NPORT-P false 0000810893 XXXXXXXX S000077182 C000237352 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (866) 746-2606 PIMCO All Authority: Multi-RAE PLUS Fund S000077182 549300DLC8MKXQ8KIH64 2026-03-31 2026-03-31 N 499151312.910000 358319946.340000 140831366.570000 0.000000 0.000000 23482066.320000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6611957.350000 JPY PEN CAD EGP USD CLP BRL PLN COP ZAR AUD GBP EUR CZK TRY N 33.33% S&P 500 Index, 33.33% MSCI Emerging Markets Index, 33.33% MSCI EAFE Net Total Return Index M2EF, NDDUEAFE, SPTR N/A N/A 000000000 1.000000 NC -40.530000 -0.0000288 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 352439.720000 BRL 68000.000000 USD 2026-04-02 -40.530000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBB6 100000.000000 PA USD 94625.000000 0.0671903 Long DBT UST US N 2 2027-12-31 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC 30818.430000 0.0218832 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2688456.190000 PEN 793733.930000 USD 2026-12-07 30818.430000 N N N N/A N/A 000000000 1.000000 NC 1049.810000 0.0007454 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 256000.000000 ILS 82640.580000 USD 2026-06-10 1049.810000 N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 320000.000000 PA USD 344005.660000 0.244268 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N N/A N/A 000000000 1.000000 NC -374.110000 -0.0002656 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10879.810000 USD 39000.000000 PLN 2026-04-15 -374.110000 N N N N/A N/A 000000000 1.000000 NC 1218.580000 0.0008653 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 197341.350000 MYR 50000.000000 USD 2026-04-27 1218.580000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 2034.630000 PA USD 2014.060000 0.0014301 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.12638 N N N N N N N/A N/A 000000000 1.000000 NC 886.060000 0.0006292 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 181842.900000 USD 29000000.000000 JPY 2026-04-02 886.060000 N N N N/A N/A 000000000 1.000000 NC 1496.890000 0.0010629 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 222029.140000 ILS 72271.730000 USD 2026-06-17 1496.890000 N N N N/A N/A 000000000 1.000000 NC USD -517447.140000 -0.367423 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 0.000000 USD -447629.740000 USD 29410000.000000 USD -69817.400000 N N N N/A N/A 000000000 1.000000 NC -263.160000 -0.0001869 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25741848.000000 COP 6744.000000 USD 2026-04-06 -263.160000 N N N N/A N/A 000000000 1.000000 NC -344.100000 -0.0002443 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1298283.980000 TRY 27857.780000 USD 2026-04-30 -344.100000 N N N N/A N/A 000000000 -1600000.000000 NC USD -2668.320000 -0.0018947 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 96.100000 USD 2026-06-04 XXXX 5144.180000 N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 147.770000 PA USD 143.510000 0.0001019 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.05874 N N N N N N N/A N/A 000000000 1.000000 NC 458.480000 0.0003256 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-02 0.000000 PLN 0.000000 PLN 100000.000000 PLN 458.480000 N N N N/A N/A 000000000 1.000000 NC 130.890000 0.0000929 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 62011.000000 USD 20683974.000000 HUF 2026-04-15 130.890000 N N N N/A N/A 000000000 1.000000 NC -149.600000 -0.0001062 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13299.350000 USD 127327.720000 NOK 2026-04-07 -149.600000 N N N N/A N/A 000000000 1.000000 NC -28788.660000 -0.0204419 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 15938617.170000 EUR 18421933.420000 USD 2026-05-04 -28788.660000 N N N N/A N/A 000000000 1.000000 NC 233.600000 0.0001659 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 120682.970000 PEN 34442.470000 USD 2026-12-28 233.600000 N N N N/A N/A 000000000 1.000000 NC 2980.410000 0.0021163 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 862222.810000 ILS 277358.000000 USD 2026-04-13 2980.410000 N N N N/A N/A 000000000 1.000000 NC -69.640000 -0.0000494 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 680057498.000000 IDR 39915.240000 USD 2026-06-10 -69.640000 N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAA9 72161.960000 PA USD 70913.430000 0.0503534 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC 433.380000 0.0003077 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1004385552.000000 IDR 59534.000000 USD 2026-04-02 433.380000 N N N N/A N/A 000000000 1.000000 NC 3880.670000 0.0027555 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 593160.070000 PEN 173875.850000 USD 2026-05-26 3880.670000 N N N N/A N/A 000000000 5300000.000000 NC USD 7621.400000 0.0054117 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX 270.700000 N N N N/A N/A 000000000 1.000000 NC -2968.590000 -0.0021079 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 79453.170000 USD 1379307.000000 MXN 2026-06-17 -2968.590000 N N N N/A N/A 000000000 1.000000 NC -14784.230000 -0.0104978 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 377531.000000 USD 34348714.210000 INR 2026-04-07 -14784.230000 N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 13920.500000 PA USD 11903.640000 0.0084524 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.45219 N N N N N N N/A N/A 000000000 1.000000 NC USD 1320.460000 0.0009376 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 4428.480000 USD 0.000000 USD 700000.000000 USD -3108.020000 N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 2402303.440000 PA USD 661871.350000 0.469974 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.89303 N N N N N N N/A N/A 000000000 1.000000 NC 2693.280000 0.0019124 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3235778.930000 THB 100911.000000 USD 2026-04-16 2693.280000 N N N N/A N/A 000000000 1.000000 NC USD 725.830000 0.0005154 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -268.250000 USD 100000.000000 USD 994.080000 N N N N/A N/A 000000000 1.000000 NC -280.200000 -0.000199 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 56689.000000 USD 196297.000000 PEN 2026-04-06 -280.200000 N N N N/A N/A 000000000 1.000000 NC -220.690000 -0.0001567 N/A DFE NO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 20864.090000 USD 200000.000000 NOK 2026-06-17 -220.690000 N N N CEDAR FUNDING VI CLO LTD 2016-6A N/A 15032DAZ4 500000.000000 PA USD 500364.890000 0.355294 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 4.75763 N N N N N N N/A N/A 000000000 1.000000 NC -378.510000 -0.0002688 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 69724.570000 USD 218000.000000 ILS 2026-04-06 -378.510000 N N N N/A N/A 000000000 1.000000 NC USD 1892.810000 0.001344 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -400.000000 USD 200000.000000 USD 2292.810000 N N N N/A N/A 000000000 1.000000 NC -133758.640000 -0.0949779 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-06-18 0.000000 JPY -139385.300000 JPY 110000000.000000 JPY 5626.660000 N N N N/A N/A 000000000 1.000000 NC 250.160000 0.0001776 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 330000.000000 SEK 35109.380000 USD 2026-04-02 250.160000 N N N N/A N/A 000000000 1.000000 NC -71.030000 -0.0000504 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15000.000000 USD 477939.000000 TWD 2026-04-16 -71.030000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 59000.000000 PA USD 58820.230000 0.0417664 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 11700.910000 0.0083085 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 89723093.000000 JPY 577046.000000 USD 2026-04-02 11700.910000 N N N N/A N/A 000000000 1.000000 NC 58.920000 0.0000418 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2480472.720000 THB 75735.000000 USD 2026-06-17 58.920000 N N N N/A N/A 000000000 1.000000 NC 634.050000 0.0004502 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 36000.000000 CAD 26514.010000 USD 2026-04-02 634.050000 N N N N/A N/A 000000000 1.000000 NC 231.260000 0.0001642 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 4820673.110000 TRY 104405.720000 USD 2026-05-04 231.260000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 508650.930000 PA USD 403640.000000 0.286612 Long ABS-MBS CORP US N 2 2037-10-25 Floating 4.69303 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 94105.860000 PA USD 49554.880000 0.0351874 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.09303 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 30390.530000 PA USD 26617.590000 0.0189003 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.78618 N N N N N N N/A N/A 000000000 1.000000 NC 100.450000 0.0000713 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 44091.300000 MYR 11000.000000 USD 2026-04-30 100.450000 N N N N/A N/A 000000000 148.000000 NC USD -92369.110000 -0.0655884 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 16010015.590000 USD -92369.110000 N N N N/A N/A 000000000 1.000000 NC -139.280000 -0.0000989 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 969194.420000 TRY 20783.000000 USD 2026-05-05 -139.280000 N N N N/A N/A 000000000 1.000000 NC -0.090000 -0.0000001 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15037.000000 COP 3.940000 USD 2026-06-17 -0.090000 N N N N/A N/A 000000000 1.000000 NC 50.150000 0.0000356 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 960330.000000 TWD 30000.000000 USD 2026-04-30 50.150000 N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 350.590000 PA USD 338.220000 0.0002402 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.85978 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4 N/A 268432AA9 3582496.950000 PA USD 3581220.860000 2.54291 Long ABS-MBS CORP US N 2 2067-09-25 Fixed 5.9 N N N N N N N/A N/A 000000000 2500000.000000 NC USD 15649.000000 0.0111119 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2026-08-03 XXXX -21147.880000 N N N N/A N/A 000000000 -2500000.000000 NC USD -56.500000 -0.0000401 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 96.860000 USD 2026-04-06 XXXX 6974.750000 N N N GNMA PASS THRU POOLS N/A 3618N6C70 299970.000000 PA USD 275346.260000 0.195515 Long ABS-MBS USGSE US N 2 2056-03-20 Fixed 3.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AA6 692031.460000 PA USD 439063.720000 0.311766 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.92803 N N N N N N CONTEGO CLO BV 8A N/A ACI299F71 2230000.000000 PA 2577836.730000 1.83044 Long ABS-CBDO CORP IE N 2 2034-01-25 Floating 3.06 N N N N N N N/A N/A 000000000 1.000000 NC -3015.340000 -0.0021411 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -431.440000 EUR 100000.000000 EUR -2583.900000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI0WBN59 700000.000000 PA 210364.090000 0.149373 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N UMBS PASS THRU POOLS N/A 01F030645 410000.000000 PA USD 360181.700000 0.255754 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -19687.660000 -0.0139796 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 421867.370000 USD 1493000.000000 PLN 2026-04-15 -19687.660000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 865044.070000 PA USD 645716.730000 0.458504 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC USD 1961.130000 0.0013925 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -635.000000 USD 200000.000000 USD 2596.130000 N N N N/A N/A 000000000 1.000000 NC 955.600000 0.0006785 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 34446.640000 USD 634886.000000 MXN 2026-04-13 955.600000 N N N N/A N/A 000000000 1.000000 NC -225.030000 -0.0001598 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 70000.000000 USD 2236553.000000 TWD 2026-04-27 -225.030000 N N N N/A N/A 000000000 1.000000 NC 580.220000 0.000412 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 105000.000000 SGD 82247.790000 USD 2026-04-02 580.220000 N N N N/A N/A 000000000 -3500000.000000 NC USD -1414.000000 -0.001004 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 495.600000 N N N N/A N/A 000000000 1.000000 NC 882.050000 0.0006263 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 156795.630000 ILS 50855.000000 USD 2026-06-10 882.050000 N N N N/A N/A 000000000 1.000000 NC -8134.520000 -0.0057761 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 614410.150000 USD 561189947.000000 CLP 2026-06-17 -8134.520000 N N N N/A N/A 000000000 1.000000 NC -13.280000 -0.0000094 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 349.450000 USD 11071.720000 THB 2026-04-20 -13.280000 N N N UMBS PASS THRU POOLS N/A 01F062663 2680000.000000 PA USD 2770271.670000 1.96708 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -56338.830000 -0.0400045 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 904980.710000 USD 785659003.000000 CLP 2026-09-16 -56338.830000 N N N UMBS PASS THRU POOLS N/A 01F062655 38220000.000000 PA USD 39510367.970000 28.0551 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -14761.130000 -0.0104814 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 8676.020000 USD 0.000000 USD 3000000.000000 USD -23437.150000 N N N N/A N/A 000000000 1.000000 NC -761.540000 -0.0005407 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 60000.000000 USD 1006728000.000000 IDR 2026-04-02 -761.540000 N N N UMBS PASS THRU POOLS N/A 01F032666 -10980000.000000 PA USD -10044163.840000 -7.13205 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 641790.140000 0.455715 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 141707.290000 USD 0.000000 USD 2650000.000000 USD 500082.850000 N N N N/A N/A 000000000 -2500000.000000 NC USD -9290.750000 -0.0065971 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.76250 04/16/26-7Y LCH 2033-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-04-14 XXXX 709.250000 N N N N/A N/A 000000000 1.000000 NC 56.260000 0.0000399 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4245.040000 USD 191151.950000 TRY 2026-04-02 56.260000 N N N FHLMC PASS THRU POOLS N/A 31427CWQ2 197075.070000 PA USD 201933.730000 0.143387 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -17.080000 -0.0000121 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 235571.000000 MXN 13045.680000 USD 2026-06-17 -17.080000 N N N N/A N/A 000000000 1.000000 NC 17697.080000 0.0125661 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 658607996.000000 CLP 728798.590000 USD 2026-04-06 17697.080000 N N N N/A N/A 000000000 1.000000 NC -2671.390000 -0.0018969 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 264654.260000 USD 822000.000000 ILS 2026-06-10 -2671.390000 N N N N/A N/A 000000000 1.000000 NC 1968.250000 0.0013976 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 82000.000000 CHF 104519.530000 USD 2026-04-02 1968.250000 N N N N/A N/A 000000000 1.000000 NC 61.630000 0.0000438 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 423762.830000 HKD 54159.590000 USD 2026-04-20 61.630000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAB5 391107.650000 PA USD 390895.200000 0.277563 Long ABS-O CORP US N 2 2053-07-15 Floating 4.77223 N N N N N N N/A N/A 000000000 1.000000 NC 6333.930000 0.0044975 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3242162.750000 THB 105010.000000 USD 2026-05-20 6333.930000 N N N N/A N/A 000000000 1.000000 NC -27064.250000 -0.0192175 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL -86.810000 BRL 5800000.000000 BRL -26977.440000 N N N N/A N/A 000000000 1.000000 NC -112.160000 -0.0000796 N/A DFE IN N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 6682818.200000 INR 71000.000000 USD 2026-04-24 -112.160000 N N N N/A N/A 000000000 1.000000 NC USD 1442.420000 0.0010242 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -410.000000 USD 200000.000000 USD 1852.420000 N N N N/A N/A 000000000 1.000000 NC -1096.690000 -0.0007787 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30000.000000 USD 952739.700000 THB 2026-04-09 -1096.690000 N N N N/A N/A 000000000 600000.000000 NC USD 33033.240000 0.0234559 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -18896.760000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 155129.970000 PA USD 156135.240000 0.110867 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N N/A N/A 000000000 1.000000 NC 178.090000 0.0001265 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 38261.000000 USD 264755.020000 CNY 2026-04-02 178.090000 N N N N/A N/A 000000000 1900000.000000 NC USD 107595.100000 0.0764 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -45734.900000 N N N N/A N/A 000000000 1.000000 NC -4191.660000 -0.0029764 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 145000.000000 USD 13333228.500000 INR 2026-04-07 -4191.660000 N N N N/A N/A 000000000 1.000000 NC USD 16341.100000 0.0116033 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 S&P 500 INDEX N/A N/A Y 2026-04-01 0.000000 USD 0.000000 USD 306476.060000 USD 16341.100000 N N N N/A N/A 000000000 1.000000 NC -880.400000 -0.0006251 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 38518224.720000 INR 405899.350000 USD 2026-04-07 -880.400000 N N N FANNIE MAE 2005-79 N/A 31394FHD0 17295.120000 PA USD 17195.820000 0.0122102 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.18638 N N N N N N N/A N/A 000000000 1.000000 NC 5498.540000 0.0039043 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 522592.590000 USD 5114012.700000 NOK 2026-05-04 5498.540000 N N N N/A N/A 000000000 1.000000 NC -3837.350000 -0.0027248 N/A DFE CA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 215909.260000 USD 295000.000000 CAD 2026-04-02 -3837.350000 N N N GNMA PASS THRU POOLS N/A 3618N5PG8 2939740.070000 PA USD 2844186.880000 2.01957 Long ABS-MBS USGSE US N 2 2055-06-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 715.920000 0.0005084 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 380000.000000 NOK 39960.360000 USD 2026-04-07 715.920000 N N N N/A N/A 000000000 1.000000 NC -938.400000 -0.0006663 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 39516.810000 USD 3653012.950000 INR 2026-04-07 -938.400000 N N N N/A N/A 000000000 1.000000 NC -6238.050000 -0.0044294 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 545138000.000000 COP 142000.000000 USD 2026-04-10 -6238.050000 N N N BEIGNET INVESTOR LLC N/A 076912AA2 870000.000000 PA USD 895169.490000 0.635632 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N N/A N/A 000000000 1.000000 NC -623.450000 -0.0004427 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 108261029.000000 COP 28366.570000 USD 2026-06-17 -623.450000 N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3 N/A 161927AC2 581640.170000 PA USD 521707.040000 0.370448 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25 N N N N N N FHLMC PASS THRU POOLS N/A 31427PW67 950531.290000 PA USD 972301.970000 0.690402 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC1 N/A 46656NAA7 794480.560000 PA USD 773639.270000 0.549337 Long ABS-MBS CORP US N 2 2063-07-25 Variable 4.625 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 216.870000 PA USD 204.380000 0.0001451 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.70309 N N N N N N N/A N/A 000000000 1.000000 NC 124.230000 0.0000882 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 27658263.000000 CLP 30000.000000 USD 2026-04-30 124.230000 N N N N/A N/A 000000000 200000.000000 NC USD 261.860000 0.0001859 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2026-08-04 XXXX -1478.140000 N N N N/A N/A 000000000 22.000000 NC USD -97815.220000 -0.0694556 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2026-12-24 635140.000000 USD -97815.220000 N N N N/A N/A 000000000 1.000000 NC -25206.200000 -0.0178981 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 939110.530000 USD 1374303741.000000 KRW 2026-04-15 -25206.200000 N N N N/A N/A 000000000 1.000000 NC -4708.260000 -0.0033432 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-27 0.000000 EUR -259.080000 EUR 100000.000000 EUR -4449.180000 N N N N/A N/A 000000000 1.000000 NC 1978.280000 0.0014047 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 25955400.000000 CLP 30000.000000 USD 2026-04-02 1978.280000 N N N N/A N/A 000000000 1.000000 NC 4286.690000 0.0030438 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 639664.690000 PLN 176597.580000 USD 2026-04-15 4286.690000 N N N N/A N/A 000000000 1.000000 NC 1053.430000 0.000748 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 67256.880000 USD 1225454.000000 MXN 2026-04-17 1053.430000 N N N N/A N/A 000000000 1.000000 NC 113.460000 0.0000806 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3501000.000000 ZAR 206735.280000 USD 2026-04-20 113.460000 N N N N/A N/A 000000000 1.000000 NC 170.820000 0.0001213 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 94000.000000 ILS 30129.930000 USD 2026-06-10 170.820000 N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 1405.310000 PA USD 1325.920000 0.0009415 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.61887 N N N N N N N/A N/A 000000000 1.000000 NC USD -97375.300000 -0.0691432 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-08-25 0.000000 USD -132882.140000 USD 33260000.000000 USD 35506.840000 N N N N/A N/A 000000000 2100000.000000 NC USD 9703.890000 0.0068904 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44250 06/23/26-7Y LCH 2033-06-23 0.000000 USD 0.000000 USD N/A USD N/A 3.440000 USD 2026-06-18 XXXX -3366.650000 N N N N/A N/A 000000000 1.000000 NC -532.750000 -0.0003783 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 106909.000000 USD 1805375223.000000 IDR 2026-04-13 -532.750000 N N N N/A N/A 000000000 1.000000 NC -4788.890000 -0.0034004 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 143907129.000000 JPY 904678.000000 USD 2026-05-07 -4788.890000 N N N N/A N/A 000000000 1.000000 NC -145036.820000 -0.102986 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -1516.160000 AUD 6900000.000000 AUD -143520.660000 N N N N/A N/A 000000000 1.000000 NC 1216.180000 0.0008636 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 100000.000000 CAD 73341.100000 USD 2026-06-17 1216.180000 N N N N/A N/A 000000000 1.000000 NC -212.190000 -0.0001507 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 10179.140000 USD 37000.000000 PLN 2026-04-15 -212.190000 N N N N/A N/A 000000000 1800000.000000 NC USD 15982.200000 0.0113485 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65100 06/26/26-7Y LCH 2033-06-26 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-06-24 XXXX 699.180000 N N N N/A N/A 000000000 -2000000.000000 NC USD -13904.800000 -0.0098734 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.89900 06/29/26-7Y LCH 2033-06-29 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-06-25 XXXX 2265.410000 N N N N/A N/A 000000000 1.000000 NC 412.740000 0.0002931 N/A DFE CL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 41843141.000000 CLP 45617.540000 USD 2026-06-17 412.740000 N N N N/A N/A 000000000 1.000000 NC -668.160000 -0.0004744 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 77274.000000 USD 2523776.570000 THB 2026-04-16 -668.160000 N N N N/A N/A 000000000 1.000000 NC -4351.520000 -0.0030899 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 149881.230000 USD 540245.690000 PLN 2026-04-15 -4351.520000 N N N N/A N/A 000000000 1.000000 NC -326.030000 -0.0002315 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 800000.000000 CNY 115823.890000 USD 2026-04-02 -326.030000 N N N N/A N/A 000000000 1.000000 NC 92.090000 0.0000654 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 NOK 10413.790000 USD 2026-06-17 92.090000 N N N N/A N/A 000000000 -13300000.000000 NC USD -5255.760000 -0.003732 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2026-06-17 XXXX 13763.240000 N N N N/A N/A 000000000 1.000000 NC 321.150000 0.000228 N/A DFE CL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 27451744.000000 CLP 29978.350000 USD 2026-06-17 321.150000 N N N N/A N/A 000000000 1.000000 NC 999.400000 0.0007096 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11300000.000000 JPY 72200.690000 USD 2026-04-02 999.400000 N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 3772.160000 PA USD 3752.400000 0.0026645 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N N/A N/A 000000000 1.000000 NC 37.710000 0.0000268 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 678160000.000000 IDR 40000.000000 USD 2026-04-09 37.710000 N N N N/A N/A 000000000 288.000000 NC USD -628398.860000 -0.446207 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 31965750.140000 USD -628398.860000 N N N N/A N/A 000000000 1.000000 NC 238143.070000 0.169098 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 274377.960000 EUR 0.000000 EUR 1190000.000000 EUR -36234.890000 N N N N/A N/A 000000000 1.000000 NC -1501.160000 -0.0010659 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 93296.000000 USD 1668804.210000 MXN 2026-09-17 -1501.160000 N N N N/A N/A 000000000 1.000000 NC USD -80335.330000 -0.0570436 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A RAE FUNDAMENTAL INTERNATIONAL LARGE NET TOTAL RETURN Y 2026-08-19 0.000000 USD 0.000000 USD 1443804.600000 USD -80335.330000 N N N N/A N/A 000000000 1.000000 NC -9743.340000 -0.0069184 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 277034447.000000 JPY 1741064.000000 USD 2026-05-07 -9743.340000 N N N N/A N/A 000000000 2250000.000000 NC USD 359.550000 0.0002553 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-04-06 XXXX -6390.450000 N N N N/A N/A 000000000 1.000000 NC 2170.620000 0.0015413 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16420335.120000 INR 175581.000000 USD 2026-04-07 2170.620000 N N N N/A N/A 000000000 1.000000 NC -2634.030000 -0.0018703 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 331146450.000000 COP 86040.000000 USD 2026-06-17 -2634.030000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 100000.000000 PA USD 100128.160000 0.0710979 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 615.770000 0.0004372 N/A DFE PH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2386960.000000 PHP 40000.000000 USD 2026-04-13 615.770000 N N N N/A N/A 000000000 1.000000 NC 1183.230000 0.0008402 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 143654.250000 ILS 46975.000000 USD 2026-06-17 1183.230000 N N N N/A N/A 000000000 1.000000 NC -1138.980000 -0.0008088 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 9225678.060000 TRY 203526.610000 USD 2026-04-14 -1138.980000 N N N N/A N/A 000000000 1.000000 NC -233.490000 -0.0001658 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4088642.000000 TWD 127523.000000 USD 2026-04-13 -233.490000 N N N N/A N/A 000000000 1.000000 NC 16837.420000 0.0119557 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2215000.000000 GBP 2948495.040000 USD 2026-05-05 16837.420000 N N N N/A N/A 000000000 1.000000 NC -28.660000 -0.0000204 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14908.000000 USD 55040336.000000 COP 2026-04-30 -28.660000 N N N N/A N/A 000000000 1.000000 NC USD -203445.270000 -0.14446 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2026-07-08 0.000000 USD 0.000000 USD 2136126.300000 USD -203445.270000 N N N N/A N/A 000000000 1.000000 NC 3773.540000 0.0026795 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 869048.790000 ILS 280219.000000 USD 2026-04-06 3773.540000 N N N N/A N/A 000000000 1.000000 NC -12.760000 -0.0000091 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 15051200.000000 KRW 10000.000000 USD 2026-04-30 -12.760000 N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 1636.660000 PA USD 1630.520000 0.0011578 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.13169 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 14810000.000000 PA USD 14608006.710000 10.3727 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 67.690000 0.0000481 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 49651.690000 USD 156000.000000 ILS 2026-06-10 67.690000 N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 64347.420000 PA USD 53629.820000 0.0380809 Long ABS-MBS CORP US N 2 2035-10-25 Variable 4.90193 N N N N N N N/A N/A 000000000 1.000000 NC 607.660000 0.0004315 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1175198418.000000 IDR 69705.000000 USD 2026-06-10 607.660000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WQVJ3 1768200000.000000 PA 468660.960000 0.332782 Long DBT NUSS CO N 2 2040-11-28 Fixed 12.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -1444548.310000 -1.02573 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2026-05-20 0.000000 USD 0.000000 USD 10766076.720000 USD -1444548.310000 N N N N/A N/A 000000000 1.000000 NC -985.580000 -0.0006998 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 113918490.000000 COP 30000.000000 USD 2026-04-09 -985.580000 N N N N/A N/A 000000000 1.000000 NC -330.940000 -0.000235 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 59534.000000 USD 1006917771.000000 IDR 2026-06-10 -330.940000 N N N N/A N/A 000000000 24600000.000000 NC USD 47008.140000 0.033379 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.85700 10/09/26-1Y LCH 2027-10-09 0.000000 USD 0.000000 USD N/A USD N/A 3.860000 USD 2026-10-07 XXXX 27943.140000 N N N N/A N/A 000000000 5400000.000000 NC USD 305796.600000 0.217137 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -129983.400000 N N N N/A N/A 000000000 1.000000 NC -6000.160000 -0.0042605 N/A DFE PH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 298101.100000 USD 17708695.850000 PHP 2026-04-17 -6000.160000 N N N N/A N/A 000000000 -25900000.000000 NC USD -15944.040000 -0.0113214 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-05-20 XXXX 32295.960000 N N N N/A N/A 000000000 1.000000 NC 2731.370000 0.0019395 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-16 0.000000 EUR -373.130000 EUR 100000.000000 EUR 3104.500000 N N N N/A N/A 000000000 1.000000 NC 13157.540000 0.0093428 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2284975.450000 USD 3330868.000000 AUD 2026-04-02 13157.540000 N N N N/A N/A 000000000 1.000000 NC -1592.280000 -0.0011306 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59508.310000 USD 215000.000000 PLN 2026-04-15 -1592.280000 N N N N/A N/A 000000000 1.000000 NC 697.730000 0.0004954 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 200000.000000 EUR 232671.080000 USD 2026-06-17 697.730000 N N N N/A N/A 000000000 200000.000000 NC USD 294.800000 0.0002093 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-07 XXXX -1325.200000 N N N N/A N/A 000000000 2600000.000000 NC USD 133500.120000 0.0947943 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -95494.880000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124 N/A 38381PHD8 1325457.070000 PA USD 1337360.470000 0.949618 Long ABS-MBS USGSE US N 2 2055-07-20 Floating 4.82294 N N N N N N N/A N/A 000000000 1.000000 NC -276.610000 -0.0001964 N/A DFE MY N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 7000.000000 USD 27223.000000 MYR 2026-04-02 -276.610000 N N N N/A N/A 000000000 1.000000 NC 183.690000 0.0001304 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2938434.000000 TWD 92000.000000 USD 2026-04-13 183.690000 N N N N/A N/A 000000000 1.000000 NC -391.630000 -0.0002781 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 92406499.250000 COP 23833.000000 USD 2026-09-16 -391.630000 N N N N/A N/A 000000000 1.000000 NC -2624.190000 -0.0018634 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 73474.130000 USD 1277693.000000 MXN 2026-06-17 -2624.190000 N N N N/A N/A 000000000 2600000.000000 NC USD 154012.560000 0.10936 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -74982.440000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBE9 200000.000000 PA USD 200970.000000 0.142703 Long DBT NUSS MX N 2 2032-07-02 Fixed 5.85 N N N N N N N/A N/A 000000000 1.000000 NC USD -2154.090000 -0.0015296 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-09-17 0.000000 USD -11938.740000 USD 1140000.000000 USD 9784.650000 N N N N/A N/A 000000000 1.000000 NC 55.530000 0.0000394 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19609.850000 USD 629359.000000 TWD 2026-04-13 55.530000 N N N N/A N/A 000000000 1.000000 NC 327.480000 0.0002325 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 53039.390000 USD 2427989.460000 TRY 2026-04-21 327.480000 N N N FHLMC PASS THRU POOLS N/A 3142GSKD9 881120.380000 PA USD 887101.390000 0.629903 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -115.290000 -0.0000819 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-04-01 0.000000 USD -12960.000000 USD 2700000.000000 USD 12844.710000 N N N N/A N/A 000000000 1.000000 NC -1842.910000 -0.0013086 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 17462.670000 USD 2026-04-02 -1842.910000 N N N N/A N/A 000000000 1.000000 NC -109.450000 -0.0000777 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 78116.070000 USD 1405894.000000 MXN 2026-06-10 -109.450000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 200000.000000 PA USD 206481.010000 0.146616 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N N/A N/A 000000000 1.000000 NC -750.320000 -0.0005328 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 179000.000000 EUR 206146.870000 USD 2026-04-02 -750.320000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 2700000.000000 PA USD 2619369.140000 1.85993 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -10074.300000 -0.0071534 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 262174.640000 USD 890554.820000 PEN 2027-01-29 -10074.300000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2C9W52 1530600000.000000 PA 410372.370000 0.291393 Long DBT NUSS CO N 2 2033-02-09 Fixed 13.25 N N N N N N N/A N/A 000000000 1.000000 NC -269582.940000 -0.191423 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 -201689.830000 EUR 7410000.000000 EUR -67893.110000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2W14X7 400000.000000 PA 462386.320000 0.328326 Long DBT NUSS RO N 2 2039-07-11 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 82.780000 0.0000588 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 18838.600000 SGD 14768.830000 USD 2026-05-04 82.780000 N N N N/A N/A 000000000 1.000000 NC 97.030000 0.0000689 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 148984.450000 PLN 40230.000000 USD 2026-04-15 97.030000 N N N N/A N/A 000000000 2200000.000000 NC USD 1795.640000 0.001275 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/3.46250 04/16/26-7Y LCH 2033-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2026-04-14 XXXX -8069.830000 N N N N/A N/A 000000000 1.000000 NC 27.620000 0.0000196 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 138000.000000 CNY 20063.480000 USD 2026-04-02 27.620000 N N N N/A N/A 000000000 1.000000 NC USD -52780.880000 -0.0374781 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-17 0.000000 USD -143877.040000 USD 8770000.000000 USD 91096.160000 N N N N/A N/A 000000000 1.000000 NC USD 754794.200000 0.535956 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 105973.840000 USD 0.000000 USD 6800000.000000 USD 648820.360000 N N N N/A N/A 000000000 1.000000 NC -315.820000 -0.0002243 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 22499.000000 USD 33357595.000000 KRW 2026-04-16 -315.820000 N N N UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST N/A 90932WAA1 93974.540000 PA USD 96070.400000 0.0682166 Long DBT CORP US N 2 2038-08-15 Fixed 5.45 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 400000.000000 PA USD 402301.280000 0.285662 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 17532.000000 0.0124489 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3489161.230000 SGD 2737584.720000 USD 2026-05-04 17532.000000 N N N N/A N/A 000000000 1.000000 NC -7095.740000 -0.0050385 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-01-08 0.000000 EUR -238.400000 EUR 100000.000000 EUR -6857.340000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 7100000.000000 PA 415088.540000 0.294741 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -134.440000 -0.0000955 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 85000.000000 USD 2718125.000000 TWD 2026-04-20 -134.440000 N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAC7 1000000.000000 PA USD 983000.000000 0.697998 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.47 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 4910000.000000 PA USD 4853370.020000 3.44623 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 4445.930000 PA USD 4405.220000 0.003128 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.15638 N N N N N N N/A N/A 000000000 1.000000 NC -7132.450000 -0.0050645 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 400000.000000 BRL 70089.860000 USD 2026-04-02 -7132.450000 N N N N/A N/A 000000000 1.000000 NC 611.890000 0.0004345 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30000.000000 USD 158565.000000 BRL 2026-04-02 611.890000 N N N N/A N/A 000000000 1.000000 NC USD -618506.710000 -0.439182 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A RAE FUNDAMENTAL INTERNATIONAL LARGE NET TOTAL RETURN Y 2026-06-03 0.000000 USD 0.000000 USD 11123188.500000 USD -618506.710000 N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI11JW62 300000.000000 PA 299492.350000 0.21266 Long DBT NUSS CI N 2 2048-03-22 Fixed 6.625 N N N N N N N/A N/A 000000000 1.000000 NC -759.020000 -0.000539 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1076855.580000 USD 931000.000000 EUR 2026-04-02 -759.020000 N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 22165.690000 PA USD 22194.490000 0.0157596 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N N/A N/A 000000000 1100000.000000 NC USD 4885.210000 0.0034688 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.03250 05/11/26-10Y LCH 2036-05-11 0.000000 USD 0.000000 USD N/A USD N/A 4.030000 USD 2026-05-07 XXXX -1460.940000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 98568.560000 PA USD 99102.070000 0.0703693 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N N/A N/A 000000000 1.000000 NC -296.330000 -0.0002104 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 105131.960000 BRL 20000.000000 USD 2026-04-02 -296.330000 N N N N/A N/A 000000000 24600000.000000 NC USD 37960.260000 0.0269544 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08200 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2027-01-04 XXXX 19510.260000 N N N N/A N/A 000000000 1600000.000000 NC USD 82153.920000 0.058335 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -58726.080000 N N N PRKCM 2023-AFC3 TRUST N/A 693984AA4 587657.820000 PA USD 589271.350000 0.418423 Long ABS-MBS CORP US N 2 2058-09-25 Variable 6.584 N N N N N N N/A N/A 000000000 1.000000 NC 197.950000 0.0001406 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 737.370000 N N N N/A N/A 000000000 1.000000 NC -971.180000 -0.0006896 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -589.040000 N N N GNMA PASS THRU POOLS N/A 21H042653 2180000.000000 PA USD 2103705.930000 1.49378 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 4.5 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 54892.550000 PA USD 54978.740000 0.0390387 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.48671 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAB5 169815.210000 PA USD 159175.120000 0.113025 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC 4847.140000 0.0034418 N/A DFE CO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 660596.880000 USD 2508121204.140000 COP 2026-07-27 4847.140000 N N N N/A N/A 000000000 1.000000 NC 2096.400000 0.0014886 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 17900392.940000 MXN 999664.530000 USD 2026-04-20 2096.400000 N N N FANNIE MAE-2005-75 N/A 31394FAF2 8272.110000 PA USD 8206.790000 0.0058274 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.17638 N N N N N N N/A N/A 000000000 1.000000 NC 6826.280000 0.0048471 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 181701.490000 USD 976545.570000 BRL 2026-04-02 6826.280000 N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 454971.360000 PA USD 158433.080000 0.112498 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 8677.950000 PA USD 7916.840000 0.0056215 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.1312 N N N N N N N/A N/A 000000000 1.000000 NC -407.600000 -0.0002894 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 900665.040000 TRY 19311.000000 USD 2026-04-24 -407.600000 N N N N/A N/A 000000000 1.000000 NC -601.290000 -0.000427 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10059.260000 USD 311495.000000 THB 2026-04-20 -601.290000 N N N N/A N/A 000000000 1.000000 NC 282.070000 0.0002003 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 12500000.000000 JPY 79044.550000 USD 2026-04-02 282.070000 N N N N/A N/A 000000000 1.000000 NC USD -66847.040000 -0.047466 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2026-07-08 0.000000 USD 0.000000 USD 630420.680000 USD -66847.040000 N N N N/A N/A 000000000 1.000000 NC USD 9515.150000 0.0067564 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-17 0.000000 USD -17256.940000 USD 1050000.000000 USD 26772.090000 N N N N/A N/A 000000000 1.000000 NC -90462.570000 -0.0642347 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2775447.170000 USD 48420451.330000 MXN 2026-06-17 -90462.570000 N N N N/A N/A 000000000 1.000000 NC 445.010000 0.000316 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2589454.980000 THB 79446.000000 USD 2026-06-17 445.010000 N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 217942.350000 PA USD 218201.200000 0.154938 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC -1346.350000 -0.000956 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 100000.000000 BRL 17959.230000 USD 2026-04-02 -1346.350000 N N N N/A N/A 000000000 1.000000 NC 4231.790000 0.0030049 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 84800000.000000 JPY 538556.480000 USD 2026-04-02 4231.790000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 3500000.000000 PA 955587.800000 0.678533 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -1575.940000 -0.001119 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 354830.440000 USD 512000.000000 AUD 2026-04-02 -1575.940000 N N N N/A N/A 000000000 1.000000 NC 192.100000 0.0001364 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 132000.000000 PLN 35749.850000 USD 2026-04-15 192.100000 N N N N/A N/A 000000000 1.000000 NC 4491.280000 0.0031891 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85400000.000000 CLP 96752.270000 USD 2026-06-17 4491.280000 N N N N/A N/A 000000000 1.000000 NC -179.950000 -0.0001278 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 52730.630000 BRL 10000.000000 USD 2026-04-02 -179.950000 N N N N/A N/A 000000000 1.000000 NC USD 2244.450000 0.0015937 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-21 0.000000 USD -280.000000 USD 100000.000000 USD 2524.450000 N N N N/A N/A 000000000 1.000000 NC -465804.500000 -0.330753 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19900000.000000 BRL 3376005.590000 USD 2026-04-02 -465804.500000 N N N N/A N/A 000000000 1.000000 NC -4593.340000 -0.0032616 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 324098.680000 USD 556000.000000 NZD 2026-04-02 -4593.340000 N N N N/A N/A 000000000 1.000000 NC 2305.050000 0.0016367 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 314360.000000 MYR 80000.000000 USD 2026-04-16 2305.050000 N N N N/A N/A 000000000 1.000000 NC 907.660000 0.0006445 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 182000.000000 GBP 241802.940000 USD 2026-04-02 907.660000 N N N N/A N/A 000000000 1.000000 NC 1061.220000 0.0007535 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-07 0.000000 EUR -279.990000 EUR 100000.000000 EUR 1341.210000 N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UL6 645005.720000 PA USD 190520.500000 0.135283 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.33303 N N N N N N N/A N/A 000000000 1.000000 NC 31536.920000 0.0223934 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 36335940.810000 ZAR 2176009.410000 USD 2026-04-20 31536.920000 N N N N/A N/A 000000000 1.000000 NC 377.840000 0.0002683 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1860595000.000000 IDR 110000.000000 USD 2026-04-16 377.840000 N N N N/A N/A 000000000 -2050000.000000 NC USD -65597.950000 -0.0465791 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 17.000000 USD 2026-08-19 XXXX -22187.150000 N N N N/A N/A 000000000 1.000000 NC 1864.410000 0.0013239 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 6458174.030000 INR 70067.310000 USD 2026-04-07 1864.410000 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 148294.390000 PA USD 153402.300000 0.108926 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N N/A N/A 000000000 1.000000 NC USD -122.220000 -0.0000868 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -850.200000 USD 100000.000000 USD 727.980000 N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 512.710000 PA USD 498.280000 0.0003538 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.93876 N N N N N N N/A N/A 000000000 1.000000 NC -504.370000 -0.0003581 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 100000.000000 USD 369447.180000 PLN 2026-06-17 -504.370000 N N N FNMA PASS THRU POOLS N/A 31407H2U9 12.080000 PA USD 12.490000 0.0000089 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -1546.740000 -0.0010983 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 17758.840000 USD 2026-04-02 -1546.740000 N N N N/A N/A 000000000 1.000000 NC -485.010000 -0.0003444 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 373824.630000 USD 323000.000000 EUR 2026-04-02 -485.010000 N N N N/A N/A 000000000 1.000000 NC -1086.350000 -0.0007714 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5241303.500000 TRY 114726.760000 USD 2026-04-17 -1086.350000 N N N N/A N/A 000000000 1.000000 NC USD 503.970000 0.0003579 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -396.750000 USD 100000.000000 USD 900.720000 N N N N/A N/A 000000000 4200000.000000 NC USD 10016.160000 0.0071122 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 09/09/26-10Y LCH 2036-09-09 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-09-04 XXXX 6761.160000 N N N N/A N/A 000000000 1.000000 NC 73.050000 0.0000519 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22728.000000 USD 84343608.000000 COP 2026-04-30 73.050000 N N N N/A N/A 000000000 75.000000 NC -271858.470000 -0.193038 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-06-08 10869904.430000 EUR -271858.470000 N N N N/A N/A 000000000 1.000000 NC USD -586.310000 -0.0004163 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-17 0.000000 USD -781.480000 USD 40000.000000 USD 195.170000 N N N N/A N/A 000000000 -200000.000000 NC USD -1634.520000 -0.0011606 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -301.190000 N N N N/A N/A 000000000 1.000000 NC -485.050000 -0.0003444 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19880.190000 USD 72000.000000 PLN 2026-04-15 -485.050000 N N N N/A N/A 000000000 1.000000 NC 54179.690000 0.0384713 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1457315454.000000 CLP 1628321.810000 USD 2026-09-16 54179.690000 N N N N/A N/A 000000000 1.000000 NC -23584.660000 -0.0167467 N/A DFE CO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2197587700.000000 COP 574000.000000 USD 2026-04-10 -23584.660000 N N N N/A N/A 000000000 1.000000 NC 901.710000 0.0006403 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1563539.000000 THB 48375.690000 USD 2026-04-20 901.710000 N N N N/A N/A 000000000 1.000000 NC 17859.600000 0.0126815 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2639373.470000 USD 13764068.710000 BRL 2026-04-02 17859.600000 N N N N/A N/A 000000000 1.000000 NC 457.190000 0.0003246 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 79080.000000 MYR 20000.000000 USD 2026-04-09 457.190000 N N N N/A N/A 000000000 1.000000 NC 686.720000 0.0004876 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 156000.000000 ILS 50406.100000 USD 2026-06-10 686.720000 N N N N/A N/A 000000000 1.000000 NC 7121.200000 0.0050565 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 65175510.000000 JPY 417792.000000 USD 2026-04-02 7121.200000 N N N N/A N/A 000000000 1.000000 NC -781.930000 -0.0005552 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 180000.000000 AUD 123362.480000 USD 2026-05-04 -781.930000 N N N N/A N/A 000000000 1.000000 NC -36698.800000 -0.0260587 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 12400000.000000 BRL -36698.800000 N N N N/A N/A 000000000 1.000000 NC 339.620000 0.0002412 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23833.000000 USD 88801758.000000 COP 2026-04-06 339.620000 N N N N/A N/A 000000000 1.000000 NC USD 14873.220000 0.010561 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.46 Y Single Leg Swap 2031-06-20 11850.000000 USD 0.000000 USD 300000.000000 USD 3023.220000 N N N N/A N/A 000000000 1.000000 NC -13588.730000 -0.0096489 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 338780.000000 USD 30792561.150000 INR 2026-04-07 -13588.730000 N N N N/A N/A 000000000 1.000000 NC 148.180000 0.0001052 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 36385.620000 USD 251632.030000 CNY 2026-04-02 148.180000 N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 344774.040000 PA USD 111178.970000 0.0789447 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.95303 N N N N N N N/A N/A 000000000 1.000000 NC -83.860000 -0.0000595 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 14768.830000 USD 18880.470000 SGD 2026-04-02 -83.860000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-118 N/A 38384UJQ3 3066188.230000 PA USD 3082591.720000 2.18885 Long ABS-MBS USGSE US N 2 2054-07-20 Floating 4.92294 N N N N N N N/A N/A 000000000 1.000000 NC 38.150000 0.0000271 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 67328.800000 USD 464000.000000 CNY 2026-04-02 38.150000 N N N N/A N/A 000000000 1.000000 NC USD -682.870000 -0.0004849 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -296.250000 USD 100000.000000 USD -386.620000 N N N N/A N/A 000000000 1.000000 NC USD 648.910000 0.0004608 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -275.000000 USD 100000.000000 USD 923.910000 N N N N/A N/A 000000000 1.000000 NC 1069.560000 0.0007595 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 58329872.000000 KRW 39858.600000 USD 2026-04-15 1069.560000 N N N N/A N/A 000000000 1.000000 NC -5598.720000 -0.0039755 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-12-31 0.000000 EUR -264.550000 EUR 100000.000000 EUR -5334.170000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 3.470000 PA USD 3.420000 0.0000024 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7.02171 N N N N N N N/A N/A 000000000 1.000000 NC USD 41306.320000 0.0293303 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -54673.580000 USD 8750000.000000 USD 95979.900000 N N N N/A N/A 000000000 1.000000 NC -758.510000 -0.0005386 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1799142.650000 TRY 39682.010000 USD 2026-04-03 -758.510000 N N N N/A N/A 000000000 1.000000 NC USD -184579.410000 -0.131064 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2026-06-03 0.000000 USD 0.000000 USD 1938039.400000 USD -184579.410000 N N N N/A N/A 000000000 1.000000 NC 33.570000 0.0000238 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 169214000.000000 IDR 10000.000000 USD 2026-04-30 33.570000 N N N N/A N/A 000000000 1.000000 NC -2312.210000 -0.0016418 N/A DFE SE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 824976.740000 USD 7787877.200000 SEK 2026-04-02 -2312.210000 N N N N/A N/A 000000000 38.000000 NC USD -54485.850000 -0.0386887 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 7884257.780000 USD -54485.850000 N N N N/A N/A 000000000 1.000000 NC 2058.110000 0.0014614 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 308109.810000 ILS 100257.000000 USD 2026-06-10 2058.110000 N N N N/A N/A 000000000 1.000000 NC -249.760000 -0.0001773 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 966819.720000 USD 3554512700.000000 COP 2026-04-10 -249.760000 N N N N/A N/A 000000000 18.000000 NC USD -29037.580000 -0.0206187 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A FEDERAL FUND 2026-05-29 7227015.620000 USD -29037.580000 N N N N/A N/A 000000000 2800000.000000 NC USD 8066.800000 0.005728 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-03 XXXX -28395.420000 N N N N/A N/A 000000000 1.000000 NC 67234.320000 0.047741 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-08-22 0.000000 COP 0.000000 COP 2697000000.000000 COP 67234.320000 N N N N/A N/A 000000000 1.000000 NC -2529.580000 -0.0017962 N/A DFE PL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 99612.000000 USD 360396.220000 PLN 2026-04-15 -2529.580000 N N N N/A N/A 000000000 1.000000 NC 758.550000 0.0005386 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 347297.000000 USD 32708778.760000 INR 2026-04-24 758.550000 N N N N/A N/A 000000000 1.000000 NC 158.470000 0.0001125 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 76218.500000 MYR 19000.000000 USD 2026-04-30 158.470000 N N N N/A N/A 000000000 1.000000 NC -16673.740000 -0.0118395 N/A DFE CO N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 9416097316.150000 COP 2468630.500000 USD 2026-08-18 -16673.740000 N N N N/A N/A 000000000 1.000000 NC 536.240000 0.0003808 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 104924.540000 USD 4835972.050000 TRY 2026-04-27 536.240000 N N N VISIO TRUST 2023-2 N/A 92839CAA5 935815.840000 PA USD 937967.370000 0.666022 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 6.598 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 268.590000 PA USD 189.420000 0.0001345 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 59763.700000 0.0424364 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 2757784.000000 AUD 1962497.280000 USD 2026-04-02 59763.700000 N N N N/A N/A 000000000 1.000000 NC USD 915.090000 0.0006498 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -780.000000 USD 200000.000000 USD 1695.090000 N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 5660.280000 PA USD 3089.890000 0.002194 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.19754 N N N N N N TOWD POINT MORTGAGE TRUST 2022-4 N/A 89180YAA8 914716.930000 PA USD 871643.000000 0.618927 Long ABS-MBS CORP US N 2 2062-09-25 Variable 3.75 N N N N N N FHLMC PASS THRU POOLS N/A 3142GVLG4 520050.270000 PA USD 530365.230000 0.376596 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -338.520000 -0.0002404 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1208108.120000 TRY 25973.000000 USD 2026-04-28 -338.520000 N N N N/A N/A 000000000 1.000000 NC -3874.210000 -0.002751 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1377640.780000 USD 43965201.000000 TWD 2026-04-13 -3874.210000 N N N N/A N/A 000000000 1.000000 NC -7.710000 -0.0000055 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 78678.000000 USD 1338013804.000000 IDR 2026-06-10 -7.710000 N N N N/A N/A 000000000 1.000000 NC USD 3553.710000 0.0025234 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-26 0.000000 USD -12558.140000 USD 2700000.000000 USD 16111.850000 N N N GNMA PASS THRU POOLS N/A 21H032647 6000000.000000 PA USD 5504206.980000 3.90837 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -1161.650000 -0.0008249 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 418922045.740000 COP 111016.840000 USD 2026-06-17 -1161.650000 N N N N/A N/A 000000000 1.000000 NC -365.110000 -0.0002593 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR 13.270000 N N N N/A N/A 000000000 1.000000 NC 1631.370000 0.0011584 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 155946.670000 PEN 46074.000000 USD 2026-09-16 1631.370000 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAG7 1000000.000000 PA USD 987875.000000 0.70146 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.512 N N N N N N N/A N/A 000000000 39500000.000000 NC USD 74108.720000 0.0526223 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-05-20 XXXX 682.470000 N N N N/A N/A 000000000 1.000000 NC 199.750000 0.0001418 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 59724.570000 USD 77044.700000 SGD 2026-04-02 199.750000 N N N N/A N/A 000000000 1.000000 NC 123.450000 0.0000877 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 235000.000000 NOK 24393.040000 USD 2026-04-07 123.450000 N N N N/A N/A 000000000 1.000000 NC USD -2396937.800000 -1.70199 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2026-07-08 0.000000 USD 0.000000 USD 17855748.750000 USD -2396937.800000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 318244.140000 PA USD 320139.860000 0.227321 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC -1246.370000 -0.000885 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 471457500.000000 COP 125000.000000 USD 2026-06-17 -1246.370000 N N N N/A N/A 000000000 1.000000 NC -13086.070000 -0.009292 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1732997.820000 BRL 321479.180000 USD 2026-04-02 -13086.070000 N N N N/A N/A 000000000 1.000000 NC -7304.560000 -0.0051867 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 248000.000000 USD 4117408.340000 ZAR 2026-08-19 -7304.560000 N N N N/A N/A 000000000 1.000000 NC -181.290000 -0.0001287 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 37504000.000000 COP 10000.000000 USD 2026-04-16 -181.290000 N N N N/A N/A 000000000 1.000000 NC 662.980000 0.0004708 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46524.510000 USD 173350324.260000 COP 2026-04-06 662.980000 N N N N/A N/A 000000000 1.000000 NC USD 416.000000 0.0002954 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -449.000000 USD 100000.000000 USD 865.000000 N N N N/A N/A 000000000 1.000000 NC 730.500000 0.0005187 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1814261.230000 INR 19890.380000 USD 2026-04-07 730.500000 N N N N/A N/A 000000000 1.000000 NC 5946.640000 0.0042225 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3119527.460000 THB 100890.280000 USD 2026-05-20 5946.640000 N N N N/A N/A 000000000 200000.000000 NC USD 344.100000 0.0002443 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.03800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.040000 USD 2026-08-11 XXXX -1275.900000 N N N N/A N/A 000000000 1.000000 NC 741.920000 0.0005268 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 310149.380000 PLN 84289.000000 USD 2026-04-15 741.920000 N N N N/A N/A 000000000 1.000000 NC USD 50989.340000 0.036206 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 17379.690000 USD 0.000000 USD 6220000.000000 USD 33609.650000 N N N N/A N/A 000000000 -700000.000000 NC USD -2399.320000 -0.0017037 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 97.280000 USD 2026-06-04 XXXX -430.570000 N N N ARES LXII CLO LTD 2021-62A N/A 00192WAL1 600000.000000 PA USD 600196.810000 0.426181 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 4.73802 N N N N N N N/A N/A 000000000 1.000000 NC 431.190000 0.0003062 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2518715.120000 THB 77274.000000 USD 2026-06-17 431.190000 N N N N/A N/A 000000000 -200000.000000 NC USD -178.520000 -0.0001268 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 04/20/26-10Y LCH 2036-04-20 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-04-16 XXXX 466.480000 N N N N/A N/A 000000000 1.000000 NC 529.670000 0.0003761 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2029-10-01 0.000000 CLP 0.000000 CLP 36000000.000000 CLP 529.670000 N N N N/A N/A 000000000 1.000000 NC -1284.340000 -0.000912 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 123000.000000 USD 425174.100000 PEN 2026-06-17 -1284.340000 N N N N/A N/A 000000000 1.000000 NC -249.690000 -0.0001773 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70061.000000 USD 4250670.930000 PHP 2026-06-17 -249.690000 N N N FANNIE MAE 2007-96 N/A 31396XNT7 35645.710000 PA USD 35733.050000 0.0253729 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 4.49638 N N N N N N N/A N/A 000000000 1.000000 NC 2530.560000 0.0017969 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 430020.900000 PEN 126043.000000 USD 2026-04-13 2530.560000 N N N N/A N/A 000000000 1.000000 NC -132.400000 -0.000094 N/A DFE DK N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 107631.010000 USD 695000.000000 DKK 2026-04-07 -132.400000 N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 26408.210000 PA USD 23005.740000 0.0163357 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.99623 N N N N N N N/A N/A 000000000 1.000000 NC -2062.000000 -0.0014642 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 135286.550000 USD 1290000.000000 NOK 2026-04-07 -2062.000000 N N N N/A N/A 000000000 1.000000 NC 708.630000 0.0005032 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3456945.300000 MXN 192851.780000 USD 2026-05-21 708.630000 N N N N/A N/A 000000000 1.000000 NC -75.760000 -0.0000538 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 28747.840000 USD 1738252.520000 PHP 2026-04-17 -75.760000 N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QCL4 100000.000000 PA USD 76591.390000 0.0543852 Long DBT CORP MX N 2 2048-02-12 Fixed 6.35 N N N N N N N/A N/A 000000000 -8.000000 NC 81028.700000 0.057536 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-06-15 -6568665.130000 JPY 81028.700000 N N N N/A N/A 000000000 1.000000 NC USD 24973.490000 0.0177329 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 3380000.000000 USD 24973.490000 N N N N/A N/A 000000000 1.000000 NC 3131.980000 0.0022239 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1834000.000000 MXN 104829.950000 USD 2026-06-17 3131.980000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KE83 1400000.000000 PA USD 1393622.860000 0.989568 Long DBT CORP US N 2 2026-05-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 15.330000 0.0000109 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2407430.480000 PHP 39554.000000 USD 2026-06-17 15.330000 N N N N/A N/A 000000000 1.000000 NC 498.690000 0.0003541 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 312147.500000 ILS 100000.000000 USD 2026-06-17 498.690000 N N N N/A N/A 000000000 600000.000000 NC USD 33995.400000 0.0241391 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -17934.600000 N N N N/A N/A 000000000 1.000000 NC -1457.330000 -0.0010348 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 68746.160000 USD 6371620.970000 INR 2026-04-07 -1457.330000 N N N N/A N/A 000000000 1.000000 NC -97.800000 -0.0000694 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 636938.000000 TWD 2026-04-13 -97.800000 N N N N/A N/A 000000000 1.000000 NC USD 75402.140000 0.0535407 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2055-12-17 26493.880000 USD 0.000000 USD 1110000.000000 USD 48908.260000 N N N N/A N/A 000000000 1.000000 NC -127.470000 -0.0000905 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15500000.000000 JPY 97538.010000 USD 2026-04-02 -127.470000 N N N N/A N/A 000000000 1.000000 NC 1047.820000 0.000744 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200000.000000 EUR 232217.860000 USD 2026-04-02 1047.820000 N N N FANNIE MAE REMICS 2011-35 N/A 31397SVH4 311487.570000 PA USD 299733.900000 0.212832 Long ABS-MBS USGSE US N 2 2041-04-25 Fixed 4 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAA6 846645.570000 PA USD 836379.990000 0.593888 Long ABS-MBS CORP US N 2 2035-02-15 Floating 4.77 N N N N N N N/A N/A 000000000 1.000000 NC -189.580000 -0.0001346 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 80000.000000 USD 1354638184.000000 IDR 2026-04-17 -189.580000 N N N N/A N/A 000000000 1.000000 NC USD -2879.200000 -0.0020444 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -588.750000 USD 300000.000000 USD -2290.450000 N N N N/A N/A 000000000 1.000000 NC -9981.100000 -0.0070873 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 367413.000000 USD 1326901.030000 PLN 2026-04-22 -9981.100000 N N N N/A N/A 000000000 23000000.000000 NC USD 34805.900000 0.0247146 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09300 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2027-01-04 XXXX 18475.900000 N N N N/A N/A 000000000 3500000.000000 NC USD 5327.000000 0.0037825 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 121.300000 N N N N/A N/A 000000000 1.000000 NC 3130.570000 0.0022229 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -349.380000 EUR 100000.000000 EUR 3479.950000 N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 112.130000 PA USD 112.070000 0.0000796 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.02343 N N N N N N N/A N/A 000000000 1.000000 NC 397.470000 0.0002822 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1269000.000000 MXN 70765.370000 USD 2026-06-17 397.470000 N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 997.060000 PA USD 384.140000 0.0002728 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.91303 N N N N N N N/A N/A 000000000 1.000000 NC -208.260000 -0.0001479 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 20090.450000 USD 338153554.000000 IDR 2026-06-10 -208.260000 N N N N/A N/A 000000000 1.000000 NC -529.140000 -0.0003757 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30169.540000 USD 93000.000000 ILS 2026-06-10 -529.140000 N N N N/A N/A 000000000 1.000000 NC 130.500000 0.0000927 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 39737.280000 USD 148000.000000 PLN 2026-04-15 130.500000 N N N N/A N/A 000000000 1.000000 NC 1430.430000 0.0010157 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 50237.260000 USD 926350.000000 MXN 2026-04-10 1430.430000 N N N N/A N/A 000000000 1.000000 NC -29.250000 -0.0000208 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 14990701.000000 KRW 2026-04-23 -29.250000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 400000.000000 PA USD 140000.000000 0.0994097 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 167658.450000 PA USD 155773.930000 0.11061 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.16303 N N N N N N N/A N/A 000000000 1.000000 NC -145.500000 -0.0001033 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20027.000000 USD 338141876.000000 IDR 2026-06-10 -145.500000 N N N N/A N/A 000000000 1.000000 NC 229.880000 0.0001632 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 32266.390000 USD 1476510.010000 TRY 2026-04-20 229.880000 N N N N/A N/A 000000000 1.000000 NC -562.800000 -0.0003996 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 84354.700000 USD 67000.000000 CHF 2026-04-02 -562.800000 N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 748264.080000 PA USD 226404.810000 0.160763 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 532306.110000 PA USD 237579.660000 0.168698 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.92303 N N N N N N N/A N/A 000000000 1.000000 NC -310.250000 -0.0002203 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 75735.000000 USD 2484865.350000 THB 2026-04-16 -310.250000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAB7 1048430.630000 PA USD 1039434.680000 0.73807 Long ABS-O CORP US N 2 2053-01-15 Floating 4.51699 N N N N N N N/A N/A 000000000 6.000000 NC -2946.730000 -0.0020924 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A 90CORRA 2027-06-15 1047228.810000 CAD -2946.730000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325CU7 300000.000000 PA USD 216033.000000 0.153398 Long DBT NUSS CO N 2 2045-06-15 Fixed 5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-A N/A 78450QAA1 442572.140000 PA USD 447561.880000 0.3178 Long ABS-O CORP US N 2 2053-01-15 Fixed 5.38 N N N N N N N/A N/A 000000000 2300000.000000 NC USD 918.850000 0.0006524 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -16178.180000 N N N N/A N/A 000000000 1.000000 NC 491.780000 0.0003492 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 78940.000000 MYR 20000.000000 USD 2026-04-09 491.780000 N N N N/A N/A 000000000 1.000000 NC USD -13138.460000 -0.0093292 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2056-03-18 0.000000 USD -21537.350000 USD 530000.000000 USD 8398.890000 N N N N/A N/A 000000000 1.000000 NC 52.720000 0.0000374 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 305343.010000 USD 14161839.340000 TRY 2026-05-06 52.720000 N N N N/A N/A 000000000 1.000000 NC 2257.030000 0.0016026 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -330.110000 EUR 90000.000000 EUR 2587.140000 N N N N/A N/A 000000000 1.000000 NC -3413.410000 -0.0024238 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 78595838.000000 JPY 493298.000000 USD 2026-05-07 -3413.410000 N N N N/A N/A 000000000 1.000000 NC 444.560000 0.0003157 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 27000000.000000 CLP 444.560000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 189454.630000 PA USD 186086.700000 0.132134 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.2712 N N N N N N N/A N/A 000000000 1000000.000000 NC USD 58905.500000 0.041827 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29600 02/08/28-30Y LCH 2058-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2028-02-04 XXXX -11094.500000 N N N N/A N/A 000000000 -2000000.000000 NC USD -810.000000 -0.0005752 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 230.000000 N N N N/A N/A 000000000 1.000000 NC -700.830000 -0.0004976 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 177407261.530000 COP 46524.510000 USD 2026-07-13 -700.830000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DDP1 1700000.000000 PA USD 1695353.390000 1.20382 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 USD -799992.320000 -0.56805 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2026-06-03 0.000000 USD 0.000000 USD 7541699.220000 USD -799992.320000 N N N N/A N/A 000000000 1.000000 NC 1143.500000 0.000812 N/A DFE NZ N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 100000.000000 NZD 58762.080000 USD 2026-06-17 1143.500000 N N N N/A N/A 000000000 1.000000 NC 455526.770000 0.323456 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 16363617.170000 EUR 19369417.280000 USD 2026-04-02 455526.770000 N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 4056.640000 PA USD 1913.170000 0.0013585 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N N/A N/A 000000000 1.000000 NC 215.750000 0.0001532 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 219761.000000 USD 20672477.750000 INR 2026-04-24 215.750000 N N N N/A N/A 000000000 1.000000 NC 432.100000 0.0003068 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 857000.000000 MXN 47954.000000 USD 2026-06-17 432.100000 N N N N/A N/A 000000000 600000.000000 NC USD 30806.400000 0.0218747 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -22053.600000 N N N N/A N/A 000000000 1.000000 NC -13021.530000 -0.0092462 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 337571.000000 USD 30731788.700000 INR 2026-04-07 -13021.530000 N N N N/A N/A 000000000 1.000000 NC 1466.250000 0.0010411 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 331632480.000000 KRW 222000.000000 USD 2026-04-15 1466.250000 N N N N/A N/A 000000000 1.000000 NC -11992.710000 -0.0085157 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4192228630.330000 COP 1110597.690000 USD 2026-06-17 -11992.710000 N N N N/A N/A 000000000 24600000.000000 NC USD 33844.680000 0.0240321 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14100 01/04/27-1Y LCH 2028-01-04 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2026-12-30 XXXX 15517.680000 N N N N/A N/A 000000000 1.000000 NC -61269.190000 -0.0435054 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2036-09-16 0.000000 JPY -27126.630000 JPY 419600000.000000 JPY -34142.560000 N N N N/A N/A 000000000 2200000.000000 NC USD 122655.500000 0.0870939 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62750 08/23/35-10Y LCH 2045-08-23 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-21 XXXX -67589.500000 N N N N/A N/A 000000000 1.000000 NC 168161.030000 0.119406 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 191141.320000 EUR 0.000000 EUR 840300.000000 EUR -22980.290000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDM0 1400000.000000 PA USD 1396564.960000 0.991658 Long DBT CORP US N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 2334.510000 0.0016577 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1297105.170000 PEN 374075.030000 USD 2026-05-26 2334.510000 N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 107899.450000 PA USD 66930.310000 0.0475251 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 798.590000 0.0005671 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 51630.130000 USD 940546.000000 MXN 2026-04-17 798.590000 N N N N/A N/A 000000000 1.000000 NC 345.280000 0.0002452 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1551405.010000 THB 47450.830000 USD 2026-04-20 345.280000 N N N N/A N/A 000000000 1.000000 NC -332.870000 -0.0002364 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29261.030000 USD 952739.000000 THB 2026-04-20 -332.870000 N N N N/A N/A 000000000 1.000000 NC 1751.500000 0.0012437 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 297224.190000 ILS 96481.000000 USD 2026-06-10 1751.500000 N N N N/A N/A 000000000 1.000000 NC 22.990000 0.0000163 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 20012.870000 USD 138000.000000 CNY 2026-04-02 22.990000 N N N N/A N/A 000000000 1.000000 NC -8673.080000 -0.0061585 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 343699.490000 USD 1243724.720000 PLN 2026-04-22 -8673.080000 N N N N/A N/A 000000000 1.000000 NC 768.520000 0.0005457 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 120240.690000 PEN 35027.000000 USD 2026-09-21 768.520000 N N N N/A N/A 000000000 1.000000 NC 668.470000 0.0004747 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 76000.000000 USD 397131.160000 BRL 2026-04-02 668.470000 N N N N/A N/A 000000000 1.000000 NC 5508.290000 0.0039113 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-02-12 0.000000 EUR -267.970000 EUR 100000.000000 EUR 5776.260000 N N N DIAMETER CAPITAL CLO 2024-6A N/A 25255UAA0 1000000.000000 PA USD 1002986.250000 0.71219 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 5.28219 N N N N N N N/A N/A 000000000 1.000000 NC -578.210000 -0.0004106 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1339196.560000 TRY 29013.000000 USD 2026-04-17 -578.210000 N N N N/A N/A 000000000 1.000000 NC USD -503.590000 -0.0003576 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-04-07 0.000000 USD -16673.000000 USD 2200000.000000 USD 16169.410000 N N N N/A N/A 000000000 1.000000 NC USD 1110.780000 0.0007887 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -457.500000 USD 100000.000000 USD 1568.280000 N N N N/A N/A 000000000 -1300000.000000 NC USD -6253.780000 -0.0044406 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73250 05/11/26-10Y LCH 2036-05-11 0.000000 USD 0.000000 USD N/A USD N/A 3.730000 USD 2026-05-07 XXXX 246.220000 N N N N/A N/A 000000000 1.000000 NC -1340.880000 -0.0009521 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-01 0.000000 CZK -96.860000 CZK 4460000.000000 CZK -1244.020000 N N N N/A N/A 000000000 1.000000 NC USD 1124.950000 0.0007988 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -546.000000 USD 200000.000000 USD 1670.950000 N N N N/A N/A 000000000 1.000000 NC 4716.520000 0.0033491 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 865751.440000 ILS 280217.000000 USD 2026-04-13 4716.520000 N N N N/A N/A 000000000 1.000000 NC 49.470000 0.0000351 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 421446.000000 JPY 2705.000000 USD 2026-04-02 49.470000 N N N N/A N/A 000000000 1.000000 NC -269.390000 -0.0001913 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20000.000000 USD 68674.910000 PEN 2026-04-09 -269.390000 N N N N/A N/A 000000000 1.000000 NC -121.230000 -0.0000861 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 303662979.400000 COP 81193.310000 USD 2026-06-17 -121.230000 N N N N/A N/A 000000000 1.000000 NC USD -685769.150000 -0.486943 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2026-12-09 0.000000 USD 0.000000 USD 16017432.540000 USD -685769.150000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI2VM0V0 13900000.000000 PA 248991.750000 0.176801 Long DBT NUSS EG N 2 2028-03-04 Fixed 21.954 N N N N N N N/A N/A 000000000 1.000000 NC -1514.720000 -0.0010756 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 179111.000000 USD 16689742.090000 INR 2026-04-24 -1514.720000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EQ4 200000.000000 PA USD 207094.000000 0.147051 Long DBT NUSS CO N 2 2054-11-07 Fixed 8.375 N N N N N N N/A N/A 000000000 240000.000000 NC USD 1404.720000 0.0009974 N/A DFE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-09-08 N/A 1400.000000 USD 2026-09-04 XXXX -1572.480000 N N N N/A N/A 000000000 1.000000 NC 1448.400000 0.0010285 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3554512700.000000 COP 953271.930000 USD 2026-06-17 1448.400000 N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 1812556.650000 PA USD 558946.430000 0.396891 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.95303 N N N N N N N/A N/A 000000000 1.000000 NC 1134.900000 0.0008059 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9274100.000000 INR 100000.000000 USD 2026-04-16 1134.900000 N N N N/A N/A 000000000 1.000000 NC USD -501902.190000 -0.356385 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RAFI DYNAMIC MULTI-FACTOR EMERGING MARKETS INDEX NTR Y 2026-04-15 0.000000 USD 0.000000 USD 3739056.440000 USD -501902.190000 N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 8411.380000 PA USD 8427.860000 0.0059844 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 4.49671 N N N N N N N/A N/A 000000000 1.000000 NC -1624.430000 -0.0011535 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 45 Y Single Leg Swap 2031-06-20 0.000000 EUR -1664.490000 EUR 100000.000000 EUR 40.060000 N N N N/A N/A 000000000 1.000000 NC -199.630000 -0.0001418 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1652919.500000 THB 50000.000000 USD 2026-04-23 -199.630000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 1610.340000 PA USD 1504.240000 0.0010681 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.25874 N N N N N N N/A N/A 000000000 1.000000 NC 134.040000 0.0000952 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3745585.200000 INR 40000.000000 USD 2026-04-23 134.040000 N N N N/A N/A 000000000 1.000000 NC USD -2407.870000 -0.0017098 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -570.000000 USD 200000.000000 USD -1837.870000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2QBM79 40000000.000000 PA 43977.280000 0.0312269 Long DBT NUSS CL N 2 2029-10-01 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC -590.640000 -0.0004194 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45441732.940000 COP 11779.000000 USD 2026-04-06 -590.640000 N N N N/A N/A 000000000 1.000000 NC 787.190000 0.000559 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 1536688.970000 CZK 73168.000000 USD 2026-04-15 787.190000 N N N N/A N/A 000000000 359877.000000 NC USD 1072.790000 0.0007618 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 -2577.220000 N N N N/A N/A 000000000 1.000000 NC USD -24213.940000 -0.0171936 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1460000.000000 USD -24213.940000 N N N N/A N/A 000000000 1.000000 NC 1768.740000 0.0012559 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 179000.000000 GBP 238693.220000 USD 2026-04-02 1768.740000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 407696.460000 PA USD 127346.920000 0.0904251 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.15303 N N N N N N N/A N/A 000000000 -1700000.000000 NC USD -13344.320000 -0.0094754 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-04-15 XXXX -310.990000 N N N SLM STUDENT LOAN TRUST 2010-C N/A 78445QAE1 1552322.840000 PA USD 1629744.320000 1.15723 Long ABS-O CORP US N 2 2041-10-15 Floating 8.53699 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 900000.000000 PA USD 902936.700000 0.641147 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 5.56763 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 496343.020000 PA USD 487714.200000 0.346311 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 4439.320000 0.0031522 N/A DCR NL N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTL FIN NV SR UNSEC Y Single Leg Swap 2028-06-20 2372.640000 EUR 0.000000 EUR 300000.000000 EUR 2066.680000 N N N N/A N/A 000000000 1.000000 NC USD 42541.130000 0.0302071 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 30618.050000 USD 0.000000 USD 7750000.000000 USD 11923.080000 N N N N/A N/A 000000000 1.000000 NC -1530.820000 -0.001087 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 178003.000000 USD 3001415385.000000 IDR 2026-06-10 -1530.820000 N N N N/A N/A 000000000 1.000000 NC -5510.400000 -0.0039128 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5113568.490000 NOK 522592.590000 USD 2026-04-07 -5510.400000 N N N N/A N/A 000000000 7100000.000000 NC USD 455694.330000 0.323574 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -117275.670000 N N N N/A N/A 000000000 1.000000 NC USD 40512.290000 0.0287665 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 163823.290000 USD 0.000000 USD 2200000.000000 USD -123311.000000 N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 261446.780000 PA USD 262147.770000 0.186143 Long ABS-MBS CORP US N 2 2055-05-25 Floating 4.9119 N N N N N N N/A N/A 000000000 1.000000 NC -12139.340000 -0.0086198 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2031-01-02 0.000000 BRL 0.000000 BRL 3500000.000000 BRL -12139.340000 N N N N/A N/A 000000000 1.000000 NC 56218.780000 0.0399192 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2165650.490000 USD 11661703.040000 BRL 2026-06-02 56218.780000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 559172.710000 PA USD 543280.800000 0.385767 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.93698 N N N N N N N/A N/A 000000000 1.000000 NC 1724.160000 0.0012243 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4648819.570000 INR 50818.990000 USD 2026-04-07 1724.160000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WZRP4 7083500000.000000 PA 1785967.920000 1.26816 Long DBT NUSS CO N 2 2029-08-22 Fixed 11 N N N N N N N/A N/A 000000000 1.000000 NC -2492.350000 -0.0017697 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 103330.430000 USD 317000.000000 ILS 2026-04-06 -2492.350000 N N N N/A N/A 000000000 1.000000 NC 61.130000 0.0000434 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1187366110.000000 IDR 70000.000000 USD 2026-04-27 61.130000 N N N N/A N/A 000000000 1.000000 NC 33.630000 0.0000239 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1256320.000000 TWD 39289.460000 USD 2026-04-13 33.630000 N N N N/A N/A 000000000 1.000000 NC 101.720000 0.0000722 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 52325.390000 BRL 2026-04-02 101.720000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAA0 229051.400000 PA USD 216022.680000 0.153391 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.17303 N N N N N N N/A N/A 000000000 1.000000 NC USD -67.390000 -0.0000479 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -445.000000 USD 100000.000000 USD 377.610000 N N N N/A N/A 000000000 1.000000 NC 2959.180000 0.0021012 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-23 0.000000 EUR -392.320000 EUR 100000.000000 EUR 3351.500000 N N N N/A N/A 000000000 1.000000 NC -936.760000 -0.0006652 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 116923.430000 USD 100000.000000 EUR 2026-06-17 -936.760000 N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 2300000.000000 PA USD 2277629.970000 1.61727 Long ABS-MBS CORP US N 2 2032-04-15 Floating 4.70871 N N N N N N N/A N/A 000000000 1.000000 NC -28.100000 -0.00002 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 328164.230000 THB 2026-04-30 -28.100000 N N N N/A N/A 000000000 1.000000 NC 4766.380000 0.0033845 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 382028.940000 PEN 112916.070000 USD 2027-01-28 4766.380000 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 148294.390000 PA USD 151485.140000 0.107565 Long ABS-O CORP US N 2 2041-02-20 Floating 5.87294 N N N N N N N/A N/A 000000000 1.000000 NC -835.290000 -0.0005931 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 130881427.200000 COP 34212.000000 USD 2026-06-17 -835.290000 N N N N/A N/A 000000000 1.000000 NC 3063.360000 0.0021752 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 211000.000000 AUD 148642.850000 USD 2026-04-02 3063.360000 N N N N/A N/A 000000000 100000.000000 NC USD 296.790000 0.0002107 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.24500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-07 XXXX -1003.210000 N N N N/A N/A 000000000 600000.000000 NC USD 35548.140000 0.0252416 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -17311.860000 N N N N/A N/A 000000000 1.000000 NC 1552.210000 0.0011022 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 327823.090000 ILS 106034.000000 USD 2026-06-10 1552.210000 N N N N/A N/A 000000000 1.000000 NC -38.520000 -0.0000274 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12822.000000 USD 421151.410000 THB 2026-04-16 -38.520000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 92122.890000 PA USD 84359.770000 0.0599013 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC 974.970000 0.0006923 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3381210.000000 MXN 188467.990000 USD 2026-06-17 974.970000 N N N N/A N/A 000000000 1.000000 NC 1474.750000 0.0010472 N/A DFE PL N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 365843.970000 PLN 100000.000000 USD 2026-06-17 1474.750000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 400000.000000 PA USD 405714.370000 0.288085 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC 3027.730000 0.0021499 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -382.130000 EUR 100000.000000 EUR 3409.860000 N N N N/A N/A 000000000 1.000000 NC -543.620000 -0.000386 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 87552.360000 USD 323000.000000 PLN 2026-04-15 -543.620000 N N N N/A N/A 000000000 1.000000 NC -606.180000 -0.0004304 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 75699880.000000 COP 20000.000000 USD 2026-04-06 -606.180000 N N N N/A N/A 000000000 1.000000 NC -443.930000 -0.0003152 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14990.280000 USD 54000.000000 PLN 2026-04-15 -443.930000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 401000.000000 PA 124978.470000 0.0887433 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC 368.790000 0.0002619 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9045.000000 USD 35909554.500000 COP 2026-09-16 368.790000 N N N N/A N/A 000000000 1.000000 NC USD -17709.710000 -0.0125751 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2026-05-05 0.000000 USD 0.000000 USD 332301.930000 USD -17709.710000 N N N UMBS PASS THRU POOLS N/A 01F032641 -80000.000000 PA USD -73350.270000 -0.0520838 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -614.120000 -0.0004361 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1350243.000000 TRY 29025.000000 USD 2026-04-22 -614.120000 N N N N/A N/A 000000000 1.000000 NC 194.390000 0.000138 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1575402.000000 JPY 10121.000000 USD 2026-04-02 194.390000 N N N N/A N/A 000000000 -100000.000000 NC USD -278.340000 -0.0001976 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05500 04/29/26-10Y LCH 2036-04-29 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2026-04-27 XXXX 74.160000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 14200000.000000 PA 4267385.840000 3.03014 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC 1724.220000 0.0012243 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 350909.000000 USD 33138968.690000 INR 2026-04-24 1724.220000 N N N N/A N/A 000000000 1.000000 NC 54578.360000 0.0387544 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2055-09-17 41583.460000 GBP 0.000000 GBP 880000.000000 GBP 12994.900000 N N N N/A N/A 000000000 1.000000 NC USD -503.800000 -0.0003577 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -290.000000 USD 100000.000000 USD -213.800000 N N N N/A N/A 000000000 1.000000 NC 9818.540000 0.0069718 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1741064.000000 USD 277873814.000000 JPY 2026-04-02 9818.540000 N N N N/A N/A 000000000 1.000000 NC 255.460000 0.0001814 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1407308160.000000 IDR 83000.000000 USD 2026-06-10 255.460000 N N N N/A N/A 000000000 1.000000 NC -4245.250000 -0.0030144 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 70905.890000 USD 2195445.000000 THB 2026-04-20 -4245.250000 N N N N/A N/A 000000000 1.000000 NC -66.770000 -0.0000474 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 77000.000000 SGD 59822.780000 USD 2026-04-02 -66.770000 N N N N/A N/A 000000000 -100000.000000 NC USD -287.530000 -0.0002042 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69500 04/29/26-10Y LCH 2036-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2026-04-27 XXXX 64.970000 N N N N/A N/A 000000000 1.000000 NC 29489.960000 0.0209399 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 18393164.210000 USD 15938617.170000 EUR 2026-04-02 29489.960000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-C N/A 78449CAB4 330211.910000 PA USD 335690.520000 0.238364 Long ABS-O CORP US N 2 2050-05-16 Floating 5.52223 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FZ1 100000.000000 PA USD 83952.210000 0.0596119 Long DBT CORP US N 2 2043-10-01 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 477.220000 0.0003389 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 197677.000000 MYR 49332.920000 USD 2026-04-15 477.220000 N N N N/A N/A 000000000 -800000.000000 NC USD -2363.120000 -0.001678 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.310000 USD 2026-04-06 XXXX -238.120000 N N N N/A N/A 000000000 1.000000 NC -1927.740000 -0.0013688 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 69258.560000 USD 6375596.740000 INR 2026-04-07 -1927.740000 N N N N/A N/A 000000000 1.000000 NC -494.870000 -0.0003514 N/A DFE CZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 89564.360000 USD 1891000.000000 CZK 2026-04-15 -494.870000 N N N N/A N/A 000000000 1.000000 NC -847.870000 -0.000602 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 20017.710000 USD 1815203.940000 INR 2026-04-07 -847.870000 N N N N/A N/A 000000000 1.000000 NC 35.000000 0.0000249 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 700000.000000 NOK 72286.900000 USD 2026-06-17 35.000000 N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 11442.020000 PA USD 10988.240000 0.0078024 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.58211 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI38VBK6 5000000.000000 PA 111677.400000 0.0792987 Long DBT NUSS TR N 2 2026-04-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 889.430000 0.0006316 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -71.000000 USD 20000.000000 USD 960.430000 N N N N/A N/A 000000000 1400000.000000 NC USD 167.160000 0.0001187 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2026-04-15 XXXX -11032.840000 N N N N/A N/A 000000000 2400000.000000 NC USD 154037.520000 0.109377 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -39642.480000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DD64 1400000.000000 PA USD 1399029.380000 0.993408 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 1042.420000 0.0007402 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 138404.910000 ILS 45154.000000 USD 2026-06-10 1042.420000 N N N N/A N/A 000000000 1.000000 NC -1349.570000 -0.0009583 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4840841.540000 TRY 106876.000000 USD 2026-04-08 -1349.570000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 16800000.000000 PA 975757.700000 0.692855 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N N/A N/A 000000000 -900000.000000 NC USD -2910.510000 -0.0020667 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08800 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-05-06 XXXX -1740.510000 N N N N/A N/A 000000000 1.000000 NC -1508.040000 -0.0010708 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 46074.000000 USD 155085.080000 PEN 2026-04-06 -1508.040000 N N N N/A N/A 000000000 1.000000 NC USD -2787271.720000 -1.97916 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2026-07-08 0.000000 USD 0.000000 USD 26279202.710000 USD -2787271.720000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 B1W32LII9 31270000.000000 PA 1485437.030000 1.05476 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-B N/A 83189DAD2 1100000.000000 PA USD 1081457.850000 0.76791 Long ABS-O CORP US N 2 2041-12-16 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 132.940000 0.0000944 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1640688.430000 ZAR 96963.000000 USD 2026-04-20 132.940000 N N N N/A N/A 000000000 1.000000 NC 355.430000 0.0002524 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 58678.830000 USD 88787524.000000 KRW 2026-04-09 355.430000 N N N N/A N/A 000000000 1.000000 NC -227.160000 -0.0001613 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 104773.660000 BRL 20000.000000 USD 2026-04-02 -227.160000 N N N N/A N/A 000000000 -79.000000 NC 343039.640000 0.243582 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-06-08 -10837841.150000 EUR 343039.640000 N N N N/A N/A 000000000 1.000000 NC -1955.660000 -0.0013887 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 163985.000000 USD 15226827.180000 INR 2026-04-24 -1955.660000 N N N N/A N/A 000000000 -1800000.000000 NC USD -727.200000 -0.0005164 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 75.000000 N N N N/A N/A 000000000 1.000000 NC 5082.880000 0.0036092 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1503712.410000 CAD 1087601.510000 USD 2026-05-04 5082.880000 N N N N/A N/A 000000000 1.000000 NC USD -358088.430000 -0.254267 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A RAE FUNDAMENTAL EMERGING MARKETS NET TOTAL RETURN Y 2026-08-05 0.000000 USD 0.000000 USD 4103069.110000 USD -358088.430000 N N N N/A N/A 000000000 1.000000 NC -311.020000 -0.0002208 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 29113.680000 USD 1746168.650000 PHP 2026-04-17 -311.020000 N N N N/A N/A 000000000 1.000000 NC USD 238711.240000 0.169502 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 S&P 500 INDEX N/A N/A Y 2026-04-01 0.000000 USD 0.000000 USD 4474550.480000 USD 238711.240000 N N N N/A N/A 000000000 1.000000 NC 164.770000 0.000117 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1596691.000000 TWD 50000.000000 USD 2026-04-23 164.770000 N N N N/A N/A 000000000 1.000000 NC 1034.280000 0.0007344 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 565000.000000 SEK 60717.480000 USD 2026-04-02 1034.280000 N N N N/A N/A 000000000 2500000.000000 NC USD 14674.500000 0.0104199 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2026-08-03 XXXX -34950.500000 N N N N/A N/A 000000000 1.000000 NC -412.630000 -0.000293 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 29456429.000000 KRW 2026-04-13 -412.630000 N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6QQ6 270000.000000 PA USD 226327.500000 0.160708 Long DBT NUSS EC N 2 2030-07-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -725.270000 -0.000515 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 60147.670000 USD 1010648247.000000 IDR 2026-06-10 -725.270000 N N N GNMA PASS THRU POOLS N/A 21H030641 -6300000.000000 PA USD -5625307.860000 -3.99436 Short ABS-MBS USGSE US N 2 2056-04-21 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 1584.350000 0.001125 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -276.250000 USD 100000.000000 USD 1860.600000 N N N N/A N/A 000000000 1.000000 NC 93.100000 0.0000661 N/A DFE CN N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 68478.040000 CNY 10035.250000 USD 2026-04-02 93.100000 N N N N/A N/A 000000000 1.000000 NC -3087.450000 -0.0021923 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 90073.120000 USD 305690.150000 PEN 2026-10-16 -3087.450000 N N N N/A N/A 000000000 1.000000 NC USD -637.410000 -0.0004526 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -337.500000 USD 100000.000000 USD -299.910000 N N N N/A N/A 000000000 1.000000 NC USD 162884.120000 0.115659 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 35004.750000 USD 0.000000 USD 2300000.000000 USD 127879.370000 N N N N/A N/A 000000000 200000.000000 NC USD 379.080000 0.0002692 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.06700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.070000 USD 2026-08-12 XXXX -1130.920000 N N N N/A N/A 000000000 1.000000 NC -16832.990000 -0.0119526 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2948608.000000 USD 2215000.000000 GBP 2026-04-02 -16832.990000 N N N N/A N/A 000000000 1.000000 NC 70017.050000 0.0497169 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2520000.000000 GBP 3405490.200000 USD 2026-04-02 70017.050000 N N N N/A N/A 000000000 -700000.000000 NC USD -620.900000 -0.0004409 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 100.280000 USD 2026-06-04 XXXX 910.350000 N N N N/A N/A 000000000 1.000000 NC 288.920000 0.0002052 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24000.000000 CHF 30303.930000 USD 2026-04-02 288.920000 N N N N/A N/A 000000000 -530000.000000 NC USD -3311.440000 -0.0023514 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.120000 USD 2026-04-23 XXXX -1869.840000 N N N N/A N/A 000000000 1.000000 NC 112067.340000 0.0795756 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 125768.390000 EUR 0.000000 EUR 560000.000000 EUR -13701.050000 N N N N/A N/A 000000000 1.000000 NC -11964.960000 -0.0084959 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3509090.610000 USD 2796301.670000 CHF 2026-04-02 -11964.960000 N N N N/A N/A 000000000 1.000000 NC -355.790000 -0.0002526 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 88774615.000000 KRW 58678.830000 USD 2026-04-15 -355.790000 N N N N/A N/A 000000000 1.000000 NC 232.060000 0.0001648 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 64000.000000 SGD 50010.390000 USD 2026-04-02 232.060000 N N N N/A N/A 000000000 1.000000 NC -5111.490000 -0.0036295 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1087601.510000 USD 1505784.290000 CAD 2026-04-02 -5111.490000 N N N N/A N/A 000000000 1.000000 NC 58034.850000 0.0412088 N/A DCR N/A N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 67429.400000 EUR 0.000000 EUR 290000.000000 EUR -9394.550000 N N N N/A N/A 000000000 1.000000 NC 2342.310000 0.0016632 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 128803618.000000 KRW 87996.000000 USD 2026-04-15 2342.310000 N N N N/A N/A 000000000 1.000000 NC -1882.570000 -0.0013368 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 87935.340000 USD 270000.000000 ILS 2026-06-10 -1882.570000 N N N N/A N/A 000000000 1.000000 NC -407.420000 -0.0002893 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46000.000000 EUR 52761.690000 USD 2026-04-02 -407.420000 N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 40551.500000 PA USD 31895.600000 0.0226481 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.83849 N N N N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 196737.570000 PA USD 198116.700000 0.140677 Long ABS-O CORP US N 2 2030-06-15 Fixed 5.89 N N N N N N N/A N/A 000000000 1.000000 NC -11846.970000 -0.0084122 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 374479.710000 USD 34337917.010000 INR 2026-04-07 -11846.970000 N N N N/A N/A 000000000 1.000000 NC 482.030000 0.0003423 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 457176.200000 THB 14359.000000 USD 2026-04-16 482.030000 N N N N/A N/A 000000000 1000000.000000 NC USD 79228.000000 0.0562574 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29600 02/08/28-30Y LCH 2058-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2028-02-04 XXXX 9228.000000 N N N N/A N/A 000000000 1.000000 NC 8220.730000 0.0058373 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 82871985.000000 JPY 530397.000000 USD 2026-04-02 8220.730000 N N N FNMA PASS THRU POOLS N/A 31371M2L0 156.500000 PA USD 161.810000 0.0001149 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 365.650000 0.0002596 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 952739.000000 THB 29268.940000 USD 2026-04-09 365.650000 N N N N/A N/A 000000000 1.000000 NC -2021.590000 -0.0014355 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 17283.990000 USD 2026-04-02 -2021.590000 N N N N/A N/A 000000000 -19600000.000000 NC USD -6051.300000 -0.0042968 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2026-05-20 XXXX 19101.200000 N N N N/A N/A 000000000 1.000000 NC 347.310000 0.0002466 N/A DFE HK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2056421.370000 HKD 262872.000000 USD 2026-04-20 347.310000 N N N N/A N/A 000000000 1.000000 NC USD 42187.950000 0.0299564 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-09-16 0.000000 USD -23663.310000 USD 3500000.000000 USD 65851.260000 N N N N/A N/A 000000000 1.000000 NC -9245.550000 -0.006565 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 160000.000000 USD 4971881.600000 THB 2026-04-02 -9245.550000 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAL7 200000.000000 PA USD 212770.240000 0.151082 Long DBT CORP US N 2 2033-11-21 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -1520.070000 -0.0010794 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3584335.740000 TRY 77367.000000 USD 2026-04-20 -1520.070000 N N N FREDDIE MAC REMICS 5565 N/A 3137HMGL8 2416920.510000 PA USD 2441374.190000 1.73354 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 11.460000 0.0000081 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 320545.000000 TWD 2026-04-17 11.460000 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 7482.800000 PA USD 7482.600000 0.0053132 Long ABS-O CORP US N 2 2038-04-25 Floating 5.09862 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 31540000.000000 PA USD 32113875.980000 22.8031 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 3111.480000 0.0022094 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 111732.050000 USD 2059892.000000 MXN 2026-04-15 3111.480000 N N N HAYFIN EMERALD CLO VI DAC 6A N/A ACI30X675 500000.000000 PA 577596.160000 0.410133 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.266 N N N N N N N/A N/A 000000000 1.000000 NC USD 264.290000 0.0001877 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 526.790000 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 119552.220000 PA USD 109549.860000 0.077788 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC 317.410000 0.0002254 N/A DFE CO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 590272608.120000 COP 158379.960000 USD 2026-06-17 317.410000 N N N N/A N/A 000000000 1.000000 NC 542.340000 0.0003851 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 317816.850000 ILS 101835.000000 USD 2026-06-10 542.340000 N N N N/A N/A 000000000 1.000000 NC -396.550000 -0.0002816 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1171875.790000 TRY 25973.000000 USD 2026-04-02 -396.550000 N N N N/A N/A 000000000 1.000000 NC USD -713.950000 -0.000507 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -172.500000 USD 50000.000000 USD -541.450000 N N N N/A N/A 000000000 1.000000 NC 8506.530000 0.0060402 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 608009.980000 USD 27790616.160000 TRY 2026-04-14 8506.530000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB N/A 78449DAC0 558815.720000 PA USD 556829.630000 0.395388 Long ABS-O CORP US N 2 2054-09-15 Floating 4.64303 N N N N N N N/A N/A 000000000 1.000000 NC 3830.950000 0.0027202 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-05-05 0.000000 EUR -341.270000 EUR 100000.000000 EUR 4172.220000 N N N N/A N/A 000000000 1.000000 NC -11514.870000 -0.0081764 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 392707.000000 USD 1542356.740000 MYR 2026-04-15 -11514.870000 N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 917269.560000 PA USD 919636.510000 0.653006 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 5.32812 N N N N N N N/A N/A 000000000 1.000000 NC -5037.440000 -0.0035769 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-13 0.000000 EUR -259.360000 EUR 100000.000000 EUR -4778.080000 N N N N/A N/A 000000000 -2.000000 NC 3667.300000 0.002604 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A EUIB 2027-06-14 -561569.830000 EUR 3667.300000 N N N N/A N/A 000000000 1.000000 NC -525.290000 -0.000373 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20982.000000 USD 1937058.240000 INR 2026-04-07 -525.290000 N N N UMBS PASS THRU POOLS N/A 01F052656 8360000.000000 PA USD 8387728.870000 5.95587 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 820000.000000 PA USD 719146.220000 0.510644 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 3 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 274789.830000 PA USD 248782.900000 0.176653 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.92303 N N N N N N N/A N/A 000000000 1.000000 NC -807.050000 -0.0005731 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 66466.260000 USD 2162463.210000 THB 2026-04-20 -807.050000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 143150.860000 PA USD 128105.910000 0.090964 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.13303 N N N N N N N/A N/A 000000000 1.000000 NC -68.290000 -0.0000485 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1207821.130000 TRY 25978.000000 USD 2026-05-06 -68.290000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 77570.900000 PA USD 76831.960000 0.054556 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.17303 N N N N N N N/A N/A 000000000 1.000000 NC -60.000000 -0.0000426 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 180737.490000 TRY 3976.360000 USD 2026-04-09 -60.000000 N N N UMBS PASS THRU POOLS N/A 01F050650 2020000.000000 PA USD 1989845.360000 1.41293 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5 N N N N N N N/A N/A 000000000 1300000.000000 NC USD 75874.760000 0.0538763 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/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -38525.240000 N N N N/A N/A 000000000 1.000000 NC -137.760000 -0.0000978 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3777097.920000 INR 40000.000000 USD 2026-04-30 -137.760000 N N N N/A N/A 000000000 1.000000 NC 70.410000 0.00005 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 29960471.000000 KRW 20000.000000 USD 2026-04-27 70.410000 N N N N/A N/A 000000000 1.000000 NC -171.190000 -0.0001216 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1020811.460000 ZAR 60075.000000 USD 2026-04-20 -171.190000 N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 37790BE49 1400000.000000 PA USD 1394692.600000 0.990328 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 USD 1051779.910000 0.746836 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 1242994.450000 USD 0.000000 USD 19020000.000000 USD -191214.540000 N N N N/A N/A 000000000 1.000000 NC 13.840000 0.0000098 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 60000.000000 ILS 19136.680000 USD 2026-06-10 13.840000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 3500000.000000 PA 1102048.910000 0.782531 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 1.000000 NC 65580.380000 0.0465666 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2824779.560000 NZD 1688839.660000 USD 2026-04-02 65580.380000 N N N N/A N/A 000000000 1.000000 NC USD -1828.060000 -0.001298 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-07 0.000000 USD -975.000000 USD 200000.000000 USD -853.060000 N N N N/A N/A 000000000 100000.000000 NC USD 265.170000 0.0001883 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2026-08-05 XXXX -1034.830000 N N N N/A N/A 000000000 1.000000 NC USD 341.220000 0.0002423 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 603.720000 N N N N/A N/A 000000000 1.000000 NC -330.010000 -0.0002343 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10027.580000 USD 36000.000000 PLN 2026-04-15 -330.010000 N N N N/A N/A 000000000 1.000000 NC -2796.410000 -0.0019856 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1200000.000000 ZAR 67713.630000 USD 2026-06-17 -2796.410000 N N N N/A N/A 000000000 1.000000 NC -309.210000 -0.0002196 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1456885.720000 TRY 31174.000000 USD 2026-05-04 -309.210000 N N N N/A N/A 000000000 530000.000000 NC USD 15656.730000 0.0111174 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.320000 USD 2026-04-23 XXXX 7726.340000 N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDP2 200000.000000 PA USD 205053.880000 0.145602 Long DBT CORP JP N 2 2034-07-09 Fixed 5.558 N N N N N N N/A N/A 000000000 1.000000 NC 34.850000 0.0000247 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 94366.000000 USD 1602662055.000000 IDR 2026-04-27 34.850000 N N N FREDDIE MAC 3368 N/A 31397KL82 30391.810000 PA USD 30462.500000 0.0216305 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 4.50671 N N N N N N N/A N/A 000000000 1.000000 NC 265.320000 0.0001884 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 74774500.000000 KRW 50000.000000 USD 2026-04-23 265.320000 N N N N/A N/A 000000000 -1800000.000000 NC USD -577.980000 -0.0004104 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.04900 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2026-04-06 XXXX 3330.590000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 688043.350000 PA USD 387209.670000 0.274946 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 10815.530000 0.0076798 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3207586.780000 DKK 506946.630000 USD 2026-04-07 10815.530000 N N N N/A N/A 000000000 1.000000 NC 572.010000 0.0004062 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15900549.000000 CLP 17741.000000 USD 2026-04-09 572.010000 N N N N/A N/A 000000000 1.000000 NC -304.120000 -0.0002159 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100599.000000 USD 3214832.000000 TWD 2026-04-27 -304.120000 N N N N/A N/A 000000000 1.000000 NC -8081.560000 -0.0057385 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 69140.750000 USD 2026-04-02 -8081.560000 N N N N/A N/A 000000000 1.000000 NC 1834.880000 0.0013029 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 20635557.900000 INR 219761.000000 USD 2026-04-07 1834.880000 N N N N/A N/A 000000000 1.000000 NC 2571.650000 0.001826 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85924.640000 USD 1586650.000000 MXN 2026-04-10 2571.650000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 24406.870000 PA USD 22933.740000 0.0162845 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.2876 N N N N N N N/A N/A 000000000 1.000000 NC -476.640000 -0.0003384 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 49327.990000 USD 197677.000000 MYR 2026-04-09 -476.640000 N N N N/A N/A 000000000 1.000000 NC 655.760000 0.0004656 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 32000.000000 CHF 40675.770000 USD 2026-04-02 655.760000 N N N N/A N/A 000000000 -2.000000 NC USD 2273.040000 0.001614 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2027-06-15 -481950.000000 USD 2273.040000 N N N N/A N/A 000000000 1.000000 NC 1464.430000 0.0010398 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2587148.960000 THB 80000.000000 USD 2026-04-17 1464.430000 N N N N/A N/A 000000000 1.000000 NC -588.970000 -0.0004182 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1362599.700000 TRY 29010.000000 USD 2026-04-30 -588.970000 N N N N/A N/A 000000000 1.000000 NC 713.440000 0.0005066 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2763900.000000 INR 30000.000000 USD 2026-04-09 713.440000 N N N N/A N/A 000000000 1.000000 NC -202.770000 -0.000144 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 76872.090000 SGD 59724.570000 USD 2026-05-04 -202.770000 N N N N/A N/A 000000000 1.000000 NC USD 831.790000 0.0005906 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -6189.920000 USD 8410000.000000 USD 7021.710000 N N N PETROLEOS DEL PERU SA - PETROPERU SA 549300ZMGDLC9JT2OR80 P7808BAB3 300000.000000 PA USD 210780.000000 0.149668 Long DBT CORP PE N 2 2047-06-19 Fixed 5.625 N N N N N N NELNET STUDENT LOAN TRUST 2021-CA N/A 64035GAA7 658756.800000 PA USD 655870.260000 0.465713 Long ABS-O CORP US N 2 2062-04-20 Floating 4.52952 N N N N N N N/A N/A 000000000 -1000000.000000 NC USD -404.000000 -0.0002869 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 46.000000 N N N N/A N/A 000000000 1.000000 NC 152587.630000 0.108348 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 14485462.070000 PEN 4299377.320000 USD 2026-06-17 152587.630000 N N N N/A N/A 000000000 1.000000 NC -1780.320000 -0.0012642 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 17525.260000 USD 2026-04-02 -1780.320000 N N N N/A N/A 000000000 1.000000 NC -2712.950000 -0.0019264 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 70213.130000 USD 2223095.000000 THB 2026-04-20 -2712.950000 N N N N/A N/A 000000000 1600000.000000 NC USD 94776.960000 0.0672982 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -46103.040000 N N N N/A N/A 000000000 1.000000 NC -2172.550000 -0.0015427 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 75719.000000 USD 1337053.670000 MXN 2026-09-17 -2172.550000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNN7 2300000.000000 PA USD 2296451.170000 1.63064 Long DBT UST US N 2 2030-07-31 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 35.330000 0.0000251 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2026-05-20 0.000000 USD 0.000000 USD 411207.900000 USD 35.330000 N N N N/A N/A 000000000 1.000000 NC -162228.740000 -0.115194 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 (09/16/26) LCH N/A N/A 2036-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2036-09-16 0.000000 GBP -35492.260000 GBP 3100000.000000 GBP -126736.480000 N N N N/A N/A 000000000 1.000000 NC -6442.630000 -0.0045747 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 200287.530000 USD 3495758.460000 MXN 2026-06-17 -6442.630000 N N N N/A N/A 000000000 1.000000 NC 4954.770000 0.0035182 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 859818.310000 ILS 278464.000000 USD 2026-04-06 4954.770000 N N N N/A N/A 000000000 1.000000 NC 3447.340000 0.0024478 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15201409.500000 INR 163985.000000 USD 2026-04-07 3447.340000 N N N N/A N/A 000000000 1.000000 NC -1259.640000 -0.0008944 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 29813.590000 USD 106000.000000 PLN 2026-04-15 -1259.640000 N N N BLUEMOUNTAIN CLO XXXIV LTD N/A 09631JAL0 500000.000000 PA USD 500119.620000 0.355119 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 4.81763 N N N N N N N/A N/A 000000000 -2100000.000000 NC USD -7776.300000 -0.0055217 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.58900 05/04/26-7Y LCH 2033-05-04 0.000000 USD 0.000000 USD N/A USD N/A 3.590000 USD 2026-04-30 XXXX 349.970000 N N N JABIL INC 5493000CGCQY2OQU7669 46652MD28 1500000.000000 PA USD 1499624.550000 1.06484 Long DBT CORP US N 2 2026-04-02 None 0 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -2045.130000 -0.0014522 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.5% APR 30YR N/A 101.110000 USD 2026-04-06 XXXX -1107.630000 N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 194493.940000 PA USD 195947.780000 0.139137 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.45303 N N N N N N N/A N/A 000000000 1.000000 NC -692.740000 -0.0004919 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 44 Y Single Leg Swap 2030-12-20 0.000000 EUR -801.850000 EUR 40000.000000 EUR 109.110000 N N N N/A N/A 000000000 1.000000 NC -199.660000 -0.0001418 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 29586258.000000 KRW 19474.040000 USD 2026-04-13 -199.660000 N N N N/A N/A 000000000 -230123.000000 NC USD -203.200000 -0.0001443 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 299.160000 N N N N/A N/A 000000000 1.000000 NC -218.760000 -0.0001553 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-02 0.000000 CZK 0.000000 CZK 600000.000000 CZK -218.760000 N N N N/A N/A 000000000 1.000000 NC -1070.190000 -0.0007599 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 448238.450000 ILS 141675.000000 USD 2026-05-05 -1070.190000 N N N N/A N/A 000000000 1.000000 NC USD 4840.120000 0.0034368 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-25 0.000000 USD 0.000000 USD 1990000.000000 USD 4840.120000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AT6 100000.000000 PA USD 98532.540000 0.0699649 Long DBT CORP US N 2 2034-09-15 Fixed 5.625 N N N N N N N/A N/A 000000000 -2300000.000000 NC USD -2674.510000 -0.0018991 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2026-06-17 XXXX 775.490000 N N N N/A N/A 000000000 23.000000 NC USD 1725.000000 0.0012249 N/A DCO US N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Call Purchased ICE FUTURES EUROPE 549300UF4R84F48NCH34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT EMFUT - CCA 2026 GE IFE 12/24/26 2026-12-25 N/A USD N/A 45.000000 USD 2026-12-15 XXXX -8262.140000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI3187G8 200000.000000 PA 3215.880000 0.0022835 Long DBT NUSS EG N 2 2026-10-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 368.790000 0.0002619 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9045.000000 USD 35909554.500000 COP 2026-09-16 368.790000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 1000000.000000 PA USD 1050347.820000 0.745819 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N N/A N/A 000000000 1.000000 NC USD 2208.130000 0.0015679 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-09-30 0.000000 USD 0.000000 USD 1300000.000000 USD 2208.130000 N N N N/A N/A 000000000 1.000000 NC USD 4367.120000 0.003101 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-27 0.000000 USD 0.000000 USD 3100000.000000 USD 4367.120000 N N N N/A N/A 000000000 1.000000 NC 983.110000 0.0006981 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 63910000.000000 CLP 70000.000000 USD 2026-04-16 983.110000 N N N ARES STRATEGIC INCOME FUND 549300IANZJVZPTICV54 04020EAL1 500000.000000 PA USD 495041.190000 0.351513 Long DBT CORP US N 2 2028-09-09 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC 141.220000 0.0001003 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11297.570000 USD 508345.460000 TRY 2026-04-02 141.220000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAC3 161772.270000 PA USD 162218.960000 0.115187 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.63 N N N N N N N/A N/A 000000000 1.000000 NC USD 695.060000 0.0004935 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -290.000000 USD 100000.000000 USD 985.060000 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDQ6 1400000.000000 PA USD 1396141.040000 0.991357 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N N/A N/A 000000000 1600000.000000 NC USD 5535.360000 0.0039305 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.21900 06/08/26-10Y LCH 2036-06-08 0.000000 USD 0.000000 USD N/A USD N/A 4.220000 USD 2026-06-04 XXXX -2304.640000 N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 187041.470000 PA USD 187053.160000 0.132821 Long ABS-MBS CORP US N 2 2035-04-15 Floating 4.745 N N N N N N N/A N/A 000000000 -2600000.000000 NC USD -34073.780000 -0.0241947 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2026-04-28 XXXX -9807.110000 N N N MASTR ASSET BACKED SEC TR 2007-HE1 N/A 576457AC9 369624.320000 PA USD 361464.050000 0.256664 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC -524.310000 -0.0003723 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 213540.000000 USD 20018307.300000 INR 2026-04-24 -524.310000 N N N N/A N/A 000000000 1.000000 NC 1578.160000 0.0011206 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3682612.620000 INR 40469.160000 USD 2026-04-07 1578.160000 N N N N/A N/A 000000000 1.000000 NC 592.840000 0.000421 N/A DFE HK N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2399748.480000 HKD 306947.000000 USD 2026-04-20 592.840000 N N N N/A N/A 000000000 1.000000 NC 10.090000 0.0000072 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 90000.000000 USD 1528119378.000000 IDR 2026-04-27 10.090000 N N N N/A N/A 000000000 1.000000 NC -408.040000 -0.0002897 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 266451.730000 USD 201000.000000 GBP 2026-04-02 -408.040000 N N N N/A N/A 000000000 1.000000 NC 368.790000 0.0002619 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9045.000000 USD 35909554.500000 COP 2026-09-16 368.790000 N N N N/A N/A 000000000 -530000.000000 NC USD -601.550000 -0.0004271 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.700000 USD 2026-04-23 XXXX 3726.960000 N N N N/A N/A 000000000 1.000000 NC 8236.770000 0.0058487 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4047544.800000 MXN 232679.030000 USD 2026-06-17 8236.770000 N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 577690.390000 PA USD 581481.140000 0.412892 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6019 N N N N N N N/A N/A 000000000 1.000000 NC -3629.610000 -0.0025773 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 200000.000000 BRL 34981.550000 USD 2026-04-02 -3629.610000 N N N N/A N/A 000000000 1.000000 NC 1347.410000 0.0009568 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 253067.450000 USD 40376911.000000 JPY 2026-04-02 1347.410000 N N N GNMA PASS THRU POOLS N/A 21H052652 2860000.000000 PA USD 2872852.100000 2.03992 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -1524.560000 -0.0010825 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -403.280000 EUR 100000.000000 EUR -1121.280000 N N N N/A N/A 000000000 1.000000 NC USD -4895.360000 -0.003476 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR US INDEX NTR Y 2026-07-15 0.000000 USD 0.000000 USD 109976.950000 USD -4895.360000 N N N N/A N/A 000000000 1.000000 NC 3209.200000 0.0022788 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4042524.510000 THB 125953.000000 USD 2026-04-20 3209.200000 N N N N/A N/A 000000000 1.000000 NC 2319.520000 0.001647 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 86068.920000 USD 1585114.000000 MXN 2026-04-13 2319.520000 N N N N/A N/A 000000000 1.000000 NC -2251.890000 -0.001599 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 120000.000000 USD 163762.640000 CAD 2026-04-06 -2251.890000 N N N N/A N/A 000000000 1.000000 NC 199.840000 0.0001419 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 157595550.000000 KRW 105000.000000 USD 2026-04-15 199.840000 N N N N/A N/A 000000000 1.000000 NC 582.360000 0.0004135 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 128000.000000 SGD 100139.020000 USD 2026-04-02 582.360000 N N N N/A N/A 000000000 1.000000 NC USD -424.560000 -0.0003015 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -352.500000 USD 100000.000000 USD -72.060000 N N N N/A N/A 000000000 8800000.000000 PA USD 8800000.000000 6.24861 Long RA US N 2 Repurchase N 3.710000 2026-04-01 8911500.000000 USD 8987038.860000 USD UST N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 158089.590000 PA USD 36415.560000 0.0258576 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.39303 N N N N N N N/A N/A 000000000 1.000000 NC -4343.740000 -0.0030844 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-01-06 0.000000 GBP -274.180000 GBP 100000.000000 GBP -4069.560000 N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A 63939KAC3 710023.800000 PA USD 711139.460000 0.504958 Long ABS-O CORP US N 2 2040-07-16 Floating 5.23699 N N N N N N N/A N/A 000000000 1.000000 NC -737.830000 -0.0005239 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 77803.000000 USD 746214.370000 NOK 2026-04-07 -737.830000 N N N N/A N/A 000000000 1.000000 NC USD 493.790000 0.0003506 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-20 0.000000 USD -413.750000 USD 100000.000000 USD 907.540000 N N N N/A N/A 000000000 1.000000 NC 163.530000 0.0001161 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 53873546.000000 KRW 36000.000000 USD 2026-04-27 163.530000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JQ1 100000.000000 PA USD 85383.260000 0.060628 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -8348.940000 -0.0059283 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 329759.650000 USD 257000.000000 CHF 2026-04-02 -8348.940000 N N N N/A N/A 000000000 1.000000 NC -97.470000 -0.0000692 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 9977.600000 USD 31000.000000 ILS 2026-06-10 -97.470000 N N N N/A N/A 000000000 1.000000 NC -1104.970000 -0.0007846 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 30197.680000 USD 108000.000000 PLN 2026-04-15 -1104.970000 N N N N/A N/A 000000000 1.000000 NC 15620.700000 0.0110918 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1451590.550000 PEN 430406.970000 USD 2026-07-24 15620.700000 N N N N/A N/A 000000000 600000.000000 NC USD 36446.580000 0.0258796 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -16353.420000 N N N N/A N/A 000000000 1.000000 NC 2352.280000 0.0016703 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9435703.800000 INR 102000.000000 USD 2026-04-07 2352.280000 N N N N/A N/A 000000000 1.000000 NC -481.140000 -0.0003416 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK -99.790000 CZK 200000.000000 CZK -381.350000 N N N FREDDIE MAC 3360 N/A 31397KE31 28833.010000 PA USD 28903.030000 0.0205231 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 4.50671 N N N N N N N/A N/A 000000000 1.000000 NC 5025.570000 0.0035685 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21181573.980000 INR 228718.000000 USD 2026-04-07 5025.570000 N N N N/A N/A 000000000 -213560.310000 PA USD -215013.110000 -0.152674 Short RA US N 2 Reverse repurchase N 3.100000 2028-01-12 200000.000000 USD 207094.000000 USD N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2P59J2 100000.000000 PA 2250.650000 0.0015981 Long DBT NUSS TR N 2 2026-08-19 Floating 39.64 N N N N N N N/A N/A 000000000 1.000000 NC -2847.270000 -0.0020218 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 110075.530000 USD 10153509.990000 INR 2026-04-07 -2847.270000 N N N N/A N/A 000000000 -5300000.000000 NC USD -2146.500000 -0.0015242 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 295.300000 N N N N/A N/A 000000000 1.000000 NC 1452.170000 0.0010311 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 336373.960000 ILS 108676.000000 USD 2026-06-17 1452.170000 N N N N/A N/A 000000000 1800000.000000 NC USD 2739.600000 0.0019453 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 380.400000 N N N N/A N/A 000000000 1.000000 NC 2164.610000 0.001537 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 284057.980000 ILS 92712.000000 USD 2026-06-17 2164.610000 N N N N/A N/A 000000000 1.000000 NC 133221.070000 0.0945962 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2956499.760000 CHF 3830694.510000 USD 2026-04-02 133221.070000 N N N N/A N/A 000000000 1.000000 NC 591.590000 0.0004201 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 84000.000000 EUR 97683.010000 USD 2026-04-02 591.590000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAC6 237864.460000 PA USD 238349.370000 0.169244 Long ABS-O CORP US N 2 2028-07-10 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC 4078.380000 0.0028959 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 537146.000000 USD 85895016.000000 JPY 2026-04-02 4078.380000 N N N N/A N/A 000000000 1.000000 NC 39.180000 0.0000278 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 358358400.000000 COP 96000.000000 USD 2026-06-17 39.180000 N N N N/A N/A 000000000 1.000000 NC -13177.530000 -0.009357 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3330868.000000 AUD 2284092.770000 USD 2026-05-04 -13177.530000 N N N N/A N/A 000000000 1.000000 NC -22.130000 -0.0000157 N/A DFE JP N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 29191.700000 USD 4600000.000000 JPY 2026-06-17 -22.130000 N N N N/A N/A 000000000 139900000.000000 NC USD 867268.080000 0.61582 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX 164620.330000 N N N N/A N/A 000000000 1.000000 NC -1020.200000 -0.0007244 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 702951.460000 USD 111400000.000000 JPY 2026-04-02 -1020.200000 N N N N/A N/A 000000000 1.000000 NC -3552.960000 -0.0025228 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 200000.000000 BRL 35058.200000 USD 2026-04-02 -3552.960000 N N N N/A N/A 000000000 1.000000 NC -2809.870000 -0.0019952 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -422.700000 EUR 100000.000000 EUR -2387.170000 N N N N/A N/A 000000000 1.000000 NC -952.020000 -0.000676 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 39286.340000 USD 3629900.670000 INR 2026-04-07 -952.020000 N N N N/A N/A 000000000 1.000000 NC -149.790000 -0.0001064 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 251022.570000 CNY 36385.620000 USD 2026-05-07 -149.790000 N N N N/A N/A 000000000 1.000000 NC USD -555727.600000 -0.394605 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-17 0.000000 USD -427820.220000 USD 4990000.000000 USD -127907.380000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 873923AC0 400000.000000 PA USD 397501.850000 0.282254 Long DBT CORP US N 2 2029-03-24 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2166.780000 0.0015386 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -272.500000 USD 100000.000000 USD 2439.280000 N N N N/A N/A 000000000 1.000000 NC -603.610000 -0.0004286 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 163908.000000 USD 2772451206.000000 IDR 2026-04-27 -603.610000 N N N N/A N/A 000000000 1.000000 NC 839.770000 0.0005963 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 500000.000000 SEK 53859.300000 USD 2026-06-17 839.770000 N N N N/A N/A 000000000 1.000000 NC USD -288.990000 -0.0002052 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -192.000000 USD 50000.000000 USD -96.990000 N N N N/A N/A 000000000 1.000000 NC -653.040000 -0.0004637 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 79695.050000 USD 1344335951.000000 IDR 2026-06-10 -653.040000 N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 52845.260000 PA USD 51869.890000 0.0368312 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 1000000.000000 PA USD 1006500.000000 0.714684 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 40463.760000 PA USD 41669.560000 0.0295883 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N N/A N/A 000000000 1.000000 NC -14259.910000 -0.0101255 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2036-09-16 0.000000 CAD -15004.650000 CAD 800000.000000 CAD 744.740000 N N N N/A N/A 000000000 1.000000 NC 347.390000 0.0002467 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12394.230000 USD 4241058.000000 HUF 2026-04-15 347.390000 N N N N/A N/A 000000000 1.000000 NC -84.280000 -0.0000598 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 14910228.000000 KRW 2026-04-17 -84.280000 N N N N/A N/A 000000000 1.000000 NC -3485.040000 -0.0024746 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 118000.000000 USD 10843492.000000 INR 2026-04-07 -3485.040000 N N N N/A N/A 000000000 1.000000 NC 199.640000 0.0001418 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 39657.170000 MYR 10000.000000 USD 2026-04-09 199.640000 N N N N/A N/A 000000000 1.000000 NC -7408.960000 -0.0052609 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 226813.120000 USD 318000.000000 AUD 2026-04-02 -7408.960000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI350557 11400000.000000 PA 205352.610000 0.145815 Long DBT NUSS EG N 2 2030-10-14 Fixed 19.698 N N N N N N HERTZ VEHICLE FINANCING III LLC 2024-1A N/A 42806MCK3 1000000.000000 PA USD 1014798.200000 0.720577 Long ABS-O CORP US N 2 2029-01-25 Fixed 5.44 N N N N N N N/A N/A 000000000 1.000000 NC 1979.550000 0.0014056 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 81517500.000000 CLP 90000.000000 USD 2026-04-09 1979.550000 N N N N/A N/A 000000000 1.000000 NC 931.530000 0.0006615 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 395000.000000 SEK 42656.960000 USD 2026-04-02 931.530000 N N N EURO-GALAXY V CLO BV 16-5A N/A ACI29B7N0 2497314.690000 PA 2889735.590000 2.05191 Long ABS-CBDO CORP IE N 2 2034-02-15 Floating 2.934 N N N N N N N/A N/A 000000000 1.000000 NC 10.730000 0.0000076 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6053.320000 THB 194.530000 USD 2026-04-20 10.730000 N N N N/A N/A 000000000 1.000000 NC 671.550000 0.0004768 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 138639.950000 PEN 40182.000000 USD 2026-09-16 671.550000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1473.450000 -0.0010463 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.76750 04/06/26-7Y LCH 2033-04-06 0.000000 USD 0.000000 USD N/A USD N/A 3.770000 USD 2026-04-02 XXXX 5426.550000 N N N N/A N/A 000000000 1000000.000000 NC USD 1522.000000 0.0010807 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 202.000000 N N N N/A N/A 000000000 1.000000 NC -2725.940000 -0.0019356 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 209207.610000 USD 156000.000000 GBP 2026-04-02 -2725.940000 N N N N/A N/A 000000000 1.000000 NC 1366.410000 0.0009702 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 43409.220000 USD 1992005.700000 TRY 2026-04-03 1366.410000 N N N N/A N/A 000000000 1.000000 NC -7593.670000 -0.005392 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 290385.000000 USD 1049811.470000 PLN 2026-04-22 -7593.670000 N N N N/A N/A 000000000 1.000000 NC -377806.640000 -0.268269 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2030-09-17 0.000000 GBP -74270.500000 GBP 14500000.000000 GBP -303536.140000 N N N N/A N/A 000000000 1.000000 NC USD -1351551.290000 -0.959695 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A RAE FUNDAMENTAL EMERGING MARKETS NET TOTAL RETURN Y 2026-07-08 0.000000 USD 0.000000 USD 15484239.120000 USD -1351551.290000 N N N FNMA PASS THRU POOLS N/A 31371M6G7 254.120000 PA USD 262.750000 0.0001866 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -1956.710000 -0.0013894 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 365182.970000 USD 467000.000000 SGD 2026-04-02 -1956.710000 N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 101786.380000 PA USD 54306.590000 0.0385614 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.20305 N N N N N N N/A N/A 000000000 1.000000 NC -13580.560000 -0.0096431 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 338844.000000 USD 30799394.800000 INR 2026-04-07 -13580.560000 N N N N/A N/A 000000000 1.000000 NC -1693.660000 -0.0012026 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 194939.330000 USD 146000.000000 GBP 2026-04-02 -1693.660000 N N N N/A N/A 000000000 1.000000 NC 964.210000 0.0006847 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3674739.480000 INR 39772.060000 USD 2026-04-07 964.210000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 256607.810000 PA USD 127338.700000 0.0904193 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.89303 N N N N N N N/A N/A 000000000 1.000000 NC 2525.950000 0.0017936 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 86962.370000 USD 1605108.000000 MXN 2026-04-15 2525.950000 N N N N/A N/A 000000000 1.000000 NC 368.790000 0.0002619 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9045.000000 USD 35909554.500000 COP 2026-09-16 368.790000 N N N N/A N/A 000000000 1.000000 NC USD -576.740000 -0.0004095 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2026-04-15 0.000000 USD 0.000000 USD 868922.080000 USD -576.740000 N N N N/A N/A 000000000 1.000000 NC -1699.420000 -0.0012067 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 142989.730000 USD 2548000.000000 MXN 2026-06-17 -1699.420000 N N N ANCHORAGE CREDIT FUNDING 14 LTD N/A 033295AA4 300000.000000 PA USD 286675.300000 0.203559 Long ABS-CBDO CORP KY N 2 2040-01-21 Fixed 3 N N N N N N N/A N/A 000000000 -20.000000 NC USD -16837.700000 -0.0119559 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -2325312.500000 USD -16837.700000 N N N N/A N/A 000000000 1.000000 NC 3141.120000 0.0022304 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16662696.330000 INR 179111.000000 USD 2026-04-07 3141.120000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 183276.180000 PA USD 69446.280000 0.0493117 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.03303 N N N N N N N/A N/A 000000000 230123.000000 NC USD 734.320000 0.0005214 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 -839.260000 N N N N/A N/A 000000000 1.000000 NC -782.760000 -0.0005558 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 120000.000000 USD 2023974852.000000 IDR 2026-04-27 -782.760000 N N N N/A N/A 000000000 1.000000 NC 3806.430000 0.0027028 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3479632.560000 THB 109426.000000 USD 2026-04-16 3806.430000 N N N N/A N/A 000000000 1.000000 NC -5237.140000 -0.0037187 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 71985.170000 USD 2026-04-02 -5237.140000 N N N N/A N/A 000000000 2000000.000000 NC USD 4542.200000 0.0032253 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.30000 06/04/26-7Y LCH 2033-06-04 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2026-06-02 XXXX -7419.520000 N N N N/A N/A 000000000 1.000000 NC 3434.640000 0.0024388 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 493298.000000 USD 78833953.000000 JPY 2026-04-02 3434.640000 N N N N/A N/A 000000000 1.000000 NC 95.660000 0.0000679 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10000.000000 USD 52294.000000 BRL 2026-04-02 95.660000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 27867.090000 PA USD 23388.710000 0.0166076 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC -141.550000 -0.0001005 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 252133185.000000 COP 67374.400000 USD 2026-06-17 -141.550000 N N N N/A N/A 000000000 1.000000 NC 2132.670000 0.0015143 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 302971.480000 ILS 98709.000000 USD 2026-06-17 2132.670000 N N N N/A N/A 000000000 1.000000 NC -39.660000 -0.0000282 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 138000.000000 CNY 19996.200000 USD 2026-04-02 -39.660000 N N N N/A N/A 000000000 1.000000 NC 2504.580000 0.0017784 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 19983073.200000 INR 213540.000000 USD 2026-04-07 2504.580000 N N N N/A N/A 000000000 1.000000 NC -46.420000 -0.000033 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 9926.550000 USD 31000.000000 ILS 2026-06-10 -46.420000 N N N N/A N/A 000000000 1.000000 NC -0.440000 -0.0000003 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14795.000000 USD 54726705.000000 COP 2026-04-30 -0.440000 N N N N/A N/A 000000000 1.000000 NC 5254.300000 0.0037309 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 128000.000000 USD 2279488.000000 ZAR 2026-08-19 5254.300000 N N N N/A N/A 000000000 1.000000 NC -2801.460000 -0.0019892 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 232008.000000 USD 21539854.730000 INR 2026-04-24 -2801.460000 N N N N/A N/A 000000000 32.000000 NC -14472.250000 -0.0102763 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 2379031.700000 AUD -14472.250000 N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 388128.730000 PA USD 184800.740000 0.131221 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.89303 N N N N N N N/A N/A 000000000 1.000000 NC 796.440000 0.0005655 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-06 0.000000 EUR -304.200000 EUR 100000.000000 EUR 1100.640000 N N N N/A N/A 000000000 1.000000 NC -446.040000 -0.0003167 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 126626.830000 BRL 24000.000000 USD 2026-04-02 -446.040000 N N N N/A N/A 000000000 1.000000 NC 4901.840000 0.0034806 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21504821.520000 INR 232008.000000 USD 2026-04-07 4901.840000 N N N N/A N/A 000000000 1.000000 NC -2671.070000 -0.0018966 N/A DFE NO N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 371248.000000 USD 3568893.600000 NOK 2026-04-07 -2671.070000 N N N N/A N/A 000000000 1.000000 NC -278.820000 -0.000198 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 89083.330000 CHF 111525.490000 USD 2026-05-04 -278.820000 N N N N/A N/A 000000000 139900000.000000 NC USD 473253.720000 0.336043 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX -229394.030000 N N N N/A N/A 000000000 -1500000.000000 NC USD -319.350000 -0.0002268 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX 2375.960000 N N N N/A N/A 000000000 1.000000 NC 28056.670000 0.0199222 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13428209.930000 ZAR 820562.000000 USD 2026-04-20 28056.670000 N N N N/A N/A 000000000 1.000000 NC -254.790000 -0.0001809 N/A DFE TW N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4618660.000000 TWD 144063.000000 USD 2026-04-13 -254.790000 N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 9848.960000 PA USD 9750.540000 0.0069236 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC USD -11350.150000 -0.0080594 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-09-17 0.000000 USD -30593.060000 USD 2200000.000000 USD 19242.910000 N N N N/A N/A 000000000 -3000000.000000 NC USD -9900.600000 -0.0070301 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08400 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-05-06 XXXX -6825.600000 N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC2 N/A 46657BAA2 648438.530000 PA USD 643975.390000 0.457267 Long ABS-MBS CORP US N 2 2063-11-25 Variable 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -5716.470000 -0.0040591 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 495174.300000 USD 1817000.000000 PLN 2026-04-15 -5716.470000 N N N N/A N/A 000000000 1.000000 NC 2080.810000 0.0014775 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 100000.000000 AUD 70999.220000 USD 2026-06-17 2080.810000 N N N N/A N/A 000000000 1.000000 NC -282.360000 -0.0002005 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9979.930000 USD 36000.000000 PLN 2026-04-15 -282.360000 N N N N/A N/A 000000000 2000000.000000 NC USD 2876.000000 0.0020422 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX -64.000000 N N N N/A N/A 000000000 3000000.000000 NC USD 0.300000 0.0000002 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26750 04/06/26-7Y LCH 2033-04-06 0.000000 USD 0.000000 USD N/A USD N/A 3.270000 USD 2026-04-02 XXXX -6842.680000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI17K571 847700000.000000 PA 162481.310000 0.115373 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.25 N N N N N N N/A N/A 000000000 100000.000000 NC USD 395.420000 0.0002808 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.32500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.330000 USD 2026-08-14 XXXX -834.580000 N N N N/A N/A 000000000 1.000000 NC 57328.200000 0.040707 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-08-22 0.000000 COP 0.000000 COP 2576450000.000000 COP 57328.200000 N N N N/A N/A 000000000 200000.000000 NC USD 347.320000 0.0002466 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/3.04750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2026-08-10 XXXX -1252.680000 N N N N/A N/A 000000000 1.000000 NC 64.330000 0.0000457 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 39915.240000 USD 678453305.000000 IDR 2026-04-09 64.330000 N N N N/A N/A 000000000 -1800000.000000 NC USD -10521.720000 -0.0074711 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95100 06/26/26-7Y LCH 2033-06-26 0.000000 USD 0.000000 USD N/A USD N/A 3.950000 USD 2026-06-24 XXXX 4870.200000 N N N N/A N/A 000000000 1.000000 NC 2459.610000 0.0017465 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 32652863.940000 INR 347297.000000 USD 2026-04-07 2459.610000 N N N N/A N/A 000000000 1.000000 NC 2917.220000 0.0020714 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 286000.000000 PLN 79959.010000 USD 2026-04-15 2917.220000 N N N N/A N/A 000000000 1.000000 NC -453.410000 -0.000322 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 351988.470000 BRL 67500.000000 USD 2026-04-02 -453.410000 N N N N/A N/A 000000000 1.000000 NC 12004.680000 0.0085242 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2786404.630000 CHF 3509090.610000 USD 2026-05-04 12004.680000 N N N N/A N/A 000000000 -200000.000000 NC USD -1044.760000 -0.0007419 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/20/26-10Y LCH 2036-04-20 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-04-16 XXXX -399.760000 N N N N/A N/A 000000000 44.000000 NC 20329.290000 0.0144352 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A 90SONIA 2027-06-15 13924806.260000 GBP 20329.290000 N N N FREDDIE MAC REMICS 5580 N/A 3137HMXM7 2599079.900000 PA USD 2620185.990000 1.86051 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 -538.610000 -0.0003825 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 66696.580000 USD 2178890.000000 THB 2026-04-20 -538.610000 N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDP9 1400000.000000 PA USD 1396418.660000 0.991554 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N VIPER ENERGY PARTNERS LLC 54930010ZZ02MRGRI973 92764MAB0 100000.000000 PA USD 100840.500000 0.0716037 Long DBT CORP US N 2 2035-08-01 Fixed 5.7 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQBT8 433930.670000 PA USD 429568.340000 0.305023 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 478.920000 0.0003401 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 55110000.000000 CLP 60000.000000 USD 2026-04-23 478.920000 N N N N/A N/A 000000000 1.000000 NC -7.180000 -0.0000051 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 39554.000000 USD 2396814.180000 PHP 2026-04-13 -7.180000 N N N N/A N/A 000000000 1.000000 NC 458.380000 0.0003255 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 28000.000000 CHF 35475.890000 USD 2026-04-02 458.380000 N N N N/A N/A 000000000 1020000.000000 NC USD 72895.320000 0.0517607 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 18.000000 USD 2026-08-19 XXXX 28136.700000 N N N N/A N/A 000000000 1.000000 NC 3974.430000 0.0028221 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 466326.440000 PLN 129592.000000 USD 2026-04-15 3974.430000 N N N N/A N/A 000000000 1.000000 NC 817.690000 0.0005806 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-03 0.000000 EUR -316.100000 EUR 100000.000000 EUR 1133.790000 N N N N/A N/A 000000000 1.000000 NC 57838.230000 0.0410691 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3681009.610000 SGD 2920877.520000 USD 2026-04-02 57838.230000 N N N N/A N/A 000000000 1.000000 NC USD -74913.390000 -0.0531937 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2026-06-10 0.000000 USD 0.000000 USD 1734704.890000 USD -74913.390000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 3200000.000000 PA 184667.210000 0.131127 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N N/A N/A 000000000 1.000000 NC 4011.490000 0.0028484 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 519385.710000 PLN 143922.000000 USD 2026-04-15 4011.490000 N N N N/A N/A 000000000 -359877.000000 NC USD -287.540000 -0.0002042 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 994.270000 N N N N/A N/A 000000000 1.000000 NC -7360.520000 -0.0052265 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 364754.720000 USD 518000.000000 AUD 2026-04-02 -7360.520000 N N N N/A N/A 000000000 1.000000 NC 634.470000 0.0004505 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2130000.000000 MXN 118746.070000 USD 2026-06-17 634.470000 N N N N/A N/A 000000000 1.000000 NC 22129.710000 0.0157136 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1762935.370000 CAD 1289482.520000 USD 2026-04-02 22129.710000 N N N N/A N/A 000000000 2000000.000000 NC USD 6240.600000 0.0044313 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/3.88900 05/04/26-7Y LCH 2033-05-04 0.000000 USD 0.000000 USD N/A USD N/A 3.890000 USD 2026-04-30 XXXX -1844.510000 N N N N/A N/A 000000000 1.000000 NC -18240.650000 -0.0129521 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 12886.310000 AUD 0.000000 AUD 700000.000000 AUD -31126.960000 N N N N/A N/A 000000000 1.000000 NC 5319.270000 0.003777 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -267.940000 EUR 100000.000000 EUR 5587.210000 N N N N/A N/A 000000000 100000.000000 NC USD 21.690000 0.0000154 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-04-06 XXXX -238.310000 N N N NEUBERGER BERMAN LOAN ADVISERS LASALLE STREET LENDING CLO I LTD 2023-1A N/A 640977AN4 1000000.000000 PA USD 1000125.710000 0.710158 Long ABS-CBDO CORP JE N 2 2036-10-25 Floating 4.91802 N N N N N N N/A N/A 000000000 1.000000 NC 1928.770000 0.0013696 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-19 0.000000 EUR -263.360000 EUR 100000.000000 EUR 2192.130000 N N N N/A N/A 000000000 1.000000 NC 82.630000 0.0000587 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 188000.000000 ILS 60000.850000 USD 2026-06-10 82.630000 N N N N/A N/A 000000000 1.000000 NC -170.240000 -0.0001209 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 34442.470000 USD 119263.940000 PEN 2026-04-06 -170.240000 N N N N/A N/A 000000000 1.000000 NC -15248.650000 -0.0108276 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 353758.000000 USD 32053658.620000 INR 2026-04-07 -15248.650000 N N N N/A N/A 000000000 1.000000 NC 260863.660000 0.185231 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4121502.620000 USD 22700000.000000 BRL 2026-04-02 260863.660000 N N N N/A N/A 000000000 1.000000 NC -1895.550000 -0.001346 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 308934119.000000 COP 80830.490000 USD 2026-06-17 -1895.550000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UQ8 100000.000000 PA USD 98891.540000 0.0702198 Long DBT UST US N 2 2026-07-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2952.780000 -0.0020967 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 228718.000000 USD 21216453.480000 INR 2026-04-24 -2952.780000 N N N N/A N/A 000000000 1.000000 NC -335.670000 -0.0002383 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26008236.000000 COP 6744.000000 USD 2026-04-06 -335.670000 N N N N/A N/A 000000000 1.000000 NC USD -29208.400000 -0.02074 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-04-03 0.000000 USD -58494.660000 USD 5400000.000000 USD 29286.260000 N N N N/A N/A 000000000 -2700000.000000 NC USD -2194.210000 -0.001558 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2026-05-20 XXXX 1059.290000 N N N STWD 2022-FL3 LTD N/A 78485KAA3 290897.410000 PA USD 290538.620000 0.206303 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.02223 N N N N N N N/A N/A 000000000 1.000000 NC 480.130000 0.0003409 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 17228.000000 USD 66129678.000000 COP 2026-06-17 480.130000 N N N N/A N/A 000000000 1.000000 NC USD -1508120.820000 -1.07087 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2026-07-15 0.000000 USD 0.000000 USD 15836244.600000 USD -1508120.820000 N N N GNMA PASS THRU POOLS N/A 3618N5EU9 391365.320000 PA USD 388293.900000 0.275716 Long ABS-MBS USGSE US N 2 2055-01-20 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 81.310000 0.0000577 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 300429.000000 MXN 16740.540000 USD 2026-06-17 81.310000 N N N N/A N/A 000000000 1.000000 NC 2628.090000 0.0018661 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 9105326.610000 INR 98786.790000 USD 2026-04-07 2628.090000 N N N N/A N/A 000000000 1.000000 NC -25.250000 -0.0000179 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15191.000000 USD 22802948.000000 KRW 2026-04-20 -25.250000 N N N N/A N/A 000000000 1.000000 NC -805.240000 -0.0005718 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1777684.540000 TRY 38684.000000 USD 2026-04-13 -805.240000 N N N N/A N/A 000000000 1.000000 NC -278.450000 -0.0001977 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7494392.170000 TRY 168360.340000 USD 2026-04-01 -278.450000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UC9 11442000.000000 PA USD 11339265.160000 8.05166 Long DBT UST US N 2 2026-06-30 None 0 N N N N N N N/A N/A 000000000 13800000.000000 NC USD 11913.540000 0.0084594 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% MAY 30YR N/A 99.090000 USD 2026-05-06 XXXX 7601.040000 N N N N/A N/A 000000000 -100000.000000 NC USD -124.960000 -0.0000887 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62000 04/22/26-10Y LCH 2036-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2026-04-20 XXXX 205.040000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 178648.630000 PA USD 168170.740000 0.119413 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.75303 N N N N N N N/A N/A 000000000 1.000000 NC -543.210000 -0.0003857 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 175581.000000 USD 16449305.990000 INR 2026-04-24 -543.210000 N N N N/A N/A 000000000 1.000000 NC 197.960000 0.0001406 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 20939.000000 USD 7035452.000000 HUF 2026-04-15 197.960000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2XSL83 600000.000000 PA 176053.330000 0.12501 Long DBT NUSS PE N 2 2035-08-12 Fixed 6.85 N N N N N N MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC N/A 59319CAA3 600000.000000 PA USD 600708.910000 0.426545 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 4823.710000 0.0034252 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 470399.970000 PEN 140000.000000 USD 2026-04-06 4823.710000 N N N N/A N/A 000000000 1.000000 NC -7854.640000 -0.0055773 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 69367.670000 USD 2026-04-02 -7854.640000 N N N N/A N/A 000000000 1.000000 NC USD 7715.910000 0.0054788 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2036-06-17 11263.710000 USD 0.000000 USD 669000.000000 USD -3547.800000 N N N N/A N/A 000000000 1.000000 NC 70.290000 0.0000499 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 620000.000000 MXN 34450.190000 USD 2026-06-17 70.290000 N N N GNMA PASS THRU POOLS N/A 21H060655 2820000.000000 PA USD 2864419.260000 2.03394 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 6 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Z7LJ3 6692100000.000000 PA 1659212.350000 1.17816 Long DBT NUSS CO N 2 2035-01-24 Fixed 11.75 N N N N N N N/A N/A 000000000 1.000000 NC 1521.670000 0.0010805 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33083700.520000 INR 350909.000000 USD 2026-04-07 1521.670000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 23310.760000 PA USD 19914.450000 0.0141406 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.45436 N N N N N N NORTHWOODS CAPITAL XIV-B LTD N/A 66860CAL7 433716.020000 PA USD 434203.540000 0.308314 Long ABS-CBDO CORP KY N 2 2031-11-13 Floating 4.88308 N N N N N N N/A N/A 000000000 1.000000 NC -17672.830000 -0.0125489 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2737584.720000 USD 3496990.720000 SGD 2026-04-02 -17672.830000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 397.080000 PA USD 349.400000 0.0002481 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.11092 N N N N N N N/A N/A 000000000 1.000000 NC 594.740000 0.0004223 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6383800.000000 TWD 200000.000000 USD 2026-04-16 594.740000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAU5 300000.000000 PA USD 284771.480000 0.202207 Long DBT UST US N 2 2027-10-31 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -29093.310000 -0.0206583 N/A DFE CL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 596099.820000 USD 524925501.000000 CLP 2026-09-16 -29093.310000 N N N FREDDIE MAC-3289 N/A 31397FNM0 23282.710000 PA USD 23071.410000 0.0163823 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 4.16671 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -566.380000 -0.0004022 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/22/26-10Y LCH 2036-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-04-20 XXXX -236.380000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4R9 700000.000000 PA USD 693054.580000 0.492117 Long DBT CORP US N 2 2030-07-17 Fixed 5.033 N N N N N N N/A N/A 000000000 1.000000 NC 3901.050000 0.00277 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 475374.660000 PLN 131956.000000 USD 2026-04-15 3901.050000 N N N N/A N/A 000000000 100000.000000 NC USD 348.540000 0.0002475 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/3.29750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2026-08-10 XXXX -901.460000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI302XY4 243162480.000000 PA 63468.540000 0.045067 Long DBT NUSS CO N 2 2031-01-22 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -2669.670000 -0.0018957 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 200000.000000 BRL 35941.490000 USD 2026-04-02 -2669.670000 N N N N/A N/A 000000000 2700000.000000 NC USD 150569.010000 0.106914 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62800 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-20 XXXX -83318.490000 N N N N/A N/A 000000000 1.000000 NC 364218.810000 0.25862 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 420647.960000 EUR 0.000000 EUR 1820000.000000 EUR -56429.150000 N N N N/A N/A 000000000 1.000000 NC 1323.300000 0.0009396 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5081790.000000 MXN 283115.960000 USD 2026-06-17 1323.300000 N N N N/A N/A 000000000 -2400000.000000 NC USD -19614.240000 -0.0139275 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -2725.350000 N N N N/A N/A 000000000 1.000000 NC USD -25172.870000 -0.0178745 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2026-06-03 0.000000 USD 0.000000 USD 463073.280000 USD -25172.870000 N N N N/A N/A 000000000 1.000000 NC USD -284064.260000 -0.201705 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2026-12-09 0.000000 USD 0.000000 USD 5316830.880000 USD -284064.260000 N N N N/A N/A 000000000 1.000000 NC 264.880000 0.0001881 N/A DFE HK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 985000.000000 HKD 126010.910000 USD 2026-04-20 264.880000 N N N N/A N/A 000000000 1.000000 NC 360.150000 0.0002557 N/A DFE HU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 19829.080000 USD 6720000.000000 HUF 2026-04-15 360.150000 N N N N/A N/A 000000000 1.000000 NC 199.620000 0.0001417 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19474.040000 USD 29584700.000000 KRW 2026-04-15 199.620000 N N N N/A N/A 000000000 1.000000 NC 1061.260000 0.0007536 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 55000.000000 EUR 64633.020000 USD 2026-04-02 1061.260000 N N N N/A N/A 000000000 2500000.000000 NC USD 1671.750000 0.0011871 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.260000 USD 2026-04-28 XXXX -22137.770000 N N N N/A N/A 000000000 1.000000 NC -14585.670000 -0.0103568 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 377139.000000 USD 34330397.460000 INR 2026-04-07 -14585.670000 N N N N/A N/A 000000000 1.000000 NC -17651.010000 -0.0125334 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 728798.590000 USD 658607996.000000 CLP 2026-04-09 -17651.010000 N N N N/A N/A 000000000 1.000000 NC USD -315762.460000 -0.224213 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2026-05-20 0.000000 USD 0.000000 USD 2976986.540000 USD -315762.460000 N N N N/A N/A 000000000 1.000000 NC -216.170000 -0.0001535 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1477832.930000 TRY 32266.390000 USD 2026-04-21 -216.170000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KF3 100000.000000 PA USD 101015.690000 0.0717281 Long DBT CORP US N 2 2027-06-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -30.380000 -0.0000216 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 51955.870000 BRL 10000.000000 USD 2026-04-02 -30.380000 N N N N/A N/A 000000000 1.000000 NC -124.330000 -0.0000883 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3000.000000 USD 11643.600000 MYR 2026-04-02 -124.330000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI30CS02 1200000.000000 PA 70056.530000 0.049745 Long DBT NUSS ZA N 2 2026-06-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 96.220000 0.0000683 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13161.130000 USD 589163.250000 TRY 2026-04-01 96.220000 N N N BX COMMERCIAL MORTGAGE TRUST 2022-AHP N/A 05610FAA5 2951748.200000 PA USD 2952095.330000 2.09619 Long ABS-MBS CORP US N 2 2039-01-17 Floating 4.66251 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4 N/A 59023EAE8 366459.740000 PA USD 74969.340000 0.0532334 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1.000000 NC 10489.820000 0.0074485 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24857250.600000 INR 273000.000000 USD 2026-04-07 10489.820000 N N N N/A N/A 000000000 1.000000 NC 997.340000 0.0007082 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 88740000.000000 KRW 60000.000000 USD 2026-04-09 997.340000 N N N N/A N/A 000000000 1.000000 NC 2333.730000 0.0016571 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-04 0.000000 EUR -136.150000 EUR 100000.000000 EUR 2469.880000 N N N N/A N/A 000000000 1.000000 NC 1977.450000 0.0014041 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4971881.600000 THB 152731.900000 USD 2026-04-02 1977.450000 N N N N/A N/A 000000000 1.000000 NC -321.030000 -0.000228 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1185251.880000 TRY 25973.000000 USD 2026-04-14 -321.030000 N N N N/A N/A 000000000 1.000000 NC 4628.530000 0.0032866 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 364000.000000 PLN 102681.720000 USD 2026-04-15 4628.530000 N N N N/A N/A 000000000 -2400000.000000 NC USD -34344.240000 -0.0243868 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 06/04/26-7Y LCH 2033-06-04 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-06-02 XXXX -22344.240000 N N N N/A N/A 000000000 1.000000 NC -61.820000 -0.0000439 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60000.000000 USD 1973580.000000 THB 2026-04-23 -61.820000 N N N N/A N/A 000000000 1.000000 NC 150.400000 0.0001068 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 78000.000000 EUR 90306.720000 USD 2026-04-02 150.400000 N N N N/A N/A 000000000 1.000000 NC -16139.910000 -0.0114605 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 129.670000 BRL 0.000000 BRL 9000000.000000 BRL -16269.580000 N N N N/A N/A 000000000 1.000000 NC -1356.710000 -0.0009634 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 133700000.000000 COP 35000.000000 USD 2026-04-10 -1356.710000 N N N N/A N/A 000000000 1.000000 NC 1673.120000 0.001188 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 348046.000000 USD 32865113.670000 INR 2026-04-24 1673.120000 N N N N/A N/A 000000000 -500000.000000 NC USD -1615.650000 -0.0011472 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% APR 30YR N/A 102.230000 USD 2026-04-06 XXXX -775.810000 N N N N/A N/A 000000000 1.000000 NC -8328.060000 -0.0059135 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2036-09-16 10469.790000 AUD 0.000000 AUD 1700000.000000 AUD -18797.850000 N N N N/A N/A 000000000 1.000000 NC -1817.680000 -0.0012907 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 205051.000000 USD 3456565212.000000 IDR 2026-06-10 -1817.680000 N N N N/A N/A 000000000 1.000000 NC -987.820000 -0.0007014 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 131000.000000 EUR 150428.560000 USD 2026-04-02 -987.820000 N N N N/A N/A 000000000 1.000000 NC 346.690000 0.0002462 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 87000.000000 CHF 109151.090000 USD 2026-04-02 346.690000 N N N N/A N/A 000000000 1.000000 NC 1483.000000 0.001053 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20600000.000000 JPY 131283.570000 USD 2026-04-02 1483.000000 N N N N/A N/A 000000000 1.000000 NC -1111.870000 -0.0007895 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 257742800.000000 COP 67906.220000 USD 2026-06-17 -1111.870000 N N N N/A N/A 000000000 1.000000 NC 216.810000 0.000154 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 135579.720000 USD 6283984.440000 TRY 2026-05-04 216.810000 N N N N/A N/A 000000000 1.000000 NC -13402.030000 -0.0095164 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 339035.000000 USD 30834385.660000 INR 2026-04-07 -13402.030000 N N N N/A N/A 000000000 -800000.000000 NC USD -2676.160000 -0.0019003 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.230000 USD 2026-04-06 XXXX -551.160000 N N N N/A N/A 000000000 200000.000000 NC USD 79.900000 0.0000567 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -1328.550000 N N N N/A N/A 000000000 1300000.000000 NC USD 68125.070000 0.0483735 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/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -46274.930000 N N N N/A N/A 000000000 1.000000 NC -42155.000000 -0.029933 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 16600000.000000 BRL -42155.000000 N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 15045.040000 PA USD 13431.240000 0.0095371 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.17968 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 52083.460000 PA USD 47824.390000 0.0339586 Long ABS-MBS CORP US N 2 2042-05-25 Floating 4.26 N N N N N N N/A N/A 000000000 1.000000 NC -11789.130000 -0.0083711 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 370180.000000 USD 33936251.500000 INR 2026-04-07 -11789.130000 N N N N/A N/A 000000000 1.000000 NC -3.320000 -0.0000024 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 420382.090000 THB 12822.000000 USD 2026-06-17 -3.320000 N N N N/A N/A 000000000 1.000000 NC USD -50984.490000 -0.0362025 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAFI DYNAMIC MULTI-FACTOR DEVELOPED EX-US INDEX NTR Y 2026-05-20 0.000000 USD 0.000000 USD 535370.000000 USD -50984.490000 N N N N/A N/A 000000000 1.000000 NC -181.780000 -0.0001291 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 90000.000000 USD 2877722.000000 TWD 2026-04-23 -181.780000 N N N N/A N/A 000000000 1.000000 NC -1162.000000 -0.0008251 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 49417.870000 USD 195250.000000 MYR 2026-04-15 -1162.000000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 4400000.000000 PA 243043.040000 0.172577 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N ST PAUL'S CLO VIII DAC 8A N/A ACI29C1K0 278473.630000 PA 322200.760000 0.228785 Long ABS-CBDO CORP IE N 2 2030-07-17 Floating 2.786 N N N N N N N/A N/A 000000000 1.000000 NC 1067.920000 0.0007583 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 141675.000000 USD 448734.310000 ILS 2026-04-06 1067.920000 N N N N/A N/A 000000000 1.000000 NC -173.150000 -0.0001229 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 27901.260000 USD 87000.000000 ILS 2026-06-10 -173.150000 N N N N/A N/A 000000000 1.000000 NC 1331.380000 0.0009454 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 49674.000000 USD 914398.990000 MXN 2026-04-09 1331.380000 N N N N/A N/A 000000000 1.000000 NC 2325.140000 0.001651 N/A DFE SE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 7774826.810000 SEK 824976.740000 USD 2026-05-04 2325.140000 N N N N/A N/A 000000000 1.000000 NC 6107.790000 0.004337 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2268779.560000 NZD 1311229.800000 USD 2026-05-04 6107.790000 N N N N/A N/A 000000000 1.000000 NC 278.950000 0.0001981 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 111525.490000 USD 89398.830000 CHF 2026-04-02 278.950000 N N N N/A N/A 000000000 1.000000 NC 314.590000 0.0002234 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 506501258.000000 IDR 30095.000000 USD 2026-06-10 314.590000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 7890000.000000 PA 437009.360000 0.310307 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 700000.000000 PA USD 694386.010000 0.493062 Long DBT CORP US N 2 2028-03-24 Floating 3.526 N N N N N N N/A N/A 000000000 1.000000 NC -156.460000 -0.0001111 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 760460.830000 CZK 35662.610000 USD 2026-04-15 -156.460000 N N N N/A N/A 000000000 1.000000 NC 4621.450000 0.0032815 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 133115.480000 USD 525406799.560000 COP 2026-09-16 4621.450000 N N N N/A N/A 000000000 1.000000 NC -15506.780000 -0.0110109 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 4700000.000000 BRL -15506.780000 N N N N/A N/A 000000000 1.000000 NC USD 26892.480000 0.0190955 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.45 Y Single Leg Swap 2030-12-20 37719.000000 USD 0.000000 USD 495000.000000 USD -10826.520000 N N N N/A N/A 000000000 1.000000 NC -725.250000 -0.000515 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 78583.000000 USD 1324194275.000000 IDR 2026-06-10 -725.250000 N N N N/A N/A 000000000 1.000000 NC -436.770000 -0.0003101 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 18578.670000 USD 1717867.430000 INR 2026-04-07 -436.770000 N N N N/A N/A 000000000 1.000000 NC 300.310000 0.0002132 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 44152173.000000 KRW 29662.000000 USD 2026-04-16 300.310000 N N N N/A N/A 000000000 1.000000 NC 674.320000 0.0004788 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 206580.000000 PEN 60000.000000 USD 2026-04-16 674.320000 N N N N/A N/A 000000000 1.000000 NC -309.480000 -0.0002198 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 959172.500000 TRY 20773.000000 USD 2026-04-21 -309.480000 N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 45420.000000 PA USD 31643.400000 0.022469 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.93369 N N N N N N N/A N/A 000000000 1.000000 NC -25.560000 -0.0000181 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 38000.000000 PLN 10210.760000 USD 2026-04-15 -25.560000 N N N N/A N/A 000000000 1.000000 NC 342.150000 0.000243 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR 673.500000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 376449.490000 PA USD 173083.910000 0.122902 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.00303 N N N N N N N/A N/A 000000000 1.000000 NC USD -24876.660000 -0.0176641 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1400000.000000 USD -24876.660000 N N N N/A N/A 000000000 1.000000 NC -5169.320000 -0.0036706 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 152351.490000 USD 2654252.420000 MXN 2026-06-17 -5169.320000 N N N N/A N/A 000000000 1.000000 NC 248.670000 0.0001766 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 265000.000000 SEK 28241.680000 USD 2026-04-02 248.670000 N N N N/A N/A 000000000 1.000000 NC -616.690000 -0.0004379 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 109054369.800000 COP 28953.000000 USD 2026-04-20 -616.690000 N N N N/A N/A 000000000 1.000000 NC 125732.240000 0.0892786 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 116142.580000 EUR 0.000000 EUR 4990000.000000 EUR 9589.660000 N N N N/A N/A 000000000 1.000000 NC -404.070000 -0.0002869 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 72208.080000 USD 1294106.000000 MXN 2026-06-10 -404.070000 N N N N/A N/A 000000000 1.000000 NC 825.480000 0.0005861 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1252941.000000 TWD 40000.000000 USD 2026-04-07 825.480000 N N N N/A N/A 000000000 1.000000 NC -72591.510000 -0.051545 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-09-17 0.000000 GBP -49890.320000 GBP 1700000.000000 GBP -22701.190000 N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 43402.860000 PA USD 22724.150000 0.0161357 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.71831 N N N N N N N/A N/A 000000000 1.000000 NC -1438.720000 -0.0010216 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 800000.000000 BRL -1438.720000 N N N N/A N/A 000000000 1.000000 NC USD -81129.440000 -0.0576075 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2026-04-01 0.000000 USD 0.000000 USD 1478335.650000 USD -81129.440000 N N N N/A N/A 000000000 1.000000 NC 45247.780000 0.032129 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 359484000.000000 JPY 2310356.000000 USD 2026-04-02 45247.780000 N N N N/A N/A 000000000 2800000.000000 NC USD 19.880000 0.0000141 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44900 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2026-04-06 XXXX -3849.210000 N N N UMBS PASS THRU POOLS N/A 01F032641 160000.000000 PA USD 146700.550000 0.104168 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 3.5 N N N N N N N/A N/A 000000000 10600000.000000 NC USD 25392.190000 0.0180302 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-06-17 XXXX 6312.190000 N N N N/A N/A 000000000 1.000000 NC 1546.020000 0.0010978 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32810296.420000 INR 348046.000000 USD 2026-04-07 1546.020000 N N N N/A N/A 000000000 1.000000 NC -1816.350000 -0.0012897 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 152778.360000 USD 4971881.600000 THB 2026-04-20 -1816.350000 N N N N/A N/A 000000000 1.000000 NC -179.000000 -0.0001271 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 264108.410000 CNY 38261.000000 USD 2026-05-07 -179.000000 N N N N/A N/A 000000000 1.000000 NC -5685.920000 -0.0040374 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2008154.900000 BRL 382000.000000 USD 2026-04-02 -5685.920000 N N N UMBS PASS THRU POOLS N/A 01F042657 3010000.000000 PA USD 2902197.900000 2.06076 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4.5 N N N N N N N/A N/A 000000000 -24.000000 NC USD 13662.050000 0.009701 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -2722312.510000 USD 13662.050000 N N N N/A N/A 000000000 1.000000 NC -99.810000 -0.0000709 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22113.000000 USD 373599135.000000 IDR 2026-04-13 -99.810000 N N N N/A N/A 000000000 1.000000 NC 172.160000 0.0001222 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 221280.450000 PLN 59780.000000 USD 2026-04-15 172.160000 N N N TPMT-2019-1 N/A 89177BAA3 1134808.470000 PA USD 1101501.610000 0.782142 Long ABS-MBS CORP US N 2 2058-03-25 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -166486.030000 -0.118217 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-12-17 0.000000 JPY -164021.610000 JPY 260000000.000000 JPY -2464.420000 N N N N/A N/A 000000000 1.000000 NC -883.460000 -0.0006273 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 90090621.600000 COP 23640.000000 USD 2026-04-06 -883.460000 N N N N/A N/A 000000000 100000.000000 NC USD 377.800000 0.0002683 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.320000 USD 2026-08-12 XXXX -827.200000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 112649.480000 PA USD 57142.870000 0.0405754 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.31589 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 41484.140000 PA USD 41099.540000 0.0291835 Long ABS-MBS CORP US N 2 2035-06-19 Floating 4.2712 N N N N N N N/A N/A 000000000 1.000000 NC 16.420000 0.0000117 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11141.010000 THB 354.700000 USD 2026-04-20 16.420000 N N N N/A N/A 000000000 1.000000 NC 492.450000 0.0003497 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-09 0.000000 EUR -204.170000 EUR 100000.000000 EUR 696.620000 N N N N/A N/A 000000000 1.000000 NC -677.640000 -0.0004812 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 79446.000000 USD 2594817.580000 THB 2026-04-17 -677.640000 N N N N/A N/A 000000000 1.000000 NC -308.790000 -0.0002193 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1187849.180000 TRY 25973.000000 USD 2026-04-16 -308.790000 N N N N/A N/A 000000000 1.000000 NC 1367.840000 0.0009713 N/A DFE CA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 81519.770000 CAD 60000.000000 USD 2026-04-13 1367.840000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2PJ5W7 10400000.000000 PA 233211.060000 0.165596 Long DBT NUSS TR N 2 2028-05-17 Floating 39.64 N N N N N N N/A N/A 000000000 1.000000 NC -502.780000 -0.000357 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 734746.670000 PLN 197421.000000 USD 2026-04-15 -502.780000 N N N N/A N/A 000000000 1.000000 NC -2824.790000 -0.0020058 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 2300000.000000 BRL -2824.790000 N N N N/A N/A 000000000 1.000000 NC USD -238074.920000 -0.16905 N/A DE US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2026-07-08 0.000000 USD 0.000000 USD 4464404.190000 USD -238074.920000 N N N N/A N/A 000000000 -3.000000 NC 948.430000 0.0006735 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2026-06-15 -214550.150000 AUD 948.430000 N N N N/A N/A 000000000 1.000000 NC 15496.430000 0.0110035 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1666838.980000 PEN 492666.620000 USD 2026-06-17 15496.430000 N N N N/A N/A 000000000 1.000000 NC 4816.810000 0.0034203 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 904678.000000 USD 144341374.000000 JPY 2026-04-02 4816.810000 N N N GNMA PASS THRU POOLS N/A 21H040640 6700000.000000 PA USD 6277154.290000 4.45721 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 58.840000 0.0000418 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4870.440000 SGD 3847.000000 USD 2026-04-02 58.840000 N N N N/A N/A 000000000 1.000000 NC 1458.370000 0.0010355 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 56000.000000 EUR 66185.980000 USD 2026-04-02 1458.370000 N N N N/A N/A 000000000 1.000000 NC 8438.570000 0.005992 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 561189947.000000 CLP 614396.700000 USD 2026-04-09 8438.570000 N N N N/A N/A 000000000 1.000000 NC 43.770000 0.0000311 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 638380.000000 TWD 20000.000000 USD 2026-04-09 43.770000 N N N N/A N/A 000000000 1.000000 NC 186.070000 0.0001321 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1805277.820000 THB 55000.000000 USD 2026-04-20 186.070000 N N N N/A N/A 000000000 1.000000 NC -99.000000 -0.0000703 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 414000.000000 CNY 60008.580000 USD 2026-04-02 -99.000000 N N N N/A N/A 000000000 1.000000 NC -6012.510000 -0.0042693 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1309766.440000 USD 2268779.560000 NZD 2026-04-02 -6012.510000 N N N N/A N/A 000000000 1.000000 NC -265.280000 -0.0001884 N/A DFE MY N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 9871.230000 USD 38867.000000 MYR 2026-04-15 -265.280000 N N N N/A N/A 000000000 1.000000 NC -97.280000 -0.0000691 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 520394.380000 TRY 11356.000000 USD 2026-04-20 -97.280000 N N N N/A N/A 000000000 2000000.000000 NC USD 15470.000000 0.0109848 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.59900 06/29/26-7Y LCH 2033-06-29 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-06-25 XXXX -1015.900000 N N N N/A N/A 000000000 1.000000 NC 4860.210000 0.0034511 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 405899.350000 USD 38601434.080000 INR 2026-04-24 4860.210000 N N N N/A N/A 000000000 1.000000 NC USD 2030.270000 0.0014416 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -275.000000 USD 100000.000000 USD 2305.270000 N N N N/A N/A 000000000 1.000000 NC 395.010000 0.0002805 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 672916090.000000 IDR 39960.000000 USD 2026-06-10 395.010000 N N N N/A N/A 000000000 600000.000000 NC USD 29763.480000 0.0211341 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -23036.520000 N N N N/A N/A 000000000 1.000000 NC -1367.720000 -0.0009712 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 100000.000000 BRL 17937.860000 USD 2026-04-02 -1367.720000 N N N N/A N/A 000000000 1000000.000000 NC USD 54201.100000 0.0384865 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -31948.900000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI1N5XG5 202635400.000000 PA 47893.580000 0.0340078 Long DBT NUSS CO N 2 2029-04-18 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 1987.660000 0.0014114 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-20 144.330000 EUR 0.000000 EUR 100000.000000 EUR 1843.330000 N N N N/A N/A 000000000 1.000000 NC USD -1710.820000 -0.0012148 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -588.000000 USD 200000.000000 USD -1122.820000 N N N UMBS PASS THRU POOLS N/A 01F052649 1810000.000000 PA USD 1818619.510000 1.29135 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 752.370000 0.0005342 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 400000.000000 SEK 43005.970000 USD 2026-04-02 752.370000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 185668.130000 PA USD 166056.660000 0.117912 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.02556 N N N N N N N/A N/A 000000000 1.000000 NC -28.960000 -0.0000206 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 39289.460000 USD 1255691.000000 TWD 2026-04-07 -28.960000 N N N N/A N/A 000000000 1.000000 NC 1043.070000 0.0007407 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 225484.120000 PEN 64996.000000 USD 2026-12-17 1043.070000 N N N N/A N/A 000000000 1.000000 NC 45.040000 0.000032 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23800000.000000 JPY 150008.810000 USD 2026-04-02 45.040000 N N N N/A N/A 000000000 1.000000 NC 4049.730000 0.0028756 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -556.960000 EUR 200000.000000 EUR 4606.690000 N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 873.110000 PA USD 834.070000 0.0005922 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.20236 N N N N N N N/A N/A 000000000 1.000000 NC -199.720000 -0.0001418 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 64082.180000 USD 440000.000000 CNY 2026-04-02 -199.720000 N N N N/A N/A 000000000 1.000000 NC USD 84554.440000 0.0600395 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-09-17 42098.540000 USD 0.000000 USD 9480000.000000 USD 42455.900000 N N N N/A N/A 000000000 200000.000000 NC USD 261.660000 0.0001858 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.96500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 2.960000 USD 2026-08-05 XXXX -1448.340000 N N N N/A N/A 000000000 1.000000 NC USD 2620.580000 0.0018608 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 6482.210000 USD 0.000000 USD 500000.000000 USD -3861.630000 N N N N/A N/A 000000000 1.000000 NC -314.140000 -0.0002231 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10000.000000 USD 588416.000000 PHP 2026-04-06 -314.140000 N N N N/A N/A 000000000 1.000000 NC 268.070000 0.0001903 N/A DFE MY N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 38867.000000 MYR 9867.230000 USD 2026-04-02 268.070000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 96000.000000 PA USD 95655.000000 0.0679217 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 6541.370000 0.0046448 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 29776281.000000 INR 321000.000000 USD 2026-04-07 6541.370000 N N N N/A N/A 000000000 1.000000 NC -1785.320000 -0.0012677 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 400000.000000 BRL -1785.320000 N N N N/A N/A 000000000 1.000000 NC 12.280000 0.0000087 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7569.000000 USD 28043979.160000 COP 2026-04-30 12.280000 N N N N/A N/A 000000000 1.000000 NC -804.910000 -0.0005715 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1768206.960000 TRY 38684.000000 USD 2026-04-09 -804.910000 N N N N/A N/A 000000000 1.000000 NC -2556.100000 -0.001815 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 218302.970000 USD 163000.000000 GBP 2026-04-02 -2556.100000 N N N N/A N/A 000000000 1.000000 NC 3385.290000 0.0024038 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-01 86.210000 PLN 0.000000 PLN 800000.000000 PLN 3299.080000 N N N N/A N/A 000000000 1.000000 NC -2981.350000 -0.002117 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 248115.000000 USD 4169200403.000000 IDR 2026-06-10 -2981.350000 N N N N/A N/A 000000000 1.000000 NC -4054.580000 -0.002879 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 85635467.000000 JPY 537146.000000 USD 2026-05-07 -4054.580000 N N N N/A N/A 000000000 1000000.000000 NC USD 57844.600000 0.0410737 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -28305.400000 N N N N/A N/A 000000000 200000.000000 NC USD 399.420000 0.0002836 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.07500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.080000 USD 2026-08-14 XXXX -1160.580000 N N N N/A N/A 000000000 1.000000 NC 1359.980000 0.0009657 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 146000.000000 USD 763302.600000 BRL 2026-04-02 1359.980000 N N N N/A N/A 000000000 1.000000 NC -2317.850000 -0.0016458 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 108505.040000 USD 10054929.860000 INR 2026-04-07 -2317.850000 N N N N/A N/A 000000000 1.000000 NC -389.120000 -0.0002763 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 907515.000000 TRY 19350.000000 USD 2026-04-29 -389.120000 N N N N/A N/A 000000000 1.000000 NC -7390.540000 -0.0052478 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 678087000.000000 COP 177000.000000 USD 2026-04-10 -7390.540000 N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 22518.700000 PA USD 8680.460000 0.0061637 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 123546.220000 PA USD 113554.580000 0.0806316 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.33303 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BE16 1400000.000000 PA USD 1395125.900000 0.990636 Long DBT CORP US N 2 2026-05-01 None 0 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1195322.650000 PA USD 11641247.330000 8.26609 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC USD -455.150000 -0.0003232 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -348.000000 USD 100000.000000 USD -107.150000 N N N N/A N/A 000000000 1.000000 NC -290.790000 -0.0002065 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 223106.710000 PLN 59809.000000 USD 2026-04-15 -290.790000 N N N N/A N/A 000000000 1.000000 NC -55.480000 -0.0000394 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 191324.300000 TRY 4245.040000 USD 2026-04-03 -55.480000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 785.970000 PA USD 769.560000 0.0005464 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.44865 N N N N N N UMBS PASS THRU POOLS N/A 01F020646 -3880000.000000 PA USD -3126128.110000 -2.21977 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 107.740000 0.0000765 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 936498.000000 TWD 29370.190000 USD 2026-04-13 107.740000 N N N N/A N/A 000000000 -240000.000000 NC USD -473.520000 -0.0003362 N/A DFE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-09-08 N/A 1350.000000 USD 2026-09-04 XXXX 713.280000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 30000000.000000 PA 31730.830000 0.0225311 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC -175.150000 -0.0001244 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6295237.560000 TRY 135579.720000 USD 2026-05-06 -175.150000 N N N N/A N/A 000000000 100000.000000 NC USD 344.140000 0.0002444 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.28800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2026-08-11 XXXX -905.860000 N N N N/A N/A 000000000 1.000000 NC USD -112016.010000 -0.0795391 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAE FUNDAMENTAL INTERNATIONAL LARGE NET TOTAL RETURN Y 2026-09-23 0.000000 USD 0.000000 USD 2009540.280000 USD -112016.010000 N N N N/A N/A 000000000 1.000000 NC -1338.800000 -0.0009506 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 40255312.000000 JPY 253067.450000 USD 2026-05-07 -1338.800000 N N N N/A N/A 000000000 1.000000 NC 861.910000 0.000612 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 134548237.000000 KRW 90338.000000 USD 2026-04-16 861.910000 N N N N/A N/A 000000000 1.000000 NC -12190.490000 -0.0086561 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 723292.000000 USD 658607996.000000 CLP 2026-04-06 -12190.490000 N N N N/A N/A 000000000 1.000000 NC 310.640000 0.0002206 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 197028.290000 PEN 56689.000000 USD 2026-06-26 310.640000 N N N UMBS PASS THRU POOLS N/A 01F040644 8780000.000000 PA USD 8286195.420000 5.88377 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 4 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -8143.950000 -0.0057828 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX -5331.450000 N N N N/A N/A 000000000 1.000000 NC -3826.700000 -0.0027172 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-24 0.000000 EUR -272.690000 EUR 100000.000000 EUR -3554.010000 N N N N/A N/A 000000000 1.000000 NC USD -123898.960000 -0.0879768 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2026-11-18 0.000000 USD 0.000000 USD 1167445.700000 USD -123898.960000 N N N N/A N/A 000000000 100000.000000 NC USD 266.320000 0.0001891 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.220000 USD 2026-08-04 XXXX -1033.680000 N N N UMBS PASS THRU POOLS N/A 01F022642 -5230000.000000 PA USD -4398103.130000 -3.12296 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -357.660000 -0.000254 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 89017.000000 USD 1504797286.000000 IDR 2026-04-16 -357.660000 N N N N/A N/A 000000000 1.000000 NC -78.510000 -0.0000557 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10224.450000 USD 1600000.000000 JPY 2026-06-17 -78.510000 N N N N/A N/A 000000000 1.000000 NC 5154.040000 0.0036597 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3476683.960000 THB 110717.130000 USD 2026-04-20 5154.040000 N N N N/A N/A 000000000 1.000000 NC 328.990000 0.0002336 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1255217.800000 CZK 59452.000000 USD 2026-04-15 328.990000 N N N N/A N/A 000000000 1.000000 NC -433.080000 -0.0003075 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 11036.990000 USD 100000.000000 SEK 2026-06-17 -433.080000 N N N N/A N/A 000000000 1.000000 NC 338.840000 0.0002406 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 845000.000000 SEK 89599.560000 USD 2026-04-02 338.840000 N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 15030.470000 PA USD 14548.030000 0.0103301 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.78732 N N N N N N N/A N/A 000000000 1.000000 NC USD -2185.030000 -0.0015515 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2057-08-25 0.000000 USD -2148.620000 USD 290000.000000 USD -36.410000 N N N N/A N/A 000000000 1.000000 NC -725.610000 -0.0005152 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 35027.000000 USD 119442.070000 PEN 2026-04-16 -725.610000 N N N N/A N/A 000000000 1.000000 NC USD -4240.610000 -0.0030111 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 N/A CMBX.NA.AAA.16 Y Single Leg Swap 2065-04-17 0.000000 USD -9195.930000 USD 599143.590000 USD 4955.320000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAH4 946466.550000 PA USD 871669.850000 0.618946 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.07 N N N N N N N/A N/A 000000000 1.000000 NC 32074.020000 0.0227748 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1710084.000000 AUD 1211946.790000 USD 2026-04-02 32074.020000 N N N N/A N/A 000000000 1.000000 NC 22867.500000 0.0162375 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4994050.290000 SEK 550408.950000 USD 2026-04-02 22867.500000 N N N N/A N/A 000000000 1.000000 NC 231.430000 0.0001643 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4233435.930000 PHP 70061.000000 USD 2026-04-17 231.430000 N N N N/A N/A 000000000 1.000000 NC -56086.950000 -0.0398256 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11508266.700000 BRL 2165650.490000 USD 2026-04-02 -56086.950000 N N N N/A N/A 000000000 -2100000.000000 NC USD -19746.300000 -0.0140212 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.78250 06/23/26-7Y LCH 2033-06-23 0.000000 USD 0.000000 USD N/A USD N/A 3.780000 USD 2026-06-18 XXXX -6857.590000 N N N N/A N/A 000000000 1.000000 NC USD -1423.310000 -0.0010106 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -721.500000 USD 200000.000000 USD -701.810000 N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer