NPORT-P false 0000810893 XXXXXXXX S000009704 C000026632 C000026634 C000064152 C000200449 C000026636 C000026630 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Fund S000009704 C0FSZ71JI1IAVNM4U731 2026-03-31 2026-03-31 N 5347729700.210000 2900610198.830000 2447119501.380000 0.000000 0.000000 312337843.200000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 56695354.700000 AUD PLN GBP EUR BRL USD ZAR N S&P 500 Index SPTR N/A N/A 000000000 1.000000 NC 10272.970000 0.0004198 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 23971808.800000 INR 263432.260000 USD 2026-04-07 10272.970000 N N N FANNIE MAE REMICS 2025-87 N/A 3136BXQD9 15063420.220000 PA USD 15157205.070000 0.61939 Long ABS-MBS USGSE US N 2 2055-10-25 Floating 4.7619 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEC5 1200000.000000 PA USD 1189107.880000 0.0485921 Long DBT CORP US N 2 2027-07-20 Floating 1.512 N N N N N N N/A N/A 000000000 1.000000 NC -4430.260000 -0.000181 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1081455.000000 USD 35482538.550000 THB 2026-04-16 -4430.260000 N N N FREDDIE MAC 3404 N/A 31397PST8 131752.430000 PA USD 132689.690000 0.0054223 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 4.64171 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JF1 3000000.000000 PA USD 2999664.420000 0.122579 Long DBT CORP US N 2 2026-09-06 Fixed 4.4 N N N N N N N/A N/A 000000000 1.000000 NC 12523.710000 0.0005118 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1289514000.000000 KRW 870000.000000 USD 2026-04-13 12523.710000 N N N FREDDIE MAC REMICS 5500 N/A 3137HJB30 3965152.860000 PA USD 3992961.270000 0.16317 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -61663.890000 -0.0025199 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1538555.000000 USD 139847726.000000 INR 2026-04-07 -61663.890000 N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 11610.330000 PA USD 11022.160000 0.0004504 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.47789 N N N N N N N/A N/A 000000000 1.000000 NC -5044.450000 -0.0002061 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1012296.000000 USD 17094670390.000000 IDR 2026-04-13 -5044.450000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VBD1 300000.000000 PA USD 306787.810000 0.0125367 Long DBT CORP US N 2 2030-04-01 Fixed 5.2 N N N N N N N/A N/A 000000000 1.000000 NC -60853.420000 -0.0024867 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1539426.000000 USD 140006946.140000 INR 2026-04-07 -60853.420000 N N N N/A N/A 000000000 1.000000 NC -6945.870000 -0.0002838 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 814327.000000 USD 26597059.880000 THB 2026-04-17 -6945.870000 N N N EMERA US FINANCE LP N/A 29103DAJ5 1547000.000000 PA USD 1543548.700000 0.0630761 Long DBT CORP US N 2 2026-06-15 Fixed 3.55 N N N N N N N/A N/A 000000000 1.000000 NC 5385.280000 0.0002201 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 545000.000000 GBP 726747.530000 USD 2026-04-02 5385.280000 N N N N/A N/A 000000000 -978.000000 NC USD 1099952.860000 0.0449489 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -110934234.860000 USD 1099952.860000 N N N N/A N/A 000000000 1.000000 NC -9988.700000 -0.0004082 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 299322820.000000 JPY 1876044.000000 USD 2026-04-02 -9988.700000 N N N FREDDIE MAC REMICS 5580 N/A 3137HMXM7 20514166.320000 PA USD 20680753.660000 0.845106 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -14665.570000 -0.0005993 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1214557.000000 USD 112760686.440000 INR 2026-04-24 -14665.570000 N N N N/A N/A 000000000 1.000000 NC -4623.470000 -0.0001889 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 500969.000000 USD 8441778522.000000 IDR 2026-06-10 -4623.470000 N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAL2 10730000.000000 PA USD 10822875.340000 0.44227 Long DBT CORP GB N 2 2029-05-17 Floating 4.80487 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ADT1 12063000.000000 PA USD 12185044.150000 0.497934 Long DBT CORP US N 2 2030-03-27 Floating 4.99365 N N N N N N N/A N/A 000000000 1.000000 NC -217578.060000 -0.0088912 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16300000.000000 BRL 2929231.210000 USD 2026-04-02 -217578.060000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAC4 3368064.170000 PA USD 3371257.770000 0.137764 Long ABS-O CORP US N 2 2029-01-10 Fixed 4.53 N N N N N N FANNIE MAE 2003-25 N/A 31393APU5 49963.710000 PA USD 49741.990000 0.0020327 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N RCKT TRUST 2025-1A N/A 74939RAA9 838225.800000 PA USD 840063.530000 0.0343287 Long ABS-O CORP US N 2 2034-07-25 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 6903.720000 0.0002821 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 673353.730000 USD 1023003805.000000 KRW 2026-04-13 6903.720000 N N N N/A N/A 000000000 1.000000 NC -135720.330000 -0.0055461 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 4995985.000000 USD 18042849.950000 PLN 2026-04-22 -135720.330000 N N N N/A N/A 000000000 1.000000 NC 1730.370000 0.0000707 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1189000.000000 PLN 322019.500000 USD 2026-04-15 1730.370000 N N N N/A N/A 000000000 1.000000 NC 2083.540000 0.0000851 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8001282.000000 MXN 445766.290000 USD 2026-06-17 2083.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TZ0 1274000.000000 PA USD 1265240.890000 0.0517033 Long DBT UST US N 2 2026-06-09 None 0 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAB4 1161891.830000 PA USD 983376.210000 0.0401851 Long ABS-MBS CORP US N 2 2060-01-25 Variable 1.11456 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAC6 298987.040000 PA USD 300463.200000 0.0122782 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC 4007.010000 0.0001637 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 532019.360000 ILS 173569.000000 USD 2026-06-10 4007.010000 N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 3415132.380000 PA USD 3414698.660000 0.13954 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 4.9219 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 723370.770000 PA USD 407090.860000 0.0166355 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.11303 N N N N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A 418751AE3 3384000.000000 PA USD 3372283.370000 0.137806 Long DBT CORP US N 2 2026-06-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC -5476.370000 -0.0002238 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5279158.810000 ZAR 305392.000000 USD 2026-05-20 -5476.370000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3 N/A 021464AA0 1202548.910000 PA USD 1139040.260000 0.0465462 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.15303 N N N N N N VISTRA OPERATIONS COMPANY LLC 549300ZH5GKBTJZ7NM23 92840VAT9 4300000.000000 PA USD 4315256.400000 0.17634 Long DBT CORP US N 2 2026-12-30 Fixed 5.05 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 25237.560000 PA USD 24596.730000 0.0010051 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.37303 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 29854.990000 PA USD 30579.420000 0.0012496 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.06 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 1000000.000000 PA USD 1014285.920000 0.0414482 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 743326.880000 PA USD 751497.830000 0.0307095 Long ABS-O CORP US N 2 2052-11-15 Floating 5.22223 N N N N N N BMO 2025-5C11 MORTGAGE TRUST N/A 096941AB5 10800000.000000 PA USD 10979204.400000 0.448658 Long ABS-MBS CORP US N 2 2058-07-15 Fixed 5.187 N N N N N N N/A N/A 000000000 1.000000 NC -7122.460000 -0.0002911 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 163479237.000000 JPY 1022960.000000 USD 2026-04-02 -7122.460000 N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1065407.210000 PA USD 1030791.810000 0.0421227 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 5792.590000 0.0002367 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1029711.460000 ILS 333976.000000 USD 2026-06-10 5792.590000 N N N N/A N/A 000000000 1.000000 NC USD 15901.050000 0.0006498 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -149872.490000 USD 7700000.000000 USD 165773.540000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI34TTF7 6600000.000000 PA 375559.840000 0.015347 Long DBT NUSS ZA N 2 2026-10-28 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -203258.120000 -0.008306 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11200000.000000 BRL 1958966.650000 USD 2026-04-02 -203258.120000 N N N N/A N/A 000000000 1.000000 NC -74000.250000 -0.003024 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 24700000.000000 BRL 4497491.780000 USD 2026-10-02 -74000.250000 N N N FNMA PASS THRU POOLS N/A 31373UCE5 708.030000 PA USD 702.880000 0.0000287 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.435 N N N N N N RENESAS ELECTRONICS CORPORATION 5299000EPC47VJQOFB81 75972BAB7 2200000.000000 PA USD 2166261.790000 0.0885229 Long DBT CORP JP N 2 2026-11-25 Fixed 2.17 N N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A 86358HGW3 38761.380000 PA USD 38001.670000 0.0015529 Long ABS-MBS CORP US N 2 2029-06-25 Floating 3.90499 N N N N N N N/A N/A 000000000 1.000000 NC USD -4921069.720000 -0.201096 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2026-04-22 0.000000 USD 0.000000 USD 92494474.910000 USD -4921069.720000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAZ4 8318000.000000 PA USD 8195918.130000 0.334921 Long DBT CORP US N 2 2027-03-15 Fixed 2.9 N N N N N N FANNIE MAE REMICS 2025-69 N/A 3136BWB54 20970502.010000 PA USD 21182838.830000 0.865623 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8619 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 7105000.000000 PA USD 7083795.840000 0.289475 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.095 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 466068.100000 PA USD 476096.160000 0.0194554 Long ABS-O CORP US N 2 2041-02-20 Floating 5.87294 N N N N N N PAGAYA AI DEBT TRUST 2025-1 N/A 69544NAB3 672842.850000 PA USD 674066.210000 0.0275453 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.156 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 -17200000.000000 PA USD -16965409.540000 -0.693281 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYM0 5424000.000000 PA USD 5350429.460000 0.218642 Long DBT CORP US N 2 2027-10-21 Floating 1.948 N N N N N N N/A N/A 000000000 1.000000 NC 16443.680000 0.000672 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 87228835.260000 INR 937642.000000 USD 2026-04-07 16443.680000 N N N FANNIE MAE REMICS 2025-18 N/A 3136BU7K0 1996416.530000 PA USD 2008534.780000 0.0820775 Long ABS-MBS USGSE US N 2 2053-11-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -3220.120000 -0.0001316 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1065171.000000 USD 34039561.000000 TWD 2026-04-27 -3220.120000 N N N ARGENT SECURITIES INC 2004-W9 N/A 040104LB5 318561.530000 PA USD 345650.730000 0.0141248 Long ABS-MBS CORP US N 2 2034-06-26 Floating 4.66303 N N N N N N BANK HAPOALIM LTD B6ARUI4946ST4S7WOU88 ACI37Y6L5 600000.000000 PA USD 593072.780000 0.0242355 Long DBT CORP IL N 2 2033-01-14 Fixed 5.252 N N N N N N BLACKBIRD CAPITAL AIRCRAFT LEASE SECURITIZATION LTD 2021-1A N/A 09229CAA7 2026799.240000 PA USD 1923558.750000 0.078605 Long ABS-O CORP US N 2 2046-07-15 Fixed 2.443 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 2125972.790000 PA USD 2105680.380000 0.0860473 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.163 N N N N N N DRYDEN SENIOR LOAN FUND 2016-43A N/A 26245CBQ5 3500000.000000 PA USD 3503070.590000 0.143151 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 4.73763 N N N N N N N/A N/A 000000000 1.000000 NC -6092.720000 -0.000249 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 378658.000000 USD 6773131.380000 MXN 2026-09-17 -6092.720000 N N N N/A N/A 000000000 1.000000 NC 18464.710000 0.0007545 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1468064.820000 USD 7700000.000000 BRL 2026-04-02 18464.710000 N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJS1 13300000.000000 PA USD 13295669.120000 0.543319 Long DBT CORP US N 2 2028-09-12 Floating 4.59391 N N N N N N GNMA PASS THRU POOLS N/A 36225CC61 7281.530000 PA USD 7278.570000 0.0002974 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 5.375 N N N N N N CANADIAN IMPERIAL BANK OF COMMERCE (CIBC) 2IGI19DL77OX0HC3ZE78 13607QWA6 9300000.000000 PA USD 9280219.270000 0.37923 Long DBT CORP CA N 2 2030-01-29 Floating 4.4682 N N N N N N N/A N/A 000000000 1.000000 NC -923.470000 -0.0000377 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 195000.000000 USD 6213205.000000 TWD 2026-04-16 -923.470000 N N N ACHV ABS TRUST 2024-1PL N/A 00092BAA2 144167.280000 PA USD 144643.290000 0.0059108 Long ABS-O CORP US N 2 2031-04-25 Fixed 5.9 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2005-2 N/A 367910AV8 3879424.110000 PA USD 3797773.870000 0.155194 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.43303 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-9 N/A 69546QAA6 602758.430000 PA USD 603897.280000 0.0246779 Long ABS-O CORP US N 2 2032-03-15 Fixed 5.065 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D26 200000.000000 PA USD 200477.770000 0.0081924 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 8758.740000 0.0003579 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1822010.000000 USD 172047849.280000 INR 2026-04-24 8758.740000 N N N BNPAM-2018-1A N/A ACI1W1J88 989256.880000 PA 1144854.190000 0.0467837 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 2.616 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GD76 2700000.000000 PA USD 2697406.760000 0.110228 Long DBT CORP US N 2 2029-01-21 Floating 4.37889 N N N N N N TOWD POINT MORTGAGE TRUST 2024-5 N/A 891944AA8 7679887.020000 PA USD 7618949.420000 0.311344 Long ABS-MBS CORP US N 2 2064-10-25 Variable 4.61199 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TK3 113000.000000 PA USD 112692.740000 0.0046051 Long DBT UST US N 2 2026-04-28 None 0 N N N N N N EMAAR SUKUK LIMITED 549300NZHOOO6634T541 ACI0PQ4Q9 4200000.000000 PA USD 4161767.400000 0.170068 Long DBT CORP KY N 2 2026-09-15 Fixed 3.635 N N N N N N QATARENERGY LNG S3 N/A M8222MAD4 1444850.000000 PA USD 1443556.180000 0.05899 Long DBT CORP QA N 2 2027-09-30 Fixed 6.332 N N N N N N POLARIS 2026-1 PLC 2026-1A N/A ACI38C327 8999840.390000 PA 11884165.860000 0.485639 Long ABS-MBS CORP GB N 2 2070-06-27 Floating 4.4548 N N N N N N N/A N/A 000000000 1.000000 NC 111543.670000 0.0045582 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4296866.940000 USD 23137983.940000 BRL 2026-06-02 111543.670000 N N N FREDDIE MAC REMICS 5500 N/A 3137HJ7M3 2165084.750000 PA USD 2169218.110000 0.0886437 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.6619 N N N N N N N/A N/A 000000000 1.000000 NC -2103.830000 -0.000086 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 279000.000000 EUR 320378.380000 USD 2026-04-02 -2103.830000 N N N ALLY AUTO RECEIVABLES TRUST 2024-2 N/A 02007NAC2 810443.640000 PA USD 811027.160000 0.0331421 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.14 N N N N N N N/A N/A 000000000 1.000000 NC 91.340000 0.0000037 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 396000.000000 ILS 126302.060000 USD 2026-06-10 91.340000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401ABE0 2000000.000000 PA USD 1963174.160000 0.0802239 Long DBT CORP KY N 2 2029-04-15 Fixed 4.2 N N N N N N PRPM 2025-6 LLC N/A 69395KAA1 2603468.580000 PA USD 2599826.330000 0.10624 Long ABS-MBS CORP US N 2 2028-08-25 Variable 5.774 N N N N N N N/A N/A 000000000 6000000.000000 NC USD 6356.400000 0.0002598 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 12/11/26-1Y LCH 2027-12-11 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2026-12-09 XXXX 3656.400000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAG7 2500000.000000 PA USD 2455208.500000 0.100331 Long DBT CORP US N 2 2027-01-15 Fixed 2.15 N N N N N N N/A N/A 000000000 1.000000 NC USD 10187.400000 0.0004163 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD 0.000000 USD 1500000.000000 USD 10187.400000 N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 50380.330000 PA USD 49302.460000 0.0020147 Long ABS-MBS CORP US N 2 2034-02-27 Floating 4.03 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAS9 350000.000000 PA USD 350487.380000 0.0143224 Long DBT CORP US N 2 2027-03-15 Floating 4.52353 N N N N N N N/A N/A 000000000 5100000.000000 PA USD 5100000.000000 0.208408 Long RA US N 2 Repurchase N 3.620000 2026-04-01 5271400.000000 USD 5101932.710000 USD UST N N N FANNIE MAE REMICS 2025-54 N/A 3136BWNW2 935180.390000 PA USD 940648.390000 0.038439 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 4.7619 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XEF9 400000.000000 PA USD 400039.020000 0.0163473 Long DBT CORP US N 2 2026-04-06 Fixed 5.4 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 61290.560000 PA USD 63515.670000 0.0025955 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.504 N N N N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 2831882.650000 PA USD 2768680.980000 0.11314 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N CSMC 2018-RPL9 TRUST N/A 12654PAA6 1713513.320000 PA USD 1686451.460000 0.0689158 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85 N N N N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 37255GDP0 2400000.000000 PA USD 2393470.560000 0.0978077 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 53187.140000 0.0021735 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-07-25 0.000000 PLN 0.000000 PLN 48700000.000000 PLN 53187.140000 N N N N/A N/A 000000000 1.000000 NC -3188.120000 -0.0001303 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1021094.100000 BRL 193940.000000 USD 2026-04-02 -3188.120000 N N N N/A N/A 000000000 211.000000 NC -1318303.010000 -0.0538716 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2026-06-26 24517964.570000 GBP -1318303.010000 N N N SYMPHONY CLO XXIX LTD N/A 87168GAN9 7800000.000000 PA USD 7790250.550000 0.318344 Long ABS-CBDO CORP KY N 2 2035-10-15 Floating 4.82219 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10113CDT0 24200000.000000 PA USD 24126177.900000 0.985901 Long DBT CORP US N 2 2026-04-27 None 0 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAP2 9350000.000000 PA USD 9392364.570000 0.383813 Long DBT CORP DE N 2 2029-01-10 Floating 4.8793 N N N N N N FANNIE MAE REMICS 2025-1 N/A 3136BUZM5 1442067.600000 PA USD 1454789.230000 0.059449 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.8619 N N N N N N MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC N/A 59319CAA3 1050000.000000 PA USD 1051240.600000 0.0429583 Long ABS-CBDO CORP US N 2 2043-02-18 Floating 5.12956 N N N N N N N/A N/A 000000000 1.000000 NC -640.510000 -0.0000262 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 37400000.000000 BRL 6921375.760000 USD 2026-10-02 -640.510000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BDE9 18600000.000000 PA USD 18570877.980000 0.758887 Long DBT CORP US N 2 2026-04-14 None 0 N N N N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAD2 400000.000000 PA USD 383918.370000 0.0156886 Long DBT CORP GB N 2 2032-04-15 Fixed 7.75 N N N N N N N/A N/A 000000000 1.000000 NC 16889.460000 0.0006902 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 606492.890000 USD 11181303.000000 MXN 2026-04-15 16889.460000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3M3 7630000.000000 PA USD 7659009.180000 0.312981 Long DBT CORP US N 2 2028-04-22 Floating 4.73845 N N N N N N N/A N/A 000000000 -22911410.320000 PA USD -22916285.360000 -0.93646 Short RA US N 2 Reverse repurchase N 3.830000 2026-04-09 23551856.590000 USD 23702560.990000 USD AMBS N N N N/A N/A 000000000 1.000000 NC 192.270000 0.0000079 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 14591.060000 SGD 11541.000000 USD 2026-04-02 192.270000 N N N FHLMC PASS THRU POOLS N/A 3128P7JU8 809.960000 PA USD 812.440000 0.0000332 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N TRIMARAN CAVU LTD 2021-2A N/A 89624UAN2 1200000.000000 PA USD 1199753.500000 0.0490272 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 4.68364 N N N N N N TORO EUROPEAN CLO 3 DAC 3A N/A ACI37Y6D3 1000000.000000 PA 1155720.190000 0.0472278 Long ABS-CBDO CORP IE N 2 2034-07-15 Floating 3.006 N N N N N N N/A N/A 000000000 1.000000 NC -53529.620000 -0.0021875 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1680836.000000 USD 154090640.300000 INR 2026-04-07 -53529.620000 N N N N/A N/A 000000000 1.000000 NC -91073.080000 -0.0037216 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7662914.160000 USD 136549000.000000 MXN 2026-06-17 -91073.080000 N N N PALMER SQUARE LOAN FUNDING 2024-2A LTD N/A 69702WAE5 500000.000000 PA USD 499427.970000 0.0204088 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 4.48932 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EU5 1700000.000000 PA USD 1674500.000000 0.0684274 Long DBT NUSS CO N 2 2031-01-21 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC -67129.280000 -0.0027432 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1714217.000000 USD 155963748.200000 INR 2026-04-07 -67129.280000 N N N N/A N/A 000000000 1.000000 NC USD 1617425.050000 0.0660951 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 699651.690000 USD 0.000000 USD 163190000.000000 USD 917773.360000 N N N N/A N/A 000000000 1.000000 NC 63973.080000 0.0026142 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3970892.790000 USD 20900000.000000 BRL 2026-04-02 63973.080000 N N N N/A N/A 000000000 1.000000 NC 91270.310000 0.0037297 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4387623.870000 USD 23200000.000000 BRL 2026-04-02 91270.310000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 30181.240000 PA USD 29904.890000 0.001222 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.15638 N N N N N N FNMA PASS THRU POOLS N/A 31384WV31 1359.610000 PA USD 1379.190000 0.0000564 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 6753.960000 0.000276 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1564450.270000 ILS 505444.000000 USD 2026-06-17 6753.960000 N N N CRNCL-2019-11A N/A ACI34RX33 3600000.000000 PA 4158793.430000 0.169947 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 -12893.530000 -0.0005269 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7403889.790000 BRL 1416470.210000 USD 2026-04-02 -12893.530000 N N N FREDDIE MAC REMICS 5410 N/A 3137HCUC4 5426912.850000 PA USD 5487316.020000 0.224236 Long ABS-MBS USGSE US N 2 2054-05-25 Floating 4.9119 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI2XB1Q2 5400000.000000 PA 316757.040000 0.0129441 Long DBT NUSS ZA N 2 2026-05-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -12478.240000 -0.0005099 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 732083.000000 USD 114204874.000000 JPY 2026-04-02 -12478.240000 N N N N/A N/A 000000000 1.000000 NC 3688.120000 0.0001507 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11775000.000000 MXN 656629.030000 USD 2026-06-17 3688.120000 N N N N/A N/A 000000000 1.000000 NC 255214.230000 0.0104292 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 13607206.000000 AUD 9643508.540000 USD 2026-04-02 255214.230000 N N N N/A N/A 000000000 1.000000 NC -1777.470000 -0.0000726 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 880000.000000 USD 28137723.000000 TWD 2026-04-23 -1777.470000 N N N N/A N/A 000000000 1.000000 NC 13937.460000 0.0005695 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1588425.540000 USD 8300000.000000 BRL 2026-04-02 13937.460000 N N N ACRES COMMERCIAL REALTY LTD 2025-FL3 N/A 00501DAA3 7200000.000000 PA USD 7225864.560000 0.29528 Long ABS-MBS CORP KY N 2 2040-08-18 Floating 5.29856 N N N N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 1913543.640000 PA USD 1919820.450000 0.0784523 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N N/A N/A 000000000 1.000000 NC -8659.940000 -0.0003539 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2773612.530000 BRL 526802.000000 USD 2026-04-02 -8659.940000 N N N N/A N/A 000000000 1.000000 NC USD -39470.150000 -0.0016129 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-18 0.000000 USD -278913.020000 USD 138260000.000000 USD 239442.870000 N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAD1 1563000.000000 PA USD 1549228.160000 0.0633082 Long DBT CORP US N 2 2027-04-05 Fixed 3.65 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI2X3D53 32600000.000000 PA 1914573.950000 0.0782379 Long DBT NUSS ZA N 2 2026-05-13 None 0 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 58621.270000 PA USD 58158.400000 0.0023766 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.17638 N N N N N N BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM) VBHFXSYT7OG62HNT8T76 06675DCQ3 5300000.000000 PA USD 5320007.390000 0.217399 Long DBT CORP FR N 2 2028-10-16 Floating 4.65914 N N N N N N N/A N/A 000000000 1.000000 NC -929.630000 -0.000038 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1358530.110000 PLN 365027.000000 USD 2026-04-15 -929.630000 N N N ANCHORAGE CAPITAL CLO 21 LTD N/A 03331KAJ8 7500000.000000 PA USD 7503045.980000 0.306607 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.71763 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038QDU5 14400000.000000 PA USD 14349958.560000 0.586402 Long DBT CORP US N 2 2026-04-28 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31361ULM1 25.380000 PA USD 25.280000 0.000001 Long ABS-MBS USGSE US N 2 2027-02-01 Floating 4.806 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4G3 600000.000000 PA USD 601448.150000 0.0245778 Long DBT CORP US N 2 2030-01-07 Fixed 5.38 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2A N/A 96041KAE4 8100000.000000 PA USD 8137076.130000 0.332516 Long ABS-O CORP US N 2 2031-01-15 Fixed 4.63 N N N N N N N/A N/A 000000000 1.000000 NC 4748.220000 0.000194 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11792699.830000 INR 129287.490000 USD 2026-04-07 4748.220000 N N N STRUCTURED ASSET SECUR CORP 2004-23XS N/A 86359BU74 994120.260000 PA USD 1039400.350000 0.0424744 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.61803 N N N N N N N/A N/A 000000000 1.000000 NC -4946.200000 -0.0002021 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3812316.830000 USD 3294000.000000 EUR 2026-04-02 -4946.200000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A N/A ACI2Q3MV4 934244.290000 PA 1081033.010000 0.0441757 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 2.974 N N N N N N N/A N/A 000000000 1.000000 NC 156647.990000 0.0064013 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 97702840.990000 USD 84664506.920000 EUR 2026-04-02 156647.990000 N N N N/A N/A 000000000 1.000000 NC 125364.640000 0.0051229 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 16492000.000000 GBP 21953309.310000 USD 2026-05-05 125364.640000 N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466LAR5 1600000.000000 PA USD 1603565.200000 0.0655287 Long DBT CORP US N 2 2029-03-15 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 385.860000 0.0000158 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 680833.420000 USD 4692000.000000 CNY 2026-04-02 385.860000 N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 484284.730000 PA USD 299431.600000 0.0122361 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC -1407.710000 -0.0000575 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 890000.000000 USD 28460367.000000 TWD 2026-04-20 -1407.710000 N N N N/A N/A 000000000 2034.000000 NC USD -7969764.260000 -0.325679 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2026-06-18 668245275.000000 USD -7969764.260000 N N N N/A N/A 000000000 1.000000 NC 1662.510000 0.0000679 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 547714383.000000 KRW 366000.000000 USD 2026-04-27 1662.510000 N N N N/A N/A 000000000 1.000000 NC 36755.910000 0.001502 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 33600239.660000 THB 1056646.000000 USD 2026-04-16 36755.910000 N N N FANNIE MAE REMICS 2010-109 N/A 31398NRZ9 334100.700000 PA USD 320610.450000 0.0131015 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 3 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3V1 240000.000000 PA USD 240208.330000 0.009816 Long DBT CORP US N 2 2026-05-08 Fixed 5.62 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRJ7 197.600000 PA USD 198.660000 0.0000081 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 4.55325 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 4500000.000000 PA USD 4584771.900000 0.187354 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC 183986.230000 0.0075185 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11385588.290000 USD 61164291.140000 BRL 2026-07-02 183986.230000 N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 708827.590000 PA USD 711693.810000 0.0290829 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N FNMA PASS THRU POOLS N/A 31363EH73 176.430000 PA USD 177.570000 0.0000073 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 5.6 N N N N N N PALMER SQUARE LOAN FUNDING 2025-3 LTD 2025-3A N/A 696918AA9 550000.000000 PA USD 550231.180000 0.0224849 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 4.66 N N N N N N N/A N/A 000000000 1.000000 NC 663524.360000 0.0271145 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16300482.000000 USD 87871008.320000 BRL 2026-04-02 663524.360000 N N N FNMA PASS THRU POOLS N/A 31362L4P2 445.530000 PA USD 443.440000 0.0000181 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 4.495 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AEB9 500000.000000 PA USD 500537.040000 0.0204541 Long DBT CORP US N 2 2028-09-18 Floating 4.71046 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAH6 2807000.000000 PA USD 2832947.400000 0.115767 Long DBT CORP US N 2 2026-11-21 Fixed 6.125 N N N N N N DRYDEN 95 CLO LTD N/A 262487AJ0 3800000.000000 PA USD 3800839.880000 0.155319 Long ABS-CBDO CORP KY N 2 2034-08-20 Floating 4.69557 N N N N N N N/A N/A 000000000 1.000000 NC -56623.440000 -0.0023139 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3906948.890000 USD 65239912.550000 ZAR 2026-04-20 -56623.440000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 873923AE6 800000.000000 PA USD 790304.700000 0.0322953 Long DBT CORP US N 2 2031-03-24 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC 872.040000 0.0000356 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2891266.000000 TWD 90840.330000 USD 2026-06-17 872.040000 N N N ARBOUR CLO XIII DAC 13A N/A ACI38J3K2 1000000.000000 PA 1152368.800000 0.0470908 Long ABS-CBDO CORP IE N 2 2038-08-15 Floating 3.151 N N N N N N N/A N/A 000000000 1.000000 NC 8022.650000 0.0003278 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 10185322.720000 USD 52800000.000000 BRL 2026-04-02 8022.650000 N N N AQUA FINANCE ISSUER TRUST 2025-B N/A 03837GAA5 4888471.800000 PA USD 4914082.500000 0.200811 Long ABS-O CORP US N 2 2051-05-17 Fixed 4.79 N N N N N N SAMMONS FINANCIAL GROUP GLOBAL FUNDING 635400IPRNPM6HDHRS48 79587J2C6 200000.000000 PA USD 200302.740000 0.0081852 Long DBT CORP US N 2 2030-06-12 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC -2996.190000 -0.0001224 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 78678669.000000 JPY 492758.000000 USD 2026-04-02 -2996.190000 N N N FHLMC PASS THRU POOLS N/A 31292HYL2 2358.940000 PA USD 2411.850000 0.0000986 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CDT7 10000000.000000 PA USD 10101172.300000 0.412778 Long DBT CORP US N 2 2030-03-27 Floating 4.99365 N N N N N N N/A N/A 000000000 1.000000 NC -2346.550000 -0.0000959 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 730000.000000 USD 23324058.000000 TWD 2026-04-27 -2346.550000 N N N N/A N/A 000000000 1.000000 NC -205.010000 -0.0000084 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2827726.000000 MXN 156596.520000 USD 2026-06-17 -205.010000 N N N N/A N/A 000000000 1.000000 NC USD -5778952.480000 -0.236153 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2026-04-02 0.000000 USD 0.000000 USD 130289195.790000 USD -5778952.480000 N N N CARLYLE EURO CLO 2021-2 DAC 21-2A N/A ACI20V184 1000000.000000 PA 1155437.120000 0.0472162 Long ABS-CBDO CORP IE N 2 2035-10-15 Floating 3.006 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAB4 197023.990000 PA USD 197469.300000 0.0080695 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.88 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 ACI1Y1WH1 3735000.000000 PA USD 3717842.120000 0.151927 Long DBT CORP IT N 2 2027-06-03 Floating 1.982 N N N N N N N/A N/A 000000000 1.000000 NC USD -8131060.910000 -0.332271 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2026-04-08 0.000000 USD 0.000000 USD 246495061.160000 USD -8131060.910000 N N N GNMA PASS THRU POOLS N/A 3618KWBS1 382173.160000 PA USD 389346.020000 0.0159104 Long ABS-MBS USGSE US N 2 2055-06-20 Fixed 7 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2024-3 N/A 33843YAA5 444546.380000 PA USD 444910.820000 0.018181 Long ABS-O CORP US N 2 2028-11-15 Fixed 4.88 N N N N N N NAVIENT EDUCATION LOAN TRUST 2025-A N/A 63943EAA5 3092959.160000 PA USD 3102043.180000 0.126763 Long ABS-O CORP US N 2 2055-07-15 Fixed 5.02 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BDQ2 6900000.000000 PA USD 6881439.690000 0.281206 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 7811.020000 0.0003192 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 291430.000000 USD 5364643.440000 MXN 2026-04-09 7811.020000 N N N N/A N/A 000000000 1.000000 NC 711.660000 0.0000291 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 161952.760000 SGD 126965.510000 USD 2026-05-04 711.660000 N N N FANNIE MAE 2009-111 N/A 31398GQS1 15735.760000 PA USD 15802.340000 0.0006458 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 4.52638 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6N79 74911.410000 PA USD 76797.270000 0.0031383 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 2649479.020000 PA USD 2603418.360000 0.106387 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N N/A N/A 000000000 24700000.000000 NC USD 16640.390000 0.00068 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 08/05/26-1Y LCH 2027-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-03 XXXX -5466.110000 N N N N/A N/A 000000000 1.000000 NC -87685.010000 -0.0035832 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7680000.000000 USD 711717273.600000 INR 2026-04-13 -87685.010000 N N N LEIDOS INC 5493006I78VIN6J1BQ95 52533BDP4 1500000.000000 PA USD 1496016.600000 0.0611338 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 96.270000 PA USD 96.050000 0.0000039 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 5.625 N N N N N N FREDDIE MAC REMICS 5557 N/A 3137HLZ21 1216762.740000 PA USD 1223868.880000 0.0500126 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 4.7619 N N N N N N N/A N/A 000000000 1.000000 NC 4835.780000 0.0001976 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 387497.000000 USD 2059197.810000 BRL 2026-06-02 4835.780000 N N N N/A N/A 000000000 1.000000 NC 84655.680000 0.0034594 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7300000.000000 USD 38251408.700000 BRL 2026-04-02 84655.680000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFN0 7100000.000000 PA USD 7126552.230000 0.291222 Long DBT CORP US N 2 2028-04-13 Floating 4.68976 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 400000.000000 PA USD 394941.070000 0.016139 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N BMO 2024-5C7 MORTGAGE TRUST N/A 09660WAT8 2600000.000000 PA USD 2633454.200000 0.107615 Long ABS-MBS CORP US N 2 2057-11-15 Fixed 5.0916 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A 78449MAA4 3609249.710000 PA USD 3419724.760000 0.139745 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAC8 2000000.000000 PA USD 2023580.400000 0.0826923 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DH8 300000.000000 PA USD 296688.940000 0.012124 Long DBT CORP US N 2 2029-03-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -157.730000 -0.0000064 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 234488.210000 CNY 33887.000000 USD 2026-04-02 -157.730000 N N N N/A N/A 000000000 1.000000 NC 132296.020000 0.0054062 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6947000.000000 CAD 5126409.870000 USD 2026-04-02 132296.020000 N N N FREDDIE MAC-3271 N/A 31397FFP2 1050.260000 PA USD 1037.970000 0.0000424 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.08671 N N N N N N N/A N/A 000000000 1.000000 NC 34514.680000 0.0014104 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2899933.230000 USD 15200000.000000 BRL 2026-04-02 34514.680000 N N N N/A N/A 000000000 1.000000 NC -589.650000 -0.0000241 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 420814.450000 USD 7573608.000000 MXN 2026-06-10 -589.650000 N N N N/A N/A 000000000 1.000000 NC -59596.550000 -0.0024354 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1544985.000000 USD 140652344.430000 INR 2026-04-07 -59596.550000 N N N N/A N/A 000000000 1.000000 NC 924815.630000 0.037792 N/A DCR N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 1051144.440000 EUR 0.000000 EUR 4621300.000000 EUR -126328.810000 N N N N/A N/A 000000000 1.000000 NC -33573.300000 -0.001372 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1027791.520000 USD 1441000.000000 AUD 2026-04-02 -33573.300000 N N N FANNIE MAE REMICS 2024-104 N/A 3136BUEQ9 2903899.170000 PA USD 2917712.440000 0.119231 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 4.7119 N N N N N N N/A N/A 000000000 1.000000 NC 3979.470000 0.0001626 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 904000.000000 ILS 292096.880000 USD 2026-06-10 3979.470000 N N N FNMA PASS THRU POOLS N/A 31418CYL2 511409.130000 PA USD 476992.710000 0.019492 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060667 159000000.000000 PA USD 161843346.120000 6.61363 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6 N N N N N N FREDDIE MAC REMICS 5584 N/A 3137HNCM8 3167969.520000 PA USD 3183167.540000 0.130078 Long ABS-MBS USGSE US N 2 2055-10-25 Floating 4.5619 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 7515.630000 PA USD 7130.100000 0.0002914 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC -7929.520000 -0.000324 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 937642.000000 USD 87370419.200000 INR 2026-04-24 -7929.520000 N N N N/A N/A 000000000 674000000.000000 NC USD 714035.600000 0.0291786 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 12/11/26-1Y LCH 2027-12-11 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2026-12-09 XXXX 406523.100000 N N N N/A N/A 000000000 1.000000 NC 72572.140000 0.0029656 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 7726881.510000 USD 40400000.000000 BRL 2026-04-02 72572.140000 N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDH7 16800000.000000 PA USD 16768276.560000 0.685225 Long DBT CORP US N 2 2026-04-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 14350.160000 0.0005864 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD 0.000000 USD 2300000.000000 USD 14350.160000 N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 2701616.680000 PA USD 2708860.250000 0.110696 Long ABS-MBS CORP US N 2 2055-05-25 Floating 4.9119 N N N N N N AFFIRM MASTER TRUST 2025-2A N/A 00833BAG3 8600000.000000 PA USD 8629107.560000 0.352623 Long ABS-O CORP US N 2 2033-07-15 Fixed 4.67 N N N N N N POST CLO 2022-1 LTD N/A 73742YAJ4 1300000.000000 PA USD 1300287.460000 0.0531354 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 4.76211 N N N N N N N/A N/A 000000000 1.000000 NC 59540.690000 0.0024331 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 508396888.990000 MXN 28391909.540000 USD 2026-04-20 59540.690000 N N N N/A N/A 000000000 2062.000000 NC -567735.780000 -0.0232002 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 147467471.470000 AUD -567735.780000 N N N FNMA PASS THRU POOLS N/A 31385HJE3 7948.080000 PA USD 8049.760000 0.0003289 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.67 N N N N N N N/A N/A 000000000 1.000000 NC -184306.800000 -0.0075316 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59930321.080000 BRL 11385588.290000 USD 2026-04-02 -184306.800000 N N N N/A N/A 000000000 1.000000 NC 3906.370000 0.0001596 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7554871058.000000 IDR 448105.000000 USD 2026-06-10 3906.370000 N N N N/A N/A 000000000 1.000000 NC -8457.420000 -0.0003456 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 178121830.000000 JPY 1113888.000000 USD 2026-04-02 -8457.420000 N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XFF8 550000.000000 PA USD 552076.170000 0.0225602 Long DBT CORP US N 2 2028-04-04 Floating 4.83633 N N N N N N GOLDEN BAR SECURITISATION SRL 2025-1 25-1 N/A ACI2XLRC3 1547139.150000 PA 1793186.000000 0.0732774 Long ABS-O CORP IT N 2 2044-12-20 Floating 2.871 N N N N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 1492314.650000 PA USD 1488187.800000 0.0608139 Long ABS-MBS CORP US N 2 2060-12-27 Variable 4.15146 N N N N N N N/A N/A 000000000 430200000.000000 NC USD 272961.900000 0.0111544 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 07/30/26-1Y LCH 2027-07-30 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-07-28 XXXX -28178.100000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4A6 1400000.000000 PA USD 1402372.750000 0.0573071 Long DBT CORP US N 2 2026-08-27 Fixed 4.86 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAC1 815000.000000 PA USD 776377.720000 0.0317262 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.25303 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H22 N/A 38384LA58 976088.060000 PA USD 984220.630000 0.0402196 Long ABS-MBS USGSE US N 2 2075-10-20 Floating 4.45294 N N N N N N N/A N/A 000000000 1.000000 NC 8986.910000 0.0003672 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1333003.180000 ILS 433900.010000 USD 2026-06-17 8986.910000 N N N BECTON DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 07588MD86 28500000.000000 PA USD 28474888.650000 1.16361 Long DBT CORP US N 2 2026-04-08 None 0 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 7643120.230000 PA USD 7556461.770000 0.30879 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N N/A N/A 000000000 1.000000 NC -117934.040000 -0.0048193 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4673529.010000 USD 16911819.020000 PLN 2026-04-22 -117934.040000 N N N N/A N/A 000000000 1.000000 NC -274518.900000 -0.011218 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15127766.500000 USD 21528000.000000 AUD 2026-04-02 -274518.900000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 6915000.000000 PA USD 6903926.730000 0.282125 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N N/A N/A 000000000 -11205249.000000 NC USD -8952.990000 -0.0003659 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-13 N/A 1350.000000 USD 2026-07-09 XXXX 30957.820000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZW6 1600000.000000 PA USD 1597932.720000 0.0652985 Long DBT CORP US N 2 2026-08-01 Fixed 4.542 N N N N N N N/A N/A 000000000 1.000000 NC USD -448481.220000 -0.0183269 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2026-04-01 0.000000 USD 0.000000 USD 8677941.800000 USD -448481.220000 N N N N/A N/A 000000000 1.000000 NC 106.550000 0.0000044 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 950000.000000 USD 16130148990.000000 IDR 2026-04-27 106.550000 N N N N/A N/A 000000000 1.000000 NC 150720.060000 0.0061591 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 29995815.470000 SGD 23534620.700000 USD 2026-05-04 150720.060000 N N N FNMA PASS THRU POOLS N/A 31362JUL7 90.650000 PA USD 90.160000 0.0000037 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 4.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AW9 3804000.000000 PA USD 3786525.150000 0.154734 Long DBT CORP IT N 2 2027-06-03 Floating 1.982 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 200594.380000 PA USD 201860.770000 0.0082489 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 4.78325 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4T5 23300000.000000 PA USD 23188691.010000 0.947591 Long DBT CORP US N 2 2028-09-18 Floating 4.64047 N N N N N N UNITY-PEACE PARK CLO LTD 2022-1A N/A 913318AL5 2100000.000000 PA USD 2100589.470000 0.0858393 Long ABS-CBDO CORP JE N 2 2035-04-20 Floating 4.72312 N N N N N N N/A N/A 000000000 1.000000 NC -690.090000 -0.0000282 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1220000.000000 USD 20693640000.000000 IDR 2026-04-13 -690.090000 N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 269048.210000 PA USD 274180.280000 0.0112042 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 771486.770000 PA USD 785767.140000 0.0321099 Long ABS-MBS CORP US N 2 2058-05-25 Floating 4.79303 N N N N N N N/A N/A 000000000 1.000000 NC 732.870000 0.0000299 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6465000.000000 MXN 359226.540000 USD 2026-06-17 732.870000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI355B18 20100000.000000 PA 1138880.220000 0.0465396 Long DBT NUSS ZA N 2 2026-11-18 None 0 N N N N N N FREDDIE MAC REMICS 5565 N/A 3137HMGJ3 3744497.660000 PA USD 3773175.270000 0.154188 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8119 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GJ6 400000.000000 PA USD 393810.370000 0.0160928 Long DBT CORP US N 2 2028-03-01 Fixed 3.65 N N N N N N PRET 2025-NPL7 LLC N/A 740934AA2 2522659.900000 PA USD 2529338.390000 0.10336 Long ABS-MBS CORP US N 2 2055-07-25 Fixed 5.6571 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYG3 5365000.000000 PA USD 5295861.460000 0.216412 Long DBT CORP US N 2 2027-09-10 Floating 1.542 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 110291.770000 PA USD 107089.510000 0.0043761 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.18478 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 77578JAC2 800000.000000 PA USD 812884.500000 0.033218 Long DBT CORP GB N 2 2027-10-15 Fixed 5.75 N N N N N N BMO 2022-C1 MORTGAGE TRUST N/A 05609MCJ2 5737000.000000 PA USD 5433789.800000 0.222048 Long ABS-MBS CORP US N 2 2055-02-17 Variable 3.26866 N N N N N N N/A N/A 000000000 1.000000 NC 676.060000 0.0000276 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20860000.000000 ZAR 1231790.350000 USD 2026-04-20 676.060000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CCW1 3500000.000000 PA USD 3524194.210000 0.144014 Long DBT CORP US N 2 2027-01-08 Floating 5.1702 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNB3 46892817.000000 PA USD 47377490.840000 1.93605 Long DBT UST US N 2 2030-04-15 Fixed 1.625 N N N N N N N/A N/A 000000000 -2494751.000000 NC USD -2202.870000 -0.00009 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-15 N/A 1350.000000 USD 2026-07-13 XXXX 3243.170000 N N N N/A N/A 000000000 1.000000 NC -8679.740000 -0.0003547 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 324389.470000 USD 1172000.000000 PLN 2026-04-15 -8679.740000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VD18 6700000.000000 PA USD 6699252.280000 0.273761 Long DBT CORP CA N 2 2026-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 13861.670000 0.0005664 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4010142.170000 ILS 1289974.000000 USD 2026-04-13 13861.670000 N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAR6 21015000.000000 PA USD 20671337.710000 0.844721 Long DBT CORP GB N 2 2028-01-11 Floating 2.469 N N N N N N N/A N/A 000000000 1.000000 NC -17203.860000 -0.000703 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 8200000.000000 BRL 1500457.460000 USD 2026-10-02 -17203.860000 N N N N/A N/A 000000000 1.000000 NC -85992.380000 -0.003514 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 43100000.000000 BRL 7890983.590000 USD 2026-10-02 -85992.380000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVX9 4580000.000000 PA USD 4614534.070000 0.18857 Long DBT CORP US N 2 2027-10-28 Floating 5.68291 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1174640.210000 PA USD 1130475.850000 0.0461962 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2026-A N/A 78451MAB7 8200000.000000 PA USD 8213128.200000 0.335624 Long ABS-O CORP US N 2 2053-12-15 Floating 4.77223 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B77 4390000.000000 PA USD 4358036.810000 0.178088 Long DBT CORP US N 2 2026-08-10 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC -62683.050000 -0.0025615 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22000000.000000 BRL 4098742.430000 USD 2026-07-02 -62683.050000 N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 8820000.000000 PA USD 8858570.040000 0.362 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N PRPM 2025-4A LLC N/A 76089MAA3 518718.420000 PA USD 518843.170000 0.0212022 Long ABS-O CORP US N 2 2026-07-27 Fixed 4.731 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 539974.090000 PA USD 540821.960000 0.0221003 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.48671 N N N N N N N/A N/A 000000000 1.000000 NC -496689.550000 -0.0202969 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 14030891.190000 USD 244072964.610000 MXN 2026-06-17 -496689.550000 N N N LENDBUZZ SECURITIZATION TRUST 2025-1A N/A 525938AC0 643806.550000 PA USD 645465.900000 0.0263766 Long ABS-O CORP US N 2 2030-10-15 Fixed 5.1 N N N N N N ACORE ISSUER, LLC 26-FL1 N/A 00485EAA1 4700000.000000 PA USD 4697119.370000 0.191945 Long ABS-CBDO CORP KY N 2 2043-08-20 Floating 5.12504 N N N N N N GSAA HOME EQUITY TRUST 2005-15 N/A 362341D71 690663.030000 PA USD 215130.900000 0.0087912 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1.000000 NC -5421.280000 -0.0002215 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11544510.720000 ZAR 675912.000000 USD 2026-04-20 -5421.280000 N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7 N/A 320277AF3 12141200.000000 PA USD 10818755.000000 0.442102 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.27303 N N N N N N PRPM 2025-5 LLC N/A 69392RAA9 3602161.830000 PA USD 3597357.990000 0.147004 Long ABS-MBS CORP US N 2 2030-07-25 Fixed 5.729 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 2700000.000000 PA USD 2730332.340000 0.111573 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N FNMA PASS THRU POOLS N/A 31384UJH8 993.350000 PA USD 1004.320000 0.000041 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 9026.260000 0.0003689 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1836998.000000 USD 173481498.630000 INR 2026-04-24 9026.260000 N N N N/A N/A 000000000 1.000000 NC 66700.890000 0.0027257 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4392887.710000 USD 23100000.000000 BRL 2026-04-02 66700.890000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRG3 72584.270000 PA USD 73130.290000 0.0029884 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 4.93325 N N N N N N VERUS SECURITIZATION TRUST 2025-6 N/A 92540YAA7 4847796.750000 PA USD 4867918.020000 0.198924 Long ABS-MBS CORP US N 2 2070-07-25 Fixed 5.417 N N N N N N N/A N/A 000000000 1.000000 NC -2014.310000 -0.0000823 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 850000.000000 USD 14393030705.000000 IDR 2026-04-17 -2014.310000 N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 67126.240000 PA USD 64845.340000 0.0026499 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.33303 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251VDD5 14500000.000000 PA USD 14479114.200000 0.59168 Long DBT CORP US N 2 2026-04-13 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PB8 1064.450000 PA USD 1104.370000 0.0000451 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 508762.150000 0.0207902 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-31 0.000000 USD 0.000000 USD 95100000.000000 USD 508762.150000 N N N N/A N/A 000000000 1.000000 NC 98738.700000 0.0040349 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 11056000.000000 EUR 12877818.740000 USD 2026-04-02 98738.700000 N N N CVC CORDATUS LOAN FUND XXX DAC 30A N/A ACI354435 7400000.000000 PA 8548208.410000 0.349317 Long ABS-CBDO CORP IE N 2 2037-05-15 Floating 3.229 N N N N N N SKANDINAVISKA ENSKILDA BANKEN AB F3JS33DEI6XQ4ZBPTN86 830505BL6 4800000.000000 PA USD 4805472.190000 0.196373 Long DBT CORP SE N 2 2030-09-03 Floating 4.71595 N N N N N N N/A N/A 000000000 1.000000 NC -3808.010000 -0.0001556 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 947772.000000 USD 16021711954.000000 IDR 2026-04-16 -3808.010000 N N N N/A N/A 000000000 1.000000 NC 1.950000 0.0000001 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 489.000000 ILS 157.800000 USD 2026-06-10 1.950000 N N N N/A N/A 000000000 1.000000 NC USD 15845.520000 0.0006475 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 32572.810000 USD 0.000000 USD 8400000.000000 USD -16727.290000 N N N N/A N/A 000000000 1.000000 NC 1813.580000 0.0000741 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1579107.000000 USD 250900000.000000 JPY 2026-04-02 1813.580000 N N N PAGAYA AI DEBT TRUST 2025-6 N/A 69549BAB4 2999723.520000 PA USD 2990202.400000 0.122193 Long ABS-O CORP US N 2 2033-04-15 Fixed 4.497 N N N N N N N/A N/A 000000000 1.000000 NC -2176.740000 -0.000089 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 388987.330000 USD 6971392.000000 MXN 2026-06-10 -2176.740000 N N N BRIGHTSPIRE CAPITAL, INC 26-FL3 N/A 116686AA4 1100000.000000 PA USD 1097988.720000 0.0448686 Long ABS-CBDO CORP US N 2 2043-08-19 Floating 5.12672 N N N N N N N/A N/A 000000000 1.000000 NC -4231.830000 -0.0001729 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3285230.930000 BRL 630001.000000 USD 2026-04-02 -4231.830000 N N N N/A N/A 000000000 1.000000 NC -9541.040000 -0.0003899 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1103446.000000 USD 36038656.700000 THB 2026-04-16 -9541.040000 N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAB3 111473.930000 PA USD 106647.160000 0.0043581 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.277 N N N N N N N/A N/A 000000000 1.000000 NC -46379.880000 -0.0018953 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19638702.600000 BRL 3744985.240000 USD 2026-04-02 -46379.880000 N N N N/A N/A 000000000 -1141.000000 NC USD 403253.820000 0.0164787 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-30 -123428566.120000 USD 403253.820000 N N N N/A N/A 000000000 1.000000 NC 6056.950000 0.0002475 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 574425.060000 USD 5620749.210000 NOK 2026-04-07 6056.950000 N N N CARMAX AUTO OWNER TRUST 2025-3 N/A 14290FAD8 10600000.000000 PA USD 10630634.000000 0.434414 Long ABS-O CORP US N 2 2030-07-15 Fixed 4.35 N N N N N N N/A N/A 000000000 1.000000 NC -10.980000 -0.0000004 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4557.710000 BRL 857.390000 USD 2026-06-02 -10.980000 N N N F&G GLOBAL FUNDING 6354009CCUKJIZ7KFX73 30321L2D3 9725000.000000 PA USD 9486092.050000 0.387643 Long DBT CORP US N 2 2027-04-11 Fixed 2.3 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AQ5 9596000.000000 PA USD 9681920.660000 0.395646 Long DBT CORP US N 2 2027-01-30 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -244820.440000 -0.0100044 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7511241.550000 USD 131041120.080000 MXN 2026-06-17 -244820.440000 N N N N/A N/A 000000000 1.000000 NC 352.140000 0.0000144 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 953599.000000 USD 16195419246.000000 IDR 2026-04-27 352.140000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-100 N/A 38385GQ77 17219990.640000 PA USD 17353349.140000 0.709134 Long ABS-MBS USGSE US N 2 2055-06-20 Floating 4.82294 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 378841.890000 PA USD 377090.240000 0.0154096 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 4.33671 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32 N/A 38376RMP8 478451.070000 PA USD 479892.160000 0.0196105 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 4.53325 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAW5 3700000.000000 PA USD 3703156.540000 0.151327 Long DBT CORP GB N 2 2029-09-22 Floating 4.70581 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XES1 300000.000000 PA USD 301801.080000 0.0123329 Long DBT CORP US N 2 2027-05-08 Floating 5.01451 N N N N N N N/A N/A 000000000 1.000000 NC 46542.960000 0.0019019 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3744985.240000 USD 19900214.920000 BRL 2026-06-02 46542.960000 N N N N/A N/A 000000000 1.000000 NC -72462.180000 -0.0029611 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 15418205.810000 USD 21346505.940000 CAD 2026-04-02 -72462.180000 N N N FREDDIE MAC REMICS 5571 N/A 3137HMEF3 5050903.280000 PA USD 5101654.760000 0.208476 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8619 N N N N N N N/A N/A 000000000 1.000000 NC -589.960000 -0.0000241 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 70000.000000 USD 104371597.000000 KRW 2026-04-17 -589.960000 N N N FCCU AUTO RECEIVABLES TRUST 2025-1A N/A 31424YAB4 3879435.730000 PA USD 3888527.190000 0.158902 Long ABS-O CORP US N 2 2029-01-16 Fixed 4.87 N N N N N N ROCKFORD TOWER CLO 2022-1 LTD N/A 77340JAL9 850000.000000 PA USD 850425.000000 0.0347521 Long ABS-CBDO CORP KY N 2 2035-07-20 Floating 4.86763 N N N N N N N/A N/A 000000000 1.000000 NC 1503.720000 0.0000614 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2308903.530000 PLN 623469.000000 USD 2026-04-15 1503.720000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JG3 1500000.000000 PA USD 1344721.020000 0.0549512 Long DBT CORP US N 2 2031-02-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -70433.900000 -0.0028782 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4870460.880000 USD 17819000.000000 PLN 2026-04-15 -70433.900000 N N N N/A N/A 000000000 1.000000 NC 3971.010000 0.0001623 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1818087.000000 USD 171229251.750000 INR 2026-04-24 3971.010000 N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 35105AAB3 309003.500000 PA USD 309703.150000 0.0126558 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.49 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30227QDN3 4800000.000000 PA USD 4788114.720000 0.195663 Long DBT CORP US N 2 2026-04-22 None 0 N N N N N N FANNIE MAE REMICS 2025-18 N/A 3136BVKH0 3282322.130000 PA USD 3295635.560000 0.134674 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 4.5619 N N N N N N N/A N/A 000000000 1.000000 NC 10.950000 0.0000004 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 857.390000 USD 4497.870000 BRL 2026-04-02 10.950000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AJ2 800000.000000 PA USD 800964.770000 0.0327309 Long DBT CORP US N 2 2028-04-01 Fixed 4.75 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 466068.100000 PA USD 482121.540000 0.0197016 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N FNMA PASS THRU POOLS N/A 3140H5NN7 95873.920000 PA USD 89423.860000 0.0036542 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N ROMARK CLO V LTD N/A 77588PAN2 8900000.000000 PA USD 8894371.730000 0.363463 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 4.86219 N N N N N N N/A N/A 000000000 1.000000 NC 11363.160000 0.0004643 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 85960030.240000 INR 919162.000000 USD 2026-04-07 11363.160000 N N N PRPM 2025-4A LLC N/A 76089MAB1 3300000.000000 PA USD 3310981.080000 0.135301 Long ABS-O CORP US N 2 2034-04-25 Fixed 5.124 N N N N N N SYNOPSYS INC QG7T915N9S0NY5UKNE63 871607AA5 3100000.000000 PA USD 3102822.330000 0.126795 Long DBT CORP US N 2 2027-04-01 Fixed 4.55 N N N N N N EQUATE PETROCHEMICAL CO KSCC 635400J73BDO4TTGXD45 N30420AA6 1500000.000000 PA USD 1485489.600000 0.0607036 Long DBT CORP KW N 2 2026-11-03 Fixed 4.25 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 68505.970000 PA USD 61984.570000 0.002533 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.92303 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CA8 9900000.000000 PA USD 9995208.600000 0.408448 Long DBT CORP US N 2 2026-11-16 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UC9 31208000.000000 PA USD 30927791.170000 1.26384 Long DBT UST US N 2 2026-06-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 17513.480000 0.0007157 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1717000.000000 PLN 480033.620000 USD 2026-04-15 17513.480000 N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038QDQ4 23200000.000000 PA USD 23131265.360000 0.945245 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153BK7 19876000.000000 PA USD 19953274.310000 0.815378 Long DBT CORP LR N 2 2027-07-15 Fixed 5.375 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-F N/A 83207VAA6 1591311.380000 PA USD 1603065.280000 0.0655083 Long ABS-O CORP US N 2 2054-03-16 Fixed 5.06 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 55579.910000 PA USD 29099.610000 0.0011891 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.71831 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 2600000.000000 PA USD 2606898.840000 0.106529 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 38161.970000 PA USD 37839.190000 0.0015463 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC 12875.990000 0.0005262 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 170936539.740000 INR 1818087.000000 USD 2026-04-07 12875.990000 N N N N/A N/A 000000000 1.000000 NC 36394.550000 0.0014872 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4434973.630000 PLN 1231074.000000 USD 2026-04-15 36394.550000 N N N N/A N/A 000000000 1.000000 NC -3111.500000 -0.0001271 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1103885.580000 BRL 210000.000000 USD 2026-04-02 -3111.500000 N N N N/A N/A 000000000 1.000000 NC USD 1977087.830000 0.0807925 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2026-08-12 0.000000 USD 0.000000 USD 109103777.020000 USD 1977087.830000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 23299.600000 PA USD 22673.280000 0.0009265 Long ABS-MBS CORP US N 2 2032-03-25 Floating 4.45865 N N N N N N N/A N/A 000000000 1.000000 NC 68.740000 0.0000028 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60000.000000 USD 1923269.000000 TWD 2026-04-17 68.740000 N N N N/A N/A 000000000 1.000000 NC USD 2142.220000 0.0000875 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 3483.550000 USD 0.000000 USD 300000.000000 USD -1341.330000 N N N CGMS-2021-9A N/A 14317KAQ7 1000000.000000 PA USD 1000040.000000 0.040866 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.77763 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 5237557.480000 PA 6938000.910000 0.283517 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 4.6291 N N N N N N N/A N/A 000000000 1.000000 NC -476812.050000 -0.0194846 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23600000.000000 BRL 4079304.440000 USD 2026-04-02 -476812.050000 N N N N/A N/A 000000000 360.000000 NC -166809.460000 -0.0068166 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 26764106.580000 AUD -166809.460000 N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 085770AA3 1700000.000000 PA USD 1700197.850000 0.0694775 Long DBT CORP US N 2 2026-07-15 Fixed 4.875 N N N N N N N/A N/A 000000000 -163454770.030000 PA USD -163540810.820000 -6.68299 Short RA US N 2 Reverse repurchase N 3.790000 2026-04-06 167609660.600000 USD 169020259.800000 USD AMBS N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAC8 1100550.010000 PA USD 1108014.380000 0.0452783 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.33 N N N N N N N/A N/A 000000000 1.000000 NC 44026.460000 0.0017991 N/A DCR N/A N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 51153.340000 EUR 0.000000 EUR 220000.000000 EUR -7126.880000 N N N N/A N/A 000000000 1.000000 NC -7167.190000 -0.0002929 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1561303.230000 USD 2704492.000000 NZD 2026-04-02 -7167.190000 N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 33094.720000 PA USD 32722.560000 0.0013372 Long ABS-MBS CORP US N 2 2032-01-25 Floating 4.41303 N N N N N N N/A N/A 000000000 1.000000 NC -35680.520000 -0.0014581 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11900000.000000 BRL 2215272.350000 USD 2026-07-02 -35680.520000 N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 293209.380000 PA USD 282098.490000 0.0115278 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N ELEMENT FLEET MANAGEMENT CORP (AKA: ELEMENT FINANCIAL CORP) 5493000PGBS1C22ELQ16 286181AM4 1715000.000000 PA USD 1729524.010000 0.0706759 Long DBT CORP CA N 2 2027-03-13 Fixed 5.643 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 3796.030000 PA USD 3768.520000 0.000154 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.37501 N N N N N N N/A N/A 000000000 1.000000 NC -15648.310000 -0.0006395 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 438134.410000 USD 7619026.000000 MXN 2026-06-17 -15648.310000 N N N N/A N/A 000000000 1.000000 NC -425.690000 -0.0000174 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1481000.000000 CNY 214596.850000 USD 2026-04-02 -425.690000 N N N FNMA PASS THRU POOLS N/A 31405PRS1 7288.820000 PA USD 7305.390000 0.0002985 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 5.058 N N N N N N N/A N/A 000000000 1.000000 NC 30262.270000 0.0012366 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2016129.030000 USD 10600000.000000 BRL 2026-04-02 30262.270000 N N N FREDDIE MAC REMICS 5607 N/A 3137HNZB7 2590359.340000 PA USD 2599612.100000 0.106232 Long ABS-MBS USGSE US N 2 2055-12-25 Floating 4.5619 N N N N N N EQUITABLE AMERICA GLOBAL FUNDING 98450066CCBIACF06694 29446Q2D4 1800000.000000 PA USD 1803435.100000 0.0736962 Long DBT CORP US N 2 2027-09-15 Floating 4.35353 N N N N N N N/A N/A 000000000 1.000000 NC 58268.420000 0.0023811 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2123261.930000 USD 11300000.000000 BRL 2026-04-02 58268.420000 N N N VERUS SECURITIZATION TRUST 2025-R1 N/A 92541AAA8 4145291.240000 PA USD 4158496.890000 0.169934 Long ABS-MBS CORP US N 2 2065-05-25 Fixed 5.402 N N N N N N N/A N/A 000000000 1.000000 NC -6681.200000 -0.000273 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1538000.000000 AUD 1054063.840000 USD 2026-05-04 -6681.200000 N N N N/A N/A 000000000 1.000000 NC -2258.910000 -0.0000923 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 79839.460000 USD 288000.000000 PLN 2026-04-15 -2258.910000 N N N N/A N/A 000000000 1.000000 NC -10740.260000 -0.0004389 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 385869.150000 USD 35521184.600000 INR 2026-04-07 -10740.260000 N N N N/A N/A 000000000 1.000000 NC -86.660000 -0.0000035 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 4739.000000 USD 738349.000000 JPY 2026-04-02 -86.660000 N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 28504HD19 17800000.000000 PA USD 17798059.800000 0.727306 Long DBT CORP FR N 2 2026-04-01 None 0 N N N N N N REACH ABS TRUST 2025-2A N/A 75525QAB6 3400000.000000 PA USD 3407456.540000 0.139244 Long ABS-O CORP US N 2 2032-08-18 Fixed 5.12 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 25-3A N/A 36272GAC3 1723004.120000 PA USD 1725273.660000 0.0705022 Long ABS-O CORP US N 2 2030-10-15 Fixed 4.46 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A N/A 39571VAC2 1300000.000000 PA USD 1315568.540000 0.0537599 Long ABS-O CORP US N 2 2060-06-25 Fixed 5.02 N N N N N N N/A N/A 000000000 1.000000 NC USD 123400.290000 0.0050427 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-31 0.000000 USD 0.000000 USD 65800000.000000 USD 123400.290000 N N N N/A N/A 000000000 1.000000 NC -5712.100000 -0.0002334 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 235718.020000 USD 21779402.180000 INR 2026-04-07 -5712.100000 N N N FANNIE MAE REMICS 2025-6 N/A 3136BUTN0 2764239.760000 PA USD 2791616.790000 0.114078 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.9119 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 37790BE49 33500000.000000 PA USD 33373001.500000 1.36377 Long DBT CORP US N 2 2026-05-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1882.810000 -0.0000769 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11227090.910000 ZAR 660717.000000 USD 2026-04-20 -1882.810000 N N N HYUNDAI AUTO RECEIVABLES TRUST 2023-B N/A 44933XAD9 1216184.980000 PA USD 1222175.910000 0.0499435 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.48 N N N N N N N/A N/A 000000000 1.000000 NC -218.840000 -0.0000089 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 131657.000000 USD 197628049.000000 KRW 2026-04-20 -218.840000 N N N FNMA PASS THRU POOLS N/A 31407YHH5 20565.840000 PA USD 20893.740000 0.0008538 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.565 N N N N N N N/A N/A 000000000 1.000000 NC USD 32495.190000 0.0013279 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2026-12-20 79594.270000 USD 0.000000 USD 6200000.000000 USD -47099.080000 N N N N/A N/A 000000000 1.000000 NC -111282.120000 -0.0045475 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22833550.920000 BRL 4296866.940000 USD 2026-04-02 -111282.120000 N N N N/A N/A 000000000 1.000000 NC 8704.220000 0.0003557 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 526802.000000 USD 2831033.950000 BRL 2026-07-02 8704.220000 N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887CK6 700000.000000 PA USD 698896.940000 0.02856 Long DBT CORP US N 2 2030-08-01 Fixed 5 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 40493.860000 PA USD 39669.390000 0.0016211 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC 9930.800000 0.0004058 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1876044.000000 USD 298422319.000000 JPY 2026-05-07 9930.800000 N N N FNMA PASS THRU POOLS N/A 31418FBQ9 364747.350000 PA USD 377345.780000 0.01542 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -2843.700000 -0.0001162 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 919162.000000 USD 86111691.970000 INR 2026-04-24 -2843.700000 N N N N/A N/A 000000000 1.000000 NC 162730.920000 0.0066499 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 50919374.820000 ZAR 3097003.000000 USD 2027-01-27 162730.920000 N N N CARVAL CLO III LTD N/A 14686WAW1 6584679.480000 PA USD 6580490.370000 0.268908 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 4.65763 N N N N N N BEIGNET INVESTOR LLC N/A 076912AA2 5680000.000000 PA USD 5844324.960000 0.238825 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N PNC BANK NA AD6GFRVSDT01YPT1CS68 69353RGA0 325000.000000 PA USD 325581.810000 0.0133047 Long DBT CORP US N 2 2028-07-21 Floating 4.39889 N N N N N N PROJECT CASHMERE N/A 990ABJRT5 20900000.000000 PA 14419958.880000 0.589263 Long ABS-MBS CORP AU N 3 2057-12-30 Floating 4.5426 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DP7 600000.000000 PA USD 610528.060000 0.0249488 Long DBT CORP US N 2 2027-05-01 Fixed 6.259 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAA6 1550028.970000 PA USD 1563026.580000 0.0638721 Long ABS-O CORP US N 2 2056-10-16 Fixed 5.09 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DDP1 9300000.000000 PA USD 9274580.310000 0.379 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 6417.360000 0.0002622 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 349979191.000000 KRW 239151.570000 USD 2026-04-15 6417.360000 N N N N/A N/A 000000000 1.000000 NC USD -14542666.950000 -0.594277 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2026-05-06 0.000000 USD 0.000000 USD 381823275.870000 USD -14542666.950000 N N N N/A N/A 000000000 1.000000 NC USD 730837.920000 0.0298652 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 724755.920000 USD 0.000000 USD 5800000.000000 USD 6082.000000 N N N N/A N/A 000000000 1.000000 NC USD -1456977.180000 -0.0595385 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2026-04-08 0.000000 USD 0.000000 USD 27337664.550000 USD -1456977.180000 N N N FREDDIE MAC REMICS 5601 N/A 3137HNQX9 5286012.710000 PA USD 5315434.660000 0.217212 Long ABS-MBS USGSE US N 2 2055-11-25 Floating 4.5619 N N N N N N N/A N/A 000000000 -183.000000 NC 215099.800000 0.0087899 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -22368302.430000 EUR 215099.800000 N N N FREDDIE MAC REMICS 5569 N/A 3137HMMD9 33129490.590000 PA USD 33446506.690000 1.36677 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8619 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 137619.870000 PA 159230.190000 0.0065068 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.796 N N N N N N JP MORGAN SEASONED MORTGAGE TRUST 2024-1 N/A 61777HAE5 3492614.270000 PA USD 3356317.790000 0.137154 Long ABS-MBS CORP US N 2 2063-01-25 Variable 4.3367 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0RXDH2 8500000.000000 PA 9680794.620000 0.3956 Long DBT NUSS IL N 2 2027-01-18 Fixed 1.5 N N N N N N LINCOLN FINANCIAL GLOBAL FUNDING 984500OC010458395923 53359KAA9 400000.000000 PA USD 406096.200000 0.0165949 Long DBT CORP US N 2 2030-01-13 Fixed 5.3 N N N N N N FREDDIE MAC REMICS 5565 N/A 3137HMGK0 10252381.130000 PA USD 10278464.210000 0.420023 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -10204.000000 -0.000417 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2992634.930000 USD 2384751.770000 CHF 2026-04-02 -10204.000000 N N N N/A N/A 000000000 1.000000 NC -26689.320000 -0.0010906 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 919271.520000 USD 3313506.840000 PLN 2026-04-15 -26689.320000 N N N N/A N/A 000000000 1.000000 NC -14404.910000 -0.0005886 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 929397.000000 USD 145213820.000000 JPY 2026-04-02 -14404.910000 N N N N/A N/A 000000000 1.000000 NC -456477.330000 -0.0186537 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 25600000.000000 BRL 4485750.730000 USD 2026-04-02 -456477.330000 N N N FREDDIE MAC REMICS 5505 N/A 3137HJ6H5 968602.390000 PA USD 957496.780000 0.0391275 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 4.48125 N N N N N N FNMA PASS THRU POOLS N/A 31362QGF0 835.360000 PA USD 831.230000 0.000034 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.593 N N N N N N N/A N/A 000000000 1.000000 NC 135.030000 0.0000055 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1145000.000000 NOK 118384.730000 USD 2026-04-07 135.030000 N N N VISTRA OPERATIONS COMPANY LLC 549300ZH5GKBTJZ7NM23 92840VAG7 2900000.000000 PA USD 2877090.000000 0.11757 Long DBT CORP US N 2 2027-01-30 Fixed 3.7 N N N N N N ARCAN-2A N/A ACI2YDL36 500000.000000 PA 578559.500000 0.0236425 Long ABS-CBDO CORP IE N 2 2039-07-25 Floating 4.08 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 296571.920000 PA USD 210009.430000 0.0085819 Long ABS-MBS CORP US N 2 2045-07-25 Floating 3.85303 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI3892M1 53100000.000000 PA 2973568.620000 0.121513 Long DBT NUSS ZA N 2 2027-01-27 None 0 N N N N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 1007490.280000 PA USD 1013826.990000 0.0414294 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 314066.980000 PA USD 308396.280000 0.0126024 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.28803 N N N N N N FANNIE MAE REMICS 2025-65 N/A 3136BWW85 6395335.640000 PA USD 6427605.220000 0.26266 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.5619 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 241632.740000 PA USD 224475.680000 0.0091731 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CT7 8400000.000000 PA USD 8417771.630000 0.343987 Long DBT CORP US N 2 2027-03-25 Floating 4.69913 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAN9 7700000.000000 PA USD 7704322.240000 0.314832 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 4.96802 N N N N N N N/A N/A 000000000 1.000000 NC -67221.000000 -0.0027469 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16100000.000000 BRL 2912577.450000 USD 2026-10-02 -67221.000000 N N N N/A N/A 000000000 1.000000 NC 37424.900000 0.0015293 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4845575.460000 PLN 1342711.000000 USD 2026-04-15 37424.900000 N N N N/A N/A 000000000 1.000000 NC -300.650000 -0.0000123 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 447000.000000 PLN 120110.820000 USD 2026-04-15 -300.650000 N N N FREDDIE MAC REMICS 5499 N/A 3137HJWY9 1832571.600000 PA USD 1848188.230000 0.0755251 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.8619 N N N N N N N/A N/A 000000000 1.000000 NC 2522.380000 0.0001031 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1478151.870000 ILS 473630.000000 USD 2026-06-10 2522.380000 N N N UMBS PASS THRU POOLS N/A 01F052656 -29475407.000000 PA USD -29573172.500000 -1.20849 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -333.740000 -0.0000136 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2902444.720000 BRL 560000.000000 USD 2026-04-02 -333.740000 N N N N/A N/A 000000000 1.000000 NC 4751.540000 0.0001942 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 9424000.000000 MXN 527326.080000 USD 2026-06-17 4751.540000 N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853BB5 1500000.000000 PA USD 1501245.840000 0.0613475 Long DBT CORP US N 2 2028-01-13 Floating 4.50914 N N N N N N N/A N/A 000000000 1.000000 NC 103757.280000 0.00424 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2302626.360000 CHF 2983480.090000 USD 2026-04-02 103757.280000 N N N N/A N/A 000000000 1.000000 NC USD -195955.830000 -0.0080076 N/A DCR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2030-12-20 0.000000 USD -259131.420000 USD 6600000.000000 USD 63175.590000 N N N FREDDIE MAC REMICS 5593 N/A 3137HNV47 2363724.800000 PA USD 2377005.150000 0.0971348 Long ABS-MBS USGSE US N 2 2055-11-25 Floating 4.5619 N N N N N N BLACK HILLS CORPORATION 3MGELCRSTNSAMJ962671 092113AM1 1000000.000000 PA USD 992190.310000 0.0405452 Long DBT CORP US N 2 2027-01-15 Fixed 3.15 N N N N N N N/A N/A 000000000 1.000000 NC -318.180000 -0.000013 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 29574.000000 USD 621119.060000 CZK 2026-04-15 -318.180000 N N N LCM 39A LTD N/A 50204NBA5 1000000.000000 PA USD 1000150.280000 0.0408705 Long ABS-CBDO CORP JE N 2 2034-10-15 Floating 4.70404 N N N N N N N/A N/A 000000000 1.000000 NC -6902.280000 -0.0002821 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1022949937.000000 KRW 673353.730000 USD 2026-04-15 -6902.280000 N N N N/A N/A 000000000 1.000000 NC -6043.900000 -0.000247 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5621237.470000 NOK 574425.060000 USD 2026-05-04 -6043.900000 N N N N/A N/A 000000000 1.000000 NC 22083.320000 0.0009024 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1463000.000000 GBP 1958510.790000 USD 2026-04-02 22083.320000 N N N N/A N/A 000000000 1.000000 NC USD 4897.490000 0.0002001 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 15299.190000 USD 0.000000 USD 2000000.000000 USD -10401.700000 N N N FREDDIE MAC REMICS 5510 N/A 3137HJMT1 11826665.890000 PA USD 11912136.020000 0.486782 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.8119 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 13616.810000 PA USD 13479.160000 0.0005508 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.12638 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDA1 7800000.000000 PA USD 7791250.740000 0.318385 Long DBT CORP US N 2 2026-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -67.770000 -0.0000028 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1782.990000 USD 56490.280000 THB 2026-04-20 -67.770000 N N N N/A N/A 000000000 1.000000 NC -6291.260000 -0.0002571 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6000655.060000 ZAR 344495.000000 USD 2026-08-19 -6291.260000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CP2 1080000.000000 PA USD 1065389.010000 0.0435365 Long DBT CORP DE N 2 2027-11-16 Floating 2.311 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI2NNG08 1847925.690000 PA 2447256.630000 0.100006 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 4.64265 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-1 N/A 542514AJ3 1853189.940000 PA USD 1827921.320000 0.0746969 Long ABS-MBS CORP US N 2 2031-04-21 Floating 4.22943 N N N N N N N/A N/A 000000000 1.000000 NC 3021815.480000 0.123485 N/A DCR N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 3417327.470000 EUR 0.000000 EUR 15100000.000000 EUR -395511.990000 N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XDQ6 300000.000000 PA USD 299959.060000 0.0122576 Long DBT CORP US N 2 2027-02-26 Floating 4.69815 N N N N N N N/A N/A 000000000 1.000000 NC 136834.260000 0.0055916 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6902000.000000 NZD 4103067.830000 USD 2026-04-02 136834.260000 N N N PROVIDUS CLO VII DAC 7A N/A ACI38JRZ3 9700000.000000 PA 11178070.410000 0.456785 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 3.164 N N N N N N UMBS PASS THRU POOLS N/A 01F040669 -21600000.000000 PA USD -20340454.320000 -0.8312 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -4298.880000 -0.0001757 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 56300000.000000 BRL 10415741.650000 USD 2026-10-02 -4298.880000 N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 76378.140000 PA USD 65441.290000 0.0026742 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC -15457.740000 -0.0006317 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1197332.000000 USD 111067509.650000 INR 2026-04-24 -15457.740000 N N N N/A N/A 000000000 1.000000 NC -570389.310000 -0.0233086 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-07-25 0.000000 PLN -449961.920000 PLN 47900000.000000 PLN -120427.390000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NA5 3100000.000000 PA USD 3082224.100000 0.125953 Long DBT CORP US Y 2 2027-06-09 Floating 1.462 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 80064.960000 PA USD 79607.420000 0.0032531 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 26308.690000 0.0010751 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110884916.520000 INR 1197332.000000 USD 2026-04-07 26308.690000 N N N GNMA PASS THRU POOLS N/A 21H042646 11700000.000000 PA USD 11304699.820000 0.46196 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042665 -41700000.000000 PA USD -40182095.400000 -1.64202 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 26340.550000 0.0010764 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 30429925.000000 THB 950000.000000 USD 2026-04-16 26340.550000 N N N MADISON PARK FUNDING XLVI LTD 2020-46A N/A 55822AAW7 11700000.000000 PA USD 11692387.040000 0.477802 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 4.67219 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 642734.430000 PA USD 642957.090000 0.026274 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 4.99404 N N N N N N CIM TRUST 2020-R5 N/A 12559UAE3 6300000.000000 PA USD 6026286.420000 0.24626 Long ABS-MBS CORP US N 2 2059-12-25 Variable 2.75 N N N N N N N/A N/A 000000000 -2065000.000000 PA USD -2066081.260000 -0.0844291 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-06 2000000.000000 USD 2020671.560000 USD UST N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB60 100000.000000 PA USD 100097.790000 0.0040904 Long DBT CORP US N 2 2030-10-23 Floating 4.692 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YEC9 800000.000000 PA USD 800981.050000 0.0327316 Long DBT CORP US N 2 2028-03-03 Floating 4.1325 N N N N N N N/A N/A 000000000 1.000000 NC -720.890000 -0.0000295 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 126965.510000 USD 162312.710000 SGD 2026-04-02 -720.890000 N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAA3 11400000.000000 PA USD 11370769.720000 0.464659 Long DBT CORP US N 2 2026-12-01 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -2744.750000 -0.0001122 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1117874.000000 USD 104795098.130000 INR 2026-04-24 -2744.750000 N N N FNMA PASS THRU POOLS N/A 3140H6PA1 7956.890000 PA USD 7408.410000 0.0003027 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJGE1 1420079.960000 PA USD 1422765.760000 0.0581404 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.6619 N N N N N N N/A N/A 000000000 1.000000 NC USD -119832.290000 -0.0048969 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-09-17 0.000000 USD -381032.070000 USD 22700000.000000 USD 261199.780000 N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AS5 2000000.000000 PA USD 2003995.600000 0.081892 Long DBT CORP US N 2 2027-03-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 5517 N/A 3137HKGJ7 5440227.400000 PA USD 5504552.650000 0.22494 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -20503.080000 -0.0008378 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1011137.000000 USD 157218557.000000 JPY 2026-04-02 -20503.080000 N N N CHASE FUNDING MORTGAGE LOAN AS 2002-4 N/A 161546DQ6 26426.280000 PA USD 26516.610000 0.0010836 Long ABS-MBS CORP US N 2 2032-10-25 Floating 4.53303 N N N N N N GNMA PASS THRU POOLS N/A 36225CB62 2823.200000 PA USD 2823.580000 0.0001154 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 5.625 N N N N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 13800394.510000 PA USD 13890951.320000 0.567645 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6019 N N N N N N N/A N/A 000000000 115800000.000000 NC USD 73475.100000 0.0030025 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 07/30/26-1Y LCH 2027-07-30 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-07-28 XXXX -13374.900000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339NDQ4 2200000.000000 PA USD 2194072.760000 0.0896594 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QD73 2000000.000000 PA USD 1998366.600000 0.081662 Long DBT CORP US N 2 2026-04-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UQ8 44508000.000000 PA USD 44014647.530000 1.79863 Long DBT UST US N 2 2026-07-21 None 0 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDL7 2300000.000000 PA USD 2294749.790000 0.0937735 Long DBT CORP US N 2 2026-04-20 None 0 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CR9 2000000.000000 PA USD 1994573.040000 0.081507 Long DBT CORP US N 2 2026-12-08 Fixed 4.346 N N N N N N N/A N/A 000000000 1.000000 NC -7372.970000 -0.0003013 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3088097.940000 ILS 976057.000000 USD 2026-05-05 -7372.970000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 800000.000000 PA USD 739527.530000 0.0302203 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N N/A N/A 000000000 1.000000 NC 172130.940000 0.007034 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7949000.000000 AUD 5656544.970000 USD 2026-04-02 172130.940000 N N N N/A N/A 000000000 1.000000 NC 13711.100000 0.0005603 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 472041.010000 USD 8712697.000000 MXN 2026-04-15 13711.100000 N N N N/A N/A 000000000 1.000000 NC -272857.220000 -0.0111501 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2036-09-16 0.000000 EUR -263431.180000 EUR 7500000.000000 EUR -9426.040000 N N N FREDDIE MAC REMICS 5500 N/A 3137HJBW6 468310.240000 PA USD 471952.100000 0.019286 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 4.6619 N N N N N N N/A N/A 000000000 1.000000 NC USD 292448.740000 0.0119507 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -457664.270000 USD 61950000.000000 USD 750113.010000 N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 1512513.990000 PA 1750077.730000 0.0715158 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 2.844 N N N N N N N/A N/A 000000000 1.000000 NC 160208.640000 0.0065468 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 14373294.990000 CAD 10492995.680000 USD 2026-04-02 160208.640000 N N N SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A N/A 80620BAC1 8100000.000000 PA USD 8131345.380000 0.332282 Long ABS-O CORP US N 2 2031-01-15 Fixed 4.57 N N N N N N FORTIS INC/CANADA 549300MQYQ9Y065XPR71 349553AM9 5641000.000000 PA USD 5602275.380000 0.228934 Long DBT CORP CA N 2 2026-10-04 Fixed 3.055 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDW3 1800000.000000 PA USD 1817319.690000 0.0742636 Long DBT CORP US N 2 2027-10-22 Floating 6.07 N N N N N N FANNIE MAE REMICS 2025-12 N/A 3136BVFH6 1859187.060000 PA USD 1872313.660000 0.0765109 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.6119 N N N N N N FREDDIE MAC REMICS 5549 N/A 3137HLS52 1610654.430000 PA USD 1626329.320000 0.0664589 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.8619 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2026-P1 N/A 14689FAB1 5200000.000000 PA USD 5195060.000000 0.212293 Long ABS-O CORP US N 2 2029-06-11 Fixed 4.1 N N N N N N N/A N/A 000000000 1.000000 NC 27419.260000 0.0011205 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 671000.000000 CHF 866588.840000 USD 2026-04-02 27419.260000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CV9 700000.000000 PA USD 705948.120000 0.0288481 Long DBT CORP DE N 2 2028-02-08 Floating 5.706 N N N N N N FANNIE MAE REMICS 2025-88 N/A 3136BXZS6 2058882.760000 PA USD 2069199.410000 0.0845565 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.7119 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 13113.130000 PA USD 13059.480000 0.0005337 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAC4 900000.000000 PA USD 900900.000000 0.0368147 Long DBT NUSS MX N 2 2027-03-28 Fixed 4.15 N N N N N N FANNIE MAE 2007-42 N/A 31396VN53 11836.580000 PA USD 11675.500000 0.0004771 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 4.02638 N N N N N N N/A N/A 000000000 1.000000 NC 7965.920000 0.0003255 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 173192171.440000 INR 1836998.000000 USD 2026-04-07 7965.920000 N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 931228.320000 PA USD 900358.570000 0.0367926 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N REACH ABS TRUST 2025-2A N/A 75525QAA8 3477782.020000 PA USD 3492506.600000 0.142719 Long ABS-O CORP US N 2 2032-08-18 Fixed 4.93 N N N N N N ASSET BACKED SEC HOME EQTY LN 2004-HE2 N/A 04541GHW5 850668.140000 PA USD 923870.350000 0.0377534 Long ABS-MBS CORP US N 2 2034-04-25 Floating 4.61803 N N N N N N N/A N/A 000000000 1.000000 NC -33798.160000 -0.0013811 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11300000.000000 BRL 2057613.170000 USD 2026-10-02 -33798.160000 N N N N/A N/A 000000000 1.000000 NC 7078.440000 0.0002893 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1022960.000000 USD 162985454.000000 JPY 2026-05-07 7078.440000 N N N N/A N/A 000000000 1.000000 NC -35506.110000 -0.0014509 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16200000.000000 BRL 2962800.400000 USD 2026-10-02 -35506.110000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397F81 6100000.000000 PA USD 6113744.890000 0.249834 Long DBT CORP US N 2 2026-11-05 Fixed 5.125 N N N N N N RCKT MORTGAGE TRUST 2024-CES6 N/A 749410AA4 1679984.480000 PA USD 1682325.870000 0.0687472 Long ABS-MBS CORP US N 2 2044-09-25 Variable 5.344 N N N N N N N/A N/A 000000000 1.000000 NC 18761.550000 0.0007667 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23633296.760000 THB 736343.000000 USD 2026-04-20 18761.550000 N N N N/A N/A 000000000 1.000000 NC -47.480000 -0.0000019 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6002821.530000 THB 183091.000000 USD 2026-06-17 -47.480000 N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAA5 877583.220000 PA USD 842534.830000 0.0344297 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.02 N N N N N N ANCHORAGE CREDIT FUNDING 25-18A LTD N/A 03331MAA3 5600000.000000 PA USD 5553420.320000 0.226937 Long ABS-CBDO CORP KY N 2 2040-10-22 Fixed 5.327 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAM1 865000.000000 PA USD 863294.870000 0.035278 Long DBT CORP US N 2 2026-05-15 Fixed 3.125 N N N N N N FNMA PASS THRU POOLS N/A 3140NVBF3 2700000.000000 PA USD 2738718.380000 0.111916 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 4.73 N N N N N N N/A N/A 000000000 1.000000 NC USD 1642135.700000 0.0671048 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-03-19 4078395.660000 USD 0.000000 USD 75390000.000000 USD -2436259.960000 N N N VENTURE 36 CLO LTD N/A 92332LAU3 318583.210000 PA USD 318967.170000 0.0130344 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 5.05924 N N N N N N CAPITAL STREET MASTER TRUST 2025-1 N/A 14051LAC6 6000000.000000 PA USD 5994121.200000 0.244946 Long ABS-O CORP US N 2 2029-08-16 Floating 4.77223 N N N N N N N/A N/A 000000000 1.000000 NC -170910.730000 -0.0069842 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9600000.000000 BRL 1682424.790000 USD 2026-04-02 -170910.730000 N N N FHLMC PASS THRU POOLS N/A 3128P7DU4 129.990000 PA USD 130.050000 0.0000053 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI2ZQHY3 6200000.000000 PA 357894.800000 0.0146251 Long DBT NUSS ZA N 2 2026-08-19 None 0 N N N N N N FREDDIE MAC REMICS 5517 N/A 3137HKH72 848487.300000 PA USD 853861.790000 0.0348925 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.6119 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CW0 4900000.000000 PA USD 4888516.800000 0.199766 Long DBT CORP US N 2 2028-09-11 Fixed 4.55 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAC1 167210.890000 PA USD 159795.240000 0.0065299 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.38 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HBC8 400000.000000 PA USD 402518.480000 0.0164487 Long DBT CORP ES N 2 2028-03-14 Floating 5.02209 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAX8 5786000.000000 PA USD 5713858.360000 0.233493 Long DBT CORP US N 2 2027-01-15 Fixed 2.75 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 83757.380000 PA USD 83921.490000 0.0034294 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 4.49671 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 9928.430000 PA USD 9642.150000 0.000394 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.05874 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 1471917.310000 PA USD 1408008.720000 0.0575374 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.09303 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 765201.110000 PA USD 766417.930000 0.0313192 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N AMETEK INC 549300WZDEF9KKE40E98 03111CD67 7800000.000000 PA USD 7794822.360000 0.31853 Long DBT CORP US N 2 2026-04-06 None 0 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 1372761.150000 PA 1818838.250000 0.0743257 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 4.88036 N N N N N N N/A N/A 000000000 1.000000 NC 12.960000 0.0000005 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7308.880000 THB 234.880000 USD 2026-04-20 12.960000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HY2 100000.000000 PA USD 102515.220000 0.0041892 Long DBT CORP US N 2 2028-10-01 Fixed 5.65 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2 N/A 61778XAA7 5003197.830000 PA USD 5019817.950000 0.205132 Long ABS-MBS CORP US N 2 2070-07-25 Fixed 5.443 N N N N N N N/A N/A 000000000 1.000000 NC 10237.880000 0.0004184 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2376311.340000 CHF 2992634.930000 USD 2026-05-04 10237.880000 N N N N/A N/A 000000000 1.000000 NC -10219.990000 -0.0004176 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1176311.990000 USD 881000.000000 GBP 2026-04-02 -10219.990000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAA8 648338.540000 PA USD 624225.790000 0.0255086 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94054 N N N N N N N/A N/A 000000000 1.000000 NC -14468.750000 -0.0005913 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1173942.750000 USD 876000.000000 GBP 2026-04-02 -14468.750000 N N N N/A N/A 000000000 1.000000 NC 9572.140000 0.0003912 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1433002.430000 ILS 466290.000000 USD 2026-06-10 9572.140000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DEB1 26200000.000000 PA USD 26069484.700000 1.06531 Long DBT CORP US N 2 2026-05-11 None 0 N N N N N N NAVIENT REFINANCE LOAN TRUST 2025-C N/A 638973AA5 11977699.680000 PA USD 11926774.090000 0.48738 Long ABS-O CORP US N 2 2055-10-15 Fixed 4.8 N N N N N N TORO EUROPEAN CLO 2 DAC 2A N/A ACI37WPZ7 1000000.000000 PA 1155625.290000 0.0472239 Long ABS-CBDO CORP IE N 2 2034-07-25 Floating 3.02 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 5725118.300000 PA USD 5318588.640000 0.217341 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 290.020000 0.0000119 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1449000.000000 CNY 210666.560000 USD 2026-04-02 290.020000 N N N N/A N/A 000000000 192800000.000000 NC USD 141110.320000 0.0057664 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 08/13/26-1Y LCH 2027-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-11 XXXX -74825.680000 N N N N/A N/A 000000000 1.000000 NC USD -1209338.390000 -0.0494189 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2026-04-09 0.000000 USD 0.000000 USD 247537704.570000 USD -1209338.390000 N N N N/A N/A 000000000 1.000000 NC -53792.250000 -0.0021982 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1700359.550000 USD 155914468.940000 INR 2026-04-07 -53792.250000 N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 4000000.000000 PA USD 4004182.720000 0.163628 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 4.75219 N N N N N N N/A N/A 000000000 1.000000 NC -1541.110000 -0.000063 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 174000.000000 EUR 199576.830000 USD 2026-04-02 -1541.110000 N N N N/A N/A 000000000 1.000000 NC -286013.280000 -0.0116878 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 16100000.000000 BRL 2822184.830000 USD 2026-04-02 -286013.280000 N N N N/A N/A 000000000 1.000000 NC -2374.810000 -0.000097 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3410000.000000 NOK 349792.410000 USD 2026-04-07 -2374.810000 N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 6305.960000 PA USD 6381.430000 0.0002608 Long ABS-MBS CORP US N 2 2033-04-25 Floating 6 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XAY0 7400000.000000 PA USD 7292072.850000 0.297986 Long DBT CORP US N 2 2027-12-01 Fixed 3.625 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAS0 7000000.000000 PA USD 7207457.600000 0.294528 Long DBT CORP KY N 2 2028-05-04 Fixed 6.375 N N N N N N BANK MIZRAHI TEFAHOT LTD YZO9YEGEO4VYDZMDWF93 ACI387RP1 10400000.000000 PA USD 10284761.860000 0.42028 Long DBT CORP IL N 2 2031-01-28 Fixed 5.049 N N N N N N N/A N/A 000000000 1.000000 NC -10810.420000 -0.0004418 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1219515.000000 USD 20557486307.000000 IDR 2026-06-10 -10810.420000 N N N KKR CLO 36A LTD N/A 48255AAJ7 1550000.000000 PA USD 1551897.570000 0.0634173 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 4.82219 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 78040.680000 PA USD 81152.080000 0.0033162 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 6.343 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 751049.510000 PA USD 698706.980000 0.0285522 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 400000.000000 PA USD 140000.000000 0.005721 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAS0 384000.000000 PA USD 383544.850000 0.0156733 Long DBT CORP BM N 2 2026-06-15 Fixed 4.25 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 7418.900000 PA USD 7343.570000 0.0003001 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.11671 N N N N N N N/A N/A 000000000 2494751.000000 NC USD 7960.750000 0.0003253 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-15 N/A 1400.000000 USD 2026-07-13 XXXX -9098.360000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 1162811.690000 PA USD 1111607.740000 0.0454252 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST 2021-2A N/A 00258BAA2 3173633.160000 PA USD 3003239.530000 0.122726 Long ABS-O CORP US N 2 2047-01-15 Fixed 2.798 N N N N N N N/A N/A 000000000 1.000000 NC 3910349.300000 0.159794 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 4488532.480000 EUR 0.000000 EUR 19540000.000000 EUR -578183.180000 N N N GSAMP TRUST 2004-WF N/A 36242DKL6 19475.250000 PA USD 19916.720000 0.0008139 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.44303 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 175460.980000 PA USD 176468.270000 0.0072113 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N N/A N/A 000000000 44400000.000000 NC USD 120532.680000 0.0049255 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 09/11/26-1Y LCH 2027-09-11 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-09-09 XXXX 75910.680000 N N N NELNET STUDENT LOAN TRUST 2025-DA N/A 639931AA2 5436579.680000 PA USD 5373905.700000 0.219601 Long ABS-O CORP US N 2 2054-08-20 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC -125331.650000 -0.0051216 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 21954150.400000 USD 16492000.000000 GBP 2026-04-02 -125331.650000 N N N N/A N/A 000000000 1.000000 NC 3203.630000 0.0001309 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 193940.000000 USD 1034728.080000 BRL 2026-06-02 3203.630000 N N N N/A N/A 000000000 1.000000 NC -945.040000 -0.0000386 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 209384.000000 USD 3537542680.000000 IDR 2026-04-13 -945.040000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-B N/A 78449YAA8 1361700.730000 PA USD 1288770.080000 0.0526648 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31 N N N N N N N/A N/A 000000000 1.000000 NC 1853.650000 0.0000757 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6223000.000000 MXN 346928.070000 USD 2026-06-17 1853.650000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HQ9 300000.000000 PA USD 300312.400000 0.0122721 Long DBT CORP US N 2 2027-06-01 Fixed 4.7 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 400000.000000 PA USD 140000.000000 0.005721 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 12860.800000 0.0005255 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1416470.210000 USD 7556372.810000 BRL 2026-07-02 12860.800000 N N N N/A N/A 000000000 1.000000 NC 252.520000 0.0000103 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 219851.580000 USD 1516000.000000 CNY 2026-04-02 252.520000 N N N N/A N/A 000000000 1.000000 NC 1420.150000 0.000058 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 17526345.370000 ZAR 1035789.000000 USD 2026-04-20 1420.150000 N N N BANK OF INDUSTRY LIMITED 5493006N5JD4B34R6G14 BA000BY62 2625000.000000 PA 3027028.260000 0.123698 Long LON MUN NG N 2 2027-08-23 Floating 3.724 N N N N N N N/A N/A 000000000 1.000000 NC -129249.300000 -0.0052817 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 9600000.000000 BRL 1724086.220000 USD 2026-04-02 -129249.300000 N N N N/A N/A 000000000 1.000000 NC 2377.930000 0.0000972 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 896000.000000 GBP 1188323.940000 USD 2026-04-02 2377.930000 N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 37255GD62 3500000.000000 PA USD 3497585.000000 0.142927 Long DBT CORP US N 2 2026-04-06 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -463423.940000 -0.0189375 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23600000.000000 BRL 4092692.550000 USD 2026-04-02 -463423.940000 N N N N/A N/A 000000000 1.000000 NC 8093.340000 0.0003307 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 171760882.700000 INR 1822010.000000 USD 2026-04-07 8093.340000 N N N RRE 3 LOAN MANAGEMENT DAC 3A N/A ACI38FGW0 2500000.000000 PA 2883187.180000 0.11782 Long ABS-CBDO CORP IE N 2 2039-12-15 Floating 3.306 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 24600.820000 PA USD 23380.010000 0.0009554 Long ABS-MBS CORP US N 2 2042-06-25 Floating 5.25874 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 3005370.790000 PA USD 2720538.580000 0.111173 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.65874 N N N N N N FREDDIE MAC 3597 N/A 31398L5U8 11966.360000 PA USD 12060.360000 0.0004928 Long ABS-MBS USGSE US N 2 2039-11-15 Floating 4.63671 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A45 6900000.000000 PA USD 6869996.520000 0.280738 Long DBT CORP US N 2 2027-01-09 Fixed 4.271 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-7 N/A 69545AAA2 563376.620000 PA USD 565417.280000 0.0231054 Long ABS-O CORP US N 2 2031-12-15 Fixed 6.117 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813DD8 200000.000000 PA USD 197484.270000 0.0080701 Long DBT CORP US N 2 2030-12-15 Fixed 4.9 N N N N N N FREDDIE MAC-3372 N/A 31397KQ61 32654.200000 PA USD 32612.930000 0.0013327 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 4.38671 N N N N N N CREDIT-BASED ASSET SERVC SEC 2005-CB3 N/A 12489WLH5 1467136.840000 PA USD 1439834.160000 0.0588379 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.84303 N N N N N N N/A N/A 000000000 1.000000 NC 17952.460000 0.0007336 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4134459.630000 ILS 1333129.000000 USD 2026-04-06 17952.460000 N N N FANNIE MAE REMICS 2025-92 N/A 3136BXU85 1286769.570000 PA USD 1298832.780000 0.053076 Long ABS-MBS USGSE US N 2 2055-11-25 Floating 4.8619 N N N N N N CAPITAL FOUR CLO X DAC 10A N/A ACI2ZN408 1000000.000000 PA 1153839.500000 0.0471509 Long ABS-CBDO CORP IE N 2 2038-10-25 Floating 3.279 N N N N N N PALMER SQUARE LOAN FUNDING 2024-3A LTD N/A 69690EAJ8 3600000.000000 PA USD 3599334.180000 0.147085 Long ABS-CBDO CORP KY N 2 2032-08-08 Floating 4.48364 N N N N N N FREDDIE MAC REMICS 5589 N/A 3137HNFP8 10832053.780000 PA USD 10899325.170000 0.445394 Long ABS-MBS USGSE US N 2 2055-10-25 Floating 4.7619 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 5650153.830000 PA USD 5315118.350000 0.217199 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC 9605.580000 0.0003925 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 108026785.500000 INR 1150445.000000 USD 2026-04-07 9605.580000 N N N FANNIE MAE REMICS 2025-88 N/A 3136BXZK3 2044033.890000 PA USD 2055472.710000 0.0839956 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.5619 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDH6 8700000.000000 PA USD 8683219.440000 0.354834 Long DBT CORP US N 2 2026-04-17 None 0 N N N N N N M&T EQUIPMENT 2024-LEAF1 LLC N/A 55376YAB1 870396.460000 PA USD 872176.070000 0.0356409 Long ABS-O CORP US N 2 2031-08-18 Fixed 4.99 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 391389.300000 PA USD 389113.880000 0.0159009 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.23303 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAF8 600000.000000 PA USD 587581.540000 0.0240112 Long DBT CORP US N 2 2027-01-15 Fixed 1.65 N N N N N N N/A N/A 000000000 1.000000 NC -79286.140000 -0.00324 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4048358.000000 USD 629911550.000000 JPY 2026-04-02 -79286.140000 N N N N/A N/A 000000000 1.000000 NC -4836.370000 -0.0001976 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2032228.020000 BRL 387497.000000 USD 2026-04-02 -4836.370000 N N N FREDDIE MAC REMICS 5573 N/A 3137HMSG6 11725190.700000 PA USD 11790424.970000 0.481808 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.5619 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 1066587.050000 PA USD 1067675.990000 0.0436299 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 4.86401 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDP9 11500000.000000 PA USD 11470581.850000 0.468738 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -34273.860000 -0.0014006 N/A DFE GB N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2215567.410000 USD 1648000.000000 GBP 2026-04-02 -34273.860000 N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 1624042.060000 PA USD 1638998.190000 0.0669766 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.15303 N N N N N N N/A N/A 000000000 207300000.000000 NC USD 139658.010000 0.005707 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 08/05/26-1Y LCH 2027-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-03 XXXX -46911.990000 N N N N/A N/A 000000000 1.000000 NC USD 12357.000000 0.000505 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD 0.000000 USD 1500000.000000 USD 12357.000000 N N N FREDDIE MAC REMICS 5508 N/A 3137HJGF8 1695393.030000 PA USD 1710557.640000 0.0699009 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.6619 N N N N N N N/A N/A 000000000 1.000000 NC 71589.210000 0.0029254 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 12432378.000000 USD 18123000.000000 AUD 2026-04-02 71589.210000 N N N UMBS PASS THRU POOLS N/A 01F060659 13835000.000000 PA USD 14086730.320000 0.575645 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2982.100000 0.0001219 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 492758.000000 USD 78442146.000000 JPY 2026-05-07 2982.100000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TH0 284000.000000 PA USD 283628.240000 0.0115903 Long DBT UST US N 2 2026-04-14 None 0 N N N N N N PAGAYA AI DEBT TRUST 2025-5 N/A 69548WAB9 1099957.500000 PA USD 1102370.480000 0.0450477 Long ABS-O CORP US N 2 2033-03-15 Fixed 5.108 N N N N N N FANNIE MAE 2009-87 N/A 31398FM57 29512.490000 PA USD 29612.850000 0.0012101 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 4.52638 N N N N N N N/A N/A 000000000 1.000000 NC -151930.740000 -0.0062086 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 23534620.700000 USD 30063124.480000 SGD 2026-04-02 -151930.740000 N N N N/A N/A 000000000 1.000000 NC -18175.020000 -0.0007427 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19242545.460000 ZAR 1097867.000000 USD 2026-11-18 -18175.020000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 3400000.000000 PA USD 3416791.990000 0.139625 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N N/A N/A 000000000 1.000000 NC -16422.390000 -0.0006711 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 634890.310000 USD 58563107.550000 INR 2026-04-07 -16422.390000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AB9 3654627.210000 PA USD 1837567.030000 0.075091 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.90303 N N N N N N N/A N/A 000000000 1.000000 NC -340.630000 -0.0000139 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17735.000000 USD 2760573.000000 JPY 2026-04-02 -340.630000 N N N N/A N/A 000000000 1.000000 NC USD -2420840.830000 -0.0989261 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2026-04-08 0.000000 USD 0.000000 USD 52475584.380000 USD -2420840.830000 N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAA0 1800000.000000 PA USD 1387890.000000 0.0567153 Long ABS-MBS CORP US N 2 2036-12-15 Floating 4.73748 N N N N N N CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-C N/A 12634SAA5 560477.660000 PA USD 561632.240000 0.0229507 Long ABS-O CORP US N 2 2029-03-15 Fixed 4.71 N N N N N N N/A N/A 000000000 1.000000 NC USD -3365.550000 -0.0001375 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -66971.390000 USD 7810000.000000 USD 63605.840000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BDL3 700000.000000 PA USD 698432.280000 0.028541 Long DBT CORP US N 2 2026-04-20 None 0 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2025-1A N/A 55287XAD7 9900000.000000 PA USD 9978859.440000 0.40778 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.73 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBK1 486000.000000 PA USD 487007.360000 0.0199012 Long DBT CORP US N 2 2027-05-31 Floating 6.124 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A N/A 39571VAB4 525804.650000 PA USD 527711.270000 0.0215646 Long ABS-O CORP US N 2 2060-06-25 Fixed 4.93 N N N N N N N/A N/A 000000000 1.000000 NC 320520.140000 0.0130979 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20398922.310000 SGD 16186524.890000 USD 2026-04-02 320520.140000 N N N FNMA PASS THRU POOLS N/A 31384VZC9 113.640000 PA USD 115.800000 0.0000047 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -945.760000 -0.0000386 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 130176.000000 USD 2197930637.000000 IDR 2026-06-10 -945.760000 N N N LEIDOS INC 5493006I78VIN6J1BQ95 52533BDU3 23000000.000000 PA USD 22925215.500000 0.936824 Long DBT CORP US N 2 2026-04-28 None 0 N N N N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI21W3V8 200000.000000 PA 220564.560000 0.0090132 Long DBT CORP GG N 2 2028-11-24 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 2811.450000 0.0001149 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 6773446.550000 USD 35100000.000000 BRL 2026-04-02 2811.450000 N N N CITADEL FINANCE LLC 549300BQL283NCR7P163 17287HAE0 3300000.000000 PA USD 3235726.530000 0.132226 Long DBT CORP US N 2 2029-02-14 Fixed 4.75 N N N N N N AUTO ABS SPANISH LOANS 2022-1 FONDO TITULIZACION 22-1 N/A ACI25X1H5 1065006.800000 PA 1231771.250000 0.0503356 Long ABS-O CORP ES N 2 2032-02-28 Floating 2.507 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BQ0 23600000.000000 PA USD 23392139.930000 0.955905 Long DBT CORP CH N 2 2030-04-10 Floating 4.5044 N N N N N N N/A N/A 000000000 1.000000 NC 63.240000 0.0000026 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 14414.880000 USD 307379.400000 CZK 2026-04-15 63.240000 N N N N/A N/A 000000000 1.000000 NC 416.350000 0.000017 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 147073.920000 USD 4720190.000000 TWD 2026-04-13 416.350000 N N N N/A N/A 000000000 1.000000 NC 7219.230000 0.000295 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1524686.230000 ILS 493158.000000 USD 2026-06-10 7219.230000 N N N N/A N/A 000000000 1.000000 NC 15098.350000 0.000617 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 504469.390000 USD 9315330.000000 MXN 2026-04-10 15098.350000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BD82 4100000.000000 PA USD 4096336.650000 0.167394 Long DBT CORP US N 2 2026-04-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -14200.810000 -0.0005803 N/A DFE PL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 559211.000000 USD 2023225.400000 PLN 2026-04-15 -14200.810000 N N N N/A N/A 000000000 1.000000 NC 472142.730000 0.0192938 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 16993000.000000 GBP 22964085.310000 USD 2026-04-02 472142.730000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAQ8 14700000.000000 PA USD 14864742.900000 0.607438 Long DBT CORP FR N 2 2027-10-19 Floating 6.612 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2T0 8100000.000000 PA USD 7976966.100000 0.325974 Long DBT CORP FR N 2 2028-01-20 Floating 2.591 N N N N N N N/A N/A 000000000 1.000000 NC -45714.990000 -0.0018681 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1347322.460000 USD 23472917.170000 MXN 2026-06-17 -45714.990000 N N N N/A N/A 000000000 1.000000 NC -132.980000 -0.0000054 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 24030.000000 USD 507348.510000 CZK 2026-04-15 -132.980000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI25THB0 25800000.000000 PA USD 25778050.910000 1.0534 Long DBT NUSS RO N 2 2027-11-25 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -24936.300000 -0.001019 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11400000.000000 BRL 2131438.720000 USD 2026-07-02 -24936.300000 N N N TELUS CORPORATION 894500TX134IMF6NW757 87974WEL8 1400000.000000 PA USD 1391820.360000 0.0568759 Long DBT CORP CA N 2 2026-05-20 None 0 N N N N N N SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A N/A 80620BAD9 2300000.000000 PA USD 2312088.340000 0.094482 Long ABS-O CORP US N 2 2031-09-15 Fixed 4.68 N N N N N N N/A N/A 000000000 1.000000 NC -4608.860000 -0.0001883 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 201640728.790000 INR 2124860.150000 USD 2026-04-07 -4608.860000 N N N N/A N/A 000000000 -372.000000 NC USD 1563851.910000 0.0639058 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -43250812.500000 USD 1563851.910000 N N N N/A N/A 000000000 1.000000 NC 5775469.880000 0.236011 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 6600898.650000 EUR 0.000000 EUR 28860000.000000 EUR -825428.770000 N N N N/A N/A 000000000 1.000000 NC 6540.580000 0.0002673 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 496000.000000 PLN 140151.520000 USD 2026-04-15 6540.580000 N N N POST CLO 2021-1 LTD N/A 73742FAJ5 1000000.000000 PA USD 1001015.810000 0.0409059 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 4.75219 N N N N N N N/A N/A 000000000 1.000000 NC 1751.190000 0.0000716 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2250871.570000 PLN 608084.000000 USD 2026-04-15 1751.190000 N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 145210.600000 PA USD 152187.680000 0.0062191 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.70803 N N N N N N GNMA PASS THRU POOLS N/A 21H042653 30000000.000000 PA USD 28950081.600000 1.18303 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 4.5 N N N N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466LAQ7 2700000.000000 PA USD 2701626.260000 0.1104 Long DBT CORP US N 2 2028-03-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 253017.580000 0.0103394 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 9089000.000000 EUR 10758540.230000 USD 2026-04-02 253017.580000 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SD94 13600000.000000 PA USD 13586291.200000 0.555195 Long DBT CORP US N 2 2026-04-09 None 0 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153BG6 6100000.000000 PA USD 6171037.610000 0.252176 Long DBT CORP LR N 2 2028-04-01 Fixed 5.5 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAD3 305244.270000 PA USD 294914.620000 0.0120515 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC -7958.100000 -0.0003252 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1220000.000000 USD 20577077662.000000 IDR 2026-04-27 -7958.100000 N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAA3 3353799.200000 PA USD 2228987.940000 0.0910862 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.09303 N N N N N N GNMA PASS THRU POOLS N/A 21H040640 24000000.000000 PA USD 22485328.800000 0.918849 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAB6 92861.110000 PA USD 89234.830000 0.0036465 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.14689 N N N N N N PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP N/A 72650RBR2 2700000.000000 PA USD 2692737.000000 0.110037 Long DBT CORP US N 2 2031-01-15 Fixed 4.7 N N N N N N VOYA CLO 2017-3A N/A 92915QBG7 900000.000000 PA USD 900663.380000 0.036805 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 4.72763 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAM4 3676000.000000 PA USD 3638975.330000 0.148704 Long DBT CORP US N 2 2026-08-15 Fixed 1.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 181755.090000 0.0074273 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -389.270000 USD 1380000.000000 USD 182144.360000 N N N N/A N/A 000000000 1.000000 NC -64937.220000 -0.0026536 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 2018759.200000 USD 35234817.450000 MXN 2026-06-17 -64937.220000 N N N N/A N/A 000000000 1.000000 NC USD 205515.600000 0.0083983 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD -105364.260000 USD 20499900.000000 USD 310879.860000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 91518.930000 PA 105887.740000 0.004327 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 2.716 N N N N N N F&G GLOBAL FUNDING 6354009CCUKJIZ7KFX73 30321L2C5 600000.000000 PA USD 558638.770000 0.0228284 Long DBT CORP US N 2 2028-09-20 Fixed 2 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAL7 3200000.000000 PA USD 3190982.460000 0.130398 Long DBT CORP US N 2 2026-08-04 Fixed 3.7 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 102634.530000 PA USD 99331.860000 0.0040591 Long ABS-MBS CORP US N 2 2037-10-25 Variable 7.25 N N N N N N N/A N/A 000000000 1.000000 NC -61882.590000 -0.0025288 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1542792.000000 USD 140228221.860000 INR 2026-04-07 -61882.590000 N N N SBA COMMUNICATIONS CORPORATION 5299001HX8ZN8Y8QIT49 78410GAD6 6600000.000000 PA USD 6536839.980000 0.267124 Long DBT CORP US N 2 2027-02-15 Fixed 3.875 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCP9 4500000.000000 PA USD 4438769.360000 0.181388 Long DBT CORP US N 2 2027-09-22 Floating 1.47 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A N/A 39571VAD0 1236244.570000 PA USD 1235622.490000 0.0504929 Long ABS-O CORP US N 2 2060-06-25 Fixed 4.89 N N N N N N CAPITAL FOUR CLO IV DAC 4A N/A ACI38L038 9300000.000000 PA 10716822.370000 0.437936 Long ABS-CBDO CORP IE N 2 2038-04-15 Floating 3.189 N N N N N N VIPER ENERGY PARTNERS LLC 54930010ZZ02MRGRI973 92764MAA2 6700000.000000 PA USD 6708107.000000 0.274123 Long DBT CORP US N 2 2030-08-01 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 60940.690000 0.0024903 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4070453.080000 USD 21400000.000000 BRL 2026-04-02 60940.690000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AU2 4900000.000000 PA USD 4919598.730000 0.201036 Long DBT CORP GB N 2 2029-05-23 Floating 4.76031 N N N N N N N/A N/A 000000000 1.000000 NC -354816.390000 -0.0144993 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 27100000.000000 BRL 4876995.340000 USD 2026-04-02 -354816.390000 N N N N/A N/A 000000000 1.000000 NC 7357.340000 0.0003007 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 976057.000000 USD 3091514.140000 ILS 2026-04-06 7357.340000 N N N N/A N/A 000000000 1.000000 NC -11896.960000 -0.0004862 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1303483.710000 USD 1872000.000000 AUD 2026-04-02 -11896.960000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EDF9 14850000.000000 PA USD 14870138.680000 0.607659 Long DBT CORP GB N 2 2029-11-11 Floating 4.74469 N N N N N N N/A N/A 000000000 1.000000 NC -20360.850000 -0.000832 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 576230852.000000 JPY 3610469.000000 USD 2026-04-02 -20360.850000 N N N N/A N/A 000000000 -2183.000000 NC USD 4876031.760000 0.199256 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -242295946.400000 USD 4876031.760000 N N N GNMA PASS THRU POOLS N/A 36202K5J0 60.830000 PA USD 60.860000 0.0000025 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 12552.560000 0.000513 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 465779.830000 USD 8578174.000000 MXN 2026-04-13 12552.560000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 50525.170000 PA USD 50707.160000 0.0020721 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 4.58325 N N N N N N TCW CLO AMR LTD 2019-1A N/A 87241EAQ8 4000000.000000 PA USD 4005000.080000 0.163662 Long ABS-CBDO CORP KY N 2 2034-08-16 Floating 4.95434 N N N N N N FREDDIE MAC REMICS 5495 N/A 3137HJ2H9 2170251.810000 PA USD 2187286.550000 0.0893821 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 4.8119 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-SP2 N/A 1248MHAG7 1731012.670000 PA USD 1704059.070000 0.0696353 Long ABS-MBS CORP US N 2 2046-03-25 Floating 5.36803 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAE2 1837174.170000 PA USD 1839264.510000 0.0751604 Long ABS-O CORP US N 2 2028-07-17 Fixed 4.75 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280EZ8 4600000.000000 PA USD 4639167.530000 0.189577 Long DBT CORP GB N 2 2031-05-13 Floating 5.2339 N N N N N N N/A N/A 000000000 1.000000 NC -4571.930000 -0.0001868 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1297925.030000 BRL 246000.000000 USD 2026-04-02 -4571.930000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAK6 800000.000000 PA USD 798169.980000 0.0326167 Long DBT CORP US N 2 2027-03-01 Fixed 4.125 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 302310.110000 PA USD 303013.280000 0.0123824 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 4.50671 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1037527.620000 PA USD 955036.910000 0.039027 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.07303 N N N N N N GNMA PASS THRU POOLS N/A 21H040657 19000000.000000 PA USD 17789010.300000 0.726937 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 4 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4R9 1100000.000000 PA USD 1089085.770000 0.0445048 Long DBT CORP US N 2 2030-07-17 Fixed 5.033 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-RPL1 N/A 52474HAA8 1266354.850000 PA USD 1212420.800000 0.0495448 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-2A N/A 379924AC7 1198724.000000 PA USD 1208943.240000 0.0494027 Long ABS-O CORP US N 2 2030-06-17 Fixed 5.58 N N N N N N N/A N/A 000000000 1.000000 NC -549.980000 -0.0000225 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 183091.000000 USD 6013806.990000 THB 2026-04-16 -549.980000 N N N N/A N/A 000000000 1.000000 NC 57.650000 0.0000024 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 26241.220000 CAD 18922.140000 USD 2026-04-02 57.650000 N N N N/A N/A 000000000 1.000000 NC -59813.550000 -0.0024442 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11700000.000000 BRL 2153308.180000 USD 2026-07-02 -59813.550000 N N N FANNIE MAE REMICS 2018-27 N/A 3136B1M35 286587.440000 PA USD 281335.930000 0.0114966 Long ABS-MBS USGSE US N 2 2058-05-25 Floating 4.14573 N N N N N N N/A N/A 000000000 1.000000 NC 91893.050000 0.0037552 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9812000.000000 SGD 7723533.400000 USD 2026-04-02 91893.050000 N N N N/A N/A 000000000 1.000000 NC -152922.780000 -0.0062491 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 84664506.920000 EUR 97855660.420000 USD 2026-05-04 -152922.780000 N N N TIKEHAU CLO V BV 5A N/A ACI2YQ816 6750000.000000 PA 7799763.860000 0.318732 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.216 N N N N N N N/A N/A 000000000 1.000000 NC 22438.640000 0.0009169 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4118774.220000 ILS 1333120.000000 USD 2026-04-13 22438.640000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBQ1 11081000.000000 PA USD 11150462.580000 0.455657 Long DBT CORP JP N 2 2027-07-02 Floating 4.88528 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRX85 111100000.000000 PA 20771561.080000 0.848817 Long DBT NUSS BR N 2 2026-07-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 37079.070000 0.0015152 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4350550.950000 PLN 1209017.000000 USD 2026-04-15 37079.070000 N N N GNMA PASS THRU POOLS N/A 36225CCY0 277.930000 PA USD 278.790000 0.0000114 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 5.625 N N N N N N CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2025-1A N/A 14856VAA5 3356222.510000 PA USD 3384284.890000 0.138297 Long ABS-O CORP US N 2 2050-02-15 Fixed 5.783 N N N N N N N/A N/A 000000000 1.000000 NC 28279.640000 0.0011556 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 33975887.150000 THB 1059572.000000 USD 2026-04-16 28279.640000 N N N N/A N/A 000000000 1.000000 NC 39991.980000 0.0016342 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 5967650.440000 PLN 1647539.160000 USD 2026-04-15 39991.980000 N N N ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC N/A 00501XAA9 500000.000000 PA USD 499677.880000 0.020419 Long ABS-CBDO CORP US N 2 2044-08-18 Floating 5.10997 N N N N N N N/A N/A 000000000 1.000000 NC -1181.450000 -0.0000483 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2899000.000000 CNY 419716.820000 USD 2026-04-02 -1181.450000 N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAL4 2200000.000000 PA USD 2105234.780000 0.0860291 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.45303 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAR3 9392000.000000 PA USD 9219904.470000 0.376766 Long DBT CORP US N 2 2027-01-15 Fixed 2.2 N N N N N N N/A N/A 000000000 1.000000 NC -29.820000 -0.0000012 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 304291.000000 USD 5174833604.000000 IDR 2026-06-10 -29.820000 N N N N/A N/A 000000000 1.000000 NC 844.920000 0.0000345 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 359525652.000000 KRW 240000.000000 USD 2026-04-27 844.920000 N N N FANNIE MAE REMICS 2025-4 N/A 3136BUU65 2697612.050000 PA USD 2720622.680000 0.111177 Long ABS-MBS USGSE US N 2 2053-12-25 Floating 4.8619 N N N N N N FREDDIE MAC REMICS 5564 N/A 3137HMD23 748170.320000 PA USD 755675.960000 0.0308802 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8619 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PN2 20.200000 PA USD 20.620000 0.0000008 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -66227.680000 -0.0027064 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1712437.000000 USD 155880571.450000 INR 2026-04-07 -66227.680000 N N N N/A N/A 000000000 1.000000 NC 337.650000 0.0000138 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 53930.510000 ILS 17526.060000 USD 2026-06-10 337.650000 N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EDL6 23700000.000000 PA USD 23705074.170000 0.968693 Long DBT CORP US N 2 2028-03-17 Floating 4.42636 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAB5 2909020.500000 PA USD 2778919.790000 0.113559 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.05303 N N N N N N N/A N/A 000000000 3698.000000 NC USD 389039.610000 0.0158979 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 767262770.660000 USD 389039.610000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI30CS02 35100000.000000 PA 2049153.400000 0.0837374 Long DBT NUSS ZA N 2 2026-06-17 None 0 N N N N N N AAC TECHNOLOGIES HOLDINGS INC 549300SKEDE1VKS0A552 ACI1Y0VT8 3100000.000000 PA USD 3093083.060000 0.126397 Long DBT CORP KY N 2 2026-06-02 Fixed 2.625 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 22518.330000 PA USD 22485.310000 0.0009188 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.76803 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YT4 300000.000000 PA USD 294094.720000 0.012018 Long DBT CORP US N 2 2027-11-02 Fixed 3.815 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR5 N/A 94983RAA2 711484.080000 PA USD 712402.530000 0.0291119 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.17193 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VDA8 13400000.000000 PA USD 13384878.100000 0.546965 Long DBT CORP CA N 2 2026-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -65393.330000 -0.0026723 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21600000.000000 BRL 4020369.870000 USD 2026-07-02 -65393.330000 N N N N/A N/A 000000000 1.000000 NC 2553.840000 0.0001044 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 156000.000000 CHF 197651.390000 USD 2026-04-02 2553.840000 N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 689097.260000 PA USD 693484.260000 0.0283388 Long ABS-O CORP US N 2 2031-12-26 Fixed 5.01 N N N N N N UMBS PASS THRU POOLS N/A 01F062663 256146513.000000 PA USD 264774413.820000 10.8198 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E0KF5 108970.810000 PA USD 108283.750000 0.0044249 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 1129.430000 0.0000462 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1150445.000000 USD 108220060.260000 INR 2026-04-24 1129.430000 N N N N/A N/A 000000000 1.000000 NC -2050.390000 -0.0000838 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1017277.960000 BRL 194341.000000 USD 2026-04-02 -2050.390000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAA7 1211525.780000 PA USD 1215362.440000 0.049665 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.183 N N N N N N FHLMC PASS THRU POOLS N/A 31425YQZ3 273683.930000 PA USD 284442.960000 0.0116236 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N N/A N/A 000000000 264800000.000000 NC USD 718852.560000 0.0293755 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 09/11/26-1Y LCH 2027-09-11 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-09-09 XXXX 445210.310000 N N N TOWD POINT ASSET TRUST 2021-SL1 N/A 89179XAL9 1907135.810000 PA USD 1904118.530000 0.0778106 Long ABS-O CORP US N 2 2061-11-20 Floating 4.48952 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QD99 2800000.000000 PA USD 2797059.440000 0.1143 Long DBT CORP US N 2 2026-04-09 None 0 N N N N N N ANGEL OAK MORTGAGE TRUST 2025-8 N/A 03466UAA2 5873439.700000 PA USD 5889315.610000 0.240663 Long ABS-MBS CORP US N 2 2070-07-25 Fixed 5.41 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 400000.000000 PA USD 412962.020000 0.0168754 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02 N/A 38376RPV2 732878.670000 PA USD 737331.930000 0.0301306 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 4.78325 N N N N N N MDPKE 14A N/A ACI2289F9 989981.270000 PA 1142803.570000 0.0466999 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 2.816 N N N N N N N/A N/A 000000000 1.000000 NC 8053.420000 0.0003291 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 3366619.690000 PLN 914943.000000 USD 2026-04-15 8053.420000 N N N N/A N/A 000000000 1.000000 NC -3796.180000 -0.0001551 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 184000.000000 USD 270999148.000000 KRW 2026-04-13 -3796.180000 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDQ6 2300000.000000 PA USD 2293660.280000 0.093729 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N N/A N/A 000000000 174500000.000000 NC USD 117560.650000 0.004804 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 08/05/26-1Y LCH 2027-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-03 XXXX -38616.850000 N N N N/A N/A 000000000 1.000000 NC -8030.410000 -0.0003282 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1203628.210000 USD 956000.000000 CHF 2026-04-02 -8030.410000 N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1900000.000000 PA USD 1881520.410000 0.0768871 Long ABS-MBS CORP US N 2 2032-04-15 Floating 4.70871 N N N N N N NBA (HARDWOOD FUNDING LLC) N/A 990ACFQD8 2000000.000000 PA USD 1990442.280000 0.0813382 Long DBT CORP US Y 3 2029-06-08 Fixed 4.36 N N N N N N N/A N/A 000000000 1.000000 NC 4654.780000 0.0001902 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4414763.900000 THB 138659.000000 USD 2026-04-16 4654.780000 N N N BLACK HILLS CORPORATION 3MGELCRSTNSAMJ962671 09212FDD0 2000000.000000 PA USD 1997119.200000 0.081611 Long DBT CORP US N 2 2026-04-13 None 0 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAY6 1585000.000000 PA USD 1582516.150000 0.0646685 Long DBT CORP US N 2 2026-11-15 Floating 4.24487 N N N N N N N/A N/A 000000000 1.000000 NC 1535.090000 0.0000627 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5323718.000000 MXN 296743.010000 USD 2026-06-17 1535.090000 N N N GNMA PASS THRU POOLS N/A 36225CE69 4630.790000 PA USD 4610.250000 0.0001884 Long ABS-MBS USGSE US N 2 2028-01-20 Floating 5.625 N N N N N N EXPAND ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 92735LAA0 3900000.000000 PA USD 3902808.620000 0.159486 Long DBT CORP US N 2 2029-04-15 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 8146.170000 0.0003329 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1382376.990000 ILS 448729.000000 USD 2026-06-10 8146.170000 N N N PRPM 2025-RCF3 LLC N/A 69392PAA3 1966411.700000 PA USD 1963972.560000 0.0802565 Long ABS-MBS CORP US N 2 2055-07-25 Variable 5.25 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 6428.540000 PA USD 6525.460000 0.0002667 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.49 N N N N N N N/A N/A 000000000 1.000000 NC 8398.140000 0.0003432 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 294946.720000 USD 5438670.000000 MXN 2026-04-10 8398.140000 N N N N/A N/A 000000000 1.000000 NC 538.710000 0.000022 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4682491.000000 TWD 146851.010000 USD 2026-04-13 538.710000 N N N FHLMC PASS THRU POOLS N/A 3128P7LT8 7655.700000 PA USD 7640.710000 0.0003122 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 2915535.120000 PA USD 2267986.310000 0.0926798 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.65874 N N N N N N STELLANTIS FINANCIAL SERVICES US CORP 5493000KNKFDOC1BOW59 85855FAA1 7100000.000000 PA USD 7062620.420000 0.28861 Long DBT CORP US N 2 2028-09-15 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 154829.470000 0.006327 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 152702.570000 USD 0.000000 USD 8800000.000000 USD 2126.900000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ADY0 4900000.000000 PA USD 4917506.480000 0.200951 Long DBT CORP US N 2 2027-06-23 Floating 4.7558 N N N N N N N/A N/A 000000000 1.000000 NC 15010.410000 0.0006134 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 26518276.840000 THB 820000.000000 USD 2026-04-17 15010.410000 N N N DELTA AIR LINES INC / SKYMILES IP LTD N/A 830867AB3 1741666.660000 PA USD 1739775.260000 0.0710948 Long DBT CORP US N 2 2028-10-20 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -1930.870000 -0.0000789 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 890576.110000 BRL 170000.000000 USD 2026-04-02 -1930.870000 N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 166750.870000 PA 192978.680000 0.007886 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 2.666 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VDM2 17400000.000000 PA USD 17358668.040000 0.709351 Long DBT CORP CA N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -841.000000 -0.0000344 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 172000.000000 USD 5477670.000000 TWD 2026-04-13 -841.000000 N N N UMBS PASS THRU POOLS N/A 01F060675 114000000.000000 PA USD 115994094.840000 4.74003 Long ABS-MBS USGSE US N 2 2056-07-13 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714M5 339422.220000 PA USD 332009.310000 0.0135674 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.19303 N N N N N N EAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-HE9 N/A 073879KC1 3762000.710000 PA USD 3794378.750000 0.155055 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.76803 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 2600000.000000 PA USD 2574383.060000 0.105201 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 -2195.980000 -0.0000897 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18182114.500000 THB 550000.000000 USD 2026-04-23 -2195.980000 N N N N/A N/A 000000000 1.000000 NC 4101.120000 0.0001676 N/A DCR DE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A DEUTSCHE BANK AKTIENGESELLSCHAFT Y Single Leg Swap 2029-12-20 1332.100000 EUR 0.000000 EUR 400000.000000 EUR 2769.020000 N N N N/A N/A 000000000 1.000000 NC 25442.920000 0.0010397 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2124860.150000 USD 202076325.130000 INR 2026-04-24 25442.920000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439BB4 25000000.000000 PA USD 25112314.500000 1.0262 Long DBT CORP GB N 2 2028-11-26 Floating 4.72106 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 167524.010000 PA USD 150580.650000 0.0061534 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.67581 N N N N N N N/A N/A 000000000 1.000000 NC USD 1504122.690000 0.061465 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 78838.010000 USD 0.000000 USD 27200000.000000 USD 1425284.680000 N N N FNMA PASS THRU POOLS N/A 31418CUA0 553697.670000 PA USD 515759.500000 0.0210762 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 41622.050000 PA USD 38640.430000 0.001579 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAC4 66329.370000 PA USD 63562.860000 0.0025975 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.35311 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 112845.500000 PA USD 87598.450000 0.0035797 Long ABS-MBS CORP US N 2 2046-12-26 Floating 3.9199 N N N N N N N/A N/A 000000000 211500000.000000 NC USD 154796.850000 0.0063257 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 08/13/26-1Y LCH 2027-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-11 XXXX -82083.150000 N N N N/A N/A 000000000 1.000000 NC 1765.470000 0.0000721 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 188716.830000 USD 1800235.800000 SEK 2026-05-04 1765.470000 N N N FREDDIE MAC REMICS 4638 N/A 3137BTH38 160025.150000 PA USD 158435.730000 0.0064744 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 4.23573 N N N N N N ALLY AUTO RECEIVABLES TRUST 2023-1 N/A 02007WAC2 1312773.920000 PA USD 1319443.070000 0.0539182 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.46 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CM5 10358000.000000 PA USD 10215350.560000 0.417444 Long DBT CORP US N 2 2027-02-01 Fixed 2.7 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 2300000.000000 PA USD 805000.000000 0.0328958 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36225FC72 507984.040000 PA USD 517583.660000 0.0211507 Long ABS-MBS USGSE US N 2 2041-04-20 Floating 5.625 N N N N N N N/A N/A 000000000 1.000000 NC -1029.220000 -0.0000421 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4304000.000000 CNY 623857.350000 USD 2026-04-02 -1029.220000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339NDM3 5900000.000000 PA USD 5886140.310000 0.240533 Long DBT CORP US N 2 2026-04-21 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JE4 1625.470000 PA USD 1635.090000 0.0000668 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -14077.780000 -0.0005753 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8600000.000000 BRL 1612661.270000 USD 2026-07-02 -14077.780000 N N N NATIONAL FUEL GAS COMPANY 8JB38FFW1Y3C1HM8E841 636180BS9 1200000.000000 PA USD 1205492.750000 0.0492617 Long DBT CORP US N 2 2026-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -360.230000 -0.0000147 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1070000.000000 NOK 110143.850000 USD 2026-04-07 -360.230000 N N N N/A N/A 000000000 1.000000 NC 4561.370000 0.0001864 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 26542092.810000 THB 814327.000000 USD 2026-06-17 4561.370000 N N N BPCE SA 9695005MSX1OYEMGDF46 05584KAC2 7700000.000000 PA USD 7587349.000000 0.310052 Long DBT CORP FR N 2 2027-10-23 Fixed 3.5 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2Q7PM2 213300000.000000 PA 38577556.550000 1.57645 Long DBT NUSS BR N 2 2026-10-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 113725.040000 0.0046473 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD 0.000000 USD 14300000.000000 USD 113725.040000 N N N FANNIE MAE 2007-96 N/A 31396XNT7 68664.270000 PA USD 68832.510000 0.0028128 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 4.49638 N N N N N N FHLMC PASS THRU POOLS N/A 31300MNY5 177362.750000 PA USD 184843.800000 0.0075535 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 6.225 N N N N N N N/A N/A 000000000 1.000000 NC 1448698.410000 0.0592001 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 58099506.920000 EUR 68603026.280000 USD 2026-04-02 1448698.410000 N N N N/A N/A 000000000 1.000000 NC -121295.100000 -0.0049566 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6000000.000000 BRL 1037039.600000 USD 2026-04-02 -121295.100000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BP7 20800000.000000 PA USD 20861929.710000 0.85251 Long DBT CORP NL N 2 2029-03-25 Floating 4.65055 N N N N N N N/A N/A 000000000 1.000000 NC 1542.050000 0.000063 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1500000.000000 SEK 159993.030000 USD 2026-04-02 1542.050000 N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAG8 1800000.000000 PA USD 1831695.230000 0.0748511 Long DBT CORP US N 2 2030-01-09 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 31362M2L1 457.240000 PA USD 454.510000 0.0000186 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.472 N N N N N N FREDDIE MAC REMICS 5573 N/A 3137HMSJ0 5197450.350000 PA USD 5241265.900000 0.214181 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC USD 14195.850000 0.0005801 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD 0.000000 USD 1500000.000000 USD 14195.850000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-B N/A 78449LAC2 1130626.760000 PA USD 1130073.430000 0.0461797 Long ABS-O CORP US N 2 2037-01-15 Floating 4.50699 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 135051.960000 PA USD 96645.280000 0.0039493 Long ABS-MBS CORP US N 2 2036-01-26 Floating 4.78769 N N N N N N N/A N/A 000000000 1.000000 NC USD -939326.730000 -0.038385 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2026-04-22 0.000000 USD 0.000000 USD 72814072.530000 USD -939326.730000 N N N KRAFT HEINZ FOODS COMPANY 5493003STKEZ2S0RNU91 50077LAD8 265000.000000 PA USD 264370.970000 0.0108034 Long DBT CORP US N 2 2026-06-01 Fixed 3 N N N N N N TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST N/A 89239TAD4 3800000.000000 PA USD 3814941.980000 0.155895 Long ABS-O CORP US N 2 2029-06-15 Fixed 4.4 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAD1 2206083.350000 PA USD 2214680.900000 0.0905015 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.84 N N N N N N FANNIE MAE 2007-14 N/A 31396PZS3 13573.760000 PA USD 13430.710000 0.0005488 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.13638 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 58253.160000 PA USD 56313.550000 0.0023012 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.2912 N N N N N N BMW VEHICLE OWNER TRUST 2023-A N/A 05592XAD2 867198.340000 PA USD 871641.000000 0.0356191 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.47 N N N N N N N/A N/A 000000000 462800000.000000 NC USD 1256363.160000 0.0513405 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 09/11/26-1Y LCH 2027-09-11 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-09-09 XXXX 764638.160000 N N N N/A N/A 000000000 1.000000 NC 34702.240000 0.0014181 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2185439.270000 USD 11500000.000000 BRL 2026-04-02 34702.240000 N N N FANNIE MAE REMICS 2025-70 N/A 3136BXKF0 8721546.440000 PA USD 8803049.290000 0.359731 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 5.0619 N N N N N N N/A N/A 000000000 1.000000 NC -249858.940000 -0.0102103 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 15110794.110000 USD 267999000.000000 MXN 2026-06-17 -249858.940000 N N N FREDDIE MAC-3271 N/A 31397FFJ6 31804.860000 PA USD 31489.470000 0.0012868 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.12671 N N N N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 1536391.970000 PA USD 1515080.520000 0.0619128 Long ABS-MBS CORP US N 2 2054-05-25 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2025-5 N/A 69548WAA1 937039.980000 PA USD 937124.500000 0.038295 Long ABS-O CORP US N 2 2026-08-17 Fixed 4.684 N N N N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307A3L7 21800000.000000 PA USD 21827510.730000 0.891968 Long DBT CORP CA N 2 2029-01-20 Floating 4.43914 N N N N N N N/A N/A 000000000 1.000000 NC 20282.080000 0.0008288 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1397000.000000 AUD 984142.490000 USD 2026-04-02 20282.080000 N N N N/A N/A 000000000 -16751770.410000 PA USD -16753534.000000 -0.684623 Short RA US N 2 Reverse repurchase N 3.790000 2026-04-09 17227389.420000 USD 17326930.390000 USD AMBS N N N N/A N/A 000000000 1.000000 NC 26296.940000 0.0010746 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17738749.430000 THB 564901.340000 USD 2026-04-20 26296.940000 N N N N/A N/A 000000000 1.000000 NC -71697.950000 -0.0029299 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 18123000.000000 AUD 12427575.410000 USD 2026-05-04 -71697.950000 N N N GNMA PASS THRU POOLS N/A 36225CER3 3129.070000 PA USD 3149.640000 0.0001287 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 5.125 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JX7 673415.280000 PA USD 328372.510000 0.0134187 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -28631.560000 -0.00117 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 807669.090000 USD 14049000.000000 MXN 2026-06-17 -28631.560000 N N N N/A N/A 000000000 1.000000 NC 2055.010000 0.000084 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 194341.000000 USD 1030804.100000 BRL 2026-06-02 2055.010000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 36267KAD9 1299610.610000 PA USD 1306217.180000 0.0533777 Long ABS-O CORP US N 2 2028-06-16 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC 1877.610000 0.0000767 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18216894.320000 THB 555000.000000 USD 2026-04-20 1877.610000 N N N N/A N/A 000000000 1.000000 NC 2856.660000 0.0001167 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 203841.610000 USD 3709000.000000 MXN 2026-04-20 2856.660000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 4298.200000 PA USD 41860.170000 0.0017106 Long STIV RF US N 1 N N N BAIN CAPITAL CREDIT CLO 2022-3 LTD N/A 05684NAL5 6800000.000000 PA USD 6801354.900000 0.277933 Long ABS-CBDO CORP JE N 2 2035-07-17 Floating 4.82969 N N N N N N GSAMP TRUST 2005-HE5 N/A 362341ZE2 235971.930000 PA USD 233126.560000 0.0095266 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.69303 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAB4 8060150.650000 PA USD 8135413.110000 0.332448 Long ABS-O CORP US N 2 2056-10-16 Floating 5.02223 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJG84 724620.060000 PA USD 731101.640000 0.029876 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.6619 N N N N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 15700000.000000 PA USD 15802050.000000 0.645741 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 1698946.020000 PA USD 1662892.860000 0.0679531 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N N/A N/A 000000000 11205249.000000 NC USD 33402.850000 0.001365 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-13 N/A 1400.000000 USD 2026-07-09 XXXX -80245.050000 N N N FANNIE MAE 2009-99 N/A 31398F4R9 38767.640000 PA USD 39032.810000 0.0015951 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 4.59638 N N N N N N N/A N/A 000000000 1.000000 NC USD 548226.930000 0.0224029 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-16 610464.470000 USD 0.000000 USD 72100000.000000 USD -62237.540000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-5 N/A 69544LAA9 386940.140000 PA USD 387676.020000 0.0158421 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.278 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N1 N/A 14687QAC7 312836.740000 PA USD 312959.870000 0.0127889 Long ABS-O CORP US N 2 2028-03-10 Fixed 5.6 N N N N N N N/A N/A 000000000 1.000000 NC 2622.950000 0.0001072 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3460000.000000 SEK 368116.550000 USD 2026-04-02 2622.950000 N N N ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A N/A 039962AF2 1800714.800000 PA USD 1806281.170000 0.0738125 Long ABS-O CORP US N 2 2029-05-15 Fixed 4.92 N N N N N N SIRIUS XM RADIO LLC WP5O65E6BMU84LNO4227 82967NBA5 2250000.000000 PA USD 2248220.480000 0.0918721 Long DBT CORP US N 2 2027-08-01 Fixed 5 N N N N N N NTT FINANCE CORPORATION 3538007PR116187GD960 62954WAT2 4573000.000000 PA USD 4643102.030000 0.189737 Long DBT CORP JP N 2 2030-07-16 Floating 4.97874 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 U09513KF5 1200000.000000 PA USD 1202079.700000 0.0491222 Long DBT CORP US N 2 2027-08-13 Floating 4.58487 N N N N N N IMPAC CMB TR 2005-4 N/A 45254NPA9 2807870.510000 PA USD 2751859.670000 0.112453 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.33303 N N N N N N N/A N/A 000000000 1.000000 NC -46540.410000 -0.0019018 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 33076177.220000 ZAR 1902210.000000 USD 2026-05-13 -46540.410000 N N N N/A N/A 000000000 1.000000 NC -10660.860000 -0.0004356 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 893928.000000 USD 83005684.440000 INR 2026-04-24 -10660.860000 N N N CROSS 2024-H4 MORTGAGE TRUST N/A 22758HAA8 1070905.050000 PA USD 1079793.350000 0.0441251 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 6.147 N N N N N N RAMP TRUST 2006-RZ5 N/A 749239AF6 4488333.620000 PA USD 4045404.210000 0.165313 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC 2564.180000 0.0001048 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 213000.000000 CHF 268947.370000 USD 2026-04-02 2564.180000 N N N N/A N/A 000000000 1.000000 NC -57.310000 -0.0000023 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 18922.140000 USD 26204.890000 CAD 2026-05-04 -57.310000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325ET8 1400000.000000 PA USD 1388800.000000 0.0567524 Long DBT NUSS CO N 2 2029-01-21 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 4548.250000 0.0001859 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 552195.000000 ILS 180568.000000 USD 2026-06-17 4548.250000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 8900000.000000 PA USD 8951203.480000 0.365785 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC 132.670000 0.0000054 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 32226.130000 USD 222326.460000 CNY 2026-05-07 132.670000 N N N N/A N/A 000000000 1.000000 NC 6196.530000 0.0002532 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3385000.000000 SEK 363767.580000 USD 2026-04-02 6196.530000 N N N N/A N/A 000000000 1.000000 NC -110574.290000 -0.0045185 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6000000.000000 BRL 1047760.410000 USD 2026-04-02 -110574.290000 N N N N/A N/A 000000000 1.000000 NC -380.270000 -0.0000155 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 130000.000000 USD 194879118.000000 KRW 2026-04-23 -380.270000 N N N N/A N/A 000000000 1.000000 NC -81794.860000 -0.0033425 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 35100000.000000 ZAR 1980623.740000 USD 2026-06-17 -81794.860000 N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAD3 2696362.070000 PA USD 1038736.010000 0.0424473 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.11303 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 10277000.000000 PA USD 10248623.560000 0.418804 Long DBT CORP US N 2 2027-05-04 Floating 1.593 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280EU9 3900000.000000 PA USD 3920989.640000 0.160229 Long DBT CORP GB N 2 2031-03-03 Floating 4.94742 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDM0 23500000.000000 PA USD 23442340.400000 0.957956 Long DBT CORP US N 2 2026-04-21 None 0 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 217549.980000 PA USD 195865.580000 0.0080039 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.93303 N N N N N N N/A N/A 000000000 1.000000 NC 2319.390000 0.0000948 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1451782.420000 ILS 465095.000000 USD 2026-06-17 2319.390000 N N N N/A N/A 000000000 1.000000 NC -56456.110000 -0.002307 N/A DFE SE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 1435507.830000 USD 13055000.000000 SEK 2026-04-02 -56456.110000 N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR2 N/A 251508AA5 1845445.760000 PA USD 1768206.660000 0.0722567 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.03303 N N N N N N N/A N/A 000000000 8800000.000000 PA USD 8800000.000000 0.359607 Long RA US N 2 Repurchase N 3.720000 2026-04-01 8756300.000000 USD 8829155.130000 USD UST N N N N/A N/A 000000000 1.000000 NC -3477.760000 -0.0001421 N/A DCR DE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 DEUTSCHE BANK AKTIENGESELLSCHAFT DEUTSCHE BANK AG SR UNSEC FRN Y Single Leg Swap 2031-12-20 0.000000 EUR -9884.860000 EUR 500000.000000 EUR 6407.100000 N N N DRYDEN 86 CLO LTD 2020-86A N/A 26245XAY3 1000000.000000 PA USD 1001043.050000 0.040907 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 4.79763 N N N N N N NELNET STUDENT LOAN TRUST 2026-A N/A 64032UAA9 5466672.770000 PA USD 5400430.910000 0.220685 Long ABS-O CORP US N 2 2061-02-21 Fixed 4.61 N N N N N N ARES XLIV CLO LTD 2017-44A N/A 04016NBH5 11900000.000000 PA USD 11912650.060000 0.486803 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 4.80219 N N N N N N N/A N/A 000000000 1.000000 NC -153.260000 -0.0000063 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 29108.710000 USD 199435.010000 CNY 2026-04-02 -153.260000 N N N N/A N/A 000000000 1.000000 NC -2367.630000 -0.0000968 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 79948.180000 USD 288000.000000 PLN 2026-04-15 -2367.630000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 G84228GJ1 1000000.000000 PA USD 1005124.890000 0.0410738 Long DBT CORP GB N 2 2028-05-14 Floating 4.83487 N N N N N N N/A N/A 000000000 1.000000 NC -3038.630000 -0.0001242 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 301036.170000 USD 935000.000000 ILS 2026-06-10 -3038.630000 N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4R0 466.440000 PA USD 372.440000 0.0000152 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.098 N N N N N N N/A N/A 000000000 1.000000 NC 25661.040000 0.0010486 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 112577288.330000 INR 1214557.000000 USD 2026-04-07 25661.040000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W3B8 303000.000000 PA USD 305844.640000 0.0124981 Long DBT CORP FR N 2 2029-05-09 Floating 5.09451 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CH6 111000.000000 PA USD 110856.770000 0.0045301 Long DBT CORP US N 2 2026-05-01 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC 20576.450000 0.0008408 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12049000.000000 MXN 688711.060000 USD 2026-06-17 20576.450000 N N N N/A N/A 000000000 1.000000 NC 106663.980000 0.0043588 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5815580964.000000 KRW 3973992.910000 USD 2026-04-15 106663.980000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 500000.000000 PA USD 481598.030000 0.0196802 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -1538496.710000 -0.0628697 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2026-04-22 0.000000 USD 0.000000 USD 119260111.520000 USD -1538496.710000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PFH4 4500000.000000 PA USD 4480301.030000 0.183085 Long DBT CORP US N 2 2032-01-22 Floating 4.50845 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 5900000.000000 PA USD 5880810.840000 0.240316 Long DBT CORP US N 2 2026-08-18 Fixed 3.5 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 7176049.800000 PA USD 6972103.590000 0.284911 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.93698 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAH0 24300000.000000 PA USD 23924888.190000 0.977676 Long DBT CORP DE N 2 2028-01-07 Floating 2.552 N N N N N N N/A N/A 000000000 1.000000 NC 976.020000 0.0000399 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 3606274.000000 MXN 200949.170000 USD 2026-06-17 976.020000 N N N FANNIE MAE 2009-111 N/A 31398GRA9 20351.690000 PA USD 20438.290000 0.0008352 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 4.52638 N N N N N N N/A N/A 000000000 1.000000 NC 5229.920000 0.0002137 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9068526.200000 THB 280578.990000 USD 2026-04-20 5229.920000 N N N N/A N/A 000000000 1.000000 NC 2730.730000 0.0001116 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2910000.000000 SEK 310125.640000 USD 2026-04-02 2730.730000 N N N N/A N/A 000000000 1.000000 NC 8408.060000 0.0003436 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1113888.000000 USD 177583599.000000 JPY 2026-05-07 8408.060000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U4C4 7500000.000000 PA USD 7459381.280000 0.304823 Long DBT CORP US N 2 2030-01-23 Floating 4.40848 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 284118.940000 PA USD 256525.990000 0.0104828 Long ABS-MBS CORP US N 2 2047-06-25 Floating 3.99303 N N N N N N MF1 2024-FL14 LLC N/A 55416AAA7 900000.000000 PA USD 900435.530000 0.0367957 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 5.40951 N N N N N N FREDDIE MAC REMICS 5500 N/A 3137HJCB1 955364.000000 PA USD 959867.780000 0.0392244 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.5619 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB29 800000.000000 PA USD 809765.230000 0.0330905 Long DBT CORP US N 2 2030-07-23 Floating 5.049 N N N N N N FANNIE MAE REMICS 2025-99 N/A 3136BXY40 5418975.320000 PA USD 5436147.510000 0.222145 Long ABS-MBS USGSE US N 2 2055-11-25 Floating 4.6619 N N N N N N NELNET STUDENT LOAN TRUST 2026-A N/A 64032UAB7 1726317.720000 PA USD 1735449.600000 0.0709181 Long ABS-O CORP US N 2 2061-02-21 Floating 4.95819 N N N N N N PROVIDUS CLO V DAC 5A N/A ACI3128Y1 1000000.000000 PA 1155180.290000 0.0472057 Long ABS-CBDO CORP IE N 2 2039-11-15 Floating 3.214 N N N N N N N/A N/A 000000000 1.000000 NC 89833.860000 0.003671 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 15402000.000000 ILS 4998666.110000 USD 2026-06-10 89833.860000 N N N N/A N/A 000000000 1.000000 NC 10067.410000 0.0004114 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1321127.580000 ILS 431195.000000 USD 2026-06-17 10067.410000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2016-C N/A 78449KAD2 2893832.650000 PA USD 2875723.910000 0.117515 Long ABS-O CORP US N 2 2040-11-15 Fixed 3.25 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 25085.260000 PA USD 21882.220000 0.0008942 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2N4 14500000.000000 PA USD 14412689.560000 0.588966 Long DBT CORP US N 2 2027-09-23 Fixed 4.4 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A N/A 39571VAE8 4600000.000000 PA USD 4595612.980000 0.187797 Long ABS-O CORP US N 2 2060-06-25 Fixed 5.07 N N N N N N GNMA PASS THRU POOLS N/A 21H060655 39400000.000000 PA USD 40020609.490000 1.63542 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 6 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 1800000.020000 PA USD 1801642.880000 0.073623 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N N/A N/A 000000000 1.000000 NC 95.880000 0.0000039 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 65055.560000 THB 2071.170000 USD 2026-04-20 95.880000 N N N N/A N/A 000000000 1.000000 NC USD 537146.470000 0.0219502 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-01-15 0.000000 USD -27252.570000 USD 7700000.000000 USD 564399.040000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 1803383.480000 PA USD 1814125.870000 0.0741331 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AN8 3668000.000000 PA USD 3652742.370000 0.149267 Long DBT CORP US N 2 2027-03-27 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LB7 3339.460000 PA USD 3353.950000 0.0001371 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAL1 11200000.000000 PA USD 11233165.780000 0.459036 Long DBT CORP GB N 2 2029-07-14 Floating 4.73926 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAD5 1262093.730000 PA USD 1264690.870000 0.0516808 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.56 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CV2 3900000.000000 PA USD 3890032.190000 0.158964 Long DBT CORP US N 2 2027-09-11 Fixed 4.45 N N N N N N N/A N/A 000000000 1.000000 NC 6157.280000 0.0002516 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 35966380.990000 THB 1103446.000000 USD 2026-06-17 6157.280000 N N N SAMMONS FINANCIAL GROUP GLOBAL FUNDING 635400IPRNPM6HDHRS48 79587J2D4 2200000.000000 PA USD 2209888.320000 0.0903057 Long DBT CORP US N 2 2027-09-02 Floating 4.50671 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LR0 17617.230000 PA USD 16367.620000 0.0006689 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 19169.790000 PA USD 19188.810000 0.0007841 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 4.87963 N N N N N N N/A N/A 000000000 1.000000 NC 5171.430000 0.0002113 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 186415.600000 USD 3435826.000000 MXN 2026-04-13 5171.430000 N N N GOLUB CAPITAL PARTNERS CLO 50B LTD N/A 38178DAN7 1400000.000000 PA USD 1400436.730000 0.057228 Long ABS-CBDO CORP JE N 2 2035-04-20 Floating 4.77763 N N N N N N N/A N/A 000000000 1.000000 NC -131.240000 -0.0000054 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 222866.250000 CNY 32226.130000 USD 2026-04-02 -131.240000 N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 2674412.890000 PA USD 1465614.900000 0.0598914 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.33006 N N N N N N N/A N/A 000000000 1.000000 NC 2002.650000 0.0000818 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8998148.710000 THB 275214.830000 USD 2026-04-20 2002.650000 N N N N/A N/A 000000000 1.000000 NC 20016.030000 0.0008179 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6389391.040000 ZAR 391303.000000 USD 2026-10-28 20016.030000 N N N SYMPHONY CLO XXXII LTD N/A 87168NAU8 9700000.000000 PA USD 9700829.160000 0.396418 Long ABS-CBDO CORP BM N 2 2035-10-23 Floating 4.82102 N N N N N N FREDDIE MAC REMICS 5510 N/A 3137HJMM6 604478.100000 PA USD 608785.250000 0.0248776 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.6419 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAM9 4625000.000000 PA USD 4646279.670000 0.189867 Long DBT CORP FR N 2 2028-09-11 Floating 4.85452 N N N N N N AMETEK INC 549300WZDEF9KKE40E98 03111CD91 4900000.000000 PA USD 4895110.290000 0.200036 Long DBT CORP US N 2 2026-04-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 9918.960000 0.0004053 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1409106.370000 ILS 459091.000000 USD 2026-06-17 9918.960000 N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDQ7 8700000.000000 PA USD 8676771.870000 0.354571 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1898.760000 -0.0000776 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 609217.660000 USD 4183000.000000 CNY 2026-04-02 -1898.760000 N N N FANNIE MAE 2004-11 N/A 31393T7H3 10866.810000 PA USD 10851.910000 0.0004435 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 3.90169 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DE13 900000.000000 PA USD 896641.110000 0.0366407 Long DBT CORP US N 2 2026-05-01 None 0 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BDT6 5500000.000000 PA USD 5483346.000000 0.224074 Long DBT CORP US N 2 2026-04-27 None 0 N N N N N N GNMA PASS THRU POOLS N/A 21H052652 40000000.000000 PA USD 40179749.600000 1.64192 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 5768.850000 PA USD 5716.890000 0.0002336 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.369 N N N N N N SAMMONS FINANCIAL GROUP INC 254900SHCOQLVJ21CT59 79588TAD2 1600000.000000 PA USD 1469911.120000 0.060067 Long DBT CORP US N 2 2031-04-16 Fixed 3.35 N N N N N N KKR CLO 42A LTD N/A 48255EAJ9 350000.000000 PA USD 350427.080000 0.01432 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 4.81763 N N N N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDN3 16441.450000 PA USD 16301.430000 0.0006661 Long ABS-MBS CORP US N 2 2028-06-25 Floating 4.34303 N N N N N N N/A N/A 000000000 1.000000 NC USD 833249.160000 0.0340502 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 S&P 500 INDEX N/A N/A Y 2026-04-06 0.000000 USD 0.000000 USD 320643915.920000 USD 833249.160000 N N N FANNIE MAE 2009-47 N/A 31396QFA2 19212.360000 PA USD 19388.360000 0.0007923 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 4.67638 N N N N N N N/A N/A 000000000 1.000000 NC -3048.920000 -0.0001246 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2339231.450000 PLN 627086.000000 USD 2026-04-15 -3048.920000 N N N NAVIENT STUDENT LOAN TRUST 2019-BA N/A 63941LAC7 1321779.400000 PA USD 1321562.500000 0.0540048 Long ABS-O CORP US N 2 2059-12-15 Floating 4.76699 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 284804.000000 PA USD 285495.670000 0.0116666 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 4.50671 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 49600000.000000 PA USD 49027933.440000 2.0035 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAE1 7000000.000000 PA USD 6327044.500000 0.258551 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.32748 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 2872085.620000 PA USD 2701866.300000 0.11041 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N FANNIE MAE REMICS 2025-66 N/A 3136BWYL4 4399644.920000 PA USD 4438785.040000 0.181388 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8419 N N N N N N FNMA PASS THRU POOLS N/A 31418CSG0 4033556.360000 PA USD 3897287.660000 0.15926 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 16426.440000 0.0006713 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-09-11 285060.870000 USD 0.000000 USD 177200000.000000 USD -268634.430000 N N N N/A N/A 000000000 1.000000 NC -103256.590000 -0.0042195 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3948575.000000 USD 14275046.280000 PLN 2026-04-22 -103256.590000 N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 5136328.900000 PA USD 5136649.920000 0.209906 Long ABS-MBS CORP US N 2 2035-04-15 Floating 4.745 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJVX2 2082323.930000 PA USD 2095553.770000 0.0856335 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.6119 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 1495196.640000 PA USD 1406943.700000 0.0574939 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 841.340000 0.0000344 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 35419814.160000 THB 1081455.000000 USD 2026-06-17 841.340000 N N N N/A N/A 000000000 1.000000 NC -2890796.770000 -0.118131 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 123500000.000000 BRL 20951592.490000 USD 2026-04-02 -2890796.770000 N N N N/A N/A 000000000 1.000000 NC 475542.080000 0.0194327 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 21943794.000000 AUD 15615666.820000 USD 2026-04-02 475542.080000 N N N NELNET STUDENT LOAN TRUST 2025-CA N/A 64035UAA6 11389275.510000 PA USD 11275695.960000 0.460774 Long ABS-O CORP US N 2 2065-06-22 Fixed 4.67 N N N N N N N/A N/A 000000000 1.000000 NC -6381.110000 -0.0002608 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1732752.000000 USD 29308943867.000000 IDR 2026-04-27 -6381.110000 N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307A3A1 2300000.000000 PA USD 2306940.760000 0.0942717 Long DBT CORP CA N 2 2027-07-02 Floating 5.6 N N N N N N MARBLE POINT CLO XXIV LTD N/A 56607WAU2 1700000.000000 PA USD 1700452.950000 0.0694879 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 4.76057 N N N N N N FREDDIE MAC 4559 N/A 3137BNCR3 64698.360000 PA USD 63954.550000 0.0026135 Long ABS-MBS USGSE US N 2 2042-03-15 Floating 4.29573 N N N N N N N/A N/A 000000000 1.000000 NC -327.920000 -0.0000134 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 70126.270000 USD 219000.000000 ILS 2026-06-10 -327.920000 N N N N/A N/A 000000000 1.000000 NC -17702.020000 -0.0007234 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 473788.820000 USD 8224974.000000 MXN 2026-06-17 -17702.020000 N N N N/A N/A 000000000 1.000000 NC 83149.580000 0.0033979 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 29127.330000 EUR 0.000000 EUR 3300000.000000 EUR 54022.250000 N N N N/A N/A 000000000 1.000000 NC -93747.620000 -0.0038309 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 23900000.000000 BRL 4427073.690000 USD 2026-07-02 -93747.620000 N N N N/A N/A 000000000 1.000000 NC 67267.860000 0.0027489 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2847874.470000 USD 15100000.000000 BRL 2026-04-02 67267.860000 N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 492.230000 PA USD 488.980000 0.00002 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.14303 N N N N N N BANK HAPOALIM LTD B6ARUI4946ST4S7WOU88 ACI37Y6K7 2900000.000000 PA USD 2866641.680000 0.117144 Long DBT CORP IL N 2 2029-07-14 Fixed 4.722 N N N N N N N/A N/A 000000000 1.000000 NC 253193.700000 0.0103466 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 9261000.000000 EUR 10957522.590000 USD 2026-04-02 253193.700000 N N N N/A N/A 000000000 1.000000 NC -3883.850000 -0.0001587 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 473972.400000 USD 7995203429.000000 IDR 2026-06-10 -3883.850000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397F99 1400000.000000 PA USD 1401929.730000 0.057289 Long DBT CORP US N 2 2026-11-05 Floating 5.11542 N N N N N N N/A N/A 000000000 1.000000 NC -85070.880000 -0.0034764 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5500000.000000 BRL 976735.930000 USD 2026-04-02 -85070.880000 N N N FANNIE MAE 2007-14 N/A 31396PZU8 5027.320000 PA USD 4972.550000 0.0002032 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.12638 N N N N N N OPORTUN ISSUANCE TRUST 2025-1 N/A 68377PAA4 438146.730000 PA USD 438332.420000 0.0179122 Long ABS-O CORP US N 2 2032-08-16 Fixed 4.96 N N N N N N N/A N/A 000000000 1.000000 NC 23615.530000 0.000965 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2099998.090000 USD 11000000.000000 BRL 2026-04-02 23615.530000 N N N N/A N/A 000000000 1.000000 NC -89668.580000 -0.0036643 N/A DFE NZ N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2317994.220000 USD 3877710.000000 NZD 2026-04-02 -89668.580000 N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAC6 12000000.000000 PA USD 11824440.000000 0.483198 Long DBT CORP FR N 2 2027-10-23 Fixed 3.5 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBZ4 1200000.000000 PA USD 1207662.360000 0.0493504 Long DBT CORP FR N 2 2027-02-19 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 72056.690000 0.0029446 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 21317134.260000 CAD 15418205.810000 USD 2026-05-04 72056.690000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-6 N/A 69548KAA7 507310.780000 PA USD 508105.430000 0.0207634 Long ABS-O CORP US N 2 2031-11-15 Fixed 6.093 N N N N N N N/A N/A 000000000 1.000000 NC 13111.400000 0.0005358 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 104610648.920000 INR 1117874.000000 USD 2026-04-07 13111.400000 N N N FANNIE MAE REMICS 2025-83 N/A 3136BXVW1 26319075.230000 PA USD 26478410.910000 1.08202 Long ABS-MBS USGSE US N 2 2055-10-25 Floating 4.7619 N N N N N N N/A N/A 000000000 881.000000 NC -513775.750000 -0.0209951 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A EUIB 2026-12-14 247396967.510000 EUR -513775.750000 N N N FANNIE MAE REMICS 2025-78 N/A 3136BW7K6 7841328.890000 PA USD 7907464.230000 0.323134 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.8119 N N N N N N N/A N/A 000000000 761.000000 NC -1221594.180000 -0.0499197 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A 90SONIA 2027-03-16 240835853.690000 GBP -1221594.180000 N N N N/A N/A 000000000 1.000000 NC -1760.440000 -0.0000719 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1803181.650000 SEK 188716.830000 USD 2026-04-02 -1760.440000 N N N N/A N/A 000000000 1146.000000 NC USD 23219.060000 0.0009488 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2028-03-14 276751837.500000 USD 23219.060000 N N N N/A N/A 000000000 1.000000 NC -2947.830000 -0.0001205 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 210000.000000 USD 311351393.000000 KRW 2026-04-16 -2947.830000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-98 N/A 38381NPX0 23561320.710000 PA USD 23818424.200000 0.973325 Long ABS-MBS USGSE US N 2 2055-06-20 Floating 4.87294 N N N N N N N/A N/A 000000000 1.000000 NC -69789.680000 -0.0028519 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1619072.000000 USD 146702494.850000 INR 2026-04-07 -69789.680000 N N N NELNET STUDENT LOAN TRUST 2025-BA N/A 64032BAA1 1938394.910000 PA USD 1931298.250000 0.0789213 Long ABS-O CORP US N 2 2055-05-17 Fixed 4.84 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAA3 7900000.000000 PA USD 7017925.500000 0.286783 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.18748 N N N N N N ACHV ABS TRUST 2024-2PL N/A 00092HAA9 334292.350000 PA USD 335548.490000 0.013712 Long ABS-O CORP US N 2 2031-10-27 Fixed 5.07 N N N N N N ROCKFORD TOWER EUROPE CLO 2021-2 DAC N/A ACI2PTDF3 5700000.000000 PA 6568910.630000 0.268434 Long ABS-CBDO CORP IE N 2 2035-01-24 Floating 2.99 N N N N N N N/A N/A 000000000 1.000000 NC -1533036.820000 -0.0626466 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/18/26) LCH N/A N/A 2031-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2031-03-18 0.000000 GBP -489847.900000 GBP 35960000.000000 GBP -1043188.920000 N N N FREDDIE MAC 3609 N/A 31398LN38 35988.320000 PA USD 36137.860000 0.0014768 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 4.53671 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156 N/A 38383BBP6 9841034.490000 PA USD 9869260.550000 0.403301 Long ABS-MBS USGSE US N 2 2055-09-20 Floating 4.52294 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAB0 90192.350000 PA USD 90301.270000 0.0036901 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.25 N N N N N N STELLANTIS FINANCIAL SERVICES US CORP 5493000KNKFDOC1BOW59 85855FAC7 6100000.000000 PA USD 6114173.720000 0.249852 Long DBT CORP US N 2 2028-09-15 Floating 5.33283 N N N N N N N/A N/A 000000000 1.000000 NC -4109.870000 -0.0001679 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 340836.790000 USD 5727006621.000000 IDR 2026-06-10 -4109.870000 N N N POST ROAD EQUIPMENT FINANCE 2025-1 LLC N/A 73747LAB4 3271225.300000 PA USD 3293714.970000 0.134596 Long ABS-O CORP US N 2 2031-05-15 Fixed 4.9 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AA9 49310.370000 PA USD 48865.000000 0.0019968 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.07303 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAB1 25112.800000 PA USD 10563.730000 0.0004317 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.95303 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2594077.250000 PA USD 2548278.040000 0.104134 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.85803 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 244997.730000 PA USD 245148.580000 0.0100178 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.45671 N N N N N N N/A N/A 000000000 1.000000 NC 23572.170000 0.0009633 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4090559.400000 ILS 1324784.000000 USD 2026-04-06 23572.170000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 361816.840000 PA USD 332555.370000 0.0135897 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.33303 N N N N N N N/A N/A 000000000 1.000000 NC -55971.480000 -0.0022872 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1636975.000000 USD 26788522.930000 ZAR 2026-04-20 -55971.480000 N N N N/A N/A 000000000 1.000000 NC -8817.590000 -0.0003603 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 307316.000000 USD 5426616.660000 MXN 2026-09-17 -8817.590000 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDP8 2300000.000000 PA USD 2293933.060000 0.0937401 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC2 N/A 61746RHS3 422584.180000 PA USD 432080.360000 0.0176567 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.70803 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 27100.830000 PA USD 26886.650000 0.0010987 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 4.22138 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 873923AC0 2600000.000000 PA USD 2583762.040000 0.105584 Long DBT CORP US N 2 2029-03-24 Fixed 4.5 N N N N N N BANCO ITAU CHILE/NEW YORK 549300DDPTTIZ06NIV06 22000DGF6 8900000.000000 PA USD 8898288.530000 0.363623 Long DBT CORP CL N 2 2026-08-12 Fixed 4.15 N N N N N N N/A N/A 000000000 1.000000 NC 20204.900000 0.0008257 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3610469.000000 USD 574490245.000000 JPY 2026-05-07 20204.900000 N N N N/A N/A 000000000 1.000000 NC -6915.980000 -0.0002826 N/A DFE NZ N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 190687.870000 USD 319798.000000 NZD 2026-04-02 -6915.980000 N N N ISRAEL ELECTRIC CORPORATION LIMITED 254900JW7GE35YNJGJ55 46507WAB6 12491000.000000 PA USD 13049831.730000 0.533273 Long DBT CORP IL N 2 2027-12-15 Fixed 7.75 N N N N N N CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-C N/A 12634SAB3 12000000.000000 PA USD 12034389.600000 0.491778 Long ABS-O CORP US N 2 2029-12-17 Fixed 4.71 N N N N N N N/A N/A 000000000 1.000000 NC -1532.430000 -0.0000626 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 246942.170000 USD 770000.000000 ILS 2026-06-10 -1532.430000 N N N TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A N/A ACI2NQX93 3870982.440000 PA 5126843.070000 0.209505 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 4.66686 N N N N N N N/A N/A 000000000 1.000000 NC 7280.780000 0.0002975 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2704492.000000 NZD 1563047.630000 USD 2026-05-04 7280.780000 N N N N/A N/A 000000000 1.000000 NC -53340.890000 -0.0021797 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3900000.000000 BRL 699576.670000 USD 2026-04-02 -53340.890000 N N N REACH ABS TRUST 2025-1A N/A 75525PAA0 163797.280000 PA USD 164084.940000 0.0067052 Long ABS-O CORP US N 2 2032-08-16 Fixed 4.96 N N N N N N BEAR STEARNS ALT-A TR 2004-12 N/A 07386HNV9 2247699.220000 PA USD 2239151.000000 0.0915015 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.36803 N N N N N N FREDDIE MAC REMICS 5500 N/A 3137HJAP2 1074299.850000 PA USD 1084419.110000 0.0443141 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.8619 N N N N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 574557.370000 PA USD 563888.760000 0.023043 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N N/A N/A 000000000 1.000000 NC 158.540000 0.0000065 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 33887.000000 USD 233915.520000 CNY 2026-05-07 158.540000 N N N N/A N/A 000000000 1.000000 NC -5949.800000 -0.0002431 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1339623.510000 USD 1933000.000000 AUD 2026-04-02 -5949.800000 N N N N/A N/A 000000000 1.000000 NC 18792.420000 0.0007679 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82867125.600000 INR 893928.000000 USD 2026-04-07 18792.420000 N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer