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 620910.090000 PA USD 387701.790000 0.472072 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412QPU7 1251.980000 PA USD 1324.830000 0.0016131 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31404U4Y3 765.060000 PA USD 802.720000 0.0009774 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 65992.250000 0.0803532 N/A DCR N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 62884.200000 EUR 0.000000 EUR 280000.000000 EUR 3108.050000 N N N N/A N/A 000000000 1.000000 NC 85.230000 0.0001038 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17002.440000 USD 1539502.930000 INR 2026-01-30 85.230000 N N N N/A N/A 000000000 1.000000 NC USD -1314.170000 -0.0016002 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -431.250000 USD 100000.000000 USD -882.920000 N N N UMBS PASS THRU POOLS N/A 01F030629 240000.000000 PA USD 212146.880000 0.258313 Long ABS-MBS USGSE US N 2 2056-02-12 Fixed 3 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 244272.530000 PA USD 253534.840000 0.308708 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N N/A N/A 000000000 1.000000 NC USD -14643.630000 -0.0178303 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 680000.000000 USD -14643.630000 N N N N/A N/A 000000000 1.000000 NC -332.280000 -0.0004046 N/A DFE NO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 230412.390000 NOK 22528.500000 USD 2026-01-14 -332.280000 N N N FNMA PASS THRU POOLS N/A 31411CDR9 102943.440000 PA USD 107688.200000 0.131123 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -94.100000 -0.0001146 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 30166.390000 ILS 9377.920000 USD 2026-01-22 -94.100000 N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 151897.130000 PA USD 130962.730000 0.159462 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.10435 N N N N N N N/A N/A 000000000 2700000.000000 PA USD 2700000.000000 3.28756 Long RA US N 2 Repurchase N 3.870000 2026-01-02 2673300.000000 USD 2707395.030000 USD UST N N N FNMA PASS THRU POOLS N/A 31412AWT7 7045.960000 PA USD 7305.860000 0.0088957 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 3488.710000 0.0042479 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -440.000000 USD 100000.000000 USD 3928.710000 N N N FHLMC PASS THRU POOLS N/A 3132LAY63 18742.370000 PA USD 18123.750000 0.0220678 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 2319.470000 0.0028242 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 173517.290000 USD 963541.510000 BRL 2026-01-05 2319.470000 N N N N/A N/A 000000000 1.000000 NC 1022.470000 0.001245 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 48392.000000 USD 177407.730000 PLN 2026-01-16 1022.470000 N N N N/A N/A 000000000 1.000000 NC -68.830000 -0.0000838 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 526210.060000 PEN 155531.600000 USD 2026-06-17 -68.830000 N N N N/A N/A 000000000 1.000000 NC USD -7046.380000 -0.0085798 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-25 0.000000 USD 0.000000 USD 1600000.000000 USD -7046.380000 N N N N/A N/A 000000000 -400000.000000 NC USD -132.800000 -0.0001617 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 47.200000 N N N AREIT TRUST 2022-CRE7 N/A 00217VAA8 590483.920000 PA USD 590652.180000 0.719187 Long ABS-MBS CORP US N 2 2039-06-17 Floating 5.97764 N N N N N N N/A N/A 000000000 1.000000 NC -60.520000 -0.0000737 N/A DFE IN N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 8654515.200000 INR 96000.000000 USD 2026-01-30 -60.520000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 3300000.000000 PA 203798.910000 0.248149 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31408DFG4 9035.790000 PA USD 9372.580000 0.0114122 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1370.740000 0.001669 N/A DFE TW N 2 UBS AG BFM8T61CT2L1QCEMIK50 2092700.000000 TWD 68000.000000 USD 2026-01-22 1370.740000 N N N N/A N/A 000000000 1.000000 NC USD 4.350000 0.0000053 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 436.850000 N N N FNMA PASS THRU POOLS N/A 3138EKSM8 98831.620000 PA USD 103179.030000 0.125632 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412PWN7 43828.130000 PA USD 45287.980000 0.0551434 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -1542.680000 -0.0018784 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -285.000000 USD 100000.000000 USD -1257.680000 N N N N/A N/A 000000000 70000.000000 NC USD 462.280000 0.0005629 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1423.000000 USD 2026-02-12 XXXX 27.580000 N N N FHLMC PASS THRU POOLS N/A 31297SRD9 1208.120000 PA USD 1241.370000 0.0015115 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 452.400000 PA USD 441.270000 0.0005373 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.55474 N N N N N N N/A N/A 000000000 1.000000 NC -8542.040000 -0.0104009 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5717759.550000 MXN 308248.310000 USD 2026-01-29 -8542.040000 N N N N/A N/A 000000000 5500000.000000 NC USD 8180.430000 0.0099606 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-05-20 XXXX -3369.570000 N N N N/A N/A 000000000 1.000000 NC USD -1889.030000 -0.0023001 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2057-08-25 0.000000 USD -62.280000 USD 100000.000000 USD -1826.750000 N N N UMBS PASS THRU POOLS N/A 01F042624 2540000.000000 PA USD 2477615.190000 3.01678 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 4342.840000 0.0052879 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 4882.260000 N N N N/A N/A 000000000 1.000000 NC 0.090000 0.0000001 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7.780000 USD 247.780000 THB 2026-01-21 0.090000 N N N FNMA PASS THRU POOLS N/A 31416CD29 18427.540000 PA USD 19443.920000 0.0236752 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 6 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 5728.520000 PA USD 2245.830000 0.0027346 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.96621 N N N N N N N/A N/A 000000000 1.000000 NC USD 9235.510000 0.0112453 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -451.990000 USD 2980000.000000 USD 9687.500000 N N N FHLMC PASS THRU POOLS N/A 3128L9KD4 36906.880000 PA USD 37980.760000 0.046246 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1705.550000 0.0020767 N/A DFE KR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 94456.000000 USD 138651216.000000 KRW 2026-01-08 1705.550000 N N N N/A N/A 000000000 1.000000 NC -96.470000 -0.0001175 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-01 45.440000 PLN 0.000000 PLN 300000.000000 PLN -141.910000 N N N GNMA PASS THRU POOLS N/A 36295GBH4 6858.600000 PA USD 7150.900000 0.0087071 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -391.650000 -0.0004769 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 23721.980000 CHF 29582.570000 USD 2026-01-14 -391.650000 N N N FNMA PASS THRU POOLS N/A 31406TQU8 4285.900000 PA USD 4483.260000 0.0054589 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNK5 301.110000 PA USD 301.080000 0.0003666 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1193.640000 -0.0014534 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 158004.270000 ILS 48419.000000 USD 2026-01-15 -1193.640000 N N N FNMA PASS THRU POOLS N/A 3138A37H4 154656.580000 PA USD 156031.010000 0.189986 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -915.560000 -0.0011148 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 132325.000000 USD 20568796.000000 JPY 2026-01-14 -915.560000 N N N FNMA PASS THRU POOLS N/A 31409T6S2 3072.670000 PA USD 3182.990000 0.0038757 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415VK61 1408.520000 PA USD 1477.210000 0.0017987 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 178935.140000 PA USD 179393.710000 0.218433 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 4.81833 N N N N N N N/A N/A 000000000 1.000000 NC -1623.390000 -0.0019767 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 196870.240000 ILS 60193.000000 USD 2026-01-15 -1623.390000 N N N N/A N/A 000000000 1.000000 NC -887.180000 -0.0010802 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 84905.000000 USD 7569535.470000 INR 2026-01-30 -887.180000 N N N GNMA PASS THRU POOLS N/A 36297GKW9 2537.450000 PA USD 2611.680000 0.00318 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -978.140000 -0.001191 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 329309.980000 PEN 96810.320000 USD 2026-02-27 -978.140000 N N N FNMA PASS THRU POOLS N/A 31417UC52 2751.590000 PA USD 2775.620000 0.0033796 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 687.200000 0.0008367 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -273.000000 USD 100000.000000 USD 960.200000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 528524.530000 PA USD 475123.890000 0.578518 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.14621 N N N N N N N/A N/A 000000000 1.000000 NC 263.650000 0.000321 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22727.170000 USD 723651.270000 THB 2026-01-21 263.650000 N N N N/A N/A 000000000 51.000000 NC USD -18394.880000 -0.0223979 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-20 5725945.340000 USD -18394.880000 N N N FHLMC PASS THRU POOLS N/A 3128L1PU8 1432.810000 PA USD 1496.620000 0.0018223 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N N/A N/A 000000000 -4400000.000000 NC USD -6568.540000 -0.007998 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-02-18 XXXX -98.840000 N N N N/A N/A 000000000 1.000000 NC USD 3847.480000 0.0046848 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 4327.480000 N N N FNMA PASS THRU POOLS N/A 31376KHQ2 566.420000 PA USD 591.320000 0.00072 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2642.680000 -0.0032178 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 342832.000000 NZD 194806.740000 USD 2026-01-14 -2642.680000 N N N N/A N/A 000000000 1.000000 NC 2258.690000 0.0027502 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 128177.000000 USD 468315.180000 PLN 2026-01-23 2258.690000 N N N FNMA PASS THRU POOLS N/A 31414CJM1 32737.430000 PA USD 34398.700000 0.0418844 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4WK5 21837.860000 PA USD 22493.620000 0.0273886 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31413FYX4 326.290000 PA USD 339.580000 0.0004135 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 158.150000 0.0001926 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19772.570000 USD 1795645.940000 INR 2026-01-30 158.150000 N N N N/A N/A 000000000 1.000000 NC -150.330000 -0.000183 N/A DFE IN N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 112000.000000 USD 10077028.640000 INR 2026-01-30 -150.330000 N N N GNMA PASS THRU POOLS N/A 36241KZ35 377573.100000 PA USD 388005.020000 0.472441 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -22.850000 -0.0000278 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26943.470000 THB 833.160000 USD 2026-01-21 -22.850000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2PNWZ1 300000.000000 PA 97607.330000 0.118848 Long DBT NUSS PE N 2 2039-08-12 Fixed 7.6 N N N N N N N/A N/A 000000000 1.000000 NC -1099.270000 -0.0013385 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 247818.010000 PLN 67927.000000 USD 2026-01-16 -1099.270000 N N N FNMA PASS THRU POOLS N/A 31409ADU0 1226.680000 PA USD 1283.190000 0.0015624 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 694.200000 PA USD 653.180000 0.0007953 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.30131 N N N N N N N/A N/A 000000000 300000.000000 NC USD 17780.880000 0.0216503 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -8649.120000 N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 38655.690000 PA USD 37100.610000 0.0451743 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.52927 N N N N N N N/A N/A 000000000 1.000000 NC 8.940000 0.0000109 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4037.000000 USD 28223.680000 CNY 2026-01-05 8.940000 N N N N/A N/A 000000000 1.000000 NC 6526.310000 0.0079465 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 218476.690000 USD 9874490.960000 TRY 2026-02-03 6526.310000 N N N N/A N/A 000000000 1.000000 NC -450.010000 -0.0005479 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 116293.000000 USD 18132265.000000 JPY 2026-01-14 -450.010000 N N N MF1 2021-FL7 LTD N/A 55284AAA6 196588.100000 PA USD 196440.760000 0.239189 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 4.92895 N N N N N N N/A N/A 000000000 64800000.000000 NC USD 209835.360000 0.255499 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX -115622.640000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EQ4 200000.000000 PA USD 212700.000000 0.258987 Long DBT NUSS CO N 2 2054-11-07 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC -109.140000 -0.0001329 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN -54.440000 MXN 150000.000000 MXN -54.700000 N N N FNMA PASS THRU POOLS N/A 3138XQQC8 46990.190000 PA USD 47045.560000 0.0572834 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31408CA89 8444.940000 PA USD 8567.230000 0.0104316 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 58.920000 0.0000717 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11718.000000 USD 369813.000000 TWD 2026-01-20 58.920000 N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 377148.900000 PA USD 310571.450000 0.378157 Long ABS-MBS CORP US N 2 2035-10-25 Variable 5.19001 N N N N N N N/A N/A 000000000 1.000000 NC USD 161233.360000 0.19632 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 15000000.000000 USD 161233.360000 N N N N/A N/A 000000000 9.000000 NC USD -6830.680000 -0.0083171 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A FEDERAL FUND 2026-05-29 3621195.920000 USD -6830.680000 N N N FNMA PASS THRU POOLS N/A 31418MG63 194.680000 PA USD 205.870000 0.0002507 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 374.830000 0.0004564 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7000000.000000 JPY 45096.270000 USD 2026-01-14 374.830000 N N N N/A N/A 000000000 1.000000 NC -2852.720000 -0.0034735 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 -2449.440000 N N N FHLMC PASS THRU POOLS N/A 3128M6SU3 11590.470000 PA USD 12121.060000 0.0147588 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2006-WF1 N0RUIPD25XQCBR0TK507 65537BAC4 864165.410000 PA USD 220430.190000 0.268399 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 5.769 N N N N N N FNMA PASS THRU POOLS N/A 31371M5N3 10711.310000 PA USD 11334.490000 0.0138011 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415BDJ5 7804.880000 PA USD 7801.520000 0.0094993 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -833.580000 -0.001015 N/A DFE NZ N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 282159.620000 NZD 161672.410000 USD 2026-01-14 -833.580000 N N N N/A N/A 000000000 1.000000 NC 29.890000 0.0000364 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60000.000000 USD 1887017.000000 TWD 2026-01-30 29.890000 N N N FNMA PASS THRU POOLS N/A 31402RT58 2518.530000 PA USD 2634.520000 0.0032078 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 28.000000 NC USD 8512.210000 0.0103646 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2026-03-20 9649500.000000 USD 8512.210000 N N N FHLMC PASS THRU POOLS N/A 3129296L1 22205.340000 PA USD 22872.840000 0.0278503 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N N/A N/A 000000000 -6510000.000000 NC USD -14503.760000 -0.01766 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2026-01-21 XXXX -2630.560000 N N N STRUCTURED ASSET INVEST LN TR 2006-BNC3 N/A 86361KAA5 847457.730000 PA USD 525685.660000 0.640083 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.02621 N N N N N N N/A N/A 000000000 1.000000 NC 99011.930000 0.120559 N/A DCR N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 95559.250000 EUR 0.000000 EUR 420100.000000 EUR 3452.680000 N N N N/A N/A 000000000 1.000000 NC USD -666.350000 -0.0008114 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -348.000000 USD 100000.000000 USD -318.350000 N N N N/A N/A 000000000 1.000000 NC 2109.670000 0.0025688 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 143055.000000 USD 521198.000000 PLN 2026-01-23 2109.670000 N N N N/A N/A 000000000 1.000000 NC 988.280000 0.0012033 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 51493.030000 USD 75670552.000000 KRW 2026-01-08 988.280000 N N N N/A N/A 000000000 1.000000 NC -3942.570000 -0.0048005 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 -388.300000 EUR 90000.000000 EUR -3554.270000 N N N N/A N/A 000000000 1.000000 NC 1187.160000 0.0014455 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 91126.780000 USD 73058.440000 CHF 2026-01-14 1187.160000 N N N N/A N/A 000000000 1.000000 NC 21.540000 0.0000262 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 69908.290000 CNY 2026-01-05 21.540000 N N N FNMA PASS THRU POOLS N/A 31412BFS6 105273.480000 PA USD 109795.930000 0.133689 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 300000.000000 NC USD 287.460000 0.00035 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.19400 03/06/26-7Y LCH 2033-03-06 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2026-03-04 XXXX -695.040000 N N N N/A N/A 000000000 1.000000 NC -2235.570000 -0.0027221 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 182869.000000 USD 16274060.920000 INR 2026-01-30 -2235.570000 N N N N/A N/A 000000000 1.000000 NC 952.780000 0.0011601 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 37270.000000 USD 691876.550000 MXN 2026-02-27 952.780000 N N N N/A N/A 000000000 1.000000 NC -1552.030000 -0.0018898 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 228732.620000 ILS 70269.000000 USD 2026-01-15 -1552.030000 N N N N/A N/A 000000000 1.000000 NC -2480.820000 -0.0030207 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-13 0.000000 EUR -259.360000 EUR 100000.000000 EUR -2221.460000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 113453.250000 PA USD 114084.280000 0.138911 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N N/A N/A 000000000 1.000000 NC 911.790000 0.0011102 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 39504.470000 USD 731362.000000 MXN 2026-02-24 911.790000 N N N N/A N/A 000000000 1.000000 NC USD -473.890000 -0.000577 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 -41.390000 N N N N/A N/A 000000000 1.000000 NC 46.130000 0.0000562 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 19707.110000 USD 1779656.480000 INR 2026-01-30 46.130000 N N N UMBS PASS THRU POOLS N/A 01F020612 -2200000.000000 PA USD -1778897.490000 -2.16601 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -275.730000 -0.0003357 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 28220169.000000 KRW 19296.370000 USD 2026-01-08 -275.730000 N N N N/A N/A 000000000 -100000.000000 NC USD -136.560000 -0.0001663 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62200 02/02/26-10Y LCH 2036-02-02 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2026-01-29 XXXX 77.190000 N N N N/A N/A 000000000 1.000000 NC 1948.480000 0.0023725 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-09-17 0.000000 GBP -23477.800000 GBP 800000.000000 GBP 25426.280000 N N N FNMA PASS THRU POOLS N/A 31410CB84 56.320000 PA USD 57.240000 0.0000697 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 69707.950000 PA USD 66527.220000 0.0810046 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.59683 N N N N N N CENTEX HOME EQUITY LOAN TRUST 2006-A N/A 15231AAG1 500000.000000 PA USD 482236.350000 0.587179 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.34121 N N N N N N FNMA PASS THRU POOLS N/A 31414FS51 12131.870000 PA USD 12231.610000 0.0148934 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.5 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 21393.440000 PA USD 21366.900000 0.0260167 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N FNMA PASS THRU POOLS N/A 3138A5WG3 19175.710000 PA USD 19189.460000 0.0233654 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 4866.390000 PA USD 5090.110000 0.0061978 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403MUU1 7821.740000 PA USD 7933.550000 0.00966 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1514.900000 0.0018446 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 89009.350000 USD 325000.000000 PLN 2026-01-16 1514.900000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 12180000.000000 PA 719576.160000 0.876167 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 -123.560000 -0.0001504 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 244593.710000 ILS 76685.000000 USD 2026-02-19 -123.560000 N N N N/A N/A 000000000 1.000000 NC 770.230000 0.0009378 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 118693.560000 USD 179000.000000 AUD 2026-01-14 770.230000 N N N WASHINGTON MUTUAL 2005-AR11 N/A 92922F2G2 682133.660000 PA USD 685039.000000 0.834114 Long ABS-MBS CORP US N 2 2045-08-25 Floating 4.48621 N N N N N N N/A N/A 000000000 1.000000 NC -115.280000 -0.0001404 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 31237929.000000 KRW 21549.790000 USD 2026-01-08 -115.280000 N N N N/A N/A 000000000 1.000000 NC -23041.840000 -0.0280561 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1248387.610000 CAD 886999.270000 USD 2026-01-14 -23041.840000 N N N N/A N/A 000000000 1.000000 NC 1320.970000 0.0016084 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 83565.390000 USD 1543085.000000 MXN 2026-04-10 1320.970000 N N N N/A N/A 000000000 1.000000 NC -129.590000 -0.0001578 N/A DFE MX N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1277000.000000 MXN 70283.600000 USD 2026-03-18 -129.590000 N N N N/A N/A 000000000 800000.000000 NC USD 36483.440000 0.0444228 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/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -33956.560000 N N N N/A N/A 000000000 1.000000 NC USD -4683.310000 -0.0057025 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-09-17 0.000000 USD -5550.950000 USD 530000.000000 USD 867.640000 N N N FNMA PASS THRU POOLS N/A 31418YC20 2259.290000 PA USD 2221.300000 0.0027047 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.5 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 790886.370000 PA USD 7764131.530000 9.45373 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36297BXM8 118846.170000 PA USD 122287.040000 0.148899 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N N/A N/A 000000000 -900000.000000 NC USD -7735.410000 -0.0094188 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-04-15 XXXX -835.410000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 100000.000000 PA USD 101012.700000 0.122995 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 223.050000 0.0002716 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 69000.000000 NZD 39962.660000 USD 2026-01-14 223.050000 N N N N/A N/A 000000000 800000.000000 NC USD 1501.680000 0.0018285 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2026-04-15 XXXX -4898.320000 N N N FNMA PASS THRU POOLS N/A 31403CQ79 33683.260000 PA USD 34176.810000 0.0416142 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 8.000000 NC USD -10448.540000 -0.0127223 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-20 921625.000000 USD -10448.540000 N N N N/A N/A 000000000 1.000000 NC -13382.330000 -0.0162945 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1173123.890000 PEN 335025.100000 USD 2026-02-23 -13382.330000 N N N FNMA PASS THRU POOLS N/A 31418RB75 13674.800000 PA USD 13796.330000 0.0167986 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LKA9 3172.340000 PA USD 3192.140000 0.0038868 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 806.000000 PA USD 829.570000 0.0010101 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 306468.020000 PA USD 302516.610000 0.368349 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -423.550000 -0.0005157 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06600 02/09/26-10Y LCH 2036-02-09 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2026-02-05 XXXX 396.450000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 833867.850000 PA USD 781647.460000 0.951746 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.22621 N N N N N N GNMA PASS THRU POOLS N/A 21H050615 2970000.000000 PA USD 2963676.280000 3.60862 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -4920.060000 -0.0059907 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2055-09-17 20320.340000 GBP 0.000000 GBP 430000.000000 GBP -25240.400000 N N N FNMA PASS THRU POOLS N/A 31416VGE8 25974.240000 PA USD 27171.060000 0.0330839 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407NQC0 800.850000 PA USD 808.190000 0.0009841 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31403C5S6 1726.330000 PA USD 1826.660000 0.0022242 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 87075.490000 PA USD 83727.170000 0.101948 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.79571 N N N N N N N/A N/A 000000000 1.000000 NC -1.130000 -0.0000014 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5000.000000 USD 450488.830000 INR 2026-02-02 -1.130000 N N N N/A N/A 000000000 1.000000 NC 295.450000 0.0003597 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 23181.000000 USD 426715.850000 MXN 2026-04-09 295.450000 N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 22406.020000 PA USD 9799.700000 0.0119323 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A 31416YE87 146349.730000 PA USD 151938.920000 0.185003 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 4665.960000 PA USD 4576.320000 0.0055722 Long ABS-MBS CORP US N 2 2030-12-15 Floating 4.3046 N N N N N N N/A N/A 000000000 1.000000 NC -266.990000 -0.0003251 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 130139.240000 ILS 40600.000000 USD 2026-02-19 -266.990000 N N N N/A N/A 000000000 1.000000 NC 132.920000 0.0001618 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 80000.000000 USD 2516294.000000 TWD 2026-01-20 132.920000 N N N N/A N/A 000000000 1.000000 NC 65.990000 0.0000804 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3687925.400000 INR 41000.000000 USD 2026-01-30 65.990000 N N N GNMA PASS THRU POOLS N/A 36296JJY2 6092.770000 PA USD 6243.500000 0.0076022 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 213461.080000 PA USD 214008.390000 0.26058 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 4.70867 N N N N N N N/A N/A 000000000 1.000000 NC -1001.560000 -0.0012195 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 289768.460000 ILS 89993.000000 USD 2026-02-19 -1001.560000 N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 920.330000 PA USD 892.830000 0.0010871 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.22927 N N N N N N FNMA PASS THRU POOLS N/A 31371MRS8 533.500000 PA USD 564.520000 0.0006874 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 47908.990000 0.0583348 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2039-06-20 28370.000000 USD 0.000000 USD 1700000.000000 USD 19538.990000 N N N N/A N/A 000000000 -280000.000000 NC USD -2182.040000 -0.0026569 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-06 N/A 5.680000 USD 2026-02-04 XXXX 1244.880000 N N N N/A N/A 000000000 1.000000 NC 592.640000 0.0007216 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 42213.000000 USD 709680.730000 ZAR 2026-01-22 592.640000 N N N N/A N/A 000000000 1.000000 NC -601.540000 -0.0007324 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 806337.870000 PEN 239049.500000 USD 2026-02-02 -601.540000 N N N N/A N/A 000000000 1.000000 NC 898.230000 0.0010937 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 296464.190000 BRL 55000.000000 USD 2026-01-05 898.230000 N N N N/A N/A 000000000 1.000000 NC -2384.760000 -0.0029037 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1191279.520000 USD 6600760.690000 BRL 2026-03-03 -2384.760000 N N N N/A N/A 000000000 -100000.000000 NC USD -49.010000 -0.0000597 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.91900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2026-01-12 XXXX 187.240000 N N N FNMA PASS THRU POOLS N/A 31410FVW2 402170.150000 PA USD 420710.690000 0.512264 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 8338.000000 0.0101525 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 11700000.000000 MXN 8338.000000 N N N FHLMC PASS THRU POOLS N/A 3128M7EX0 20428.910000 PA USD 21042.450000 0.0256216 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31410WML9 23676.030000 PA USD 24979.920000 0.0304159 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140Q0BN1 3000000.000000 PA USD 3057470.100000 3.72282 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.56 N N N N N N N/A N/A 000000000 1.000000 NC 3197.790000 0.0038937 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 223208.550000 USD 10161569.240000 TRY 2026-03-05 3197.790000 N N N FNMA PASS THRU POOLS N/A 3138EPVS0 150425.970000 PA USD 145449.970000 0.177102 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 67.280000 0.0000819 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 60197.450000 USD 420000.000000 CNY 2026-01-21 67.280000 N N N N/A N/A 000000000 -7.000000 NC USD -9737.300000 -0.0118563 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A S&P 500 TOTAL RETURN INDEX 2026-01-16 -2346001.000000 USD -9737.300000 N N N N/A N/A 000000000 1.000000 NC 2212.310000 0.0026937 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 2490.790000 N N N FNMA PASS THRU POOLS N/A 31416VKF0 55578.530000 PA USD 58809.880000 0.0716078 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -8904.060000 -0.0108417 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 805720.980000 PEN 230429.840000 USD 2026-02-18 -8904.060000 N N N FNMA PASS THRU POOLS N/A 31415TF54 10492.490000 PA USD 10938.050000 0.0133183 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -334.230000 -0.000407 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 700000.000000 BRL -334.230000 N N N N/A N/A 000000000 1.000000 NC 482.520000 0.0005875 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 179935.000000 USD 16254608.160000 INR 2026-01-30 482.520000 N N N N/A N/A 000000000 1.000000 NC 164.550000 0.0002004 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 68000.000000 GBP 91824.380000 USD 2026-01-14 164.550000 N N N NELNET STUDENT LOAN TRUST 2021-CA N/A 64035GAA7 593361.920000 PA USD 592210.800000 0.721085 Long ABS-O CORP US N 2 2062-04-20 Floating 4.58838 N N N N N N FNMA PASS THRU POOLS N/A 31402DP79 117.520000 PA USD 121.100000 0.0001475 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 33819.280000 PA USD 18650.910000 0.0227096 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.32053 N N N N N N N/A N/A 000000000 1.000000 NC -3985.410000 -0.0048527 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 -3514.520000 N N N FNMA PASS THRU POOLS N/A 31418PS22 11337.180000 PA USD 11436.190000 0.0139249 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 2441.580000 0.0029729 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 96135.000000 USD 353909.470000 PLN 2026-01-16 2441.580000 N N N N/A N/A 000000000 1.000000 NC USD 1239.890000 0.0015097 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 100000.000000 USD 1239.890000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 452873.070000 PA USD 447598.140000 0.545003 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.22621 N N N N N N N/A N/A 000000000 1.000000 NC -14735.820000 -0.0179426 N/A DFE ZA N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6874766.920000 ZAR 399805.000000 USD 2026-01-26 -14735.820000 N N N N/A N/A 000000000 1.000000 NC 1738.530000 0.0021169 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5073231.000000 TWD 162995.380000 USD 2026-03-18 1738.530000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPK908 1078000.000000 PA USD 318010.000000 0.387214 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1271.320000 -0.001548 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 226257.000000 USD 35215770.000000 JPY 2026-01-14 -1271.320000 N N N N/A N/A 000000000 1.000000 NC 2847.960000 0.0034677 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2662939.000000 TWD 87633.000000 USD 2026-01-22 2847.960000 N N N FNMA PASS THRU POOLS N/A 31416BN61 130.790000 PA USD 134.810000 0.0001641 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -950000.000000 NC USD -35912.850000 -0.0437281 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 17.000000 USD 2026-08-19 XXXX -15795.650000 N N N GNMA PASS THRU POOLS N/A 36291TUF3 27760.180000 PA USD 28496.770000 0.0346981 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N N/A N/A 000000000 1300000.000000 NC USD 4267.510000 0.0051962 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.260000 USD 2026-04-28 XXXX -8113.440000 N N N FNMA PASS THRU POOLS N/A 31410G2H5 13562.580000 PA USD 14150.900000 0.0172304 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MZM2 580.050000 PA USD 595.170000 0.0007247 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36296UE30 3727.350000 PA USD 3791.600000 0.0046167 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31419DG54 4311.790000 PA USD 4431.460000 0.0053958 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411DAE9 1913.180000 PA USD 2000.040000 0.0024353 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31292JH78 1283.660000 PA USD 1333.460000 0.0016236 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411W4N4 249.760000 PA USD 264.300000 0.0003218 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -758.660000 -0.0009238 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 56000.000000 CAD 40063.840000 USD 2026-01-14 -758.660000 N N N N/A N/A 000000000 1.000000 NC 1268.460000 0.0015445 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 110364.790000 USD 778000.000000 CNY 2026-01-21 1268.460000 N N N FNMA PASS THRU POOLS N/A 31371NLH6 1868.070000 PA USD 1917.000000 0.0023342 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2N4 61486.900000 PA USD 64158.650000 0.0781206 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 6 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 186234.450000 PA USD 164183.320000 0.199912 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.41265 N N N N N N FNMA PASS THRU POOLS N/A 3138AKTT6 614.370000 PA USD 612.700000 0.000746 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418MGG1 236.720000 PA USD 247.620000 0.0003015 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 145.000000 NC USD -45560.090000 -0.0554747 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-31 15835019.500000 USD -45560.090000 N N N N/A N/A 000000000 1.000000 NC -46673.350000 -0.0568302 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3673225.150000 PEN 1043233.500000 USD 2026-03-18 -46673.350000 N N N FNMA PASS THRU POOLS N/A 31412RBR7 3165.050000 PA USD 3299.560000 0.0040176 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JCM50 600000.000000 PA USD 604754.520000 0.736359 Long ABS-MBS USGSE US N 2 2029-10-01 Variable 4.20158 N N N N N N N/A N/A 000000000 1.000000 NC 2777.540000 0.003382 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2120403.000000 TWD 70288.830000 USD 2026-01-22 2777.540000 N N N N/A N/A 000000000 1.000000 NC -762.580000 -0.0009285 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 -359.550000 EUR 100000.000000 EUR -403.030000 N N N N/A N/A 000000000 1.000000 NC 43.820000 0.0000534 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2764.000000 USD 50875.840000 MXN 2026-03-09 43.820000 N N N N/A N/A 000000000 1.000000 NC 1726.760000 0.0021025 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1533101.000000 TWD 50539.000000 USD 2026-01-22 1726.760000 N N N GNMA PASS THRU POOLS N/A 36291CE76 2797.220000 PA USD 2860.260000 0.0034827 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31414QVY0 433.810000 PA USD 446.250000 0.0005434 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1102.910000 0.0013429 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1207174.000000 TWD 39538.000000 USD 2026-01-22 1102.910000 N N N N/A N/A 000000000 -6200000.000000 NC USD -11554.320000 -0.0140687 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-05-20 XXXX -84.320000 N N N FREDDIE MAC REMICS 5580 N/A 3137HMXM7 1932330.140000 PA USD 1950555.880000 2.37503 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.82419 N N N N N N N/A N/A 000000000 200000.000000 NC USD 1157.000000 0.0014088 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1419.000000 USD 2026-02-12 XXXX -88.000000 N N N FHLMC PASS THRU POOLS N/A 3128MJCJ7 14401.070000 PA USD 14806.350000 0.0180284 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138AAS93 5348.620000 PA USD 5387.380000 0.0065598 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 3470000.000000 PA USD 3289677.740000 4.00556 Long ABS-MBS USGSE US N 2 2056-02-12 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128JREM4 764.170000 PA USD 786.690000 0.0009579 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.647 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -295.760000 -0.0003601 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.88200 02/02/26-10Y LCH 2036-02-02 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2026-01-29 XXXX -82.010000 N N N GNMA PASS THRU POOLS N/A 21H032621 3400000.000000 PA USD 3094263.500000 3.76762 Long ABS-MBS USGSE US N 2 2056-02-19 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -1113.980000 -0.0013564 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 219037.940000 PLN 59896.000000 USD 2026-01-16 -1113.980000 N N N FHLMC PASS THRU POOLS N/A 3128K8Q25 1041.350000 PA USD 1071.430000 0.0013046 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -9394.900000 -0.0114394 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 12886.310000 AUD 0.000000 AUD 700000.000000 AUD -22281.210000 N N N N/A N/A 000000000 -2489991.020000 PA USD -2496016.800000 -3.03919 Short RA US N 2 Reverse repurchase N 3.960000 2026-01-07 2506169.820000 USD 2578166.110000 USD AMBS N N N N/A N/A 000000000 1.000000 NC -7628.830000 -0.009289 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 304722.610000 PEN 82915.460000 USD 2026-02-09 -7628.830000 N N N N/A N/A 000000000 1.000000 NC -18.000000 -0.0000219 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3878.000000 USD 121376.000000 TWD 2026-02-02 -18.000000 N N N GNMA PASS THRU POOLS N/A 36296P6L0 13449.590000 PA USD 13842.910000 0.0168553 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -11733.820000 -0.0142873 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5112047.970000 ZAR 296517.000000 USD 2026-01-26 -11733.820000 N N N N/A N/A 000000000 1.000000 NC -324.380000 -0.000395 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 170000.000000 PLN 47026.760000 USD 2026-01-16 -324.380000 N N N N/A N/A 000000000 1.000000 NC 700.560000 0.000853 N/A DFE TW N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 3087401.000000 TWD 99000.000000 USD 2026-01-22 700.560000 N N N N/A N/A 000000000 -1000000.000000 NC USD -3288.120000 -0.0040037 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.570000 USD 2026-01-21 XXXX -988.120000 N N N N/A N/A 000000000 1.000000 NC -340.560000 -0.0004147 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-04 0.000000 EUR -136.150000 EUR 100000.000000 EUR -204.410000 N N N N/A N/A 000000000 1.000000 NC -11.770000 -0.0000143 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2585.000000 USD 80914.000000 TWD 2026-02-02 -11.770000 N N N N/A N/A 000000000 1.000000 NC 501.120000 0.0006102 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 60050.590000 USD 422000.000000 CNY 2026-01-21 501.120000 N N N N/A N/A 000000000 1.000000 NC 2610.550000 0.0031786 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2657267.000000 TWD 87215.000000 USD 2026-01-22 2610.550000 N N N N/A N/A 000000000 -100000.000000 NC USD -80.110000 -0.0000975 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.92750 01/20/26-10Y LCH 2036-01-20 0.000000 USD 0.000000 USD N/A USD N/A 3.930000 USD 2026-01-15 XXXX 190.140000 N N N N/A N/A 000000000 1.000000 NC USD -369.730000 -0.0004502 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-07 0.000000 USD -487.500000 USD 100000.000000 USD 117.770000 N N N UMBS PASS THRU POOLS N/A 01F022618 -2980000.000000 PA USD -2519729.700000 -3.06806 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPD9 83577.270000 PA USD 87430.790000 0.106457 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 207951.920000 PA USD 220060.740000 0.26795 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31390WZK1 580.690000 PA USD 607.040000 0.0007391 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -499.910000 -0.0006087 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 162000.000000 ILS 50367.380000 USD 2026-01-15 -499.910000 N N N GNMA PASS THRU POOLS N/A 36176R7B2 12794.710000 PA USD 13021.770000 0.0158555 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -11.160000 -0.0000136 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 1801357.640000 INR 2026-02-02 -11.160000 N N N N/A N/A 000000000 1.000000 NC 893.710000 0.0010882 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 39544.600000 USD 731761.000000 MXN 2026-02-24 893.710000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 1700000.000000 PA 577158.370000 0.702757 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 16232.550000 PA USD 16980.340000 0.0206755 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FD64 4755.630000 PA USD 4959.880000 0.0060392 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2032.890000 0.0024753 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2026-01-07 0.000000 USD 0.000000 USD 593234.540000 USD 2032.890000 N N N FNMA PASS THRU POOLS N/A 31412MTG3 108750.080000 PA USD 113569.890000 0.138285 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2736.810000 -0.0033324 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 -40.510000 BRL 2900000.000000 BRL -2696.300000 N N N GNMA PASS THRU POOLS N/A 36176DEZ2 19019.600000 PA USD 19432.690000 0.0236616 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 5 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 23502.600000 PA USD 11267.430000 0.0137194 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N N/A N/A 000000000 1.000000 NC -3628.020000 -0.0044175 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 219788.940000 PEN 61702.070000 USD 2026-01-30 -3628.020000 N N N GNMA PASS THRU POOLS N/A 36176ARN1 60027.170000 PA USD 60416.800000 0.0735645 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31403YNJ8 9540.970000 PA USD 9680.130000 0.0117867 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 6490000.000000 PA USD 6466423.000000 7.87362 Long ABS-MBS USGSE US N 2 2056-02-12 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138A8BH8 2008.750000 PA USD 2020.890000 0.0024607 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1517.320000 0.0018475 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1297020.000000 TWD 42813.000000 USD 2026-01-22 1517.320000 N N N N/A N/A 000000000 1400000.000000 NC USD 5988.920000 0.0072922 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-03 XXXX -12242.190000 N N N N/A N/A 000000000 400000.000000 NC USD 21657.880000 0.026371 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -12802.120000 N N N FNMA PASS THRU POOLS N/A 31400RKV2 49816.150000 PA USD 50542.560000 0.0615414 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AFVY3 116599.200000 PA USD 117240.590000 0.142754 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 534.550000 0.0006509 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 31000.000000 USD 45468320.000000 KRW 2026-01-08 534.550000 N N N ISHARES CORE S&P 500 ETF 5493007M4YMN8XL48C14 464287200 16146.000000 NS USD 11059041.240000 13.4657 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -108.650000 -0.0001323 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7037152.200000 INR 78000.000000 USD 2026-01-30 -108.650000 N N N FHLMC PASS THRU POOLS N/A 3128L7L96 56630.650000 PA USD 58279.960000 0.0709626 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -4604.500000 -0.0056065 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 34401.940000 USD 0.000000 USD 2800000.000000 USD -39006.440000 N N N N/A N/A 000000000 300000.000000 NC USD 13174.950000 0.016042 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -13225.050000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 12102.590000 PA USD 11982.660000 0.0145903 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.33867 N N N N N N FNMA PASS THRU POOLS N/A 3138LT4L9 3638.130000 PA USD 3615.560000 0.0044024 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -545.350000 -0.000664 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 49735.000000 USD 4431711.780000 INR 2026-01-30 -545.350000 N N N ARGENT SECURITIES INC. 2006-W3 N/A 040104SR3 889699.170000 PA USD 273364.250000 0.332853 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.20621 N N N N N N FNMA PASS THRU POOLS N/A 31410KHH0 1939.600000 PA USD 2029.050000 0.0024706 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409XPU7 6701.760000 PA USD 6989.660000 0.0085107 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 3077.730000 0.0037475 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2026-03-11 0.000000 USD 0.000000 USD 912668.520000 USD 3077.730000 N N N N/A N/A 000000000 1.000000 NC -26.060000 -0.0000317 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 901447.450000 INR 10000.000000 USD 2026-01-08 -26.060000 N N N FNMA PASS THRU POOLS N/A 3138EG4G6 2394.870000 PA USD 2410.260000 0.0029348 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -5709.250000 -0.0069517 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-10-29 0.000000 USD 0.000000 USD 1000000.000000 USD -5709.250000 N N N FNMA PASS THRU POOLS N/A 3138EDMB4 4690.830000 PA USD 4713.740000 0.0057395 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N LONG BEACH MORTGAGE LOAN TR 2002-5 N/A 542514DB7 470615.310000 PA USD 501863.600000 0.611077 Long ABS-MBS CORP US N 2 2032-11-25 Floating 5.09121 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -1140.900000 -0.0013892 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 102.140000 USD 2026-03-05 XXXX 2667.690000 N N N N/A N/A 000000000 1.000000 NC -4.140000 -0.000005 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 905.000000 USD 28327.000000 TWD 2026-02-02 -4.140000 N N N FHLMC PASS THRU POOLS N/A 3128KKPP8 6663.460000 PA USD 6661.940000 0.0081117 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1146.200000 0.0013956 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -317.500000 USD 100000.000000 USD 1463.700000 N N N N/A N/A 000000000 2800000.000000 NC USD 63.840000 0.0000777 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% FEB 30YR N/A 98.920000 USD 2026-02-05 XXXX -1795.540000 N N N N/A N/A 000000000 33.000000 NC -68598.400000 -0.0835265 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-03-06 4947368.670000 EUR -68598.400000 N N N N/A N/A 000000000 1.000000 NC -104.900000 -0.0001277 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 46000.000000 USD 1441479.000000 TWD 2026-01-22 -104.900000 N N N N/A N/A 000000000 -200000.000000 NC USD -324.400000 -0.000395 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1383.000000 USD 2026-02-12 XXXX 95.600000 N N N FNMA PASS THRU POOLS N/A 31411DY78 110.980000 PA USD 113.920000 0.0001387 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SH1 774000.000000 PA USD 772105.650000 0.940128 Long DBT UST US N 2 2026-01-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TH0 2100000.000000 PA USD 2079079.490000 2.53152 Long DBT UST US N 2 2026-04-14 None 0 N N N N N N ARGENT SECURITIES INC 2005-W3 N/A 040104PC9 290114.940000 PA USD 284929.400000 0.346935 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.50621 N N N N N N N/A N/A 000000000 1.000000 NC -2209.960000 -0.0026909 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1015000.000000 MXN 53981.610000 USD 2026-02-06 -2209.960000 N N N N/A N/A 000000000 1.000000 NC -985.530000 -0.0012 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 219955.390000 PLN 60280.000000 USD 2026-01-16 -985.530000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 573879.450000 PA USD 325106.090000 0.395854 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.16621 N N N N N N N/A N/A 000000000 1.000000 NC -15741.200000 -0.0191667 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -20334.040000 AUD 3300000.000000 AUD 4592.840000 N N N N/A N/A 000000000 1.000000 NC 483.630000 0.0005889 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10800000.000000 JPY 69482.420000 USD 2026-01-14 483.630000 N N N N/A N/A 000000000 1.000000 NC -2804.320000 -0.0034146 N/A DFE TW N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 148000.000000 USD 4560324.000000 TWD 2026-01-22 -2804.320000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SS7 429000.000000 PA USD 426774.800000 0.519648 Long DBT UST US N 2 2026-02-24 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1233.100000 -0.0015014 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 668559.410000 PEN 197139.570000 USD 2026-03-18 -1233.100000 N N N N/A N/A 000000000 1200000.000000 NC USD 8561.880000 0.0104251 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2026-08-03 XXXX -9100.620000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2JBZ32 19100000.000000 PA 1071000.080000 1.30407 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 31406XXM9 10973.180000 PA USD 11156.910000 0.0135848 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31297VLN6 1555.120000 PA USD 1599.420000 0.0019475 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB N/A 78449DAC0 491263.050000 PA USD 489375.470000 0.595871 Long ABS-O CORP US N 2 2054-09-15 Floating 4.69621 N N N N N N N/A N/A 000000000 1.000000 NC USD 344.140000 0.000419 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 606.640000 N N N FNMA PASS THRU POOLS N/A 31416BS82 5685.290000 PA USD 5737.500000 0.0069861 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -11795.780000 -0.0143627 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-17 0.000000 USD -34423.460000 USD 1300000.000000 USD 22627.680000 N N N GNMA PASS THRU POOLS N/A 21H040624 3310000.000000 PA USD 3126139.860000 3.80644 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 214.390000 0.000261 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 199654.830000 USD 170000.000000 EUR 2026-01-14 214.390000 N N N N/A N/A 000000000 1.000000 NC -6725.310000 -0.0081888 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 428051.240000 PEN 120370.980000 USD 2026-03-02 -6725.310000 N N N FHLMC PASS THRU POOLS N/A 3128M4AK9 4528.440000 PA USD 4650.240000 0.0056622 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1438.880000 0.001752 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 56333.560000 USD 207414.530000 PLN 2026-01-16 1438.880000 N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7G5 1100000.000000 PA USD 1026595.790000 1.25 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.73121 N N N N N N N/A N/A 000000000 1.000000 NC 32996.140000 0.0401766 N/A DCR N/A N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 32552.120000 EUR 0.000000 EUR 140000.000000 EUR 444.020000 N N N FNMA PASS THRU POOLS N/A 31371NDU6 1173.220000 PA USD 1203.900000 0.0014659 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409AF53 299.370000 PA USD 316.770000 0.0003857 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 3390.620000 PA USD 3524.930000 0.004292 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.505 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7C95 8267.590000 PA USD 8641.020000 0.0105214 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -8034.750000 -0.0097832 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 462260.000000 AUD 300475.470000 USD 2026-01-14 -8034.750000 N N N N/A N/A 000000000 11900000.000000 NC USD 5263.370000 0.0064088 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09300 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2027-01-04 XXXX -3185.630000 N N N FHLMC PASS THRU POOLS N/A 31427CWQ2 98886.760000 PA USD 101958.820000 0.124147 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -1174.050000 -0.0014295 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 541000.000000 ZAR 31447.650000 USD 2026-01-26 -1174.050000 N N N N/A N/A 000000000 -100000.000000 NC USD -847.180000 -0.0010315 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -180.510000 N N N UMBS PASS THRU POOLS N/A 01F052623 4500000.000000 PA USD 4559054.490000 5.55118 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 5.5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 1044419.780000 PA USD 981429.470000 1.195 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.80621 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -19.850000 -0.0000242 N/A DIR LU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.92500 01/12/26-10Y LCH 2036-01-12 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2026-01-08 XXXX 235.150000 N N N EQUIFIRST LOAN SECURITIZATION TRUST 2007-1 N/A 29445UAN5 559261.720000 PA USD 525885.200000 0.640326 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.18621 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 43029.790000 PA USD 45534.790000 0.0554439 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 970946.090000 PA USD 900911.850000 1.09696 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.21621 N N N N N N N/A N/A 000000000 1.000000 NC USD 76792.870000 0.0935042 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2026-02-04 0.000000 USD 0.000000 USD 22923190.990000 USD 76792.870000 N N N N/A N/A 000000000 1.000000 NC USD 597.200000 0.0007272 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -306.000000 USD 90000.000000 USD 903.200000 N N N N/A N/A 000000000 1.000000 NC 2637.780000 0.0032118 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 92398.000000 USD 341215.650000 PLN 2026-01-23 2637.780000 N N N N/A N/A 000000000 1.000000 NC USD -1153.580000 -0.0014046 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -297.500000 USD 100000.000000 USD -856.080000 N N N N/A N/A 000000000 1.000000 NC -449.610000 -0.0005475 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 24956.510000 CHF 31084.510000 USD 2026-01-14 -449.610000 N N N N/A N/A 000000000 1.000000 NC 1018.030000 0.0012396 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 152833.190000 USD 518792.260000 PEN 2026-03-30 1018.030000 N N N N/A N/A 000000000 1.000000 NC 0.070000 0.0000001 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3.760000 USD 69.430000 MXN 2026-03-18 0.070000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11 N/A 07387AFG5 1860.220000 PA USD 1912.770000 0.002329 Long ABS-MBS CORP US N 2 2035-12-25 Floating 7.13504 N N N N N N FNMA PASS THRU POOLS N/A 31410F3J2 13637.950000 PA USD 14015.050000 0.0170649 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 513.990000 0.0006258 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8900000.000000 JPY 57374.100000 USD 2026-01-14 513.990000 N N N FNMA PASS THRU POOLS N/A 31417S3V0 14387.660000 PA USD 14923.220000 0.0181708 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -1032.800000 -0.0012576 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 734732.130000 CNY 104392.050000 USD 2026-01-21 -1032.800000 N N N GNMA PASS THRU POOLS N/A 36200JJZ4 18290.510000 PA USD 18786.330000 0.0228745 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N N/A N/A 000000000 400000.000000 NC USD 223.600000 0.0002723 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX -304.400000 N N N FNMA PASS THRU POOLS N/A 31400BNW2 351.050000 PA USD 356.040000 0.0004335 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2290.570000 -0.002789 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1464961.240000 CNY 207913.000000 USD 2026-01-21 -2290.570000 N N N GNMA PASS THRU POOLS N/A 3620AVQ47 17405.450000 PA USD 17810.000000 0.0216857 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 5 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4 N/A 52608GAA9 37741.440000 PA USD 37565.520000 0.0457404 Long ABS-O CORP US N 2 2029-07-15 Fixed 5.7 N N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669AK9 6766.930000 PA USD 4225.330000 0.0051448 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407ADE8 571.880000 PA USD 588.460000 0.0007165 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -3.840000 -0.0000047 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 730.110000 USD 113679.000000 JPY 2026-01-14 -3.840000 N N N N/A N/A 000000000 1.000000 NC USD 28895.690000 0.0351839 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2055-12-17 8774.290000 USD 0.000000 USD 400000.000000 USD 20121.400000 N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 271100.070000 PA USD 193818.140000 0.235996 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.26314 N N N N N N N/A N/A 000000000 1.000000 NC USD 320322.330000 0.39003 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 251092.010000 USD 0.000000 USD 2700000.000000 USD 69230.320000 N N N N/A N/A 000000000 -2400000.000000 NC USD -787.200000 -0.0009585 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 318.200000 N N N N/A N/A 000000000 -100000.000000 NC USD -0.020000 0 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.58000 01/07/26-10Y LCH 2036-01-07 0.000000 USD 0.000000 USD N/A USD N/A 3.580000 USD 2026-01-05 XXXX 231.230000 N N N N/A N/A 000000000 1.000000 NC 2336.710000 0.0028452 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2451005.000000 TWD 80374.000000 USD 2026-01-22 2336.710000 N N N N/A N/A 000000000 1.000000 NC 1946.980000 0.0023707 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 2329.110000 N N N FNMA PASS THRU POOLS N/A 31401XVM6 1144.770000 PA USD 1161.220000 0.0014139 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -615.690000 -0.0007497 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 42000.000000 EUR 48763.760000 USD 2026-01-14 -615.690000 N N N FHLMC PASS THRU POOLS N/A 3128M7E44 26525.870000 PA USD 27323.010000 0.0332689 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 21H060614 1400000.000000 PA USD 1426851.570000 1.73736 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 6 N N N N N N N/A N/A 000000000 1700000.000000 NC USD 950.300000 0.0011571 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX -1581.600000 N N N N/A N/A 000000000 1.000000 NC USD 864.920000 0.0010531 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -268.250000 USD 100000.000000 USD 1133.170000 N N N N/A N/A 000000000 1.000000 NC USD 511.940000 0.0006233 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -445.000000 USD 100000.000000 USD 956.940000 N N N N/A N/A 000000000 1.000000 NC -2134.120000 -0.0025985 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 410000.000000 PLN 112065.700000 USD 2026-01-16 -2134.120000 N N N FNMA PASS THRU POOLS N/A 31412DLW6 133059.820000 PA USD 140798.530000 0.171438 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -13439674.360000 -16.3644 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2026-05-15 0.000000 USD 0.000000 USD 49111560.960000 USD -13439674.360000 N N N N/A N/A 000000000 1.000000 NC -2388.680000 -0.0029085 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1530270.840000 CNY 217186.000000 USD 2026-01-21 -2388.680000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 25747.740000 PA USD 25515.840000 0.0310685 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.36867 N N N N N N N/A N/A 000000000 1.000000 NC -14740.460000 -0.0179482 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1900890.530000 SGD 1465014.900000 USD 2026-01-14 -14740.460000 N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 92873.210000 PA USD 96816.610000 0.117886 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -883.260000 -0.0010755 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -337.500000 USD 100000.000000 USD -545.760000 N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 821399.310000 PA USD 424609.640000 0.517011 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.01621 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-4 N/A 69121PAY9 662510.630000 PA USD 608014.360000 0.740328 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.67121 N N N N N N FNMA PASS THRU POOLS N/A 31407W4J9 777.980000 PA USD 789.110000 0.0009608 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KV7 2402.270000 PA USD 2472.870000 0.003011 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5 N N N N N N N/A N/A 000000000 -1400000.000000 NC USD -8989.820000 -0.0109461 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.61700 03/04/26-7Y LCH 2033-03-04 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2026-03-02 XXXX -1429.820000 N N N N/A N/A 000000000 1.000000 NC USD 49353.800000 0.060094 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2044-06-20 14040.570000 USD 0.000000 USD 900000.000000 USD 35313.230000 N N N N/A N/A 000000000 1.000000 NC USD -875.350000 -0.0010658 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -172.500000 USD 50000.000000 USD -702.850000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 2291.030000 PA USD 1999.360000 0.0024345 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.12496 N N N N N N N/A N/A 000000000 1.000000 NC 1853.130000 0.0022564 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 89905.000000 USD 329429.900000 PLN 2026-01-16 1853.130000 N N N N/A N/A 000000000 1.000000 NC -1996.800000 -0.0024313 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 177347.000000 USD 15798070.760000 INR 2026-01-30 -1996.800000 N N N N/A N/A 000000000 -15.000000 NC USD -3991.700000 -0.0048604 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/26 2026-03-21 N/A USD N/A 111.000000 USD 2026-02-20 XXXX 3959.200000 N N N N/A N/A 000000000 900000.000000 NC USD 501.300000 0.0006104 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX -821.700000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 56251.370000 PA USD 47206.810000 0.0574798 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.40621 N N N N N N FNMA PASS THRU POOLS N/A 3138A5W65 13776.290000 PA USD 13695.510000 0.0166759 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 88.930000 0.0001083 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17080.000000 USD 539130.000000 TWD 2026-01-20 88.930000 N N N GNMA PASS THRU POOLS N/A 36176R7H9 57443.240000 PA USD 57745.660000 0.070312 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -469083.470000 -0.571164 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.45 Y Single Leg Swap 2030-12-20 0.000000 USD -445837.630000 USD 20440000.000000 USD -23245.840000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 157230.120000 PA USD 157487.320000 0.191759 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N N/A N/A 000000000 16.000000 NC 1899.160000 0.0023124 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-03-16 1169027.060000 AUD 1899.160000 N N N N/A N/A 000000000 1.000000 NC 1932.730000 0.0023533 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4667686.000000 TWD 150299.000000 USD 2026-03-18 1932.730000 N N N GNMA PASS THRU POOLS N/A 36296UNU0 96657.240000 PA USD 99484.690000 0.121134 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1612.600000 0.0019635 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 54094.630000 USD 200000.000000 PLN 2026-01-16 1612.600000 N N N FNMA PASS THRU POOLS N/A 31410SS65 4640.030000 PA USD 4813.230000 0.0058607 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-3 N/A 00764MFT9 1300000.000000 PA USD 1151482.540000 1.40206 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.58121 N N N N N N N/A N/A 000000000 1.000000 NC USD 16916.400000 0.0205977 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-09-17 20468.440000 USD 0.000000 USD 4510000.000000 USD -3552.040000 N N N FNMA PASS THRU POOLS N/A 31416CKF2 41750.780000 PA USD 44180.890000 0.0537954 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -190729.260000 -0.232235 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 0.000000 USD -144588.490000 USD 8390000.000000 USD -46140.770000 N N N FNMA PASS THRU POOLS N/A 31403C6S5 8682.850000 PA USD 9180.060000 0.0111778 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7NZ2 10423.190000 PA USD 10585.730000 0.0128894 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 76.650000 0.0000933 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40000.000000 USD 1258467.000000 TWD 2026-01-20 76.650000 N N N N/A N/A 000000000 -100000.000000 NC USD -9.050000 -0.000011 N/A DIR LU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62500 01/12/26-10Y LCH 2036-01-12 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2026-01-08 XXXX 245.950000 N N N FHLMC PASS THRU POOLS N/A 3128CUM29 2602.470000 PA USD 2673.110000 0.0032548 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -419.380000 -0.0005106 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60000.000000 USD 1869342.000000 TWD 2026-01-12 -419.380000 N N N N/A N/A 000000000 2800000.000000 NC USD 62.160000 0.0000757 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% FEB 30YR N/A 98.910000 USD 2026-02-05 XXXX -1797.220000 N N N N/A N/A 000000000 1.000000 NC -1402.260000 -0.0017074 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 121430.000000 USD 10813827.220000 INR 2026-01-30 -1402.260000 N N N N/A N/A 000000000 1.000000 NC -14.240000 -0.0000173 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3828.000000 USD 119922.000000 TWD 2026-02-02 -14.240000 N N N N/A N/A 000000000 1.000000 NC 2556.890000 0.0031133 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 104440.330000 USD 1936000.000000 MXN 2026-02-23 2556.890000 N N N N/A N/A 000000000 1.000000 NC -1834.240000 -0.0022334 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 165437.000000 USD 14739692.230000 INR 2026-01-30 -1834.240000 N N N FNMA PASS THRU POOLS N/A 31400JR50 17914.090000 PA USD 18196.880000 0.0221568 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31297F2U6 12149.370000 PA USD 12157.950000 0.0148037 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5 N N N N N N N/A N/A 000000000 -4.000000 NC 22957.610000 0.0279536 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-03-13 -3381256.380000 JPY 22957.610000 N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 948.280000 PA USD 845.970000 0.0010301 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.22417 N N N N N N N/A N/A 000000000 1.000000 NC USD 3710.890000 0.0045184 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -358.750000 USD 100000.000000 USD 4069.640000 N N N N/A N/A 000000000 1.000000 NC -47.850000 -0.0000583 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 37441.140000 MXN 2016.640000 USD 2026-03-18 -47.850000 N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 996.790000 PA USD 994.490000 0.0012109 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.08665 N N N N N N N/A N/A 000000000 200000.000000 NC USD 424.740000 0.0005172 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.98900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2026-08-06 XXXX -1225.260000 N N N FNMA PASS THRU POOLS N/A 31410KAA2 5079.190000 PA USD 5313.050000 0.0064693 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -65.070000 -0.0000792 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 18027.460000 ILS 5596.000000 USD 2026-02-19 -65.070000 N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 300000.000000 PA USD 301014.900000 0.366521 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 642030.640000 PA USD 325773.470000 0.396667 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.31085 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 49926.880000 PA USD 45359.100000 0.05523 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.18552 N N N N N N N/A N/A 000000000 1.000000 NC 702.180000 0.000855 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 48857.890000 USD 900915.000000 MXN 2026-04-10 702.180000 N N N N/A N/A 000000000 1.000000 NC USD -178821.350000 -0.217736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-17 0.000000 USD -132923.430000 USD 1550000.000000 USD -45897.920000 N N N FNMA PASS THRU POOLS N/A 31374CPF7 4868.340000 PA USD 4894.620000 0.0059598 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QK32 71045.500000 PA USD 73123.460000 0.0890363 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QRU5 1566.910000 PA USD 1612.750000 0.0019637 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TG2 5026000.000000 PA USD 4979463.960000 6.06307 Long DBT UST US N 2 2026-04-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 95008.320000 0.115684 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 75826.990000 USD 0.000000 USD 3900000.000000 USD 19181.330000 N N N N/A N/A 000000000 1.000000 NC 362.170000 0.000441 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 69000.000000 NZD 40101.780000 USD 2026-01-14 362.170000 N N N GNMA PASS THRU POOLS N/A 36296DZF8 8808.790000 PA USD 9040.540000 0.0110079 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31404V6A1 3868.390000 PA USD 3980.290000 0.0048465 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 6.273 N N N N N N N/A N/A 000000000 1.000000 NC USD 303741.930000 0.369841 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 38915.020000 USD 0.000000 USD 2650000.000000 USD 264826.910000 N N N N/A N/A 000000000 -1300000.000000 NC USD -15748.720000 -0.0191759 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2026-04-28 XXXX -3615.390000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 146868.830000 PA USD 137171.080000 0.167022 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.29035 N N N N N N N/A N/A 000000000 1300000.000000 NC USD 2160.340000 0.0026305 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31700 03/04/26-7Y LCH 2033-03-04 0.000000 USD 0.000000 USD N/A USD N/A 3.320000 USD 2026-03-02 XXXX -5537.030000 N N N N/A N/A 000000000 800000.000000 NC USD 47414.080000 0.0577321 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -23025.920000 N N N FNMA PASS THRU POOLS N/A 31403VDD8 688.720000 PA USD 707.720000 0.0008617 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.06 N N N N N N FNMA PASS THRU POOLS N/A 3140JCM76 1100000.000000 PA USD 1123483.020000 1.36797 Long ABS-MBS USGSE US N 2 2031-09-01 Variable 4.70513 N N N N N N BEIGNET INVESTOR LLC N/A 076912AA2 450000.000000 PA USD 475833.890000 0.579383 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N N/A N/A 000000000 1.000000 NC 930.900000 0.0011335 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 36941.000000 USD 685525.220000 MXN 2026-02-27 930.900000 N N N FNMA PASS THRU POOLS N/A 31416BUC0 172.770000 PA USD 182.830000 0.0002226 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128CULV6 1406.130000 PA USD 1444.230000 0.0017585 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N N/A N/A 000000000 400000.000000 NC USD 20771.680000 0.0252919 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -13688.320000 N N N FNMA PASS THRU POOLS N/A 3138EGSP0 9648.350000 PA USD 10051.520000 0.0122389 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5BY5 17511.190000 PA USD 18037.100000 0.0219623 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -23094.080000 -0.0281197 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 7943978.250000 ZAR 455919.000000 USD 2026-01-26 -23094.080000 N N N N/A N/A 000000000 1.000000 NC 81.100000 0.0000987 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60000.000000 USD 419113.740000 CNY 2026-01-05 81.100000 N N N N/A N/A 000000000 1.000000 NC USD 4139.400000 0.0050402 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-17 0.000000 USD -14724.630000 USD 1010000.000000 USD 18864.030000 N N N FNMA PASS THRU POOLS N/A 31419AR66 2555.650000 PA USD 2574.820000 0.0031351 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2521.770000 0.0030705 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -272.500000 USD 100000.000000 USD 2794.270000 N N N GNMA PASS THRU POOLS N/A 36296GTL5 1529.360000 PA USD 1562.030000 0.001902 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1676.150000 0.0020409 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 89203.000000 USD 131034747.000000 KRW 2026-01-08 1676.150000 N N N N/A N/A 000000000 -36.000000 NC 19832.130000 0.0241479 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-03-06 -5101825.200000 EUR 19832.130000 N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 128798.550000 PA USD 51012.260000 0.0621133 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 2200000.000000 PA 653179.610000 0.795322 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N GNMA PASS THRU POOLS N/A 36296QDB2 59483.930000 PA USD 61171.270000 0.0744831 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1051551.100000 PA USD 401259.810000 0.48858 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.32621 N N N N N N N/A N/A 000000000 1.000000 NC -142.990000 -0.0001741 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 63949.920000 ILS 19937.000000 USD 2026-01-15 -142.990000 N N N N/A N/A 000000000 1200000.000000 NC USD 2891.640000 0.0035209 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -6028.550000 N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 4356.370000 PA USD 3733.620000 0.0045461 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.40621 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 9338.230000 PA USD 8688.950000 0.0105798 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.42927 N N N N N N FNMA PASS THRU POOLS N/A 31416VGN8 3157.090000 PA USD 3302.650000 0.0040214 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 184.620000 0.0002248 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-01 0.000000 CZK -55.300000 CZK 1700000.000000 CZK 239.920000 N N N FNMA PASS THRU POOLS N/A 3140LLW72 700000.000000 PA USD 715548.260000 0.871263 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.72 N N N N N N FNMA PASS THRU POOLS N/A 3138EKRF4 20819.010000 PA USD 21902.810000 0.0266692 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -386.730000 -0.0004709 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 711049.260000 ZAR 42501.450000 USD 2026-01-22 -386.730000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 134416.570000 PA USD 113816.240000 0.138585 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.46698 N N N N N N N/A N/A 000000000 3200000.000000 NC USD 229411.840000 0.279336 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -28828.160000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 8300000.000000 PA 523060.390000 0.636887 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6B98 527.450000 PA USD 550.790000 0.0006707 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -99.250000 -0.0001208 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.87750 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2026-01-12 XXXX 120.750000 N N N N/A N/A 000000000 1.000000 NC 388.110000 0.0004726 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 26462.280000 USD 96403.410000 PLN 2026-01-23 388.110000 N N N FNMA PASS THRU POOLS N/A 31407MWT8 1903.390000 PA USD 1952.950000 0.0023779 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.81 N N N N N N FNMA PASS THRU POOLS N/A 3138AE2F9 36671.330000 PA USD 36707.770000 0.044696 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1.420000 0.0000017 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 855.910000 BRL 155.580000 USD 2026-03-03 1.420000 N N N N/A N/A 000000000 2500000.000000 NC USD 131936.750000 0.160648 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/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -69813.250000 N N N N/A N/A 000000000 1.000000 NC 550.820000 0.0006707 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 40165.000000 USD 146177.870000 PLN 2026-01-16 550.820000 N N N N/A N/A 000000000 1.000000 NC -103.390000 -0.0001259 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16000.000000 CHF 20113.620000 USD 2026-01-14 -103.390000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 4.970000 PA USD 4.900000 0.000006 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.37501 N N N N N N N/A N/A 000000000 1.000000 NC -1428.640000 -0.0017395 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 363000.000000 PLN 99679.980000 USD 2026-01-16 -1428.640000 N N N N/A N/A 000000000 1.000000 NC USD -2600.360000 -0.0031662 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -392.500000 USD 200000.000000 USD -2207.860000 N N N UMBS PASS THRU POOLS N/A 01F060618 18570000.000000 PA USD 19069230.680000 23.219 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 383.400000 0.0004668 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 77309.000000 USD 2439658.000000 TWD 2026-01-20 383.400000 N N N FNMA PASS THRU POOLS N/A 31407YNU9 1538.780000 PA USD 1609.630000 0.0019599 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -70000.000000 NC USD -122.150000 -0.0001487 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1385.000000 USD 2026-02-12 XXXX 15.750000 N N N N/A N/A 000000000 1.000000 NC -3.270000 -0.000004 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3247.890000 PEN 960.430000 USD 2026-03-18 -3.270000 N N N FNMA PASS THRU POOLS N/A 3138E0LC1 48054.320000 PA USD 47736.460000 0.0581247 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -17385.540000 -0.0211689 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 969024.210000 EUR 1121897.470000 USD 2026-01-14 -17385.540000 N N N N/A N/A 000000000 1.000000 NC -2332.030000 -0.0028395 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1474010.530000 CNY 209170.000000 USD 2026-01-21 -2332.030000 N N N N/A N/A 000000000 1.000000 NC USD 44702.270000 0.0544302 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-30 0.000000 USD 0.000000 USD 3300000.000000 USD 44702.270000 N N N FHLMC PASS THRU POOLS N/A 3128M4QW6 29704.330000 PA USD 30552.670000 0.0372014 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1844.920000 0.0022464 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -276.250000 USD 100000.000000 USD 2121.170000 N N N N/A N/A 000000000 1100000.000000 NC USD 78860.320000 0.0960216 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -9909.680000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SQ1 285000.000000 PA USD 283909.380000 0.345693 Long DBT UST US N 2 2026-02-10 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31415YMN6 1238.270000 PA USD 1246.990000 0.0015184 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -280000.000000 NC USD -93.800000 -0.0001142 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-06 N/A 5.160000 USD 2026-02-04 XXXX 669.760000 N N N N/A N/A 000000000 1.000000 NC -3779.510000 -0.004602 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 59.850000 BRL 0.000000 BRL 4500000.000000 BRL -3839.360000 N N N N/A N/A 000000000 -800000.000000 NC USD -265.600000 -0.0003234 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 88.300000 N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1000000.000000 PA USD 994080.600000 1.21041 Long ABS-MBS CORP US N 2 2032-04-15 Floating 4.78671 N N N N N N GNMA PASS THRU POOLS N/A 36212NPC5 347.650000 PA USD 356.870000 0.0004345 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QN55 4103.080000 PA USD 4216.050000 0.0051335 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 5 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 9759.810000 PA USD 9722.270000 0.011838 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.53628 N N N N N N N/A N/A 000000000 1.000000 NC 1190.110000 0.0014491 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 2400000.000000 MXN 1190.110000 N N N N/A N/A 000000000 -100000.000000 NC USD -31.350000 -0.0000382 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Written Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.63900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.640000 USD 2026-01-12 XXXX 204.900000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 1077916.290000 PA USD 957216.070000 1.16552 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.06756 N N N N N N N/A N/A 000000000 1.000000 NC 2994.730000 0.0036464 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2858305.000000 TWD 94000.000000 USD 2026-01-22 2994.730000 N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QCL4 100000.000000 PA USD 78562.020000 0.0956584 Long DBT CORP MX N 2 2048-02-12 Fixed 6.35 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 725.040000 PA USD 740.240000 0.0009013 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 6.305 N N N N N N N/A N/A 000000000 1.000000 NC 7095.770000 0.0086399 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 248560.560000 USD 11287756.430000 TRY 2026-02-11 7095.770000 N N N N/A N/A 000000000 1.000000 NC 455.770000 0.000555 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 60239.430000 USD 423000.000000 CNY 2026-01-21 455.770000 N N N N/A N/A 000000000 1.000000 NC -542.660000 -0.0006608 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 111032.000000 USD 17294288.000000 JPY 2026-01-14 -542.660000 N N N N/A N/A 000000000 1.000000 NC USD 3765.670000 0.0045851 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2026-02-04 0.000000 USD 0.000000 USD 1110413.370000 USD 3765.670000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 471.890000 PA USD 479.180000 0.0005835 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.49 N N N N N N FNMA PASS THRU POOLS N/A 31371M7J0 124.880000 PA USD 130.640000 0.0001591 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -22924.080000 -0.0279127 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN -13802.380000 MXN 9200000.000000 MXN -9121.700000 N N N FNMA PASS THRU POOLS N/A 31368HMQ3 14530.950000 PA USD 15200.280000 0.0185081 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -337.820000 -0.0004113 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 400000.000000 BRL -337.820000 N N N N/A N/A 000000000 1.000000 NC -605.360000 -0.0007371 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 -188.000000 EUR 100000.000000 EUR -417.360000 N N N FANNIE MAE-2005-75 N/A 31394FAF2 49471.100000 PA USD 49080.920000 0.0597617 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.38867 N N N N N N N/A N/A 000000000 700000.000000 NC USD 116.410000 0.0001417 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 97.380000 USD 2026-02-05 XXXX -758.590000 N N N FEDERAL HOME LOAN BANK (FHLB) 2549001DPIFGXC1TOL40 313385VR4 1000000.000000 PA USD 989508.060000 1.20484 Long DBT USGSE US N 2 2026-04-17 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36241LJY3 87531.340000 PA USD 91385.140000 0.111272 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31414NEZ3 29622.480000 PA USD 31202.970000 0.0379932 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295L3X7 5425.180000 PA USD 5547.490000 0.0067547 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31407EH89 340.440000 PA USD 356.110000 0.0004336 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -772.230000 -0.0009403 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1287504.040000 TRY 28432.330000 USD 2026-02-09 -772.230000 N N N FNMA PASS THRU POOLS N/A 3138ANJA2 216294.000000 PA USD 216997.160000 0.264219 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -971.480000 -0.0011829 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 149764.000000 USD 826098.220000 BRL 2026-03-03 -971.480000 N N N N/A N/A 000000000 1.000000 NC 849.540000 0.0010344 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 41766.490000 USD 153000.000000 PLN 2026-01-16 849.540000 N N N N/A N/A 000000000 1.000000 NC -14293.120000 -0.0174035 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5563321.530000 ZAR 321169.000000 USD 2026-01-26 -14293.120000 N N N FNMA PASS THRU POOLS N/A 31414G3K3 28528.510000 PA USD 30189.090000 0.0367587 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6QV3 15096.380000 PA USD 15550.060000 0.018934 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31368HML4 9066.930000 PA USD 9484.530000 0.0115485 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -6418.230000 -0.0078149 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2032-09-28 5401.880000 USD 0.000000 USD 1900000.000000 USD -11820.110000 N N N GNMA PASS THRU POOLS N/A 36296B2K7 668.110000 PA USD 681.040000 0.0008292 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 60836.900000 PA USD 60173.440000 0.0732681 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.16621 N N N N N N GNMA PASS THRU POOLS N/A 36295KGC1 286.610000 PA USD 291.750000 0.0003552 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 2000000.000000 PA 120064.010000 0.146192 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC -787.900000 -0.0009594 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3203886.420000 TRY 69918.740000 USD 2026-03-18 -787.900000 N N N N/A N/A 000000000 1.000000 NC -178.990000 -0.0002179 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 84680.370000 USD 466563.430000 BRL 2026-02-03 -178.990000 N N N N/A N/A 000000000 1.000000 NC -13.060000 -0.0000159 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 70121.980000 USD 251716.520000 PLN 2026-01-22 -13.060000 N N N GNMA PASS THRU POOLS N/A 36297KH87 26252.830000 PA USD 27020.570000 0.0329007 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N N/A N/A 000000000 -2200000.000000 NC USD -2738.650000 -0.0033346 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-01-21 XXXX -96.450000 N N N FANNIE MAE 2005-79 N/A 31394FHD0 103921.460000 PA USD 103285.980000 0.125763 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.39867 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -9.050000 -0.000011 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62500 01/12/26-10Y LCH 2036-01-12 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2026-01-08 XXXX 245.950000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 907038.840000 PA USD 212180.330000 0.258354 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.44621 N N N N N N FNMA PASS THRU POOLS N/A 3138Y3XS5 46715.970000 PA USD 45951.160000 0.0559509 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -18.520000 -0.0000226 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 221265504.000000 IDR 13232.000000 USD 2026-01-22 -18.520000 N N N FNMA PASS THRU POOLS N/A 31413HWP9 4051.120000 PA USD 4287.060000 0.00522 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L5HY0 23783.480000 PA USD 24498.220000 0.0298294 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -16861.690000 -0.0205311 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 4048.810000 USD 0.000000 USD 1400000.000000 USD -20910.500000 N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 49373.710000 PA USD 49483.780000 0.0602522 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 4.80833 N N N N N N FNMA PASS THRU POOLS N/A 31403QP53 2560.420000 PA USD 2596.810000 0.0031619 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 2321580.940000 PA USD 740699.930000 0.901888 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.20621 N N N N N N N/A N/A 000000000 1.000000 NC -2102.340000 -0.0025598 N/A DFE KR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 205913741.000000 KRW 140709.130000 USD 2026-01-08 -2102.340000 N N N FHLMC PASS THRU POOLS N/A 3132XWE64 50094.200000 PA USD 48502.380000 0.0590573 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31414LB98 85867.340000 PA USD 89591.860000 0.109089 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -4172.990000 -0.0050811 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 -3750.290000 N N N N/A N/A 000000000 1.000000 NC -2296.620000 -0.0027964 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 970733.800000 BRL 173517.290000 USD 2026-02-03 -2296.620000 N N N N/A N/A 000000000 1.000000 NC 476.030000 0.0005796 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 34960.000000 USD 1562222.560000 TRY 2026-02-09 476.030000 N N N N/A N/A 000000000 1.000000 NC 228.370000 0.0002781 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 752000.000000 MXN 41693.300000 USD 2026-03-18 228.370000 N N N FNMA PASS THRU POOLS N/A 31385XNR4 4883.860000 PA USD 5019.490000 0.0061118 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -162.600000 -0.000198 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60000.000000 USD 1881561.000000 TWD 2026-02-02 -162.600000 N N N FNMA PASS THRU POOLS N/A 31410KNH3 62314.930000 PA USD 65094.090000 0.0792596 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296Q6V6 20415.720000 PA USD 21113.460000 0.0257081 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 94.570000 0.0001151 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 36000.000000 EUR 42419.820000 USD 2026-01-14 94.570000 N N N N/A N/A 000000000 1.000000 NC -579.230000 -0.0007053 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 649305.000000 THB 20049.560000 USD 2026-01-21 -579.230000 N N N N/A N/A 000000000 -900000.000000 NC USD -295.200000 -0.0003594 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 172.800000 N N N UMBS PASS THRU POOLS N/A 01F062622 25630000.000000 PA USD 26642744.080000 32.4406 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXL3 4714.390000 PA USD 4988.790000 0.0060744 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 4765.310000 PA USD 4665.490000 0.0056808 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.40621 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 326845.440000 PA USD 303442.650000 0.369477 Long ABS-MBS CORP US N 2 2042-05-25 Floating 4.02 N N N N N N N/A N/A 000000000 1.000000 NC -1074.530000 -0.0013084 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 301154.420000 PEN 88449.960000 USD 2026-01-27 -1074.530000 N N N N/A N/A 000000000 1.000000 NC -415.750000 -0.0005062 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 109000.000000 ILS 33809.770000 USD 2026-01-15 -415.750000 N N N FNMA PASS THRU POOLS N/A 31371MQC4 825.260000 PA USD 863.270000 0.0010511 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -936.480000 -0.0011403 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -296.250000 USD 100000.000000 USD -640.230000 N N N N/A N/A 000000000 1.000000 NC 1120.790000 0.0013647 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 82129.910000 USD 1514147.000000 MXN 2026-04-15 1120.790000 N N N N/A N/A 000000000 -1100000.000000 NC USD -7.590000 -0.0000092 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68850 01/06/26-7Y LCH 2033-01-06 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2026-01-02 XXXX 4209.080000 N N N N/A N/A 000000000 1.000000 NC -1741.060000 -0.0021199 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 195955.170000 ILS 59788.000000 USD 2026-01-15 -1741.060000 N N N N/A N/A 000000000 1.000000 NC 805.070000 0.0009803 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4009652.000000 TWD 128467.960000 USD 2026-01-22 805.070000 N N N N/A N/A 000000000 1.000000 NC 24.450000 0.0000298 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-02 0.000000 CZK 0.000000 CZK 600000.000000 CZK 24.450000 N N N FNMA PASS THRU POOLS N/A 31371NLG8 2812.700000 PA USD 2852.490000 0.0034732 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5VU3 1813.620000 PA USD 1801.860000 0.002194 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 1371.740000 PA USD 1371.500000 0.00167 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.18621 N N N N N N FNMA PASS THRU POOLS N/A 31419CSC8 2261.300000 PA USD 2279.900000 0.002776 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 0.750000 0.0000009 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 27.910000 USD 902.140000 THB 2026-01-21 0.750000 N N N GNMA PASS THRU POOLS N/A 36296XU77 195771.500000 PA USD 201498.540000 0.245348 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 18269.840000 0.0222456 N/A DFE GB N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 624829.010000 USD 477098.000000 GBP 2026-01-14 18269.840000 N N N N/A N/A 000000000 1.000000 NC USD 816.190000 0.0009938 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -455.000000 USD 100000.000000 USD 1271.190000 N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 3002.130000 PA USD 2905.140000 0.0035373 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.29838 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7HT6 15923.660000 PA USD 16402.240000 0.0199716 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -437.250000 -0.0005324 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Written Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.18600 02/09/26-10Y LCH 2036-02-09 0.000000 USD 0.000000 USD N/A USD N/A 4.190000 USD 2026-02-05 XXXX 875.250000 N N N N/A N/A 000000000 1.000000 NC -2194.530000 -0.0026721 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1528269.590000 CNY 217093.000000 USD 2026-01-21 -2194.530000 N N N N/A N/A 000000000 1.000000 NC -137.590000 -0.0001675 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 189196.000000 PEN 56000.000000 USD 2026-03-18 -137.590000 N N N N/A N/A 000000000 1.000000 NC -2466.130000 -0.0030028 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 192134.450000 USD 17088053.710000 INR 2026-01-30 -2466.130000 N N N GNMA PASS THRU POOLS N/A 36212TA53 8753.750000 PA USD 8915.460000 0.0108556 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140NVEB9 300000.000000 PA USD 308792.480000 0.375991 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.93 N N N N N N N/A N/A 000000000 10400000.000000 NC USD 6482.320000 0.007893 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75050 10/16/26-1Y LCH 2027-10-16 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2026-10-14 XXXX -2773.680000 N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 2596655.470000 PA USD 929009.060000 1.13118 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -276.860000 -0.0003371 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 61740.590000 ILS 19109.410000 USD 2026-01-15 -276.860000 N N N N/A N/A 000000000 1.000000 NC 3094.660000 0.0037681 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2592186.000000 TWD 85627.000000 USD 2026-01-22 3094.660000 N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 539873.770000 PA USD 285927.950000 0.34815 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.14621 N N N N N N FNMA PASS THRU POOLS N/A 31402RRR2 7599.840000 PA USD 8035.030000 0.0097836 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 169751.420000 PA USD 170189.190000 0.207225 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 4.81833 N N N N N N N/A N/A 000000000 1.000000 NC 2149.090000 0.0026168 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85931.160000 USD 1593877.000000 MXN 2026-02-24 2149.090000 N N N N/A N/A 000000000 1.000000 NC -250.040000 -0.0003045 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3638876.350000 PEN 1079464.950000 USD 2026-03-18 -250.040000 N N N N/A N/A 000000000 1.000000 NC -11.710000 -0.0000143 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2585.000000 USD 80916.000000 TWD 2026-02-02 -11.710000 N N N N/A N/A 000000000 1.000000 NC -247.570000 -0.0003014 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 74000.000000 PLN 20364.100000 USD 2026-01-16 -247.570000 N N N N/A N/A 000000000 1.000000 NC 546.440000 0.0006654 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30129.000000 USD 110130.900000 PLN 2026-01-16 546.440000 N N N GNMA PASS THRU POOLS N/A 36295NCS4 111807.820000 PA USD 114252.430000 0.139116 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 4917.010000 PA USD 4746.300000 0.0057792 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.34621 N N N N N N FNMA PASS THRU POOLS N/A 31417VAP8 26367.260000 PA USD 27351.540000 0.0333037 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 4636.190000 PA USD 4523.480000 0.0055079 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.84016 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 7678.500000 PA USD 8012.900000 0.0097566 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -173.570000 -0.0002113 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 30840.000000 USD 4800048.000000 JPY 2026-01-14 -173.570000 N N N N/A N/A 000000000 1.000000 NC -27002.890000 -0.0328792 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 15177239.610000 MXN 809863.110000 USD 2026-03-18 -27002.890000 N N N FNMA PASS THRU POOLS N/A 31402DF70 162.190000 PA USD 169.280000 0.0002061 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411APZ2 370.480000 PA USD 387.560000 0.0004719 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KW5 1652.300000 PA USD 1726.930000 0.0021027 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416B2P2 2985.790000 PA USD 3116.220000 0.0037944 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 100000.000000 NC USD 419.690000 0.000511 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 3.240000 USD 2026-08-06 XXXX -880.310000 N N N N/A N/A 000000000 -1700000.000000 NC USD -564.400000 -0.0006872 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 367.800000 N N N N/A N/A 000000000 1.000000 NC -3707.810000 -0.0045147 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1325089.490000 PEN 388429.820000 USD 2026-05-26 -3707.810000 N N N FNMA PASS THRU POOLS N/A 31371PCL2 1129.260000 PA USD 1137.370000 0.0013849 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -43.460000 -0.0000529 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16000.000000 CHF 20173.550000 USD 2026-01-14 -43.460000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNN7 300000.000000 PA USD 302261.720000 0.368039 Long DBT UST US N 2 2030-07-31 Fixed 3.875 N N N N N N FNMA PASS THRU POOLS N/A 31414L2H0 14343.090000 PA USD 15000.270000 0.0182646 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6QQ6 100000.000000 PA USD 85700.000000 0.10435 Long DBT NUSS EC N 2 2030-07-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -14251.850000 -0.0173533 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 700000.000000 USD -14251.850000 N N N GNMA PASS THRU POOLS N/A 36296QL31 25524.470000 PA USD 26044.810000 0.0317126 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1083.300000 0.001319 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -396.750000 USD 100000.000000 USD 1480.050000 N N N N/A N/A 000000000 1.000000 NC 947.890000 0.0011542 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 63922.690000 USD 1179853.000000 MXN 2026-04-15 947.890000 N N N FNMA PASS THRU POOLS N/A 31403NVY0 2514.900000 PA USD 2579.990000 0.0031414 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 5.842 N N N N N N N/A N/A 000000000 1.000000 NC 7937.260000 0.0096645 N/A DCR NL N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTL FIN NV SR UNSEC Y Single Leg Swap 2028-06-20 3954.410000 EUR 0.000000 EUR 500000.000000 EUR 3982.850000 N N N FNMA PASS THRU POOLS N/A 3138ADYY5 18872.130000 PA USD 19013.970000 0.0231517 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -49.010000 -0.0000597 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Written Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.91900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2026-01-12 XXXX 187.240000 N N N N/A N/A 000000000 1.000000 NC USD 244258.580000 0.297413 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 54441.940000 USD 0.000000 USD 1000000.000000 USD 189816.640000 N N N FNMA PASS THRU POOLS N/A 31410V6F2 1188.560000 PA USD 1243.330000 0.0015139 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 280000.000000 NC USD 1516.480000 0.0018465 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-06 N/A 5.390000 USD 2026-02-04 XXXX -2647.120000 N N N N/A N/A 000000000 1.000000 NC 20.890000 0.0000254 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 313354.000000 TWD 10000.000000 USD 2026-01-08 20.890000 N N N MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1 N/A 59023LAA0 1266897.680000 PA USD 548155.460000 0.667443 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.12621 N N N N N N N/A N/A 000000000 1.000000 NC -4809.160000 -0.0058557 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 -4570.760000 N N N FNMA PASS THRU POOLS N/A 31371M3W5 105158.630000 PA USD 110006.230000 0.133945 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -18.960000 -0.0000231 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.86000 01/07/26-10Y LCH 2036-01-07 0.000000 USD 0.000000 USD N/A USD N/A 3.860000 USD 2026-01-05 XXXX 212.290000 N N N N/A N/A 000000000 1.000000 NC -524.280000 -0.0006384 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 653400.000000 USD 102191041.000000 JPY 2026-01-14 -524.280000 N N N FNMA PASS THRU POOLS N/A 31415XKP5 10935.720000 PA USD 11315.630000 0.0137781 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NAA3 621.960000 PA USD 638.200000 0.0007771 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N 2026-02-27 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX