NPORT-P false 0000810893 XXXXXXXX S000013232 C000080408 C000195167 C000064164 C000035567 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Long Duration Total Return Fund S000013232 6H88Q2DZCBEGOMBEBB05 2026-03-31 2025-12-31 N 4509381887.750000 2120497237.560000 2388884650.190000 0.000000 0.000000 906622214.850000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4837999.974146 0.000000 0.000000 6343911.210000 AUD DKK JPY ZAR PEN MXN CAD GBP EUR USD N Bloomberg US Long Government/Credit Unhedged USD Index LGC5TRUU DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 341099CH0 200000.000000 PA USD 222549.650000 0.009316 Long DBT CORP US N 2 2037-09-15 Fixed 6.35 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AY5 5700000.000000 PA USD 5299799.070000 0.221852 Long DBT CORP IT N 2 2032-06-03 Floating 3.127 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAF7 135842.880000 PA USD 126053.630000 0.0052767 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.39354 N N N N N N N/A N/A 000000000 1.000000 NC USD 8771447.920000 0.367177 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.45 Y Single Leg Swap 2030-12-20 8517318.630000 USD 0.000000 USD 382210000.000000 USD 254129.290000 N N N N/A N/A 000000000 1.000000 NC -3998.060000 -0.0001674 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 409192520.000000 KRW 279797.410000 USD 2026-01-08 -3998.060000 N N N KKR GROUP FINANCE CO X LLC N/A 48255BAA4 2500000.000000 PA USD 1660416.080000 0.0695059 Long DBT CORP US N 2 2051-12-15 Fixed 3.25 N N N N N N STRUCTURED ASSET SECUR CORP 2005-GEL2 N/A 86359DAY3 444815.220000 PA USD 466761.600000 0.0195389 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.97121 N N N N N N N/A N/A 000000000 1.000000 NC -5867.110000 -0.0002456 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1625367.340000 ILS 504539.000000 USD 2026-02-19 -5867.110000 N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MM82 381.690000 PA USD 357.700000 0.000015 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.87491 N N N N N N WASHINGTON MUTUAL 2006-AR4 N/A 93934FPT3 16556.340000 PA USD 13843.520000 0.0005795 Long ABS-MBS CORP US N 2 2046-05-25 Floating 3.71283 N N N N N N N/A N/A 000000000 1.000000 NC -40274.240000 -0.0016859 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 25801071.190000 CNY 3661856.000000 USD 2026-01-21 -40274.240000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FT5 500000.000000 PA USD 393534.420000 0.0164736 Long DBT CORP US N 2 2041-12-01 Fixed 3.9 N N N N N N N/A N/A 000000000 1.000000 NC 7413.980000 0.0003104 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1142508.380000 USD 1723000.000000 AUD 2026-01-14 7413.980000 N N N N/A N/A 000000000 1.000000 NC -32826.780000 -0.0013741 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 18140003.640000 PEN 5349613.270000 USD 2026-03-18 -32826.780000 N N N N/A N/A 000000000 1.000000 NC 8257.650000 0.0003457 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1665129.000000 USD 52546851.000000 TWD 2026-01-20 8257.650000 N N N N/A N/A 000000000 1.000000 NC 20939.900000 0.0008766 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 928932.700000 USD 17186927.000000 MXN 2026-02-23 20939.900000 N N N FHLMC PASS THRU POOLS N/A 3128LCRM0 2475.390000 PA USD 2549.780000 0.0001067 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5 N N N N N N TCI-SYMPHONY CLO LTD 2017-1A N/A 87232BAF9 373541.280000 PA USD 373727.940000 0.0156445 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 5.09615 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AT5 2700000.000000 PA USD 2692476.720000 0.112709 Long DBT CORP CH N 2 2027-02-02 Floating 1.305 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TB3 983000.000000 PA USD 974585.010000 0.0407967 Long DBT UST US N 2 2026-03-31 None 0 N N N N N N STRUCTURED ASSET SECURITIES CO 2003-37A N/A 86359BBZ3 4264.700000 PA USD 4181.260000 0.000175 Long ABS-MBS CORP US N 2 2033-12-25 Floating 5.84614 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEM2 43230.600000 PA USD 39162.480000 0.0016394 Long ABS-MBS CORP US N 2 2045-08-19 Floating 4.36552 N N N N N N GROSVENOR PLACE CLO 2025-4 DAC 25-4A N/A ACI379GR6 1300000.000000 PA 1527759.990000 0.0639529 Long ABS-CBDO CORP IE N 2 2039-08-15 Floating 3.383 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6N61 13603.330000 PA USD 14365.350000 0.0006013 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N ICG US CLO LTD 2015-2RA N/A 44933WAL3 353813.300000 PA USD 354155.490000 0.0148251 Long ABS-CBDO CORP KY N 2 2033-01-16 Floating 4.88363 N N N N N N N/A N/A 000000000 1.000000 NC -17692.650000 -0.0007406 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1693232.000000 USD 150956712.500000 INR 2026-01-30 -17692.650000 N N N N/A N/A 000000000 1.000000 NC 277683.520000 0.011624 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-03-18 180919.350000 JPY 0.000000 JPY 9140000000.000000 JPY 96764.170000 N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAB7 1100000.000000 PA USD 1100673.200000 0.0460748 Long DBT CORP KY N 2 2026-05-15 Fixed 5.875 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4 N/A 07389NAA3 5781.140000 PA USD 5785.890000 0.0002422 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.88386 N N N N N N CITY OF RENO NV 549300M4R5WWSUWY8D52 759831DG2 700000.000000 PA USD 472889.690000 0.0197954 Long DBT MUN US N 2 2034-06-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -8482.840000 -0.0003551 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2719377.620000 ILS 845381.520000 USD 2026-01-22 -8482.840000 N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 656029AQ8 1400000.000000 PA USD 1419800.210000 0.0594336 Long DBT CORP JP N 2 2035-09-09 Fixed 5.359 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833X88 32500000.000000 PA USD 21736811.850000 0.909915 Long DBT UST US N 2 2035-05-15 None 0 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 170629.300000 PA USD 156830.820000 0.006565 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.26621 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833Y38 37600000.000000 PA USD 23224496.530000 0.97219 Long DBT UST US N 2 2036-11-15 None 0 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 297405.200000 PA USD 240811.040000 0.0100805 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.19621 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAS4 1300000.000000 PA USD 1202619.210000 0.0503423 Long DBT CORP KY N 2 2031-08-08 Variable 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 6287.930000 0.0002632 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2030-04-02 0.000000 MXN 0.000000 MXN 24800000.000000 MXN 6287.930000 N N N BBCMS MORTGAGE TRUST 2025-5C37 N/A 05494NAC5 5000000.000000 PA USD 5119011.000000 0.214285 Long ABS-MBS CORP US N 2 2058-09-15 Fixed 5.015 N N N N N N UMBS PASS THRU POOLS N/A 01F060626 50000000.000000 PA USD 51314889.000000 2.14807 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 9929.660000 0.0004157 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 392143.350000 USD 6668000.000000 ZAR 2026-01-26 9929.660000 N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 68565.680000 PA USD 64700.460000 0.0027084 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.14763 N N N N N N FNMA PASS THRU POOLS N/A 31408DC93 1763.600000 PA USD 1810.580000 0.0000758 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.155 N N N N N N N/A N/A 000000000 1.000000 NC 12053.650000 0.0005046 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 858571.000000 USD 14434209.790000 ZAR 2026-01-22 12053.650000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TA6 80600000.000000 PA USD 54412871.400000 2.27775 Long DBT UST US N 2 2041-08-15 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -800.830000 -0.0000335 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9073610.000000 INR 100000.000000 USD 2026-01-20 -800.830000 N N N N/A N/A 000000000 1.000000 NC -22787.430000 -0.0009539 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1394000.000000 EUR 1616140.170000 USD 2026-01-14 -22787.430000 N N N 37 CAPITAL CLO I 2021-1A N/A 88430TAQ4 1000000.000000 PA USD 1001786.330000 0.0419353 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.18454 N N N N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A 173145AA1 14862.370000 PA USD 13327.750000 0.0005579 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.91621 N N N N N N PROLOGIS TARGETED US LOGISTICS FUND LP 5493004DTBWUQ9F2VJ87 74350LAD6 800000.000000 PA USD 794446.590000 0.033256 Long DBT CORP US N 2 2031-01-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -5479.800000 -0.0002294 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1221312.980000 USD 38191068.000000 TWD 2026-01-23 -5479.800000 N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-18 N/A 863579FW3 8255.860000 PA USD 8183.900000 0.0003426 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.71672 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAF9 6100000.000000 PA USD 4245216.860000 0.177707 Long DBT CORP CA N 2 2051-03-30 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 19876.090000 0.000832 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 38039131.000000 TWD 1231000.000000 USD 2026-01-22 19876.090000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XCD0 3500000.000000 PA USD 3667010.030000 0.153503 Long DBT CORP US N 2 2033-07-15 Fixed 5.55 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CP5 362000.000000 PA USD 350144.210000 0.0146572 Long DBT CORP US N 2 2027-12-02 Fixed 2.45 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJU5 600000.000000 PA USD 623821.840000 0.0261135 Long DBT CORP US N 2 2036-02-12 Floating 5.424 N N N N N N THE DAI-ICHI LIFE INSURANCE COMPANY LIMITED 3538001235ACEIORUV72 23381LAA2 1200000.000000 PA USD 1258402.800000 0.0526774 Long DBT CORP JP N 2 2035-01-16 Floating 6.2 N N N N N N N/A N/A 000000000 1.000000 NC -285954.650000 -0.0119702 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-12-20 0.000000 AUD -159263.670000 AUD 76600000.000000 AUD -126690.980000 N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 374624.580000 PA USD 337100.420000 0.0141112 Long ABS-MBS CORP US N 2 2046-12-20 Floating 4.04338 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 27241.200000 PA USD 27417.970000 0.0011477 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N INDIAN RAILWAY FINANCE CORPORATION LIMITED (IRFC) 335800F2JHSOGXQEBY56 45434L2H6 2200000.000000 PA USD 2090468.730000 0.0875081 Long DBT CORP IN N 2 2032-01-21 Fixed 3.57 N N N N N N BROADSTONE NET LEASE LLC 54930089IBT6J4WBTI50 11134GAA8 300000.000000 PA USD 301215.190000 0.012609 Long DBT CORP US N 2 2032-11-01 Fixed 5 N N N N N N DATABRICKS INC 984500FEDAC7FBD96273 BA000TDP4 412451.820000 PA USD 413482.950000 0.0173086 Long LON CORP US N 3 2031-12-08 Floating 4.5 N N N N N N AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST N/A 023761AA7 118250.000000 PA USD 116289.180000 0.0048679 Long DBT CORP US N 2 2029-02-15 Fixed 3.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BS7 450000.000000 PA USD 448190.730000 0.0187615 Long DBT CORP US N 2 2026-03-09 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHK85 2649.150000 PA USD 2721.140000 0.0001139 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 14885.640000 0.0006231 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1090797.080000 USD 20109935.000000 MXN 2026-04-15 14885.640000 N N N MASTR ASSET BACKED SEC TR 2004-WMC3 N/A 57643LFN1 2095957.920000 PA USD 2055671.720000 0.0860515 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.67121 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AP5 2800000.000000 PA USD 2740080.620000 0.114701 Long DBT CORP US N 2 2030-05-01 Fixed 4.25 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAB0 396242.760000 PA USD 398163.430000 0.0166673 Long ABS-O CORP US N 2 2050-06-21 Fixed 5.08 N N N N N N SHELL FINANCE US INC N/A 822905AX3 4300000.000000 PA USD 4193401.150000 0.175538 Long DBT CORP US N 2 2041-10-15 Fixed 5.125 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAP4 3200000.000000 PA USD 3244618.270000 0.135822 Long DBT CORP US N 2 2041-06-01 Fixed 6.05 N N N N N N AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST N/A 023771R91 2868395.620000 PA USD 2775820.160000 0.116197 Long DBT CORP US N 2 2030-04-15 Fixed 3 N N N N N N INVESCO EURO CLO XI DAC 11A N/A ACI318SX8 1900000.000000 PA 2234819.460000 0.0935507 Long ABS-CBDO CORP IE N 2 2036-10-22 Floating 3.283 N N N N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 09261BAF7 2800000.000000 PA USD 1758210.190000 0.0735996 Long DBT CORP US N 2 2051-08-05 Fixed 2.85 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFU4 3000000.000000 PA USD 3036958.230000 0.127129 Long DBT CORP US N 2 2030-10-18 Floating 4.654 N N N N N N ENTERGY ARKANSAS LLC 549300A0I5ONUIFMLP35 29366MAB4 60000.000000 PA USD 35861.590000 0.0015012 Long DBT CORP US N 2 2051-06-15 Fixed 2.65 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 20457.620000 PA USD 19766.140000 0.0008274 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.16621 N N N N N N AMMC CLO 2022-27A LTD N/A 00173UAS3 600000.000000 PA USD 599796.340000 0.0251078 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 4.96444 N N N N N N N/A N/A 000000000 1.000000 NC -27817.630000 -0.0011645 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2432272.000000 USD 216627873.410000 INR 2026-01-30 -27817.630000 N N N URSA RE LTD 549300O8X4DWGDJZ6W59 90323WAP5 2500000.000000 PA USD 2572125.000000 0.107671 Long DBT CORP BM N 2 2026-12-07 Floating 9.14 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAL9 2900000.000000 PA USD 2847551.910000 0.1192 Long DBT CORP US N 2 2029-02-15 Fixed 3.875 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAK1 600000.000000 PA USD 599971.800000 0.0251151 Long DBT CORP KY N 2 2026-01-08 Variable 3.8 N N N N N N ENCORE CAPITAL GROUP INC 5493000UVC6H49CIH830 292554AS1 1300000.000000 PA USD 1307570.030000 0.0547356 Long DBT CORP US N 2 2031-04-15 Fixed 6.625 N N N N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAE0 1600000.000000 PA USD 1587656.320000 0.0664601 Long DBT CORP GB N 2 2033-01-15 Fixed 6.75 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DG2 1994000.000000 PA USD 1559691.010000 0.0652895 Long DBT CORP US N 2 2062-02-22 Fixed 4.4 N N N N N N HGI CRE CLO 2022-FL3 LTD N/A 403950AA6 829008.690000 PA USD 827313.420000 0.0346318 Long ABS-CBDO CORP US N 2 2037-04-20 Floating 5.67416 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2T82B6 2280000000.000000 PA 12666634.320000 0.530232 Long DBT NUSS JP N 2 2044-12-20 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 1782.140000 0.0000746 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 930000.000000 USD 29259357.000000 TWD 2026-01-20 1782.140000 N N N N/A N/A 000000000 1.000000 NC USD 44279.660000 0.0018536 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2028-06-20 0.000000 USD -8927.980000 USD 3000000.000000 USD 53207.640000 N N N PUBLIC SERVICE ELECTRIC AND GAS COMPANY 549300RUHPVD434XUK18 74456QBF2 5700000.000000 PA USD 4647230.630000 0.194536 Long DBT CORP US N 2 2044-06-01 Fixed 4 N N N N N N CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 549300S8SEQBOJLKHW63 15189XBG2 1000000.000000 PA USD 1024531.170000 0.0428874 Long DBT CORP US N 2 2030-03-15 Fixed 4.8 N N N N N N FNMA PASS THRU POOLS N/A 31406AV25 91075.530000 PA USD 92878.060000 0.0038879 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.561 N N N N N N INTRALOT CAPITAL LUXEMBOURG SA 549300QF747C7UWZYB38 ACI30MW05 2000000.000000 PA 2327784.270000 0.0974423 Long DBT CORP LU N 2 2031-10-15 Floating 6.5 N N N N N N FANNIE MAE 2006-16 N/A 31394V5C0 155919.880000 PA USD 162451.690000 0.0068003 Long ABS-MBS USGSE US N 2 2036-03-25 Fixed 6 N N N N N N MET TOWER GLOBAL FUNDING 635400OFJCY9IOGBGY57 58989V2L7 2500000.000000 PA USD 2492017.180000 0.104317 Long DBT CORP US N 2 2030-09-16 Fixed 4.2 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 1449518.640000 PA USD 780494.180000 0.0326719 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.98621 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-9 N/A 07387AEG6 15114.350000 PA USD 14650.010000 0.0006133 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.42 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 8005000.000000 PA USD 4896325.330000 0.204963 Long DBT CORP US N 2 2060-04-01 Fixed 3.85 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364GAP8 2390000.000000 PA USD 2150141.460000 0.0900061 Long DBT CORP US N 2 2031-06-15 Fixed 2.4 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1 N/A 81375WKD7 493846.480000 PA USD 487611.870000 0.0204117 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.42621 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AT5 1700000.000000 PA USD 1726120.020000 0.0722563 Long DBT CORP CH N 2 2033-08-05 Floating 4.988 N N N N N N FIRSTENERGY PENNSYLVANIA ELECTRIC CO N/A 708696BZ1 3300000.000000 PA USD 3233660.230000 0.135363 Long DBT CORP US N 2 2029-06-01 Fixed 3.6 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 95855.610000 PA USD 52713.920000 0.0022066 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.38612 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB N/A 12668AAJ4 2163595.330000 PA USD 1106619.510000 0.0463237 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.5 N N N N N N COUNTY OF FRESNO CA 549300JJ6NWR5CVGI705 358266CK8 100000.000000 PA USD 74781.360000 0.0031304 Long DBT MUN US N 2 2032-08-15 None 0 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FCR0 1300000.000000 PA USD 1147044.240000 0.0480159 Long DBT CORP US N 2 2033-02-15 Fixed 2.6 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 35342.390000 PA USD 31477.530000 0.0013177 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.30621 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 10914.340000 PA USD 11308.780000 0.0004734 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.472 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAL5 13496.710000 PA USD 12295.110000 0.0005147 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.65079 N N N N N N N/A N/A 000000000 1.000000 NC 60477.030000 0.0025316 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 56548004.000000 TWD 1860903.000000 USD 2026-01-22 60477.030000 N N N N/A N/A 000000000 -164.000000 NC 327989.570000 0.0137298 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-03-06 -24586923.080000 EUR 327989.570000 N N N N/A N/A 000000000 1.000000 NC -24211.940000 -0.0010135 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3367770.050000 ILS 1033253.000000 USD 2026-01-15 -24211.940000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 1001648.080000 PA USD 897306.300000 0.0375617 Long ABS-MBS CORP US N 2 2038-01-19 Floating 4.22552 N N N N N N N/A N/A 000000000 1.000000 NC -423.880000 -0.0000177 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22888.860000 CAD 16261.490000 USD 2026-01-14 -423.880000 N N N N/A N/A 000000000 1.000000 NC 16.150000 0.0000007 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 600.130000 USD 19397.980000 THB 2026-01-21 16.150000 N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS10 N/A 751155AJ1 845917.110000 PA USD 758886.620000 0.0317674 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 199575AV3 100000.000000 PA USD 105957.220000 0.0044354 Long DBT CORP US N 2 2035-10-01 Fixed 5.85 N N N N N N N/A N/A 000000000 1.000000 NC 259.300000 0.0000109 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 117075.000000 USD 818500.590000 CNY 2026-01-05 259.300000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 55540000.000000 PA USD 36072796.230000 1.51003 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N N/A N/A 000000000 -255833155.000000 PA USD -256252081.800000 -10.7269 Short RA US N 2 Reverse repurchase N 3.930000 2026-01-02 320062000.000000 USD 253986245.600000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 3145.680000 0.0001317 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 MORGAN STANLEY MORGAN STANLEY DEAN WITTER GLBL SR UNSEC Y Single Leg Swap 2026-06-20 3102.170000 USD 0.000000 USD 800000.000000 USD 43.510000 N N N FNMA PASS THRU POOLS N/A 31407E2C6 64286.550000 PA USD 65356.460000 0.0027359 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 6.08 N N N N N N REGATTA XVI FUNDING LTD 2019-2A N/A 75888TAL9 1124466.520000 PA USD 1125251.340000 0.0471036 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 5.10454 N N N N N N CDW LLC / CDW FINANCE CORP N/A 12513GBH1 500000.000000 PA USD 485938.670000 0.0203417 Long DBT CORP US N 2 2028-12-01 Fixed 3.276 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBP9 2800000.000000 PA USD 2262426.460000 0.0947064 Long DBT CORP US N 2 2037-11-15 Fixed 3.8 N N N N N N N/A N/A 000000000 1.000000 NC 307666.050000 0.0128791 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 10834271.000000 USD 492309274.240000 TRY 2026-02-12 307666.050000 N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L3F0 1000000.000000 PA USD 1046657.000000 0.0438136 Long DBT CORP SA N 2 2055-06-02 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 3032.310000 0.0001269 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1061997.540000 USD 1461000.000000 CAD 2026-01-14 3032.310000 N N N VITALITY RE XVI LTD N/A 92849FAC2 250000.000000 PA USD 250987.500000 0.0105065 Long DBT CORP KY N 2 2030-01-08 Floating 7.33 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HL4 500000.000000 PA USD 398538.830000 0.0166831 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC -8800.840000 -0.0003684 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1022000.000000 EUR 1192765.880000 USD 2026-01-14 -8800.840000 N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAJ1 800000.000000 PA USD 566423.380000 0.0237108 Long DBT CORP CA N 2 2052-02-15 Fixed 3.625 N N N N N N BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A N/A ACI2ZP3K0 1900000.000000 PA 2234770.560000 0.0935487 Long ABS-CBDO CORP IE N 2 2038-01-22 Floating 3.265 N N N N N N N/A N/A 000000000 1.000000 NC -21279.530000 -0.0008908 N/A DFE KR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 2084222250.000000 KRW 1424232.780000 USD 2026-01-08 -21279.530000 N N N N/A N/A 000000000 1.000000 NC 1268.730000 0.0000531 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 290433.170000 USD 929000.000000 ILS 2026-01-15 1268.730000 N N N N/A N/A 000000000 3345.000000 NC USD -8519548.840000 -0.356633 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-20 392880703.130000 USD -8519548.840000 N N N N/A N/A 000000000 1.000000 NC USD 367107.910000 0.0153673 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-13 0.000000 USD -65423.750000 USD 18300000.000000 USD 432531.660000 N N N CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A N/A ACI2VQ1V0 3921418.630000 PA 4603583.690000 0.192709 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 2.904 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 10800000.000000 PA 3572344.770000 0.14954 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCU7 700000.000000 PA USD 566569.610000 0.0237169 Long DBT CORP US N 2 2054-09-27 Fixed 5.375 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBL2 7400000.000000 PA USD 6587381.280000 0.275751 Long DBT CORP US N 2 2047-04-15 Fixed 5.3 N N N N N N MASTR ASSET BACKED SEC TRUST 2006-WMC1 N/A 57643LRK4 1687378.880000 PA USD 611167.450000 0.0255838 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.20621 N N N N N N N/A N/A 000000000 1.000000 NC 53920.710000 0.0022572 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 56558253.000000 TWD 1854673.000000 USD 2026-01-22 53920.710000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 750000.000000 PA USD 747091.910000 0.0312737 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 -20.000000 NC USD -1547.520000 -0.0000648 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 113.500000 USD 2026-01-23 XXXX 2491.280000 N N N AMERICAN HOME MTGE ASSETS 2006-3 N/A 02660UAK6 48405.880000 PA USD 44618.370000 0.0018677 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.96621 N N N N N N N/A N/A 000000000 1.000000 NC 11855.880000 0.0004963 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1420722.950000 USD 9984000.000000 CNY 2026-01-21 11855.880000 N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NCD5 488000.000000 PA USD 494348.800000 0.0206937 Long DBT CORP CA N 2 2054-04-05 Fixed 5.95 N N N N N N N/A N/A 000000000 1.000000 NC -6094.530000 -0.0002551 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2970713.430000 ILS 926784.000000 USD 2026-02-19 -6094.530000 N N N N/A N/A 000000000 1.000000 NC -8392.860000 -0.0003513 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 508359.970000 CHF 633952.010000 USD 2026-01-14 -8392.860000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAJ8 4135000.000000 PA USD 4803721.920000 0.201086 Long DBT CORP US N 2 2038-07-01 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC 10364.420000 0.0004339 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 25030701.000000 TWD 805986.000000 USD 2026-03-18 10364.420000 N N N VISTRA ZERO OPERATING COMPANY LLC N/A 92841DAB7 1691500.000000 PA USD 1677756.560000 0.0702318 Long LON CORP US N 2 2031-04-30 Floating 5.7161 N N N N N N TORREY PINES RE LTD N/A 89141WAJ1 250000.000000 PA USD 260912.500000 0.0109219 Long DBT CORP BM N 2 2032-06-07 Floating 10.736 N N N N N N N/A N/A 000000000 1.000000 NC -92144.160000 -0.0038572 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-07 0.000000 EUR -8011.980000 EUR 3200000.000000 EUR -84132.180000 N N N FNMA PASS THRU POOLS N/A 31406YGW4 171955.040000 PA USD 174727.140000 0.0073142 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.876 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KP5 5300000.000000 PA USD 3631022.160000 0.151997 Long DBT CORP US N 2 2051-03-15 Fixed 3.25 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS7 N/A 748940AA1 3321104.270000 PA USD 2727283.520000 0.114166 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BF9 100000.000000 PA USD 110304.720000 0.0046174 Long DBT CORP US N 2 2051-01-15 Fixed 7.15 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QY7 1000000.000000 PA USD 768750.000000 0.0321803 Long DBT UST US N 2 2042-11-15 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -98476.850000 -0.0041223 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -56100.000000 USD 13200000.000000 USD -42376.850000 N N N MILLER HOMES (CASTLE UK FINCO PLC) 98450057058CDE2E9650 ACI2W4YJ9 1000000.000000 PA 1194868.220000 0.0500178 Long DBT CORP GB N 2 2030-10-15 Floating 6.314 N N N N N N N/A N/A 000000000 1.000000 NC -3.690000 -0.0000002 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 44563.000000 USD 4015602.320000 INR 2026-02-02 -3.690000 N N N N/A N/A 000000000 1.000000 NC 23419.920000 0.0009804 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 25633995.000000 TWD 839578.000000 USD 2026-01-22 23419.920000 N N N CAPITAL FARM CREDIT ACA 254900S6K5I3OISPS518 14019TAA4 2700000.000000 NS USD 2701998.000000 0.113107 Long EP CORP US N 2 N N N FHLMC PASS THRU POOLS N/A 3128L7DF1 345.770000 PA USD 355.630000 0.0000149 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N NORTHERN STAR RESOURCES LTD 254900XFXCRYYZAX6M78 66573RAA6 3600000.000000 PA USD 3821393.770000 0.159966 Long DBT CORP AU N 2 2033-04-11 Fixed 6.125 N N N N N N BAIN CAPITAL CREDIT CLO 2022-3 LTD N/A 05684NAL5 900000.000000 PA USD 900349.790000 0.0376891 Long ABS-CBDO CORP JE N 2 2035-07-17 Floating 5.04163 N N N N N N VAR ENERGI ASA 549300LIVN3FFOJN2K47 92212WAG5 1800000.000000 PA USD 1905391.240000 0.0797607 Long DBT CORP NO N 2 2035-05-22 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 2046.390000 0.0000857 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 70261.920000 USD 2275952.220000 THB 2026-01-21 2046.390000 N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAS5 200000.000000 PA USD 190501.820000 0.0079745 Long DBT CORP US N 2 2032-02-15 Fixed 4.375 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR6 N/A 456612AC4 276635.800000 PA USD 251685.800000 0.0105357 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.24621 N N N N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 513279.990000 PA USD 491388.860000 0.0205698 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAD8 2933493.850000 PA USD 1454832.830000 0.0609001 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.08621 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -568.800000 -0.0000238 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 6368.700000 N N N CHILE ELECTRICITY LUX MPC II SARL N/A 16882LAA0 4789774.500000 PA USD 4915818.180000 0.205779 Long DBT CORP LU N 2 2035-10-20 Fixed 5.58 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-6 N/A 66988RAD9 5875750.140000 PA USD 1951536.980000 0.0816924 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.18621 N N N N N N N/A N/A 000000000 1.000000 NC 829.460000 0.0000347 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2032-03-29 0.000000 MXN 0.000000 MXN 5900000.000000 MXN 829.460000 N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AF4 1600000.000000 PA USD 1563181.760000 0.0654356 Long DBT CORP US N 2 2029-08-08 Fixed 3.9 N N N N N N N/A N/A 000000000 43.000000 NC 35540.700000 0.0014878 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2026-03-27 5295976.230000 GBP 35540.700000 N N N LEHMAN BROTHERS HOLDINGS INC 549300FDK6ZP3YIHRJ47 525ESC6Y0 1200000.000000 PA USD 420.000000 0.0000176 Long DBT CORP US N 2 2027-09-27 None 7 Y Y N N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 BD35RTII6 3400000.000000 PA 4011902.430000 0.16794 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25 N N N N N N F&G GLOBAL FUNDING 6354009CCUKJIZ7KFX73 30321L2C5 1100000.000000 PA USD 1031826.910000 0.0431928 Long DBT CORP US N 2 2028-09-20 Fixed 2 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 70800000.000000 PA 4250265.940000 0.177918 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060634 162800000.000000 PA USD 167093996.520000 6.99464 Long ABS-MBS USGSE US N 2 2055-03-15 Fixed 6 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HCD7 1900000.000000 PA USD 2170933.920000 0.0908765 Long DBT CORP IT N 2 2033-11-28 Fixed 7.2 N N N N N N N/A N/A 000000000 1.000000 NC 37216.610000 0.0015579 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1980634.000000 USD 2909452314.000000 KRW 2026-01-08 37216.610000 N N N N/A N/A 000000000 1.000000 NC -255773.690000 -0.0107068 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2036-03-18 0.000000 EUR -39437.530000 EUR 12100000.000000 EUR -216336.160000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Q5 400000.000000 PA USD 310496.790000 0.0129976 Long DBT CORP US N 2 2041-04-30 Floating 3.068 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAD3 3400000.000000 PA USD 3560836.290000 0.149059 Long DBT CORP US N 2 2053-02-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 6792.940000 0.0002844 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-11-15 687.800000 USD 0.000000 USD 396000.000000 USD 6105.140000 N N N JAMESTOWN CLO 2022 XVIIIA LTD N/A 47047RAN6 1200000.000000 PA USD 1201801.540000 0.0503081 Long ABS-CBDO CORP KY N 2 2035-07-25 Floating 5.12798 N N N N N N N/A N/A 000000000 1.000000 NC -5406.520000 -0.0002263 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4489684.780000 NOK 440045.560000 USD 2026-01-14 -5406.520000 N N N N/A N/A 000000000 1.000000 NC USD -341905.750000 -0.0143124 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-02-28 179991.790000 USD 0.000000 USD 30590000.000000 USD -521897.540000 N N N N/A N/A 000000000 1.000000 NC -247630.990000 -0.010366 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 11651332.000000 AUD 7528414.960000 USD 2026-01-14 -247630.990000 N N N GOODMAN US FINANCE THREE LLC N/A 38239KAA6 7400000.000000 PA USD 6918793.470000 0.289624 Long DBT CORP US N 2 2037-10-15 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 1500000.000000 PA USD 1515000.000000 0.0634187 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N COMMONWEALTH EDISON COMPANY D8YOXB8L2ZDC8P7Q0771 202795JV3 100000.000000 PA USD 75327.200000 0.0031532 Long DBT CORP US N 2 2052-03-15 Fixed 3.85 N N N N N N N/A N/A 000000000 1.000000 NC -8025.130000 -0.0003359 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 506299.260000 CHF 631715.900000 USD 2026-01-14 -8025.130000 N N N N/A N/A 000000000 1.000000 NC USD 12663.960000 0.0005301 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2049-11-15 0.000000 USD 0.000000 USD 100000.000000 USD 12663.960000 N N N N/A N/A 000000000 1.000000 NC -301.210000 -0.0000126 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 540000.000000 USD 48636656.280000 INR 2026-02-02 -301.210000 N N N N/A N/A 000000000 1.000000 NC -36736.900000 -0.0015378 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3262805.000000 USD 290650669.400000 INR 2026-01-30 -36736.900000 N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 927804GV0 800000.000000 PA USD 796539.070000 0.0333436 Long DBT CORP US N 2 2035-09-15 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC -1570.400000 -0.0000657 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2030-04-02 0.000000 MXN 0.000000 MXN 18100000.000000 MXN -1570.400000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TK4 61350000.000000 PA USD 51874301.090000 2.17149 Long DBT UST US N 2 2042-08-15 Fixed 3.375 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HN0 300000.000000 PA USD 235813.560000 0.0098713 Long DBT CORP US N 2 2046-03-15 Fixed 4.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TJ6 371000.000000 PA USD 367047.330000 0.0153648 Long DBT UST US N 2 2026-04-21 None 0 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816EH8 500000.000000 PA USD 528123.910000 0.0221076 Long DBT CORP US N 2 2036-04-25 Floating 5.667 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128334Y3 32970000.000000 PA USD 22900844.630000 0.958642 Long DBT UST US N 2 2034-08-15 None 0 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 30545.610000 PA USD 28421.800000 0.0011898 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.42927 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SU3 52395000.000000 PA USD 29295149.510000 1.22631 Long DBT UST US N 2 2051-02-15 Fixed 1.875 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KN0 1000000.000000 PA USD 750541.040000 0.0314181 Long DBT CORP US N 2 2050-01-30 Fixed 3.7 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAE6 3500000.000000 PA USD 2950444.950000 0.123507 Long DBT CORP US N 2 2042-11-28 Fixed 4.119 N N N N N N GS MORTGAGE SECURITIES TRUST 2016-GS3 N/A 36251PBD5 5225000.000000 PA USD 4720488.630000 0.197602 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 3.60172 N N N N N N HPS CORPORATE LENDING FUND 549300ZS7IHUA6FKFV61 40440VAS4 900000.000000 PA USD 897796.810000 0.0375823 Long DBT CORP US N 2 2030-11-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -12094.620000 -0.0005063 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 791000.000000 EUR 917885.100000 USD 2026-01-14 -12094.620000 N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH2 N/A 12668JAA4 321415.840000 PA USD 289165.200000 0.0121046 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.32621 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 12803RAC8 3900000.000000 PA USD 4352698.000000 0.182206 Long DBT CORP ES N 2 2034-09-13 Floating 6.84 N N N N N N MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA JA0WNILDDF2KUPS83B16 626207YF5 7413000.000000 PA USD 8026040.270000 0.335974 Long DBT MUN US N 2 2057-04-01 Fixed 6.637 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BFNYDZII7 8800000.000000 PA 12169872.810000 0.509437 Long DBT NUSS ES N 2 2044-10-31 Fixed 5.15 N N N N N N BLACK HILLS CORPORATION 3MGELCRSTNSAMJ962671 092113AW9 4200000.000000 PA USD 4507322.820000 0.188679 Long DBT CORP US N 2 2034-05-15 Fixed 6.15 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887CL4 1100000.000000 PA USD 1123899.220000 0.047047 Long DBT CORP US N 2 2035-08-01 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 7797.120000 0.0003264 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 225141.170000 USD 10160350.830000 TRY 2026-01-26 7797.120000 N N N RWE FINANCE US LLC 529900J7MYLKI84UP772 749983AC6 400000.000000 PA USD 397907.250000 0.0166566 Long DBT CORP US N 2 2035-09-18 Fixed 5.125 N N N N N N ALABAMA POWER COMPANY 0RL818ELFOHP5JHOFU19 010392FP8 700000.000000 PA USD 592922.480000 0.0248201 Long DBT CORP US N 2 2046-01-02 Fixed 4.3 N N N N N N BRIGHTHOUSE HOLDINGS LLC N/A 10924BAA5 1100000.000000 NS USD 931165.620000 0.0389791 Long EP CORP US N 2 N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377DA7 2400000.000000 PA USD 2404600.800000 0.100658 Long DBT CORP US N 2 2030-10-15 Fixed 4.734 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SQ2 95010000.000000 PA USD 59715269.060000 2.49971 Long DBT UST US N 2 2040-08-15 Fixed 1.125 N N N N N N BLOCK INC 549300OHIIUWSTIZME52 852234AT0 600000.000000 PA USD 612511.200000 0.02564 Long DBT CORP US N 2 2030-08-15 Fixed 5.625 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A7 N/A 46629DAK1 11367.660000 PA USD 9132.210000 0.0003823 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.39668 N N N N N N FNMA PASS THRU POOLS N/A 31406RHN8 74470.870000 PA USD 75718.020000 0.0031696 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 6.078 N N N N N N QUIKRETE HOLDINGS INC 5493007KIN86DIZWZT22 74839XAL3 1389500.000000 PA USD 1395356.740000 0.0584104 Long LON CORP US N 2 2032-02-10 Floating 5.9661 N N N N N N CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA N/A 224939AB4 2000000.000000 PA 630745.890000 0.0264034 Long DBT CORP PE N 2 2045-03-05 Fixed 9.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2W94G7 265000000.000000 PA 1389896.580000 0.0581818 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC 4628.680000 0.0001938 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 159306.000000 USD 5159953.200000 THB 2026-01-21 4628.680000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CL1 1000000.000000 PA USD 817226.250000 0.0342095 Long DBT CORP US N 2 2052-03-15 Fixed 4.625 N N N N N N COUNTRYWIDE HOME LOANS 2005-12 N/A 12669GXK2 68413.420000 PA USD 48413.110000 0.0020266 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -40980.210000 -0.0017155 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4857000.000000 AUD 3200559.490000 USD 2026-01-14 -40980.210000 N N N N/A N/A 000000000 -8300000.000000 NC USD -1647.550000 -0.000069 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 19517.450000 N N N CBAMR 2019-9A N/A 14987VAN9 2400000.000000 PA USD 2402425.940000 0.100567 Long ABS-CBDO CORP KY N 2 2037-07-15 Floating 5.53454 N N N N N N CITY OF DALLAS TEXAS N/A 235218M50 2900000.000000 PA USD 2108135.570000 0.0882477 Long DBT MUN US N 2 2033-02-15 None 0 N N N N N N CPPIB CAPITAL INC 549300KW9NB55HTDK075 12593CAY7 2400000.000000 PA 1826227.610000 0.0764469 Long DBT CORP CA N 2 2034-06-02 Fixed 4.3 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HM8 2400000.000000 PA USD 2140019.810000 0.0895824 Long DBT CORP US N 2 2032-02-01 Fixed 2.75 N N N N N N FNMA PASS THRU POOLS N/A 31407HBG0 239403.610000 PA USD 244264.250000 0.010225 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.734 N N N N N N NEW MEXICO ST HOSP N/A 647370HY4 1000000.000000 PA USD 858825.700000 0.0359509 Long DBT MUN US N 2 2046-08-01 Fixed 4.406 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CCF0 900000.000000 PA USD 894239.840000 0.0374334 Long DBT CORP US N 2 2054-06-15 Fixed 5.8 N N N N N N GSAMP TRUST 2006-FM3 N/A 36245TAD7 169841.580000 PA USD 79680.400000 0.0033355 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.24621 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HD2 900000.000000 PA USD 752025.310000 0.0314802 Long DBT CORP US N 2 2043-06-15 Fixed 4.6 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514Y8A8 800000.000000 PA USD 828455.180000 0.0346796 Long DBT NUSS IL N 2 2030-02-19 Fixed 5.375 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752BF9 4500000.000000 PA USD 4422120.080000 0.185112 Long DBT CORP US N 2 2064-11-01 Fixed 5.85 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 357940.490000 PA USD 353771.310000 0.0148091 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.22621 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 94992.830000 PA USD 79786.020000 0.0033399 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.28621 N N N N N N UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST N/A 90932JAA0 438817.600000 PA USD 403726.320000 0.0169002 Long DBT CORP US N 2 2033-11-01 Fixed 2.7 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 6000000.000000 PA USD 5472926.160000 0.2291 Long DBT CORP US N 2 2032-04-22 Floating 2.615 N N N N N N N/A N/A 000000000 1.000000 NC -25697.720000 -0.0010757 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1581453.270000 CHF 1972568.170000 USD 2026-01-14 -25697.720000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAE3 6605966.530000 PA USD 5828628.580000 0.24399 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.48621 N N N N N N N/A N/A 000000000 1.000000 NC 12981.040000 0.0005434 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2030-04-01 0.000000 MXN 0.000000 MXN 37900000.000000 MXN 12981.040000 N N N COTY INC/HFC PRESTIGE PRODUCTS INC/HFC PRESTIGE INTERNATIONAL US LLC N/A 22207AAC6 800000.000000 PA USD 808032.640000 0.0338247 Long DBT CORP US N 2 2031-01-15 Fixed 5.6 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 2284887.850000 PA USD 2209577.490000 0.0924941 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CR1 4417000.000000 PA USD 3534875.940000 0.147972 Long DBT CORP US N 2 2048-06-01 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 714964.560000 0.0299288 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-30 5365.250000 USD 0.000000 USD 48400000.000000 USD 709599.310000 N N N BENCHMARK 2025-V19 MORTGAGE TRUST N/A 08164DAA4 2900000.000000 PA USD 2939169.720000 0.123035 Long ABS-MBS CORP US N 2 2058-01-15 Variable 4.767 N N N N N N IMPERIAL BRANDS FINANCE NETHERLANDS BV 724500GIEFJOBWGD0272 ACI2CX5L4 2300000.000000 PA 2918148.270000 0.122155 Long DBT CORP NL N 2 2031-02-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -38620.070000 -0.0016167 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 24699914.530000 CNY 3505508.000000 USD 2026-01-21 -38620.070000 N N N STARWOOD PROPERTY TRUST INC BUGSFQZERKRBFWIG5267 85571BBD6 1000000.000000 PA USD 1046623.000000 0.0438122 Long DBT CORP US N 2 2030-07-01 Fixed 6.5 N N N N N N SALES TAX SECURITIZATION CORPORATION N/A 79467BDG7 5030000.000000 PA USD 4595998.520000 0.192391 Long DBT MUN US N 2 2033-01-01 Fixed 3.007 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 900000.000000 PA USD 873291.260000 0.0365564 Long DBT CORP US N 2 2029-08-15 Fixed 3.75 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 2200000.000000 PA 653179.610000 0.0273425 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QDP4 4271000.000000 PA USD 4951904.180000 0.207289 Long DBT CORP MX N 2 2033-02-07 Fixed 10 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2Q7 2800000.000000 PA USD 2723719.600000 0.114016 Long DBT CORP SA N 2 2064-07-17 Fixed 5.875 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAF7 3939113.280000 PA USD 1750823.980000 0.0732904 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.17621 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AS7 2200000.000000 PA USD 2208030.700000 0.0924294 Long DBT CORP CH N 2 2027-08-05 Floating 4.703 N N N N N N N/A N/A 000000000 1.000000 NC 20548.720000 0.0008602 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 569205905.000000 JPY 3657078.000000 USD 2026-01-14 20548.720000 N N N NATIONWIDE FINANCIAL SERVICES INC 5493001H7AZNDS6BKJ36 638612AM3 4000000.000000 PA USD 3036045.160000 0.127091 Long DBT CORP US N 2 2049-11-30 Fixed 3.9 N N N N N N N/A N/A 000000000 1.000000 NC -22226.140000 -0.0009304 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2011226.030000 PEN 575194.770000 USD 2026-02-18 -22226.140000 N N N PIEDMONT HEALTHCARE 254900D1I6W7J0DSAY11 72014TAD1 500000.000000 PA USD 355605.580000 0.0148858 Long DBT CORP US N 2 2042-01-01 Fixed 2.719 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UF3 46700000.000000 PA USD 45776945.550000 1.91625 Long DBT UST US N 2 2044-11-15 Fixed 4.625 N N N N N N CHASE MORTGAGE FINANCE CORP 2005-S3 N/A 16162WNL9 1323662.640000 PA USD 931945.330000 0.0390117 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LR7 1890000.000000 PA USD 830968.550000 0.0347848 Long DBT UST US N 2 2042-08-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -53861.890000 -0.0022547 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14283000.000000 AUD 9478547.310000 USD 2026-01-14 -53861.890000 N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAU2 1300000.000000 PA USD 1316296.200000 0.0551009 Long DBT CORP US N 2 2039-06-15 Fixed 6.75 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 434.660000 PA USD 413.850000 0.0000173 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.24621 N N N N N N N/A N/A 000000000 -625.000000 NC USD 295363.570000 0.0123641 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-03-31 -68254394.380000 USD 295363.570000 N N N N/A N/A 000000000 1.000000 NC 91582.890000 0.0038337 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 78873406.000000 TWD 2602825.000000 USD 2026-01-22 91582.890000 N N N CAPE LOOKOUT RE LTD N/A 13947LAF9 2700000.000000 PA USD 2798280.000000 0.117138 Long DBT CORP BM N 2 2027-04-05 Floating 12.266 N N N N N N AG TRUST 2024-NLP N/A 00792MAA1 760265.090000 PA USD 765366.920000 0.0320387 Long ABS-MBS CORP US N 2 2041-08-15 Floating 5.76576 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 550000.000000 PA USD 547715.700000 0.0229277 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 1.200000 PA 0.150000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N SOUND POINT CLO XXVIII LTD 2020-3A N/A 83615CAL0 1982263.920000 PA USD 1983483.410000 0.0830297 Long ABS-CBDO CORP KY N 2 2032-01-25 Floating 5.13798 N N N N N N N/A N/A 000000000 1.000000 NC 9322.800000 0.0003903 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 27205131.000000 TWD 874060.440000 USD 2026-03-18 9322.800000 N N N N/A N/A 000000000 1.000000 NC 7649.880000 0.0003202 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 532279.450000 USD 9814967.000000 MXN 2026-04-10 7649.880000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1W77N5 1.720000 PA 0.210000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RJ9 14350000.000000 PA USD 11102191.480000 0.464744 Long DBT UST US N 2 2044-11-15 Fixed 3 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CB2 60000.000000 PA USD 62320.160000 0.0026088 Long DBT CORP US N 2 2036-08-01 Fixed 6.1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TC2 10500000.000000 PA USD 7331953.130000 0.30692 Long DBT UST US N 2 2041-11-15 Fixed 2 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR3 N/A 93934FQP0 228225.070000 PA USD 205385.310000 0.0085975 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.99927 N N N N N N N/A N/A 000000000 1.000000 NC 6297.920000 0.0002636 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 926784.000000 USD 2971640.220000 ILS 2026-01-15 6297.920000 N N N BAPTIST HEALTH SOUTH FLORIDA FOUNDATION INC N/A 066836AC1 3300000.000000 PA USD 1931332.850000 0.0808466 Long DBT CORP US N 2 2071-11-15 Fixed 3.115 N N N N N N N/A N/A 000000000 1.000000 NC USD -1491.680000 -0.0000624 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -4251.000000 USD 500000.000000 USD 2759.320000 N N N N/A N/A 000000000 1.000000 NC -22351.040000 -0.0009356 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4394797.810000 PLN 1201759.000000 USD 2026-01-16 -22351.040000 N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017BL7 1100000.000000 PA USD 1122806.450000 0.0470013 Long DBT CORP US N 2 2030-02-15 Fixed 5.05 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAN4 400000.000000 PA USD 336543.900000 0.0140879 Long DBT CORP US N 2 2042-09-30 Fixed 4 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GC93 2300000.000000 PA USD 2376018.840000 0.0994614 Long DBT CORP US N 2 2031-04-23 Floating 5.218 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 1227273.160000 PA USD 1203245.730000 0.0503685 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N ROMARK CLO V LTD N/A 77588PAN2 1200000.000000 PA USD 1200882.500000 0.0502696 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 5.09454 N N N N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAC7 3500000.000000 PA USD 3674826.930000 0.15383 Long DBT CORP US N 2 2028-11-21 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 9100000.000000 PA USD 8166183.570000 0.341841 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -41270.440000 -0.0017276 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 19524688.530000 USD 107575176.390000 BRL 2026-02-03 -41270.440000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEX0 4300000.000000 PA USD 4513087.530000 0.18892 Long DBT CORP US N 2 2036-04-22 Floating 5.572 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 21663.430000 PA USD 21525.360000 0.0009011 Long ABS-MBS CORP US N 2 2034-11-21 Floating 5.63256 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 1126617.440000 PA 62299.770000 0.0026079 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 89585.270000 PA USD 84994.640000 0.0035579 Long ABS-MBS CORP US N 2 2046-03-20 Floating 4.26838 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 13111.320000 PA USD 8815.380000 0.000369 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.22551 N N N N N N KRAFT HEINZ FOODS COMPANY 5493003STKEZ2S0RNU91 50077LBM7 2400000.000000 PA USD 2472906.670000 0.103517 Long DBT CORP US N 2 2032-03-15 Fixed 5.2 N N N N N N FANNIE MAE 2010-90 N/A 31398TXC0 171495.680000 PA USD 171424.720000 0.0071759 Long ABS-MBS USGSE US N 2 2040-08-25 Floating 4.63867 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GT4 1100000.000000 PA USD 769848.120000 0.0322263 Long DBT CORP US N 2 2050-02-01 Fixed 3.65 N N N N N N BENCHMARK 2025-V16 MORTGAGE TRUST N/A 08164RAC9 3200000.000000 PA USD 3328101.120000 0.139316 Long ABS-MBS CORP US N 2 2058-08-15 Fixed 5.439 N N N N N N N/A N/A 000000000 1.000000 NC -2106.450000 -0.0000882 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 326000.000000 CHF 409815.100000 USD 2026-01-14 -2106.450000 N N N N/A N/A 000000000 1.000000 NC -994258.660000 -0.0416202 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 53868100.450000 CAD 38274142.940000 USD 2026-01-14 -994258.660000 N N N ILLINOIS ST 54930048FV8RWPR02D67 452152FA4 76923.100000 PA USD 81527.320000 0.0034128 Long DBT MUN US N 2 2035-04-01 Fixed 6.725 N N N N N N N/A N/A 000000000 1.000000 NC 505.670000 0.0000212 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 298638.560000 USD 4995297329.000000 IDR 2026-01-22 505.670000 N N N SNAM SPA 8156002278562044AF79 83304JAB3 2000000.000000 PA USD 2092735.560000 0.087603 Long DBT CORP IT N 2 2035-05-28 Fixed 5.75 N N N N N N AMERICAN TRANSMISSION SYSTEMS INCORPORATED N/A 030288AB0 200000.000000 PA USD 186576.300000 0.0078102 Long DBT CORP US N 2 2044-09-01 Fixed 5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRL3 6200000.000000 PA USD 6430989.800000 0.269205 Long DBT NUSS IL N 2 2034-03-12 Fixed 5.5 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 980236AR4 3250000.000000 PA USD 3212401.340000 0.134473 Long DBT CORP AU N 2 2034-09-12 Fixed 5.1 N N N N N N N/A N/A 000000000 1.000000 NC 70082.950000 0.0029337 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4752256.000000 USD 17314084.380000 PLN 2026-01-23 70082.950000 N N N SAMMONS FINANCIAL GROUP GLOBAL FUNDING 635400IPRNPM6HDHRS48 79587J2E2 900000.000000 PA USD 902566.480000 0.0377819 Long DBT CORP US N 2 2030-12-12 Fixed 4.8 N N N N N N FANNIE MAE-2004-94 N/A 31394BLK8 353194.250000 PA USD 367472.450000 0.0153826 Long ABS-MBS USGSE US N 2 2034-12-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KJ6 794756.980000 PA USD 737748.350000 0.0308825 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.32621 N N N N N N NATIONAL HEALTH INVS INC 549300ZPKZIG6DKDEC02 63633DAF1 460000.000000 PA USD 418325.430000 0.0175113 Long DBT CORP US N 2 2031-02-01 Fixed 3 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBK5 2800000.000000 PA USD 1790369.080000 0.0749458 Long DBT CORP US N 2 2051-01-15 Fixed 2.95 N N N N N N ARES STRATEGIC INCOME FUND 549300IANZJVZPTICV54 04020EAP2 1100000.000000 PA USD 1087453.090000 0.0455214 Long DBT CORP US N 2 2029-01-15 Fixed 4.85 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 1469844.920000 PA USD 357021.950000 0.0149451 Long ABS-MBS CORP US N 2 2046-11-25 Floating 4.94927 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 7086.140000 PA USD 4784.290000 0.0002003 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.92621 N N N N N N N/A N/A 000000000 1.000000 NC 36877.000000 0.0015437 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-04-16 0.000000 EUR -1946.750000 EUR 1200000.000000 EUR 38823.750000 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PEW8 4600000.000000 PA USD 4152003.290000 0.173805 Long DBT CORP US N 2 2053-04-15 Fixed 5.05 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 2108.490000 PA USD 2023.670000 0.0000847 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.52927 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AD2 1400000.000000 PA USD 1196716.930000 0.0500952 Long DBT CORP US N 2 2039-01-15 Fixed 3.701 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 100000.000000 PA USD 99115.560000 0.004149 Long DBT CORP US N 2 2049-04-15 Fixed 6.25 N N N N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAL6 1000000.000000 PA USD 1001075.000000 0.0419055 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 5.12363 N N N N N N CAPITAL STREET MASTER TRUST 2024-1 N/A 14051LAA0 3000000.000000 PA USD 3001188.600000 0.125631 Long ABS-O CORP US N 2 2028-10-16 Floating 5.32416 N N N N N N N/A N/A 000000000 1.000000 NC -340.070000 -0.0000142 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 74989.000000 USD 2347303.000000 TWD 2026-02-02 -340.070000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GJ6 200000.000000 PA USD 197786.300000 0.0082794 Long DBT CORP US N 2 2028-03-01 Fixed 3.65 N N N N N N THAYER PARK CLO LTD 2017-1A N/A 883310AW4 600000.000000 PA USD 599750.030000 0.0251059 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 4.86847 N N N N N N N/A N/A 000000000 1242.000000 NC USD -435969.520000 -0.0182499 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-20 139443610.000000 USD -435969.520000 N N N ENTERGY ARKANSAS LLC 549300A0I5ONUIFMLP35 29366MAC2 270000.000000 PA USD 184176.050000 0.0077097 Long DBT CORP US N 2 2052-06-15 Fixed 3.35 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBV8 2289000.000000 PA USD 2703988.900000 0.11319 Long DBT CORP IT N 2 2033-11-21 Floating 8.248 N N N N N N EAST LANE RE VII LTD N/A 27332EAA9 2100000.000000 PA USD 2138850.000000 0.0895334 Long DBT CORP KY N 2 2026-03-31 Floating 12.54 N N N N N N KOREA HOUSING FINANCE CORP (KHFC) 9884002AAOBT56QW9B80 50065RAL1 1500000.000000 PA USD 1517422.890000 0.0635201 Long DBT CORP KR N 2 2033-02-24 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 17682.440000 0.0007402 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 415965025.000000 JPY 2675190.000000 USD 2026-01-14 17682.440000 N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 9125.780000 PA USD 8424.840000 0.0003527 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 5.22927 N N N N N N N/A N/A 000000000 1.000000 NC -16548.980000 -0.0006927 N/A DFE NZ N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5601714.070000 NZD 3209681.890000 USD 2026-01-14 -16548.980000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KJ5 1200000.000000 PA USD 1274268.370000 0.0533416 Long DBT CORP US N 2 2033-01-15 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -131954.240000 -0.0055237 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 9577552.000000 AUD 6260060.380000 USD 2026-01-14 -131954.240000 N N N WHEATON COLLEGE IL N/A 96272PAA1 900000.000000 PA USD 972123.930000 0.0406936 Long DBT MUN US N 2 2034-10-01 Fixed 6.09 N N N N N N N/A N/A 000000000 1.000000 NC 19482.610000 0.0008156 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 773130.000000 USD 14347205.350000 MXN 2026-02-27 19482.610000 N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAE5 1000000.000000 PA USD 1010013.100000 0.0422797 Long ABS-O CORP US N 2 2029-04-16 Fixed 5.54 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBZ7 1900000.000000 PA USD 1387222.260000 0.0580699 Long DBT CORP US Y 2 2041-03-25 Fixed 3.65 N N N N N N N/A N/A 000000000 1.000000 NC 765.580000 0.000032 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24398791.000000 JPY 156644.000000 USD 2026-01-14 765.580000 N N N BROWN & BROWN INC 549300PC8KTJ71XKFY89 115236AG6 1650000.000000 PA USD 1706782.210000 0.0714468 Long DBT CORP US N 2 2034-06-11 Fixed 5.65 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WCB4 1729000.000000 PA USD 1681185.280000 0.0703753 Long DBT CORP GB N 2 2064-06-28 Fixed 5.875 N N N N N N LEHMAN ABS MTGE LN TR 2007-1 N/A 52521MAB8 9966.560000 PA USD 6679.660000 0.0002796 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.93621 N N N N N N GOLDEN BEAR RE LTD SERIES 2026-1 N/A 38090EAA8 700000.000000 PA USD 700566.650000 0.0293261 Long DBT CORP BM N 2 2029-01-08 Floating 13.4615 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FK4 100000.000000 PA USD 79265.000000 0.0033181 Long DBT CORP US N 2 2056-12-01 Fixed 4.3 N N N N N N BETH ISRAEL LAHEY HEALTH INC 549300QPZ5W3279DU141 08661UAB2 1490000.000000 PA USD 981072.920000 0.0410682 Long DBT CORP US N 2 2051-07-01 Fixed 3.08 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BZ6 4000000.000000 PA USD 2848687.720000 0.119248 Long DBT CORP US N 2 2041-06-01 Fixed 3.5 N N N N N N CUMULUS STATIC CLO 2024-1 DAC 24-1A N/A ACI2NK2H2 2135448.020000 PA 2513565.960000 0.105219 Long ABS-CBDO CORP IE N 2 2033-11-15 Floating 3.264 N N N N N N N/A N/A 000000000 1.000000 NC -3672.970000 -0.0001538 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1642640.830000 ILS 512109.000000 USD 2026-01-15 -3672.970000 N N N NORTHWOODS CAPITAL XIV-B LTD N/A 66860CAL7 537606.650000 PA USD 537892.920000 0.0225165 Long ABS-CBDO CORP KY N 2 2031-11-13 Floating 5.09094 N N N N N N MAREX GROUP PLC 549300DWX0SVICJAL507 566539AB8 800000.000000 PA USD 813689.760000 0.0340615 Long DBT CORP GB N 2 2028-05-08 Fixed 5.829 N N N N N N SAMMONS FINANCIAL GROUP GLOBAL FUNDING 635400IPRNPM6HDHRS48 79587J2C6 2100000.000000 PA USD 2131696.410000 0.089234 Long DBT CORP US N 2 2030-06-12 Fixed 4.95 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FCU3 1400000.000000 PA USD 1296340.780000 0.0542655 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAZ8 367000.000000 PA USD 300074.710000 0.0125613 Long DBT CORP IE N 2 2041-10-29 Fixed 3.85 N N N N N N N/A N/A 000000000 1.000000 NC 11247.530000 0.0004708 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 660860.190000 USD 2413000.000000 PLN 2026-01-16 11247.530000 N N N GNMA PASS THRU POOLS N/A 3618N5TK5 221645.120000 PA USD 209535.200000 0.0087713 Long ABS-MBS USGSE US N 2 2055-08-20 Fixed 4 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF11 2850000.000000 PA 3544920.260000 0.148392 Long DBT NUSS RO N 2 2028-09-18 Fixed 5.5 N N N N N N ONEMAIN FINANCE CORPORATION 5493008I795YYBFWFU90 682691AB6 1990000.000000 PA USD 1971930.880000 0.0825461 Long DBT CORP US N 2 2027-01-15 Fixed 3.5 N N N N N N TRANSCONTINENTAL GAS PIPE LINE COMPANY LLC N/A 893574AM5 1168000.000000 PA USD 1019527.330000 0.042678 Long DBT CORP US N 2 2048-03-15 Fixed 4.6 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BW3 9400000.000000 PA USD 7597121.170000 0.31802 Long DBT CORP US N 2 2048-05-15 Fixed 4.15 N N N N N N JETBLUE 2020-1 CLASS A PASS THROUGH TRUST N/A 477164AA5 134563.020000 PA USD 128401.580000 0.005375 Long DBT CORP US N 2 2034-05-15 Fixed 4 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 1120000.000000 PA USD 698431.070000 0.0292367 Long DBT CORP US N 2 2050-04-01 Fixed 3.6 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VHJ6 3100000.000000 PA USD 3064937.300000 0.1283 Long DBT CORP US N 2 2055-11-30 Fixed 5.875 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAA1 1080000.000000 PA USD 1060552.680000 0.0443953 Long DBT CORP US N 2 2028-09-01 Fixed 3.875 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MT0 403713.870000 PA USD 354754.480000 0.0148502 Long ABS-MBS CORP US N 2 2035-10-25 Variable 4.61077 N N N N N N NARRAGANSETT ELECTRIC CO/THE VAI0KZ806W8MCH0BCZ61 631005BK0 1400000.000000 PA USD 1445931.200000 0.0605275 Long DBT CORP US N 2 2034-05-01 Fixed 5.35 N N N N N N MEDTRONIC INC D56MRZY2INAN94ZONZ37 ACI30CN23 800000.000000 PA 916264.850000 0.0383553 Long DBT CORP US N 2 2045-10-15 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC -353900.940000 -0.0148145 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 24078953.330000 PEN 6775169.760000 USD 2026-05-13 -353900.940000 N N N DUKE ENERGY OHIO INC L6KC0HABGHNFU1Z6QY21 172070CP7 110000.000000 PA USD 113250.280000 0.0047407 Long DBT CORP US N 2 2033-06-15 Fixed 5.4 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325BK0 720000.000000 PA USD 734040.000000 0.0307273 Long DBT NUSS CO N 2 2037-09-18 Fixed 7.375 N N N N N N N/A N/A 000000000 1.000000 NC 4287.310000 0.0001795 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2108000.000000 NZD 1218361.180000 USD 2026-01-14 4287.310000 N N N N/A N/A 000000000 1.000000 NC 22895.440000 0.0009584 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 928496.290000 USD 17214414.000000 MXN 2026-02-23 22895.440000 N N N AVILEASE CAPITAL LIMITED 635400SXOPVAVBWNE366 05370HAA1 1100000.000000 PA USD 1092091.280000 0.0457155 Long DBT CORP KY N 2 2030-11-12 Fixed 4.75 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AM7 3393000.000000 PA USD 3048602.700000 0.127616 Long DBT CORP US N 2 2048-04-20 Fixed 5 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBV6 2300000.000000 PA USD 2096711.300000 0.0877695 Long DBT CORP GB N 2 2032-11-24 Floating 2.894 N N N N N N N/A N/A 000000000 1.000000 NC 4905.750000 0.0002054 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 949912.000000 USD 15834748.070000 ZAR 2026-01-26 4905.750000 N N N WAMU MORTGAGE P/T CERTIFICATES 2007-OA1 N/A 92926WAA5 254709.380000 PA USD 238747.970000 0.0099941 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.72927 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UQ9 400000.000000 PA USD 390937.500000 0.0163649 Long DBT UST US N 2 2045-11-15 Fixed 4.625 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 242725.610000 PA USD 220686.560000 0.0092381 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.01621 N N N N N N PUBLIC SERVICE COMPANY OF COLORADO 5BANEF6PGSEK0SNMQF44 744448DC2 900000.000000 PA USD 912794.900000 0.0382101 Long DBT CORP US N 2 2035-09-15 Fixed 5.15 N N N N N N BENCHMARK MORTGAGE TRUST 2019-B9 N/A 08160JAE7 4500000.000000 PA USD 4432934.250000 0.185565 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.0156 N N N N N N N/A N/A 000000000 1.000000 NC 15686.000000 0.0006566 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 771178.610000 USD 2825000.000000 PLN 2026-01-16 15686.000000 N N N N/A N/A 000000000 1.000000 NC 11155.870000 0.000467 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2030-04-01 1797.010000 MXN 0.000000 MXN 42900000.000000 MXN 9358.860000 N N N COPT DEFENSE PROPERTIES LP H0TWO5VRNEP6CQAWPX27 12713UAA4 400000.000000 PA USD 398735.160000 0.0166913 Long DBT CORP US N 2 2030-10-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1919.260000 0.0000803 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 382892.900000 USD 34669420.520000 INR 2026-01-30 1919.260000 N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAP9 1000000.000000 PA USD 1020328.930000 0.0427115 Long DBT CORP US N 2 2030-06-15 Fixed 5.15 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2004-IN1 N/A 004421FG3 587011.360000 PA USD 617571.640000 0.0258519 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.82121 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -0.600000 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 6936.900000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI24R197 199324.620000 PA 11014.300000 0.0004611 Long DBT NUSS MX N 2 2026-12-03 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -29787.290000 -0.0012469 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2106000.000000 CHF 2631276.460000 USD 2026-01-14 -29787.290000 N N N UPX HIL 2025-1 ISSUER TRUST N/A 916925AA8 868057.370000 PA USD 875463.460000 0.0366474 Long ABS-O CORP US N 2 2047-01-25 Fixed 5.16 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CK3 2500000.000000 PA USD 2364307.730000 0.0989712 Long DBT CORP US N 2 2032-03-15 Fixed 3.625 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DU6 674000.000000 PA USD 768682.520000 0.0321775 Long DBT CORP US N 2 2064-05-01 Fixed 7.008 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A1 N/A 59020UAC9 2302.230000 PA USD 2192.010000 0.0000918 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.12406 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2W0SC9 700000.000000 PA 858178.040000 0.0359238 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 -26994.600000 -0.00113 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2532343.000000 USD 225717860.960000 INR 2026-01-30 -26994.600000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BJ6 1700000.000000 PA USD 1758746.250000 0.0736221 Long DBT CORP CH N 2 2030-02-08 Floating 5.428 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS8 N/A 75115AAC5 473031.710000 PA USD 401422.470000 0.0168038 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N CVC CORDATUS LOAN FUND XII DAC 12A N/A ACI378M42 1500000.000000 PA 1762799.980000 0.0737918 Long ABS-CBDO CORP IE N 2 2039-01-23 Floating 3.31 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 800000.000000 PA USD 796740.160000 0.033352 Long DBT CORP US N 2 2026-08-18 Fixed 3.5 N N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 280957.860000 PA USD 264256.600000 0.0110619 Long ABS-MBS CORP US N 2 2037-11-25 Variable 4.33974 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 977.240000 PA USD 974.990000 0.0000408 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.08665 N N N N N N CDW LLC / CDW FINANCE CORP N/A 12513GBG3 3200000.000000 PA USD 3158588.930000 0.13222 Long DBT CORP US N 2 2026-12-01 Fixed 2.67 N N N N N N N/A N/A 000000000 1.000000 NC -50412.610000 -0.0021103 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6539982.000000 NZD 3716200.890000 USD 2026-01-14 -50412.610000 N N N GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD N/A 38136NAY2 1000000.000000 PA USD 1000321.230000 0.041874 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.03444 N N N N N N N/A N/A 000000000 1.000000 NC -14984.620000 -0.0006273 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2391154.540000 USD 74631042.000000 TWD 2026-01-22 -14984.620000 N N N N/A N/A 000000000 1.000000 NC -522.040000 -0.0000219 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 112484.000000 USD 3520595.000000 TWD 2026-02-02 -522.040000 N N N LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP N/A 505742AS5 300000.000000 PA USD 307199.400000 0.0128595 Long DBT CORP US N 2 2030-08-01 Fixed 5.5 N N N N N N PEACEHEALTH OBLIGATED GROUP N/A 70462GAC2 1260000.000000 PA USD 818137.380000 0.0342477 Long DBT CORP US N 2 2050-11-15 Fixed 3.218 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 ACI2XB2B4 2000000.000000 PA 2389896.190000 0.100042 Long DBT CORP NL N 2 2031-06-01 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC -12311.280000 -0.0005154 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1779342.000000 USD 276583589.000000 JPY 2026-01-14 -12311.280000 N N N N/A N/A 000000000 1.000000 NC 4975.010000 0.0002083 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1539000.000000 NZD 891341.090000 USD 2026-01-14 4975.010000 N N N N/A N/A 000000000 1.000000 NC 60006.390000 0.0025119 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 2912281.000000 USD 10671675.130000 PLN 2026-01-23 60006.390000 N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAK6 2340000.000000 PA USD 2107004.090000 0.0882003 Long DBT CORP US N 2 2031-08-09 Fixed 2.65 N N N N N N N/A N/A 000000000 1.000000 NC 12216.860000 0.0005114 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 770555.000000 USD 14183297.660000 MXN 2026-03-09 12216.860000 N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 504409.410000 PA USD 468858.990000 0.0196267 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.02927 N N N N N N N/A N/A 000000000 1133.000000 NC USD -34517.000000 -0.0014449 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-31 236535879.760000 USD -34517.000000 N N N AMMC CLO 24 LTD N/A 00177LAJ9 1000000.000000 PA USD 1000256.150000 0.0418713 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.08444 N N N N N N N/A N/A 000000000 1.000000 NC USD -674584.130000 -0.0282385 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-20 109017.500000 USD 0.000000 USD 68400000.000000 USD -783601.630000 N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2003-FFH1 N/A 32027NED9 1921488.710000 PA USD 1935905.450000 0.081038 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.89621 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CMZ1 14300000.000000 PA USD 14413953.130000 0.603376 Long DBT UST US N 2 2030-04-30 Fixed 3.875 N N N N N N LMNT CRE 2025-FL3 LLC N/A 50208TAA9 2100000.000000 PA USD 2103650.280000 0.0880599 Long ABS-CBDO CORP US N 2 2043-07-21 Floating 5.55 N N N N N N TENNESSEE GAS PIPELINE COMPANY LLC N/A 880451AW9 3600000.000000 PA USD 4251436.130000 0.177967 Long DBT CORP US N 2 2032-06-15 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 10216.920000 0.0004277 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2049-11-15 0.000000 USD 0.000000 USD 100000.000000 USD 10216.920000 N N N THL CREDIT WIND RIVER CLO LTD 2017-3A N/A 97316LAJ7 1100000.000000 PA USD 1100943.720000 0.0460861 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 5.10454 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 330000.000000 PA USD 336053.240000 0.0140674 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N N/A N/A 000000000 -218.000000 NC 286151.110000 0.0119784 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-03-06 -30894385.950000 EUR 286151.110000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 ACI1V2G49 400000.000000 PA USD 389899.920000 0.0163214 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 7500000.000000 PA USD 6966408.080000 0.291618 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N N/A N/A 000000000 1.000000 NC -6065.670000 -0.0002539 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1813000.000000 PLN 498920.360000 USD 2026-01-16 -6065.670000 N N N CARLYLE US CLO 2020-2 LTD N/A 14315GAW5 900000.000000 PA USD 899981.890000 0.0376737 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 4.93798 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 29364WBD9 2100000.000000 PA USD 1322860.730000 0.0553757 Long DBT CORP US N 2 2051-03-15 Fixed 2.9 N N N N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAA3 4807943.510000 PA USD 3230443.300000 0.135228 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.14621 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334JW2 3752000.000000 PA USD 3286441.820000 0.137572 Long DBT CORP US N 2 2042-03-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC 1402.170000 0.0000587 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 107300000.000000 JPY 686917.880000 USD 2026-01-14 1402.170000 N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAE9 600000.000000 PA USD 604911.980000 0.0253219 Long DBT CORP US N 2 2028-04-15 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC 792.940000 0.0000332 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2441753.210000 USD 4241000.000000 NZD 2026-01-14 792.940000 N N N EVERGY KANSAS CENTRAL INC J75GNWGEO73W89ZV3S44 30036FAD3 2100000.000000 PA USD 2141852.580000 0.0896591 Long DBT CORP US N 2 2035-03-15 Fixed 5.25 N N N N N N N/A N/A 000000000 -5097.000000 NC USD 5345137.580000 0.22375 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-03-20 -584920567.760000 USD 5345137.580000 N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 26316.160000 PA USD 25304.220000 0.0010592 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.79571 N N N N N N ATLAS SENIOR LOAN FUND XV LTD N/A 04942MAN4 995994.490000 PA USD 996746.080000 0.0417243 Long ABS-CBDO CORP KY N 2 2032-10-23 Floating 5.0798 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 37061.120000 PA USD 33536.500000 0.0014039 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.52927 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2H7 1600000.000000 PA USD 1423598.130000 0.0595926 Long DBT CORP US N 2 2032-01-06 Fixed 2.9 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAR4 430000.000000 PA USD 386413.840000 0.0161755 Long DBT CORP US N 2 2031-10-28 Fixed 2.875 N N N N N N SKANDINAVISKA ENSKILDA BANKEN AB F3JS33DEI6XQ4ZBPTN86 830505BK8 1500000.000000 PA USD 1506932.100000 0.063081 Long DBT CORP SE N 2 2030-09-03 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -26848.550000 -0.0011239 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3553975.250000 ILS 1089084.000000 USD 2026-01-15 -26848.550000 N N N VENTURE 44 CLO LTD N/A 92332KAQ4 1000000.000000 PA USD 1000301.090000 0.0418731 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.02444 N N N N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAH3 3400000.000000 PA USD 3239076.400000 0.13559 Long DBT CORP US N 2 2028-08-09 Fixed 2.375 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAG5 1300000.000000 PA USD 1296268.480000 0.0542625 Long DBT CORP US N 2 2026-06-15 Fixed 3.85 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JP3 1200000.000000 PA USD 1200000.000000 0.0502326 Long DBT CORP US N 2 2026-01-01 Fixed 3.15 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 16589.350000 PA USD 16720.470000 0.0006999 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.38621 N N N N N N NORTHERN NATURAL GAS COMPANY 5493007M02M6CT9EXE41 665501AL6 6100000.000000 PA USD 4911617.640000 0.205603 Long DBT CORP US N 2 2049-01-15 Fixed 4.3 N N N N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 551670.840000 PA USD 554143.980000 0.0231968 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.20621 N N N N N N PFIZER NETHERLANDS INTERNATIONAL FINANCE BV 254900YI79T8NMNA4349 ACI2X5WP3 600000.000000 PA 706979.900000 0.0295946 Long DBT CORP NL N 2 2029-05-19 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC -429.180000 -0.000018 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2739090.000000 INR 30000.000000 USD 2026-01-20 -429.180000 N N N NATIONAL GRID USA MOM4570XTJ5YYX7JKH83 49337WAJ9 120000.000000 PA USD 125952.820000 0.0052725 Long DBT CORP US N 2 2035-04-01 Fixed 5.803 N N N N N N PUBLIC STORAGE OPERATING COMPANY 549300LMZF40TKJ6DM64 ACI30PXB3 1700000.000000 PA 1969061.100000 0.082426 Long DBT CORP US N 2 2034-01-20 Fixed 3.5 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BH5 6919000.000000 PA USD 7479328.300000 0.313089 Long DBT CORP NL N 2 2034-09-11 Floating 6.114 N N N N N N N/A N/A 000000000 1.000000 NC 10232.360000 0.0004283 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 228500000.000000 JPY 1470067.780000 USD 2026-01-14 10232.360000 N N N INVSC-5A N/A ACI2VXQH9 1600000.000000 PA 1882372.920000 0.0787971 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 3.029 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAK3 1100000.000000 PA USD 1146163.570000 0.047979 Long DBT CORP US N 2 2030-07-01 Fixed 5.5 N N N N N N TOPAZ SOLAR FARMS LLC N/A 89054XAD7 3210775.000000 PA USD 2877657.090000 0.12046 Long DBT CORP US N 2 2039-09-30 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 490796.580000 0.020545 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 7400000.000000 USD 490796.580000 N N N JDE PEETS NV 724500EHG519SE5ZRT89 47216QAC7 300000.000000 PA USD 261569.600000 0.0109494 Long DBT CORP NL N 2 2031-09-24 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 3512.710000 0.000147 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-11-15 2089.800000 USD 0.000000 USD 100000.000000 USD 1422.910000 N N N N/A N/A 000000000 1.000000 NC -1935.220000 -0.000081 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 76633191.600000 INR 850000.000000 USD 2026-01-12 -1935.220000 N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AK3 1800000.000000 PA USD 1661601.220000 0.0695555 Long DBT CORP US N 2 2028-10-12 Fixed 3.125 N N N N N N LOUISVILLE GAS & ELECTRIC KO3GRIB3RPH1XDX50U72 546676AZ0 2000000.000000 PA USD 2095540.680000 0.0877205 Long DBT CORP US N 2 2033-04-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -341.880000 -0.0000143 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 74989.000000 USD 2347246.000000 TWD 2026-02-02 -341.880000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CT3 8300000.000000 PA USD 6207893.450000 0.259866 Long DBT CORP US N 2 2049-01-15 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 12892.780000 0.0005397 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 879061.620000 USD 3202465.430000 PLN 2026-01-23 12892.780000 N N N CENCORA INC AI8GXW8LG5WK7E9UD086 ACI2X73C0 700000.000000 PA 829220.530000 0.0347116 Long DBT CORP US N 2 2032-05-22 Fixed 3.625 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KDT4 3600000.000000 PA 2670656.910000 0.111795 Long DBT CORP US N 2 2035-06-12 Fixed 4.67 N N N N N N N/A N/A 000000000 1.000000 NC -12453.500000 -0.0005213 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 13960059.460000 THB 431065.600000 USD 2026-01-21 -12453.500000 N N N INDIGO CREDIT MANAGEMENT II DAC 2A N/A ACI2RZY31 1250000.000000 PA 1470085.730000 0.0615386 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 3.209 N N N N N N COUNTRYWIDE HOME LOANS 2005-1 N/A 12669GRM5 89699.880000 PA USD 78952.090000 0.003305 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.48621 N N N N N N N/A N/A 000000000 -3900000.000000 NC USD -1911.390000 -0.00008 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 7302.360000 N N N CARLYLE FINANCE LLC N/A 14314CAA3 6000000.000000 PA USD 5881025.580000 0.246183 Long DBT CORP US N 2 2048-09-15 Fixed 5.65 N N N N N N N/A N/A 000000000 1.000000 NC 9425.040000 0.0003945 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 519672.000000 USD 1899563.300000 PLN 2026-01-16 9425.040000 N N N N/A N/A 000000000 1.000000 NC -46421.120000 -0.0019432 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9491201.670000 USD 16399000.000000 NZD 2026-01-14 -46421.120000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLR0 1520000.000000 PA USD 1546273.440000 0.0647278 Long DBT UST US N 2 2029-10-31 Fixed 4.125 N N N N N N UMBS PASS THRU POOLS N/A 01F060618 35300000.000000 PA USD 36248995.320000 1.5174 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 10920.190000 0.0004571 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1443325.250000 USD 10135000.000000 CNY 2026-01-21 10920.190000 N N N BROOKFIELD FINANCE II LLC N/A 11271RAB5 50000.000000 PA USD 34637.930000 0.00145 Long DBT CORP US N 2 2050-04-15 Fixed 3.45 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 6300000.000000 PA USD 6411115.370000 0.268373 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 3104056.050000 PA USD 1332941.890000 0.0557977 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.30621 N N N N N N N/A N/A 000000000 1.000000 NC -13175.410000 -0.0005515 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2199679.980000 USD 68674009.000000 TWD 2026-01-22 -13175.410000 N N N N/A N/A 000000000 -350108625.000000 PA USD -350225619.630000 -14.6606 Short RA US N 2 Reverse repurchase N 4.010000 2026-01-06 438500000.000000 USD 346124639.600000 USD UST N N N N/A N/A 000000000 1.000000 NC 6.190000 0.0000003 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 188.460000 USD 3522.640000 MXN 2026-02-25 6.190000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB37 2100000.000000 PA USD 2158399.590000 0.0903518 Long DBT CORP US N 2 2035-07-23 Floating 5.33 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SJ8 32576000.000000 PA USD 20438895.160000 0.855583 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BU5 2300000.000000 PA USD 2317877.280000 0.0970276 Long DBT CORP CA N 2 2055-03-15 Fixed 6.1 N N N N N N REINSURANCE GROUP OF AMERICA INCORPORATED LORM1GNEU1DKEW527V90 759351AR0 2100000.000000 PA USD 2241798.570000 0.0938429 Long DBT CORP US N 2 2033-09-15 Fixed 6 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBH5 1143000.000000 PA USD 1051028.870000 0.0439966 Long DBT CORP US N 2 2054-09-15 Fixed 5.75 N N N N N N CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI 81560029E2CE4D14F425 147918AB2 3000000.000000 PA USD 3016495.230000 0.126272 Long DBT MUN IT N 2 2026-05-05 Fixed 5.75 N N N N N N WEIR GROUP INC 2138009WEPEV2V98AV65 94877DAA2 1300000.000000 PA USD 1336309.290000 0.0559386 Long DBT CORP US N 2 2030-05-06 Fixed 5.35 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBV0 1000000.000000 PA USD 1057381.510000 0.0442626 Long DBT CORP JP N 2 2034-07-03 Fixed 5.783 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 3113010.000000 PA USD 3126605.200000 0.130881 Long DBT UST US N 2 2034-07-15 Fixed 1.875 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 3200000.000000 PA USD 3104064.640000 0.129938 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 29029.740000 PA USD 28318.250000 0.0011854 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.22927 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SL3 22030000.000000 PA USD 12920250.890000 0.540849 Long DBT UST US N 2 2050-02-15 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 41263.000000 0.0017273 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 31500640.000000 TWD 1044208.580000 USD 2026-01-22 41263.000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05366DAA6 3500000.000000 PA USD 3742392.400000 0.156659 Long DBT CORP US N 2 2030-07-15 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 287.390000 0.000012 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 349554.010000 USD 1256000.000000 PLN 2026-01-16 287.390000 N N N CLEVELAND ELECTRIC ILLUMINATING COMPANY N/A 186108CL8 3500000.000000 PA USD 3487215.060000 0.145977 Long DBT CORP US N 2 2030-11-15 Fixed 4.55 N N N N N N NORTHWELL HEALTHCARE INC 54930073NUTKK4QD3P47 667274AC8 1800000.000000 PA USD 1482226.240000 0.0620468 Long DBT CORP US N 2 2047-11-01 Fixed 4.26 N N N N N N N/A N/A 000000000 1.000000 NC 3765.560000 0.0001576 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2030-04-01 0.000000 MXN 0.000000 MXN 19000000.000000 MXN 3765.560000 N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 130624.450000 PA USD 119980.950000 0.0050225 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.2708 N N N N N N FEDERAL FARM CREDIT BANKS (AKA: FEDERAL FARM CREDIT BANKS FUNDING CORP) 254900C5LP6DN9OP9V83 31331VEG7 500000.000000 PA USD 523550.680000 0.0219161 Long DBT USGSE US N 2 2029-07-09 Fixed 5.125 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3V3 5800000.000000 PA USD 6081473.830000 0.254574 Long DBT CORP US N 2 2036-04-23 Floating 5.605 N N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 128042.460000 PA USD 105439.340000 0.0044137 Long ABS-MBS CORP US N 2 2035-10-25 Variable 5.19001 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EQ9 3400000.000000 PA USD 3272815.420000 0.137002 Long DBT CORP US N 2 2053-06-01 Fixed 5.4 N N N N N N PIEDMONT HEALTHCARE 254900D1I6W7J0DSAY11 72014TAE9 500000.000000 PA USD 317780.400000 0.0133025 Long DBT CORP US N 2 2052-01-01 Fixed 2.864 N N N N N N ARIZONA PUBLIC SERVICE COMPANY YG6VT0TPHRH4TFVAQV64 040555DC5 20000.000000 PA USD 11926.620000 0.0004993 Long DBT CORP US N 2 2050-09-15 Fixed 2.65 N N N N N N AEP TRANSMISSION COMPANY LLC 549300X123Z1I0LA3Y84 00115AAM1 50000.000000 PA USD 37280.960000 0.0015606 Long DBT CORP US N 2 2050-04-01 Fixed 3.65 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 800000.000000 PA USD 806670.550000 0.0337677 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523CZ1 2000000.000000 PA USD 2037406.320000 0.0852869 Long DBT CORP US N 2 2036-01-15 Fixed 5.25 N N N N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137AL1 12750000.000000 PA USD 15746878.830000 0.659173 Long DBT CORP US N 2 2040-01-15 Fixed 7.375 N N N N N N CLECO POWER LLC TM1ZH54SJKLNHFCBFK92 185508AJ7 800000.000000 PA USD 808275.200000 0.0338348 Long DBT CORP US N 2 2036-01-15 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC USD 275127.620000 0.011517 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 T-MOBILE USA INC T-MOBILE USA INC SR UNSEC Y Single Leg Swap 2028-06-20 413173.310000 USD 0.000000 USD 2400000.000000 USD -138045.690000 N N N N/A N/A 000000000 1.000000 NC 4381.720000 0.0001834 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1603483.000000 USD 5772553.230000 PLN 2026-01-16 4381.720000 N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 12803RAH7 900000.000000 PA USD 959689.670000 0.0401731 Long DBT CORP ES N 2 2035-06-15 Floating 6.037 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A2 N/A 59020UGT6 31391.460000 PA USD 30872.720000 0.0012923 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.61861 N N N N N N N/A N/A 000000000 650.000000 NC USD -74841.000000 -0.0031329 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2027-06-15 157425937.500000 USD -74841.000000 N N N LAZARD GROUP LLC FI94J2CJ1D7BIGVMS874 52107QAK1 1800000.000000 PA USD 1804163.080000 0.0755232 Long DBT CORP US N 2 2029-03-11 Fixed 4.375 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-9AR N/A 61748JAB3 2524356.390000 PA USD 531894.510000 0.0222654 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.14621 N N N N N N N/A N/A 000000000 1.000000 NC 15338.760000 0.0006421 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2034-06-01 11710.170000 CAD 0.000000 CAD 5500000.000000 CAD 3628.590000 N N N N/A N/A 000000000 1.000000 NC 1166.760000 0.0000488 N/A DFE NZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 537000.000000 NZD 310444.590000 USD 2026-01-14 1166.760000 N N N N/A N/A 000000000 1.000000 NC -11162.230000 -0.0004673 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3554614.360000 ILS 1104971.000000 USD 2026-01-15 -11162.230000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBT6 1400000.000000 PA USD 1177664.290000 0.0492977 Long DBT CORP US N 2 2052-03-14 Fixed 4.95 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KB2 2000000.000000 PA USD 1988233.180000 0.0832285 Long DBT CORP US N 2 2029-03-01 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC 3040.870000 0.0001273 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1830000.000000 USD 57560233.000000 TWD 2026-01-20 3040.870000 N N N N/A N/A 000000000 1.000000 NC 3101.070000 0.0001298 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1750512.000000 USD 5584833.480000 ILS 2026-01-15 3101.070000 N N N TXNM ENERGY INC 5493003JOBJGLZSDDQ28 69349HAJ6 800000.000000 PA USD 797835.940000 0.0333978 Long DBT CORP US N 2 2056-07-31 Floating 7 N N N N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI1T3QV9 6400000.000000 PA 7300981.640000 0.305623 Long DBT NUSS CI N 2 2032-01-30 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 199779.350000 0.0083629 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6461753.800000 USD 4942015.000000 GBP 2026-01-14 199779.350000 N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBZ2 700000.000000 PA USD 717991.720000 0.0300555 Long DBT CORP US N 2 2029-05-15 Floating 5.737 N N N N N N N/A N/A 000000000 1.000000 NC 10753.470000 0.0004501 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 839869.250000 USD 15467704.000000 MXN 2026-04-13 10753.470000 N N N N/A N/A 000000000 1.000000 NC 20755.450000 0.0008688 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BARCLAYS PLC BARCLAYS PLC SR UNSEC SOFR Y Single Leg Swap 2030-12-20 16080.580000 EUR 0.000000 EUR 1000000.000000 EUR 4674.870000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RCG2 2746261.410000 PA USD 2460247.070000 0.102987 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 3.25 N N N N N N ARBOUR CLO DAC 11A N/A ACI2P5HV6 2000000.000000 PA 2355307.850000 0.0985945 Long ABS-CBDO CORP IE N 2 2038-05-15 Floating 3.394 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBR5 2150000.000000 PA USD 2265651.900000 0.0948414 Long DBT CORP CA N 2 2033-03-08 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC -1060.760000 -0.0000444 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6396551.000000 INR 70000.000000 USD 2026-01-20 -1060.760000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HD8 4700000.000000 PA USD 4218107.870000 0.176572 Long DBT CORP US N 2 2031-06-01 Fixed 2.5 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB1 N/A 1248MGAJ3 23897.180000 PA USD 7064.030000 0.0002957 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.98621 N N N N N N FANNIEMAE WHOLE LOAN 2002-W8 N/A 31392DQ70 2288.100000 PA USD 2221.320000 0.000093 Long ABS-MBS USGSE US N 2 2032-09-25 Floating 4.38867 N N N N N N CANADIAN NATURAL RESOURCES LIMITED 549300T15RIMIKZC5Q38 136385BE0 400000.000000 PA USD 407361.780000 0.0170524 Long DBT CORP CA N 2 2034-12-15 Fixed 5.4 N N N N N N BANK5 2025-5YR19 N/A 05494RBF8 7100000.000000 PA USD 7199855.820000 0.30139 Long ABS-MBS CORP US N 2 2058-12-15 Fixed 4.793 N N N N N N UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST N/A 90931MAA4 231150.140000 PA USD 225573.570000 0.0094426 Long DBT CORP US N 2 2030-01-07 Fixed 3.45 N N N N N N CI FINANCIAL CORP 549300M9W7JJQSVCEM78 125491AT7 150000.000000 PA USD 159630.670000 0.0066822 Long DBT CORP CA N 2 2029-05-30 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC 12589.270000 0.000527 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 848980.900000 USD 15670065.000000 MXN 2026-04-15 12589.270000 N N N EMBRAER NETHERLANDS FINANCE BV 724500PBR8LR26XBSP67 29082HAE2 1130000.000000 PA USD 1201500.750000 0.0502955 Long DBT CORP NL N 2 2035-02-11 Fixed 5.98 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR1 N/A 45669BAD4 65704.950000 PA USD 59040.730000 0.0024715 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.61542 N N N N N N N/A N/A 000000000 1.000000 NC 2718.310000 0.0001138 N/A DFE CH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 434000.000000 CHF 551104.670000 USD 2026-01-14 2718.310000 N N N NAPA VALLEY UNIFIED SCHOOL DISTRICT N/A 6303614J9 900000.000000 PA USD 966088.440000 0.040441 Long DBT MUN US N 2 2043-08-01 Fixed 6.507 N N N N N N NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY FUTURE TAX SECURED REVENUE N/A 64972JLP1 4095000.000000 PA USD 3949526.760000 0.165329 Long DBT MUN US N 2 2037-05-01 Fixed 4.375 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 3029.170000 PA USD 2974.720000 0.0001245 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.1093 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABN4 1900000.000000 PA USD 1271471.680000 0.0532245 Long DBT CORP US N 2 2051-02-15 Fixed 3.3 N N N N N N N/A N/A 000000000 -20.000000 NC USD -6337.840000 -0.0002653 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 112.000000 USD 2026-01-23 XXXX -2924.040000 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VHG2 3000000.000000 PA USD 2975693.700000 0.124564 Long DBT CORP US N 2 2036-01-15 Fixed 5 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB6 N/A 12669GBA8 5343.060000 PA USD 5150.280000 0.0002156 Long ABS-MBS CORP US N 2 2034-11-20 Floating 5.27604 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A N/A ACI309N95 1200000.000000 PA 1410417.400000 0.0590408 Long ABS-CBDO CORP IE N 2 2035-07-15 Floating 3.047 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 44488000.000000 PA USD 42176133.480000 1.76552 Long ABS-MBS USGSE US N 2 2056-02-12 Fixed 4 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCB9 3800000.000000 PA USD 2451175.100000 0.102608 Long DBT CORP US Y 2 2061-03-25 Fixed 4.1 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XAW5 900000.000000 PA USD 691218.820000 0.0289348 Long DBT CORP US N 2 2044-07-08 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 214660.460000 0.0089858 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-04-30 0.000000 USD 0.000000 USD 25900000.000000 USD 214660.460000 N N N N/A N/A 000000000 1.000000 NC -10875.780000 -0.0004553 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 991848.000000 USD 88380103.810000 INR 2026-01-30 -10875.780000 N N N KENTUCKY UTILITIE CO. AGX0G2MXE54NFNNICD28 491674BN6 2000000.000000 PA USD 2102013.120000 0.0879914 Long DBT CORP US N 2 2033-04-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC USD 29463.460000 0.0012334 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD -1520.480000 USD 200000.000000 USD 30983.940000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GC44 2000000.000000 PA USD 2076904.860000 0.0869404 Long DBT CORP US N 2 2036-01-28 Floating 5.536 N N N N N N KKR CLO 27 LTD N/A 48253YBL1 500000.000000 PA USD 500002.300000 0.0209304 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 5.01454 N N N N N N DUKE ENERGY PROGRESS LLC (AKA: PROGRESS ENERGY CAROLINAS INC) 0NIFZ782LS46WOC9QK20 26442UAK0 2390000.000000 PA USD 1399503.860000 0.058584 Long DBT CORP US N 2 2050-08-15 Fixed 2.5 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AL1 719000.000000 PA USD 757792.290000 0.0317216 Long DBT CORP US N 2 2034-08-15 Fixed 6.2 N N N N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAE7 1200000.000000 PA USD 1134823.160000 0.0475043 Long DBT CORP US N 2 2032-04-15 Fixed 3.625 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 4044.660000 PA USD 3946.330000 0.0001652 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.84016 N N N N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 B3CPY8II2 300000.000000 PA 435270.920000 0.0182207 Long DBT CORP JE N 2 2033-12-10 Fixed 6.45 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3VF1 1690000.000000 PA 1312208.330000 0.0549297 Long DBT NUSS RO N 2 2042-04-13 Fixed 2.875 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2D6 1400000.000000 PA USD 1319827.000000 0.0552487 Long DBT CORP US N 2 2028-09-15 Fixed 1.95 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DR7 1596000.000000 PA USD 1687709.990000 0.0706485 Long DBT CORP GB N 2 2028-11-03 Floating 7.39 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1026635.070000 PA USD 10000452.190000 0.418624 Long STIV RF US N 1 N N N CONTINENTAL WIND LLC N/A 212168AA6 973067.210000 PA USD 997510.580000 0.0417563 Long DBT CORP US N 2 2033-02-28 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 419082.510000 0.017543 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 -276199.140000 GBP 75400000.000000 GBP 695281.650000 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCV5 1300000.000000 PA USD 1038588.710000 0.0434759 Long DBT CORP US N 2 2064-09-27 Fixed 5.5 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-5 N/A 54251PAD9 14696465.320000 PA USD 6958960.030000 0.291306 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.14621 N N N N N N 37 CAPITAL CLO II 2022-1A N/A 88429PAU6 1000000.000000 PA USD 1001863.830000 0.0419386 Long ABS-CBDO CORP JE N 2 2034-07-15 Floating 5.19454 N N N N N N N/A N/A 000000000 1.000000 NC -37000.780000 -0.0015489 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 25767371.670000 CNY 3660294.000000 USD 2026-01-21 -37000.780000 N N N VOYA CLO 2019-2A LTD N/A 92917RAL3 1383417.140000 PA USD 1384325.230000 0.0579486 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.08444 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAP0 200000.000000 PA USD 183772.220000 0.0076928 Long DBT CORP GB N 2 2032-03-15 Floating 2.896 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HN6 2300000.000000 PA USD 1530548.640000 0.0640696 Long DBT CORP US N 2 2052-02-01 Fixed 3.45 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAR2 6200000.000000 PA USD 6249788.600000 0.26162 Long DBT CORP DK N 2 2028-06-12 Fixed 4.375 N N N N N N ISRAEL ELECTRIC CORPORATION LTD 254900JW7GE35YNJGJ55 ACI23Q596 2400000.000000 PA USD 2251620.120000 0.094254 Long DBT CORP IL N 2 2032-02-22 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -41129.660000 -0.0017217 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3364402.000000 USD 299408227.190000 INR 2026-01-30 -41129.660000 N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAH9 3300000.000000 PA USD 3301486.980000 0.138202 Long DBT CORP KY N 2 2028-08-26 Fixed 5.625 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 980236AT0 3200000.000000 PA USD 3286655.010000 0.137581 Long DBT CORP AU N 2 2030-05-19 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -149511.360000 -0.0062586 N/A DFE ZA N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 69752184.200000 ZAR 4056468.000000 USD 2026-01-26 -149511.360000 N N N VITALITY RE XVI LTD N/A 92849FAA6 250000.000000 PA USD 250425.000000 0.0104829 Long DBT CORP KY N 2 2030-01-08 Floating 5.33 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SK5 875000.000000 PA USD 562255.860000 0.0235363 Long DBT UST US N 2 2049-11-15 Fixed 2.375 N N N N N N EQT AB 213800U7P9GOIRKCTB34 29439EAA7 2200000.000000 PA USD 2260534.560000 0.0946272 Long DBT CORP SE N 2 2035-05-08 Fixed 5.85 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 200000.000000 PA USD 164186.280000 0.0068729 Long DBT CORP US N 2 2033-11-15 Fixed 2.65 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AU3 721000.000000 PA USD 717550.350000 0.030037 Long DBT CORP US N 2 2054-09-15 Fixed 6.25 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 15894451.730000 PA USD 806082.350000 0.033743 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.242 N N N N N N SANTOS FINANCE LTD 213800BKUBSWG53XNS94 803014AC3 700000.000000 PA USD 696507.560000 0.0291562 Long DBT CORP AU N 2 2035-11-13 Fixed 5.75 N N N N N N BROOKFIELD FINANCE I UK PLC / BROOKFIELD FINANCE INC N/A 11272BAA1 5190000.000000 PA USD 4552472.390000 0.190569 Long DBT CORP GB N 2 2032-01-30 Fixed 2.34 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JT5 1700000.000000 PA USD 1584547.190000 0.06633 Long DBT CORP US N 2 2031-06-01 Fixed 3.25 N N N N N N INDIGO CREDIT MANAGEMENT I DAC 1A N/A ACI37FVH7 1000000.000000 PA 1175201.870000 0.0491946 Long ABS-CBDO CORP IE N 2 2037-10-15 Floating 3.36 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 210385AC4 4900000.000000 PA USD 5232452.800000 0.219033 Long DBT CORP US N 2 2033-03-01 Fixed 5.8 N N N N N N TIAA CLO IV LTD 2018-1A N/A 88631YAL1 336148.070000 PA USD 336311.780000 0.0140782 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.02444 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DT9 1200000.000000 PA USD 1348654.040000 0.0564554 Long DBT CORP US N 2 2054-05-01 Fixed 6.858 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FCV1 300000.000000 PA USD 244287.740000 0.010226 Long DBT CORP US N 2 2041-02-15 Fixed 3.5 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 6342.150000 PA USD 6004.640000 0.0002514 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.37266 N N N N N N GLOBAL ATLANTIC (FIN) COMPANY 98450051B2E65CAA7E94 37959GAB3 1500000.000000 PA USD 1358244.330000 0.0568568 Long DBT CORP US N 2 2031-06-15 Fixed 3.125 N N N N N N AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST N/A 02377AAA6 1097827.780000 PA USD 1093891.630000 0.0457909 Long DBT CORP US N 2 2028-04-01 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC USD -205011.610000 -0.0085819 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -32946.000000 USD 10200000.000000 USD -172065.610000 N N N BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST 635400GSHSFIWYIDXC76 11043XAB9 39184.570000 PA USD 38145.840000 0.0015968 Long DBT CORP US N 2 2030-12-15 Fixed 3.35 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAH4 715000.000000 PA USD 714294.180000 0.0299007 Long DBT CORP US N 2 2026-01-15 Fixed 1.57 N N N N N N UNITED AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST N/A 90932EAA1 421549.670000 PA USD 406916.330000 0.0170337 Long DBT CORP US N 2 2030-04-07 Fixed 2.875 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAT2 900000.000000 PA USD 940589.710000 0.0393736 Long DBT CORP GB N 2 2029-01-10 Floating 6.534 N N N N N N N/A N/A 000000000 1.000000 NC -14488.840000 -0.0006065 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2303981.280000 USD 3301644342.000000 KRW 2026-02-13 -14488.840000 N N N N/A N/A 000000000 1.000000 NC 717.620000 0.00003 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1440000.000000 USD 45288418.000000 TWD 2026-01-30 717.620000 N N N N/A N/A 000000000 1.000000 NC 37869.360000 0.0015852 N/A DFE KR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 2097265.000000 USD 3078558725.000000 KRW 2026-01-08 37869.360000 N N N N/A N/A 000000000 -3900000.000000 NC USD -1222.650000 -0.0000512 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 7991.100000 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PEX6 5000000.000000 PA USD 4480935.050000 0.187574 Long DBT CORP US N 2 2063-04-15 Fixed 5.2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LX4 810000.000000 PA USD 351496.720000 0.0147138 Long DBT UST US N 2 2042-11-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -181037.840000 -0.0075783 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10415578.000000 AUD 6770271.520000 USD 2026-01-14 -181037.840000 N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAS2 3900000.000000 PA USD 3983850.000000 0.166766 Long DBT CORP KY N 2 2054-06-28 Fixed 6.4 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAD0 4800000.000000 PA USD 3699609.940000 0.154868 Long DBT CORP LU N 2 2031-06-10 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -5700.310000 -0.0002386 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 821696.290000 PLN 223171.810000 USD 2026-01-16 -5700.310000 N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAN5 2100000.000000 PA USD 2052117.900000 0.0859028 Long DBT CORP KY N 2 2027-03-08 Variable 2.3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3W1 4000000.000000 PA USD 4129804.760000 0.172876 Long DBT CORP US N 2 2031-04-23 Floating 5.15 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CT0 2000000.000000 PA USD 1769153.720000 0.0740577 Long DBT CORP US N 2 2031-10-01 Fixed 2.15 N N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 14111.960000 PA USD 14043.660000 0.0005879 Long ABS-MBS CORP US N 2 2030-11-25 Floating 4.81325 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DS1 2400000.000000 PA USD 2656104.260000 0.111186 Long DBT CORP US N 2 2034-05-01 Fixed 6.528 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 4869.560000 PA USD 2418.560000 0.0001012 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.91621 N N N N N N N/A N/A 000000000 1.000000 NC 220277.690000 0.0092209 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 189459704.000000 TWD 6252465.350000 USD 2026-01-22 220277.690000 N N N N/A N/A 000000000 1.000000 NC 11117.000000 0.0004654 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3305982739.000000 KRW 2303981.280000 USD 2026-01-08 11117.000000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087R48 3400000.000000 PA 2421243.600000 0.101355 Long DBT NUSS CA N 2 2034-06-01 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RK6 15520000.000000 PA USD 10996162.420000 0.460305 Long DBT UST US N 2 2045-02-15 Fixed 2.5 N N N N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 09261BAD2 2300000.000000 PA USD 1983128.060000 0.0830148 Long DBT CORP US N 2 2032-01-30 Fixed 2 N N N N N N BLACK HILLS CORPORATION 3MGELCRSTNSAMJ962671 092113AX7 704000.000000 PA USD 751678.170000 0.0314657 Long DBT CORP US N 2 2035-01-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1113.410000 0.0000466 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 238656.000000 USD 7529119.000000 TWD 2026-01-20 1113.410000 N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 46653KAC2 300000.000000 PA USD 234570.440000 0.0098192 Long DBT CORP NL N 2 2052-04-08 Fixed 4.5 N N N N N N UNITED AIRLINES 2019-1 CLASS A PASS THROUGH TRUST N/A 90931EAA2 1652793.880000 PA USD 1610848.450000 0.067431 Long DBT CORP US N 2 2031-08-25 Fixed 4.55 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 351054.680000 PA USD 316090.900000 0.0132317 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.20338 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI354S05 2200000.000000 PA 2585439.980000 0.108228 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.336 N N N N N N MERRILL LYNCH MORTGAGE INV INC 2004-WMC5 N/A 59020UMF9 517382.560000 PA USD 518777.060000 0.0217163 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.77621 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 217733.880000 PA USD 205004.440000 0.0085816 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.05621 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AX9 200000.000000 PA USD 160197.640000 0.006706 Long DBT CORP US N 2 2050-10-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -24.880000 -0.000001 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 9910754.260000 INR 2026-02-02 -24.880000 N N N N/A N/A 000000000 668.000000 NC USD -121427.000000 -0.005083 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2027-09-14 161726975.000000 USD -121427.000000 N N N RENESAS ELECTRONICS CORPORATION 5299000EPC47VJQOFB81 75972BAB7 4900000.000000 PA USD 4812309.550000 0.201446 Long DBT CORP JP N 2 2026-11-25 Fixed 2.17 N N N N N N STELLANTIS FINANCIAL SERVICES US CORP N/A 85855FAB9 800000.000000 PA USD 812815.790000 0.0340249 Long DBT CORP US N 2 2030-09-15 Fixed 5.4 N N N N N N POPULAR INC (AKA: BANCO POPULAR DE PUERTO RICO) 5493008CARDZMVQ3LO89 733174AL0 2400000.000000 PA USD 2530980.000000 0.105948 Long DBT CORP PR N 2 2028-03-13 Fixed 7.25 N N N N N N N/A N/A 000000000 1.000000 NC 1475.130000 0.0000617 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 540000.000000 USD 48783877.020000 INR 2026-01-30 1475.130000 N N N OPTION ONE MORTGAGE LOAN TRUST 2005-2 N/A 68389FHC1 502114.980000 PA USD 490319.750000 0.020525 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.58121 N N N N N N N/A N/A 000000000 1.000000 NC 1915.500000 0.0000802 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 367889.000000 USD 11612416.000000 TWD 2026-01-20 1915.500000 N N N ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 01166VAA7 1398534.790000 PA USD 1407649.320000 0.058925 Long DBT CORP US N 2 2029-02-15 Fixed 4.8 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB6 N/A 59020UJC0 261358.270000 PA USD 255838.910000 0.0107096 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.74621 N N N N N N N/A N/A 000000000 1.000000 NC 7838.870000 0.0003281 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 864437.820000 USD 14465882.830000 ZAR 2026-01-26 7838.870000 N N N N/A N/A 000000000 1.000000 NC -7341.550000 -0.0003073 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1305100.100000 PLN 356176.000000 USD 2026-01-16 -7341.550000 N N N N/A N/A 000000000 1.000000 NC 18727.810000 0.000784 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 886363.000000 USD 3249455.510000 PLN 2026-01-16 18727.810000 N N N N/A N/A 000000000 1.000000 NC 33755.060000 0.001413 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1376174.480000 USD 25529000.000000 MXN 2026-03-02 33755.060000 N N N ALLIANT ENERGY FINANCE LLC 54930033ER6EOI5DL570 01882YAC0 1000000.000000 PA USD 993407.700000 0.0415846 Long DBT CORP US N 2 2026-03-15 Fixed 1.4 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 127454.070000 PA USD 118579.600000 0.0049638 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.61284 N N N N N N N/A N/A 000000000 1.000000 NC -39241.390000 -0.0016427 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8782283.930000 USD 48273580.080000 BRL 2026-02-03 -39241.390000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBK5 4000000.000000 PA USD 3978000.000000 0.166521 Long DBT NUSS MX N 2 2033-03-22 Fixed 5.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UD8 109900000.000000 PA USD 100897644.810000 4.22363 Long DBT UST US N 2 2044-08-15 Fixed 4.125 N N N N N N CENOVUS ENERGY INC 549300F4XPHJ7NOSP309 15135UBB4 1800000.000000 PA USD 1798483.900000 0.0752855 Long DBT CORP CA N 2 2036-03-20 Fixed 5.4 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2Z6 1000000.000000 PA USD 1029699.890000 0.0431038 Long DBT CORP FR N 2 2030-11-19 Floating 5.283 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833Z52 8900000.000000 PA USD 5277799.680000 0.220932 Long DBT UST US N 2 2037-08-15 None 0 N N N N N N AMERICAN AIRLINES 2021-1 CLASS A PASS THROUGH TRUST N/A 02379KAA2 83913.040000 PA USD 76862.010000 0.0032175 Long DBT CORP US N 2 2036-01-11 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 668.830000 0.000028 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10027318.000000 TWD 320000.000000 USD 2026-01-08 668.830000 N N N CHARLES RIVER RE LTD N/A 159873AA6 250000.000000 PA USD 261925.000000 0.0109643 Long DBT CORP BM N 2 2031-05-10 Floating 11.252 N N N N N N N/A N/A 000000000 1.000000 NC -1109.320000 -0.0000464 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 679365.670000 MXN 36527.000000 USD 2026-01-30 -1109.320000 N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCH6 900000.000000 PA USD 921178.080000 0.038561 Long DBT CORP US N 2 2028-06-01 Fixed 5.45 N N N N N N SBA TOWER TRUST N/A 78403DBD1 4300000.000000 PA USD 4330766.070000 0.181288 Long DBT CORP US N 2 2029-10-15 Fixed 4.831 N N N N N N FANNIE MAE REMICS 2016-90 N/A 3136AUML2 483109.280000 PA USD 383231.270000 0.0160423 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 3 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CF5 3779000.000000 PA USD 3236695.400000 0.13549 Long DBT CORP US N 2 2051-06-15 Fixed 4.663 N N N N N N ALLIANT ENERGY FINANCE LLC 54930033ER6EOI5DL570 01882YAD8 1700000.000000 PA USD 1580765.470000 0.0661717 Long DBT CORP US N 2 2032-03-01 Fixed 3.6 N N N N N N DATABRICKS INC 984500FEDAC7FBD96273 23803RAB7 1941201.640000 PA USD 1975172.670000 0.0826818 Long LON CORP US N 2 2031-01-03 Floating 8.2722 N N N N N N FANNIE MAE WHOLE LOAN 2003-W2 N/A 31392JAQ2 3597.570000 PA USD 3645.090000 0.0001526 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC 10074.340000 0.0004217 N/A DFE ZA N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 856141.000000 USD 14365361.070000 ZAR 2026-01-26 10074.340000 N N N OGLETHORPE POWER CORPORATION (AN ELECTRIC MEMBERSHIP CORPORATION) 3EERXCUSWMS9GV5D9M98 677050AN6 1358000.000000 PA USD 1219220.630000 0.0510372 Long DBT CORP US N 2 2048-10-01 Fixed 5.05 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 960.520000 PA USD 946.760000 0.0000396 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 4.17704 N N N N N N TYSON FOODS INC WD6L6041MNRW1JE49D58 902494BL6 1700000.000000 PA USD 1758115.620000 0.0735957 Long DBT CORP US N 2 2029-03-15 Fixed 5.4 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HDN2 2200000.000000 PA USD 2189727.650000 0.0916632 Long DBT CORP US N 2 2036-09-11 Floating 5.197 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659BF7 400000.000000 PA USD 337028.610000 0.0141082 Long DBT CORP US N 2 2053-05-01 Fixed 4.6 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 ACI2XLY76 600000.000000 PA 697803.220000 0.0292104 Long DBT CORP US N 2 2032-06-06 Fixed 3.25 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LVB4 1400000.000000 PA USD 1405221.130000 0.0588233 Long DBT CORP US N 2 2029-10-01 Fixed 4.6 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAS4 13450000.000000 PA USD 14983177.470000 0.627204 Long DBT CORP FR N 2 2034-10-19 Floating 7.003 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2G9 1600000.000000 PA USD 1571420.500000 0.0657805 Long DBT CORP US N 2 2027-01-06 Fixed 2.25 N N N N N N UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 90931GAA7 1776464.730000 PA USD 1822786.760000 0.0763028 Long DBT CORP US N 2 2029-04-15 Fixed 5.875 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAF6 5200000.000000 PA USD 5660557.550000 0.236954 Long DBT CORP US N 2 2036-10-15 Fixed 6.625 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR1 N/A 45669BAF9 106167.740000 PA USD 94159.580000 0.0039416 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.76143 N N N N N N UMBS PASS THRU POOLS N/A 01F060618 -10300000.000000 PA USD -10576902.320000 -0.442755 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 6 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A4 N/A 589929W87 2284.860000 PA USD 2247.680000 0.0000941 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7 N N N N N N N/A N/A 000000000 1.000000 NC -35886.730000 -0.0015022 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5288844.160000 ILS 1624787.000000 USD 2026-01-15 -35886.730000 N N N N/A N/A 000000000 1.000000 NC -18562.510000 -0.000777 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7571000.000000 EUR 8882671.960000 USD 2026-01-14 -18562.510000 N N N INDIANA MICHIGAN POWER COMPANY JHR9V15J0ZRG02MIRD06 454889AU0 1780000.000000 PA USD 1188308.620000 0.0497432 Long DBT CORP US N 2 2051-05-01 Fixed 3.25 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HCC1 2300000.000000 PA USD 2370858.400000 0.0992454 Long DBT CORP JP N 2 2030-07-15 Floating 7 N N N N N N MARS INCORPORATED 54930073HKEO6GZBSS03 571676AY1 1200000.000000 PA USD 1226599.010000 0.0513461 Long DBT CORP US N 2 2030-03-01 Fixed 4.8 N N N N N N INVITATION HOMES TRUST 2024-SFR1 N/A 46188DAA6 7387345.460000 PA USD 7279751.730000 0.304734 Long ABS-MBS CORP US N 2 2041-09-17 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QZ4 24610000.000000 PA USD 19911989.390000 0.833527 Long DBT UST US N 2 2043-02-15 Fixed 3.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 33584.260000 0.0014059 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2049-11-15 0.000000 USD 0.000000 USD 300000.000000 USD 33584.260000 N N N N/A N/A 000000000 1.000000 NC -35536.640000 -0.0014876 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3999628.300000 ILS 1220329.000000 USD 2026-01-15 -35536.640000 N N N GSAMP TRUST 2007-H1 N/A 36245YAW4 4798332.220000 PA USD 2384287.920000 0.0998076 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.24621 N N N N N N CARVAL CLO LTD 2018-1A N/A 146865AJ9 848068.670000 PA USD 848503.320000 0.0355188 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 5.12363 N N N N N N BGCLO 19A N/A 09075JAU3 3300000.000000 PA USD 3314023.940000 0.138727 Long ABS-CBDO CORP KY N 2 2037-07-17 Floating 5.47163 N N N N N N N/A N/A 000000000 1.000000 NC 14391.280000 0.0006024 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 910397.330000 USD 16811033.000000 MXN 2026-04-10 14391.280000 N N N NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST N/A 957IHHII1 1000000.000000 PA USD 1020329.040000 0.0427115 Long DBT CORP US Y 3 2034-10-05 Fixed 5.25 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 7800000.000000 PA 8291061.780000 0.347068 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N VENTURE GLOBAL PLAQUEMINES LNG LLC 549300TKP4I6OJ02BF90 922966AD8 500000.000000 PA USD 512380.170000 0.0214485 Long DBT CORP US N 2 2036-01-15 Fixed 6.75 N N N N N N ARES STRATEGIC INCOME FUND 549300IANZJVZPTICV54 04020EAK3 1600000.000000 PA USD 1616700.670000 0.067676 Long DBT CORP US N 2 2030-09-09 Fixed 5.8 N N N N N N AKER BP ASA 549300NFTY73920OYK69 55037AAB4 1600000.000000 PA USD 1470451.860000 0.0615539 Long DBT CORP NO N 2 2031-07-15 Fixed 3.1 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AH1 5600000.000000 PA USD 5511704.580000 0.230723 Long DBT CORP CH N 2 2027-08-10 Floating 1.494 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 400000.000000 PA USD 400512.110000 0.0167657 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC 31255.240000 0.0013084 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 377600000.000000 JPY 2443657.230000 USD 2026-01-14 31255.240000 N N N CITY OF HOPE/THE 549300QIQJNNQEIXBL15 17858PAB7 1010000.000000 PA USD 831485.720000 0.0348064 Long DBT CORP US N 2 2048-08-15 Fixed 4.378 N N N N N N FREDDIE MAC 3440 N/A 31397T2X9 177232.910000 PA USD 182986.390000 0.0076599 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834KH0 450000.000000 PA USD 213704.340000 0.0089458 Long DBT UST US N 2 2041-05-15 None 0 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAN9 700000.000000 PA USD 705197.500000 0.0295199 Long DBT CORP US N 2 2030-07-15 Fixed 4.65 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M N/A 12636GAA9 4300000.000000 PA USD 4111444.570000 0.172107 Long ABS-MBS CORP US N 2 2036-10-10 Fixed 3.14 N N N N N N FARM CREDIT BANK OF TEXAS V1EBJIOLRNYDHDF63Z33 30767EAE9 500000.000000 NS USD 524655.000000 0.0219623 Long EP USGSE US N 2 N N N FHLMC PASS THRU POOLS N/A 3128NCFN9 6637.450000 PA USD 6816.160000 0.0002853 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 6.725 N N N N N N WASHINGTON MUTUAL 2007-OA2 N/A 933635AA2 124274.350000 PA USD 111356.340000 0.0046614 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.72927 N N N N N N BANK LEUMI LE-ISRAEL BM 7JDSZWRGUQY2DSTWCR57 ACI2C9XL6 1000000.000000 PA USD 1046880.000000 0.043823 Long DBT CORP IL N 2 2033-07-18 Floating 7.129 N N N N Y BANK LEUMI LE-ISRAEL BM ILS XXXX N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TG2 941000.000000 PA USD 932287.220000 0.039026 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 695.550000 0.0000291 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 496884.000000 USD 8308894248.000000 IDR 2026-01-22 695.550000 N N N N/A N/A 000000000 1.000000 NC 21943.180000 0.0009186 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1143319.870000 USD 1680142849.000000 KRW 2026-01-08 21943.180000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HH3 100000.000000 PA USD 84798.020000 0.0035497 Long DBT CORP US N 2 2044-02-15 Fixed 4.75 N N N N N N CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI 81560029E2CE4D14F425 147918AF3 2500000.000000 PA USD 2513075.000000 0.105199 Long DBT MUN IT N 2 2030-10-01 Fixed 4.375 N N N N N N TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE 254900OVY0XI1DFYC092 BA0005336 5000000.000000 PA 5877010.560000 0.246015 Long LON CORP LU N 3 2029-06-11 Floating 3.522 N N N N N N GREENKO POWER II LIMITED 254900YYA4B6O2O4JM12 39530MAA6 311600.000000 PA USD 295532.630000 0.0123712 Long DBT CORP MU N 2 2028-12-13 Fixed 4.3 N N N N N N MASTR SPECIALIZED LOAN TRUST 2006-2 N/A 57643AAA8 1008087.430000 PA USD 993613.010000 0.0415932 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.36621 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 384403.930000 PA USD 367160.070000 0.0153695 Long ABS-MBS CORP US N 2 2035-12-20 Floating 4.48838 N N N N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 5000000.000000 PA USD 4499871.400000 0.188367 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 32220.690000 0.0013488 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 27542517.000000 TWD 909144.000000 USD 2026-01-22 32220.690000 N N N HANOVER INSURANCE GROUP INC (AKA: ALLMERICA FINANCIAL CORP) JJYR6MFKFF6CF8DBZ078 410867AH8 1500000.000000 PA USD 1526102.700000 0.0638835 Long DBT CORP US N 2 2035-09-01 Fixed 5.5 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KR1 2400000.000000 PA USD 2240426.350000 0.0937855 Long DBT CORP US N 2 2052-05-15 Fixed 5.125 N N N N N N URSA RE II LTD N/A 91734PAK2 300000.000000 PA USD 300000.000000 0.0125582 Long DBT CORP BM N 2 2028-06-07 Floating 11.6095 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 17600000.000000 PA 1090349.760000 0.0456426 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N MARS INCORPORATED 54930073HKEO6GZBSS03 571676BB0 500000.000000 PA USD 504298.360000 0.0211102 Long DBT CORP US N 2 2045-05-01 Fixed 5.65 N N N N N N BEAR STEARNS MTGE FUND TR 2006-AR3 N/A 07400HAA1 1371223.300000 PA USD 1221978.670000 0.0511527 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.20621 N N N N N N N/A N/A 000000000 1.000000 NC USD -315274.940000 -0.0131976 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 72000000.000000 USD -315274.940000 N N N TEXAS NATURAL GAS SECURITIZATION FINANCE CORP N/A 88258MAB1 2600000.000000 PA USD 2654205.060000 0.111107 Long DBT MUN US N 2 2041-04-01 Fixed 5.169 N N N N N N FREDDIE MAC 2248 N/A 3133TPV48 218.070000 PA USD 218.070000 0.0000091 Long ABS-MBS USGSE US N 2 2030-09-15 Floating 4.59833 N N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAA8 12868.620000 PA USD 6519.600000 0.0002729 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.91621 N N N N N N N/A N/A 000000000 1.000000 NC 1.900000 0.0000001 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 158.960000 USD 5063.090000 THB 2026-01-21 1.900000 N N N CHILDRENS HOSPITAL CENTRAL CALIFORNIA (AKA: VALLEY CHILDREN'S HOSPITAL) 549300F2WKRHTL1QGF12 919451AA2 2000000.000000 PA USD 1666144.140000 0.0697457 Long DBT CORP US N 2 2048-03-15 Fixed 4.399 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 72907.850000 PA USD 74721.570000 0.0031279 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 6.30905 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 36765.600000 PA USD 30854.120000 0.0012916 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.40621 N N N N N N N/A N/A 000000000 1.000000 NC -807.750000 -0.0000338 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 27944870.950000 INR 310000.000000 USD 2026-01-08 -807.750000 N N N N/A N/A 000000000 1.000000 NC 315837.520000 0.0132211 N/A DCR JE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GLENCORE FINANCE (EUROPE) LIMITED GLENCORE FINANCE EUROPE Y Single Leg Swap 2029-12-20 337914.570000 EUR 0.000000 EUR 1600000.000000 EUR -22077.050000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC N/A 05377RHM9 7300000.000000 PA USD 7660314.860000 0.320665 Long ABS-O CORP US N 2 2030-02-20 Fixed 6.02 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJY8 47560325.000000 PA USD 47308807.930000 1.98037 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N UMBS PASS THRU POOLS N/A 01F042624 22700000.000000 PA USD 22142466.440000 0.926896 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 312929X72 141.530000 PA USD 145.570000 0.0000061 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N BARINGS EURO CLO 2025-1 DAC 25-1A N/A ACI379GS4 1000000.000000 PA 1175199.990000 0.0491945 Long ABS-CBDO CORP IE N 2 2039-08-15 Floating 3.335 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAB9 274185.900000 PA USD 274489.480000 0.0114903 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.75 N N N N N N LINCOLN FINANCIAL GLOBAL FUNDING 984500OC010458395923 53359KAC5 300000.000000 PA USD 302195.990000 0.0126501 Long DBT CORP US N 2 2030-08-18 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -51.650000 -0.0000022 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9818.330000 USD 1528725.000000 JPY 2026-01-14 -51.650000 N N N N/A N/A 000000000 1.000000 NC 19940.410000 0.0008347 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 780011.000000 USD 14480046.200000 MXN 2026-02-27 19940.410000 N N N N/A N/A 000000000 1.000000 NC -9250.670000 -0.0003872 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2062898.830000 ILS 638490.460000 USD 2026-01-15 -9250.670000 N N N N/A N/A 000000000 1.000000 NC 10.280000 0.0000004 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 358.650000 USD 16301.210000 TRY 2026-02-12 10.280000 N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEJ9 800000.000000 PA USD 944447.680000 0.0395351 Long DBT MUN US N 2 2041-02-15 Fixed 7.834 N N N N N N N/A N/A 000000000 1.000000 NC 99344.170000 0.0041586 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3213232.650000 USD 2457513.000000 GBP 2026-01-14 99344.170000 N N N WELLFLEET CLO 2021-2 LTD N/A 95023AAL4 800000.000000 PA USD 800350.060000 0.0335031 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.05454 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HA8 2790000.000000 PA USD 2118674.690000 0.0886889 Long DBT CORP US N 2 2042-08-15 Fixed 3.75 N N N N N N LONGLEAF PINE RE LTD N/A 54307MAA6 900000.000000 PA USD 989595.000000 0.041425 Long DBT CORP BM N 2 2031-05-27 Floating 21.516 N N N N N N NATIONAL SECURITIES CLEARING CORPORATION 549300RYC9NELN2ICA34 637639AM7 4000000.000000 PA USD 4113973.720000 0.172213 Long DBT CORP US N 2 2029-06-26 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 54755.990000 0.0022921 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-29 0.000000 EUR -12392.000000 EUR 4400000.000000 EUR 67147.990000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 1.050000 PA 0.130000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N MV CREDIT EURO CLO III DAC 3A N/A ACI35DCS1 1400000.000000 PA 1645280.810000 0.0688723 Long ABS-CBDO CORP IE N 2 2038-02-15 Floating 3.364 N N N N N N COUNTY OF FRESNO CA 549300JJ6NWR5CVGI705 358266CH5 3800000.000000 PA USD 3138625.200000 0.131384 Long DBT MUN US N 2 2030-08-15 None 0 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 100000.000000 PA USD 74226.800000 0.0031072 Long DBT CORP US N 2 2040-04-01 Fixed 3.6 N N N N N N GNMA PASS THRU POOLS N/A 21H042612 300000.000000 PA USD 292265.630000 0.0122344 Long ABS-MBS USGSE US N 2 2056-01-22 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 89030000.000000 PA USD 65607458.760000 2.74636 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -39319.120000 -0.0016459 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24852492.660000 CNY 3526702.000000 USD 2026-01-21 -39319.120000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 12360000.000000 PA USD 9516234.440000 0.398355 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N 123 LIGHTS RE LTD N/A 68302QAA2 250000.000000 PA USD 258125.000000 0.0108053 Long DBT CORP BM N 2 2031-09-14 Floating 14.58 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACT0 3500000.000000 PA USD 2355176.150000 0.0985889 Long DBT CORP US N 2 2052-10-15 Fixed 3.4 N N N N N N CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC) 549300CTE3HOMEUMM603 12505BAG5 1900000.000000 PA USD 2034397.940000 0.085161 Long DBT CORP US N 2 2034-08-15 Fixed 5.95 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDX4 2500000.000000 PA USD 2562514.630000 0.107268 Long DBT CORP US N 2 2035-03-15 Fixed 5.45 N N N N N N KENTUCKY UTILITIE CO. AGX0G2MXE54NFNNICD28 491674BM8 70000.000000 PA USD 48452.350000 0.0020282 Long DBT CORP US N 2 2050-06-01 Fixed 3.3 N N N N N N QUERCUS II RE DESIGNATED ACTIVITY COMPANY 635400PTO1PTKKKHEA32 ACI37KKF2 300000.000000 PA 352560.000000 0.0147584 Long DBT CORP IE N 3 2031-01-07 Floating 14.6068 N N N N N N KREF 2022-FL3 LTD N/A 48275EAA4 1872453.650000 PA USD 1875179.890000 0.078496 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 5.18104 N N N N N N AMERICAN FINANCIAL GROUP INC 549300AFOM7IVKIU1G39 025932AL8 7400000.000000 PA USD 6233457.780000 0.260936 Long DBT CORP US N 2 2047-06-15 Fixed 4.5 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 207582.280000 PA USD 202063.890000 0.0084585 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.42621 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 1522309.060000 PA USD 1462253.510000 0.0612107 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.48838 N N N N N N N/A N/A 000000000 1.000000 NC -38501.960000 -0.0016117 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19011518.780000 ZAR 1107871.540000 USD 2026-01-26 -38501.960000 N N N ROMARK CREDIT FUNDING III LTD 2025-4A N/A 77588RAA6 2900000.000000 PA USD 2918174.300000 0.122156 Long ABS-CBDO CORP KY N 2 2043-07-29 Fixed 5.423 N N N N N N CORP NACIONAL DEL COBRE DE CHILE CODELCO (CODELCO) 549300UVMBCBCIPSUI70 21987BBL1 3000000.000000 PA USD 3208500.000000 0.13431 Long DBT CORP CL N 2 2035-01-13 Fixed 6.33 N N N N N N FLEX INTERMEDIATE HOLDCO LLC 549300290TQIGM30A243 33939HAA7 5000000.000000 PA USD 4608523.050000 0.192915 Long DBT CORP US N 2 2031-06-30 Fixed 3.363 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBC3 1550000.000000 PA USD 1407720.630000 0.0589279 Long DBT CORP US N 2 2030-06-15 Fixed 2.1 N N N N N N N/A N/A 000000000 -1100000.000000 NC USD -1502.160000 -0.0000629 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 849.090000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680CG6 2900000.000000 PA USD 2724120.220000 0.114033 Long DBT CORP US N 2 2064-11-01 Fixed 5.85 N N N N N N N/A N/A 000000000 1.000000 NC 5442.760000 0.0002278 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1240000.000000 GBP 1676886.720000 USD 2026-01-14 5442.760000 N N N FANNIE MAE 2001-28 N/A 313920EU0 20330.600000 PA USD 20773.480000 0.0008696 Long ABS-MBS USGSE US N 2 2031-07-25 Fixed 6 N N N N N N FMR LLC 6X064LF7Y6B4DKF2GZ26 30251BAE8 11300000.000000 PA USD 10764171.520000 0.450594 Long DBT CORP US N 2 2043-02-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC 1269.100000 0.0000531 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 252409.000000 USD 7965873.000000 TWD 2026-01-20 1269.100000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAC5 2100000.000000 PA USD 2249363.720000 0.0941596 Long DBT CORP US N 2 2033-03-15 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC 32605.810000 0.0013649 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 948352.000000 USD 42820463.680000 TRY 2026-01-27 32605.810000 N N N GNMA PASS THRU POOLS N/A 21H040624 11000000.000000 PA USD 10388984.430000 0.434889 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 4 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAA4 2026355.150000 PA USD 1957252.390000 0.0819316 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.40621 N N N N N N GROSVENOR PLACE CLO 2024-2 DAC 24-2A N/A ACI2RYX19 1700000.000000 PA 1999297.010000 0.0836917 Long ABS-CBDO CORP IE N 2 2039-01-15 Floating 3.249 N N N N N N ARES CAPITAL CORPORATION WEQ82666OJYSI5GUAB47 04010LBA0 1500000.000000 PA USD 1481074.380000 0.0619986 Long DBT CORP US N 2 2026-07-15 Fixed 2.15 N N N N N N TCW CLO AMR LTD 2019-1A N/A 87241EAQ8 1300000.000000 PA USD 1300975.000000 0.0544595 Long ABS-CBDO CORP KY N 2 2034-08-16 Floating 5.15081 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834KV9 170000.000000 PA USD 78226.040000 0.0032746 Long DBT UST US N 2 2041-11-15 None 0 N N N N N N DUKE ENERGY PROGRESS LLC (AKA: PROGRESS ENERGY CAROLINAS INC) 0NIFZ782LS46WOC9QK20 26442UAQ7 4100000.000000 PA USD 4266498.420000 0.178598 Long DBT CORP US N 2 2033-03-15 Fixed 5.25 N N N N N N MDPK-2021-39A N/A 55821LAJ3 1000000.000000 PA USD 1001350.630000 0.0419171 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 5.10735 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128337V6 71900000.000000 PA USD 50595820.050000 2.11797 Long DBT UST US N 2 2034-05-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 9213.350000 0.0003857 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 671825.000000 USD 2445062.750000 PLN 2026-01-16 9213.350000 N N N N/A N/A 000000000 1.000000 NC USD -653546.920000 -0.0273578 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 134400000.000000 USD -653546.920000 N N N WELLFLEET CLO 2021-1 LTD N/A 94950CAL0 600000.000000 PA USD 600731.000000 0.0251469 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.06444 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEV4 2000000.000000 PA USD 2067571.740000 0.0865497 Long DBT CORP US N 2 2031-01-24 Floating 5.14 N N N N N N ACCIDENT FUND INSURANCE CO OF AMERICA 2549009NUX96RJZ6DQ30 00452AAA8 2000000.000000 PA USD 2012508.900000 0.0842447 Long DBT CORP US N 2 2032-08-01 Fixed 8.5 N N N N N N GAZPROM PJSC VIA GAZ FINANCE PLC 213800UNP9N6BPNYMQ45 ACI1Z4642 8000000.000000 PA USD 5200000.000000 0.217675 Long DBT CORP RU N 2 2031-07-14 Fixed 3.5 N N N N N N KIZUNA RE III PTE LTD 984500004749BBB42B88 49835JAB2 490000.000000 PA USD 501686.500000 0.0210009 Long DBT CORP SG N 2 2029-04-09 Floating 6.54556 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLG6 2719978.650000 PA USD 1209806.790000 0.0506432 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N DATABRICKS INC 984500FEDAC7FBD96273 BA000D1C1 429652.620000 PA USD 437171.540000 0.0183002 Long LON CORP US N 2 2031-01-03 Floating 1 N N N N N N GSAMP TRUST 2006-FM1 N/A 362334PJ7 184568.100000 PA USD 125107.070000 0.005237 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.16621 N N N N N N TENNESSEE VALLEY AUTHORITY (TVA) 549300HE1ISW43LNKM54 880591FD9 4800000.000000 PA USD 4971795.070000 0.208122 Long DBT USGA US N 2 2035-05-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -29491.080000 -0.0012345 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-01 0.000000 USD -4987.500000 USD 1500000.000000 USD -24503.580000 N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 183069.640000 PA USD 50126.870000 0.0020983 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.24621 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3Q2 3500000.000000 PA USD 3596907.580000 0.150568 Long DBT CORP US N 2 2029-01-09 Fixed 5.583 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-12 N/A 17307GY69 19874.030000 PA USD 19412.630000 0.0008126 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.64621 N N N N N N ELEVATION CLO 2022-16A LTD N/A 28623YAU7 1000000.000000 PA USD 999188.900000 0.0418266 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 4.98798 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SR0 44275000.000000 PA USD 28109436.410000 1.17668 Long DBT UST US N 2 2040-05-15 Fixed 1.125 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GBA5 2768000.000000 PA USD 3193322.580000 0.133674 Long DBT CORP NL N 2 2032-10-14 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -376135.560000 -0.0157452 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 72000000.000000 USD -376135.560000 N N N ANTOFAGASTA PLC 213800MY6QVH4FVLD628 03718NAD8 700000.000000 PA USD 721525.000000 0.0302034 Long DBT CORP GB N 2 2035-09-09 Fixed 5.625 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C92 5900000.000000 PA USD 6158202.110000 0.257786 Long DBT CORP US N 2 2028-05-12 Fixed 6.8 N N N N N N F&G GLOBAL FUNDING 6354009CCUKJIZ7KFX73 30321L2J0 1000000.000000 PA USD 1039008.720000 0.0434935 Long DBT CORP US N 2 2030-01-16 Fixed 5.875 N N N N N N JP MORGAN MORTGAGE TRUST 2019-6 N/A 46651BAL4 85665.720000 PA USD 82567.490000 0.0034563 Long ABS-MBS CORP US N 2 2049-12-25 Floating 4.74621 N N N N N N ENTERGY TEXAS INC LWXX58X12AJXISQ28573 29365TAK0 3200000.000000 PA USD 2824220.450000 0.118223 Long DBT CORP US N 2 2031-03-15 Fixed 1.75 N N N N N N HORIZON AIRCRAFT FINANCE I LTD 2018-1 N/A 440405AE8 831516.330000 PA USD 824394.560000 0.0345096 Long ABS-O CORP US N 2 2038-12-15 Fixed 4.458 N N N N N N DAE SUKUK (DIFC) LTD 635400AMGMPG1J5EQD94 23302JAC9 800000.000000 PA USD 790680.640000 0.0330983 Long DBT CORP AE N 2 2030-10-16 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -9514.900000 -0.0003983 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4499000.000000 EUR 5279965.210000 USD 2026-01-14 -9514.900000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-4 N/A 86363LAB9 74770.560000 PA USD 70199.290000 0.0029386 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.28621 N N N N N N FNMA PASS THRU POOLS N/A 31407VFQ3 3210.380000 PA USD 3324.470000 0.0001392 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.275 N N N N N N QUIKRETE HOLDINGS INC 5493007KIN86DIZWZT22 74839XAK5 1053279.600000 PA USD 1058272.150000 0.0442998 Long LON CORP US N 2 2029-03-19 Floating 5.9661 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LK2 1240000.000000 PA USD 553478.940000 0.0231689 Long DBT UST US N 2 2042-05-15 None 0 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 4596484.290000 PA USD 4474607.590000 0.187309 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.903 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 045054AJ2 1200000.000000 PA USD 1187341.700000 0.0497028 Long DBT CORP US N 2 2028-05-01 Fixed 4 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DG7 1000000.000000 PA USD 998137.080000 0.0417826 Long DBT CORP US N 2 2026-02-04 Fixed 2.196 N N N N N N N/A N/A 000000000 1.000000 NC 294014.610000 0.0123076 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 10609822.370000 USD 196803717.110000 MXN 2026-01-29 294014.610000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBT7 2000000.000000 PA USD 1958880.820000 0.0819998 Long DBT CORP US N 2 2032-04-15 Fixed 4.15 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SH2 405000.000000 PA USD 290698.240000 0.0121688 Long DBT UST US N 2 2049-05-15 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC -12621.650000 -0.0005283 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 861000.000000 EUR 999657.160000 USD 2026-01-14 -12621.650000 N N N SYMPHONY CLO 36 LTD 2025-52A N/A 87170MAC6 1100000.000000 PA USD 1100000.000000 0.0460466 Long ABS-CBDO CORP KY N 2 2036-01-20 Floating 4.84458 N N N N N N BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST N/A 11043XAA1 143540.920000 PA USD 135825.570000 0.0056857 Long DBT CORP US N 2 2034-06-15 Fixed 3.3 N N N N N N N/A N/A 000000000 1.000000 NC 65714.960000 0.0027509 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 55045033.000000 TWD 1818288.000000 USD 2026-01-22 65714.960000 N N N N/A N/A 000000000 1.000000 NC 27539.220000 0.0011528 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2396107.510000 USD 16891000.000000 CNY 2026-01-21 27539.220000 N N N N/A N/A 000000000 1.000000 NC -2820.530000 -0.0001181 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5583415.570000 ILS 1750512.000000 USD 2026-02-19 -2820.530000 N N N KRAFT HEINZ FOODS COMPANY 5493003STKEZ2S0RNU91 50076QAN6 310000.000000 PA USD 335036.150000 0.0140248 Long DBT CORP US N 2 2040-02-09 Fixed 6.5 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND33 4200000.000000 PA USD 3788324.400000 0.158581 Long DBT MUN US N 2 2032-06-01 Fixed 3.037 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB50 200000.000000 PA USD 177965.360000 0.0074497 Long DBT MUN US N 2 2034-06-01 Fixed 2.746 N N N N N N FNMA PASS THRU POOLS N/A 31403NVY0 8211.900000 PA USD 8424.440000 0.0003527 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 634.880000 0.0000266 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 25580817.000000 JPY 164065.000000 USD 2026-01-14 634.880000 N N N MATTEL INC 549300VELLG24KHTJ564 577081BG6 400000.000000 PA USD 402892.720000 0.0168653 Long DBT CORP US N 2 2030-11-17 Fixed 5 N N N N N N MORGAN STANLEY DIRECT LENDING FUND 549300QEX22T2J8IB029 61774AAD5 800000.000000 PA USD 799226.220000 0.033456 Long DBT CORP US N 2 2027-02-11 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 283.660000 0.0000119 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 171179.910000 BRL 31115.700000 USD 2026-03-03 283.660000 N N N FANNIE MAE-2005-74 N/A 31394FEU5 570059.010000 PA USD 607794.350000 0.0254426 Long ABS-MBS USGSE US N 2 2035-09-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -909.960000 -0.0000381 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 335000.000000 CHF 422383.660000 USD 2026-01-14 -909.960000 N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A 98162JAA4 3300000.000000 PA USD 2654051.070000 0.1111 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 3.5263 N N N N N N GREYWOLF CLO IV LTD N/A 39809TAW7 550000.000000 PA USD 550653.500000 0.0230507 Long ABS-CBDO CORP KY N 2 2034-04-17 Floating 5.12163 N N N N N N N/A N/A 000000000 1.000000 NC -25142.050000 -0.0010525 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5667982.730000 PLN 1553596.000000 USD 2026-01-16 -25142.050000 N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND66 2600000.000000 PA USD 1903797.740000 0.079694 Long DBT MUN US N 2 2050-06-01 Fixed 4.214 N N N N N N TENNESSEE GAS PIPELINE COMPANY LLC N/A 880451AZ2 2660000.000000 PA USD 2511013.800000 0.105112 Long DBT CORP US N 2 2030-03-01 Fixed 2.9 N N N N N N ANCHORAGE CAPITAL CLO 21 LTD N/A 03331KAJ8 600000.000000 PA USD 599550.000000 0.0250975 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.93444 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JQ1 6100000.000000 PA USD 5319466.940000 0.222676 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -62337.610000 -0.0026095 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 14900000.000000 USD -62337.610000 N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAV5 1400000.000000 PA USD 1392506.090000 0.0582911 Long DBT CORP GB N 2 2055-09-25 Fixed 5.95 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JN8 370000.000000 PA USD 313155.110000 0.0131088 Long DBT CORP US N 2 2050-07-01 Fixed 4.95 N N N N N N N/A N/A 000000000 -17760255.000000 PA USD -17789337.430000 -0.744671 Short RA US N 2 Reverse repurchase N 3.930000 2026-01-02 20939000.000000 USD 17604234.530000 USD UST N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BV0 450000.000000 PA USD 425878.260000 0.0178275 Long DBT CORP US N 2 2047-06-15 Fixed 5.5 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBZ1 200000.000000 PA USD 203078.600000 0.008501 Long DBT CORP JP N 2 2030-07-01 Fixed 4.904 N N N N N N BEIGNET INVESTOR LLC N/A 076912AA2 32520000.000000 PA USD 34386928.970000 1.43946 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PFM9 287000.000000 PA USD 280430.330000 0.011739 Long DBT CORP US N 2 2064-07-15 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 61449.190000 0.0025723 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2917023.300000 USD 54017000.000000 MXN 2026-03-18 61449.190000 N N N N/A N/A 000000000 1.000000 NC -32978.380000 -0.0013805 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3999334.470000 ILS 1222795.000000 USD 2026-01-15 -32978.380000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2YH5D3 710000000.000000 PA 4057796.860000 0.169862 Long DBT NUSS JP N 2 2055-06-20 Fixed 2.8 N N N N N N FHLMC PASS THRU POOLS N/A 3129297A4 455.370000 PA USD 469.060000 0.0000196 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N PACIFIC LIFE INSURANCE COMPANY 8WC3XYHE06SQFW7CQK10 69448FAB7 4300000.000000 PA USD 4313197.560000 0.180553 Long DBT CORP US N 2 2055-09-15 Fixed 5.95 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAG2 400000.000000 PA USD 350340.850000 0.0146655 Long DBT CORP US N 2 2032-03-15 Fixed 2.35 N N N N N N N/A N/A 000000000 1.000000 NC -1811.930000 -0.0000758 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3092730.620000 USD 2629000.000000 EUR 2026-01-14 -1811.930000 N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 88339WAC0 2400000.000000 PA USD 2443520.590000 0.102287 Long DBT CORP US N 2 2034-03-15 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC -45371.150000 -0.0018993 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3534838.150000 USD 314381435.380000 INR 2026-01-30 -45371.150000 N N N N/A N/A 000000000 1.000000 NC 75033.070000 0.0031409 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4258007.000000 USD 15557309.860000 PLN 2026-01-23 75033.070000 N N N CTR PARTNERSHIP LP / CARETRUST CAPITAL CORP N/A 126458AE8 100000.000000 PA USD 98560.560000 0.0041258 Long DBT CORP US N 2 2028-06-30 Fixed 3.875 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAU5 2010000.000000 PA USD 1954856.470000 0.0818313 Long DBT CORP BM N 2 2028-01-26 Fixed 2.85 N N N N N N N/A N/A 000000000 1.000000 NC -8536.340000 -0.0003573 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1334596.430000 PLN 363197.000000 USD 2026-01-16 -8536.340000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UJ5 82400000.000000 PA USD 82007312.910000 3.43287 Long DBT UST US N 2 2045-02-15 Fixed 4.75 N N N N N N NAVESINK CLO 2 LTD 2024-2A N/A 63942YAA2 1000000.000000 PA USD 1000000.000000 0.0418605 Long ABS-CBDO CORP KY N 2 2036-04-15 Floating 5.17454 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8 N/A 59020UPS8 681385.740000 PA USD 660295.080000 0.0276403 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.16621 N N N N N N N/A N/A 000000000 1.000000 NC USD -380227.990000 -0.0159165 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 71700000.000000 USD -380227.990000 N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BX1 860000.000000 PA USD 739714.300000 0.0309648 Long DBT CORP US N 2 2032-02-01 Fixed 2.3 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AY0 1500000.000000 PA USD 1503279.740000 0.0629281 Long DBT CORP US N 2 2036-03-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -6506.800000 -0.0002724 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1056000.000000 AUD 698262.790000 USD 2026-01-14 -6506.800000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SE9 345100000.000000 PA USD 273141259.540000 11.4338 Long DBT UST US N 2 2048-11-15 Fixed 3.375 N N N N N N CGI INC 549300WSRCZY73ZG3090 12532HAF1 1600000.000000 PA USD 1421206.480000 0.0594925 Long DBT CORP CA N 2 2031-09-14 Fixed 2.3 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2018-1A N/A 26828HAA5 848699.300000 PA USD 844591.680000 0.0353551 Long ABS-O CORP US N 2 2068-02-27 Floating 4.73867 N N N N N N TORREY PINES RE LTD N/A 89141WAK8 250000.000000 PA USD 254725.000000 0.0106629 Long DBT CORP BM N 2 2031-06-05 Floating 12.968 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAP5 75000.000000 PA USD 61755.480000 0.0025851 Long DBT CORP US N 2 2058-04-15 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 1480.580000 0.000062 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 275917.000000 USD 8710700.000000 TWD 2026-01-20 1480.580000 N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 942.490000 PA USD 919.310000 0.0000385 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.55474 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A4 N/A 45660LHD4 38949.090000 PA USD 19190.260000 0.0008033 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.29621 N N N N N N ARES FINANCE CO IV LLC N/A 039936AA7 3100000.000000 PA USD 2170306.220000 0.0908502 Long DBT CORP US N 2 2052-02-01 Fixed 3.65 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2WJ7V9 424000000.000000 PA 2505887.640000 0.104898 Long DBT NUSS JP N 2 2045-03-20 Fixed 2.4 N N N N N N N/A N/A 000000000 -8048750.000000 PA USD -8062808.480000 -0.337514 Short RA US N 2 Reverse repurchase N 3.930000 2026-01-07 9400000.000000 USD 7976046.830000 USD UST N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11 N/A 12668ARS6 432646.610000 PA USD 232573.120000 0.0097356 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A 12668BB77 1804029.430000 PA USD 1722135.150000 0.0720895 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.26621 N N N N N N EXPAND ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 165167DH7 800000.000000 PA USD 828267.090000 0.0346717 Long DBT CORP US N 2 2035-01-15 Fixed 5.7 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CU3 1100000.000000 PA USD 680538.980000 0.0284877 Long DBT CORP US N 2 2051-10-01 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC 36667.940000 0.0015349 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32555340.000000 TWD 1073194.000000 USD 2026-01-22 36667.940000 N N N N/A N/A 000000000 1.000000 NC 830.370000 0.0000348 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 354727.980000 USD 32033816.650000 INR 2026-01-30 830.370000 N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAY4 500000.000000 PA USD 463102.780000 0.0193857 Long DBT CORP US N 2 2040-11-15 Fixed 5.875 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AY5 1700000.000000 PA USD 1719196.420000 0.0719665 Long DBT CORP GB N 2 2027-08-07 Floating 5.985 N N N N N N N/A N/A 000000000 -193838625.000000 PA USD -194177196.460000 -8.12836 Short RA US N 2 Reverse repurchase N 3.930000 2026-01-07 278300000.000000 USD 193344464.000000 USD UST N N N SKYWORKS SOLUTIONS INC 549300WZ3ORQ2BVKBD96 83088MAL6 600000.000000 PA USD 544617.220000 0.022798 Long DBT CORP US N 2 2031-06-01 Fixed 3 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBZ2 800000.000000 PA USD 761312.180000 0.0318689 Long DBT CORP GB N 2 2063-02-10 Fixed 5.75 N N N N N N ULTIMATE KRONOS GROUP INC 529900FKHWSTQ1GXK240 89841EAB1 592515.000000 PA USD 593821.500000 0.0248577 Long LON CORP US N 2 2031-02-10 Floating 6.3383 N N N N N N FANNIE MAE 2003-76 N/A 31393D6J5 13915.990000 PA USD 14198.840000 0.0005944 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1932.890000 0.0000809 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1430000.000000 USD 9988877.470000 CNY 2026-01-05 1932.890000 N N N BAIN CAPITAL CREDIT CLO 2020-2 LTD N/A 05683EAW2 1000000.000000 PA USD 1000501.960000 0.0418816 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 5.12444 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-35CB N/A 12667G2G7 966436.030000 PA USD 675939.280000 0.0282952 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.5 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XBB4 723000.000000 PA USD 683261.070000 0.0286017 Long DBT CORP US N 2 2064-04-18 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC -500.870000 -0.000021 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 7289338.040000 PEN 2162366.670000 USD 2026-03-18 -500.870000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAW2 1400000.000000 PA USD 1401882.820000 0.0586836 Long DBT CORP US N 2 2030-11-15 Fixed 4.875 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 1899000.000000 PA USD 1611242.880000 0.0674475 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 5118121.670000 PA USD 4500302.460000 0.188385 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.07727 N N N N N N N/A N/A 000000000 1.000000 NC -52691.480000 -0.0022057 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8527469.540000 PLN 2322517.000000 USD 2026-01-16 -52691.480000 N N N NATIONAL FUEL GAS COMPANY 8JB38FFW1Y3C1HM8E841 636180BR1 2700000.000000 PA USD 2467568.370000 0.103294 Long DBT CORP US N 2 2031-03-01 Fixed 2.95 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 4900000.000000 PA USD 4812527.360000 0.201455 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 9692.630000 PA USD 9925.650000 0.0004155 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 -7517.760000 -0.0003147 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1335817.000000 USD 207911366.000000 JPY 2026-01-14 -7517.760000 N N N N/A N/A 000000000 1.000000 NC -894064.030000 -0.037426 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 59373539.230000 EUR 68911482.690000 USD 2026-01-14 -894064.030000 N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAF7 4200000.000000 PA USD 4138536.860000 0.173241 Long DBT CORP US N 2 2026-08-09 Fixed 1.75 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAQ7 2100000.000000 PA USD 1260890.400000 0.0527816 Long DBT CORP US N 2 2060-09-15 Fixed 3 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GU1 800000.000000 PA USD 726781.730000 0.0304235 Long DBT CORP US N 2 2030-06-01 Fixed 2.25 N N N N N N FARMERS INSURANCE EXCHANGE 549300UWG2TLX1GZVT44 309601AE2 3300000.000000 PA USD 2838826.980000 0.118835 Long DBT CORP US N 2 2057-11-01 Floating 4.747 N N N N N N ENTERGY TEXAS INC LWXX58X12AJXISQ28573 29365TAN4 600000.000000 PA USD 601797.020000 0.0251915 Long DBT CORP US N 2 2053-09-01 Fixed 5.8 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LB2 1850000.000000 PA USD 838638.320000 0.0351059 Long DBT UST US N 2 2042-02-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -9366.470000 -0.0003921 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1340000.000000 USD 41748627.000000 TWD 2026-01-12 -9366.470000 N N N N/A N/A 000000000 1.000000 NC -101.270000 -0.0000042 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 20030.630000 SGD 15491.650000 USD 2026-01-14 -101.270000 N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAY9 1000000.000000 PA USD 880420.340000 0.0368549 Long DBT CORP US N 2 2043-02-15 Fixed 4.45 N N N N N N N/A N/A 000000000 1.000000 NC 1615.140000 0.0000676 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1445025.460000 USD 10082000.000000 CNY 2026-01-21 1615.140000 N N N FHLMC PASS THRU POOLS N/A 3128K9Q31 4982.190000 PA USD 5166.570000 0.0002163 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 87627.680000 0.0036681 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3069483.000000 USD 11335263.080000 PLN 2026-01-23 87627.680000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3T6 1200000.000000 PA USD 1219241.890000 0.0510381 Long DBT CORP US N 2 2027-03-25 Fixed 5.516 N N N N N N CITIZENS FINANCIAL GROUP INC 2138004JDDA4ZQUPFW65 174610BH7 3000000.000000 PA USD 3146570.490000 0.131717 Long DBT CORP US N 2 2032-07-23 Floating 5.718 N N N N N N BOSTON GAS COMPANY FN7P4E7K9JOBORDEUX61 100743AN3 4560000.000000 PA USD 4588381.210000 0.192072 Long DBT CORP US N 2 2053-07-20 Fixed 6.119 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAN8 1225000.000000 PA USD 1313267.930000 0.0549741 Long DBT CORP US N 2 2038-07-01 Fixed 7.3 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLV2 6731000.000000 PA USD 4442340.320000 0.185959 Long DBT CORP US N 2 2059-09-15 Fixed 3.65 N N N N N N GNMA PASS THRU POOLS N/A 21H042620 20000000.000000 PA USD 19469531.200000 0.815005 Long ABS-MBS USGSE US N 2 2056-02-19 Fixed 4.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BL7 2200000.000000 PA USD 1813546.480000 0.075916 Long DBT CORP US N 2 2047-05-01 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 49619.600000 0.0020771 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 52046762.000000 TWD 1706731.000000 USD 2026-01-22 49619.600000 N N N ISRAEL DISCOUNT BANK LIMITED 549300XWZ7BG5G23OF51 ACI2CHD55 2900000.000000 PA USD 2949160.800000 0.123453 Long DBT CORP IL N 2 2028-01-26 Fixed 5.375 N N N N N N WISCONSIN ELECTRIC POWER COMPANY AENKIFMULUAWOUU8Q584 976656CJ5 3600000.000000 PA USD 3021708.600000 0.12649 Long DBT CORP US N 2 2045-12-15 Fixed 4.3 N N N N N N FREDDIE MAC 2990 N/A 31395V3Y3 518868.090000 PA USD 543651.770000 0.0227576 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 13096.530000 0.0005482 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 98132964.170000 INR 1102320.320000 USD 2026-01-30 13096.530000 N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8V7 2400000.000000 PA USD 2234755.490000 0.0935481 Long DBT CORP US N 2 2054-08-15 Fixed 5.4 N N N N N N 37 CAPITAL CLO 4 LTD 2023-2A N/A 883932AN5 1600000.000000 PA USD 1599934.850000 0.0669741 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 4.99454 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 2300000.000000 PA USD 2241924.560000 0.0938482 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N FORTRESS CREDIT BSL VII LTD 2019-1A N/A 34956NAL6 318836.960000 PA USD 319200.680000 0.0133619 Long ABS-CBDO CORP KY N 2 2032-07-23 Floating 4.9498 N N N N N N N/A N/A 000000000 1.000000 NC USD 736546.870000 0.0308322 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 711384.220000 USD 0.000000 USD 32400000.000000 USD 25162.650000 N N N N/A N/A 000000000 1.000000 NC 8686.820000 0.0003636 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1655000.000000 NZD 961861.510000 USD 2026-01-14 8686.820000 N N N VENTURE GLOBAL PLAQUEMINES LNG LLC 549300TKP4I6OJ02BF90 922966AC0 100000.000000 PA USD 102475.000000 0.0042897 Long DBT CORP US N 2 2034-01-15 Fixed 6.5 N N N N N N FREEDOM MORTGAGE HOLDINGS LLC 254900ROJ91RGM43S156 35641AAE8 600000.000000 PA USD 600684.610000 0.025145 Long DBT CORP US N 2 2031-05-01 Fixed 6.875 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FZ1 1850000.000000 PA USD 1577254.240000 0.0660247 Long DBT CORP US N 2 2043-10-01 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 4566.270000 0.0001911 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 336134.560000 USD 6195296.000000 MXN 2026-04-13 4566.270000 N N N BROOKFIELD ASSET MANAGEMENT LTD 549300CZ84WPNJZKY093 113004AA3 700000.000000 PA USD 733928.990000 0.0307227 Long DBT CORP CA N 2 2035-04-24 Fixed 5.795 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CA0 1770000.000000 PA USD 1143972.360000 0.0478873 Long DBT CORP US N 2 2052-06-01 Fixed 3.9 N N N N N N NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST N/A 958BJWII0 1000000.000000 PA USD 1017979.740000 0.0426132 Long DBT CORP US Y 3 2030-10-05 Fixed 4.78 N N N N N N NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST N/A 958BJPII5 1300000.000000 PA USD 1325273.960000 0.0554767 Long DBT CORP US Y 3 2034-10-05 Fixed 5.25 N N N N N N BLOCK FINANCIAL CORP N/A 093662AK0 2000000.000000 PA USD 2013563.900000 0.0842889 Long DBT CORP US N 2 2032-09-15 Fixed 5.375 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-2 N/A 64352VFX4 7266.990000 PA USD 7100.610000 0.0002972 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.58621 N N N N N N FANNIE MAE REMICS 2016-90 N/A 3136AUNB3 1031858.410000 PA USD 681075.360000 0.0285102 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 3 N N N N N N SYNCHRONY CARD ISSUANCE TRUST 2023-A2 N/A 87166PAL5 5500000.000000 PA USD 5580539.800000 0.233604 Long ABS-MBS CORP US N 2 2029-10-15 Fixed 5.74 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 725.090000 PA USD 703.400000 0.0000294 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.75927 N N N N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 341099CR8 4600000.000000 PA USD 3800335.720000 0.159084 Long DBT CORP US N 2 2042-11-15 Fixed 3.85 N N N N N N AIR CANADA 2015-2 CLASS AA PASS THROUGH TRUST N/A 009088AA3 216758.890000 PA USD 213923.120000 0.0089549 Long DBT CORP CA N 2 2029-06-15 Fixed 3.75 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 1740367.740000 PA USD 1738230.570000 0.0727633 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 5.18671 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AW5 2300000.000000 PA USD 1411884.140000 0.0591022 Long DBT CORP US N 2 2052-08-01 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC -27964.750000 -0.0011706 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2421633.000000 USD 215656105.180000 INR 2026-01-30 -27964.750000 N N N N/A N/A 000000000 1.000000 NC -20478.710000 -0.0008572 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4393012.320000 PLN 1203134.000000 USD 2026-01-16 -20478.710000 N N N N/A N/A 000000000 1.000000 NC -275921.680000 -0.0115502 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 98536450.350000 ZAR 5665717.000000 USD 2026-01-26 -275921.680000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 1500000.000000 PA USD 1248983.520000 0.0522831 Long DBT CORP US N 2 2048-04-15 Fixed 4.7 N N N N N N VIBRANT CLO XII LTD 2021-12A N/A 92558WBE1 2000000.000000 PA USD 2000412.540000 0.0837383 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.03444 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3 N/A 17312EAE6 485338.710000 PA USD 430464.710000 0.0180195 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.19621 N N N N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 2373.290000 PA USD 2041.020000 0.0000854 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.46621 N N N N N N TRUST 2401 N/A 89834MAA4 395000.000000 PA USD 389335.700000 0.0162978 Long DBT CORP MX N 2 2030-01-15 Fixed 4.869 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 174967.880000 PA USD 43478.850000 0.00182 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.26621 N N N N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 46653KAB4 2750000.000000 PA USD 1888949.100000 0.0790724 Long DBT CORP NL N 2 2051-05-28 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 9069636.550000 0.37966 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-12-15 0.000000 USD -989031.610000 USD 23200000.000000 USD 10058668.160000 N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 6077.990000 PA USD 5916.980000 0.0002477 Long ABS-MBS CORP US N 2 2031-11-15 Floating 4.5646 N N N N N N N/A N/A 000000000 1.000000 NC 810355.730000 0.0339219 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-03-18 0.000000 EUR -182798.560000 EUR 13590000.000000 EUR 993154.290000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 3300000.000000 PA 3904840.090000 0.163459 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N SWITCH ABS ISSUER LLC 2025-2A N/A 871044AS2 10350000.000000 PA USD 10351152.990000 0.433305 Long ABS-O CORP US N 2 2055-10-25 Fixed 5.121 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BX1 2970000.000000 PA USD 2362171.620000 0.0988818 Long DBT CORP US N 2 2049-06-15 Fixed 4.1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TH0 284000.000000 PA USD 281170.750000 0.01177 Long DBT UST US N 2 2026-04-14 None 0 N N N N N N PROJECT CASHMERE N/A 990ABJRT5 36200000.000000 PA 24158071.200000 1.01127 Long ABS-MBS CORP AU N 3 2057-12-30 Floating 4.5426 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KC0 2000000.000000 PA USD 1952434.460000 0.08173 Long DBT CORP US N 2 2032-03-01 Fixed 4.4 N N N N N N N/A N/A 000000000 1.000000 NC 86355.840000 0.0036149 N/A DFE MX N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3428339.610000 USD 63601000.000000 MXN 2026-02-24 86355.840000 N N N QUERCUS RE DESIGNATED ACTIVITY COMPANY 635400YNKWICCYBDBC76 ACI2Q34M4 250000.000000 PA 300718.990000 0.0125883 Long DBT CORP IE N 2 2027-07-08 Floating 10.05 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BU6 1700000.000000 PA USD 1740999.870000 0.0728792 Long DBT CORP US N 2 2037-04-15 Fixed 5.5 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLS6 3300000.000000 PA USD 3445011.210000 0.14421 Long DBT CORP US N 2 2029-09-15 Floating 5.819 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CL0 2040000.000000 PA USD 2077474.960000 0.0869642 Long DBT CORP US N 2 2039-01-15 Fixed 6 N N N N N N FANNIE MAE 2005-69 N/A 31394EN46 15971.280000 PA USD 16041.730000 0.0006715 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BZ1 600000.000000 PA USD 542845.320000 0.0227238 Long DBT CORP US N 2 2049-06-15 Fixed 5.25 N N N N N N COUNTRYWIDE HOME LOANS 2006-R2 N/A 125435AA5 933278.070000 PA USD 886086.680000 0.0370921 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.26621 N N N N N N COBANK ACB (AKA: COBANK AB) P0J8I7M2E0A77CKF1705 19075QAD4 2400000.000000 NS USD 2356200.000000 0.0986318 Long EP NUSS US N 2 N N N FIRST HORIZON MPT TRUST 2004-AR6 N/A 32051GBD6 833.820000 PA USD 809.260000 0.0000339 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.33826 N N N N N N CFE FIBRA E N/A 125276AA3 1090835.900000 PA USD 1091455.910000 0.0456889 Long DBT CORP MX N 2 2040-09-23 Fixed 5.875 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 19480.660000 PA USD 19687.000000 0.0008241 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 5.227 N N N N N N STRUCTURED ASSET INVST LN TR 2004-10 N/A 86358EPD2 2253172.570000 PA USD 2481478.660000 0.103876 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.57121 N N N N N N BMO 2025-5C11 MORTGAGE TRUST N/A 096941AB5 5000000.000000 PA USD 5140549.500000 0.215186 Long ABS-MBS CORP US N 2 2058-07-15 Fixed 5.187 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 45986296.300000 PA USD 44139978.690000 1.84772 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N BARINGS EURO CLO 2020-1 DAC 20-1A N/A ACI316LH4 2200000.000000 PA 2582802.830000 0.108118 Long ABS-CBDO CORP IE N 2 2038-10-21 Floating 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -424.660000 -0.0000178 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2035-03-26 0.000000 MXN 0.000000 MXN 4500000.000000 MXN -424.660000 N N N NEW CENTURY HOME EQUITY LOAN TR 2003-6 N/A 64352VFD8 61293.590000 PA USD 62225.690000 0.0026048 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.92621 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1174792.100000 PA USD 628333.800000 0.0263024 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.10621 N N N N N N N/A N/A 000000000 -69454865.000000 PA USD -69538268.730000 -2.91091 Short RA US N 2 Reverse repurchase N 3.930000 2026-01-05 82116000.000000 USD 69015900.750000 USD UST N N N EQUINIX EUROPE 2 FINANCING CORPORATION LLC 254900FSZR46BPMCKI50 29390XAG9 700000.000000 PA USD 702272.490000 0.0293975 Long DBT CORP US N 2 2030-11-15 Fixed 4.6 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2T3R46 1760000000.000000 PA 9024269.660000 0.377761 Long DBT NUSS JP N 2 2054-12-20 Fixed 2.3 N N N N N N N/A N/A 000000000 1.000000 NC 3174.920000 0.0001329 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 1581.760000 EUR 0.000000 EUR 200000.000000 EUR 1593.160000 N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMF3 2016279.600000 PA USD 1355676.840000 0.0567494 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.36621 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 ACI2X3ZW0 1600000.000000 PA 1892221.500000 0.0792094 Long DBT CORP US N 2 2032-05-20 Floating 3.433 N N N N N N N/A N/A 000000000 1.000000 NC -13260.030000 -0.0005551 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1271431114.000000 KRW 868541.000000 USD 2026-01-08 -13260.030000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401ABC4 2000000.000000 PA USD 1982254.400000 0.0829782 Long DBT CORP KY N 2 2032-10-15 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC -120.510000 -0.000005 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 26247.000000 USD 821536.000000 TWD 2026-02-02 -120.510000 N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAC4 234638.260000 PA USD 234824.160000 0.0098299 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.45 N N N N N N NBA (HARDWOOD FUNDING LLC) N/A 957HXRII3 900000.000000 PA USD 924860.730000 0.0387152 Long DBT CORP US Y 3 2035-06-07 Fixed 5.33 N N N N N N N/A N/A 000000000 1.000000 NC -9936.130000 -0.0004159 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2605000.000000 ILS 808022.380000 USD 2026-01-15 -9936.130000 N N N N/A N/A 000000000 1.000000 NC USD 334340.000000 0.0139957 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -127788.210000 USD 23500000.000000 USD 462128.210000 N N N N/A N/A 000000000 1.000000 NC 1666.780000 0.0000698 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3076834.530000 ILS 967870.000000 USD 2026-02-19 1666.780000 N N N CRNCL-2019-11A N/A ACI34RX33 1500000.000000 PA 1764615.320000 0.0738677 Long ABS-CBDO CORP IE N 2 2040-01-15 Floating 3.187 N N N N N N N/A N/A 000000000 1.000000 NC USD 232014.880000 0.0097123 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-04-30 0.000000 USD 0.000000 USD 16300000.000000 USD 232014.880000 N N N N/A N/A 000000000 1.000000 NC 6.340000 0.0000003 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2667000.000000 MXN 147063.490000 USD 2026-03-18 6.340000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CG1 3300000.000000 PA USD 3452690.670000 0.144532 Long DBT CORP US N 2 2037-10-15 Fixed 6.25 N N N N N N PENTA CLO 9 DAC N/A ACI1Y3GV4 1500000.000000 PA 1762727.890000 0.0737887 Long ABS-CBDO CORP IE N 2 2036-07-25 Floating 2.915 N N N N N N PROTECTIVE LIFE CORPORATION 549300ZWIT8J8Y2EXL07 743674BG7 1700000.000000 PA USD 1719827.970000 0.0719929 Long DBT CORP US N 2 2035-12-15 Fixed 5.35 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AL1 2200000.000000 PA USD 2125001.120000 0.0889537 Long DBT CORP US N 2 2027-07-15 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 4428.100000 0.0001854 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 553631.880000 USD 50278079.180000 INR 2026-01-30 4428.100000 N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAL5 2200000.000000 PA USD 2266721.490000 0.0948862 Long DBT CORP US N 2 2028-04-15 Fixed 5.5 N N N N N N FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 2024-3 N/A 34528QJL9 5000000.000000 PA USD 5023235.000000 0.210275 Long ABS-O CORP US N 2 2029-09-15 Floating 4.75385 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CT7 1600000.000000 PA USD 1233380.670000 0.05163 Long DBT CORP US N 2 2050-02-15 Fixed 3.95 N N N N N N N/A N/A 000000000 -78.000000 NC 442772.030000 0.0185347 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-03-13 -65934499.490000 JPY 442772.030000 N N N ENI SPA BUCRF72VH5RBN7X3VL35 26874RAQ1 1000000.000000 PA USD 1047979.650000 0.043869 Long DBT CORP IT N 2 2035-05-19 Fixed 5.75 N N N N N N FREDDIE MAC 2551 N/A 31393JAZ1 774.350000 PA USD 772.230000 0.0000323 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 4.49833 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400ES8 3600000.000000 PA USD 3784694.000000 0.158429 Long DBT CORP US N 2 2034-01-15 Fixed 6 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB4 N/A 1248MEAE9 50871.000000 PA USD 50249.660000 0.0021035 Long ABS-MBS CORP US N 2 2037-04-25 Variable 6.223 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AW9 2800000.000000 PA USD 2795085.440000 0.117004 Long DBT CORP US N 2 2037-11-01 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -51416.780000 -0.0021523 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 18375244.000000 PEN 5386423.170000 USD 2026-05-26 -51416.780000 N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAL5 1496000.000000 PA USD 973840.260000 0.0407655 Long DBT CORP US N 2 2051-12-15 Fixed 3 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A N/A ACI2W0K37 2000000.000000 PA 2357438.250000 0.0986836 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 3.764 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLY7 59781.340000 PA USD 24386.500000 0.0010208 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 6711.290000 0.0002809 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 526560.000000 USD 9692916.480000 MXN 2026-04-09 6711.290000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RY6 12900000.000000 PA USD 9220476.500000 0.385974 Long DBT UST US N 2 2047-08-15 Fixed 2.75 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AG8 710000.000000 PA USD 708197.610000 0.0296455 Long DBT CORP US N 2 2054-04-01 Fixed 6.125 N N N N N N ALABAMA POWER COMPANY 0RL818ELFOHP5JHOFU19 010392FS2 2000000.000000 PA USD 1663285.000000 0.069626 Long DBT CORP US N 2 2048-07-15 Fixed 4.3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CML2 5880918.000000 PA USD 5986804.220000 0.250611 Long DBT UST US N 2 2035-01-15 Fixed 2.125 N N N N N N FNMA PASS THRU POOLS N/A 3140NVJY4 2000000.000000 PA USD 2079479.340000 0.0870481 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 5.81 N N N N N N SOUTHWESTERN ELECTRIC POWER COMPANY R64UBJHEC74EB3HGQ410 845437BL5 2200000.000000 PA USD 2344621.490000 0.0981471 Long DBT CORP US N 2 2040-03-15 Fixed 6.2 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 2368988.050000 PA USD 1933346.780000 0.0809309 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.25552 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CN0 2400000.000000 PA USD 2421160.300000 0.101351 Long DBT CORP US N 2 2027-03-25 Fixed 4.95 N N N N N N FREMONT HOME LOAN TRUST 2005-1 N/A 35729PJF8 1621262.090000 PA USD 1616674.890000 0.0676749 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.91121 N N N N N N NEWMONT CORP / NEWCREST FINANCE PTY LTD N/A 65163LAF6 20000.000000 PA USD 16361.080000 0.0006849 Long DBT CORP US N 2 2050-05-13 Fixed 4.2 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10 N/A 07389RAD8 60973.990000 PA USD 60847.600000 0.0025471 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.35621 N N N N N N PANTHEON SENIOR DEBT SECONDARIES III N/A BA000HYC6 700000.000000 PA USD 700000.000000 0.0293024 Long LON CORP US Y 3 2026-03-26 Floating 6.0259 N N N N N N INVITATION HOMES OPERATING PARTNERSHIP LP 549300147YMUQB3GW319 46188BAE2 3100000.000000 PA USD 3227973.020000 0.135125 Long DBT CORP US N 2 2030-08-15 Fixed 5.45 N N N N N N CVC CORDATUS LOAN FUND XXX DAC 30A N/A ACI354435 2000000.000000 PA 2352438.480000 0.0984743 Long ABS-CBDO CORP IE N 2 2037-05-15 Floating 3.297 N N N N N N NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A N/A 64134MAJ5 1000000.000000 PA USD 999555.880000 0.0418419 Long ABS-CBDO CORP KY N 2 2036-10-14 Floating 4.9715 N N N N N N N/A N/A 000000000 650.000000 NC USD -118449.500000 -0.0049584 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2027-12-14 157287812.500000 USD -118449.500000 N N N N/A N/A 000000000 406.000000 NC 51643.200000 0.0021618 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-03-16 29664061.570000 AUD 51643.200000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 633200000.000000 PA 39903835.750000 1.6704 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FCT6 5150000.000000 PA USD 4697646.760000 0.196646 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N WELLS FARGO HOME EQUITY TRUST 2007-2 N/A 9497EYAC3 348204.290000 PA USD 345817.000000 0.0144761 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.30621 N N N N N N AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST N/A 00909DAA1 548270.010000 PA USD 561155.560000 0.0234903 Long DBT CORP CA N 2 2030-10-01 Fixed 5.25 N N N N N N NEWMARK GROUP INC N/A 65158NAD4 1467000.000000 PA USD 1575123.230000 0.0659355 Long DBT CORP US N 2 2029-01-12 Fixed 7.5 N N N N N N LRECS 2025-CRE1 LLC N/A 50230AAA2 2800000.000000 PA USD 2805293.430000 0.117431 Long ABS-CBDO CORP US N 2 2043-08-19 Floating 5.5 N N N N N N COSTAR GROUP INC 984500Q1D53D08E2E698 22160NAA7 1500000.000000 PA USD 1375640.780000 0.0575851 Long DBT CORP US N 2 2030-07-15 Fixed 2.8 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JBD4 3100000.000000 PA USD 3064794.390000 0.128294 Long DBT CORP US N 2 2035-09-01 Fixed 4.975 N N N N N N SIERRA PACIFIC POWER COMPANY QB888G5GSVGE1LD1WV84 826418BE4 3600000.000000 PA USD 3997849.790000 0.167352 Long DBT CORP US N 2 2037-07-01 Fixed 6.75 N N N N N N WINDMILL III RE DESIGNATED ACTIVITY COMPANY 635400PB5AXUZ6R7CT68 ACI2PJTV3 250000.000000 PA 302143.920000 0.0126479 Long DBT CORP IE N 2 2028-07-05 Floating 7.236 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CV9 698000.000000 PA USD 694652.570000 0.0290785 Long DBT CORP US N 2 2054-04-01 Fixed 6 N N N N N N COMMUNITY PRESERVATION CORP 254900CWS66ZXCS6P481 20402CAA3 1980000.000000 PA USD 1851155.200000 0.0774904 Long DBT CORP US N 2 2030-02-01 Fixed 2.867 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAY5 98570.740000 PA USD 43665.250000 0.0018279 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 318953.300000 PA USD 324130.040000 0.0135683 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.34621 N N N N N N WINSTON RE LTD 2549001Q4VX5Y31QFJ88 975660AB7 2800000.000000 PA USD 2967440.000000 0.124219 Long DBT CORP BM N 2 2031-02-26 Floating 15.31 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 1000000.000000 PA USD 923603.840000 0.0386626 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N N/A N/A 000000000 1.000000 NC USD -27119.640000 -0.0011352 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 7400000.000000 USD -27119.640000 N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAP9 270000.000000 PA USD 212975.080000 0.0089153 Long DBT CORP US N 2 2045-06-01 Fixed 3.75 N N N N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AL9 350000.000000 PA USD 311143.910000 0.0130247 Long DBT CORP US N 2 2031-08-15 Fixed 2.2 N N N N N N CABLEVISION LIGHTPATH LLC 5493002ZVBLRLGES1R71 12687GAA7 2000000.000000 PA USD 1959512.800000 0.0820263 Long DBT CORP US N 2 2027-09-15 Fixed 3.875 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 2900000.000000 PA USD 2802792.810000 0.117326 Long DBT CORP US N 2 2039-06-15 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC -292432.400000 -0.0122414 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 100591873.220000 ZAR 5773146.000000 USD 2026-01-26 -292432.400000 N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211KAZ3 1921000.000000 PA USD 1880934.510000 0.0787369 Long DBT CORP US N 2 2026-10-15 Fixed 1.573 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 1883000.000000 PA USD 1261102.510000 0.0527904 Long DBT CORP US N 2 2053-09-15 Fixed 3.5 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ADD6 2800000.000000 PA USD 2898687.480000 0.121341 Long DBT CORP US N 2 2031-06-24 Fixed 5.4 N N N N N N GNMA PASS THRU POOLS N/A 21H040616 40377000.000000 PA USD 38148378.970000 1.59691 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 14816245.800000 0.620216 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-10-25 2596839.030000 USD 0.000000 USD 41590000.000000 USD 12219406.770000 N N N N/A N/A 000000000 1.000000 NC 29611.450000 0.0012396 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 27481687.000000 TWD 904598.000000 USD 2026-01-22 29611.450000 N N N N/A N/A 000000000 1.000000 NC -33161.730000 -0.0013882 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11961491.350000 PEN 3506637.550000 USD 2026-05-26 -33161.730000 N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAA5 836108.970000 PA USD 813465.880000 0.0340521 Long ABS-MBS CORP US N 2 2037-12-25 Floating 4.06621 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-1 N/A 126673XD9 81898.130000 PA USD 81714.650000 0.0034206 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.72121 N N N N N N TENNESSEE GAS PIPELINE COMPANY LLC N/A 880451AU3 4720000.000000 PA USD 5558882.630000 0.232698 Long DBT CORP US N 2 2037-04-01 Fixed 7.625 N N N N N N AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST N/A 023771S25 1948744.430000 PA USD 1871647.420000 0.0783482 Long DBT CORP US N 2 2030-04-15 Fixed 3.25 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D26 1700000.000000 PA USD 1715106.180000 0.0717953 Long DBT CORP US N 2 2026-06-10 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -17413.260000 -0.0007289 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 12387779.080000 CNY 1760077.730000 USD 2026-01-21 -17413.260000 N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457CL2 1200000.000000 PA USD 1224959.560000 0.0512775 Long DBT CORP US N 2 2029-11-15 Fixed 4.8 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GY3 3000000.000000 PA USD 1832154.780000 0.076695 Long DBT CORP US N 2 2051-02-01 Fixed 2.95 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CS2 480000.000000 PA USD 420770.680000 0.0176137 Long DBT CORP US N 2 2030-10-01 Fixed 1.95 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2 N/A 83611XAB0 2918475.600000 PA USD 2142604.110000 0.0896906 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.06621 N N N N N N NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST N/A 958BJNII0 1700000.000000 PA USD 1728630.530000 0.0723614 Long DBT CORP US Y 3 2030-10-05 Fixed 4.78 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJKV1 5084.440000 PA USD 5237.290000 0.0002192 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAR1 3300000.000000 PA USD 3416401.100000 0.143012 Long DBT CORP US N 2 2033-06-01 Fixed 5.4 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 1060000.000000 PA USD 974591.990000 0.0407969 Long DBT CORP US N 2 2049-02-15 Fixed 5.5 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CV8 300000.000000 PA USD 223331.030000 0.0093488 Long DBT CORP US N 2 2050-02-15 Fixed 4.15 N N N N N N N/A N/A 000000000 1.000000 NC -505803.140000 -0.0211732 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 65227030.440000 SGD 50270423.290000 USD 2026-01-14 -505803.140000 N N N ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY 635400PXTZAPQFEPH515 ACI2S2B04 250000.000000 PA 306139.600000 0.0128152 Long DBT CORP IE N 2 2029-01-17 Floating 8.026 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 59562VAM9 500000.000000 PA USD 542721.190000 0.0227186 Long DBT CORP US N 2 2036-04-01 Fixed 6.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RC4 3200000.000000 PA USD 2763249.980000 0.115671 Long DBT UST US N 2 2043-08-15 Fixed 3.625 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612KAC6 702000.000000 PA USD 708771.370000 0.0296696 Long DBT CORP US N 2 2052-07-01 Fixed 6.25 N N N N N N N/A N/A 000000000 -8300000.000000 NC USD -751.150000 -0.0000314 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 20413.850000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBV1 988000.000000 PA USD 994550.530000 0.0416324 Long DBT CORP US N 2 2033-03-01 Fixed 5 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BT9 300000.000000 PA USD 230128.620000 0.0096333 Long DBT CORP US N 2 2041-11-01 Fixed 3.366 N N N N N N N/A N/A 000000000 1.000000 NC -3875.150000 -0.0001622 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1430000.000000 USD 44843872.000000 TWD 2026-02-02 -3875.150000 N N N N/A N/A 000000000 1.000000 NC USD -43904.240000 -0.0018379 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 5100000.000000 USD -43904.240000 N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 29278.340000 PA USD 30227.890000 0.0012654 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -9672.700000 -0.0004049 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1402068.300000 PLN 380854.000000 USD 2026-01-16 -9672.700000 N N N WELLTOWER OP LLC T6IZ0MBEG5ACZDTR7D06 42217KBB1 10600000.000000 PA USD 10009734.120000 0.419013 Long DBT CORP US N 2 2043-03-15 Fixed 5.125 N N N N N N FANNIEMAIE WHOLE LOAN 2002-W2 N/A 31392CEN0 9.110000 PA USD 9.220000 0.0000004 Long ABS-MBS USGSE US N 2 2032-05-25 Variable 6.5 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3P6 2000000.000000 PA USD 2072122.100000 0.0867401 Long DBT CORP US N 2 2031-01-24 Floating 5.244 N N N N N N MARS INCORPORATED 54930073HKEO6GZBSS03 571676BA2 2000000.000000 PA USD 2056389.400000 0.0860816 Long DBT CORP US N 2 2035-03-01 Fixed 5.2 N N N N N N COMMONWEALTH FINANCING AUTHORITY N/A 20281PNE8 3770000.000000 PA USD 2917885.000000 0.122144 Long DBT MUN US N 2 2042-06-01 Fixed 2.991 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 805000.000000 PA USD 734490.760000 0.0307462 Long DBT CORP US N 2 2038-04-15 Fixed 4.5 N N N N N N NOMURA ASSET ACCEPT CORP 2006-AF1 N/A 65536PAC4 12628197.870000 PA USD 2254816.510000 0.0943878 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.159 N N N N N N BAYFRT-7A N/A ACI355GJ4 3000000.000000 PA USD 3000000.000000 0.125582 Long ABS-CBDO CORP SG N 3 2048-04-11 Floating 5.12315 N N N N N N MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION 549300GS0W0TEUQS8571 61776NZW6 1600000.000000 PA USD 1604537.340000 0.0671668 Long DBT CORP US N 2 2031-11-19 Floating 4.465 N N N N N N SPIRIT AIRLINES PASS THROUGH TRUST 2017-1A N/A 84858XAA2 300152.000000 PA USD 276390.380000 0.0115699 Long DBT CORP US N 2 2031-08-15 Fixed 3.65 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABY0 5401000.000000 PA USD 3591132.460000 0.150327 Long DBT CORP US N 2 2060-11-15 Fixed 3.6 N N N N N N SIXTH STREET LENDING PARTNERS 549300S9P1HMDERGCR64 829932AD4 1000000.000000 PA USD 1013859.700000 0.0424407 Long DBT CORP US N 2 2030-01-15 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -413.050000 -0.0000173 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 111038.000000 USD 3478553.000000 TWD 2026-02-02 -413.050000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 2900000.000000 PA USD 3119850.650000 0.130599 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 USD -1050337.200000 -0.0439677 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 0.000000 USD -104866.240000 USD 105223000.000000 USD -945470.960000 N N N PROGRESS ENERGY INC 549300FBMTW0JYWMNB26 743263AE5 3500000.000000 PA USD 4009792.640000 0.167852 Long DBT CORP US N 2 2031-03-01 Fixed 7.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UE6 2700000.000000 PA USD 2547492.170000 0.106639 Long DBT UST US N 2 2054-11-15 Fixed 4.5 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR5 N/A 86359LDX4 4675.840000 PA USD 4534.830000 0.0001898 Long ABS-MBS CORP US N 2 2034-10-19 Floating 4.50552 N N N N N N N/A N/A 000000000 1.000000 NC 5388.540000 0.0002256 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 464509.310000 USD 14790348.040000 THB 2026-01-21 5388.540000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JG3 2100000.000000 PA USD 1892591.610000 0.0792249 Long DBT CORP US N 2 2031-02-01 Fixed 2.5 N N N N N N PIKES PEAK CLO 2019-4A N/A 72132WAN9 1000000.000000 PA USD 1000881.720000 0.0418974 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.11454 N N N N N N N/A N/A 000000000 1.000000 NC -168.070000 -0.000007 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 28461.000000 PLN 7759.350000 USD 2026-01-16 -168.070000 N N N UMBS PASS THRU POOLS N/A 01F050627 85500000.000000 PA USD 85189393.890000 3.56607 Long ABS-MBS USGSE US N 2 2056-02-12 Fixed 5 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAB8 5500000.000000 PA USD 4774947.820000 0.199882 Long DBT CORP CA N 2 2047-09-20 Fixed 4.7 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CD8 60000.000000 PA USD 60965.460000 0.002552 Long DBT CORP US N 2 2037-04-01 Fixed 5.75 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20K N/A 83162CRK1 6449.180000 PA USD 6505.770000 0.0002723 Long ABS-O CORP US N 2 2027-11-01 Fixed 5.51 N N N N N N N/A N/A 000000000 1.000000 NC USD 6635587.090000 0.277769 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -188841.400000 USD 55500000.000000 USD 6824428.490000 N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7 N/A 465968AC9 146123.880000 PA USD 144540.470000 0.0060505 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 3.3785 N N N N N N COLORADO INTERSTATE GAS COMPANY LLC N/A 196522AE6 1300000.000000 PA USD 1445136.820000 0.0604942 Long DBT CORP US N 2 2037-06-15 Fixed 6.85 N N N N N N WASHINGTON MUTUAL 2007-OA3 N/A 93364AAC6 434668.810000 PA USD 400907.170000 0.0167822 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.78927 N N N N N N N/A N/A 000000000 1.000000 NC 19050.500000 0.0007975 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1815006.250000 USD 12782000.000000 CNY 2026-01-21 19050.500000 N N N JANE STREET GROUP LLC 5493002N1IVX6KHGYO08 47077DAM2 2778452.880000 PA USD 2768895.000000 0.115907 Long LON CORP US N 2 2031-12-15 Floating 5.8224 N N N N N N N/A N/A 000000000 1.000000 NC 55435.520000 0.0023206 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 56427193.000000 TWD 1852015.000000 USD 2026-01-22 55435.520000 N N N ATLAS SENIOR LOAN FUND LTD 2021-16A N/A 04940AAN2 1100000.000000 PA USD 1100019.670000 0.0460474 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 5.019 N N N N N N N/A N/A 000000000 -1100000.000000 NC USD -3253.360000 -0.0001362 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 -902.110000 N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 11853.740000 PA USD 10574.820000 0.0004427 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 -14.120000 -0.0000006 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5369.500000 ILS 1671.880000 USD 2026-01-15 -14.120000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JJ7 7250000.000000 PA USD 4898206.870000 0.205042 Long DBT CORP US N 2 2050-08-01 Fixed 3.5 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA N/A 95004VAA5 1600000.000000 PA USD 1604647.680000 0.0671714 Long ABS-MBS CORP US N 2 2042-10-15 Floating 5.34318 N N N N N N FIBRA UNO (TRUST F/1401) N/A 898339AA4 205000.000000 PA USD 200756.400000 0.0084038 Long DBT CORP MX N 2 2030-01-15 Fixed 4.869 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 U6S771NR6 3700000.000000 PA USD 2713984.630000 0.113609 Long DBT CORP US Y 2 2032-04-02 Variable 0 N N N N N N FANNIE MAE 2003-24 N/A 31393AE45 2794.540000 PA USD 2881.840000 0.0001206 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5.5 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 1870.230000 PA USD 1632.130000 0.0000683 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 -213269.070000 -0.0089276 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26646852.510000 PEN 7685409.700000 USD 2026-04-10 -213269.070000 N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAR7 4408000.000000 PA USD 4002030.960000 0.167527 Long DBT CORP US N 2 2031-06-10 Fixed 3.125 N N N N N N NAVESINK CLO 2 LTD 2024-2A N/A 63942YAQ7 800000.000000 PA USD 800000.000000 0.0334884 Long ABS-CBDO CORP KY N 2 2036-01-15 Floating 4.88458 N N N N N N WASHINGTON MUTUAL 2004-RP1 N/A 92922FYJ1 238721.060000 PA USD 223838.350000 0.00937 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.21621 N N N N N N CITADEL SECURITIES GLOBAL HOLDINGS LLC 549300NV5RXBUS3X7L47 17288YAN2 1862329.350000 PA USD 1874211.010000 0.0784555 Long LON CORP US N 2 2031-10-31 Floating 5.6719 N N N N N N GATEWAY CREDIT TENANT LEASE N/A 963SPPII4 3457947.530000 PA 2363315.550000 0.0989297 Long ABS-O CORP CA N 3 2038-03-12 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -119052.820000 -0.0049836 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 51867468.240000 ZAR 3008498.000000 USD 2026-01-26 -119052.820000 N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LVA6 1300000.000000 PA USD 1327718.630000 0.055579 Long DBT CORP US N 2 2027-07-02 Fixed 5.55 N N N N N N N/A N/A 000000000 1.000000 NC 370469.290000 0.015508 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 12401943.030000 USD 560530619.130000 TRY 2026-02-03 370469.290000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TQ1 12700000.000000 PA USD 11429255.910000 0.478435 Long DBT UST US N 2 2043-02-15 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC 624.790000 0.0000262 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 290000.000000 USD 2027340.410000 CNY 2026-01-05 624.790000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KD8 300000.000000 PA USD 261859.560000 0.0109616 Long DBT CORP US N 2 2052-03-01 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 115770.000000 PA USD 121498.730000 0.005086 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.242 N N N N N N N/A N/A 000000000 1.000000 NC 12884.380000 0.0005393 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 223100000.000000 JPY 1438220.410000 USD 2026-01-14 12884.380000 N N N N/A N/A 000000000 1.000000 NC -304.170000 -0.0000127 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1632840.430000 USD 5861399.130000 PLN 2026-01-22 -304.170000 N N N UNITED AIRLINES 2016-2 CLASS A PASS THROUGH TRUST N/A 90932DAA3 361328.300000 PA USD 345757.290000 0.0144736 Long DBT CORP US N 2 2030-04-07 Fixed 3.1 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 65480CAD7 170000.000000 PA USD 158081.550000 0.0066174 Long DBT CORP US N 2 2028-09-15 Fixed 2.45 N N N N N N N/A N/A 000000000 1.000000 NC USD 13275.350000 0.0005557 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2028-12-20 0.000000 USD -1989.180000 USD 800000.000000 USD 15264.530000 N N N MONDELEZ INTERNATIONAL INC 549300DV9GIB88LZ5P30 609207BD6 7600000.000000 PA 5741302.350000 0.240334 Long DBT CORP US N 2 2031-07-03 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -145020.000000 -0.0060706 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 56446245.430000 ZAR 3258626.000000 USD 2026-01-26 -145020.000000 N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 7500000.000000 PA USD 7648800.000000 0.320183 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N POLESTAR RE LTD 254900VQQ6V3O4PG3408 73110JAB8 1700000.000000 PA USD 1773780.000000 0.0742514 Long DBT CORP BM N 2 2027-01-07 Floating 16.84 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172DZ9 2900000.000000 PA USD 2854891.630000 0.119507 Long DBT CORP US N 2 2032-10-29 Fixed 4.25 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 76228.240000 PA USD 72892.590000 0.0030513 Long ABS-MBS CORP US N 2 2036-02-20 Floating 5.79843 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 33955695.000000 PA USD 31866906.010000 1.33397 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HY6 1000000.000000 PA USD 747280.940000 0.0312816 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 5753.720000 PA USD 4089.470000 0.0001712 Long ABS-MBS CORP US N 2 2045-07-25 Floating 3.90621 N N N N N N BACARDI LTD / BACARDI-MARTINI BV N/A 05635JAC4 5073000.000000 PA USD 4955661.210000 0.207447 Long DBT CORP BM N 2 2043-06-15 Fixed 5.9 N N N N N N CAPITAL FOUR CLO X DAC 10A N/A ACI2ZN408 900000.000000 PA 1058533.640000 0.0443108 Long ABS-CBDO CORP IE N 2 2038-10-25 Floating 3.279 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 141390000.000000 PA USD 104728014.140000 4.38397 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KDR8 3600000.000000 PA 2645811.860000 0.110755 Long DBT CORP US N 2 2030-06-12 Fixed 3.83 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 8143.530000 PA USD 7584.710000 0.0003175 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.50734 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AA3 1984921.180000 PA USD 1731688.710000 0.0724894 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.16621 N N N N N N GNMA PASS THRU POOLS N/A 36225CN28 11458.750000 PA USD 11502.380000 0.0004815 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 5.625 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 1826736.230000 PA USD 975436.590000 0.0408323 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.79102 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAD2 1915886.220000 PA USD 851750.520000 0.0356547 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.04621 N N N N N N FISH POND RE LTD N/A 33774EAA2 2700000.000000 PA USD 2750490.000000 0.115137 Long DBT CORP KY N 2 2027-01-08 Floating 7.81 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 86600000.000000 PA 27803930.860000 1.16389 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N JONES LANG LASALLE INCORPORATED 6SYKCME112RT8TQUO411 48020QAB3 2150000.000000 PA USD 2301640.470000 0.0963479 Long DBT CORP US N 2 2028-12-01 Fixed 6.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 427700000.000000 PA USD 298955619.330000 12.5144 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N N/A N/A 000000000 1.000000 NC 11913.630000 0.0004987 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 486632.550000 USD 9020659.000000 MXN 2026-02-23 11913.630000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBT2 1900000.000000 PA USD 1305364.850000 0.0546433 Long DBT CORP US N 2 2052-02-15 Fixed 3.4 N N N N N N SANDSTONE PEAK LTD 2021-1A N/A 800130AN6 750000.000000 PA USD 751364.300000 0.0314525 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.18454 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAJ6 6100000.000000 PA USD 6216274.300000 0.260217 Long DBT CORP GB N 2 2027-10-18 Floating 6.557 N N N N N N VERDELITE STATIC CLO LTD 2024-1 N/A 92338VAA9 556162.040000 PA USD 556313.630000 0.0232876 Long ABS-CBDO CORP JE N 2 2032-07-20 Floating 5.01444 N N N N N N N/A N/A 000000000 1.000000 NC USD -42504.740000 -0.0017793 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 1400000.000000 USD -42504.740000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAF9 2448700.060000 PA USD 1079760.900000 0.0451994 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.06621 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN N/A 94990HAA5 1500000.000000 PA USD 1504307.850000 0.0629711 Long ABS-MBS CORP US N 2 2037-07-15 Floating 5.39256 N N N N N N N/A N/A 000000000 1.000000 NC 21799.230000 0.0009125 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1850014.430000 USD 33916000.000000 MXN 2026-03-09 21799.230000 N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB76 1540000.000000 PA USD 1398594.120000 0.0585459 Long DBT MUN US N 2 2046-06-01 Fixed 3 N N N N N N MEIJI YASUDA LIFE INSURANCE COMPANY 549300SLU4LP6YMRLK07 585270AE1 1200000.000000 PA USD 1245643.200000 0.0521433 Long DBT CORP JP N 2 2055-06-11 Floating 6.1 N N N N N N NORTHERN STATES POWER COMPANY OF MINNESOTA 3S1GHB0TEH85KX44SB51 665772CQ0 6300000.000000 PA USD 4763880.070000 0.199419 Long DBT CORP US N 2 2047-09-15 Fixed 3.6 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAU2 1500000.000000 PA USD 1515659.120000 0.0634463 Long DBT CORP US N 2 2033-05-15 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 58003.560000 0.0024281 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 EQUINIX INC EQUINIX INC SR UNSEC Y Single Leg Swap 2027-06-20 125831.740000 USD 0.000000 USD 900000.000000 USD -67828.180000 N N N TRANSOCEAN INTERNATIONAL LIMITED DOL4HJ22ADYSIWES4H94 893814AA1 225000.000000 PA USD 236055.600000 0.0098814 Long DBT CORP BM N 2 2032-10-15 Fixed 7.875 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HF3 2020000.000000 PA USD 1385398.030000 0.0579935 Long DBT CORP US N 2 2051-06-01 Fixed 3.65 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BM5 600000.000000 PA USD 553670.020000 0.0231769 Long DBT CORP US N 2 2038-04-01 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -22104.020000 -0.0009253 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -3336.250000 USD 1700000.000000 USD -18767.770000 N N N N/A N/A 000000000 1.000000 NC -20480.350000 -0.0008573 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5925288.960000 ILS 1840209.000000 USD 2026-02-19 -20480.350000 N N N FLEX INTERMEDIATE HOLDCO LLC 549300290TQIGM30A243 33939HAB5 1750000.000000 PA USD 1475052.740000 0.0617465 Long DBT CORP US N 2 2039-12-30 Fixed 4.317 N N N N N N KKR CLO 33 LTD 33A N/A 48254QAF1 400000.000000 PA USD 400097.660000 0.0167483 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 4.99268 N N N N N N GSAMP TRUST 2007-HE2 N/A 362440AD1 633363.250000 PA USD 477156.550000 0.019974 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.38621 N N N N N N N/A N/A 000000000 1.000000 NC 32701.970000 0.0013689 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 40430923.000000 TWD 1319977.890000 USD 2026-01-22 32701.970000 N N N N/A N/A 000000000 1.000000 NC -2211.070000 -0.0000926 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 599168453.000000 KRW 413342.200000 USD 2026-01-08 -2211.070000 N N N RESOLUTION FUNDING CORP N/A 76116EGP9 1000000.000000 PA USD 896378.200000 0.0375229 Long DBT USGSE US N 2 2029-01-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RH3 14310000.000000 PA USD 11330613.350000 0.474306 Long DBT UST US N 2 2044-08-15 Fixed 3.125 N N N N N N N/A N/A 000000000 1.000000 NC -36579.640000 -0.0015312 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3299250.000000 USD 293948328.380000 INR 2026-01-30 -36579.640000 N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XBC2 1500000.000000 PA USD 1542366.720000 0.0645643 Long DBT CORP US N 2 2035-04-01 Fixed 5.55 N N N N N N N/A N/A 000000000 1.000000 NC 2706.570000 0.0001133 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2147000.000000 NZD 1239241.960000 USD 2026-01-14 2706.570000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFS9 2300000.000000 PA USD 2358808.910000 0.098741 Long DBT CORP US N 2 2030-07-19 Floating 5.042 N N N N N N VOYA CLO LTD 2014-4 N/A 92914RAY8 201342.480000 PA USD 201447.330000 0.0084327 Long ABS-CBDO CORP KY N 2 2031-07-14 Floating 5.27311 N N N N N N FORD AUTO SECURITIZATION TRUST II SERIES 2024-AA ASSET-BACKED NOTES N/A 345214BJ8 3727968.630000 PA 2751386.700000 0.115175 Long ABS-O CORP CA N 2 2028-07-15 Fixed 5.053 N N N N N N UMBS PASS THRU POOLS N/A 01F062630 7800000.000000 PA USD 8115217.110000 0.339707 Long ABS-MBS USGSE US N 2 2055-03-15 Fixed 6.5 N N N N N N BANK OF AMERICA MTGE SEC 2005-G N/A 05949CED4 257252.760000 PA USD 245597.410000 0.0102808 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.22996 N N N N N N N/A N/A 000000000 1.000000 NC 10866.350000 0.0004549 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4052140.000000 USD 366054119.040000 INR 2026-01-30 10866.350000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FW8 3600000.000000 PA USD 2780522.820000 0.116394 Long DBT CORP US N 2 2043-03-15 Fixed 3.9 N N N N N N N/A N/A 000000000 1.000000 NC -7865.740000 -0.0003293 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14462044.730000 ZAR 864437.820000 USD 2026-01-22 -7865.740000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834KP2 350000.000000 PA USD 163713.720000 0.0068531 Long DBT UST US N 2 2041-08-15 None 0 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBA7 300000.000000 PA USD 284936.280000 0.0119276 Long DBT CORP US N 2 2030-01-15 Fixed 2.9 N N N N N N ARCH CAPITAL GROUP LTD 549300AYR4P8AFKDCE43 03939AAA5 4200000.000000 PA USD 3123253.430000 0.130741 Long DBT CORP BM N 2 2050-06-30 Fixed 3.635 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 ACI34TG04 2900000.000000 PA 3298220.510000 0.138065 Long DBT CORP US N 2 2038-11-06 Fixed 3.5 N N N N N N INDIANA MICHIGAN POWER COMPANY JHR9V15J0ZRG02MIRD06 454889AM8 800000.000000 PA USD 873028.040000 0.0365454 Long DBT CORP US N 2 2037-03-15 Fixed 6.05 N N N N N N CAPITAL STREET MASTER TRUST 2025-1 N/A 14051LAC6 1000000.000000 PA USD 998855.500000 0.0418126 Long ABS-O CORP US N 2 2029-08-16 Floating 5.07416 N N N N N N JP MORGAN MORTGAGE TRUST 2019-5 N/A 46591FAL8 179918.620000 PA USD 172275.010000 0.0072115 Long ABS-MBS CORP US N 2 2049-11-25 Floating 4.74621 N N N N N N BBCMS MORTGAGE TRUST 2025-5C37 N/A 05494NAB7 1000000.000000 PA USD 1005220.800000 0.0420791 Long ABS-MBS CORP US N 2 2058-09-15 Fixed 4.534 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SA7 12900000.000000 PA USD 9603445.250000 0.402005 Long DBT UST US N 2 2048-02-15 Fixed 3 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAV7 330255.140000 PA USD 329750.640000 0.0138035 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.03254 N N N N N N TBW MORTGAGE BACKED PASS THROUGH CERTIFICATES 2006-3 N/A 87804AAA0 4569009.080000 PA USD 1698212.490000 0.0710881 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBY5 600000.000000 PA USD 604661.480000 0.0253115 Long DBT CORP US N 2 2035-04-01 Fixed 5.4 N N N N N N CDW LLC / CDW FINANCE CORP N/A 12513GBJ7 2900000.000000 PA USD 2702662.450000 0.113135 Long DBT CORP US N 2 2031-12-01 Fixed 3.569 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 452239.040000 PA USD 452793.870000 0.0189542 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 4.9132 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CV5 700000.000000 PA USD 744530.520000 0.0311664 Long DBT CORP US N 2 2033-08-15 Fixed 5.85 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172AU3 880000.000000 PA USD 727996.700000 0.0304743 Long DBT CORP US N 2 2042-08-21 Fixed 3.875 N N N N N N BRIGHTSTAR LOTTERY HOLDINGS BV 984500911D9B7B4D7533 ACI2R5JZ3 2800000.000000 PA 3351826.940000 0.140309 Long DBT CORP NL N 2 2030-03-15 Fixed 4.25 N N N N N N HPS CORPORATE LENDING FUND 549300ZS7IHUA6FKFV61 40440VAN5 2100000.000000 PA USD 2126539.720000 0.0890181 Long DBT CORP US N 2 2030-06-05 Fixed 5.85 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BD7 400000.000000 PA USD 431894.150000 0.0180793 Long DBT CORP US N 2 2039-09-01 Fixed 6.5 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 045054AR4 2400000.000000 PA USD 2540549.710000 0.106349 Long DBT CORP US N 2 2033-10-15 Fixed 5.95 N N N N N N 2026-02-27 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX