NPORT-P false 0000810893 XXXXXXXX S000033597 C000103229 C000103233 C000237486 C000103232 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Inflation Response Multi-Asset Fund S000033597 THF8EKD5U3IIE5DF6F03 2026-03-31 2026-03-31 N 4759219392.380000 2508635436.640000 2250583955.740000 0.000000 705181480.170000 809061015.700000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 12513277.230000 USD TRY JPY AUD BRL GBP DKK PEN EUR N 45% Bloomberg US TIPS, 10%Dow Jones US Select REIT, 20%Bloomberg Commodity Total Return, 15%JPM ELMI+, 10%Bloomberg Commodity Gold Total Return Index INFNRSPN N/A N/A 000000000 1.000000 NC -2506.110000 -0.0001114 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5537753.760000 TRY 118734.000000 USD 2026-04-24 -2506.110000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 27283929.250000 PA USD 25979577.360000 1.15435 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884U109 6214.000000 NS USD 310451.440000 0.0137943 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -24547.440000 -0.0010907 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11200000.000000 BRL 2048355.830000 USD 2026-10-02 -24547.440000 N N N N/A N/A 000000000 93.000000 NC USD 1463180.660000 0.0650134 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2026-08-20 7252140.000000 USD 1463180.660000 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAE2 2157005.690000 PA USD 851219.370000 0.0378222 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.27303 N N N N N N N/A N/A 000000000 1.000000 NC 10341.140000 0.0004595 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11020000.000000 SEK 1174427.700000 USD 2026-04-02 10341.140000 N N N SABRA HEALTH CARE REIT INC 549300E3BC7GU7TAZ621 78573L106 19707.000000 NS USD 378965.610000 0.0168385 Long EC CORP US N 1 N N N VERIS RESIDENTIAL INC 254900KTVBRYJCQU2J23 554489104 254.000000 NS USD 4792.980000 0.000213 Long EC CORP US N 1 N N N N/A N/A 000000000 50000000.000000 PA USD 50000000.000000 2.22165 Long RA US N 2 Repurchase N 3.690000 2026-04-07 53619400.000000 USD 50942618.750000 USD UST N N N N/A N/A 000000000 1.000000 NC 537.930000 0.0000239 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4328848.000000 JPY 27814.000000 USD 2026-04-02 537.930000 N N N N/A N/A 000000000 1.000000 NC 135.190000 0.000006 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 61542.200000 CAD 44377.130000 USD 2026-04-02 135.190000 N N N N/A N/A 000000000 1.000000 NC -50238.200000 -0.0022322 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4212544.000000 USD 391155773.120000 INR 2026-04-24 -50238.200000 N N N N/A N/A 000000000 15.000000 NC USD 38513.060000 0.0017112 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2026-08-31 1438800.000000 USD 38513.060000 N N N N/A N/A 000000000 1.000000 NC 5821.640000 0.0002587 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1326960.170000 USD 28295776.210000 CZK 2026-04-15 5821.640000 N N N N/A N/A 000000000 1.000000 NC 1473.020000 0.0000655 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 137000.000000 GBP 182806.280000 USD 2026-04-02 1473.020000 N N N RLJ LODGING TRUST N/A 74965L101 12097.000000 NS USD 89759.740000 0.0039883 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 12233.330000 0.0005436 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1293993.000000 USD 434778413.000000 HUF 2026-04-15 12233.330000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 38815876.400000 PA USD 38713179.300000 1.72014 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N N/A N/A 000000000 1.000000 NC 237135.190000 0.0105366 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-10-15 0.000000 EUR 0.000000 EUR 2100000.000000 EUR 237135.190000 N N N STRUCTURED ASSET INVST LN TR 2005-8 N/A 86358EXQ4 859523.210000 PA USD 849829.080000 0.0377604 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.51303 N N N N N N N/A N/A 000000000 1.000000 NC 15964.940000 0.0007094 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1462000.000000 SGD 1153088.690000 USD 2026-04-02 15964.940000 N N N N/A N/A 000000000 1.000000 NC USD -32181.370000 -0.0014299 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Silver 2026-09-28 380165.000000 USD -32181.370000 N N N N/A N/A 000000000 1.000000 NC -27747.870000 -0.0012329 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 967086.000000 USD 17076901.300000 MXN 2026-09-17 -27747.870000 N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 366041.200000 PA USD 357185.570000 0.0158708 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.4 N N N N N N CSG SYSTEMS INTL INC 549300D7FJZUOHHXUA81 126349109 3100.000000 NS USD 247814.000000 0.0110111 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -46762.440000 -0.0020778 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11200000.000000 BRL 2026140.830000 USD 2026-10-02 -46762.440000 N N N N/A N/A 000000000 1.000000 NC USD -1037521.200000 -0.0461001 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-05-19 0.000000 USD -153534.030000 USD 4500000.000000 USD -883987.170000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 9873349.600000 PA USD 7281892.810000 0.323556 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC 26768.340000 0.0011894 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1787956.020000 USD 9400000.000000 BRL 2026-04-02 26768.340000 N N N N/A N/A 000000000 -1554.000000 NC USD 1365523.520000 0.0606742 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-30 -322424647.270000 USD 1365523.520000 N N N N/A N/A 000000000 1.000000 NC 17312.850000 0.0007693 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30019948.800000 THB 928813.210000 USD 2026-04-20 17312.850000 N N N N/A N/A 000000000 1.000000 NC -214835.680000 -0.0095458 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 UK RPI All Items NSA N/A N/A Y 2034-09-15 0.000000 GBP -1560.550000 GBP 12800000.000000 GBP -213275.130000 N N N N/A N/A 000000000 1.000000 NC USD 138718.880000 0.0061637 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 0.000000 USD -4918.580000 USD 52200000.000000 USD 143637.460000 N N N TRNTS-2021-17A N/A 89642JAL9 1800000.000000 PA USD 1802195.620000 0.0800768 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.81763 N N N N N N HEALTHCARE REALTY TRUST INCORPORATED 549300L0I14L7I0VLX84 42226K105 28920.000000 NS USD 491350.800000 0.0218321 Long EC CORP US N 1 N N N N/A N/A 000000000 -22.000000 NC USD -85158.050000 -0.0037838 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2026-04-30 -2287340.000000 USD -85158.050000 N N N N/A N/A 000000000 1.000000 NC -85869.980000 -0.0038155 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2957656.210000 USD 10660848.150000 PLN 2026-04-15 -85869.980000 N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAD3 1845839.700000 PA USD 593798.880000 0.0263842 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 2182.220000 0.000097 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1900089.290000 USD 301900000.000000 JPY 2026-04-02 2182.220000 N N N N/A N/A 000000000 -41.000000 NC USD 921383.460000 0.0409398 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Short N/A Silver 2026-05-27 -15358395.000000 USD 921383.460000 N N N N/A N/A 000000000 1.000000 NC USD 175862.830000 0.0078141 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 MLPIREIL TRS EQUITY FEDL01+65 BOA MLPIREIL Y 2026-06-10 0.000000 USD 0.000000 USD 18033100.970000 USD 175862.830000 N N N N/A N/A 000000000 1.000000 NC -533658.400000 -0.023712 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 24219341.110000 USD 20492000.000000 EUR 2026-04-02 -533658.400000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAD5 128968.310000 PA USD 60986.380000 0.0027098 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -61281.500000 -0.0027229 N/A DFE PH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3044600.540000 USD 180864495.080000 PHP 2026-04-17 -61281.500000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1 N/A 02146VAC6 56956.420000 PA USD 41156.100000 0.0018287 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -85562.980000 -0.0038018 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2871728.260000 USD 10343000.000000 PLN 2026-04-15 -85562.980000 N N N MADISON PARK FUNDING XLIX LTD 2021-49A N/A 55820VAL7 1100000.000000 PA USD 1100477.620000 0.0488974 Long ABS-CBDO CORP KY N 2 2034-10-19 Floating 4.71763 N N N N N N N/A N/A 000000000 1.000000 NC 183.300000 0.0000081 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 160000.000000 USD 5128717.000000 TWD 2026-04-17 183.300000 N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 4962316.250000 PA USD 1954576.480000 0.0868475 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.89303 N N N N N N N/A N/A 000000000 1.000000 NC -2812.840000 -0.000125 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6902000.000000 CNY 999270.600000 USD 2026-04-02 -2812.840000 N N N N/A N/A 000000000 1.000000 NC 80206.120000 0.0035638 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-03-20 74319.370000 JPY 0.000000 JPY 385260000.000000 JPY 5886.750000 N N N BEIGNET INVESTOR LLC N/A 076912AA2 19100000.000000 PA USD 19652571.600000 0.873221 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI22BY64 786872.420000 PA 100889.380000 0.0044828 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TT4 263000.000000 PA USD 261538.750000 0.0116209 Long DBT UST US N 2 2026-05-26 None 0 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 121219.550000 PA USD 117250.060000 0.0052098 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.37303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDC2 55579071.000000 PA USD 56060248.470000 2.49092 Long DBT UST US N 2 2026-10-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -353458.940000 -0.0157052 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 18000000.000000 BRL 3121545.160000 USD 2026-04-02 -353458.940000 N N N N/A N/A 000000000 6.000000 NC -633.540000 -0.0000282 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A NBP 2026-04-29 315368.990000 GBP -633.540000 N N N N/A N/A 000000000 1.000000 NC -20173.600000 -0.0008964 N/A DFE RO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 856152.000000 USD 3689865.290000 RON 2026-04-16 -20173.600000 N N N N/A N/A 000000000 179.000000 NC USD 392587.200000 0.0174438 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2026-09-14 5922662.500000 USD 392587.200000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 17785474.710000 PA USD 17302955.140000 0.768821 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 78440X887 3953.000000 NS USD 146023.820000 0.0064883 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TY4 18650016.000000 PA USD 16461688.210000 0.731441 Long DBT UST US N 2 2054-02-15 Fixed 2.125 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-KS9 N/A 75406YAD9 2770431.840000 PA USD 2404020.070000 0.106818 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.04303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UQ8 385000.000000 PA USD 380732.440000 0.0169171 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 USD 5015631.690000 0.222859 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 899993.900000 USD 0.000000 USD 14330000.000000 USD 4115637.790000 N N N N/A N/A 000000000 1.000000 NC 10304.960000 0.0004579 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 916362.800000 USD 4800000.000000 BRL 2026-04-02 10304.960000 N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 82981J851 156.000000 NS USD 842.400000 0.0000374 Long EC CORP US N 1 N N N N/A N/A 000000000 -24.000000 NC USD -969600.000000 -0.0430822 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Call Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT SILVER FUTURE CMX 12/29/26 2026-12-30 N/A USD N/A 100.000000 USD 2026-11-24 XXXX -571256.880000 N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 169063.170000 PA USD 119556.590000 0.0053122 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC -6324.110000 -0.000281 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 310432332.000000 INR 3297000.000000 USD 2026-04-24 -6324.110000 N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 71323.210000 PA USD 61558.240000 0.0027352 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.20323 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 360319.970000 PA USD 310362.760000 0.0137903 Long ABS-MBS CORP US N 2 2036-07-20 Floating 4.18952 N N N N N N N/A N/A 000000000 1.000000 NC 68053.740000 0.0030238 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 12491754.190000 ILS 4043195.000000 USD 2026-04-13 68053.740000 N N N N/A N/A 000000000 59.000000 NC USD -21246.890000 -0.0009441 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Coffee 2026-09-18 6152962.500000 USD -21246.890000 N N N N/A N/A 000000000 1.000000 NC -4590.980000 -0.000204 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1473016.350000 USD 10114000.000000 CNY 2026-04-02 -4590.980000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2Q7PM2 138700000.000000 PA 25085359.090000 1.11462 Long DBT NUSS BR N 2 2026-10-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 88557.350000 0.0039349 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 390502828.800000 INR 4212544.000000 USD 2026-04-07 88557.350000 N N N N/A N/A 000000000 1.000000 NC -73694.090000 -0.0032744 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6103115.000000 USD 566619299.720000 INR 2026-04-24 -73694.090000 N N N N/A N/A 000000000 1.000000 NC 10842.470000 0.0004818 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 929000.000000 AUD 651806.190000 USD 2026-04-02 10842.470000 N N N N/A N/A 000000000 123.000000 NC USD 861621.030000 0.0382843 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Aluminum 2026-09-14 10364902.500000 USD 861621.030000 N N N N/A N/A 000000000 1.000000 NC 196.280000 0.0000087 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 810890.630000 SGD 630896.000000 USD 2026-04-02 196.280000 N N N N/A N/A 000000000 1.000000 NC 28838.800000 0.0012814 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4317329.700000 ILS 1404832.000000 USD 2026-06-10 28838.800000 N N N N/A N/A 000000000 1.000000 NC 2337.160000 0.0001038 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 237838.000000 USD 10811948.990000 TRY 2026-04-13 2337.160000 N N N N/A N/A 000000000 13.000000 NC USD 119551.730000 0.005312 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2026-05-29 1250210.000000 USD 119551.730000 N N N N/A N/A 000000000 1.000000 NC 4501.110000 0.0002 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 15111000.000000 MXN 842428.090000 USD 2026-06-17 4501.110000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 1.760000 PA 0.220000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H22 N/A 38384LA58 7748057.110000 PA USD 7812612.370000 0.347137 Long ABS-MBS USGSE US N 2 2075-10-20 Floating 4.45294 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 17674691.620000 PA USD 12708405.870000 0.564671 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 41705614.000000 PA USD 40182310.190000 1.78542 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N N/A N/A 000000000 1.000000 NC 40028.480000 0.0017786 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 870285103.680000 INR 9230856.000000 USD 2026-04-07 40028.480000 N N N UNIFIRST CORPORATION 5493003XBTNWBC8UK019 904708104 700.000000 NS USD 176113.000000 0.0078252 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 732.150000 0.0000325 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3658000.000000 CNY 531827.660000 USD 2026-04-02 732.150000 N N N N/A N/A 000000000 50.000000 NC USD 88088.620000 0.003914 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2026-05-14 1582000.000000 USD 88088.620000 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 3924448.630000 PA USD 1549091.720000 0.0688307 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC 3036.810000 0.0001349 N/A DFE CO N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1661421.440000 USD 6215792962.400000 COP 2026-06-17 3036.810000 N N N N/A N/A 000000000 1.000000 NC 845025.290000 0.0375469 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-06-15 0.000000 EUR 0.000000 EUR 37600000.000000 EUR 845025.290000 N N N CSAB MTGE BACKED PASS-THRU CERTS 2006-1 N/A 22943HAG1 310697.730000 PA USD 75797.480000 0.0033679 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.672 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI09QH00 607.840000 PA 87.110000 0.0000039 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N N/A N/A 000000000 21100000.000000 PA USD 21100000.000000 0.937535 Long RA US N 2 Repurchase N 3.710000 2026-04-01 21341000.000000 USD 21230126.890000 USD UST N N N GETTY REALTY CORP 2549000P1W5SFJWCNP90 374297109 161.000000 NS USD 5119.800000 0.0002275 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 2785174.410000 0.123753 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 1078870.150000 USD 0.000000 USD 281010000.000000 USD 1706304.260000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 323.370000 PA 46.370000 0.0000021 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 506602.170000 PA USD 451219.200000 0.020049 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 328706.960000 0.0146054 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 17525603.000000 AUD 12420500.000000 USD 2026-04-02 328706.960000 N N N N/A N/A 000000000 1.000000 NC 15651.500000 0.0006954 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8550000.000000 SEK 918822.100000 USD 2026-04-02 15651.500000 N N N N/A N/A 000000000 1.000000 NC 12638.260000 0.0005616 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 772000.000000 CHF 978121.000000 USD 2026-04-02 12638.260000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BH3VW6II4 74832897.290000 PA 9209543.870000 0.409207 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -14639.760000 -0.0006505 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1685023.540000 USD 1262000.000000 GBP 2026-04-02 -14639.760000 N N N N/A N/A 000000000 3.000000 NC USD 609.010000 0.0000271 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-07-29 25650.000000 USD 609.010000 N N N N/A N/A 000000000 41.000000 NC USD -5028.870000 -0.0002234 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Raw Sugar 2026-09-30 737016.000000 USD -5028.870000 N N N N/A N/A 000000000 1.000000 NC 12587.200000 0.0005593 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 24343475282.000000 IDR 1443894.000000 USD 2026-06-10 12587.200000 N N N N/A N/A 000000000 1.000000 NC USD 62632.020000 0.0027829 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 600000.000000 USD 62632.020000 N N N N/A N/A 000000000 1.000000 NC -22361.340000 -0.0009936 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9365837.580000 ILS 2960266.000000 USD 2026-05-05 -22361.340000 N N N N/A N/A 000000000 1.000000 NC -293824.430000 -0.0130555 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 8659659.470000 USD 150867721.320000 MXN 2026-06-17 -293824.430000 N N N N/A N/A 000000000 1.000000 NC 4070.470000 0.0001809 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23401626000.000000 IDR 1380000.000000 USD 2026-06-10 4070.470000 N N N N/A N/A 000000000 465.000000 NC USD -4432612.480000 -0.196954 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Gold 2026-06-26 217554900.000000 USD -4432612.480000 N N N N/A N/A 000000000 1.000000 NC USD 48180.810000 0.0021408 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 MLPIREIS TRS EQUITY FEDL01+50 BOA MLPIREIS Y 2026-06-10 0.000000 USD 0.000000 USD 17889793.460000 USD 48180.810000 N N N N/A N/A 000000000 1.000000 NC USD 36854.930000 0.0016376 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 9966.560000 USD 0.000000 USD 3902000.000000 USD 26888.370000 N N N N/A N/A 000000000 1.000000 NC USD 6296.200000 0.0002798 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 500000.000000 USD 6296.200000 N N N N/A N/A 000000000 1.000000 NC USD -998144.170000 -0.0443505 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-04-16 454811.320000 USD 0.000000 USD 7000000.000000 USD -1452955.490000 N N N FANNIE MAE REMICS 2025-18 N/A 3136BU7K0 1478827.060000 PA USD 1487803.540000 0.0661074 Long ABS-MBS USGSE US N 2 2053-11-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC 2063828.870000 0.0917019 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 82769083.820000 EUR 97732492.640000 USD 2026-04-02 2063828.870000 N N N COPT DEFENSE PROPERTIES YY1J47X6LF9TYY8JY420 22002T108 9118.000000 NS USD 279010.800000 0.0123973 Long EC CORP US N 1 N N N APPLE HOSPITALITY REIT INC 549300EVZAR0FBZO4F16 03784Y200 17881.000000 NS USD 205810.310000 0.0091448 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -148.980000 -0.0000066 N/A DFE GB N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1647000.000000 GBP 2179733.680000 USD 2026-05-05 -148.980000 N N N N/A N/A 000000000 22.000000 NC USD -10224.830000 -0.0004543 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Lead 2026-07-13 1050813.500000 USD -10224.830000 N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 866310.140000 PA USD 868545.590000 0.038592 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 5.32812 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 627366.010000 PA USD 624287.090000 0.0277389 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1.000000 NC USD -578781.970000 -0.025717 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2027-11-15 0.000000 USD 0.000000 USD 22471900.000000 USD -578781.970000 N N N N/A N/A 000000000 1.000000 NC -19172.980000 -0.0008519 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1191587.000000 USD 21314154.990000 MXN 2026-09-17 -19172.980000 N N N PROVIDUS CLO II DAC 2A N/A ACI2RB411 1500000.000000 PA 1734158.670000 0.0770537 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.176 N N N N N N N/A N/A 000000000 1.000000 NC -13792.270000 -0.0006128 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5617280.000000 USD 526591913.600000 INR 2026-04-24 -13792.270000 N N N N/A N/A 000000000 247.000000 NC USD 910344.090000 0.0404492 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2026-05-14 7848425.000000 USD 910344.090000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 25280600.000000 PA USD 24203803.430000 1.07545 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -183990.060000 -0.0081752 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 7579789.770000 USD 27455211.310000 PLN 2026-04-15 -183990.060000 N N N N/A N/A 000000000 1.000000 NC 6765.830000 0.0003006 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1643512.100000 USD 11338507.800000 CNY 2026-05-07 6765.830000 N N N N/A N/A 000000000 -126.000000 NC USD -1145163.140000 -0.0508829 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Aluminum 2026-07-13 -10868917.500000 USD -1145163.140000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 3048292.000000 PA USD 2866814.890000 0.127381 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 -20.000000 NC USD -561900.000000 -0.0249669 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Call Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT SILVER FUTURE CMX 12/29/26 2026-12-30 N/A USD N/A 120.000000 USD 2026-11-24 XXXX -352872.400000 N N N N/A N/A 000000000 1.000000 NC 3.490000 0.0000002 N/A DFE PL N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1955.000000 PLN 530.120000 USD 2026-04-15 3.490000 N N N N/A N/A 000000000 1.000000 NC -9345.870000 -0.0004153 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 22037593.400000 TRY 475676.000000 USD 2026-04-20 -9345.870000 N N N N/A N/A 000000000 1.000000 NC 65884.370000 0.0029274 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 525665062.400000 INR 5617280.000000 USD 2026-04-07 65884.370000 N N N N/A N/A 000000000 1.000000 NC -121435.630000 -0.0053957 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3725719.690000 USD 64998905.710000 MXN 2026-06-17 -121435.630000 N N N N/A N/A 000000000 1.000000 NC USD 35586.320000 0.0015812 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 2800000.000000 USD 35586.320000 N N N N/A N/A 000000000 1.000000 NC USD -408322.310000 -0.0181429 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-08-05 0.000000 USD 0.000000 USD 6777561.000000 USD -408322.310000 N N N N/A N/A 000000000 1.000000 NC -7053.740000 -0.0003134 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 502501.000000 USD 745020888.000000 KRW 2026-04-16 -7053.740000 N N N N/A N/A 000000000 1.000000 NC -10425.020000 -0.0004632 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2117448.430000 USD 2709000.000000 SGD 2026-04-02 -10425.020000 N N N POST CLO 2021-1 LTD N/A 73742FAJ5 3850000.000000 PA USD 3853910.870000 0.17124 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 4.75219 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI37YF43 3800000000.000000 PA 22878296.210000 1.01655 Long DBT NUSS JP N 2 2055-12-20 Fixed 3.4 N N N N N N N/A N/A 000000000 1.000000 NC USD 10013.320000 0.0004449 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A COURSERA INC Y 2026-12-18 0.000000 USD 0.000000 USD 105124.000000 USD 10013.320000 N N N N/A N/A 000000000 1.000000 NC -3778.170000 -0.0001679 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1526939.190000 USD 10491000.000000 CNY 2026-04-02 -3778.170000 N N N N/A N/A 000000000 1.000000 NC 57099.500000 0.0025371 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 431946435.200000 INR 4618760.000000 USD 2026-04-07 57099.500000 N N N RYMAN HOSPITALITY PROPERTIES INC (AKA: GAYLORD ENTERTAINMENT CO) 529900GCCWW9SRMPJR11 78377T107 5038.000000 NS USD 464856.260000 0.0206549 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 26439.860000 0.0011748 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 928580.330000 USD 17122557.000000 MXN 2026-04-10 26439.860000 N N N PARK HOTELS & RESORTS INC 5493005UZ5TQN0H6HS73 700517105 15641.000000 NS USD 164699.730000 0.0073181 Long EC CORP US N 1 N N N PIMCO FUNDS Y52315K7L96R2YWLTM72 72201F409 17704700.720000 NS USD 133670490.410000 5.93937 Long EC RF US N 1 N N N N/A N/A 000000000 1.000000 NC 1323728.370000 0.0588171 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-12-15 1200947.370000 JPY 0.000000 JPY 2933000000.000000 JPY 122781.000000 N N N N/A N/A 000000000 1.000000 NC 434835.750000 0.019321 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-04-15 24729.930000 EUR 0.000000 EUR 3700000.000000 EUR 410105.820000 N N N PROLOGIS INC 529900DFH19P073LZ636 74340W103 75952.000000 NS USD 10039335.360000 0.446077 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 254995.900000 0.0113302 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-01-13 1095054.700000 EUR 0.000000 EUR 24930000.000000 EUR -840058.800000 N N N VOYA CLO 2017-3A N/A 92915QBG7 6300000.000000 PA USD 6304643.670000 0.280134 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 4.72763 N N N N N N HSI ASSET SEC CORP TRUST 2006-WMC1 N/A 40430MAD9 4646932.960000 PA USD 1982891.830000 0.0881057 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC 10950.650000 0.0004866 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1647000.000000 GBP 2190920.600000 USD 2026-04-02 10950.650000 N N N N/A N/A 000000000 1.000000 NC -28760.950000 -0.0012779 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9500000.000000 BRL 1768218.230000 USD 2026-07-02 -28760.950000 N N N N/A N/A 000000000 1.000000 NC 307.690000 0.0000137 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1334000.000000 ILS 425472.100000 USD 2026-06-10 307.690000 N N N DOUGLAS EMMETT INC N/A 25960P109 489.000000 NS USD 4606.380000 0.0002047 Long EC CORP US N 1 N N N HOST HOTELS & RESORTS INC N6EL63S0K3PB1YFTDI24 44107P104 59373.000000 NS USD 1137586.680000 0.0505463 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -658834.550000 -0.0292739 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 28200000.000000 BRL 4785338.540000 USD 2026-04-02 -658834.550000 N N N N/A N/A 000000000 1.000000 NC 6375.090000 0.0002833 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-04-15 1152.450000 EUR 0.000000 EUR 900000.000000 EUR 5222.640000 N N N N/A N/A 000000000 1.000000 NC USD -1331426.620000 -0.0591592 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-15 0.000000 USD -497640.000000 USD 37700000.000000 USD -833786.620000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1Z8QS8 2.240000 PA 0.260000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -365690.590000 -0.0162487 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 18100000.000000 BRL 3128619.090000 USD 2026-04-02 -365690.590000 N N N N/A N/A 000000000 1.000000 NC 21750.000000 0.0009664 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4593554.820000 ILS 1485780.000000 USD 2026-06-10 21750.000000 N N N BRANDYWINE REALTY TRUST 5UZ46ZCYUFYYAC0DS831 105368203 487.000000 NS USD 1319.770000 0.0000586 Long EC CORP US N 1 N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2 N/A 83611MML9 112144.230000 PA USD 110362.480000 0.0049037 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC -258.940000 -0.0000115 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6813.370000 USD 215867.850000 THB 2026-04-20 -258.940000 N N N CITIGROUP MORTGAGE LOAN TR 2004-NCM2 N/A 17307GGX0 579921.860000 PA USD 574276.440000 0.0255168 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 5.5 N N N N N N BRIGHTHOUSE FINANCIAL INC 5493003T8SZSHOGGAW52 10922N103 2700.000000 NS USD 161676.000000 0.0071837 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -19166.460000 -0.0008516 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1352354.220000 USD 2320000.000000 NZD 2026-04-02 -19166.460000 N N N 522 FUNDING CLO I LTD 2018-3A N/A 33835NAA9 5790.310000 PA USD 5796.080000 0.0002575 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 4.96924 N N N N N N N/A N/A 000000000 1.000000 NC 3979.120000 0.0001768 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1310922948.000000 KRW 876000.000000 USD 2026-04-27 3979.120000 N N N N/A N/A 000000000 1.000000 NC -83273.470000 -0.0037001 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26670894.710000 BRL 5065697.000000 USD 2026-04-02 -83273.470000 N N N DRYDEN 35 EURO CLO 2014 BV 14-35A N/A ACI2878B5 327008.560000 PA 378363.210000 0.0168118 Long ABS-CBDO CORP IE N 2 2033-01-17 Floating 3.006 N N N N N N FNMA PASS THRU POOLS N/A 31418EGJ3 835644.660000 PA USD 789422.480000 0.0350763 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 1946.390000 0.0000865 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4689309.150000 USD 24300000.000000 BRL 2026-04-02 1946.390000 N N N AMERICAN HOMES 4 RENT 549300ZJUO7A58PNUW40 02665T306 21204.000000 NS USD 592015.680000 0.026305 Long EC CORP US N 1 N N N N/A N/A 000000000 -9696000.000000 PA USD -9719291.950000 -0.431856 Short RA US N 2 Reverse repurchase N 3.760000 2026-04-20 9600000.000000 USD 9516982.270000 USD UST N N N N/A N/A 000000000 1.000000 NC 634473.950000 0.0281915 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 177303789.440000 DKK 28058805.670000 USD 2026-04-07 634473.950000 N N N N/A N/A 000000000 1.000000 NC 869.340000 0.0000386 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2354196.000000 USD 39982415257.000000 IDR 2026-04-27 869.340000 N N N SYMPHONY CLO XXXII LTD N/A 87168NAU8 1500000.000000 PA USD 1500128.220000 0.0666551 Long ABS-CBDO CORP BM N 2 2035-10-23 Floating 4.82102 N N N N N N N/A N/A 000000000 11.000000 NC USD -20601.540000 -0.0009154 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Lead 2026-05-18 518237.500000 USD -20601.540000 N N N N/A N/A 000000000 1.000000 NC 8911.560000 0.000396 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1942000.000000 SGD 1519372.790000 USD 2026-04-02 8911.560000 N N N N/A N/A 000000000 1.000000 NC -91137.290000 -0.0040495 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4470000.000000 USD 414637200.000000 INR 2026-04-07 -91137.290000 N N N N/A N/A 000000000 20.000000 NC USD 29625.290000 0.0013163 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Raw Sugar 2026-04-30 347648.000000 USD 29625.290000 N N N N/A N/A 000000000 1.000000 NC 50842.000000 0.0022591 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 1621416.550000 USD 74316006.150000 TRY 2026-04-02 50842.000000 N N N ARES LXII CLO LTD 2021-62A N/A 00192WAL1 3400000.000000 PA USD 3401115.230000 0.151121 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 130591.310000 0.0058026 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 0.000000 EUR 0.000000 EUR 4100000.000000 EUR 130591.310000 N N N N/A N/A 000000000 1.000000 NC 28072.690000 0.0012474 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5272516.230000 USD 841229964.000000 JPY 2026-04-02 28072.690000 N N N N/A N/A 000000000 1.000000 NC -597.510000 -0.0000265 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 55554.420000 USD 934699728.000000 IDR 2026-06-10 -597.510000 N N N N/A N/A 000000000 1.000000 NC -15345.290000 -0.0006818 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10800000.000000 BRL 1983525.720000 USD 2026-10-02 -15345.290000 N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903202 523.000000 NS USD 171057.610000 0.0076006 Long EC CORP US N 1 N N N TRYSAIL CLO 2022-1A LTD N/A 89856JAA4 600000.000000 PA USD 600820.680000 0.0266962 Long ABS-CBDO CORP JE N 2 2033-10-20 Floating 4.90663 N N N N N N N/A N/A 000000000 1.000000 NC -8015.000000 -0.0003561 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28603598.240000 TRY 614946.000000 USD 2026-04-28 -8015.000000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAB8 1379076.780000 PA USD 601592.870000 0.0267305 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.86303 N N N N N N AMERICAN HEALTHCARE REIT INC 2549004GGE2APGNT6O92 398182303 27772.000000 NS USD 1309727.520000 0.058195 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 35338.630000 0.0015702 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 4596.460000 USD 0.000000 USD 2300000.000000 USD 30742.170000 N N N EASTGROUP PROPERTIES INC 31TIGQQZC4P6JMHKSW85 277276101 4737.000000 NS USD 876771.330000 0.0389575 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 48267.740000 0.0021447 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 542831205.000000 INR 5780950.000000 USD 2026-04-07 48267.740000 N N N N/A N/A 000000000 1.000000 NC -17537.970000 -0.0007793 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 5603382.070000 CHF 7015004.390000 USD 2026-05-04 -17537.970000 N N N N/A N/A 000000000 1.000000 NC -4663.470000 -0.0002072 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11061498.190000 TRY 243973.140000 USD 2026-04-03 -4663.470000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6C9 24522.260000 PA USD 22275.030000 0.0009897 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.29649 N N N N N N N/A N/A 000000000 1.000000 NC -9388.740000 -0.0004172 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 27745703.460000 TRY 614945.000000 USD 2026-04-02 -9388.740000 N N N N/A N/A 000000000 1.000000 NC 141270.860000 0.0062771 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 16513316.460000 USD 114686634.150000 CNY 2026-05-13 141270.860000 N N N N/A N/A 000000000 1.000000 NC -1288.190000 -0.0000572 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 354978.360000 USD 306000.000000 EUR 2026-04-02 -1288.190000 N N N N/A N/A 000000000 1.000000 NC 29777.540000 0.0013231 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1941000.000000 GBP 2598886.030000 USD 2026-04-02 29777.540000 N N N N/A N/A 000000000 1.000000 NC -801.890000 -0.0000356 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 829501.360000 SGD 644373.000000 USD 2026-04-02 -801.890000 N N N N/A N/A 000000000 1.000000 NC USD 207023.770000 0.0091987 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 0.000000 USD 0.000000 USD 34400000.000000 USD 207023.770000 N N N N/A N/A 000000000 1.000000 NC -28764.070000 -0.0012781 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1887194.910000 USD 17995000.000000 NOK 2026-04-07 -28764.070000 N N N SILVER ROCK CLO II LTD 2021-2A N/A 82812LAN9 1300000.000000 PA USD 1300433.950000 0.0577821 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 4.70763 N N N N N N N/A N/A 000000000 1.000000 NC -20328.270000 -0.0009032 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1836000.000000 USD 59798520.000000 THB 2026-04-20 -20328.270000 N N N N/A N/A 000000000 1.000000 NC -59661.270000 -0.0026509 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17800000.000000 BRL 3307310.250000 USD 2026-07-02 -59661.270000 N N N N/A N/A 000000000 -18.000000 NC USD 4639.590000 0.0002062 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Soybean Meal 2026-12-14 -560700.000000 USD 4639.590000 N N N UMBS PASS THRU POOLS N/A 01F060667 25390500.000000 PA USD 25844550.190000 1.14835 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -243479.000000 -0.0108185 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7645267.000000 USD 700879852.230000 INR 2026-04-07 -243479.000000 N N N N/A N/A 000000000 1.000000 NC 71558.980000 0.0031796 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 10277619.000000 USD 1642466292.000000 JPY 2026-04-02 71558.980000 N N N N/A N/A 000000000 1.000000 NC USD 36631.200000 0.0016276 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 1500000.000000 USD 36631.200000 N N N N/A N/A 000000000 1.000000 NC 1687.810000 0.000075 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A TTF 2026-04-29 43648.610000 EUR 1687.810000 N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 140808.510000 PA USD 42589.900000 0.0018924 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.13303 N N N N N N QUBE HOLDINGS LIMITED 391200RT2MUFEO3RFW25 B1L4BC908 67563.000000 NS 228043.940000 0.0101327 Long EC CORP AU N 2 N N N N/A N/A 000000000 -3705625.000000 PA USD -3718431.020000 -0.165221 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-06 3500000.000000 USD 3556459.340000 USD UST N N N NETSTREIT CORP 254900CJL0EDMEQ25Q84 64119V303 288.000000 NS USD 5423.040000 0.000241 Long EC CORP US N 1 N N N BARINGS EURO CLO 2020-1 DAC 20-1A N/A ACI316LH4 3900000.000000 PA 4505214.850000 0.20018 Long ABS-CBDO CORP IE N 2 2038-10-21 Floating 3.269 N N N N N N N/A N/A 000000000 1.000000 NC -150.860000 -0.0000067 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 81539.520000 EUR 94096.610000 USD 2026-04-02 -150.860000 N N N N/A N/A 000000000 1.000000 NC 210675.700000 0.0093609 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-12-15 0.000000 EUR 0.000000 EUR 2900000.000000 EUR 210675.700000 N N N N/A N/A 000000000 1.000000 NC 2130.430000 0.0000947 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-06-18 1945.800000 JPY 0.000000 JPY 13680000.000000 JPY 184.630000 N N N N/A N/A 000000000 79.000000 NC USD 85158.700000 0.0037838 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Raw Sugar 2026-06-30 1387366.400000 USD 85158.700000 N N N N/A N/A 000000000 1.000000 NC USD 28862.440000 0.0012824 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A SMI FUTURE DEC16 Y Single Leg Swap 2026-11-20 0.000000 USD 0.000000 USD 25700.000000 USD 28862.440000 N N N ACADIA REALTY TRUST 254900C5XLB1YYJQSH07 004239109 10637.000000 NS USD 203379.440000 0.0090367 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -31758.270000 -0.0014111 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1573796.930000 USD 2235000.000000 AUD 2026-04-02 -31758.270000 N N N N/A N/A 000000000 1.000000 NC 6653.230000 0.0002956 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 239000.000000 EUR 282901.430000 USD 2026-04-02 6653.230000 N N N N/A N/A 000000000 -74.000000 NC 485767.490000 0.0215841 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-06-15 -60760152.480000 JPY 485767.490000 N N N DRYDEN LEVERAGED LOAN CDO 2019-69A N/A ACI2Q4GN7 6800000.000000 PA 7853941.680000 0.348973 Long ABS-CBDO CORP IE N 2 2034-10-18 Floating 3.006 N N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4H9 171692.480000 PA USD 61143.760000 0.0027168 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -1431702.230000 -0.0636147 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-05-06 0.000000 USD 0.000000 USD 23783929.500000 USD -1431702.230000 N N N CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA N/A 224939AB4 2300000.000000 PA 703238.600000 0.0312469 Long DBT CORP PE N 2 2045-03-05 Fixed 9.7 N N N N N N ST PAUL'S CLO X DAC 10A N/A ACI1WJ0Z9 748730.680000 PA 864529.400000 0.0384136 Long ABS-CBDO CORP IE N 2 2035-04-22 Floating 2.827 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 410572.070000 PA USD 33165.770000 0.0014737 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC 34513.010000 0.0015335 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20867692.950000 USD 928904483.980000 TRY 2026-04-01 34513.010000 N N N N/A N/A 000000000 1.000000 NC 3759.960000 0.0001671 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5773256.880000 PLN 1558942.000000 USD 2026-04-15 3759.960000 N N N N/A N/A 000000000 1.000000 NC -9084.700000 -0.0004037 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2503409.480000 USD 2158000.000000 EUR 2026-04-02 -9084.700000 N N N FNMA PASS THRU POOLS N/A 3140XJ4D2 970296.650000 PA USD 939697.760000 0.0417535 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 69.000000 NC USD -163693.110000 -0.0072734 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Nickel 2026-09-14 7147296.000000 USD -163693.110000 N N N N/A N/A 000000000 1.000000 NC -129963.370000 -0.0057747 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7300000.000000 BRL 1279343.850000 USD 2026-04-02 -129963.370000 N N N N/A N/A 000000000 1.000000 NC 33979.820000 0.0015098 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 79291368.460000 INR 871352.870000 USD 2026-04-07 33979.820000 N N N UMH PROPERTIES INC 529900OM5K3PJ11F0Q09 903002103 241.000000 NS USD 3477.630000 0.0001545 Long EC CORP US N 1 N N N N/A N/A 000000000 10.000000 NC USD 8013.800000 0.0003561 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Cotton 2026-12-08 371700.000000 USD 8013.800000 N N N N/A N/A 000000000 297.000000 NC USD -432587.560000 -0.0192211 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2026-11-20 21523590.000000 USD -432587.560000 N N N N/A N/A 000000000 1.000000 NC -258339.560000 -0.0114788 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 40017731.780000 USD 51118650.580000 SGD 2026-04-02 -258339.560000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAC8 1048035.850000 PA USD 516844.640000 0.0229649 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.09303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKL4 27547204.000000 PA USD 28289006.680000 1.25696 Long DBT UST US N 2 2029-04-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 6220667.400000 PA USD 3312567.970000 0.147187 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 8088.360000 0.0003594 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3832063.000000 USD 1278197259.000000 HUF 2026-04-15 8088.360000 N N N N/A N/A 000000000 1.000000 NC -5469.980000 -0.000243 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 45289994.300000 THB 1370000.000000 USD 2026-04-23 -5469.980000 N N N N/A N/A 000000000 23.000000 NC USD -204897.010000 -0.0091042 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Copper 2026-05-27 3228050.000000 USD -204897.010000 N N N N/A N/A 000000000 1.000000 NC USD -365686.330000 -0.0162485 N/A DIR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 US CPI Urban Consumers NSA N/A N/A Y 2026-07-20 0.000000 USD 0.000000 USD 1900000.000000 USD -365686.330000 N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 27914.050000 PA USD 36986.120000 0.0016434 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N AMERICOLD REALTY TRUST INC 894500O3S3W62PQPO460 03064D108 10377.000000 NS USD 118920.420000 0.005284 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 466015.890000 0.0207064 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-04-15 3525.080000 EUR 0.000000 EUR 4200000.000000 EUR 462490.810000 N N N N/A N/A 000000000 -6200000.000000 NC -19208.470000 -0.0008535 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.44000 01/27/27-2Y LCH 2029-01-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.440000 EUR 2027-01-25 XXXX 35940.150000 N N N N/A N/A 000000000 1.000000 NC -7398.860000 -0.0003288 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 249838.070000 USD 900000.000000 PLN 2026-04-15 -7398.860000 N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 309884.050000 PA USD 177880.420000 0.0079037 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.19303 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3 N/A 81377EAC8 9645067.700000 PA USD 3157819.280000 0.140311 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.23303 N N N N N N N/A N/A 000000000 -4.000000 NC USD -166440.000000 -0.0073954 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Put Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT SILVER FUTURE CMX 05/27/26 2026-05-28 N/A USD N/A 80.000000 USD 2026-04-27 XXXX -86449.480000 N N N N/A N/A 000000000 676.000000 NC USD -2664765.810000 -0.118403 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 78595562.500000 USD -2664765.810000 N N N N/A N/A 000000000 24.000000 NC -73107.190000 -0.0032484 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A EUA 2026-12-14 2011456.790000 EUR -73107.190000 N N N ITALY GOVT 815600DE60799F5A9309 ACI2NDKJ4 1241664.000000 PA 1443602.100000 0.0641434 Long DBT NUSS IT N 2 2036-05-15 Fixed 1.8 N N N N N N N/A N/A 000000000 1.000000 NC USD -1656580.950000 -0.0736067 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-06-03 0.000000 USD 0.000000 USD 27500656.500000 USD -1656580.950000 N N N N/A N/A 000000000 1.000000 NC -34402.890000 -0.0015286 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4000363.000000 USD 67452520761.000000 IDR 2026-06-10 -34402.890000 N N N N/A N/A 000000000 1.000000 NC USD 522428.510000 0.023213 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP PIMCODB CIB PIMCODB2 Y Single Leg Swap 2026-06-15 0.000000 USD 0.000000 USD 19395736.110000 USD 522428.510000 N N N N/A N/A 000000000 1.000000 NC USD 17816.790000 0.0007917 N/A DCR US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD 0.000000 USD 13023442.420000 USD 17816.790000 N N N N/A N/A 000000000 1.000000 NC -39845.630000 -0.0017705 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4711625.000000 USD 439033929.130000 INR 2026-04-24 -39845.630000 N N N N/A N/A 000000000 1.000000 NC 45829.940000 0.0020364 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 90897000.000000 MXN 5086201.080000 USD 2026-06-17 45829.940000 N N N N/A N/A 000000000 1.000000 NC -301235.930000 -0.0133848 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7789002.000000 USD 709021168.560000 INR 2026-04-07 -301235.930000 N N N N/A N/A 000000000 3.000000 NC USD -16123.960000 -0.0007164 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Copper 2026-09-28 429000.000000 USD -16123.960000 N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAA0 7854270.280000 PA USD 3834805.050000 0.170392 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.11303 N N N N N N INDEPENDENCE REALTY TRUST INC 549300Z3L8NU44NQEB29 45378A106 9450.000000 NS USD 140710.500000 0.0062522 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -1616.910000 -0.0000718 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28596413.660000 TRY 615056.000000 USD 2026-05-06 -1616.910000 N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAR2 13391.940000 PA USD 13216.280000 0.0005872 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.69853 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-5 N/A 05950BAS3 204543.290000 PA USD 179173.110000 0.0079612 Long ABS-MBS CORP US N 2 2046-06-25 Fixed 6 N N N N N N VIBRANT CLO XII LTD 2021-12A N/A 92558WBE1 1400000.000000 PA USD 1401709.080000 0.062282 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 4.81763 N N N N N N ESSEX PROPERTY TRUST INC 549300TR2H2VEFX0NC60 297178105 3983.000000 NS USD 963886.000000 0.0428283 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 40668.780000 0.001807 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 863092944.340000 INR 9155542.000000 USD 2026-04-07 40668.780000 N N N N/A N/A 000000000 1.000000 NC -2238.230000 -0.0000995 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3270871.510000 PLN 878859.000000 USD 2026-04-15 -2238.230000 N N N UMBS PASS THRU POOLS N/A 01F062655 26000000.000000 PA USD 26877801.340000 1.19426 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 -48488.930000 -0.0021545 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4035361.000000 USD 67808188564.000000 IDR 2026-06-10 -48488.930000 N N N N/A N/A 000000000 1.000000 NC 17546.290000 0.0007796 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7015004.390000 USD 5623227.520000 CHF 2026-04-02 17546.290000 N N N N/A N/A 000000000 1.000000 NC 4376607.280000 0.194465 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-08 436004.720000 EUR 0.000000 EUR 7000000.000000 EUR 3940602.560000 N N N N/A N/A 000000000 1.000000 NC -312430.480000 -0.0138822 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7248170.000000 USD 656749435.530000 INR 2026-04-07 -312430.480000 N N N FREDDIE MAC REMICS 5505 N/A 3137HJ6H5 1862696.900000 PA USD 1841339.960000 0.0818161 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 4.48125 N N N N N N CENTERSPACE 5493002LG2SH9EEHT720 15202L107 1350.000000 NS USD 77557.500000 0.0034461 Long EC CORP US N 1 N N N ROCKFORD TOWER EUROPE CLO 2018-1A DAC N/A ACI2ZP3T1 2700000.000000 PA 3119125.970000 0.138592 Long ABS-CBDO CORP IE N 2 2036-08-29 Floating 3.271 N N N N N N N/A N/A 000000000 1.000000 NC 481.630000 0.0000214 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 45775.440000 USD 447951.590000 NOK 2026-05-04 481.630000 N N N DRYDEN CLO LTD 2018-64A N/A 26251LAC8 122996.770000 PA USD 123118.650000 0.0054705 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 4.89924 N N N N N N N/A N/A 000000000 14.000000 NC USD 47768.150000 0.0021225 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Coffee 2026-05-18 1566337.500000 USD 47768.150000 N N N N/A N/A 000000000 1.000000 NC 56192.070000 0.0024968 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5509000.000000 PLN 1540189.410000 USD 2026-04-15 56192.070000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 54510397.000000 PA USD 51448536.010000 2.28601 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -167439.580000 -0.0074398 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5663774.000000 USD 20403881.770000 PLN 2026-04-15 -167439.580000 N N N N/A N/A 000000000 1.000000 NC 231.540000 0.0000103 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 356995785.000000 IDR 21221.580000 USD 2026-06-10 231.540000 N N N MASTR ASSET BACKED SEC TR 2006-NC1 N/A 57643LNG7 1048361.570000 PA USD 1055974.140000 0.04692 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.36303 N N N N N N N/A N/A 000000000 1.000000 NC 6455.040000 0.0002868 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8515000.000000 SEK 905928.450000 USD 2026-04-02 6455.040000 N N N N/A N/A 000000000 1.000000 NC -8445.490000 -0.0003753 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2996260.860000 BRL 570000.000000 USD 2026-04-02 -8445.490000 N N N DIVERSIFIED HEALTHCARE TRUST N/A 25525P107 49119.000000 NS USD 326150.160000 0.0144918 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 271343.360000 0.0120566 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2034-08-15 0.000000 EUR -7379.200000 EUR 18500000.000000 EUR 278722.560000 N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 1200000.000000 PA USD 1203915.600000 0.0534935 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 5.56763 N N N N N N FANNIE MAE REMICS 2025-16 N/A 3136BU5D8 1626765.710000 PA USD 1639502.630000 0.0728479 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC 29163.590000 0.0012958 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1920699.820000 USD 10100000.000000 BRL 2026-04-02 29163.590000 N N N N/A N/A 000000000 307.000000 NC USD 1990115.000000 0.0884266 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2026-10-30 24443340.000000 USD 1990115.000000 N N N N/A N/A 000000000 1.000000 NC -134.400000 -0.000006 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 44377.130000 USD 61457.000000 CAD 2026-05-04 -134.400000 N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 1000000.000000 PA USD 1001045.680000 0.0444794 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 4.75219 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 14604120.000000 PA USD 10349481.270000 0.459858 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 29883.760000 0.0013278 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 4245342.270000 ILS 1383145.000000 USD 2026-06-17 29883.760000 N N N N/A N/A 000000000 -306.000000 NC USD 438967.690000 0.0195046 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -33963609.530000 USD 438967.690000 N N N N/A N/A 000000000 1.000000 NC -69843.480000 -0.0031033 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13500000.000000 BRL 2483758.520000 USD 2026-07-02 -69843.480000 N N N EQUITY LIFESTYLE PROPERTIES INC 529900PEQG66LENB6798 29472R108 14435.000000 NS USD 901032.700000 0.0400355 Long EC CORP US N 1 N N N BAIN CAPITAL CREDIT CLO LTD 2021-6A N/A 05684PAL0 1800000.000000 PA USD 1801089.790000 0.0800277 Long ABS-CBDO CORP KY N 2 2034-10-21 Floating 4.75969 N N N N N N N/A N/A 000000000 22.000000 NC USD 42109.660000 0.0018711 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Cotton 2026-07-09 793430.000000 USD 42109.660000 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 146227.740000 PA USD 135741.430000 0.0060314 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.06303 N N N N N N N/A N/A 000000000 1.000000 NC 923225.980000 0.0410216 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-09-15 18345.070000 EUR 0.000000 EUR 6600000.000000 EUR 904880.910000 N N N N/A N/A 000000000 1.000000 NC -48683.220000 -0.0021631 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1363072.570000 USD 23703423.000000 MXN 2026-06-17 -48683.220000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 13917348.000000 PA 15602974.340000 0.693286 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N BRIXMOR PROPERTY GROUP INC 5299007UXW6Y0W2EGZ95 11120U105 20693.000000 NS USD 595958.400000 0.0264802 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -14954.940000 -0.0006645 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5000000.000000 BRL 910448.300000 USD 2026-10-02 -14954.940000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 31441760.000000 PA USD 28945831.030000 1.28615 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N WARNER BROS DISCOVERY INC 5493006ZCRFWKF6B1K26 934423104 21000.000000 NS USD 576660.000000 0.0256227 Long EC CORP US N 1 N N N N/A N/A 000000000 30.000000 NC USD -3153481.720000 -0.140118 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Silver 2026-12-29 11521800.000000 USD -3153481.720000 N N N N/A N/A 000000000 1.000000 NC 115.980000 0.0000052 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 65419.300000 THB 2102.320000 USD 2026-04-20 115.980000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CML2 68425200.000000 PA USD 69602840.120000 3.09266 Long DBT UST US N 2 2035-01-15 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC -77674.670000 -0.0034513 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6016556.000000 USD 558110775.950000 INR 2026-04-24 -77674.670000 N N N UDR INC P3CH2EG5X6Z1XWU1OO74 902653104 19456.000000 NS USD 657223.680000 0.0292024 Long EC CORP US N 1 N N N PIMCO FUNDS 549300FW8J0DNOBABK03 72201R593 2977136.000000 NS USD 96072178.720000 4.26877 Long EC RF US N 1 N N N N/A N/A 000000000 3.000000 NC USD 1554.010000 0.000069 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-02-26 26595.000000 USD 1554.010000 N N N N/A N/A 000000000 1.000000 NC -27637.520000 -0.001228 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9700000.000000 BRL 1807172.800000 USD 2026-07-02 -27637.520000 N N N N/A N/A 000000000 1.000000 NC USD 1121743.500000 0.0498423 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 11500000.000000 USD 1121743.500000 N N N WELLTOWER INC 254900F33BIAR82QTA19 95040Q104 59527.000000 NS USD 11769083.170000 0.522935 Long EC CORP US N 1 N N N N/A N/A 000000000 -656.000000 NC 1168300.780000 0.051911 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -87523382.850000 EUR 1168300.780000 N N N N/A N/A 000000000 1.000000 NC 120249.340000 0.005343 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 20882827.840000 USD 30441440.000000 AUD 2026-04-02 120249.340000 N N N N/A N/A 000000000 1.000000 NC USD 48271.340000 0.0021448 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2056-02-15 0.000000 USD 0.000000 USD 3400000.000000 USD 48271.340000 N N N GLOBAL SPORTS GROUP (GSG BIDCO LIMITED) 984500F49D98F3GDZ668 ACI38RGT1 2300000.000000 PA 2637201.150000 0.117179 Long DBT CORP JE N 2 2031-06-15 Fixed 4.7 N N N N N N N/A N/A 000000000 -1181.000000 NC 5142010.470000 0.228475 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-06-08 -162018865.790000 EUR 5142010.470000 N N N N/A N/A 000000000 1.000000 NC USD 18501.280000 0.0008221 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 700000.000000 USD 18501.280000 N N N N/A N/A 000000000 1.000000 NC 47534.110000 0.0021121 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1588220.420000 USD 29327443.000000 MXN 2026-04-10 47534.110000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 25842993.200000 PA USD 21374696.520000 0.94974 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N TORO EUROPEAN CLO 7 DAC 7A N/A ACI227LV2 4364804.510000 PA 5038975.410000 0.223896 Long ABS-CBDO CORP IE N 2 2034-02-15 Floating 2.794 N N N N N N N/A N/A 000000000 60.000000 NC USD 50635.070000 0.0022499 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2026-05-14 3513000.000000 USD 50635.070000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 1862.840000 PA 267.120000 0.0000119 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -12241.530000 -0.0005439 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2212175.000000 USD 46705938.360000 CZK 2026-04-15 -12241.530000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBE9 900000.000000 PA USD 904365.000000 0.0401836 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 4187.130000 0.000186 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5381864.120000 PLN 1453937.000000 USD 2026-04-15 4187.130000 N N N TERRENO REALTY CORPORATION N/A 88146M101 8389.000000 NS USD 515252.380000 0.0228942 Long EC CORP US N 1 N N N N/A N/A 000000000 46.000000 NC USD 170944.720000 0.0075956 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybean Oil 2026-12-14 1802280.000000 USD 170944.720000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670GR3 22924.370000 PA USD 21541.730000 0.0009572 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.805 N N N N N N N/A N/A 000000000 1.000000 NC 266.950000 0.0000119 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2380000.000000 USD 40410267996.000000 IDR 2026-04-27 266.950000 N N N N/A N/A 000000000 1.000000 NC 39560.320000 0.0017578 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1467939.330000 USD 27034745.000000 MXN 2026-04-13 39560.320000 N N N N/A N/A 000000000 1.000000 NC -32356.380000 -0.0014377 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10800000.000000 BRL 1966514.630000 USD 2026-10-02 -32356.380000 N N N N/A N/A 000000000 400.000000 NC -413385.210000 -0.0183679 N/A DE DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long DOW JONES EURO STOXX 50 PRICE INDEX N/A N/A 2026-06-19 25405587.840000 EUR -413385.210000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 54965.700000 PA USD 60669.380000 0.0026957 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N CBRE GROUP INC 52990016II9MJ2OSWA10 12504L109 1277.000000 NS USD 172982.420000 0.0076861 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHP9 43153643.000000 PA USD 42199252.280000 1.87504 Long DBT UST US N 2 2033-07-15 Fixed 1.375 N N N N N N TIKEHAU CLO V BV 5A N/A ACI2YQ816 600000.000000 PA 693312.340000 0.0308059 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.216 N N N N N N N/A N/A 000000000 1.000000 NC USD 2201787.600000 0.0978318 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 511429.190000 USD 0.000000 USD 19200000.000000 USD 1690358.410000 N N N N/A N/A 000000000 1.000000 NC -617.740000 -0.0000274 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 452080.690000 CNY 65032.610000 USD 2026-05-13 -617.740000 N N N N/A N/A 000000000 1.000000 NC 90.060000 0.000004 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 91086.430000 NOK 9497.000000 USD 2026-04-07 90.060000 N N N N/A N/A 000000000 1.000000 NC 400986.350000 0.017817 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 5071.710000 EUR 0.000000 EUR 10000000.000000 EUR 395914.640000 N N N N/A N/A 000000000 1.000000 NC -7270007.950000 -0.323028 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 -3321650.840000 EUR 199830000.000000 EUR -3948357.110000 N N N N/A N/A 000000000 1.000000 NC USD -1413.370000 -0.0000628 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-13 0.000000 USD -283.230000 USD 30000.000000 USD -1130.140000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 786096.210000 PA USD 792285.620000 0.0352036 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 4.92655 N N N N N N VORNADO REALTY TRUST N/A 929042109 8072.000000 NS USD 209791.280000 0.0093216 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 7599.410000 0.0003377 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 4453365.130000 ILS 1426949.000000 USD 2026-06-10 7599.410000 N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 286783.250000 PA USD 193553.110000 0.0086001 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.15303 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAA3 195082.700000 PA USD 145595.210000 0.0064692 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.95303 N N N N N N N/A N/A 000000000 1.000000 NC 83699.250000 0.003719 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5065697.000000 USD 27223055.680000 BRL 2026-07-02 83699.250000 N N N N/A N/A 000000000 1.000000 NC 11237.720000 0.0004993 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10658264.450000 THB 334755.000000 USD 2026-04-16 11237.720000 N N N N/A N/A 000000000 1.000000 NC -268403.540000 -0.011926 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20500000.000000 BRL 3689240.020000 USD 2026-04-02 -268403.540000 N N N ROMARK CLO IV LTD 2021-4A N/A 77588LAN1 1300000.000000 PA USD 1301371.310000 0.0578237 Long ABS-CBDO CORP KY N 2 2034-07-10 Floating 4.78968 N N N N N N N/A N/A 000000000 1.000000 NC 23842.380000 0.0010594 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2003243.350000 USD 10500000.000000 BRL 2026-04-02 23842.380000 N N N N/A N/A 000000000 1.000000 NC 4136.970000 0.0001838 N/A DFE CZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1463036.800000 USD 31149000.000000 CZK 2026-04-15 4136.970000 N N N GNMA PASS THRU POOLS N/A 36179XHW9 21375878.050000 PA USD 19774959.670000 0.878659 Long ABS-MBS USGSE US N 2 2052-10-20 Fixed 3.5 N N N N N N N/A N/A 000000000 3.000000 NC USD 9354.010000 0.0004156 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2030-12-27 34395.000000 USD 9354.010000 N N N N/A N/A 000000000 1.000000 NC 794.570000 0.0000353 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 615056.000000 USD 28558280.190000 TRY 2026-05-06 794.570000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 24409680.000000 PA USD 18826009.880000 0.836494 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N XENIA HOTELS & RESORTS INC 54930075IWIPHF5IQL62 984017103 7612.000000 NS USD 112885.960000 0.0050159 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -2977.920000 -0.0001323 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 39000000.000000 BRL 7215167.390000 USD 2026-10-02 -2977.920000 N N N ELME COMMUNITIES 549300DI34BGS8LVKW95 939653101 6929.000000 NS USD 13927.290000 0.0006188 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 132200.350000 0.005874 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 557193251.160000 INR 6016556.000000 USD 2026-04-07 132200.350000 N N N N/A N/A 000000000 102.000000 NC USD 2138439.080000 0.0950171 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2026-07-31 8762820.000000 USD 2138439.080000 N N N N/A N/A 000000000 1.000000 NC 33862.440000 0.0015046 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2387000.000000 CAD 1749847.720000 USD 2026-04-02 33862.440000 N N N N/A N/A 000000000 1.000000 NC 6905.660000 0.0003068 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 31028099.080000 THB 949016.640000 USD 2026-04-20 6905.660000 N N N N/A N/A 000000000 1.000000 NC 12949.280000 0.0005754 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1029551.950000 USD 5400000.000000 BRL 2026-04-02 12949.280000 N N N N/A N/A 000000000 1.000000 NC 5041.780000 0.000224 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19361602.000000 MXN 1078670.830000 USD 2026-06-17 5041.780000 N N N N/A N/A 000000000 55.000000 NC USD 66198.880000 0.0029414 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Coffee 2026-07-21 5997750.000000 USD 66198.880000 N N N N/A N/A 000000000 1371.000000 NC -4982392.860000 -0.221382 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A ITALY GOVT 2026-06-08 184265503.420000 EUR -4982392.860000 N N N N/A N/A 000000000 1.000000 NC 1817.150000 0.0000807 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 16030000.000000 MXN 890704.010000 USD 2026-06-17 1817.150000 N N N N/A N/A 000000000 -11.000000 NC USD 15556.070000 0.0006912 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Nickel 2026-09-14 -1139424.000000 USD 15556.070000 N N N LONG BEACH MORTGAGE LOAN TR 2006-WL3 N/A 542514SW5 957261.630000 PA USD 877689.450000 0.0389983 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.39303 N N N N N N URBAN EDGE PROPERTIES N/A 91704F104 277.000000 NS USD 5534.460000 0.0002459 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 43.590000 0.0000019 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 15911.080000 USD 1510757.050000 INR 2026-04-07 43.590000 N N N N/A N/A 000000000 1.000000 NC 451.960000 0.0000201 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 34297.390000 SGD 27128.000000 USD 2026-04-02 451.960000 N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 655844108 1700.000000 NS USD 487900.000000 0.0216788 Long EC CORP US N 1 N N N N/A N/A 000000000 -802.000000 NC USD 2745969.000000 0.122011 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -91089656.250000 USD 2745969.000000 N N N PHILLIPS EDISON & COMPANY INC 549300JPN4YHYPXTJQ85 71844V201 7865.000000 NS USD 294308.300000 0.013077 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -2335961.530000 -0.103794 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -88940.770000 EUR 9810000.000000 EUR -2247020.760000 N N N N/A N/A 000000000 1.000000 NC 8900.020000 0.0003955 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 28415000.000000 MXN 1584553.190000 USD 2026-06-17 8900.020000 N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 26552.000000 NS USD 1570550.800000 0.0697841 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJH5 35038410.000000 PA USD 36284890.920000 1.61224 Long DBT UST US N 2 2028-10-15 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC 52992.020000 0.0023546 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1902919.560000 USD 35082225.000000 MXN 2026-04-15 52992.020000 N N N N/A N/A 000000000 1.000000 NC 28160.400000 0.0012512 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1747952.810000 USD 9200000.000000 BRL 2026-04-02 28160.400000 N N N N/A N/A 000000000 1.000000 NC USD -211788.500000 -0.0094104 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 166532.740000 USD 0.000000 USD 1820000.000000 USD -378321.240000 N N N N/A N/A 000000000 1.000000 NC -936.050000 -0.0000416 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 320000.000000 USD 479702444.000000 KRW 2026-04-23 -936.050000 N N N N/A N/A 000000000 1.000000 NC 71491.600000 0.0031766 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12406182.290000 ILS 4017913.000000 USD 2026-04-06 71491.600000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 694846.270000 PA USD 628700.660000 0.027935 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.92303 N N N N N N N/A N/A 000000000 1.000000 NC -1327.240000 -0.000059 N/A DFE HK N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 687184.000000 USD 5372486.970000 HKD 2026-04-20 -1327.240000 N N N BROADSTONE NET LEASE INC 549300U8D7PT70B49V21 11135E203 22010.000000 NS USD 402122.700000 0.0178675 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -11151.060000 -0.0004955 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3165670.800000 BRL 600000.000000 USD 2026-04-02 -11151.060000 N N N N/A N/A 000000000 -22.000000 NC USD 19173.170000 0.0008519 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Aluminum 2026-09-14 -1853885.000000 USD 19173.170000 N N N N/A N/A 000000000 1.000000 NC 2231083.820000 0.0991336 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 59386842.260000 USD 319171614.380000 BRL 2026-04-02 2231083.820000 N N N N/A N/A 000000000 1.000000 NC 24542.710000 0.0010905 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4164813.910000 ILS 1351927.000000 USD 2026-06-10 24542.710000 N N N N/A N/A 000000000 1.000000 NC -3554.990000 -0.000158 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8233707.070000 TRY 178379.000000 USD 2026-04-17 -3554.990000 N N N N/A N/A 000000000 -33700000.000000 NC -498618.710000 -0.0221551 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 0.000000 0.000000 DIR N/A IRS EUR R 2.35000 01/11/27-2Y LCH 2029-01-11 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.350000 EUR 2027-01-07 XXXX -192771.760000 N N N N/A N/A 000000000 1.000000 NC -45567.640000 -0.0020247 N/A DFE PL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1794399.000000 USD 6492135.580000 PLN 2026-04-15 -45567.640000 N N N FIRST INDUSTRIAL REALTY TRUST INC N/A 32054K103 13472.000000 NS USD 779355.200000 0.034629 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -88947.590000 -0.0039522 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2509126.450000 USD 43645000.000000 MXN 2026-06-17 -88947.590000 N N N N/A N/A 000000000 1.000000 NC 29041.540000 0.0012904 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 18158000.000000 EUR 21016969.840000 USD 2026-04-02 29041.540000 N N N FOUR CORNERS PROPERTY TRUST INC 549300SVTPZPBDVNER42 35086T109 315.000000 NS USD 7449.750000 0.000331 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -221454.470000 -0.0098399 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3557263.020000 USD 3088237891.000000 CLP 2026-09-16 -221454.470000 N N N N/A N/A 000000000 1.000000 NC 566747.590000 0.0251822 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 UK RPI All Items NSA N/A N/A Y 2027-09-15 13285.190000 GBP 0.000000 GBP 28200000.000000 GBP 553462.400000 N N N N/A N/A 000000000 -14265750.000000 PA USD -14276179.850000 -0.634332 Short RA US N 2 Reverse repurchase N 3.760000 2026-04-01 13800000.000000 USD 13942633.760000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 6965.960000 0.0003095 N/A DCR US N 2 UBS AG 254900R882POXXVAK772 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -147600.650000 USD 5091872.230000 USD 154566.610000 N N N N/A N/A 000000000 1.000000 NC 865936.910000 0.0384761 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-09-14 781627.310000 JPY 0.000000 JPY 6260000000.000000 JPY 84309.600000 N N N FREDDIE MAC REMICS 5511 N/A 3137HKKP8 1241419.410000 PA USD 1250372.530000 0.0555577 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC -146820.100000 -0.0065236 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 9630571.160000 USD 8205000.000000 EUR 2026-04-02 -146820.100000 N N N N/A N/A 000000000 3.000000 NC USD -1970.990000 -0.0000876 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-03-27 23070.000000 USD -1970.990000 N N N N/A N/A 000000000 -30386000.000000 PA USD -30443985.050000 -1.35271 Short RA US N 2 Reverse repurchase N 3.760000 2026-04-21 26600000.000000 USD 24861162.260000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 986514.940000 0.0438337 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 579783.650000 USD 0.000000 USD 41500000.000000 USD 406731.290000 N N N N/A N/A 000000000 1.000000 NC -3225.900000 -0.0001433 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10960372.450000 TRY 243404.370000 USD 2026-04-02 -3225.900000 N N N N/A N/A 000000000 1.000000 NC USD 3935854.690000 0.174882 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-21 682758.620000 USD 0.000000 USD 11000000.000000 USD 3253096.070000 N N N SEMRUSH HOLDINGS INC 254900WQEX0OLGK16D27 81686C104 7200.000000 NS USD 85968.000000 0.0038198 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 836.390000 0.0000372 N/A DFE SG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 644373.000000 USD 827645.570000 SGD 2026-05-04 836.390000 N N N N/A N/A 000000000 1.000000 NC 573123.010000 0.0254655 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 44763295.330000 USD 237952725.320000 BRL 2026-06-02 573123.010000 N N N N/A N/A 000000000 1.000000 NC -156073.210000 -0.0069348 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8600000.000000 BRL 1504206.530000 USD 2026-04-02 -156073.210000 N N N N/A N/A 000000000 1.000000 NC 43019.660000 0.0019115 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1481065.960000 USD 27336775.000000 MXN 2026-04-15 43019.660000 N N N N/A N/A 000000000 1.000000 NC -347707.340000 -0.0154496 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 19500000.000000 BRL 3416880.440000 USD 2026-04-02 -347707.340000 N N N N/A N/A 000000000 1.000000 NC -276791.090000 -0.0122986 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7002062.000000 USD 636820033.750000 INR 2026-04-07 -276791.090000 N N N N/A N/A 000000000 1.000000 NC -35525.490000 -0.0015785 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1276336.410000 USD 117493148.220000 INR 2026-04-07 -35525.490000 N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAK5 424000.000000 PA USD 430267.180000 0.019118 Long DBT CORP NL N 2 2044-03-17 Fixed 7.25 N N N N N N N/A N/A 000000000 -9176656.250000 PA USD -9203564.240000 -0.408941 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-08 9095000.000000 USD 9022388.800000 USD UST N N N N/A N/A 000000000 1.000000 NC -15891.330000 -0.0007061 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5300000.000000 BRL 986633.900000 USD 2026-07-02 -15891.330000 N N N N/A N/A 000000000 48.000000 NC 62058.600000 0.0027574 N/A DE GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long FTSE 100 INDEX N/A N/A 2026-06-19 6479712.510000 GBP 62058.600000 N N N N/A N/A 000000000 1.000000 NC -305336.770000 -0.013567 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7797097.000000 USD 709399377.800000 INR 2026-04-07 -305336.770000 N N N N/A N/A 000000000 1.000000 NC 36793.800000 0.0016349 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 65002117.620000 THB 2010000.000000 USD 2026-04-17 36793.800000 N N N N/A N/A 000000000 49.000000 NC USD 1995725.730000 0.0886759 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Gasoil 2026-06-11 5399800.000000 USD 1995725.730000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BH3VWMII9 2.240000 PA 0.280000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -14686.350000 -0.0006526 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1591315.000000 USD 26815089934.000000 IDR 2026-06-10 -14686.350000 N N N N/A N/A 000000000 1.000000 NC 8724.350000 0.0003876 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 314000.000000 GBP 424334.890000 USD 2026-04-02 8724.350000 N N N N/A N/A 000000000 1.000000 NC -2473.810000 -0.0001099 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 10345000.000000 CNY 1499489.850000 USD 2026-04-02 -2473.810000 N N N N/A N/A 000000000 -28.000000 NC USD -100976.070000 -0.0044867 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Kansas Wheat 2026-07-14 -908250.000000 USD -100976.070000 N N N N/A N/A 000000000 1.000000 NC 6175.700000 0.0002744 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 513000.000000 CHF 647746.490000 USD 2026-04-02 6175.700000 N N N N/A N/A 000000000 1.000000 NC -2286.170000 -0.0001016 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 506528.000000 USD 8557790560.000000 IDR 2026-04-13 -2286.170000 N N N MEDICAL PROPERTIES TRUST INC 254900U6E39J1MQCCY14 58463J304 39929.000000 NS USD 184871.270000 0.0082144 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -226873.570000 -0.0100807 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 15654001.780000 USD 261397252.940000 ZAR 2026-04-20 -226873.570000 N N N N/A N/A 000000000 1.000000 NC 165.450000 0.0000074 N/A DFE GB N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 2179804.500000 USD 1647000.000000 GBP 2026-04-02 165.450000 N N N N/A N/A 000000000 1.000000 NC -7600.860000 -0.0003377 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28062400.130000 TRY 614945.000000 USD 2026-04-14 -7600.860000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 9320803.800000 PA USD 9455656.350000 0.420142 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 50.800000 0.0000023 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 390723.000000 JPY 2512.750000 USD 2026-04-02 50.800000 N N N N/A N/A 000000000 1.000000 NC -26780.300000 -0.0011899 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-05-15 0.000000 EUR 0.000000 EUR 950000.000000 EUR -26780.300000 N N N N/A N/A 000000000 161.000000 NC USD 191546.570000 0.008511 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Nickel 2026-05-18 16448033.700000 USD 191546.570000 N N N N/A N/A 000000000 1.000000 NC 4207.300000 0.0001869 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2891000.000000 PLN 782975.920000 USD 2026-04-15 4207.300000 N N N N/A N/A 000000000 1.000000 NC -1087199.190000 -0.0483074 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 44700000.000000 BRL 7542394.330000 USD 2026-04-02 -1087199.190000 N N N N/A N/A 000000000 1.000000 NC 256280.950000 0.0113873 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 51004199.860000 SGD 40017731.780000 USD 2026-05-04 256280.950000 N N N N/A N/A 000000000 26.000000 NC USD -590132.750000 -0.0262213 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Silver 2026-07-29 9812270.000000 USD -590132.750000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNB3 31159715.000000 PA USD 31481774.960000 1.39883 Long DBT UST US N 2 2030-04-15 Fixed 1.625 N N N N N N NNN REIT INC 5493008JKH5SOTI0JS97 637417106 15558.000000 NS USD 653902.740000 0.0290548 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 795000.000000 PA USD 792577.730000 0.0352165 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N N/A N/A 000000000 444600000.010000 PA USD 444600000.010000 19.7549 Long RA US N 2 Repurchase N 3.710000 2026-04-01 455383000.000000 USD 452533453.000000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 575193.070000 0.0255575 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-18 578499.610000 USD 0.000000 USD 13000000.000000 USD -3306.540000 N N N N/A N/A 000000000 1.000000 NC USD 487495.720000 0.0216609 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 277665.750000 USD 0.000000 USD 37357600.000000 USD 209829.970000 N N N N/A N/A 000000000 -457.000000 NC 484982.430000 0.0215492 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -58241928.700000 EUR 484982.430000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 1305317.310000 PA USD 1272626.810000 0.0565465 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 22406.220000 0.0009956 N/A DFE CO N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 3317351.690000 USD 12653374551.200000 COP 2026-08-18 22406.220000 N N N N/A N/A 000000000 1.000000 NC 24752.870000 0.0010998 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR -59990.690000 EUR 2300000.000000 EUR 84743.560000 N N N UMBS PASS THRU POOLS N/A 01F062663 400000.000000 PA USD 413473.380000 0.0183718 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6.5 N N N N N N GLOBAL NET LEASE INC 549300NUYANCT5SU8Z65 379378201 16153.000000 NS USD 151192.080000 0.0067179 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 7716195.000000 PA USD 4373386.010000 0.194322 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 198354.860000 PA USD 184271.680000 0.0081877 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC USD -1196688.740000 -0.0531724 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-07-08 0.000000 USD 0.000000 USD 19879804.500000 USD -1196688.740000 N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 6354594.310000 PA USD 6396292.520000 0.284206 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6019 N N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAQ8 232306.030000 PA USD 165652.160000 0.0073604 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -164184.670000 -0.0072952 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12300000.000000 BRL 2210401.470000 USD 2026-04-02 -164184.670000 N N N N/A N/A 000000000 1.000000 NC 69.090000 0.0000031 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5718.680000 SGD 4517.000000 USD 2026-04-02 69.090000 N N N N/A N/A 000000000 1.000000 NC -7410.810000 -0.0003293 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1688000.000000 USD 2527222960.000000 KRW 2026-04-15 -7410.810000 N N N GLOBAL SPORTS GROUP (GSG BIDCO LIMITED) 984500F49D98F3GDZ668 ACI38RGS3 2500000.000000 PA 2869773.820000 0.127512 Long DBT CORP JE N 2 2036-06-15 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 365259.870000 0.0162296 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 8106005.260000 CHF 10502835.230000 USD 2026-04-02 365259.870000 N N N N/A N/A 000000000 1.000000 NC -7728.280000 -0.0003434 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2556410.000000 USD 81694934.000000 TWD 2026-04-27 -7728.280000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFR7 24701625.000000 PA USD 25092891.080000 1.11495 Long DBT UST US N 2 2027-10-15 Fixed 1.625 N N N N N N UMBS PASS THRU POOLS N/A 01F060675 18000000.000000 PA USD 18314857.080000 0.813782 Long ABS-MBS USGSE US N 2 2056-07-13 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-10 N/A 12545CAE0 937349.780000 PA USD 396916.730000 0.0176362 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 -8146.270000 -0.000362 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 30735653.980000 TRY 659506.780000 USD 2026-04-30 -8146.270000 N N N KITE REALTY GROUP TRUST N/A 49803T300 13629.000000 NS USD 334591.950000 0.0148669 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 10456.270000 0.0004646 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 61077977.910000 THB 1873868.000000 USD 2026-06-17 10456.270000 N N N N/A N/A 000000000 77.000000 NC USD 12523.410000 0.0005565 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Corn 2026-07-14 1802762.500000 USD 12523.410000 N N N N/A N/A 000000000 1.000000 NC USD 14608.490000 0.0006491 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A CINTAS CORPORATION Y 2027-03-12 0.000000 USD 0.000000 USD 105743.820000 USD 14608.490000 N N N N/A N/A 000000000 1.000000 NC -162.310000 -0.0000072 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 630896.000000 USD 809076.800000 SGD 2026-05-04 -162.310000 N N N N/A N/A 000000000 1.000000 NC 64701.420000 0.0028749 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 858950548.560000 INR 9135828.000000 USD 2026-04-07 64701.420000 N N N N/A N/A 000000000 1.000000 NC -216412.900000 -0.0096159 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6329340.000000 USD 103577433.830000 ZAR 2026-04-20 -216412.900000 N N N DIGITAL REALTY TRUST INC 549300HKCZ31D08NEI41 253868103 25747.000000 NS USD 4639866.870000 0.206163 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -443.560000 -0.0000197 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 25900000.000000 BRL 4793145.250000 USD 2026-10-02 -443.560000 N N N N/A N/A 000000000 1.000000 NC -7523.450000 -0.0003343 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1836522.000000 USD 60256286.820000 THB 2026-04-16 -7523.450000 N N N N/A N/A 000000000 1.000000 NC -3297.610000 -0.0001465 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 22945979.900000 TRY 492044.000000 USD 2026-05-05 -3297.610000 N N N COUNTRYWIDE ASSET-BACKED CERT 2005-5 N/A 126673V33 486827.580000 PA USD 485888.000000 0.0215894 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.99303 N N N N N N SYMPHONY CLO XXIX LTD N/A 87168GAN9 800000.000000 PA USD 799000.060000 0.0355019 Long ABS-CBDO CORP KY N 2 2035-10-15 Floating 4.82219 N N N N N N NEW YORK MORTGAGE TRUST 2006-1 N/A 649603AQ0 31364.960000 PA USD 25549.980000 0.0011353 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.58162 N N N N N N N/A N/A 000000000 1.000000 NC -55072.480000 -0.002447 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1473996.370000 USD 25588577.000000 MXN 2026-06-17 -55072.480000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 336428.470000 PA 42042.110000 0.0018681 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 2149.000000 NC USD -2998518.200000 -0.133233 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 232469753.370000 USD -2998518.200000 N N N EMPIRE STATE REALTY TRUST INC 549300VOKY1DUEQSB456 292104106 414.000000 NS USD 2152.800000 0.0000957 Long EC CORP US N 1 N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 1549.190000 PA USD 1523.800000 0.0000677 Long ABS-MBS CORP US N 2 2033-09-25 Floating 5.68627 N N N N N N N/A N/A 000000000 1.000000 NC -9193.930000 -0.0004085 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2288266.000000 USD 38682234467.000000 IDR 2026-04-16 -9193.930000 N N N N/A N/A 000000000 1.000000 NC USD 222949.510000 0.0099063 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 0.000000 USD 0.000000 USD 42600000.000000 USD 222949.510000 N N N FEDERAL REALTY INVESTMENT TRUST 549300FHEI1SLVZ0RB48 313745101 7165.000000 NS USD 760994.650000 0.0338132 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 2464.270000 0.0001095 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 264166.510000 USD 2524100.280000 SEK 2026-04-02 2464.270000 N N N N/A N/A 000000000 1.000000 NC USD -582553.190000 -0.0258845 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-04-22 0.000000 USD 0.000000 USD 28884704.160000 USD -582553.190000 N N N N/A N/A 000000000 -20759375.000000 PA USD -20793056.740000 -0.923896 Short RA US N 2 Reverse repurchase N 3.760000 2026-04-06 19700000.000000 USD 19264312.630000 USD UST N N N N/A N/A 000000000 1.000000 NC -48958.230000 -0.0021754 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16559764.070000 BRL 3148000.000000 USD 2026-04-02 -48958.230000 N N N KILROY REALTY CORPORATION 549300CXXI18B214UN80 49427F108 6001.000000 NS USD 169288.210000 0.007522 Long EC CORP US N 1 N N N N/A N/A 000000000 77.000000 NC USD -304195.480000 -0.0135163 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2026-06-18 25297387.500000 USD -304195.480000 N N N N/A N/A 000000000 1.000000 NC -129727.610000 -0.0057642 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 35305212.310000 USD 632860052.740000 MXN 2026-05-21 -129727.610000 N N N N/A N/A 000000000 91.000000 NC USD -174661.830000 -0.0077607 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Copper 2026-07-29 12889012.500000 USD -174661.830000 N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131102 8485.000000 NS USD 828645.100000 0.0368191 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UR7 4700000.000000 PA USD 4584703.130000 0.203712 Long DBT UST US N 2 2056-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -366.230000 -0.0000163 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 1456672.460000 USD 67461269.300000 TRY 2026-05-05 -366.230000 N N N N/A N/A 000000000 1.000000 NC USD -211736.230000 -0.0094081 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-06-03 55173.270000 USD 0.000000 USD 1300000.000000 USD -266909.500000 N N N N/A N/A 000000000 1.000000 NC 198895.270000 0.0088375 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1525138660.000000 JPY 9808792.000000 USD 2026-04-02 198895.270000 N N N N/A N/A 000000000 1.000000 NC 5675.330000 0.0002522 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5780950.000000 USD 543802404.600000 INR 2026-04-24 5675.330000 N N N N/A N/A 000000000 1.000000 NC -84475.380000 -0.0037535 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1784173696.000000 JPY 11191178.000000 USD 2026-05-07 -84475.380000 N N N N/A N/A 000000000 1.000000 NC -5717.660000 -0.0002541 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8210000.000000 NOK 842168.820000 USD 2026-04-07 -5717.660000 N N N N/A N/A 000000000 1.000000 NC -172179.880000 -0.0076505 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6177379.000000 USD 22292925.340000 PLN 2026-04-15 -172179.880000 N N N CUSHMAN & WAKEFIELD LTD N/A G2717C106 12584.000000 NS USD 154279.840000 0.0068551 Long EC CORP BM N 1 N N N N/A N/A 000000000 1.000000 NC -38296.020000 -0.0017016 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2800000.000000 BRL 502260.170000 USD 2026-04-02 -38296.020000 N N N HUDSON PACIFIC PROPERTIES INC 529900EURZA5HRSXQ389 444097406 231.000000 NS USD 1365.210000 0.0000607 Long EC CORP US N 1 N N N GLADSTONE COMMERCIAL CORPORATION 529900EVVV534W8R0T32 376536108 146.000000 NS USD 1668.780000 0.0000741 Long EC CORP US N 1 N N N TOWD POINT MORTGAGE TRUST 2017-6 N/A 89175JAA8 580047.860000 PA USD 573343.030000 0.0254753 Long ABS-MBS CORP US N 2 2057-10-25 Variable 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 46775.670000 0.0020784 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1980310.060000 USD 10500000.000000 BRL 2026-04-02 46775.670000 N N N N/A N/A 000000000 1.000000 NC -6846.570000 -0.0003042 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1223498.230000 USD 21927413.000000 MXN 2026-06-10 -6846.570000 N N N N/A N/A 000000000 1.000000 NC -1854.640000 -0.0000824 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1323605.330000 USD 23821587.000000 MXN 2026-06-10 -1854.640000 N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 7977.580000 PA USD 7975.180000 0.0003544 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.21303 N N N N N N N/A N/A 000000000 -27.000000 NC USD -115712.060000 -0.0051414 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A WTI Crude 2026-11-19 -1956690.000000 USD -115712.060000 N N N PUBLIC STORAGE 254900GLQZAD4N7N5Q19 74460D109 12985.000000 NS USD 3517376.800000 0.156287 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -16202.570000 -0.0007199 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1873868.000000 USD 61200716.270000 THB 2026-04-16 -16202.570000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1X8QV3 2.090000 PA 0.260000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 1718636.270000 PA USD 1698618.110000 0.0754745 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.46803 N N N N N N N/A N/A 000000000 1.000000 NC 30806.020000 0.0013688 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1864919.000000 USD 9949902.340000 BRL 2026-06-02 30806.020000 N N N N/A N/A 000000000 1.000000 NC -3621.290000 -0.0001609 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8377897.990000 TRY 178367.000000 USD 2026-04-30 -3621.290000 N N N OCP EURO CLO 2020-4 DAC 20-4A N/A ACI2YYN53 1400000.000000 PA 1617499.180000 0.0718702 Long ABS-CBDO CORP IE N 2 2039-10-20 Floating 3.256 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 4382.380000 PA USD 4227.770000 0.0001879 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.85978 N N N N N N N/A N/A 000000000 1.000000 NC -3775.870000 -0.0001678 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8301819.640000 TRY 178457.000000 USD 2026-04-22 -3775.870000 N N N N/A N/A 000000000 1.000000 NC USD 192019.670000 0.008532 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD -98445.140000 USD 19153700.000000 USD 290464.810000 N N N N/A N/A 000000000 1.000000 NC 152723.960000 0.006786 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-12-08 0.000000 EUR -347556.100000 EUR 26800000.000000 EUR 500280.060000 N N N NET LEASE OFFICE PROPERTIES N/A 64110Y108 30.000000 NS USD 345.600000 0.0000154 Long EC CORP US N 1 N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAJ9 29561.430000 PA USD 25752.690000 0.0011443 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.99623 N N N N N N ESSENTIAL PROPERTIES REALTY TRUST INC 2549009LXQLVYCGLZO50 29670E107 13327.000000 NS USD 404607.720000 0.0179779 Long EC CORP US N 1 N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAE2 702918.040000 PA USD 660199.180000 0.0293346 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.25303 N N N N N N N/A N/A 000000000 120.000000 NC USD 308780.820000 0.01372 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2026-05-19 11179200.000000 USD 308780.820000 N N N N/A N/A 000000000 1.000000 NC 45760.880000 0.0020333 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7489241.360000 USD 39030181.350000 BRL 2026-04-02 45760.880000 N N N N/A N/A 000000000 1.000000 NC 20706.660000 0.0009201 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 167812817.000000 JPY 1078095.000000 USD 2026-04-02 20706.660000 N N N N/A N/A 000000000 1.000000 NC -26583.800000 -0.0011812 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5200000.000000 BRL 957025.860000 USD 2026-07-02 -26583.800000 N N N N/A N/A 000000000 1.000000 NC USD -18436.280000 -0.0008192 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 0.000000 USD -6179.330000 USD 6312000.000000 USD -12256.950000 N N N NATIONAL STORAGE AFFILIATES TRUST 529900FS06O8GOYNR108 637870106 5819.000000 NS USD 219609.060000 0.0097579 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 3428.300000 0.0001523 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 451000.000000 GBP 600348.200000 USD 2026-05-05 3428.300000 N N N N/A N/A 000000000 1.000000 NC USD 377020.450000 0.0167521 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODB MAC PIMCODB1 Y Single Leg Swap 2026-08-17 0.000000 USD 0.000000 USD 20777403.480000 USD 377020.450000 N N N N/A N/A 000000000 78900000.000000 PA USD 78900000.000000 3.50576 Long RA US N 2 Repurchase N 3.720000 2026-04-01 78507500.000000 USD 79160706.740000 USD UST N N N N/A N/A 000000000 1.000000 NC -46506.260000 -0.0020664 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 19541783.190000 BRL 3726148.000000 USD 2026-04-02 -46506.260000 N N N UMBS PASS THRU POOLS N/A 01F060659 30809500.000000 PA USD 31370084.400000 1.39386 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2 N/A 83612MAG2 869403.220000 PA USD 855973.110000 0.0380334 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.19803 N N N N N N FANNIE MAE REMICS 2025-47 N/A 3136BWNH5 7988192.190000 PA USD 8069802.760000 0.358565 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 4.6919 N N N N N N N/A N/A 000000000 -2606500.000000 PA USD -2614415.800000 -0.116166 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-07 2600000.000000 USD 2419091.060000 USD UST N N N N/A N/A 000000000 1.000000 NC -26404.630000 -0.0011732 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5600000.000000 BRL 1032867.310000 USD 2026-07-02 -26404.630000 N N N N/A N/A 000000000 1.000000 NC 814.730000 0.0000362 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 25139000.000000 ZAR 1484466.800000 USD 2026-04-20 814.730000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UH9 16077828.000000 PA USD 14959126.940000 0.664678 Long DBT UST US N 2 2055-02-15 Fixed 2.375 N N N N N N COUSINS PROPERTIES INCORPORATED 5493007XPYD5EJABN062 222795502 13465.000000 NS USD 303905.050000 0.0135034 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 6572.150000 0.000292 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1348772.670000 USD 215100000.000000 JPY 2026-04-02 6572.150000 N N N GNMA PASS THRU POOLS N/A 36179W7L6 58552935.190000 PA USD 54186354.730000 2.40766 Long ABS-MBS USGSE US N 2 2052-06-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -19242.960000 -0.000855 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2950000.000000 USD 49756048445.000000 IDR 2026-04-27 -19242.960000 N N N N/A N/A 000000000 1.000000 NC 336585.920000 0.0149555 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 44278635.000000 GBP 58941460.700000 USD 2026-05-05 336585.920000 N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936100 28948.000000 NS USD 1268501.360000 0.0563632 Long EC CORP US N 1 N N N UMBS PASS THRU POOLS N/A 01F040644 26955538.000000 PA USD 25439505.170000 1.13035 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLV1 84751100.000000 PA USD 86118240.330000 3.82648 Long DBT UST US N 2 2029-10-15 Fixed 1.625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H20 N/A 38384LB73 12100934.820000 PA USD 12214964.350000 0.542746 Long ABS-MBS USGSE US N 2 2075-09-20 Floating 4.44294 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAD4 70444.720000 PA USD 38412.630000 0.0017068 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 N N N N N N EASTERLY GOVERNMENT PROPERTIES INC 549300ERMCEFC6S8HL77 27616P301 3550.000000 NS USD 76076.500000 0.0033803 Long EC CORP US N 1 N N N N/A N/A 000000000 -85100000.000000 NC -1064207.390000 -0.0472858 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 0.000000 0.000000 DIR N/A IRS EUR R 2.50000 01/18/27-2Y LCH 2029-01-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2027-01-14 XXXX -283943.970000 N N N N/A N/A 000000000 1.000000 NC 159853.640000 0.0071028 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 99702234.730000 USD 86397083.820000 EUR 2026-04-02 159853.640000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 2108869380.000000 PA 13334491.180000 0.59249 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC 1415.620000 0.0000629 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 500051.290000 USD 16048646.000000 TWD 2026-04-13 1415.620000 N N N N/A N/A 000000000 1.000000 NC 326.060000 0.0000145 N/A DFE NO N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 435662.120000 NOK 45319.000000 USD 2026-04-07 326.060000 N N N N/A N/A 000000000 41.000000 NC USD 435877.910000 0.0193673 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2026-06-30 3696970.000000 USD 435877.910000 N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 402867.830000 PA USD 361786.670000 0.0160752 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.27303 N N N N N N N/A N/A 000000000 1.000000 NC -4950.810000 -0.00022 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10929607.450000 TRY 237838.000000 USD 2026-04-13 -4950.810000 N N N SUNSTONE HOTEL INVESTORS INC 529900ZQ2V52V96ATF67 867892101 14960.000000 NS USD 134789.600000 0.0059891 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -538.690000 -0.0000239 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 324078.000000 USD 486467888.000000 KRW 2026-04-20 -538.690000 N N N N/A N/A 000000000 1.000000 NC USD -167722.850000 -0.0074524 N/A DIR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2027-10-18 0.000000 USD 0.000000 USD 5650000.000000 USD -167722.850000 N N N N/A N/A 000000000 1.000000 NC USD -647025.750000 -0.0287492 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-07-15 0.000000 USD 0.000000 USD 10744152.000000 USD -647025.750000 N N N N/A N/A 000000000 1.000000 NC USD 3.190000 0.0000001 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-17 0.000000 USD -1518.130000 USD 32670.500000 USD 1521.320000 N N N AMERICAN ASSETS TRUST INC N/A 024013104 142.000000 NS USD 2614.220000 0.0001162 Long EC CORP US N 1 N N N N/A N/A 000000000 115.000000 NC USD 662014.630000 0.0294152 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Nickel 2026-07-13 11829249.600000 USD 662014.630000 N N N N/A N/A 000000000 1.000000 NC -7525.180000 -0.0003344 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5773569.210000 PLN 1547741.000000 USD 2026-04-15 -7525.180000 N N N N/A N/A 000000000 -54.000000 NC USD -1239300.000000 -0.0550657 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 05/19/26 2026-05-20 N/A USD N/A 72.000000 USD 2026-05-14 XXXX -1133315.950000 N N N FHLMC PASS THRU POOLS N/A 3132DWKW2 377509.910000 PA USD 385942.370000 0.0171485 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 19760.940000 0.000878 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1868780.000000 USD 9912196.000000 BRL 2026-06-02 19760.940000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 2.430000 PA 0.290000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 -6200000.000000 NC -83702.770000 -0.0037192 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.44000 01/27/27-2Y LCH 2029-01-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.440000 EUR 2027-01-25 XXXX -28554.150000 N N N N/A N/A 000000000 1.000000 NC 1366516.990000 0.0607183 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 49182635.000000 GBP 66464675.200000 USD 2026-04-02 1366516.990000 N N N SUN COUNTRY AIRLINES HOLDINGS INC 549300MOHOJN9GH0NJ48 866683105 5900.000000 NS USD 97468.000000 0.0043308 Long EC CORP US N 1 N N N N/A N/A 000000000 -343.000000 NC USD -4283922.020000 -0.190347 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Aluminum 2026-05-18 -30047143.000000 USD -4283922.020000 N N N N/A N/A 000000000 10.000000 NC USD -812.160000 -0.0000361 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Corn 2026-09-14 235125.000000 USD -812.160000 N N N N/A N/A 000000000 1.000000 NC -147818.750000 -0.006568 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 32200894.050000 USD 55778441.100000 NZD 2026-04-02 -147818.750000 N N N UMBS PASS THRU POOLS N/A 01F040669 51000000.000000 PA USD 48026072.700000 2.13394 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -25849.400000 -0.0011486 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1052495.280000 USD 1488000.000000 AUD 2026-04-02 -25849.400000 N N N N/A N/A 000000000 1.000000 NC -777.540000 -0.0000345 N/A DFE HK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 588509.000000 USD 4603847.060000 HKD 2026-04-20 -777.540000 N N N N/A N/A 000000000 1.000000 NC 12061.470000 0.0005359 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1464362.010000 ILS 478847.000000 USD 2026-06-17 12061.470000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A N/A ACI2Q3MV4 2304469.250000 PA 2666548.080000 0.118483 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 2.974 N N N N N N N/A N/A 000000000 1.000000 NC -7393.450000 -0.0003285 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 732467.680000 USD 2275000.000000 ILS 2026-06-10 -7393.450000 N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 112437.090000 PA USD 29734.640000 0.0013212 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.91303 N N N N N N N/A N/A 000000000 1.000000 NC -104069.160000 -0.0046241 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3979648.000000 USD 14387382.640000 PLN 2026-04-22 -104069.160000 N N N CUBESMART N/A 229663109 18527.000000 NS USD 679014.550000 0.0301706 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 631.290000 0.0000281 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 549628.960000 USD 3790000.000000 CNY 2026-04-02 631.290000 N N N N/A N/A 000000000 1.000000 NC -5808.320000 -0.0002581 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 2622242.750000 USD 121075503.370000 TRY 2026-05-04 -5808.320000 N N N N/A N/A 000000000 1.000000 NC -29291.170000 -0.0013015 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 2722554.000000 USD 57179623.620000 CZK 2026-04-15 -29291.170000 N N N N/A N/A 000000000 1.000000 NC -6693.210000 -0.0002974 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11366036.630000 CNY 1643512.100000 USD 2026-04-02 -6693.210000 N N N N/A N/A 000000000 1.000000 NC -28327.680000 -0.0012587 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1058694.320000 USD 3825000.000000 PLN 2026-04-15 -28327.680000 N N N BANK OF AMERICA MTGE SECS-2005-J N/A 05949CKT2 35097.770000 PA USD 32299.120000 0.0014351 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.09154 N N N N N N N/A N/A 000000000 1.000000 NC 1975.050000 0.0000878 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 36128711.750000 PHP 597910.000000 USD 2026-04-17 1975.050000 N N N N/A N/A 000000000 18.000000 NC USD -50063.770000 -0.0022245 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Zinc 2026-09-14 1453738.500000 USD -50063.770000 N N N N/A N/A 000000000 1.000000 NC 104876.720000 0.00466 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6458317.000000 USD 34697308.080000 BRL 2026-07-02 104876.720000 N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177J102 31600.000000 NS USD 544784.000000 0.0242063 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJY8 21688590.000000 PA USD 21605288.680000 0.959986 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N BLUEMOUNTAIN CLO XXXIV LTD N/A 09631JAL0 900000.000000 PA USD 900215.310000 0.0399992 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 4.81763 N N N N N N N/A N/A 000000000 1.000000 NC 6987.830000 0.0003105 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4373920.020000 ILS 1401235.000000 USD 2026-06-17 6987.830000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 670000.000000 NS USD 671976.500000 0.0298579 Long EP CORP US N 2 N N N N/A N/A 000000000 68.000000 NC USD 6800.000000 0.0003021 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Put Purchased INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 04/30/26 2026-05-01 N/A USD N/A 60.000000 USD 2026-04-27 XXXX -129181.440000 N N N N/A N/A 000000000 1.000000 NC -1746369.490000 -0.0775963 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/18/26) LCH N/A N/A 2028-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2028-03-18 0.000000 GBP -1909110.930000 GBP 90600000.000000 GBP 162741.440000 N N N N/A N/A 000000000 1.000000 NC -1225.780000 -0.0000545 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 215889.250000 USD 275992.820000 SGD 2026-04-02 -1225.780000 N N N VENTAS INC ORQTRC074CWLT3DKHT41 92276F100 43328.000000 NS USD 3543363.840000 0.157442 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 274554.710000 0.0121993 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16320000.000000 NZD 9652840.990000 USD 2026-04-02 274554.710000 N N N N/A N/A 000000000 1.000000 NC -211376.110000 -0.0093921 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6010101551.000000 JPY 37771373.000000 USD 2026-05-07 -211376.110000 N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 106203.300000 PA USD 95948.710000 0.0042633 Long ABS-MBS CORP US N 2 2046-12-20 Floating 3.98452 N N N N N N MILLROSE PROPERTIES INC N/A 601137102 12289.000000 NS USD 344092.000000 0.015289 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -12350.390000 -0.0005488 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1507202.410000 USD 25424243853.000000 IDR 2026-06-10 -12350.390000 N N N N/A N/A 000000000 1.000000 NC 20856.420000 0.0009267 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1137432395.000000 KRW 777242.620000 USD 2026-04-15 20856.420000 N N N N/A N/A 000000000 1.000000 NC USD -573327.300000 -0.0254746 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-02-05 404535.060000 USD 0.000000 USD 4720000.000000 USD -977862.360000 N N N N/A N/A 000000000 1.000000 NC -369.730000 -0.0000164 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 244000.000000 EUR 281657.720000 USD 2026-04-02 -369.730000 N N N AGREE REALTY CORPORATION N/A 008492100 8267.000000 NS USD 623166.460000 0.0276891 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -8044.670000 -0.0003574 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11959244.840000 CNY 1728287.000000 USD 2026-04-02 -8044.670000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 7620.270000 PA 1093.430000 0.0000486 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N N/A N/A 000000000 30.000000 NC USD 45952.980000 0.0020418 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybean Oil 2026-05-14 1239840.000000 USD 45952.980000 N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271109 12616.000000 NS USD 585634.720000 0.0260215 Long EC CORP US N 1 N N N SILICON LABORATORIES 4PRDF8Q9TDHRVZKZSZ47 826919102 1400.000000 NS USD 291410.000000 0.0129482 Long EC CORP US N 1 N N N N/A N/A 000000000 236.000000 NC USD -70070.550000 -0.0031134 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2026-07-14 13994800.000000 USD -70070.550000 N N N N/A N/A 000000000 1.000000 NC 22313.940000 0.0009915 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2960266.000000 USD 9376198.520000 ILS 2026-04-06 22313.940000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI24L9V3 27479262.940000 PA 3969047.410000 0.176356 Long DBT CORP DK N 2 2053-10-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 64565.670000 0.0028688 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4333605.560000 USD 16777120564.980000 COP 2026-09-16 64565.670000 N N N N/A N/A 000000000 1.000000 NC -15327.590000 -0.000681 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4162115.000000 USD 70400839186.000000 IDR 2026-04-27 -15327.590000 N N N N/A N/A 000000000 -2.000000 NC USD -3109.430000 -0.0001382 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Wheat 2026-07-14 -62650.000000 USD -3109.430000 N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 176257.250000 PA USD 151018.380000 0.0067102 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.35303 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5V1 6849.380000 PA USD 5536.120000 0.000246 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.61524 N N N N N N N/A N/A 000000000 20.000000 NC USD 20267.680000 0.0009006 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Corn 2026-05-14 457750.000000 USD 20267.680000 N N N STAG INDUSTRIAL INC 549300QWYX2W6FASVQ07 85254J102 15159.000000 NS USD 546633.540000 0.0242885 Long EC CORP US N 1 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 30060620.130000 PA 3704665.020000 0.164609 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -64963.220000 -0.0028865 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4200000.000000 BRL 745871.070000 USD 2026-04-02 -64963.220000 N N N N/A N/A 000000000 -68.000000 NC USD -1785680.000000 -0.079343 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 04/30/26 2026-05-01 N/A USD N/A 79.000000 USD 2026-04-27 XXXX -1649885.900000 N N N N/A N/A 000000000 1.000000 NC -7327.090000 -0.0003256 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 22709111.980000 TRY 491816.000000 USD 2026-04-21 -7327.090000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 3500000.000000 PA 361493.070000 0.0160622 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 203.000000 NC USD -65483.480000 -0.0029096 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2026-07-14 6380290.000000 USD -65483.480000 N N N N/A N/A 000000000 1.000000 NC -122738.260000 -0.0054536 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11979055000.000000 COP 3085000.000000 USD 2026-06-17 -122738.260000 N N N N/A N/A 000000000 1.000000 NC -7320.860000 -0.0003253 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 34492823.180000 TRY 738067.000000 USD 2026-05-04 -7320.860000 N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 390474.030000 PA USD 351160.950000 0.0156031 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.27303 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1.230000 PA 0.150000 0 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -1934.260000 -0.0000859 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A UNION PACIFIC CORPORATION Y 2027-03-24 0.000000 USD 0.000000 USD 410261.000000 USD -1934.260000 N N N N/A N/A 000000000 1.000000 NC -979577.260000 -0.0435255 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/19/25) LCH N/A N/A 2030-03-19 0.000000 GBP 0.000000 GBP N/A GBP Y 2030-03-19 0.000000 GBP -287558.250000 GBP 28700000.000000 GBP -692019.010000 N N N FANNIE MAE REMICS 2025-12 N/A 3136BVFH6 1928045.840000 PA USD 1941658.610000 0.0862735 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -137.970000 -0.0000061 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 121250.660000 USD 948705.900000 HKD 2026-04-20 -137.970000 N N N N/A N/A 000000000 -33700000.000000 NC -80759.500000 -0.0035884 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.35000 01/11/27-2Y LCH 2029-01-11 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.350000 EUR 2027-01-07 XXXX 225087.450000 N N N N/A N/A 000000000 3.000000 NC USD 579.010000 0.0000257 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-08-27 25620.000000 USD 579.010000 N N N N/A N/A 000000000 1.000000 NC 1903.410000 0.0000846 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16544803.000000 TWD 518873.580000 USD 2026-04-13 1903.410000 N N N N/A N/A 000000000 1.000000 NC -147772.800000 -0.006566 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 14806143000.000000 COP 3817000.000000 USD 2026-06-17 -147772.800000 N N N N/A N/A 000000000 1.000000 NC USD -423134.690000 -0.0188011 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-21 0.000000 USD -156870.000000 USD 12450000.000000 USD -266264.690000 N N N VOYA CLO 2019-2A LTD N/A 92917RAL3 288553.280000 PA USD 288434.100000 0.012816 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 4.86763 N N N N N N N/A N/A 000000000 1.000000 NC -141216.380000 -0.0062747 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3399005.920000 USD 30840353.370000 SEK 2026-04-02 -141216.380000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI25Z7H4 119867.000000 PA 114869.010000 0.005104 Long DBT NUSS FR N 2 2038-07-25 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC -259029.110000 -0.0115094 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 12781774.000000 USD 18831353123.000000 KRW 2026-04-15 -259029.110000 N N N N/A N/A 000000000 3.000000 NC USD 1321.510000 0.0000587 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-09-26 26362.500000 USD 1321.510000 N N N N/A N/A 000000000 1.000000 NC -34376.560000 -0.0015275 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3877992.000000 USD 65371698943.000000 IDR 2026-06-10 -34376.560000 N N N N/A N/A 000000000 1.000000 NC -226727.660000 -0.0100742 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4361288.490000 USD 136170329.880000 THB 2026-04-20 -226727.660000 N N N KIMCO REALTY CORPORATION 254900ARY41P4V1JL861 49446R109 50357.000000 NS USD 1131521.790000 0.0502768 Long EC CORP US N 1 N N N GNMA PASS THRU POOLS N/A 3618N56E4 7000000.070000 PA USD 6425388.610000 0.285499 Long ABS-MBS USGSE US N 2 2056-01-20 Fixed 3.5 N N N N N N N/A N/A 000000000 3.000000 NC USD 3249.010000 0.0001444 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-10-29 28290.000000 USD 3249.010000 N N N N/A N/A 000000000 1.000000 NC 7.010000 0.0000003 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 568.770000 USD 25615.640000 TRY 2026-04-03 7.010000 N N N N/A N/A 000000000 1.000000 NC -2130.900000 -0.0000947 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 597910.000000 USD 36275797.610000 PHP 2026-06-17 -2130.900000 N N N N/A N/A 000000000 1.000000 NC 19954.170000 0.0008866 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 9135828.000000 USD 860421416.870000 INR 2026-04-24 19954.170000 N N N N/A N/A 000000000 -133177500.000000 PA USD -133540112.740000 -5.93358 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-06 127500000.000000 USD 128542011.700000 USD UST N N N FHLMC PASS THRU POOLS N/A 3132DWMB6 21299.810000 PA USD 21731.390000 0.0009656 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N N/A N/A 000000000 120.000000 NC USD 213816.130000 0.0095005 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybean Oil 2026-07-14 4959360.000000 USD 213816.130000 N N N CARETRUST REIT INC 5493001NVXE2B9GPLU96 14174T107 24791.000000 NS USD 908590.150000 0.0403713 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 10626.170000 0.0004722 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1410860.210000 ILS 460287.000000 USD 2026-06-10 10626.170000 N N N INVESCO CLO 2022-2A LTD N/A 46145XAL0 2050000.000000 PA USD 2050858.810000 0.0911256 Long ABS-CBDO CORP JE N 2 2035-07-20 Floating 4.81763 N N N N N N N/A N/A 000000000 1891.000000 NC -445871.490000 -0.0198114 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-06-08 231139125.070000 EUR -445871.490000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGW5 35237475.000000 PA USD 35384779.270000 1.57225 Long DBT UST US N 2 2028-04-15 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC 2316072.280000 0.10291 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 2314.860000 EUR 0.000000 EUR 3700000.000000 EUR 2313757.420000 N N N N/A N/A 000000000 1.000000 NC -13659.260000 -0.0006069 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1132781.110000 USD 19033875178.000000 IDR 2026-06-10 -13659.260000 N N N N/A N/A 000000000 -13843750.000000 PA USD -13894491.190000 -0.617373 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-01 12500000.000000 USD 12944683.750000 USD UST N N N N/A N/A 000000000 1.000000 NC -34017.180000 -0.0015115 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2041270.810000 USD 1605000.000000 CHF 2026-04-02 -34017.180000 N N N N/A N/A 000000000 1.000000 NC -1432.760000 -0.0000637 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 170000.000000 USD 253473878.000000 KRW 2026-04-17 -1432.760000 N N N N/A N/A 000000000 1.000000 NC 82629.010000 0.0036714 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 438322473.750000 INR 4711625.000000 USD 2026-04-07 82629.010000 N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 2183049.270000 PA USD 2162136.750000 0.09607 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.28803 N N N N N N INNOVATIVE INDUSTRIAL PROPERTIES INC 5493008BQ0545EZXRR30 45781V101 2234.000000 NS USD 112057.440000 0.004979 Long EC CORP US N 1 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 7907270000.000000 PA 49674226.960000 2.20717 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI22BXB4 1.380000 PA 0.180000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N N/A N/A 000000000 208.000000 NC -249256.840000 -0.0110752 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2026-06-26 24169367.910000 GBP -249256.840000 N N N N/A N/A 000000000 1.000000 NC -23159.370000 -0.001029 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1013237926.120000 INR 10677351.270000 USD 2026-04-07 -23159.370000 N N N N/A N/A 000000000 1.000000 NC -54070.810000 -0.0024025 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2090380.060000 USD 192819374.230000 INR 2026-04-07 -54070.810000 N N N N/A N/A 000000000 1.000000 NC -198305.030000 -0.0088113 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6343114.860000 USD 110814216.600000 MXN 2026-06-17 -198305.030000 N N N N/A N/A 000000000 1.000000 NC -1059.190000 -0.0000471 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3685000.000000 CNY 533956.380000 USD 2026-04-02 -1059.190000 N N N FANNIE MAE REMICS 2025-19 N/A 3136BVBY3 2621244.350000 PA USD 2643395.180000 0.117454 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.8219 N N N N N N N/A N/A 000000000 1.000000 NC 1251.880000 0.0000556 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2037-05-15 1321.880000 EUR 0.000000 EUR 50000.000000 EUR -70.000000 N N N N/A N/A 000000000 153.000000 NC USD 3779405.180000 0.16793 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Gasoline 2026-08-31 17014762.800000 USD 3779405.180000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 4009635.000000 PA USD 3883633.980000 0.172561 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130H105 33800.000000 NS USD 476242.000000 0.0211608 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 45356.680000 0.0020153 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9230856.000000 USD 871738963.500000 INR 2026-04-24 45356.680000 N N N N/A N/A 000000000 1.000000 NC -118862.080000 -0.0052814 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4710305.500000 USD 17044899.890000 PLN 2026-04-22 -118862.080000 N N N N/A N/A 000000000 1.000000 NC USD 4286.760000 0.0001905 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -93028.140000 USD 3133459.840000 USD 97314.900000 N N N N/A N/A 000000000 1.000000 NC 184.240000 0.0000082 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 310711.970000 CNY 45389.230000 USD 2026-06-11 184.240000 N N N N/A N/A 000000000 1.000000 NC -27893.290000 -0.0012394 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 838696520.000000 JPY 5272516.230000 USD 2026-05-07 -27893.290000 N N N N/A N/A 000000000 -49.000000 NC USD -4628295.000000 -0.205649 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Call Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT SILVER FUTURE CMX 12/29/26 2026-12-30 N/A USD N/A 65.000000 USD 2026-11-24 XXXX -2318967.760000 N N N N/A N/A 000000000 688.000000 NC USD -1801426.460000 -0.0800426 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 78039625.340000 USD -1801426.460000 N N N N/A N/A 000000000 1.000000 NC 718.200000 0.0000319 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6090000.000000 NOK 629662.010000 USD 2026-04-07 718.200000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAA8 53146.280000 PA USD 49871.580000 0.0022159 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.19303 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761L102 12753.000000 NS USD 17280.320000 0.0007678 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -933.970000 -0.0000415 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 310925.000000 USD 10212642.550000 THB 2026-04-16 -933.970000 N N N DUNEDIN PARK CLO DAC 1A N/A ACI2R6693 700000.000000 PA 808684.620000 0.0359322 Long ABS-CBDO CORP IE N 2 2034-11-20 Floating 2.986 N N N N N N N/A N/A 000000000 1.000000 NC USD 523324.030000 0.0232528 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 5500000.000000 USD 523324.030000 N N N N/A N/A 000000000 1.000000 NC USD 10918539.720000 0.485142 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-02-13 1074276.410000 USD 0.000000 USD 50900000.000000 USD 9844263.310000 N N N N/A N/A 000000000 -10.000000 NC USD 20793.350000 0.0009239 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Zinc 2026-09-14 -807632.500000 USD 20793.350000 N N N N/A N/A 000000000 162.000000 NC USD 369354.810000 0.0164115 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Wheat 2026-09-14 5169825.000000 USD 369354.810000 N N N NEXPOINT RESIDENTIAL TRUST INC 549300U2J6XVYBF87166 65341D102 65.000000 NS USD 1625.000000 0.0000722 Long EC CORP US N 1 N N N N/A N/A 000000000 395.000000 NC USD 4995.450000 0.000222 N/A DCO SG N 1 SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED 549300ZLWT3FK3F0FW61 Long N/A Iron Ore 2026-07-31 4099310.000000 USD 4995.450000 N N N N/A N/A 000000000 -85100000.000000 NC -289413.020000 -0.0128595 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.50000 01/18/27-2Y LCH 2029-01-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2027-01-14 XXXX 490850.400000 N N N N/A N/A 000000000 1.000000 NC -2232.240000 -0.0000992 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 76065.000000 USD 298737.680000 MYR 2026-04-15 -2232.240000 N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 1489441.750000 PA USD 1464014.600000 0.0650504 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.49803 N N N N N N N/A N/A 000000000 1.000000 NC 6045.160000 0.0002686 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 688955.660000 USD 3600000.000000 BRL 2026-04-02 6045.160000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 1611413.090000 PA USD 1614604.140000 0.0717416 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 5.12223 N N N N N N N/A N/A 000000000 1.000000 NC -9242.880000 -0.0004107 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 448000.000000 USD 659824013.000000 KRW 2026-04-13 -9242.880000 N N N REGENCY CENTERS CORPORATION 529900053A7X7FJ97S58 758849103 12261.000000 NS USD 927667.260000 0.041219 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -99185.990000 -0.0044071 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1637000.000000 USD 50647372.180000 THB 2026-04-20 -99185.990000 N N N N/A N/A 000000000 1.000000 NC 3422.740000 0.0001521 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 42240869.870000 ZAR 2496392.000000 USD 2026-04-20 3422.740000 N N N COMMODITY WAREHOUSE RECEIPT N/A 966QXE900 2665.000000 NS USD 12350719.850000 0.548778 Long COMM US N 2 N N N N/A N/A 000000000 1.000000 NC -280477.610000 -0.0124624 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6998102.000000 USD 636095980.340000 INR 2026-04-07 -280477.610000 N N N N/A N/A 000000000 1.000000 NC 895.390000 0.0000398 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 143012.350000 ILS 46475.420000 USD 2026-06-10 895.390000 N N N N/A N/A 000000000 1.000000 NC 11967.350000 0.0005317 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 1083.050000 EUR 0.000000 EUR 1600000.000000 EUR 10884.300000 N N N N/A N/A 000000000 1.000000 NC 89570.060000 0.0039799 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3658000.000000 USD 19411850.800000 BRL 2026-04-02 89570.060000 N N N MID-AMERICA APARTMENT COMMUNITIES INC 549300FQZKFR5YNSHZ21 59522J103 9453.000000 NS USD 1154400.360000 0.0512934 Long EC CORP US N 1 N N N MORGAN STANLEY MORTGAGE TRUST-2006-12XS N/A 61749EAH0 172086.240000 PA USD 44721.200000 0.0019871 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.22629 N N N N N N N/A N/A 000000000 1.000000 NC -11536.770000 -0.0005126 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8956156.280000 BRL 1717501.000000 USD 2026-04-02 -11536.770000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3 N/A 25151EAF0 131711.810000 PA USD 114771.420000 0.0050996 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.8 N N N N N N N/A N/A 000000000 1.000000 NC 3917.780000 0.0001741 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1620000.000000 SEK 175044.840000 USD 2026-04-02 3917.780000 N N N UMBS PASS THRU POOLS N/A 01F042665 285800000.000000 PA USD 275396711.380000 12.2367 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 210466.280000 0.0093516 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 0.000000 USD 0.000000 USD 46400000.000000 USD 210466.280000 N N N HEALTHPEAK PROPERTIES INC 254900M6MTMZM0I22L81 42250P103 56972.000000 NS USD 936049.960000 0.0415914 Long EC CORP US N 1 N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 48979.880000 PA USD 16972.820000 0.0007542 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -170588.780000 -0.0075798 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5562295.000000 USD 20015473.570000 PLN 2026-04-15 -170588.780000 N N N UNIVERSAL HEALTH RLTY INCM TR 549300L4MWZL4IH6H172 91359E105 38.000000 NS USD 1537.860000 0.0000683 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -113483.700000 -0.0050424 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9548549.200000 USD 170150000.000000 MXN 2026-06-17 -113483.700000 N N N N/A N/A 000000000 1.000000 NC 104498.050000 0.0046432 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 19626466.000000 USD 3131402650.000000 JPY 2026-04-02 104498.050000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 6271023.570000 PA USD 6506955.530000 0.289123 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -7311.110000 -0.0003249 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28123940.360000 TRY 614946.000000 USD 2026-04-16 -7311.110000 N N N N/A N/A 000000000 1.000000 NC -84773.620000 -0.0037667 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4600000.000000 BRL 803282.980000 USD 2026-04-02 -84773.620000 N N N N/A N/A 000000000 1.000000 NC USD 1050961.670000 0.0466973 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 0.000000 USD 0.000000 USD 10230000.000000 USD 1050961.670000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-159 N/A 38381U6P2 8525183.750000 PA USD 8567665.590000 0.380686 Long ABS-MBS USGSE US N 2 2055-09-20 Floating 4.84294 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 494790.250000 PA USD 4818762.210000 0.214112 Long STIV RF US N 1 N N N N/A N/A 000000000 217.000000 NC USD 267338.620000 0.0118786 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Zinc 2026-05-18 17582099.500000 USD 267338.620000 N N N N/A N/A 000000000 1.000000 NC 20348.250000 0.0009041 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4713358.180000 ILS 1522796.000000 USD 2026-06-17 20348.250000 N N N N/A N/A 000000000 1.000000 NC -6056.720000 -0.0002691 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3700000.000000 BRL 693819.380000 USD 2026-07-02 -6056.720000 N N N N/A N/A 000000000 1.000000 NC 121048.190000 0.0053785 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1107872757.000000 JPY 7101753.000000 USD 2026-04-02 121048.190000 N N N N/A N/A 000000000 1.000000 NC 46500.530000 0.0020662 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3726148.000000 USD 19801123.090000 BRL 2026-06-02 46500.530000 N N N TANGER INC UKEW8YSXE4Y581KYOL30 875465106 9349.000000 NS USD 317679.020000 0.0141154 Long EC CORP US N 1 N N N JONES LANG LASALLE INCORPORATED 6SYKCME112RT8TQUO411 48020Q107 606.000000 NS USD 184417.920000 0.0081942 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -266798.500000 -0.0118546 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6916502.000000 USD 629664509.080000 INR 2026-04-07 -266798.500000 N N N N/A N/A 000000000 1.000000 NC 2257314.820000 0.100299 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 222859.060000 EUR 0.000000 EUR 3600000.000000 EUR 2034455.760000 N N N N/A N/A 000000000 1.000000 NC -99.080000 -0.0000044 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1011034.000000 USD 17193846411.000000 IDR 2026-06-10 -99.080000 N N N N/A N/A 000000000 1.000000 NC -241.140000 -0.0000107 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1517917.030000 INR 15911.080000 USD 2026-04-24 -241.140000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB N/A 12668ALH6 19489.320000 PA USD 15765.880000 0.0007005 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3J5 395906.500000 PA USD 364919.930000 0.0162145 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.483 N N N N N N N/A N/A 000000000 1.000000 NC -37908.470000 -0.0016844 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 19000000.000000 BRL 3478623.860000 USD 2026-10-02 -37908.470000 N N N N/A N/A 000000000 1.000000 NC 3757.460000 0.000167 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3655000.000000 SEK 389849.690000 USD 2026-04-02 3757.460000 N N N MDPKE 14A N/A ACI2289F9 5543895.090000 PA 6399699.980000 0.284357 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 2.816 N N N N N N N/A N/A 000000000 45.000000 NC USD -50521.430000 -0.0022448 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A Lean Hogs 2026-08-14 1927350.000000 USD -50521.430000 N N N ANCHORAGE CAPITAL CLO 21 LTD N/A 03331KAJ8 800000.000000 PA USD 800324.900000 0.0355608 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.71763 N N N N N N N/A N/A 000000000 1.000000 NC -15562.910000 -0.0006915 N/A DFE RO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 710152.990000 USD 3065801.470000 RON 2026-04-16 -15562.910000 N N N N/A N/A 000000000 1.000000 NC -794.150000 -0.0000353 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1442000.000000 USD 24511837000.000000 IDR 2026-06-10 -794.150000 N N N KKR CLO 11 LTD N/A 48250MAK3 112880.980000 PA USD 112993.200000 0.0050206 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 5.1138 N N N N N N CVC CORDATUS LOAN FUND XXI DAC 21A N/A ACI2RB2T2 2300000.000000 PA 2654825.120000 0.117962 Long ABS-CBDO CORP IE N 2 2034-09-22 Floating 3.068 N N N N N N N/A N/A 000000000 1.000000 NC -14289.480000 -0.0006349 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4618760.000000 USD 432708530.600000 INR 2026-04-24 -14289.480000 N N N N/A N/A 000000000 1.000000 NC -983.560000 -0.0000437 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28507230.540000 TRY 615056.000000 USD 2026-05-04 -983.560000 N N N APARTMENT INVESTMENT AND MANAGEMENT COMPANY 549300O8FT5GJ4RU1D57 03748R747 773.000000 NS USD 3146.110000 0.0001398 Long EC CORP US N 1 N N N MF1 2022-FL9 LLC N/A 55285AAA5 1512575.870000 PA USD 1513065.070000 0.0672299 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 5.82672 N N N N N N N/A N/A 000000000 1.000000 NC -17025.850000 -0.0007565 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1996095.000000 USD 65195257.230000 THB 2026-04-17 -17025.850000 N N N N/A N/A 000000000 1.000000 NC -169941.840000 -0.007551 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 36159529.440000 USD 50062868.510000 CAD 2026-04-02 -169941.840000 N N N N/A N/A 000000000 1.000000 NC -12168.580000 -0.0005407 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5800000.000000 BRL 1061299.180000 USD 2026-10-02 -12168.580000 N N N N/A N/A 000000000 -114306625.000000 PA USD -114953028.960000 -5.1077 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-20 100660000.000000 USD 99321333.330000 USD UST N N N VOYA EURO CLO II DAC N/A ACI1YXDJ8 2800000.000000 PA 3232423.490000 0.143626 Long ABS-CBDO CORP IE N 2 2035-07-15 Floating 2.976 N N N N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 2418007.510000 PA 2797238.800000 0.12429 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 2.951 N N N N N N N/A N/A 000000000 1.000000 NC -350.950000 -0.0000156 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7580.960000 USD 238117.940000 THB 2026-04-20 -350.950000 N N N INVITATION HOMES INC N/A 46187W107 35780.000000 NS USD 889133.000000 0.0395068 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 2439.750000 0.0001084 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 9014562.000000 MXN 502310.350000 USD 2026-06-17 2439.750000 N N N N/A N/A 000000000 1.000000 NC -796.590000 -0.0000354 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 170352.410000 USD 532000.000000 ILS 2026-06-10 -796.590000 N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 3342141.000000 PA 3825581.800000 0.169982 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N N/A N/A 000000000 1.000000 NC -70048.000000 -0.0031124 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1957000.000000 USD 178676644.100000 INR 2026-04-07 -70048.000000 N N N N/A N/A 000000000 1.000000 NC USD 5.760000 0.0000003 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A CMBX.NA.AAA.9 Y Single Leg Swap 2058-09-17 0.000000 USD -3654.280000 USD 59245.180000 USD 3660.040000 N N N N/A N/A 000000000 35.000000 NC USD 1008873.570000 0.0448272 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2026-05-29 5499123.000000 USD 1008873.570000 N N N N/A N/A 000000000 1.000000 NC 6525.820000 0.00029 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1787194200.000000 KRW 1195000.000000 USD 2026-04-15 6525.820000 N N N ICG-2021-3A N/A 449249AS0 4700000.000000 PA USD 4705733.440000 0.209089 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.81763 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI22CN07 2993613.910000 PA 384508.900000 0.0170849 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 376127.460000 PA USD 375552.380000 0.0166869 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 5.22223 N N N N N N N/A N/A 000000000 1.000000 NC 13587.960000 0.0006038 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1936275.450000 USD 10100000.000000 BRL 2026-04-02 13587.960000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 51946536.000000 PA USD 51557864.750000 2.29087 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CPH8 42628960.000000 PA USD 42260318.400000 1.87775 Long DBT UST US N 2 2030-10-15 Fixed 1.125 N N N N N N HILTON WORLDWIDE HOLDINGS INC 549300HVGPK36ICB0B89 43300A203 564.000000 NS USD 171501.120000 0.0076203 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -170633.740000 -0.0075818 N/A DIR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 US CPI Urban Consumers NSA N/A N/A Y 2026-09-20 0.000000 USD 0.000000 USD 900000.000000 USD -170633.740000 N N N N/A N/A 000000000 1.000000 NC 5561.150000 0.0002471 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 7060280.520000 USD 36600000.000000 BRL 2026-04-02 5561.150000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 21070833.600000 PA USD 14960977.920000 0.66476 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N N/A N/A 000000000 3.000000 NC USD -115436.360000 -0.0051292 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Gold 2026-12-29 1434060.000000 USD -115436.360000 N N N N/A N/A 000000000 1.000000 NC -336497.350000 -0.0149516 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 58943718.910000 USD 44278635.000000 GBP 2026-04-02 -336497.350000 N N N SUMMIT HOTEL PROPERTIES INC 254900OBQWJK6X20LS71 866082100 307.000000 NS USD 1356.940000 0.0000603 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -80.630000 -0.0000036 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10193987.050000 THB 310925.000000 USD 2026-06-17 -80.630000 N N N AVALONBAY COMMUNITIES INC K9G90K85RBWD2LAGQX17 053484101 10855.000000 NS USD 1773164.250000 0.0787869 Long EC CORP US N 1 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI22BWW9 109843.640000 PA 14284.330000 0.0006347 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 15389.690000 0.0006838 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 969194.810000 USD 5100000.000000 BRL 2026-04-02 15389.690000 N N N N/A N/A 000000000 3.000000 NC USD 189.010000 0.0000084 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-06-26 25230.000000 USD 189.010000 N N N N/A N/A 000000000 95.000000 NC USD -182984.950000 -0.0081306 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2026-04-28 2739800.000000 USD -182984.950000 N N N N/A N/A 000000000 1.000000 NC 28884.110000 0.0012834 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4284299.010000 ILS 1394563.350000 USD 2026-06-17 28884.110000 N N N N/A N/A 000000000 1.000000 NC 552.140000 0.0000245 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1830572.000000 TWD 57514.530000 USD 2026-06-17 552.140000 N N N N/A N/A 000000000 -49.000000 NC USD -1782620.000000 -0.079207 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Put Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT SILVER FUTURE CMX 12/29/26 2026-12-30 N/A USD N/A 65.000000 USD 2026-11-24 XXXX 512160.610000 N N N N/A N/A 000000000 1.000000 NC 23648.960000 0.0010508 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 46778769.880000 THB 1444000.000000 USD 2026-04-20 23648.960000 N N N N/A N/A 000000000 1.000000 NC USD -591988.440000 -0.0263038 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-11-04 0.000000 USD 0.000000 USD 9807162.000000 USD -591988.440000 N N N N/A N/A 000000000 1.000000 NC -4472.430000 -0.0001987 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 662732089.000000 KRW 436218.440000 USD 2026-04-13 -4472.430000 N N N N/A N/A 000000000 -126.000000 NC USD -468295.550000 -0.0208077 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Wheat 2026-05-14 -3882375.000000 USD -468295.550000 N N N N/A N/A 000000000 1.000000 NC 1624692.330000 0.0721898 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 979307.620000 EUR 0.000000 EUR 64480000.000000 EUR 645384.710000 N N N N/A N/A 000000000 1.000000 NC -4423.490000 -0.0001965 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2190000.000000 USD 70024560.000000 TWD 2026-04-23 -4423.490000 N N N N/A N/A 000000000 1.000000 NC -9321.060000 -0.0004142 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1770355.700000 USD 12129390.260000 CNY 2026-04-02 -9321.060000 N N N N/A N/A 000000000 1.000000 NC -512.460000 -0.0000228 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7068438.000000 MXN 391442.730000 USD 2026-06-17 -512.460000 N N N SUN COMMUNITIES INC 549300H5GEOJYN41ZG57 866674104 9319.000000 NS USD 1173821.240000 0.0521563 Long EC CORP US N 1 N N N EXTRA SPACE STORAGE INC N/A 30225T102 17471.000000 NS USD 2290972.230000 0.101795 Long EC CORP US N 1 N N N ROMARK CREDIT FUNDING III LTD 2025-4A N/A 77588RAA6 1200000.000000 PA USD 1206470.400000 0.053607 Long ABS-CBDO CORP KY N 2 2043-07-29 Fixed 5.423 N N N N N N N/A N/A 000000000 1.000000 NC -13149.400000 -0.0005843 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 28001406.220000 ZAR 1639436.000000 USD 2026-04-20 -13149.400000 N N N N/A N/A 000000000 1.000000 NC 224022.150000 0.009954 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 8194000.000000 EUR 9695058.860000 USD 2026-04-02 224022.150000 N N N N/A N/A 000000000 1.000000 NC 2077.100000 0.0000923 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 883833895.000000 KRW 590000.000000 USD 2026-04-27 2077.100000 N N N N/A N/A 000000000 1.000000 NC 88737.560000 0.0039429 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 81119009.560000 THB 2550996.000000 USD 2026-04-16 88737.560000 N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6 N/A 76114CAG1 11538352.550000 PA USD 2128598.740000 0.0945798 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -18326.310000 -0.0008143 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 756261.980000 USD 69875581.900000 INR 2026-04-07 -18326.310000 N N N N/A N/A 000000000 1.000000 NC -8879.970000 -0.0003946 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1030699.520000 USD 772000.000000 GBP 2026-04-02 -8879.970000 N N N N/A N/A 000000000 1.000000 NC 6712.010000 0.0002982 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 876000.000000 AUD 611108.370000 USD 2026-04-02 6712.010000 N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 697032.570000 PA USD 217722.440000 0.009674 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.93303 N N N N N N FREDDIE MAC REMICS 5546 N/A 3137HLMF6 13182954.120000 PA USD 13328383.200000 0.592219 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 4.9119 N N N N N N N/A N/A 000000000 1.000000 NC -218507.050000 -0.0097089 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 12300000.000000 BRL 2156079.090000 USD 2026-04-02 -218507.050000 N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 878786.840000 PA USD 233293.300000 0.0103659 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.19303 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 3382.940000 PA USD 3386.300000 0.0001505 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 4.87963 N N N N N N FREDDIE MAC REMICS 5565 N/A 3137HMGK0 10731234.700000 PA USD 10758536.030000 0.478033 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.6119 N N N N N N PROJECT CASHMERE N/A 990ABJRT5 31600000.000000 PA 21802425.860000 0.968745 Long ABS-MBS CORP AU N 3 2057-12-30 Floating 4.5426 N N N N N N N/A N/A 000000000 1.000000 NC -36194.400000 -0.0016082 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 12870490.720000 USD 410741119.000000 TWD 2026-04-13 -36194.400000 N N N N/A N/A 000000000 72.000000 NC USD 2057796.920000 0.0914339 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Gasoil 2026-09-10 6690600.000000 USD 2057796.920000 N N N N/A N/A 000000000 1.000000 NC 57423.480000 0.0025515 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3282441.570000 USD 17300000.000000 BRL 2026-04-02 57423.480000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRX85 85800000.000000 PA 16041403.610000 0.712766 Long DBT NUSS BR N 2 2026-07-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 22417.290000 0.0009961 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1700000.000000 PLN 480358.020000 USD 2026-04-15 22417.290000 N N N N/A N/A 000000000 1.000000 NC 13418.180000 0.0005962 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 893944.000000 USD 4700000.000000 BRL 2026-04-02 13418.180000 N N N N/A N/A 000000000 1.000000 NC 226694.590000 0.0100727 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2034-09-15 0.000000 EUR -32562.560000 EUR 13600000.000000 EUR 259257.150000 N N N N/A N/A 000000000 -75.000000 NC USD 213971.190000 0.0095074 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Nickel 2026-07-13 -7714728.000000 USD 213971.190000 N N N N/A N/A 000000000 1834.000000 NC USD -5238840.920000 -0.232777 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2026-12-24 52947580.000000 USD -5238840.920000 N N N N/A N/A 000000000 22.000000 NC -19120.750000 -0.0008496 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A NBP 2026-05-28 1104287.800000 GBP -19120.750000 N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 1382576.300000 PA USD 326560.510000 0.01451 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.11303 N N N N N N HIGHWOODS PROPERTIES INC ZIIGTYKL9T0X3HLTDX53 431284108 5183.000000 NS USD 110968.030000 0.0049306 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 18054202.600000 PA USD 18053905.070000 0.802188 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N N/A N/A 000000000 1.000000 NC 4634.830000 0.0002059 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 44967829.210000 THB 1370000.000000 USD 2026-04-20 4634.830000 N N N N/A N/A 000000000 1.000000 NC -8.770000 -0.0000004 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3257.630000 USD 107000.000000 THB 2026-04-20 -8.770000 N N N FHLMC PASS THRU POOLS N/A 3132DWES8 662385.040000 PA USD 642792.300000 0.0285611 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -507.880000 -0.0000226 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A KIMBERLY-CLARK CORPORATION Y 2026-11-06 0.000000 USD 0.000000 USD 445329.700000 USD -507.880000 N N N N/A N/A 000000000 1.000000 NC -3471.870000 -0.0001543 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2195000.000000 USD 70191578.000000 TWD 2026-04-20 -3471.870000 N N N N/A N/A 000000000 1.000000 NC 68379.870000 0.0030383 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 82153339.330000 THB 2562034.000000 USD 2026-04-16 68379.870000 N N N COMMUNITY HEALTHCARE TRUST INCORPORATED 549300FATSRCMKOV9536 20369C106 77.000000 NS USD 1223.530000 0.0000544 Long EC CORP US N 1 N N N REXFORD INDUSTRIAL REALTY INC 549300MSLO0DF0EMX355 76169C100 18459.000000 NS USD 604163.070000 0.0268447 Long EC CORP US N 1 N N N WASHINGTON MUTUAL 2006-AR14 N/A 93363PAD2 185591.470000 PA USD 169011.880000 0.0075097 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.98792 N N N N N N N/A N/A 000000000 352.000000 NC USD 1744202.720000 0.0775 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Aluminum 2026-07-13 30363960.000000 USD 1744202.720000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 130014738.500000 PA USD 121515695.850000 5.3993 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 577959.750000 0.0256804 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 26669837.000000 AUD 18978818.740000 USD 2026-04-02 577959.750000 N N N N/A N/A 000000000 1.000000 NC -3427.390000 -0.0001523 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 600371.200000 USD 451000.000000 GBP 2026-04-02 -3427.390000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UC9 1724000.000000 PA USD 1708520.640000 0.0759145 Long DBT UST US N 2 2026-06-30 None 0 N N N N N N N/A N/A 000000000 133.000000 NC USD 408708.680000 0.0181601 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2026-06-30 12942230.000000 USD 408708.680000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 5371600.500000 PA USD 5262457.530000 0.233826 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC 30330.950000 0.0013477 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3980273.880000 ILS 1299098.000000 USD 2026-06-17 30330.950000 N N N N/A N/A 000000000 1.000000 NC 139738.370000 0.006209 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1408682661.000000 JPY 9015846.000000 USD 2026-04-02 139738.370000 N N N N/A N/A 000000000 1.000000 NC -2034.050000 -0.0000904 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 416000.000000 USD 13248318.000000 TWD 2026-04-13 -2034.050000 N N N VOYA CLO LTD 2014-4 N/A 92914RAY8 37764.540000 PA USD 37802.110000 0.0016797 Long ABS-CBDO CORP KY N 2 2031-07-14 Floating 5.02854 N N N N N N N/A N/A 000000000 66.000000 NC USD -133002.300000 -0.0059097 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2026-08-27 2161500.000000 USD -133002.300000 N N N N/A N/A 000000000 -15200000.000000 NC USD -12352.580000 -0.0005489 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 5507.420000 N N N N/A N/A 000000000 1.000000 NC 2813.350000 0.000125 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 828663.320000 USD 1066580.850000 SGD 2026-05-04 2813.350000 N N N N/A N/A 000000000 -10.000000 NC USD -1564.050000 -0.0000695 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Kansas Wheat 2026-12-14 -339000.000000 USD -1564.050000 N N N N/A N/A 000000000 1.000000 NC 5480.420000 0.0002435 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2189402.560000 USD 8148000.000000 PLN 2026-04-15 5480.420000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 15321007.800000 PA USD 15352143.310000 0.68214 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N N/A N/A 000000000 1.000000 NC 150161.450000 0.0066721 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 55778441.100000 NZD 32236871.140000 USD 2026-05-04 150161.450000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI24KGY1 37308549.720000 PA 5391769.840000 0.239572 Long DBT CORP DK N 2 2053-10-01 Fixed 3 N N N N N N LEHMAN MORTGAGE TRUST 2005-3 N/A 52520MEK5 77337.590000 PA USD 74203.090000 0.0032971 Long ABS-MBS CORP US N 2 2036-01-25 Variable 5.08089 N N N N N N N/A N/A 000000000 1.000000 NC -19716.560000 -0.0008761 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 9782128.910000 BRL 1868780.000000 USD 2026-04-02 -19716.560000 N N N N/A N/A 000000000 1.000000 NC -195.160000 -0.0000087 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 24648.340000 USD 415896407.000000 IDR 2026-06-10 -195.160000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1Z07K3 397722.980000 PA 46662.870000 0.0020734 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 1195000.000000 PA USD 1190705.470000 0.0529065 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N AMICUS THERAPEUTICS INC 549300MRD1SMUTNBPQ53 03152W109 17300.000000 NS USD 250158.000000 0.0111152 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -2929.830000 -0.0001302 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 142905.910000 USD 210492111.000000 KRW 2026-04-15 -2929.830000 N N N N/A N/A 000000000 1.000000 NC USD -316497.270000 -0.0140629 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 253199.900000 USD 0.000000 USD 2740000.000000 USD -569697.170000 N N N N/A N/A 000000000 3.000000 NC USD 6316.510000 0.0002807 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-01-29 31357.500000 USD 6316.510000 N N N MASTR ASSET BACKED SEC TR 2006-HE2 N/A 57644UAF2 194534.420000 PA USD 64435.150000 0.002863 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.27303 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444U700 7680.000000 NS USD 7528243.200000 0.334502 Long EC CORP US N 1 N N N LXP INDUSTRIAL TRUST 549300S4MH2ICXDBFV43 529043408 4760.000000 NS USD 220197.600000 0.009784 Long EC CORP US N 1 N N N N/A N/A 000000000 75000000.000000 PA USD 75000000.000000 3.33247 Long RA US N 2 Repurchase N 3.690000 2026-04-13 81190800.000000 USD 76362167.160000 USD UST N N N N/A N/A 000000000 60.000000 NC USD 168314.960000 0.0074787 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2026-10-30 5661000.000000 USD 168314.960000 N N N N/A N/A 000000000 3.000000 NC USD 7434.010000 0.0003303 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-11-25 32475.000000 USD 7434.010000 N N N N/A N/A 000000000 1.000000 NC -23320.350000 -0.0010362 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1446531.960000 USD 1138000.000000 CHF 2026-04-02 -23320.350000 N N N N/A N/A 000000000 1.000000 NC 25590.380000 0.0011371 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1016910.850000 USD 5400000.000000 BRL 2026-04-02 25590.380000 N N N N/A N/A 000000000 1.000000 NC USD -118237.790000 -0.0052536 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2026-04-01 0.000000 USD 0.000000 USD 2056115.160000 USD -118237.790000 N N N N/A N/A 000000000 3.000000 NC USD -2135.990000 -0.0000949 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-04-28 22905.000000 USD -2135.990000 N N N N/A N/A 000000000 1.000000 NC USD 9508.240000 0.0004225 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD 0.000000 USD 1400000.000000 USD 9508.240000 N N N N/A N/A 000000000 1.000000 NC 41762.280000 0.0018556 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12081713.850000 ILS 3886420.000000 USD 2026-04-13 41762.280000 N N N N/A N/A 000000000 1.000000 NC 68233.510000 0.0030318 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2460797.250000 USD 13100000.000000 BRL 2026-04-02 68233.510000 N N N N/A N/A 000000000 1.000000 NC -21.890000 -0.000001 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11442.430000 USD 194239062.000000 IDR 2026-06-10 -21.890000 N N N JBG SMITH PROPERTIES N/A 46590V100 175.000000 NS USD 2556.750000 0.0001136 Long EC CORP US N 1 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI0WBN59 1000000.000000 PA 300520.130000 0.013353 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAN3 110546.500000 PA USD 52275.090000 0.0023227 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N N/A N/A 000000000 -86.000000 NC USD 14104.960000 0.0006267 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Zinc 2026-07-13 -6955314.500000 USD 14104.960000 N N N N/A N/A 000000000 1.000000 NC -2471.310000 -0.0001098 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 2519976.670000 SEK 264166.510000 USD 2026-05-04 -2471.310000 N N N N/A N/A 000000000 3.000000 NC USD -995.990000 -0.0000443 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Henry 2031-05-28 24045.000000 USD -995.990000 N N N GSR MORTGAGE LOAN TRUST 2005-8F N/A 362341VX4 308275.730000 PA USD 94156.040000 0.0041836 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 6 N N N N N N BXP INC 549300OF70FSEUQBT254 101121101 9065.000000 NS USD 470473.500000 0.0209045 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -46564.060000 -0.002069 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3757300000.000000 JPY 23628178.390000 USD 2026-04-02 -46564.060000 N N N N/A N/A 000000000 1.000000 NC 16298.120000 0.0007242 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 587502.310000 USD 10828255.000000 MXN 2026-04-13 16298.120000 N N N N/A N/A 000000000 1.000000 NC -92992.910000 -0.0041319 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4600000.000000 BRL 795063.690000 USD 2026-04-02 -92992.910000 N N N N/A N/A 000000000 1.000000 NC -4929.140000 -0.000219 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2080000.000000 USD 35220592784.000000 IDR 2026-04-17 -4929.140000 N N N GLOBAL SPORTS GROUP (GSG BIDCO LIMITED) 984500F49D98F3GDZ668 ACI38RD49 3400000.000000 PA 3902990.650000 0.173421 Long DBT CORP JE N 2 2051-06-15 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC -1601.520000 -0.0000712 N/A DFE RO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 122656.380000 USD 534861.540000 RON 2026-05-04 -1601.520000 N N N WP CAREY INC 54930042CRNE713E3Q67 92936U109 19597.000000 NS USD 1331812.120000 0.0591763 Long EC CORP US N 1 N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109104 72448.000000 NS USD 4432368.640000 0.196943 Long EC CORP US N 1 N N N N/A N/A 000000000 6.000000 NC USD 15198.030000 0.0006753 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Cotton 2026-05-06 210000.000000 USD 15198.030000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1W77N5 26406233.040000 PA 3165995.100000 0.140674 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 390812.170000 PA USD 391200.870000 0.0173822 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 5.07924 N N N N N N N/A N/A 000000000 9.000000 NC 5219.750000 0.0002319 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A TTF 2026-05-28 379865.740000 EUR 5219.750000 N N N N/A N/A 000000000 1.000000 NC 24631.300000 0.0010944 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 918996.000000 USD 16916878.370000 MXN 2026-04-09 24631.300000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 15866446.800000 PA USD 11780954.480000 0.523462 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVE9 527504.800000 PA USD 528184.600000 0.0234688 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 4.32294 N N N N N N N/A N/A 000000000 1.000000 NC 168990.870000 0.0075088 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 49993984.610000 CAD 36159529.440000 USD 2026-05-04 168990.870000 N N N HAYFIN EMERALD CLO X DAC 10A N/A ACI2ZWCP4 1900000.000000 PA 2194849.800000 0.0975236 Long ABS-CBDO CORP IE N 2 2039-10-18 Floating 3.286 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1WZT66 1727383.660000 PA 208626.220000 0.0092699 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 160.000000 NC USD 348416.350000 0.0154812 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Zinc 2026-07-13 12940120.000000 USD 348416.350000 N N N N/A N/A 000000000 1.000000 NC -41186.200000 -0.00183 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10500000.000000 BRL 1944948.690000 USD 2026-07-02 -41186.200000 N N N COUNTRYWIDE HOME LOANS 2007-4 N/A 12544RAA6 322412.140000 PA USD 125354.360000 0.0055699 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 33144462.000000 PA USD 31253162.770000 1.38867 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -153855.570000 -0.0068363 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4346237.530000 USD 75604540.330000 MXN 2026-06-17 -153855.570000 N N N N/A N/A 000000000 1.000000 NC 5268.140000 0.0002341 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 44884767.000000 JPY 288087.000000 USD 2026-04-02 5268.140000 N N N N/A N/A 000000000 1.000000 NC 54447.690000 0.0024193 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 12539331.460000 ILS 4043224.000000 USD 2026-04-06 54447.690000 N N N DRYDEN EURO CLO 20-74A N/A ACI2Z96Y3 1500000.000000 PA 1732782.220000 0.0769926 Long ABS-CBDO CORP IE N 2 2039-10-18 Floating 3.286 N N N N N N N/A N/A 000000000 -199.000000 NC USD -409556.860000 -0.0181978 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Zinc 2026-05-18 -16123676.500000 USD -409556.860000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 448566.320000 PA USD 377924.570000 0.0167923 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJG84 966160.080000 PA USD 974802.190000 0.0433133 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.6619 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810US5 2609022.000000 PA USD 2425699.590000 0.107781 Long DBT UST US N 2 2056-02-15 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC 40127.460000 0.001783 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1929041.530000 USD 10200000.000000 BRL 2026-04-02 40127.460000 N N N N/A N/A 000000000 -159099000.000000 PA USD -159565513.620000 -7.08996 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-08 134800000.000000 USD 132174020.600000 USD UST N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1X30Y6 895940.810000 PA 92671.920000 0.0041177 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 14975.160000 0.0006654 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 37192362.530000 INR 407752.870000 USD 2026-04-07 14975.160000 N N N NATIONAL HEALTH INVS INC 549300ZPKZIG6DKDEC02 63633D104 3836.000000 NS USD 310178.960000 0.0137822 Long EC CORP US N 1 N N N N/A N/A 000000000 47.000000 NC USD 1612737.160000 0.0716586 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Gasoline 2026-05-29 6031754.400000 USD 1612737.160000 N N N N/A N/A 000000000 1.000000 NC -2237.650000 -0.0000994 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 472500.000000 USD 15055073.000000 TWD 2026-04-16 -2237.650000 N N N N/A N/A 000000000 1.000000 NC 19509.020000 0.0008668 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3467990.610000 ILS 1124806.000000 USD 2026-06-10 19509.020000 N N N N/A N/A 000000000 -41.000000 NC USD -815176.780000 -0.0362207 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Heating Oil 2026-07-31 -5641788.600000 USD -815176.780000 N N N PEBBLEBROOK HOTEL TRUST 5493004Q1NNH6JXCSI52 70509V100 9139.000000 NS USD 115425.570000 0.0051287 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 56018.400000 0.0024891 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD 0.000000 USD 6800000.000000 USD 56018.400000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEJ6 11978928.000000 PA USD 11912204.650000 0.529294 Long DBT UST US N 2 2027-04-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -4948.820000 -0.0002199 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10871382.850000 TRY 237839.000000 USD 2026-04-09 -4948.820000 N N N N/A N/A 000000000 1.000000 NC -44513.100000 -0.0019778 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2028119.880000 USD 2875000.000000 AUD 2026-04-02 -44513.100000 N N N N/A N/A 000000000 1.000000 NC -3705.690000 -0.0001647 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 597151.060000 USD 1862000.000000 ILS 2026-06-10 -3705.690000 N N N N/A N/A 000000000 1.000000 NC -120431.990000 -0.0053511 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 30441440.000000 AUD 20874760.860000 USD 2026-05-04 -120431.990000 N N N N/A N/A 000000000 741.000000 NC -332362.670000 -0.0147678 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 55089452.720000 AUD -332362.670000 N N N ALLIED GOLD CORPORATION 894500S5G4JFSRGK8L37 01921D964 5349.000000 NS 165803.230000 0.0073671 Long EC CORP CA N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 56381792.000000 PA USD 56680397.860000 2.51848 Long DBT UST US N 2 2034-07-15 Fixed 1.875 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 661712.020000 PA USD 355121.780000 0.0157791 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.29303 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 34400000.000000 PA USD 33167976.040000 1.47375 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4.5 N N N N N N BANK OF AMERICA MTGE SEC 2005-G N/A 05949CED4 31615.350000 PA USD 30650.530000 0.0013619 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.27008 N N N N N N N/A N/A 000000000 1.000000 NC 753372.920000 0.0334746 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 47947052.450000 SGD 38045939.190000 USD 2026-04-02 753372.920000 N N N FNMA PASS THRU POOLS N/A 31418EHK9 838341.680000 PA USD 813112.910000 0.036129 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 21721445.400000 PA USD 21567631.500000 0.958313 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 24446.830000 0.0010862 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 0.000000 USD -2023.320000 USD 2300000.000000 USD 26470.150000 N N N N/A N/A 000000000 1.000000 NC -23418.810000 -0.0010406 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1176216.000000 USD 5091427.390000 RON 2026-04-27 -23418.810000 N N N N/A N/A 000000000 1.000000 NC 21465.400000 0.0009538 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 765846.520000 USD 262057362.000000 HUF 2026-04-15 21465.400000 N N N N/A N/A 000000000 1.000000 NC -103892.300000 -0.0046162 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3121981946.000000 JPY 19626466.000000 USD 2026-05-07 -103892.300000 N N N MACERICH CO/THE 529900PSWCB5KI0JYU46 554382101 25284.000000 NS USD 477867.600000 0.021233 Long EC CORP US N 1 N N N PIEDMONT REALTY TRUST INC N/A 720190206 327.000000 NS USD 2148.390000 0.0000955 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -22466.010000 -0.0009982 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8251290.060000 USD 6217000.000000 GBP 2026-04-02 -22466.010000 N N N N/A N/A 000000000 1.000000 NC -20076.430000 -0.0008921 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2936000.000000 EUR 3373499.820000 USD 2026-04-02 -20076.430000 N N N DIAMONDROCK HOSPITALITY COMPANY 529900KKD4BPVBUAQ734 252784301 16243.000000 NS USD 152196.910000 0.0067626 Long EC CORP US N 1 N N N FHLMC PASS THRU POOLS N/A 3132DWMA8 23446322.880000 PA USD 23584581.860000 1.04793 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N6C70 400000.000000 PA USD 367165.060000 0.0163142 Long ABS-MBS USGSE US N 2 2056-03-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -104919.520000 -0.0046619 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 33996580.690000 BRL 6458317.000000 USD 2026-04-02 -104919.520000 N N N N/A N/A 000000000 -1900000.000000 NC -24913.130000 -0.001107 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 60875.330000 N N N N/A N/A 000000000 1.000000 NC -4543.220000 -0.0002019 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2095473.200000 BRL 400000.000000 USD 2026-04-02 -4543.220000 N N N N/A N/A 000000000 1.000000 NC -156052.200000 -0.0069339 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 86397083.820000 EUR 99858181.460000 USD 2026-05-04 -156052.200000 N N N N/A N/A 000000000 1.000000 NC 25782.490000 0.0011456 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 939496.430000 USD 5000000.000000 BRL 2026-04-02 25782.490000 N N N N/A N/A 000000000 1.000000 NC 1428.760000 0.0000635 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 60149768.540000 THB 1836522.000000 USD 2026-06-17 1428.760000 N N N N/A N/A 000000000 1.000000 NC 37390.410000 0.0016614 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 15630529.520000 PLN 4247894.000000 USD 2026-04-15 37390.410000 N N N N/A N/A 000000000 1.000000 NC 51.760000 0.0000023 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3704.410000 SGD 2933.000000 USD 2026-04-02 51.760000 N N N N/A N/A 000000000 1.000000 NC -10936.980000 -0.000486 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5000000.000000 BRL 934841.540000 USD 2026-07-02 -10936.980000 N N N N/A N/A 000000000 1.000000 NC -571655.930000 -0.0254003 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 234828247.300000 BRL 44763295.330000 USD 2026-04-02 -571655.930000 N N N N/A N/A 000000000 1.000000 NC 769134.780000 0.0341749 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 6110612778.000000 JPY 39272098.000000 USD 2026-04-02 769134.780000 N N N N/A N/A 000000000 1.000000 NC 11180.930000 0.0004968 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 65060520.820000 THB 1996095.000000 USD 2026-06-17 11180.930000 N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 93814.290000 PA 106604.750000 0.0047368 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 2.419 N N N N N N N/A N/A 000000000 1.000000 NC -167783.460000 -0.0074551 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 UK RPI All Items NSA N/A N/A Y 2034-08-15 88422.780000 GBP 0.000000 GBP 15600000.000000 GBP -256206.240000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 28118381.600000 PA USD 20223333.340000 0.898582 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N SMARTSTOP SELF STORAGE REIT INC 549300EC266625K12S42 83192D402 4503.000000 NS USD 136350.840000 0.0060585 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -99629.670000 -0.0044268 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 7400000.000000 BRL 1328983.130000 USD 2026-04-02 -99629.670000 N N N N/A N/A 000000000 1.000000 NC -482.670000 -0.0000214 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 447912.680000 NOK 45775.440000 USD 2026-04-07 -482.670000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1 N/A 25151WAA1 306379.370000 PA USD 217335.230000 0.0096568 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.09303 N N N N N N N/A N/A 000000000 211.000000 NC USD -24747.760000 -0.0010996 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A Lean Hogs 2026-10-14 7709940.000000 USD -24747.760000 N N N N/A N/A 000000000 -125653770.000000 PA USD -125653770.000000 -5.58316 Short RA US N 2 Reverse repurchase N 3.790000 2026-04-01 121400000.000000 USD 120037024.400000 USD UST N N N N/A N/A 000000000 1.000000 NC 147.280000 0.0000065 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 94243.780000 USD 81539.520000 EUR 2026-05-04 147.280000 N N N N/A N/A 000000000 -151.000000 NC USD -616165.250000 -0.027378 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Nickel 2026-05-18 -15426416.700000 USD -616165.250000 N N N N/A N/A 000000000 1.000000 NC 8085.790000 0.0003593 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1728287.000000 USD 11930036.790000 CNY 2026-05-07 8085.790000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI38VBK6 57000000.000000 PA 1273122.510000 0.0565685 Long DBT NUSS TR N 2 2026-04-07 None 0 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 239823.440000 PA USD 189794.660000 0.0084331 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.01303 N N N N N N N/A N/A 000000000 1.000000 NC -3128.310000 -0.000139 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 430585.000000 USD 7270126316.000000 IDR 2026-06-10 -3128.310000 N N N N/A N/A 000000000 1.000000 NC -136788.360000 -0.0060779 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 5035300.000000 USD 18184834.890000 PLN 2026-04-22 -136788.360000 N N N N/A N/A 000000000 1.000000 NC 5381.040000 0.0002391 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1106115.130000 USD 176400000.000000 JPY 2026-04-02 5381.040000 N N N N/A N/A 000000000 1.000000 NC -4678.490000 -0.0002079 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 27897524.060000 ZAR 1641776.000000 USD 2026-04-20 -4678.490000 N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAD5 15809.970000 PA USD 8252.830000 0.0003667 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.90303 N N N N N N N/A N/A 000000000 106.000000 NC USD 4113535.070000 0.182776 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2026-08-31 14095922.400000 USD 4113535.070000 N N N N/A N/A 000000000 1.000000 NC -6446.630000 -0.0002864 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 305279.590000 USD 258539.520000 EUR 2026-04-02 -6446.630000 N N N N/A N/A 000000000 -142176950.000000 PA USD -142564066.250000 -6.33454 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-06 130645000.000000 USD 126977197.000000 USD UST N N N CURBLINE PROPERTIES CORP 529900PGR41LH0I81I15 23128Q101 298.000000 NS USD 7685.420000 0.0003415 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -2392.440000 -0.0001063 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5579739.900000 TRY 118971.000000 USD 2026-04-29 -2392.440000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BPSNBFII0 64100000.000000 PA 82742930.320000 3.67651 Long DBT NUSS GB N 2 2031-10-22 Fixed 4 N N N N N N N/A N/A 000000000 54.000000 NC USD 17280.000000 0.0007678 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Put Purchased NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 05/19/26 2026-05-20 N/A USD N/A 56.000000 USD 2026-05-14 XXXX -89492.580000 N N N N/A N/A 000000000 1.000000 NC 937.110000 0.0000416 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1653473.320000 USD 11395000.000000 CNY 2026-04-02 937.110000 N N N N/A N/A 000000000 1.000000 NC -7066.940000 -0.000314 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 249775.530000 USD 901000.000000 PLN 2026-04-15 -7066.940000 N N N N/A N/A 000000000 1.000000 NC -908.250000 -0.0000404 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7898795.990000 BRL 1524000.000000 USD 2026-04-02 -908.250000 N N N N/A N/A 000000000 1.000000 NC 969932.700000 0.0430969 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 41778441.100000 NZD 24977909.470000 USD 2026-04-02 969932.700000 N N N N/A N/A 000000000 1.000000 NC 29240.930000 0.0012993 N/A DFE GB N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1406000.000000 GBP 1890223.170000 USD 2026-04-02 29240.930000 N N N N/A N/A 000000000 1.000000 NC -9190.960000 -0.0004084 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2069382.210000 USD 2986000.000000 AUD 2026-04-02 -9190.960000 N N N N/A N/A 000000000 1.000000 NC 3714.620000 0.0001651 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12882398.000000 MXN 718062.370000 USD 2026-06-17 3714.620000 N N N SIMON PROPERTY GROUP INC 529900GQL5X8H7AO3T64 828806109 26933.000000 NS USD 5023812.490000 0.223223 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 127849.830000 0.0056807 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10677351.270000 USD 1015426783.130000 INR 2026-04-24 127849.830000 N N N N/A N/A 000000000 1.000000 NC 1210.090000 0.0000538 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 275380.770000 SGD 215889.250000 USD 2026-05-04 1210.090000 N N N N/A N/A 000000000 1.000000 NC -12203.240000 -0.0005422 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2448888.000000 USD 41354439000.000000 IDR 2026-04-13 -12203.240000 N N N PROVIDUS CLO IV DAC 4A N/A ACI2PLG34 3157840.890000 PA 3645949.450000 0.162 Long ABS-CBDO CORP IE N 2 2034-04-20 Floating 2.846 N N N N N N N/A N/A 000000000 1.000000 NC 530722.970000 0.0235816 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 47614397.310000 CAD 34760134.380000 USD 2026-04-02 530722.970000 N N N N/A N/A 000000000 1.000000 NC USD 19677.850000 0.0008743 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A ALLEGIANT TRAVEL COMPANY Y 2027-01-12 0.000000 USD 0.000000 USD 93875.850000 USD 19677.850000 N N N N/A N/A 000000000 1.000000 NC -280316.460000 -0.0124553 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6988557.000000 USD 635207417.120000 INR 2026-04-07 -280316.460000 N N N N/A N/A 000000000 1.000000 NC -27548.460000 -0.0012241 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1118004.000000 USD 103255904.620000 INR 2026-04-07 -27548.460000 N N N N/A N/A 000000000 1582.000000 NC -2858642.730000 -0.127018 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-06-08 229282517.530000 EUR -2858642.730000 N N N N/A N/A 000000000 1.000000 NC 27217.020000 0.0012093 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5195000.000000 EUR 6031858.910000 USD 2026-04-02 27217.020000 N N N RESIDENTIAL ASSET SEC TRUST 2006-A12 N/A 76113XAA9 167588.820000 PA USD 57263.640000 0.0025444 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -37972.410000 -0.0016872 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4160424.770000 USD 5975000.000000 AUD 2026-04-02 -37972.410000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAF9 1700607.620000 PA USD 742156.220000 0.0329762 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.01303 N N N N N N N/A N/A 000000000 100000.000000 PA USD 100000.000000 0.0044433 Long RA US N 2 Repurchase N 3.740000 2026-04-01 116300.000000 USD 101889.700000 USD UST N N N N/A N/A 000000000 1.000000 NC 128946.030000 0.0057294 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 565697729.350000 INR 6103115.000000 USD 2026-04-07 128946.030000 N N N UDEMY INC 2549000T304QU9SAM180 902685106 20500.000000 NS USD 94710.000000 0.0042082 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -5657.460000 -0.0002514 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1760000.000000 USD 56233345.000000 TWD 2026-04-27 -5657.460000 N N N N/A N/A 000000000 1.000000 NC USD 103259.180000 0.0045881 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-08-26 0.000000 USD 0.000000 USD 1200000.000000 USD 103259.180000 N N N BANC OF AMERICA ALT LOAN TRUST 2005-11 N/A 05948KV97 275533.330000 PA USD 234296.410000 0.0104105 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.44303 N N N N N N N/A N/A 000000000 1.000000 NC -4889006.220000 -0.217233 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/18/26) LCH N/A N/A 2031-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2031-03-18 0.000000 GBP -2437810.680000 GBP 114680000.000000 GBP -2451195.540000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBF6 900000.000000 PA USD 919350.000000 0.0408494 Long DBT NUSS MX N 2 2038-01-29 Fixed 6.625 N N N N N N N/A N/A 000000000 1.000000 NC USD -30082.120000 -0.0013366 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Gold 2026-08-27 471360.000000 USD -30082.120000 N N N N/A N/A 000000000 98.000000 NC USD 17705.280000 0.0007867 N/A DCO SG N 1 SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED 549300ZLWT3FK3F0FW61 Long N/A Iron Ore 2026-05-29 1033704.000000 USD 17705.280000 N N N N/A N/A 000000000 1.000000 NC -19770.160000 -0.0008784 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 789996.000000 USD 72933157.520000 INR 2026-04-07 -19770.160000 N N N SILA REALTY TRUST INC 549300HXH142HWKKSW59 146280508 167.000000 NS USD 3954.560000 0.0001757 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 13448.320000 0.0005975 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3055000.000000 ILS 987119.430000 USD 2026-06-10 13448.320000 N N N CHIRON REAL ESTATE INC 549300HFRIPQDYU3GU60 37954A303 1030.000000 NS USD 34072.400000 0.0015139 Long EC CORP US N 1 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB N/A 12668BAE3 132551.350000 PA USD 69950.160000 0.0031081 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 213007.640000 0.0094645 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 37771373.000000 USD 6028311130.000000 JPY 2026-04-02 213007.640000 N N N N/A N/A 000000000 1.000000 NC -71116.690000 -0.0031599 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1637505285.000000 JPY 10277619.000000 USD 2026-05-07 -71116.690000 N N N N/A N/A 000000000 1.000000 NC 31974.860000 0.0014207 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3404418.090000 USD 17800000.000000 BRL 2026-04-02 31974.860000 N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 171763.630000 PA USD 156879.730000 0.0069706 Long ABS-MBS CORP US N 2 2036-04-26 Floating 4.42086 N N N N N N N/A N/A 000000000 1.000000 NC -30656.840000 -0.0013622 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9818798.540000 BRL 1864919.000000 USD 2026-04-02 -30656.840000 N N N N/A N/A 000000000 399.000000 NC USD 4378264.140000 0.194539 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Aluminum 2026-05-18 34952799.000000 USD 4378264.140000 N N N N/A N/A 000000000 1.000000 NC 4471.500000 0.0001987 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 436218.440000 USD 662697191.000000 KRW 2026-04-15 4471.500000 N N N N/A N/A 000000000 1.000000 NC 443759.450000 0.0197175 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-10-15 31360.940000 EUR 0.000000 EUR 3400000.000000 EUR 412398.510000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNS6 100269180.000000 PA USD 99810211.870000 4.43486 Long DBT UST US N 2 2035-07-15 Fixed 1.875 N N N N N N N/A N/A 000000000 1.000000 NC -294978.970000 -0.0131068 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10060066.000000 USD 39510909.220000 MYR 2026-04-15 -294978.970000 N N N N/A N/A 000000000 1.000000 NC 84971.290000 0.0037755 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11191178.000000 USD 1789581273.000000 JPY 2026-04-02 84971.290000 N N N FHLMC PASS THRU POOLS N/A 3142GTAC0 68793070.900000 PA USD 70167782.100000 3.11776 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-1 N/A 170255AA1 459530.460000 PA USD 188209.110000 0.0083627 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 3181.300000 0.0001414 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 243404.370000 USD 10970254.670000 TRY 2026-04-03 3181.300000 N N N MORGAN STANLEY MORTGAGE LN TR 2007-5AX N/A 61751GAD9 142215.290000 PA USD 26914.060000 0.0011959 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.25303 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 223129.220000 PA USD 187304.190000 0.0083225 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.23303 N N N N N N N/A N/A 000000000 316.000000 NC USD 412816.610000 0.0183426 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2026-11-13 18288500.000000 USD 412816.610000 N N N N/A N/A 000000000 1.000000 NC -2771.450000 -0.0001231 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1068975.680000 SGD 828663.320000 USD 2026-04-02 -2771.450000 N N N N/A N/A 000000000 1.000000 NC 478124.480000 0.0212445 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 0.000000 EUR 0.000000 EUR 11300000.000000 EUR 478124.480000 N N N TRINITAS CLO VI LTD 2017-6A N/A 89640YBQ6 1700000.000000 PA USD 1701300.690000 0.0755937 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 4.77802 N N N N N N N/A N/A 000000000 -5.000000 NC USD 1723.800000 0.0000766 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Lead 2026-05-18 -235562.500000 USD 1723.800000 N N N N/A N/A 000000000 1.000000 NC -915.750000 -0.0000407 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2720000.000000 NOK 279991.830000 USD 2026-04-07 -915.750000 N N N N/A N/A 000000000 1.000000 NC 44012.380000 0.0019556 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9155542.000000 USD 864534942.210000 INR 2026-04-24 44012.380000 N N N N/A N/A 000000000 1.000000 NC USD -643583.650000 -0.0285963 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-05-10 518859.920000 USD 0.000000 USD 5590000.000000 USD -1162443.570000 N N N N/A N/A 000000000 1.000000 NC -244673.360000 -0.0108715 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7734063.450000 USD 709174948.050000 INR 2026-04-07 -244673.360000 N N N N/A N/A 000000000 1.000000 NC -46222.040000 -0.0020538 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1343626.680000 USD 1037404.750000 CHF 2026-04-02 -46222.040000 N N N N/A N/A 000000000 1.000000 NC -3709.850000 -0.0001648 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 854000.000000 AUD 585286.420000 USD 2026-05-04 -3709.850000 N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer