NPORT-P false 0000810893 XXXXXXXX S000032697 C000100911 C000100912 C000100908 C000100907 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS Small Fund S000032697 UT17HYFPFUE66KKMZM55 2026-03-31 2026-03-31 N 741909801.870000 538524807.730000 203384994.140000 0.000000 0.000000 23244782.460000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2068235.140000 EGP AUD TRY CAD ZAR USD BRL PLN CLP JPY NGN GBP EUR COP CZK PEN N Russell 2000 Value Index RUJ N/A N/A 000000000 1.000000 NC USD -2879.200000 -0.0014156 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -588.750000 USD 300000.000000 USD -2290.450000 N N N N/A N/A 000000000 1.000000 NC 1070.840000 0.0005265 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 130009.010000 ILS 42513.000000 USD 2026-06-17 1070.840000 N N N N/A N/A 000000000 1.000000 NC 1514.850000 0.0007448 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 144807.620000 PEN 42783.000000 USD 2026-09-16 1514.850000 N N N N/A N/A 000000000 1.000000 NC 319.580000 0.0001571 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7838.000000 USD 31117643.800000 COP 2026-09-16 319.580000 N N N N/A N/A 000000000 1.000000 NC -5237.140000 -0.002575 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 71985.170000 USD 2026-04-02 -5237.140000 N N N N/A N/A 000000000 1.000000 NC 373.200000 0.0001835 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31000.000000 CHF 39142.580000 USD 2026-04-02 373.200000 N N N N/A N/A 000000000 1.000000 NC -1271.810000 -0.0006253 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 30026.570000 USD 2722806.360000 INR 2026-04-07 -1271.810000 N N N N/A N/A 000000000 1.000000 NC 1620.220000 0.0007966 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 860000.000000 NOK 90436.590000 USD 2026-04-07 1620.220000 N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 126002.410000 PA USD 119782.780000 0.0588946 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.45119 N N N N N N N/A N/A 000000000 1.000000 NC 6091.130000 0.0029949 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4108808.400000 THB 130847.520000 USD 2026-04-20 6091.130000 N N N N/A N/A 000000000 1.000000 NC -72591.510000 -0.0356917 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-09-17 0.000000 GBP -49890.320000 GBP 1700000.000000 GBP -22701.190000 N N N N/A N/A 000000000 1.000000 NC USD 83206.080000 0.0409106 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -1485.270000 USD 10150000.000000 USD 84691.350000 N N N N/A N/A 000000000 1.000000 NC -5329.450000 -0.0026204 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 300000.000000 BRL 52587.290000 USD 2026-04-02 -5329.450000 N N N N/A N/A 000000000 1.000000 NC 2193.440000 0.0010785 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 355214.430000 MYR 90000.000000 USD 2026-04-27 2193.440000 N N N CHASE MORTGAGE FINANCE CORP 2006-S3 N/A 16162XAA5 112970.240000 PA USD 45725.150000 0.0224821 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -1828.060000 -0.0008988 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-07 0.000000 USD -975.000000 USD 200000.000000 USD -853.060000 N N N N/A N/A 000000000 -200000.000000 NC USD -1634.520000 -0.0008037 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -301.190000 N N N AVON FINANCE 4A N/A ACI2JTXR2 357106.190000 PA 473045.510000 0.232586 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 4.6291 N N N N N N N/A N/A 000000000 1.000000 NC 3154.490000 0.001551 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 200000.000000 GBP 267814.980000 USD 2026-06-17 3154.490000 N N N N/A N/A 000000000 1.000000 NC -630.090000 -0.0003098 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1862061.130000 TRY 41270.000000 USD 2026-04-02 -630.090000 N N N N/A N/A 000000000 -2900000.000000 NC USD -27268.700000 -0.0134074 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.78250 06/23/26-7Y LCH 2033-06-23 0.000000 USD 0.000000 USD N/A USD N/A 3.780000 USD 2026-06-18 XXXX -9470.010000 N N N N/A N/A 000000000 1.000000 NC 10412.410000 0.0051196 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 989616.770000 USD 9684241.270000 NOK 2026-05-04 10412.410000 N N N N/A N/A 000000000 1.000000 NC -166579.120000 -0.0819033 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-12-17 360.130000 JPY 0.000000 JPY 260000000.000000 JPY -166939.250000 N N N N/A N/A 000000000 -700000.000000 NC USD -2261.910000 -0.0011121 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% APR 30YR N/A 102.230000 USD 2026-04-06 XXXX -1086.130000 N N N N/A N/A 000000000 1.000000 NC -1689.100000 -0.0008305 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 224000.000000 EUR 257221.350000 USD 2026-04-02 -1689.100000 N N N N/A N/A 000000000 -2200000.000000 NC USD -706.420000 -0.0003473 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.04900 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2026-04-06 XXXX 4070.720000 N N N N/A N/A 000000000 1.000000 NC 2507.890000 0.0012331 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -366.790000 EUR 100000.000000 EUR 2874.680000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAE3 788930.280000 PA USD 789916.130000 0.388385 Long ABS-O CORP US N 2 2029-04-16 Fixed 4.48 N N N N N N N/A N/A 000000000 1.000000 NC 807.530000 0.000397 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 22447728.000000 CLP 25046.000000 USD 2026-04-09 807.530000 N N N N/A N/A 000000000 1.000000 NC -7513.790000 -0.0036944 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 576661.990000 USD 430000.000000 GBP 2026-04-02 -7513.790000 N N N N/A N/A 000000000 1.000000 NC 2179.090000 0.0010714 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46245751.090000 INR 490567.000000 USD 2026-04-07 2179.090000 N N N N/A N/A 000000000 1.000000 NC 29585.000000 0.0145463 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2580858.430000 PEN 761967.000000 USD 2026-12-07 29585.000000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAL5 100000.000000 PA USD 95007.810000 0.0467133 Long DBT UST US N 2 2027-09-30 Fixed 0.375 N N N N N N N/A N/A 000000000 2500000.000000 NC USD 139415.750000 0.0685477 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62800 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-20 XXXX -77146.750000 N N N N/A N/A 000000000 1.000000 NC -23172.360000 -0.0113933 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2036-09-16 0.000000 CAD -24922.280000 CAD 1300000.000000 CAD 1749.920000 N N N N/A N/A 000000000 1.000000 NC -855.330000 -0.0004205 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30000.000000 USD 960170.100000 THB 2026-04-16 -855.330000 N N N N/A N/A 000000000 1.000000 NC -4161.910000 -0.0020463 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 322375.000000 USD 29904310.940000 INR 2026-04-24 -4161.910000 N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 89716.390000 PA USD 89298.450000 0.0439061 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.69303 N N N N N N N/A N/A 000000000 1.000000 NC -4934.220000 -0.002426 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 318353.000000 USD 49741128.000000 JPY 2026-04-02 -4934.220000 N N N N/A N/A 000000000 1.000000 NC 2270.700000 0.0011165 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 190785.080000 USD 1000000.000000 BRL 2026-04-02 2270.700000 N N N N/A N/A 000000000 1.000000 NC 50.630000 0.0000249 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 12299.250000 USD 84851.910000 CNY 2026-05-07 50.630000 N N N N/A N/A 000000000 1.000000 NC -8915.570000 -0.0043836 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 500000.000000 BRL 87612.320000 USD 2026-04-02 -8915.570000 N N N N/A N/A 000000000 1.000000 NC 2593.180000 0.001275 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 353655.000000 MYR 90000.000000 USD 2026-04-16 2593.180000 N N N N/A N/A 000000000 1.000000 NC -101.010000 -0.0000497 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 38330.460000 USD 2317670.430000 PHP 2026-04-17 -101.010000 N N N N/A N/A 000000000 1.000000 NC -443.930000 -0.0002183 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14990.280000 USD 54000.000000 PLN 2026-04-15 -443.930000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 5870000.000000 PA 325126.100000 0.159858 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC -4.260000 -0.0000021 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2137.550000 BRL 403.000000 USD 2026-06-02 -4.260000 N N N N/A N/A 000000000 -27.000000 NC USD -16045.490000 -0.0078892 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -3139171.880000 USD -16045.490000 N N N N/A N/A 000000000 1.000000 NC -14652.910000 -0.0072045 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 499728.000000 USD 1962681.720000 MYR 2026-04-15 -14652.910000 N N N ARES EUROPEAN CLO 14A N/A ACI2RNVJ6 204230.770000 PA 236311.590000 0.116189 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 3.063 N N N N N N N/A N/A 000000000 1.000000 NC 529.750000 0.0002605 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 331588.050000 ILS 106228.000000 USD 2026-06-17 529.750000 N N N N/A N/A 000000000 1.000000 NC -1513.540000 -0.0007442 N/A DFE ZA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 3429529.380000 ZAR 200000.000000 USD 2026-06-17 -1513.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CPZ8 1100000.000000 PA USD 1082898.430000 0.532438 Long DBT UST US N 2 2036-02-15 Fixed 4.125 N N N N N N N/A N/A 000000000 2400000.000000 NC USD 15023.040000 0.0073865 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2026-08-03 XXXX -20301.960000 N N N N/A N/A 000000000 -490000.000000 NC USD -966.770000 -0.0004753 N/A DFE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-09-08 N/A 1350.000000 USD 2026-09-04 XXXX 1456.280000 N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 974552.260000 PA USD 339364.920000 0.166858 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MXB3 5260.050000 PA USD 5211.370000 0.0025623 Long ABS-MBS CORP US N 2 2033-08-25 Floating 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 44.550000 0.0000219 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 277835.840000 USD 386000.000000 CAD 2026-05-04 44.550000 N N N N/A N/A 000000000 1.000000 NC -8804.180000 -0.0043288 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 348894.970000 USD 1262525.290000 PLN 2026-04-22 -8804.180000 N N N N/A N/A 000000000 1.000000 NC 7799.780000 0.003835 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 652124.410000 PEN 192719.550000 USD 2026-12-21 7799.780000 N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 6280.870000 PA USD 6216.390000 0.0030565 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 5.2808 N N N N N N N/A N/A 000000000 -1700000.000000 NC USD -13344.320000 -0.0065611 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-04-15 XXXX -310.990000 N N N N/A N/A 000000000 1.000000 NC -1030.600000 -0.0005067 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 105094292.380000 COP 27577.000000 USD 2026-04-06 -1030.600000 N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69 N/A 12668AN27 18694.940000 PA USD 17182.720000 0.0084484 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.85874 N N N N N N N/A N/A 000000000 1.000000 NC 102.470000 0.0000504 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 23317.860000 SGD 18280.420000 USD 2026-05-04 102.470000 N N N N/A N/A 000000000 1.000000 NC -67447.050000 -0.0331623 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1083414.060000 USD 940565916.000000 CLP 2026-09-16 -67447.050000 N N N N/A N/A 000000000 1.000000 NC 938.400000 0.0004614 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1000000.000000 SEK 106572.390000 USD 2026-04-02 938.400000 N N N N/A N/A 000000000 1.000000 NC 176.210000 0.0000866 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 424546.510000 USD 2200000.000000 BRL 2026-04-02 176.210000 N N N N/A N/A 000000000 1.000000 NC -354.880000 -0.0001745 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 27496845.000000 COP 7130.000000 USD 2026-04-06 -354.880000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325CU7 300000.000000 PA USD 216033.000000 0.106219 Long DBT NUSS CO N 2 2045-06-15 Fixed 5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 1493641.110000 PA USD 743050.460000 0.365342 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC 264.800000 0.0001302 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 889000.000000 MXN 49561.150000 USD 2026-06-17 264.800000 N N N N/A N/A 000000000 -400000.000000 NC USD -1514.360000 -0.0007446 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 94.380000 USD 2026-06-04 XXXX 1110.640000 N N N N/A N/A 000000000 1.000000 NC 3830.950000 0.0018836 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-05-05 0.000000 EUR -341.270000 EUR 100000.000000 EUR 4172.220000 N N N N/A N/A 000000000 1.000000 NC 112.390000 0.0000553 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 34430.000000 PEN 10000.000000 USD 2026-04-16 112.390000 N N N BX COMMERCIAL MORTGAGE TRUST 2022-AHP N/A 05610FAC1 983916.070000 PA USD 984381.270000 0.483999 Long ABS-MBS CORP US N 2 2039-01-17 Floating 5.51251 N N N N N N N/A N/A 000000000 1.000000 NC 11837.350000 0.0058202 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2802718.260000 PEN 810573.000000 USD 2026-09-16 11837.350000 N N N N/A N/A 000000000 1.000000 NC 5319.530000 0.0026155 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1234715.110000 CHF 1554952.630000 USD 2026-05-04 5319.530000 N N N N/A N/A 000000000 1.000000 NC 307.890000 0.0001514 N/A DFE PH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1193480.000000 PHP 20000.000000 USD 2026-04-13 307.890000 N N N N/A N/A 000000000 1.000000 NC 137.980000 0.0000678 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 31914.430000 USD 1458262.860000 TRY 2026-04-21 137.980000 N N N N/A N/A 000000000 1.000000 NC -1090.350000 -0.0005361 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2586248.550000 TRY 57042.470000 USD 2026-04-03 -1090.350000 N N N N/A N/A 000000000 1.000000 NC USD 503.970000 0.0002478 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -396.750000 USD 100000.000000 USD 900.720000 N N N N/A N/A 000000000 1.000000 NC -10131.920000 -0.0049816 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 372965.000000 USD 1346951.910000 PLN 2026-04-22 -10131.920000 N N N FHLMC PASS THRU POOLS N/A 31427PW67 950531.290000 PA USD 972301.970000 0.47806 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 2760000.000000 PA USD 2661151.570000 1.30843 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 57004.770000 0.028028 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1265074.720000 CHF 1639139.240000 USD 2026-04-02 57004.770000 N N N N/A N/A 000000000 1.000000 NC 1150.250000 0.0005656 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 173000.000000 GBP 230133.130000 USD 2026-04-02 1150.250000 N N N N/A N/A 000000000 1.000000 NC -3501.170000 -0.0017214 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 100022.000000 USD 337164.160000 PEN 2026-06-17 -3501.170000 N N N N/A N/A 000000000 1.000000 NC -10.020000 -0.0000049 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4267.220000 BRL 803.000000 USD 2026-06-02 -10.020000 N N N N/A N/A 000000000 1.000000 NC 4073.870000 0.002003 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 938214.430000 ILS 302521.000000 USD 2026-04-06 4073.870000 N N N N/A N/A 000000000 1.000000 NC -87.910000 -0.0000432 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 40000.000000 USD 1276748.000000 TWD 2026-04-09 -87.910000 N N N FHLMC PASS THRU POOLS N/A 3132DWMY6 7703304.500000 PA USD 7747161.260000 3.80911 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 458.480000 0.0002254 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-02 0.000000 PLN 0.000000 PLN 100000.000000 PLN 458.480000 N N N N/A N/A 000000000 -231944.000000 NC USD -204.810000 -0.0001007 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-15 N/A 1350.000000 USD 2026-07-13 XXXX 301.520000 N N N N/A N/A 000000000 1.000000 NC -13332.420000 -0.0065553 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7381391.400000 EUR 8531449.090000 USD 2026-05-04 -13332.420000 N N N N/A N/A 000000000 1.000000 NC -2021.590000 -0.000994 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 17283.990000 USD 2026-04-02 -2021.590000 N N N N/A N/A 000000000 1.000000 NC 120475.900000 0.0592354 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 11437028.440000 PEN 3394582.820000 USD 2026-06-17 120475.900000 N N N N/A N/A 000000000 1.000000 NC 2828.510000 0.0013907 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 94506.810000 USD 1745125.000000 MXN 2026-04-10 2828.510000 N N N N/A N/A 000000000 1.000000 NC USD -2407.870000 -0.0011839 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -570.000000 USD 200000.000000 USD -1837.870000 N N N N/A N/A 000000000 1.000000 NC -40123.430000 -0.0197278 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 15800000.000000 BRL -40123.430000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 71.970000 PA USD 73.280000 0.000036 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.12518 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHE8 742477.040000 PA USD 689916.050000 0.339217 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.43303 N N N N N N N/A N/A 000000000 1.000000 NC -50.090000 -0.0000246 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 85057.920000 CNY 12299.250000 USD 2026-04-02 -50.090000 N N N N/A N/A 000000000 1.000000 NC -682.120000 -0.0003354 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 120625365.000000 COP 32025.000000 USD 2026-04-20 -682.120000 N N N N/A N/A 000000000 1.000000 NC USD -682.870000 -0.0003358 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -296.250000 USD 100000.000000 USD -386.620000 N N N N/A N/A 000000000 1.000000 NC 2013.590000 0.00099 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3557329.820000 THB 110000.000000 USD 2026-04-17 2013.590000 N N N N/A N/A 000000000 1.000000 NC -669.060000 -0.000329 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 189940.250000 BRL 36000.000000 USD 2026-04-02 -669.060000 N N N N/A N/A 000000000 1.000000 NC -2790.880000 -0.0013722 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 67788762.000000 HUF 200000.000000 USD 2026-06-17 -2790.880000 N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 138.630000 PA USD 142.590000 0.0000701 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -382.500000 -0.0001881 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10294793.290000 TRY 231270.910000 USD 2026-04-01 -382.500000 N N N N/A N/A 000000000 1.000000 NC -365.050000 -0.0001795 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 162695579.600000 COP 42862.000000 USD 2026-07-21 -365.050000 N N N N/A N/A 000000000 1.000000 NC 2485.640000 0.0012221 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 92233.290000 USD 1698642.000000 MXN 2026-04-13 2485.640000 N N N FREDDIE MAC REMICS 5580 N/A 3137HMXM7 1021067.100000 PA USD 1029358.780000 0.506113 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -136203.930000 -0.0669685 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5600000.000000 BRL 944908.460000 USD 2026-04-02 -136203.930000 N N N N/A N/A 000000000 6700000.000000 NC USD 430021.410000 0.211432 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -110668.590000 N N N N/A N/A 000000000 1.000000 NC 823.190000 0.0004047 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 187000.000000 ILS 60422.700000 USD 2026-06-10 823.190000 N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 97261.440000 PA USD 67760.510000 0.0333164 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.93369 N N N N N N N/A N/A 000000000 1.000000 NC 267.190000 0.0001314 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 79890.620000 USD 103058.900000 SGD 2026-04-02 267.190000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 83000.000000 PA USD 82701.720000 0.0406626 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -23277.460000 -0.011445 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1310000.000000 USD -23277.460000 N N N N/A N/A 000000000 -1900000.000000 NC USD -10315.670000 -0.005072 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX -6753.170000 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 16009.700000 PA USD 16009.280000 0.0078714 Long ABS-O CORP US N 2 2038-04-25 Floating 5.09862 N N N N N N UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST N/A 90932WAA1 93974.540000 PA USD 96070.400000 0.0472357 Long DBT CORP US N 2 2038-08-15 Fixed 5.45 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 200000.000000 PA USD 202302.870000 0.0994679 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC 363.500000 0.0001787 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 545000.000000 MXN 30584.540000 USD 2026-06-17 363.500000 N N N N/A N/A 000000000 1.000000 NC 252151.520000 0.123977 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 290517.840000 EUR 0.000000 EUR 1260000.000000 EUR -38366.320000 N N N N/A N/A 000000000 1.000000 NC -12571.450000 -0.0061811 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 745895.000000 USD 679189610.000000 CLP 2026-04-06 -12571.450000 N N N N/A N/A 000000000 1.000000 NC 60.990000 0.00003 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1181005.390000 PHP 19501.410000 USD 2026-04-06 60.990000 N N N N/A N/A 000000000 1.000000 NC USD -3420268.960000 -1.68167 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2026-12-09 0.000000 USD 0.000000 USD 79886835.920000 USD -3420268.960000 N N N N/A N/A 000000000 1.000000 NC 190.960000 0.0000939 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2356741.490000 ZAR 139281.000000 USD 2026-04-20 190.960000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAC9 46441.160000 PA USD 45111.430000 0.0221803 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.53347 N N N N N N N/A N/A 000000000 1.000000 NC -866.170000 -0.0004259 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 22073.980000 USD 200000.000000 SEK 2026-06-17 -866.170000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 338553.130000 PA USD 77984.900000 0.0383435 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.39303 N N N N N N N/A N/A 000000000 1.000000 NC -21874.900000 -0.0107554 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3388500.790000 USD 4328470.910000 SGD 2026-04-02 -21874.900000 N N N N/A N/A 000000000 -1300000.000000 NC USD -4204.070000 -0.0020671 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08800 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-05-06 XXXX -2514.070000 N N N N/A N/A 000000000 1.000000 NC USD -588024.390000 -0.289119 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-17 0.000000 USD -452632.280000 USD 5280000.000000 USD -135392.110000 N N N N/A N/A 000000000 1.000000 NC -2083.830000 -0.0010246 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 339619129.000000 COP 88859.010000 USD 2026-06-17 -2083.830000 N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 89413.640000 PA USD 89098.480000 0.0438078 Long ABS-MBS CORP US N 2 2033-01-25 Floating 5.79229 N N N N N N N/A N/A 000000000 1.000000 NC 713.440000 0.0003508 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2763900.000000 INR 30000.000000 USD 2026-04-09 713.440000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 155129.970000 PA USD 156135.240000 0.0767683 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N N/A N/A 000000000 1.000000 NC 4479.160000 0.0022023 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 436799.970000 PEN 130000.000000 USD 2026-04-06 4479.160000 N N N N/A N/A 000000000 1.000000 NC 4219.720000 0.0020747 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 414172.660000 PEN 122503.670000 USD 2026-08-04 4219.720000 N N N N/A N/A 000000000 1.000000 NC -9015.980000 -0.004433 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1964043.390000 USD 3402119.150000 NZD 2026-04-02 -9015.980000 N N N N/A N/A 000000000 1.000000 NC -4646.060000 -0.0022844 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1652102.800000 USD 52724217.000000 TWD 2026-04-13 -4646.060000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2C9W52 1785500000.000000 PA 478714.150000 0.235373 Long DBT NUSS CO N 2 2033-02-09 Fixed 13.25 N N N N N N N/A N/A 000000000 1.000000 NC 173354.270000 0.0852345 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 160132.460000 EUR 0.000000 EUR 6880000.000000 EUR 13221.810000 N N N FREDDIE MAC REMICS 5517 N/A 3137HKGL2 897175.250000 PA USD 904191.700000 0.444572 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 718.370000 0.0003532 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82665000.000000 CLP 90000.000000 USD 2026-04-23 718.370000 N N N N/A N/A 000000000 1.000000 NC 719.440000 0.0003537 N/A DFE HU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 39610.950000 USD 13424000.000000 HUF 2026-04-15 719.440000 N N N N/A N/A 000000000 1.000000 NC -779.070000 -0.0003831 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 95074.830000 USD 1603769770.000000 IDR 2026-06-10 -779.070000 N N N N/A N/A 000000000 1.000000 NC 1141.970000 0.0005615 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 76080.340000 USD 400000.000000 BRL 2026-04-02 1141.970000 N N N PETROLEOS DEL PERU SA - PETROPERU SA 549300ZMGDLC9JT2OR80 P7808BAB3 300000.000000 PA USD 210780.000000 0.103636 Long DBT CORP PE N 2 2047-06-19 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC -1449.900000 -0.0007129 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 607278.860000 ILS 191943.000000 USD 2026-05-05 -1449.900000 N N N N/A N/A 000000000 1.000000 NC -108.510000 -0.0000534 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1919132.840000 TRY 41277.000000 USD 2026-05-06 -108.510000 N N N N/A N/A 000000000 1.000000 NC -1473.300000 -0.0007244 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 40263.570000 USD 144000.000000 PLN 2026-04-15 -1473.300000 N N N N/A N/A 000000000 1.000000 NC -1956.860000 -0.0009621 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59575.440000 USD 100000.000000 NZD 2026-06-17 -1956.860000 N N N N/A N/A 000000000 1.000000 NC 1860.590000 0.0009148 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 315735.820000 ILS 102490.000000 USD 2026-06-10 1860.590000 N N N N/A N/A 000000000 1.000000 NC -242.390000 -0.0001192 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 120000.000000 USD 3836962.000000 TWD 2026-04-23 -242.390000 N N N N/A N/A 000000000 1.000000 NC USD 4343.420000 0.0021356 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-26 0.000000 USD -15348.840000 USD 3300000.000000 USD 19692.260000 N N N SLM STUDENT LOAN TRUST 2004-5X N/A B02JZGII4 410995.290000 PA 442888.670000 0.217759 Long ABS-O CORP US N 2 2039-10-25 Floating 2.43 N N N N N N N/A N/A 000000000 1.000000 NC -1108.920000 -0.0005452 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 170000.000000 USD 2867297707.000000 IDR 2026-04-27 -1108.920000 N N N N/A N/A 000000000 1.000000 NC -90575.020000 -0.0445338 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2036-09-16 0.000000 JPY -42471.460000 JPY 620300000.000000 JPY -48103.560000 N N N GNMA PASS THRU POOLS N/A 21H052652 2690000.000000 PA USD 2702088.160000 1.32856 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1446.830000 0.0007114 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 191943.000000 USD 607950.660000 ILS 2026-04-06 1446.830000 N N N N/A N/A 000000000 1.000000 NC -3295.550000 -0.0016204 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1100000.000000 BRL 200293.160000 USD 2026-10-02 -3295.550000 N N N N/A N/A 000000000 1.000000 NC 34.310000 0.0000169 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 29874.290000 USD 206000.000000 CNY 2026-04-02 34.310000 N N N N/A N/A 000000000 1.000000 NC 239.540000 0.0001178 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23368.850000 USD 35501643.000000 KRW 2026-04-15 239.540000 N N N N/A N/A 000000000 1.000000 NC 2556.100000 0.0012568 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 163000.000000 GBP 218302.970000 USD 2026-04-02 2556.100000 N N N CSFB MORTGAGE SECURITIES CORP 2005 8 N/A 225458W87 710814.740000 PA USD 544064.280000 0.267505 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 199.640000 0.0000982 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 39657.170000 MYR 10000.000000 USD 2026-04-09 199.640000 N N N N/A N/A 000000000 1.000000 NC -17954.530000 -0.0088279 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 464247.000000 USD 42259708.040000 INR 2026-04-07 -17954.530000 N N N LUMINENT MORTGAGE TRUST 2006-1 N/A 550279AM5 100198.690000 PA USD 90279.130000 0.0443883 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.51303 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 3200000.000000 PA 176758.570000 0.0869084 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N N/A N/A 000000000 9.000000 NC -3292.390000 -0.0016188 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A 90CORRA 2027-06-15 1570843.220000 CAD -3292.390000 N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 9090.970000 PA USD 8602.540000 0.0042297 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.57812 N N N N N N HERTZ VEHICLE FINANCING III LLC 2024-1A N/A 42806MCK3 800000.000000 PA USD 811838.560000 0.399164 Long ABS-O CORP US N 2 2029-01-25 Fixed 5.44 N N N N N N N/A N/A 000000000 1.000000 NC -585.930000 -0.0002881 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1294726.400000 TRY 27760.000000 USD 2026-04-24 -585.930000 N N N N/A N/A 000000000 1.000000 NC 60863.450000 0.0299252 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-08-22 0.000000 COP 0.000000 COP 2441450000.000000 COP 60863.450000 N N N N/A N/A 000000000 1.000000 NC USD 16448.990000 0.0080876 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2051-12-07 24000.000000 USD 0.000000 USD 900000.000000 USD -7551.010000 N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 172.070000 PA USD 168.590000 0.0000829 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.13248 N N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 231183.650000 PA USD 143403.820000 0.0705086 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 300000.000000 PA USD 304285.780000 0.149611 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1600000.000000 NC USD 7105.760000 0.0034937 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.03250 05/11/26-10Y LCH 2036-05-11 0.000000 USD 0.000000 USD N/A USD N/A 4.030000 USD 2026-05-07 XXXX -2125.010000 N N N N/A N/A 000000000 1.000000 NC 17.950000 0.0000088 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1092.000000 USD 5749.380000 BRL 2026-04-02 17.950000 N N N N/A N/A 000000000 1.000000 NC 1128.570000 0.0005549 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 600000.000000 SEK 64508.960000 USD 2026-04-02 1128.570000 N N N N/A N/A 000000000 1.000000 NC 1409.850000 0.0006932 N/A DFE HU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 USD 33899200.000000 HUF 2026-06-17 1409.850000 N N N N/A N/A 000000000 1.000000 NC 51477.410000 0.0253103 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2055-09-17 39221.910000 GBP 0.000000 GBP 830000.000000 GBP 12255.500000 N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 110259.790000 PA USD 110081.030000 0.0541245 Long ABS-MBS CORP US N 2 2031-12-15 Floating 5.17001 N N N N N N N/A N/A 000000000 1.000000 NC 23364.850000 0.011488 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 26920308.300000 ZAR 1612146.070000 USD 2026-04-20 23364.850000 N N N N/A N/A 000000000 1.000000 NC USD -40447.790000 -0.0198873 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-09-17 0.000000 USD -156890.180000 USD 7840000.000000 USD 116442.390000 N N N N/A N/A 000000000 1.000000 NC -260.680000 -0.0001282 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 1862627503.000000 IDR 2026-04-17 -260.680000 N N N N/A N/A 000000000 1.000000 NC 304.090000 0.0001495 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 309751.000000 USD 29137657.070000 INR 2026-04-24 304.090000 N N N N/A N/A 000000000 1.000000 NC 533.890000 0.0002625 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3118586.140000 THB 95678.000000 USD 2026-06-17 533.890000 N N N N/A N/A 000000000 1.000000 NC -4274.250000 -0.0021016 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 250765.000000 USD 39119314.000000 JPY 2026-04-02 -4274.250000 N N N N/A N/A 000000000 1.000000 NC 3651.620000 0.0017954 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 358000.000000 PLN 100088.550000 USD 2026-04-15 3651.620000 N N N N/A N/A 000000000 1.000000 NC -7490.660000 -0.003683 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 102987.270000 USD 88395000.000000 CLP 2026-06-17 -7490.660000 N N N N/A N/A 000000000 1.000000 NC -221.310000 -0.0001088 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1539947.950000 TRY 33022.000000 USD 2026-05-05 -221.310000 N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 2866.670000 PA USD 2898.100000 0.0014249 Long ABS-MBS CORP US N 2 2033-04-25 Floating 5.91005 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 51000.000000 PA USD 50844.610000 0.0249992 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 282.650000 0.000139 N/A DFE CO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 525646052.290000 COP 141039.580000 USD 2026-06-17 282.650000 N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAJ2 807255.440000 PA USD 552917.420000 0.271857 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.99303 N N N N N N N/A N/A 000000000 1.000000 NC 72043.270000 0.0354221 N/A DCR N/A N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 83705.460000 EUR 0.000000 EUR 360000.000000 EUR -11662.190000 N N N N/A N/A 000000000 1.000000 NC 50.120000 0.0000246 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 425000.000000 NOK 43941.930000 USD 2026-04-07 50.120000 N N N N/A N/A 000000000 1.000000 NC -193.490000 -0.0000951 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 100000.000000 EUR 115793.180000 USD 2026-06-17 -193.490000 N N N N/A N/A 000000000 1.000000 NC USD 22935.280000 0.0112768 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -4486.390000 USD 200000.000000 USD 27421.670000 N N N N/A N/A 000000000 1.000000 NC 5956.520000 0.0029287 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1034426.950000 USD 1507911.000000 AUD 2026-04-02 5956.520000 N N N N/A N/A 000000000 1.000000 NC -233.160000 -0.0001146 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 11757.000000 USD 40254.790000 PEN 2026-06-17 -233.160000 N N N N/A N/A 000000000 1.000000 NC 408.480000 0.0002008 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 58000.000000 EUR 67447.790000 USD 2026-04-02 408.480000 N N N N/A N/A 000000000 1.000000 NC -1744.350000 -0.0008577 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 171900000.000000 COP 45000.000000 USD 2026-04-10 -1744.350000 N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 8773.590000 PA USD 3802.880000 0.0018698 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -262.370000 -0.000129 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 84180.690000 USD 578000.000000 CNY 2026-04-02 -262.370000 N N N N/A N/A 000000000 1.000000 NC -660.020000 -0.0003245 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20055.160000 USD 72000.000000 PLN 2026-04-15 -660.020000 N N N N/A N/A 000000000 -200000.000000 NC USD -249.920000 -0.0001229 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62000 04/22/26-10Y LCH 2036-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2026-04-20 XXXX 410.080000 N N N N/A N/A 000000000 1.000000 NC -12.520000 -0.0000062 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 127766.000000 USD 2172814149.000000 IDR 2026-06-10 -12.520000 N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 107138.610000 PA USD 91471.520000 0.0449746 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.66874 N N N N N N FREDDIE MAC REMICS 3848 N/A 3137A9D52 46296.830000 PA USD 46900.210000 0.0230598 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3 N/A 94985GAH9 258805.840000 PA USD 228750.410000 0.112472 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 341.220000 0.0001678 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 603.720000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 1662148.660000 PA USD 384423.070000 0.189013 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC -6081.600000 -0.0029902 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 172114874.000000 JPY 1078414.000000 USD 2026-04-02 -6081.600000 N N N N/A N/A 000000000 1.000000 NC USD 599395.370000 0.29471 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 84168.910000 USD 0.000000 USD 5400000.000000 USD 515226.460000 N N N MORGAN STANLEY MORTGAGE TRUST-2006-16AX N/A 617487AC7 121726.480000 PA USD 33427.980000 0.0164358 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.13303 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 58742.020000 PA USD 58799.140000 0.0289103 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC 2800.940000 0.0013772 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 96429.800000 USD 1779853.000000 MXN 2026-04-15 2800.940000 N N N N/A N/A 000000000 1.000000 NC -15422.580000 -0.0075829 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 119.700000 BRL 0.000000 BRL 8600000.000000 BRL -15542.280000 N N N N/A N/A 000000000 1.000000 NC -84.290000 -0.0000414 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7664871.910000 COP 2000.000000 USD 2026-04-10 -84.290000 N N N N/A N/A 000000000 1.000000 NC 2.260000 0.0000011 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 262.000000 USD 975781.880000 COP 2026-04-24 2.260000 N N N N/A N/A 000000000 1.000000 NC -648.130000 -0.0003187 N/A DFE KR N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 28821.660000 USD 43040700.000000 KRW 2026-04-03 -648.130000 N N N N/A N/A 000000000 1.000000 NC 609.420000 0.0002996 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1587899.000000 THB 48781.580000 USD 2026-04-09 609.420000 N N N N/A N/A 000000000 1.000000 NC 1846.400000 0.0009078 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4531237921.910000 COP 1215216.340000 USD 2026-06-17 1846.400000 N N N FREDDIE MAC REMICS 5473 N/A 3137HHFU0 557590.020000 PA USD 559478.470000 0.275083 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.7619 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 235234.500000 PA USD 110794.810000 0.0544754 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 111.250000 0.0000547 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 39295.380000 USD 1261146.000000 TWD 2026-04-13 111.250000 N N N N/A N/A 000000000 -21.000000 NC USD 355341.000000 0.174713 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A S&P 500 TOTAL RETURN INDEX 2026-06-18 -6627663.000000 USD 355341.000000 N N N N/A N/A 000000000 1.000000 NC -32663.230000 -0.0160598 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 9900000.000000 BRL -32663.230000 N N N UMBS PASS THRU POOLS N/A 01F060675 19000000.000000 PA USD 19332349.140000 9.5053 Long ABS-MBS USGSE US N 2 2056-07-13 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -12954.430000 -0.0063694 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2026-04-15 0.000000 USD 0.000000 USD 19517326.720000 USD -12954.430000 N N N N/A N/A 000000000 1.000000 NC -47.690000 -0.0000234 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15875.000000 USD 521430.250000 THB 2026-04-16 -47.690000 N N N N/A N/A 000000000 1.000000 NC -278.220000 -0.0001368 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 27215210.000000 COP 7130.000000 USD 2026-04-06 -278.220000 N N N N/A N/A 000000000 1.000000 NC 96.070000 0.0000472 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1865861030.000000 IDR 110000.000000 USD 2026-04-27 96.070000 N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 18034.570000 PA USD 18069.910000 0.0088846 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 4.49671 N N N N N N N/A N/A 000000000 1.000000 NC 343.490000 0.0001689 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1691450000.000000 IDR 100000.000000 USD 2026-04-16 343.490000 N N N N/A N/A 000000000 1.000000 NC 829.250000 0.0004077 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 156750.350000 USD 24934199.000000 JPY 2026-05-07 829.250000 N N N N/A N/A 000000000 1.000000 NC -103.790000 -0.000051 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 18280.420000 USD 23369.690000 SGD 2026-04-02 -103.790000 N N N N/A N/A 000000000 600000.000000 NC USD 30806.400000 0.0151468 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -22053.600000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 7.430000 PA USD 7.320000 0.0000036 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7.02171 N N N N N N N/A N/A 000000000 1.000000 NC -84.290000 -0.0000414 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30000.000000 USD 984492.690000 THB 2026-04-30 -84.290000 N N N N/A N/A 000000000 1.000000 NC 735.590000 0.0003617 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2029-10-01 0.000000 CLP 0.000000 CLP 50000000.000000 CLP 735.590000 N N N STRUCTURED ASSET MTG INV INC 2006-AR2 N/A 86359LSM2 131004.020000 PA USD 124057.490000 0.0609964 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.25303 N N N N N N N/A N/A 000000000 -5.000000 NC 1280.120000 0.0006294 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2026-06-15 -357583.590000 AUD 1280.120000 N N N N/A N/A 000000000 1.000000 NC -628.280000 -0.0003089 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20000.000000 USD 1176832.000000 PHP 2026-04-06 -628.280000 N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 577690.390000 PA USD 581481.140000 0.285902 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6019 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 157702.200000 PA USD 139929.400000 0.0688003 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.39303 N N N N N N N/A N/A 000000000 -3900000.000000 NC USD -12870.780000 -0.0063283 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08400 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-05-06 XXXX -8873.280000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI0WBN59 900000.000000 PA 270468.120000 0.132983 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 1058543.990000 PA USD 505070.500000 0.248332 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 803.220000 0.0003949 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 NZD 58421.800000 USD 2026-06-17 803.220000 N N N N/A N/A 000000000 1.000000 NC 419.460000 0.0002062 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 675340620.000000 IDR 40127.000000 USD 2026-06-10 419.460000 N N N N/A N/A 000000000 1.000000 NC -3489.830000 -0.0017159 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 90319.500000 USD 2859705.000000 THB 2026-04-20 -3489.830000 N N N N/A N/A 000000000 1.000000 NC -1701.660000 -0.0008367 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-01 0.000000 CZK -205.930000 CZK 5660000.000000 CZK -1495.730000 N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 56659.410000 PA USD 49359.330000 0.0242689 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.99623 N N N N N N N/A N/A 000000000 1.000000 NC -39.390000 -0.0000194 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2300000.000000 BRL 425646.100000 USD 2026-10-02 -39.390000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI2VM0V0 14500000.000000 PA 259739.590000 0.127708 Long DBT NUSS EG N 2 2028-03-04 Fixed 21.954 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 709.390000 PA USD 697.470000 0.0003429 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.99057 N N N N N N N/A N/A 000000000 19.000000 NC USD -30650.780000 -0.0150703 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A FEDERAL FUND 2026-05-29 7628516.480000 USD -30650.780000 N N N N/A N/A 000000000 1.000000 NC -30196.670000 -0.014847 N/A DFE CL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 618706.700000 USD 544833120.000000 CLP 2026-09-16 -30196.670000 N N N N/A N/A 000000000 1.000000 NC 537.960000 0.0002645 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 135000.000000 CHF 169372.380000 USD 2026-04-02 537.960000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 B1W32LII9 29650000.000000 PA 1408481.230000 0.69252 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25 N N N N N N MARGAY CLO II DAC 2A N/A ACI384PC9 500000.000000 PA 576578.140000 0.283491 Long ABS-CBDO CORP IE N 2 2037-07-15 Floating 3.244 N N N N N N N/A N/A 000000000 1.000000 NC -18198.930000 -0.008948 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 464729.000000 USD 42282206.240000 INR 2026-04-07 -18198.930000 N N N N/A N/A 000000000 200000.000000 NC USD 347.320000 0.0001708 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.04750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2026-08-10 XXXX -1252.680000 N N N N/A N/A 000000000 1.000000 NC 7449.720000 0.0036629 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 532473.870000 USD 24338049.410000 TRY 2026-04-14 7449.720000 N N N N/A N/A 000000000 1.000000 NC USD -10392.750000 -0.0051099 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-17 0.000000 USD -107684.710000 USD 4750000.000000 USD 97291.960000 N N N N/A N/A 000000000 1.000000 NC -883.870000 -0.0004346 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 240010.000000 USD 4059692107.000000 IDR 2026-04-27 -883.870000 N N N N/A N/A 000000000 1.000000 NC -2767.530000 -0.0013607 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 232061.000000 USD 21548024.160000 INR 2026-04-24 -2767.530000 N N N UMBS PASS THRU POOLS N/A 01F022659 -6380000.000000 PA USD -5362439.890000 -2.6366 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2.5 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2QBM79 55000000.000000 PA 60468.770000 0.0297312 Long DBT NUSS CL N 2 2029-10-01 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC 2369.480000 0.001165 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 94158.410000 USD 500000.000000 BRL 2026-04-02 2369.480000 N N N N/A N/A 000000000 1.000000 NC 78983.960000 0.0388347 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3402119.150000 NZD 2034011.370000 USD 2026-04-02 78983.960000 N N N N/A N/A 000000000 1600000.000000 NC USD 94776.960000 0.0465998 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -46103.040000 N N N N/A N/A 000000000 1.000000 NC 55.010000 0.000027 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1100000.000000 NOK 113593.710000 USD 2026-06-17 55.010000 N N N N/A N/A 000000000 1.000000 NC 1069.170000 0.0005257 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 489510.000000 USD 46102541.310000 INR 2026-04-24 1069.170000 N N N N/A N/A 000000000 1.000000 NC -5137.160000 -0.0025258 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 113965.430000 USD 404000.000000 PLN 2026-04-15 -5137.160000 N N N N/A N/A 000000000 1.000000 NC USD -1710.820000 -0.0008412 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -588.000000 USD 200000.000000 USD -1122.820000 N N N N/A N/A 000000000 1.000000 NC 130.930000 0.0000644 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 772536834.000000 COP 207000.000000 USD 2026-06-17 130.930000 N N N N/A N/A 000000000 -1.000000 NC USD 3983.240000 0.0019585 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -113578.130000 USD 3983.240000 N N N N/A N/A 000000000 1.000000 NC 504.830000 0.0002482 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 40386.680000 USD 1817239.050000 TRY 2026-04-02 504.830000 N N N N/A N/A 000000000 1.000000 NC USD -117845.700000 -0.0579422 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -405529.830000 USD 1470340.020000 USD 287684.130000 N N N N/A N/A 000000000 1.000000 NC 64.330000 0.0000316 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 39915.240000 USD 678453305.000000 IDR 2026-04-09 64.330000 N N N N/A N/A 000000000 -3800000.000000 NC USD -3088.150000 -0.0015184 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 1490.850000 N N N FANNIE MAE REMICS 2026-21 N/A 3136G5FC9 5500000.000000 PA USD 5484459.750000 2.69659 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.6719 N N N N N N N/A N/A 000000000 1.000000 NC USD 21978.720000 0.0108065 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 900000.000000 USD 21978.720000 N N N N/A N/A 000000000 1.000000 NC 893.410000 0.0004393 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 100000.000000 CAD 73018.330000 USD 2026-06-17 893.410000 N N N N/A N/A 000000000 1.000000 NC 351.640000 0.0001729 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 55607.000000 USD 2519086.070000 TRY 2026-04-13 351.640000 N N N N/A N/A 000000000 1.000000 NC -65.160000 -0.000032 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 88401.320000 USD 2825306.000000 TWD 2026-04-07 -65.160000 N N N N/A N/A 000000000 1.000000 NC 1826.470000 0.000898 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 43040700.000000 KRW 30000.000000 USD 2026-04-03 1826.470000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 3900000.000000 PA 1227997.360000 0.60378 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 1.000000 NC USD 16135.480000 0.0079335 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.45 Y Single Leg Swap 2030-12-20 22631.400000 USD 0.000000 USD 297000.000000 USD -6495.920000 N N N ARBOUR CLO XIII DAC 13A N/A ACI38J3K2 800000.000000 PA 921895.040000 0.453276 Long ABS-CBDO CORP IE N 2 2038-08-15 Floating 3.151 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 549710.660000 PA USD 272787.650000 0.134124 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.89303 N N N N N N N/A N/A 000000000 1.000000 NC -1859.430000 -0.0009142 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 79078.710000 USD 312440.000000 MYR 2026-04-15 -1859.430000 N N N N/A N/A 000000000 1.000000 NC 7.670000 0.0000038 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1203715.240000 PHP 19777.000000 USD 2026-06-17 7.670000 N N N N/A N/A 000000000 1.000000 NC 133.220000 0.0000655 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 13714.180000 CAD 10000.000000 USD 2026-04-20 133.220000 N N N N/A N/A 000000000 1.000000 NC USD -122.220000 -0.0000601 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -850.200000 USD 100000.000000 USD 727.980000 N N N N/A N/A 000000000 18100000.000000 PA USD 18100000.000000 8.89938 Long RA US N 2 Repurchase N 3.710000 2026-04-01 18329200.000000 USD 18484568.560000 USD UST N N N N/A N/A 000000000 2000000.000000 NC USD 111505.000000 0.0548246 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62750 08/23/35-10Y LCH 2045-08-23 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-21 XXXX -61445.000000 N N N N/A N/A 000000000 -670000.000000 NC USD -4186.160000 -0.0020582 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.120000 USD 2026-04-23 XXXX -2363.760000 N N N N/A N/A 000000000 1.000000 NC -1714.070000 -0.0008428 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-20 0.000000 EUR -398.500000 EUR 100000.000000 EUR -1315.570000 N N N PPMC-2021-5A N/A 69356TAJ0 700000.000000 PA USD 700824.040000 0.34458 Long ABS-CBDO CORP KY N 2 2034-10-18 Floating 4.84763 N N N N N N N/A N/A 000000000 368056.000000 NC USD 1097.170000 0.0005395 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-13 N/A 1400.000000 USD 2026-07-09 XXXX -2635.800000 N N N N/A N/A 000000000 100000.000000 NC USD 296.790000 0.0001459 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.24500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-07 XXXX -1003.210000 N N N N/A N/A 000000000 1.000000 NC 381.770000 0.0001877 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 158137.000000 MYR 39465.190000 USD 2026-04-15 381.770000 N N N N/A N/A 000000000 1.000000 NC -89.310000 -0.0000439 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 103000.000000 SGD 80022.690000 USD 2026-04-02 -89.310000 N N N N/A N/A 000000000 1.000000 NC 1352.720000 0.0006651 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 178000.000000 GBP 236953.600000 USD 2026-04-02 1352.720000 N N N N/A N/A 000000000 1.000000 NC 425.240000 0.0002091 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 170010.030000 USD 136280.040000 CHF 2026-04-02 425.240000 N N N N/A N/A 000000000 -98.000000 NC 425517.680000 0.209218 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-06-08 -13444410.540000 EUR 425517.680000 N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 310466.590000 PA USD 310427.160000 0.15263 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 4.9219 N N N N N N N/A N/A 000000000 1.000000 NC -537.900000 -0.0002645 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1919632.780000 TRY 41270.000000 USD 2026-04-28 -537.900000 N N N N/A N/A 000000000 1.000000 NC -1949.700000 -0.0009586 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 67952.000000 USD 1199903.210000 MXN 2026-09-17 -1949.700000 N N N FHLMC PASS THRU POOLS N/A 3142GQEJ7 269356.130000 PA USD 260222.610000 0.127946 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2025-74 N/A 3136BXEJ9 1215837.450000 PA USD 1226173.040000 0.602883 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC -143.710000 -0.0000707 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2516088.000000 TWD 78475.690000 USD 2026-04-13 -143.710000 N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 133329.940000 PA USD 35083.920000 0.01725 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.51303 N N N N N N N/A N/A 000000000 1.000000 NC -184.380000 -0.0000907 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20029.000000 USD 337514688.000000 IDR 2026-06-10 -184.380000 N N N N/A N/A 000000000 1.000000 NC -281.550000 -0.0001384 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 25029.530000 USD 239632.240000 NOK 2026-04-07 -281.550000 N N N N/A N/A 000000000 1.000000 NC 229.800000 0.000113 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 295374.980000 PLN 79797.000000 USD 2026-04-15 229.800000 N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 524769.190000 PA USD 501028.790000 0.246345 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.60874 N N N N N N N/A N/A 000000000 1.000000 NC -2326.180000 -0.0011437 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 192088.470000 USD 143374.000000 GBP 2026-05-05 -2326.180000 N N N N/A N/A 000000000 1.000000 NC -127.870000 -0.0000629 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 28332.000000 USD 478669140.000000 IDR 2026-04-13 -127.870000 N N N N/A N/A 000000000 1.000000 NC -17.080000 -0.0000084 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 235571.000000 MXN 13045.680000 USD 2026-06-17 -17.080000 N N N N/A N/A 000000000 1.000000 NC USD 648.910000 0.0003191 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -275.000000 USD 100000.000000 USD 923.910000 N N N MORGAN STANLEY DEAN WITTER CAP I2002-AM3 N/A 61746WWR7 30906.450000 PA USD 31181.170000 0.0153311 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.77303 N N N N N N N/A N/A 000000000 1.000000 NC USD -5361.550000 -0.0026362 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-07-28 0.000000 USD -3675.020000 USD 400000.000000 USD -1686.530000 N N N UMBS PASS THRU POOLS N/A 01F062655 60260000.000000 PA USD 62294473.410000 30.6288 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6.5 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHTT6 247600000.000000 PA 156094.910000 0.0767485 Long DBT NUSS NG N 2 2027-01-14 None 0 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 3700000.000000 PA 1010192.820000 0.49669 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC 3027.730000 0.0014887 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -382.130000 EUR 100000.000000 EUR 3409.860000 N N N N/A N/A 000000000 5100000.000000 NC USD 288807.900000 0.142001 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -122762.100000 N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 467.620000 PA USD 440.680000 0.0002167 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.70309 N N N N N N N/A N/A 000000000 670000.000000 NC USD 19792.470000 0.0097315 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.320000 USD 2026-04-23 XXXX 9767.260000 N N N N/A N/A 000000000 1.000000 NC -534.990000 -0.000263 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 126231628.250000 COP 32557.000000 USD 2026-09-16 -534.990000 N N N N/A N/A 000000000 1.000000 NC -2410.910000 -0.0011854 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1100000.000000 BRL 201177.800000 USD 2026-10-02 -2410.910000 N N N N/A N/A 000000000 1.000000 NC 1857.310000 0.0009132 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2819118.000000 TWD 90000.000000 USD 2026-04-07 1857.310000 N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 221756.630000 PA USD 215943.600000 0.106175 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 2324.890000 0.0011431 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 143374.000000 GBP 192094.780000 USD 2026-04-02 2324.890000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI30CS02 1200000.000000 PA 70056.530000 0.0344453 Long DBT NUSS ZA N 2 2026-06-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -592046.800000 -0.291097 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 0.000000 USD -512084.300000 USD 33650000.000000 USD -79962.500000 N N N N/A N/A 000000000 -900000.000000 NC USD -798.300000 -0.0003925 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 100.280000 USD 2026-06-04 XXXX 1170.450000 N N N FANNIE MAE 2006-16 N/A 31394V6K1 103652.810000 PA USD 7355.400000 0.0036165 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 2.92362 N N N N N N N/A N/A 000000000 1.000000 NC 108.030000 0.0000531 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 79251.740000 USD 249000.000000 ILS 2026-06-10 108.030000 N N N N/A N/A 000000000 1.000000 NC 3301.270000 0.0016232 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 253953.000000 GBP 339433.580000 USD 2026-04-02 3301.270000 N N N N/A N/A 000000000 1.000000 NC 3059.460000 0.0015043 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23144236.080000 INR 247479.000000 USD 2026-04-07 3059.460000 N N N N/A N/A 000000000 1.000000 NC 632.660000 0.0003111 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 600037.790000 THB 18846.000000 USD 2026-04-16 632.660000 N N N N/A N/A 000000000 1.000000 NC -6226.460000 -0.0030614 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 386818.510000 USD 287543.000000 GBP 2026-04-02 -6226.460000 N N N N/A N/A 000000000 1.000000 NC -5965.580000 -0.0029331 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1507911.000000 AUD 1034027.350000 USD 2026-05-04 -5965.580000 N N N N/A N/A 000000000 1.000000 NC -525.970000 -0.0002586 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 130908.000000 USD 2212948123.000000 IDR 2026-04-16 -525.970000 N N N N/A N/A 000000000 -1100000.000000 NC USD -3249.290000 -0.0015976 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.310000 USD 2026-04-06 XXXX -327.410000 N N N N/A N/A 000000000 1.000000 NC 1276.110000 0.0006274 N/A DFE HU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 129055.580000 USD 43381000.000000 HUF 2026-04-15 1276.110000 N N N HSI ASSET SECURI CORP TRUS 2007-NC1 N/A 40430TAC6 558410.260000 PA USD 363167.750000 0.178562 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC 218.030000 0.0001072 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 71831394.000000 KRW 48000.000000 USD 2026-04-27 218.030000 N N N N/A N/A 000000000 1.000000 NC 141.840000 0.0000697 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 270000.000000 NOK 28026.050000 USD 2026-04-07 141.840000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 1249560.970000 PA USD 465012.870000 0.228637 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.09303 N N N N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 150000.020000 PA USD 150292.850000 0.0738957 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 7760000.000000 PA USD 7644158.410000 3.75847 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 2123.360000 PA USD 818.070000 0.0004022 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.91303 N N N N N N N/A N/A 000000000 1.000000 NC -2445.630000 -0.0012025 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 160456.140000 USD 1530000.000000 NOK 2026-04-07 -2445.630000 N N N N/A N/A 000000000 1.000000 NC USD 503744.710000 0.24768 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 110167.190000 USD 0.000000 USD 2080000.000000 USD 393577.520000 N N N N/A N/A 000000000 600000.000000 NC USD 29763.480000 0.0146341 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -23036.520000 N N N N/A N/A 000000000 100000.000000 NC USD 395.420000 0.0001944 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.32500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.330000 USD 2026-08-14 XXXX -834.580000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 200000.000000 PA USD 201150.640000 0.0989014 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC -72.120000 -0.0000355 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 70000.000000 USD 2302510.000000 THB 2026-04-23 -72.120000 N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 160005.870000 PA USD 147979.110000 0.0727581 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.33596 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 196388.660000 PA USD 132557.420000 0.0651756 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.87303 N N N N N N N/A N/A 000000000 1.000000 NC -1039.540000 -0.0005111 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 248000.000000 EUR 285611.310000 USD 2026-04-02 -1039.540000 N N N N/A N/A 000000000 1.000000 NC USD 10421.350000 0.005124 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-17 0.000000 USD -20376.820000 USD 1150000.000000 USD 30798.170000 N N N N/A N/A 000000000 19.000000 NC USD -27706.600000 -0.0136227 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 3942128.890000 USD -27706.600000 N N N N/A N/A 000000000 1.000000 NC 2887.480000 0.0014197 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 190168.300000 USD 1000000.000000 BRL 2026-04-02 2887.480000 N N N GNMA PASS THRU POOLS N/A 21H042646 4020000.000000 PA USD 3884178.910000 1.90977 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1124.950000 0.0005531 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -546.000000 USD 200000.000000 USD 1670.950000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 9431.200000 PA USD 9234.330000 0.0045403 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.44865 N N N N N N N/A N/A 000000000 1.000000 NC 41.430000 0.0000204 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 207000.000000 CNY 30095.220000 USD 2026-04-02 41.430000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PER3 100000.000000 PA USD 98938.960000 0.0486461 Long DBT CORP US N 2 2035-10-22 Floating 4.946 N N N N N N N/A N/A 000000000 1.000000 NC 11257.450000 0.005535 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1046125.340000 PEN 310183.640000 USD 2026-07-24 11257.450000 N N N N/A N/A 000000000 1.000000 NC -3279.170000 -0.0016123 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 707226382.640000 COP 182122.290000 USD 2026-09-16 -3279.170000 N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 5584.770000 PA USD 5547.240000 0.0027275 Long ABS-MBS CORP US N 2 2035-02-19 Floating 4.4912 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1132.760000 -0.000557 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/22/26-10Y LCH 2036-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-04-20 XXXX -472.760000 N N N N/A N/A 000000000 1.000000 NC -985.580000 -0.0004846 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 113918490.000000 COP 30000.000000 USD 2026-04-09 -985.580000 N N N N/A N/A 000000000 1.000000 NC -365.110000 -0.0001795 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR 13.270000 N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 608737.480000 PA USD 108844.450000 0.0535165 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.45303 N N N N N N N/A N/A 000000000 1.000000 NC -682.580000 -0.0003356 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 136977.000000 USD 2313134366.000000 IDR 2026-04-13 -682.580000 N N N N/A N/A 000000000 -900000.000000 NC USD -363.600000 -0.0001788 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 41.400000 N N N N/A N/A 000000000 1.000000 NC -137.760000 -0.0000677 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3777097.920000 INR 40000.000000 USD 2026-04-30 -137.760000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 14400000.000000 PA 4327489.870000 2.12773 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -882.790000 -0.000434 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1940953.960000 TRY 41723.000000 USD 2026-04-22 -882.790000 N N N N/A N/A 000000000 1.000000 NC -685.370000 -0.000337 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 119014101.000000 COP 31184.100000 USD 2026-06-17 -685.370000 N N N N/A N/A 000000000 1.000000 NC -279.490000 -0.0001374 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2314087.300000 THB 70000.000000 USD 2026-04-23 -279.490000 N N N N/A N/A 000000000 1.000000 NC 452271.040000 0.222372 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 512311.670000 EUR 0.000000 EUR 2260000.000000 EUR -60040.630000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2R3GV0 7900000.000000 PA 177061.820000 0.0870575 Long DBT NUSS TR N 2 2028-09-06 Fixed 39.28 N N N N N N N/A N/A 000000000 1.000000 NC 5091.880000 0.0025036 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 934652.050000 ILS 302518.000000 USD 2026-04-13 5091.880000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 883056.720000 PA USD 405911.330000 0.199578 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.92303 N N N N N N N/A N/A 000000000 1.000000 NC 234.310000 0.0001152 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 161000.000000 PLN 43603.990000 USD 2026-04-15 234.310000 N N N N/A N/A 000000000 1.000000 NC -69.640000 -0.0000342 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 680057498.000000 IDR 39915.240000 USD 2026-06-10 -69.640000 N N N N/A N/A 000000000 1.000000 NC 1561.540000 0.0007678 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 85869079.000000 KRW 58664.000000 USD 2026-04-15 1561.540000 N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 1629.050000 PA USD 1599.370000 0.0007864 Long ABS-MBS CORP US N 2 2030-12-15 Floating 4.22699 N N N N N N N/A N/A 000000000 2250000.000000 NC USD 359.550000 0.0001768 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-04-06 XXXX -6390.450000 N N N N/A N/A 000000000 600000.000000 NC USD 36446.580000 0.01792 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -16353.420000 N N N N/A N/A 000000000 1.000000 NC -271.230000 -0.0001334 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 102828.020000 SGD 79890.620000 USD 2026-05-04 -271.230000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 300000.000000 PA USD 305651.460000 0.150282 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC USD -1007.610000 -0.0004954 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -580.000000 USD 200000.000000 USD -427.610000 N N N N/A N/A 000000000 1.000000 NC 4878.460000 0.0023986 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21512054.700000 INR 232061.000000 USD 2026-04-07 4878.460000 N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 111499.730000 PA USD 102381.950000 0.050339 Long ABS-MBS CORP US N 2 2042-05-25 Floating 4.26 N N N N N N N/A N/A 000000000 1.000000 NC 13277.380000 0.0065282 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 836168.070000 USD 4400000.000000 BRL 2026-04-02 13277.380000 N N N GSAMP TRUST 2007-FM1 N/A 3622MAAD3 1127541.550000 PA USD 557354.840000 0.274039 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.13303 N N N N N N N/A N/A 000000000 1.000000 NC -2950.000000 -0.0014505 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 138097.320000 USD 12797183.120000 INR 2026-04-07 -2950.000000 N N N N/A N/A 000000000 1.000000 NC 72.950000 0.0000359 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3071187.790000 THB 93771.000000 USD 2026-06-17 72.950000 N N N N/A N/A 000000000 1.000000 NC -1157.060000 -0.0005689 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2541786.070000 TRY 55608.000000 USD 2026-04-09 -1157.060000 N N N N/A N/A 000000000 1.000000 NC -1842.320000 -0.0009058 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 73967.240000 USD 100000.000000 CAD 2026-06-17 -1842.320000 N N N N/A N/A 000000000 1.000000 NC -8126.480000 -0.0039956 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 252634.750000 USD 4409411.140000 MXN 2026-06-17 -8126.480000 N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QCL4 100000.000000 PA USD 76591.390000 0.0376583 Long DBT CORP MX N 2 2048-02-12 Fixed 6.35 N N N N N N N/A N/A 000000000 1.000000 NC -29143.500000 -0.0143292 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1085802.800000 USD 1588974676.000000 KRW 2026-04-15 -29143.500000 N N N N/A N/A 000000000 1.000000 NC -846.650000 -0.0004163 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1958742.940000 TRY 41702.000000 USD 2026-04-30 -846.650000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPH004 200000.000000 PA USD 70000.000000 0.0344175 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2649.460000 -0.0013027 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 935737.100000 BRL 178000.000000 USD 2026-04-02 -2649.460000 N N N N/A N/A 000000000 1.000000 NC 1392.560000 0.0006847 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 737469.140000 PLN 200000.000000 USD 2026-06-17 1392.560000 N N N N/A N/A 000000000 2400000.000000 NC USD 123230.880000 0.06059 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -88149.120000 N N N N/A N/A 000000000 1.000000 NC 253.730000 0.0001248 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2461742.480000 THB 75000.000000 USD 2026-04-20 253.730000 N N N N/A N/A 000000000 1.000000 NC -10979.100000 -0.0053982 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 190000.000000 USD 5904109.400000 THB 2026-04-02 -10979.100000 N N N UMBS PASS THRU POOLS N/A 01F052656 2030000.000000 PA USD 2036733.210000 1.00142 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418FAW7 857750.850000 PA USD 862939.820000 0.424289 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 100.090000 0.0000492 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 48138.000000 MYR 12000.000000 USD 2026-04-30 100.090000 N N N N/A N/A 000000000 4400000.000000 NC USD 36899.720000 0.0181428 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.5% MAY 30YR N/A 96.590000 USD 2026-05-06 XXXX 31399.720000 N N N N/A N/A 000000000 1.000000 NC -25.520000 -0.0000125 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 30102400.000000 KRW 20000.000000 USD 2026-04-30 -25.520000 N N N N/A N/A 000000000 1.000000 NC -481.140000 -0.0002366 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK -99.790000 CZK 200000.000000 CZK -381.350000 N N N FANNIE MAE-2005-75 N/A 31394FAF2 17727.510000 PA USD 17587.530000 0.0086474 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.17638 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 282315.540000 PA USD 287902.000000 0.141555 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 4.9774 N N N N N N N/A N/A 000000000 1.000000 NC 210.170000 0.0001033 N/A DFE KR N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 43040700.000000 KRW 28832.000000 USD 2026-04-15 210.170000 N N N N/A N/A 000000000 1.000000 NC USD 900.030000 0.0004425 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -22628.470000 USD 9100000.000000 USD 23528.500000 N N N N/A N/A 000000000 1.000000 NC 1796.910000 0.0008835 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 69000.000000 EUR 81550.580000 USD 2026-04-02 1796.910000 N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 462500.850000 PA USD 21108.820000 0.0103787 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24264 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 88854.460000 PA USD 88030.700000 0.0432828 Long ABS-MBS CORP US N 2 2035-06-19 Floating 4.2712 N N N N N N N/A N/A 000000000 1.000000 NC -554.780000 -0.0002728 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 48768.400000 USD 1587899.000000 THB 2026-04-20 -554.780000 N N N N/A N/A 000000000 1.000000 NC -369.090000 -0.0001815 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1497000.000000 ZAR 87980.770000 USD 2026-04-20 -369.090000 N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 3518.050000 PA USD 3504.860000 0.0017233 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.13169 N N N N N N N/A N/A 000000000 1.000000 NC 26.740000 0.0000131 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4129.620000 USD 186110.410000 TRY 2026-04-09 26.740000 N N N N/A N/A 000000000 1.000000 NC -256.400000 -0.0001261 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 12836.000000 USD 43942.760000 PEN 2026-06-17 -256.400000 N N N N/A N/A 000000000 1.000000 NC -218.250000 -0.0001073 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 30040.000000 USD 507204372.000000 IDR 2026-06-10 -218.250000 N N N N/A N/A 000000000 -368056.000000 NC USD -294.080000 -0.0001446 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-13 N/A 1350.000000 USD 2026-07-09 XXXX 1016.860000 N N N N/A N/A 000000000 1.000000 NC -9707.690000 -0.0047731 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1058673469.580000 COP 278323.620000 USD 2026-04-08 -9707.690000 N N N N/A N/A 000000000 1.000000 NC -15.650000 -0.0000077 N/A DFE GB N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 173000.000000 GBP 228958.060000 USD 2026-05-05 -15.650000 N N N UMBS PASS THRU POOLS N/A 01F040644 8550000.000000 PA USD 8069131.070000 3.96742 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 4 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 8708.260000 PA USD 4106.930000 0.0020193 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UL6 1381935.030000 PA USD 408193.210000 0.2007 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.33303 N N N N N N N/A N/A 000000000 1.000000 NC USD 2226.680000 0.0010948 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 0.000000 USD -240.000000 USD 50000.000000 USD 2466.680000 N N N N/A N/A 000000000 1.000000 NC -1998.670000 -0.0009827 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 198007.750000 USD 615000.000000 ILS 2026-06-10 -1998.670000 N N N FHLMC PASS THRU POOLS N/A 3133CRBQ5 560812.210000 PA USD 568274.130000 0.279408 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2796.410000 -0.0013749 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1200000.000000 ZAR 67713.630000 USD 2026-06-17 -2796.410000 N N N N/A N/A 000000000 1.000000 NC -414.700000 -0.0002039 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 38818.250000 USD 2328225.470000 PHP 2026-04-17 -414.700000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 351681.420000 PA USD 276359.450000 0.13588 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.89651 N N N N N N N/A N/A 000000000 1.000000 NC -374.110000 -0.0001839 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10879.810000 USD 39000.000000 PLN 2026-04-15 -374.110000 N N N N/A N/A 000000000 1.000000 NC 81.670000 0.0000402 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2520000.000000 ZAR 148806.890000 USD 2026-04-20 81.670000 N N N N/A N/A 000000000 1.000000 NC -112519.930000 -0.0553236 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3452180.530000 USD 60226741.530000 MXN 2026-06-17 -112519.930000 N N N N/A N/A 000000000 1.000000 NC 105.620000 0.0000519 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 44940707.000000 KRW 30000.000000 USD 2026-04-27 105.620000 N N N N/A N/A 000000000 1.000000 NC 1973.270000 0.0009702 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4604605.270000 INR 50601.170000 USD 2026-04-07 1973.270000 N N N FREDDIE MAC-3289 N/A 31397FNM0 49876.030000 PA USD 49423.380000 0.0243004 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 4.16671 N N N N N N N/A N/A 000000000 1.000000 NC 1024.040000 0.0005035 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 36913.790000 USD 680358.000000 MXN 2026-04-13 1024.040000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 4594.920000 PA USD 4473.510000 0.0021995 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.7413 N N N N N N N/A N/A 000000000 1.000000 NC -10434.880000 -0.0051306 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9683400.090000 NOK 989616.770000 USD 2026-04-07 -10434.880000 N N N N/A N/A 000000000 1.000000 NC -25666.050000 -0.0126194 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2031-01-02 0.000000 BRL 0.000000 BRL 7400000.000000 BRL -25666.050000 N N N N/A N/A 000000000 -15800000.000000 NC USD -6243.690000 -0.0030699 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2026-06-17 XXXX 16350.310000 N N N N/A N/A 000000000 1.000000 NC -290.430000 -0.0001428 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1731785.620000 ZAR 101916.000000 USD 2026-04-20 -290.430000 N N N N/A N/A 000000000 1.000000 NC 683.920000 0.0003363 N/A DFE CA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 40759.890000 CAD 30000.000000 USD 2026-04-13 683.920000 N N N N/A N/A 000000000 1.000000 NC 406.880000 0.0002001 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40000.000000 USD 209301.580000 BRL 2026-04-02 406.880000 N N N N/A N/A 000000000 1.000000 NC 100.440000 0.0000494 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 886000.000000 MXN 49230.430000 USD 2026-06-17 100.440000 N N N N/A N/A 000000000 1.000000 NC -1785.320000 -0.0008778 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 400000.000000 BRL -1785.320000 N N N N/A N/A 000000000 1.000000 NC 1116.520000 0.000549 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 162000.000000 USD 844919.100000 BRL 2026-04-02 1116.520000 N N N N/A N/A 000000000 1.000000 NC 356.300000 0.0001752 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 470000.000000 SEK 50004.270000 USD 2026-04-02 356.300000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 382728.790000 PA USD 360281.440000 0.177143 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.75303 N N N N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 247558.550000 PA USD 44277.630000 0.0217704 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.03303 N N N N N N N/A N/A 000000000 1.000000 NC 228.590000 0.0001124 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 39540.000000 MYR 10000.000000 USD 2026-04-09 228.590000 N N N MORGAN STANLEY REREMIC TRUST 2011-R2 N/A 61760JAA8 85179.520000 PA USD 36634.330000 0.0180123 Long ABS-MBS CORP US N 2 2037-05-26 Floating 5.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 1390.120000 0.0006835 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -580.000000 USD 200000.000000 USD 1970.120000 N N N N/A N/A 000000000 -1900000.000000 NC USD -769.500000 -0.0003783 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 218.500000 N N N N/A N/A 000000000 600000.000000 NC USD 33033.240000 0.0162417 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -18896.760000 N N N N/A N/A 000000000 2900000.000000 NC USD 9048.870000 0.0044491 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.88900 05/04/26-7Y LCH 2033-05-04 0.000000 USD 0.000000 USD N/A USD N/A 3.890000 USD 2026-04-30 XXXX -2674.530000 N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 900000.000000 PA USD 905850.000000 0.445387 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 493.790000 0.0002428 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-20 0.000000 USD -413.750000 USD 100000.000000 USD 907.540000 N N N N/A N/A 000000000 1.000000 NC -421.120000 -0.0002071 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30000.000000 USD 44478770.000000 KRW 2026-04-16 -421.120000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UC9 4720000.000000 PA USD 4677620.310000 2.29988 Long DBT UST US N 2 2026-06-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -559.340000 -0.000275 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1304523.500000 TRY 27815.000000 USD 2026-04-29 -559.340000 N N N N/A N/A 000000000 1.000000 NC 195.750000 0.0000962 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 59605.920000 USD 222000.000000 PLN 2026-04-15 195.750000 N N N N/A N/A 000000000 1.000000 NC -5026.980000 -0.0024717 N/A DFE NO N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 698693.000000 USD 6716698.740000 NOK 2026-04-07 -5026.980000 N N N TCW CLO AMR LTD 2019-1A N/A 87241EAQ8 500000.000000 PA USD 500625.010000 0.246146 Long ABS-CBDO CORP KY N 2 2034-08-16 Floating 4.95434 N N N N N N N/A N/A 000000000 1.000000 NC 502.050000 0.0002468 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 111214.000000 USD 5075962.660000 TRY 2026-04-20 502.050000 N N N N/A N/A 000000000 1.000000 NC -150.680000 -0.0000741 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-15 0.000000 EUR -377.360000 EUR 100000.000000 EUR 226.680000 N N N N/A N/A 000000000 1.000000 NC -81770.240000 -0.0402047 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3500000.000000 BRL 593925.000000 USD 2026-04-02 -81770.240000 N N N N/A N/A 000000000 1.000000 NC USD -55308.600000 -0.027194 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-17 0.000000 USD -152782.990000 USD 9190000.000000 USD 97474.390000 N N N N/A N/A 000000000 1.000000 NC -2692.700000 -0.0013239 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 200000.000000 BRL 35918.460000 USD 2026-04-02 -2692.700000 N N N N/A N/A 000000000 1.000000 NC 50.900000 0.000025 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 89820.100000 USD 619000.000000 CNY 2026-04-02 50.900000 N N N N/A N/A 000000000 1.000000 NC USD 4957.740000 0.0024376 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.46 Y Single Leg Swap 2031-06-20 3950.000000 USD 0.000000 USD 100000.000000 USD 1007.740000 N N N N/A N/A 000000000 1.000000 NC -84.280000 -0.0000414 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 14910228.000000 KRW 2026-04-17 -84.280000 N N N N/A N/A 000000000 600000.000000 NC USD 35548.140000 0.0174783 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -17311.860000 N N N N/A N/A 000000000 -4000000.000000 NC USD -7414.400000 -0.0036455 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% JUN 30YR N/A 101.380000 USD 2026-06-04 XXXX 4148.100000 N N N UMBS PASS THRU POOLS N/A 01F030660 310000.000000 PA USD 271872.350000 0.133674 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 1372.940000 0.000675 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 750000.000000 SEK 80598.430000 USD 2026-04-02 1372.940000 N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 115168.210000 PA USD 112452.070000 0.0552902 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.45303 N N N N N N N/A N/A 000000000 2300000.000000 NC USD 147619.290000 0.0725812 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -37990.710000 N N N N/A N/A 000000000 1.000000 NC 1648.880000 0.0008107 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 348240.540000 ILS 112638.000000 USD 2026-06-10 1648.880000 N N N N/A N/A 000000000 1.000000 NC -318.380000 -0.0001565 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1232486.850000 USD 4531237921.910000 COP 2026-04-10 -318.380000 N N N N/A N/A 000000000 1.000000 NC USD -2002.930000 -0.0009848 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-09-17 0.000000 USD -11101.920000 USD 1060000.000000 USD 9098.990000 N N N N/A N/A 000000000 1.000000 NC 1711.660000 0.0008416 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 253885.330000 ILS 82641.100000 USD 2026-06-17 1711.660000 N N N N/A N/A 000000000 1.000000 NC -931.760000 -0.0004581 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 109239.000000 USD 3567898.670000 THB 2026-04-17 -931.760000 N N N N/A N/A 000000000 1900000.000000 NC USD 2732.200000 0.0013434 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX -60.800000 N N N N/A N/A 000000000 1.000000 NC -30035.510000 -0.0147678 N/A DFE CO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2798670050.000000 COP 731000.000000 USD 2026-04-10 -30035.510000 N N N N/A N/A 000000000 1.000000 NC USD 42722.550000 0.0210058 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -56891.620000 USD 9050000.000000 USD 99614.170000 N N N N/A N/A 000000000 1.000000 NC -412.060000 -0.0002026 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 316148.350000 PLN 84751.000000 USD 2026-04-15 -412.060000 N N N GNMA PASS THRU POOLS N/A 3618N5AY5 6199998.440000 PA USD 5692510.150000 2.79888 Long ABS-MBS USGSE US N 2 2054-11-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -20360.180000 -0.0100107 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 436278.110000 USD 1544000.000000 PLN 2026-04-15 -20360.180000 N N N N/A N/A 000000000 -1300000.000000 NC USD -5390.580000 -0.0026504 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% APR 30YR N/A 102.330000 USD 2026-04-06 XXXX -3054.640000 N N N N/A N/A 000000000 1.000000 NC -942.880000 -0.0004636 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70000.000000 USD 240362.180000 PEN 2026-04-09 -942.880000 N N N N/A N/A 000000000 1.000000 NC 216.920000 0.0001067 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 112062.010000 PEN 31982.080000 USD 2026-12-28 216.920000 N N N N/A N/A 000000000 686.000000 NC USD -899367.200000 -0.442199 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 74208585.770000 USD -899367.200000 N N N N/A N/A 000000000 200000.000000 NC USD 294.800000 0.0001449 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-07 XXXX -1325.200000 N N N N/A N/A 000000000 1.000000 NC -63.030000 -0.000031 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10000.000000 USD 13807.510000 CAD 2026-04-27 -63.030000 N N N N/A N/A 000000000 1.000000 NC 454.970000 0.0002237 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 100000.000000 SGD 78233.610000 USD 2026-04-02 454.970000 N N N N/A N/A 000000000 130700000.000000 NC USD 810235.440000 0.398375 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX 153794.690000 N N N N/A N/A 000000000 1.000000 NC 16722.540000 0.0082221 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2471334.350000 USD 12887761.500000 BRL 2026-04-02 16722.540000 N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 10528.950000 PA USD 7915.730000 0.003892 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.43303 N N N N N N N/A N/A 000000000 1.000000 NC -1212.350000 -0.0005961 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 151399760.000000 COP 40000.000000 USD 2026-04-06 -1212.350000 N N N N/A N/A 000000000 1.000000 NC -3304.570000 -0.0016248 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 339423.420000 USD 253953.000000 GBP 2026-05-05 -3304.570000 N N N N/A N/A 000000000 1.000000 NC -1138.160000 -0.0005596 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 109000.000000 USD 376780.300000 PEN 2026-06-17 -1138.160000 N N N N/A N/A 000000000 1.000000 NC -30.940000 -0.0000152 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46000.000000 PLN 12360.400000 USD 2026-04-15 -30.940000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 20700000.000000 PA 1202272.880000 0.591132 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N N/A N/A 000000000 1.000000 NC 126075.730000 0.0619887 N/A DCR N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 141489.430000 EUR 0.000000 EUR 630000.000000 EUR -15413.700000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 720000.000000 PA 224400.240000 0.110333 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N BEAR STEARNS ALT-A TRUST 2006-7 N/A 073875AA4 12401.400000 PA USD 11465.300000 0.0056372 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.13303 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 1870.230000 PA USD 1786.610000 0.0008784 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.20236 N N N N N N N/A N/A 000000000 1.000000 NC -16717.270000 -0.0082195 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 417107.000000 USD 37913149.320000 INR 2026-04-07 -16717.270000 N N N FNMA PASS THRU POOLS N/A 3140QVQA5 367525.270000 PA USD 359513.730000 0.176765 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -2179.050000 -0.0010714 N/A DFE AU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 71097.460000 USD 100000.000000 AUD 2026-06-17 -2179.050000 N N N N/A N/A 000000000 1.000000 NC 1199.010000 0.0005895 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 95328.880000 USD 500000.000000 BRL 2026-04-02 1199.010000 N N N N/A N/A 000000000 1.000000 NC -16497.540000 -0.0081115 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 417343.000000 USD 37956302.490000 INR 2026-04-07 -16497.540000 N N N N/A N/A 000000000 1.000000 NC -220.690000 -0.0001085 N/A DFE NO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 20864.090000 USD 200000.000000 NOK 2026-06-17 -220.690000 N N N N/A N/A 000000000 1.000000 NC USD -1274.820000 -0.0006268 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -675.000000 USD 200000.000000 USD -599.820000 N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 13177.860000 PA USD 9348.610000 0.0045965 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.18208 N N N N N N N/A N/A 000000000 1.000000 NC 1864.410000 0.0009167 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 6458174.030000 INR 70067.310000 USD 2026-04-07 1864.410000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 806364.460000 PA USD 370750.170000 0.18229 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.00303 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 18580000.000000 PA USD 18326587.750000 9.01079 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 15560.800000 PA USD 8606.190000 0.0042315 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRX85 7900000.000000 PA 1477005.690000 0.726212 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 492.450000 0.0002421 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-09 0.000000 EUR -204.170000 EUR 100000.000000 EUR 696.620000 N N N N/A N/A 000000000 12500000.000000 NC USD 29943.630000 0.0147226 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-06-17 XXXX 7443.630000 N N N N/A N/A 000000000 1.000000 NC -7951.310000 -0.0039095 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 694859000.000000 COP 181000.000000 USD 2026-04-10 -7951.310000 N N N N/A N/A 000000000 1.000000 NC 73.050000 0.0000359 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 32066.400000 MYR 8000.000000 USD 2026-04-30 73.050000 N N N N/A N/A 000000000 -3000000.000000 NC USD -11109.000000 -0.0054621 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.58900 05/04/26-7Y LCH 2033-05-04 0.000000 USD 0.000000 USD N/A USD N/A 3.590000 USD 2026-04-30 XXXX 499.960000 N N N N/A N/A 000000000 1.000000 NC 2743.170000 0.0013488 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 355170.880000 PLN 98418.000000 USD 2026-04-15 2743.170000 N N N N/A N/A 000000000 1.000000 NC USD 2864.470000 0.0014084 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -308.000000 USD 70000.000000 USD 3172.470000 N N N N/A N/A 000000000 -2300000.000000 NC USD -3835.710000 -0.0018859 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 96.100000 USD 2026-06-04 XXXX 7394.760000 N N N N/A N/A 000000000 1.000000 NC 319.580000 0.0001571 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7838.000000 USD 31117643.800000 COP 2026-09-16 319.580000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 197345.990000 PA USD 180715.800000 0.088854 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC -13492.640000 -0.006634 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4500000.000000 BRL 837708.030000 USD 2026-07-02 -13492.640000 N N N N/A N/A 000000000 1.000000 NC -16698.600000 -0.0082103 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 416312.000000 USD 37839638.460000 INR 2026-04-07 -16698.600000 N N N N/A N/A 000000000 3500000.000000 NC USD 24.850000 0.0000122 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44900 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2026-04-06 XXXX -4811.510000 N N N N/A N/A 000000000 1.000000 NC 1342.210000 0.0006599 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 555000.000000 SEK 59969.070000 USD 2026-04-02 1342.210000 N N N N/A N/A 000000000 1.000000 NC -659.520000 -0.0003243 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1404446.180000 ZAR 82228.000000 USD 2026-04-20 -659.520000 N N N N/A N/A 000000000 1.000000 NC 794.430000 0.0003906 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6491870.000000 INR 70000.000000 USD 2026-04-16 794.430000 N N N N/A N/A 000000000 1.000000 NC -1902.230000 -0.0009353 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 697479233.800000 COP 184868.000000 USD 2026-06-17 -1902.230000 N N N N/A N/A 000000000 1.000000 NC -1827.820000 -0.0008987 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50000.000000 USD 1587899.500000 THB 2026-04-09 -1827.820000 N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 5009.550000 PA USD 4864.890000 0.002392 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.95 N N N N N N N/A N/A 000000000 1.000000 NC 2114.260000 0.0010395 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 305548.000000 USD 48682137.000000 JPY 2026-05-07 2114.260000 N N N N/A N/A 000000000 1.000000 NC 565.000000 0.0002778 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6064610.000000 TWD 190000.000000 USD 2026-04-16 565.000000 N N N N/A N/A 000000000 1.000000 NC 2717.810000 0.0013363 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 318884.780000 PLN 88618.000000 USD 2026-04-15 2717.810000 N N N N/A N/A 000000000 1.000000 NC -1049.010000 -0.0005158 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 500000.000000 BRL 91491.310000 USD 2026-10-02 -1049.010000 N N N N/A N/A 000000000 1.000000 NC -1400.320000 -0.0006885 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 42783.000000 USD 144007.580000 PEN 2026-04-06 -1400.320000 N N N N/A N/A 000000000 1.000000 NC 433.380000 0.0002131 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1004385552.000000 IDR 59534.000000 USD 2026-04-02 433.380000 N N N N/A N/A 000000000 1.000000 NC 3466.790000 0.0017045 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46023730.200000 INR 489510.000000 USD 2026-04-07 3466.790000 N N N N/A N/A 000000000 1.000000 NC -369989.800000 -0.181916 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2030-09-17 0.000000 GBP -73676.690000 GBP 14200000.000000 GBP -296313.110000 N N N N/A N/A 000000000 1.000000 NC 335.790000 0.0001651 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 57538.500000 USD 212719834.500000 COP 2026-04-08 335.790000 N N N N/A N/A 000000000 2300000.000000 NC USD 7957.080000 0.0039123 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.21900 06/08/26-10Y LCH 2036-06-08 0.000000 USD 0.000000 USD N/A USD N/A 4.220000 USD 2026-06-04 XXXX -3312.920000 N N N N/A N/A 000000000 1.000000 NC -769.330000 -0.0003783 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 203043.120000 USD 175000.000000 EUR 2026-04-02 -769.330000 N N N N/A N/A 000000000 1800000.000000 NC USD 101932.200000 0.0501179 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -43327.800000 N N N N/A N/A 000000000 24400000.000000 NC USD 37651.640000 0.0185125 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08200 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2027-01-04 XXXX 19351.640000 N N N N/A N/A 000000000 1.000000 NC 516.610000 0.000254 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 655873.050000 USD 3400000.000000 BRL 2026-04-02 516.610000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 9522.570000 PA USD 9435.380000 0.0046392 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.15638 N N N N N N N/A N/A 000000000 1.000000 NC -1442.890000 -0.0007094 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 520346782.500000 COP 137895.000000 USD 2026-06-17 -1442.890000 N N N N/A N/A 000000000 1.000000 NC -957.390000 -0.0004707 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 242352463.710000 COP 63556.190000 USD 2026-07-13 -957.390000 N N N N/A N/A 000000000 1.000000 NC 3530.170000 0.0017357 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 28165801.980000 INR 300981.000000 USD 2026-04-07 3530.170000 N N N UMBS PASS THRU POOLS N/A 01F032666 -7210000.000000 PA USD -6595484.630000 -3.24286 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -7854.640000 -0.003862 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 69367.670000 USD 2026-04-02 -7854.640000 N N N N/A N/A 000000000 -200000.000000 NC USD -575.060000 -0.0002827 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69500 04/29/26-10Y LCH 2036-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2026-04-27 XXXX 129.940000 N N N N/A N/A 000000000 100000.000000 NC USD 348.540000 0.0001714 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2026-08-10 XXXX -901.460000 N N N N/A N/A 000000000 -400000.000000 NC USD -2726.840000 -0.0013407 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.5% APR 30YR N/A 101.110000 USD 2026-04-06 XXXX -1476.840000 N N N N/A N/A 000000000 1.000000 NC 319.580000 0.0001571 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7838.000000 USD 31117643.800000 COP 2026-09-16 319.580000 N N N N/A N/A 000000000 1.000000 NC -495.150000 -0.0002435 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24000.000000 USD 35347715.000000 KRW 2026-04-13 -495.150000 N N N N/A N/A 000000000 1.000000 NC USD 2839.210000 0.001396 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -600.000000 USD 300000.000000 USD 3439.210000 N N N N/A N/A 000000000 1.000000 NC -432.330000 -0.0002126 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 79639.530000 USD 249000.000000 ILS 2026-04-06 -432.330000 N N N N/A N/A 000000000 1.000000 NC 469.750000 0.000231 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 177000.000000 GBP 234747.030000 USD 2026-04-02 469.750000 N N N N/A N/A 000000000 1.000000 NC 60.500000 0.0000297 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12932.000000 USD 89267.140000 CNY 2026-05-07 60.500000 N N N N/A N/A 000000000 1.000000 NC -42913.910000 -0.0210998 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 14500000.000000 BRL -42913.910000 N N N N/A N/A 000000000 -8.000000 NC 80316.690000 0.03949 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-06-15 -6568665.130000 JPY 80316.690000 N N N N/A N/A 000000000 1.000000 NC USD 282023.010000 0.138665 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 333411.420000 USD 0.000000 USD 5100000.000000 USD -51388.410000 N N N N/A N/A 000000000 1.000000 NC 1479.770000 0.0007276 N/A DCR NL N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTL FIN NV SR UNSEC Y Single Leg Swap 2028-06-20 790.880000 EUR 0.000000 EUR 100000.000000 EUR 688.890000 N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 906386.680000 PA USD 292281.700000 0.143709 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.95303 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 671.490000 PA USD 473.550000 0.0002328 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1573.300000 0.0007736 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 55255.020000 USD 1018875.000000 MXN 2026-04-10 1573.300000 N N N N/A N/A 000000000 1.000000 NC 673.160000 0.000331 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 100000.000000 AUD 69591.570000 USD 2026-06-17 673.160000 N N N N/A N/A 000000000 1.000000 NC -519.150000 -0.0002553 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 92773.980000 USD 1662686.000000 MXN 2026-06-10 -519.150000 N N N N/A N/A 000000000 2600000.000000 NC USD 23085.400000 0.0113506 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65100 06/26/26-7Y LCH 2033-06-26 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-06-24 XXXX 1009.930000 N N N MORGAN STANLEY RE-REMIC TRUST 2010-R4 N/A 61759FAU5 73134.840000 PA USD 70090.190000 0.0344618 Long ABS-MBS CORP US N 2 2037-02-26 Floating 3.26393 N N N N N N N/A N/A 000000000 1.000000 NC 6142.710000 0.0030202 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3597000.000000 MXN 205601.600000 USD 2026-06-17 6142.710000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAB5 37773.330000 PA USD 22770.890000 0.011196 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC 18250.120000 0.0089732 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 679189610.000000 CLP 751573.670000 USD 2026-04-06 18250.120000 N N N N/A N/A 000000000 1.000000 NC 56444.120000 0.0277524 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1518223729.000000 CLP 1696377.270000 USD 2026-09-16 56444.120000 N N N N/A N/A 000000000 1.000000 NC 889.330000 0.0004373 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 1736062.850000 CZK 82661.000000 USD 2026-04-15 889.330000 N N N N/A N/A 000000000 1.000000 NC USD -713.950000 -0.000351 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -172.500000 USD 50000.000000 USD -541.450000 N N N N/A N/A 000000000 1.000000 NC USD -67666.150000 -0.03327 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 0.000000 USD -64040.550000 USD 3710000.000000 USD -3625.600000 N N N N/A N/A 000000000 1.000000 NC 4454.820000 0.0021903 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 188600.960000 USD 1000000.000000 BRL 2026-04-02 4454.820000 N N N N/A N/A 000000000 1.000000 NC 3130.570000 0.0015392 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -349.380000 EUR 100000.000000 EUR 3479.950000 N N N N/A N/A 000000000 -1300000.000000 NC USD -4088.890000 -0.0020104 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.270000 USD 2026-04-06 XXXX -635.760000 N N N N/A N/A 000000000 1.000000 NC -971.180000 -0.0004775 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -589.040000 N N N N/A N/A 000000000 1.000000 NC -25.250000 -0.0000124 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15191.000000 USD 22802948.000000 KRW 2026-04-20 -25.250000 N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 153841.670000 PA USD 154024.390000 0.0757305 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 12130.390000 PA USD 12102.470000 0.0059505 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -17542.770000 -0.0086254 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 406980.000000 USD 36876050.820000 INR 2026-04-07 -17542.770000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 66263.760000 PA USD 55614.850000 0.0273446 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC USD 4864.440000 0.0023917 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-25 0.000000 USD 0.000000 USD 2000000.000000 USD 4864.440000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 1089348.740000 PA USD 864452.800000 0.425033 Long ABS-MBS CORP US N 2 2037-10-25 Floating 4.69303 N N N N N N N/A N/A 000000000 -1950000.000000 NC USD -62398.050000 -0.0306798 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 17.000000 USD 2026-08-19 XXXX -21104.850000 N N N N/A N/A 000000000 1.000000 NC -59.210000 -0.0000291 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 206000.000000 CNY 29849.390000 USD 2026-04-02 -59.210000 N N N N/A N/A 000000000 1.000000 NC 3890.310000 0.0019128 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4673924.270000 THB 145761.000000 USD 2026-04-16 3890.310000 N N N MDPK-2021-39A N/A 55821LAJ3 500000.000000 PA USD 500684.670000 0.246176 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 4.9192 N N N N N N N/A N/A 000000000 1.000000 NC 1.580000 0.0000008 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5058.000000 ZAR 300.090000 USD 2026-04-20 1.580000 N N N N/A N/A 000000000 1.000000 NC -8020.390000 -0.0039435 N/A DFE PH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 398470.930000 USD 23671165.600000 PHP 2026-04-17 -8020.390000 N N N N/A N/A 000000000 1.000000 NC -831.600000 -0.0004089 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 124643.510000 USD 99000.000000 CHF 2026-04-02 -831.600000 N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 86867.680000 PA USD 68325.380000 0.0335941 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.83849 N N N N N N N/A N/A 000000000 1.000000 NC -137.230000 -0.0000675 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 26063.980000 USD 178574.390000 CNY 2026-04-02 -137.230000 N N N N/A N/A 000000000 1.000000 NC -0.670000 -0.0000003 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 22191.000000 USD 82084509.000000 COP 2026-04-30 -0.670000 N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 10976.440000 PA USD 9381.060000 0.0046125 Long ABS-MBS CORP US N 2 2047-04-20 Floating 4.20952 N N N N N N N/A N/A 000000000 1.000000 NC -2357.550000 -0.0011592 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 500000.000000 BRL 92220.300000 USD 2026-07-02 -2357.550000 N N N N/A N/A 000000000 1.000000 NC 30.950000 0.0000152 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4659.000000 USD 17317503.000000 COP 2026-04-24 30.950000 N N N N/A N/A 000000000 1.000000 NC 2166.320000 0.0010651 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 123000.000000 CAD 90589.520000 USD 2026-04-02 2166.320000 N N N N/A N/A 000000000 1.000000 NC USD 4314.930000 0.0021216 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 0.000000 USD -358.750000 USD 100000.000000 USD 4673.680000 N N N N/A N/A 000000000 1.000000 NC 11.460000 0.0000056 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 320545.000000 TWD 2026-04-17 11.460000 N N N N/A N/A 000000000 1.000000 NC -103.050000 -0.0000507 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 13419.590000 USD 2100000.000000 JPY 2026-06-17 -103.050000 N N N N/A N/A 000000000 1.000000 NC -235493.340000 -0.115787 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (09/16/26) LCH N/A N/A 2036-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2036-09-16 0.000000 GBP -60759.640000 GBP 4500000.000000 GBP -174733.700000 N N N FREDDIE MAC 3360 N/A 31397KE31 61761.780000 PA USD 61911.770000 0.0304407 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 4.50671 N N N N N N N/A N/A 000000000 -30300000.000000 NC USD -18652.680000 -0.0091711 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-05-20 XXXX 37782.320000 N N N N/A N/A 000000000 -2.000000 NC 3667.300000 0.0018031 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A EUIB 2027-06-14 -561569.830000 EUR 3667.300000 N N N N/A N/A 000000000 1.000000 NC -3565.490000 -0.0017531 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 190000.000000 USD 259290.850000 CAD 2026-04-06 -3565.490000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBE9 200000.000000 PA USD 200970.000000 0.0988126 Long DBT NUSS MX N 2 2032-07-02 Fixed 5.85 N N N N N N N/A N/A 000000000 1.000000 NC USD 1253.750000 0.0006164 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -270.000000 USD 100000.000000 USD 1523.750000 N N N N/A N/A 000000000 1.000000 NC -2127.400000 -0.001046 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 48829625.000000 JPY 305548.000000 USD 2026-04-02 -2127.400000 N N N N/A N/A 000000000 -2300000.000000 NC USD -13107.930000 -0.0064449 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 95.210000 USD 2026-06-04 XXXX -2326.680000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 241241.910000 PA USD 122373.000000 0.0601682 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.31589 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-2 N/A 126384BX3 66147.880000 PA USD 33710.040000 0.0165745 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 N N N N N N N/A N/A 000000000 100000.000000 NC USD 344.140000 0.0001692 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.28800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2026-08-11 XXXX -905.860000 N N N N/A N/A 000000000 1.000000 NC USD -49.020000 -0.0000241 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-04-04 0.000000 USD -3829.630000 USD 470000.000000 USD 3780.610000 N N N N/A N/A 000000000 1.000000 NC -138.690000 -0.0000682 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 580000.000000 CNY 84070.000000 USD 2026-04-02 -138.690000 N N N N/A N/A 000000000 1.000000 NC -490.660000 -0.0002412 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1887442.180000 TRY 41270.000000 USD 2026-04-16 -490.660000 N N N N/A N/A 000000000 1.000000 NC -6951.120000 -0.0034177 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 236000.000000 USD 3918178.910000 ZAR 2026-08-19 -6951.120000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TE7 2700000.000000 PA USD 2677161.560000 1.3163 Long DBT UST US N 2 2026-06-25 None 0 N N N N N N N/A N/A 000000000 2600000.000000 NC USD 7490.600000 0.003683 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-03 XXXX -26367.180000 N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 86878.090000 PA USD 89467.010000 0.043989 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHUB3 181400000.000000 PA 113667.460000 0.0558878 Long DBT NUSS US N 2 2027-01-28 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -108.180000 -0.0000532 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 5879.000000 USD 20158.500000 PEN 2026-06-17 -108.180000 N N N N/A N/A 000000000 1.000000 NC 1175.670000 0.0005781 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 700000.000000 SEK 75403.010000 USD 2026-06-17 1175.670000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2PJ5W7 8100000.000000 PA 181635.540000 0.0893063 Long DBT NUSS TR N 2 2028-05-17 Floating 39.64 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2W14X7 400000.000000 PA 462386.320000 0.227345 Long DBT NUSS RO N 2 2039-07-11 Fixed 6.75 N N N N N N N/A N/A 000000000 1700000.000000 NC USD 2587.400000 0.0012722 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 358.200000 N N N N/A N/A 000000000 1.000000 NC 7083.470000 0.0034828 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 29855148.750000 INR 322375.000000 USD 2026-04-07 7083.470000 N N N N/A N/A 000000000 1600000.000000 NC USD 82153.920000 0.0403933 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -58726.080000 N N N N/A N/A 000000000 2400000.000000 NC USD 14087.520000 0.0069265 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2026-08-03 XXXX -33552.480000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 2600000.000000 PA 150042.110000 0.0737725 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N N/A N/A 000000000 1.000000 NC 20.220000 0.0000099 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13714.480000 THB 436.630000 USD 2026-04-20 20.220000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Z7LJ3 9503900000.000000 PA 2356358.730000 1.15857 Long DBT NUSS CO N 2 2035-01-24 Fixed 11.75 N N N N N N N/A N/A 000000000 1.000000 NC -3948.630000 -0.0019415 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 327013.000000 USD 30360213.930000 INR 2026-04-24 -3948.630000 N N N N/A N/A 000000000 1.000000 NC USD 4333.550000 0.0021307 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -545.000000 USD 200000.000000 USD 4878.550000 N N N N/A N/A 000000000 1.000000 NC USD 110725.660000 0.0544414 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2055-12-17 41498.900000 USD 0.000000 USD 1630000.000000 USD 69226.760000 N N N N/A N/A 000000000 1.000000 NC -3692.380000 -0.0018155 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 404553.440000 USD 581000.000000 AUD 2026-04-02 -3692.380000 N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 59137.890000 PA USD 22796.340000 0.0112085 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 350.350000 0.0001723 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 51509876.000000 KRW 34605.000000 USD 2026-04-16 350.350000 N N N N/A N/A 000000000 1.000000 NC -3236.670000 -0.0015914 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 125129.910000 USD 11542145.570000 INR 2026-04-07 -3236.670000 N N N N/A N/A 000000000 32.000000 NC -14473.170000 -0.0071161 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 2379031.700000 AUD -14473.170000 N N N N/A N/A 000000000 1.000000 NC USD 1584.350000 0.000779 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -276.250000 USD 100000.000000 USD 1860.600000 N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 150598.150000 PA USD 148932.070000 0.0732267 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.29303 N N N N N N N/A N/A 000000000 200000.000000 NC USD 344.100000 0.0001692 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.03800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.040000 USD 2026-08-11 XXXX -1275.900000 N N N N/A N/A 000000000 1.000000 NC -859.080000 -0.0004224 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 493312.190000 BRL 94377.690000 USD 2026-04-02 -859.080000 N N N N/A N/A 000000000 1.000000 NC 6850.390000 0.0033682 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 572108.990000 USD 54408137.060000 INR 2026-04-24 6850.390000 N N N PRPM 2024-NQM3 TRUST N/A 69381FAA8 505290.450000 PA USD 504668.540000 0.248135 Long ABS-MBS CORP US N 2 2069-08-25 Fixed 5.228 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2024-1 N/A 33843VAC7 80422.770000 PA USD 80459.470000 0.0395602 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.64 N N N N N N N/A N/A 000000000 1.000000 NC -117.350000 -0.0000577 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24000.000000 USD 764326.000000 TWD 2026-04-13 -117.350000 N N N N/A N/A 000000000 1.000000 NC 585.980000 0.0002881 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 51478.380000 USD 2331301.400000 TRY 2026-04-09 585.980000 N N N N/A N/A 000000000 -400000.000000 NC USD -1931.120000 -0.0009495 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 97.380000 USD 2026-06-04 XXXX 381.380000 N N N N/A N/A 000000000 1.000000 NC -3391.810000 -0.0016677 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1700000.000000 BRL 311245.290000 USD 2026-10-02 -3391.810000 N N N N/A N/A 000000000 1.000000 NC -510.110000 -0.0002508 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1883315.180000 TRY 41270.000000 USD 2026-04-14 -510.110000 N N N N/A N/A 000000000 100000.000000 NC USD 377.800000 0.0001858 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.320000 USD 2026-08-12 XXXX -827.200000 N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 129184.620000 PA USD 120494.240000 0.0592444 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.90637 N N N N N N N/A N/A 000000000 1.000000 NC -1173.140000 -0.0005768 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 49401.860000 USD 4566806.740000 INR 2026-04-07 -1173.140000 N N N N/A N/A 000000000 1.000000 NC USD 524.110000 0.0002577 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2026-12-20 1198.310000 USD 0.000000 USD 100000.000000 USD -674.200000 N N N N/A N/A 000000000 1.000000 NC 124.230000 0.0000611 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 27658263.000000 CLP 30000.000000 USD 2026-04-30 124.230000 N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 217963.250000 PA USD 116291.000000 0.0571778 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.20305 N N N N N N N/A N/A 000000000 1.000000 NC USD -910.310000 -0.0004476 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -696.000000 USD 200000.000000 USD -214.310000 N N N N/A N/A 000000000 1.000000 NC -544.570000 -0.0002678 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19855.100000 USD 29038640.000000 KRW 2026-04-15 -544.570000 N N N N/A N/A 000000000 1.000000 NC -2203.130000 -0.0010832 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 79152.650000 USD 7286397.200000 INR 2026-04-07 -2203.130000 N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 416547.760000 PA USD 419661.450000 0.206339 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.45303 N N N N N N N/A N/A 000000000 1.000000 NC 2587.460000 0.0012722 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 199000.000000 USD 1044192.800000 BRL 2026-04-02 2587.460000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 52269.690000 PA USD 49114.840000 0.0241487 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.2876 N N N N N N N/A N/A 000000000 -1900000.000000 NC USD -404.510000 -0.0001989 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX 3009.550000 N N N N/A N/A 000000000 1.000000 NC USD 79202.890000 0.0389423 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-09-17 39708.990000 USD 0.000000 USD 8880000.000000 USD 39493.900000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4R9 700000.000000 PA USD 693054.580000 0.34076 Long DBT CORP US N 2 2030-07-17 Fixed 5.033 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-2A N/A 379924AC7 580027.740000 PA USD 584972.530000 0.287618 Long ABS-O CORP US N 2 2030-06-17 Fixed 5.58 N N N N N N BEIGNET INVESTOR LLC N/A 076912AA2 900000.000000 PA USD 926037.410000 0.455313 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N N/A N/A 000000000 2400000.000000 NC USD 958.800000 0.0004714 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -16881.580000 N N N UMBS PASS THRU POOLS N/A 01F060667 26480000.000000 PA USD 26953533.370000 13.2525 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 -46.420000 -0.0000228 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 9926.550000 USD 31000.000000 ILS 2026-06-10 -46.420000 N N N N/A N/A 000000000 1.000000 NC 296.600000 0.0001458 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2874043.000000 TWD 90000.000000 USD 2026-04-23 296.600000 N N N N/A N/A 000000000 1.000000 NC 7419.680000 0.0036481 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2285173.310000 PEN 661602.000000 USD 2026-06-17 7419.680000 N N N N/A N/A 000000000 1.000000 NC -504.370000 -0.000248 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 100000.000000 USD 369447.180000 PLN 2026-06-17 -504.370000 N N N N/A N/A 000000000 1.000000 NC 2080.810000 0.0010231 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 100000.000000 AUD 70999.220000 USD 2026-06-17 2080.810000 N N N N/A N/A 000000000 1.000000 NC 1133.550000 0.0005573 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 232633.500000 USD 37100000.000000 JPY 2026-04-02 1133.550000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 140291.050000 PA USD 131617.680000 0.0647136 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 2430.270000 0.0011949 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 494602.000000 USD 46708976.380000 INR 2026-04-24 2430.270000 N N N N/A N/A 000000000 1.000000 NC 533.350000 0.0002622 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 320325.990000 THB 10259.460000 USD 2026-04-20 533.350000 N N N N/A N/A 000000000 -4000000.000000 NC USD -21721.200000 -0.0106798 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% JUN 30YR N/A 102.170000 USD 2026-06-04 XXXX -14377.450000 N N N FREDDIE MAC 3368 N/A 31397KL82 65093.160000 PA USD 65244.570000 0.0320793 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 4.50671 N N N N N N N/A N/A 000000000 1.000000 NC 109.570000 0.0000539 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 34092.000000 USD 126515412.000000 COP 2026-04-30 109.570000 N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 4357.440000 PA 5760.710000 0.0028324 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 4.0019 N N N N N N N/A N/A 000000000 1.000000 NC -1037.640000 -0.0005102 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 85456.620000 USD 2780309.860000 THB 2026-04-20 -1037.640000 N N N N/A N/A 000000000 1.000000 NC -227.160000 -0.0001117 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 104773.660000 BRL 20000.000000 USD 2026-04-02 -227.160000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 18566.770000 PA USD 16938.340000 0.0083282 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.1312 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 10751.270000 PA USD 10197.260000 0.0050138 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.45303 N N N N N N N/A N/A 000000000 1.000000 NC 2931.340000 0.0014413 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 437417.760000 PLN 120761.580000 USD 2026-04-15 2931.340000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 98568.480000 PA USD 99101.990000 0.0487263 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N N/A N/A 000000000 1.000000 NC -3826.700000 -0.0018815 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-24 0.000000 EUR -272.690000 EUR 100000.000000 EUR -3554.010000 N N N N/A N/A 000000000 1.000000 NC -4572.480000 -0.0022482 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 119000.000000 USD 10835211.800000 INR 2026-04-07 -4572.480000 N N N N/A N/A 000000000 1.000000 NC 4.250000 0.0000021 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 403.000000 USD 2109.500000 BRL 2026-04-02 4.250000 N N N N/A N/A 000000000 1.000000 NC USD 4007.650000 0.0019705 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-03-18 1706.180000 USD 0.000000 USD 2790000.000000 USD 2301.470000 N N N N/A N/A 000000000 1.000000 NC 1542.610000 0.0007585 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 357322.270000 ILS 115444.000000 USD 2026-06-17 1542.610000 N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 24052.080000 PA USD 21675.760000 0.0106575 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.28541 N N N N N N N/A N/A 000000000 1.000000 NC -5221.820000 -0.0025675 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 179857.470000 USD 648294.810000 PLN 2026-04-15 -5221.820000 N N N N/A N/A 000000000 1.000000 NC -2185.080000 -0.0010744 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5152433.410000 TRY 111214.000000 USD 2026-04-20 -2185.080000 N N N N/A N/A 000000000 28.000000 NC USD 2100.000000 0.0010325 N/A DCO US N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Call Purchased ICE FUTURES EUROPE 549300UF4R84F48NCH34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT EMFUT - CCA 2026 GE IFE 12/24/26 2026-12-25 N/A USD N/A 45.000000 USD 2026-12-15 XXXX -10046.430000 N N N N/A N/A 000000000 1.000000 NC 8601.960000 0.0042294 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 228966.350000 USD 1230568.200000 BRL 2026-04-02 8601.960000 N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAF8 94720.170000 PA USD 66892.020000 0.0328894 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC -176.760000 -0.0000869 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 859117.320000 CZK 40289.210000 USD 2026-04-15 -176.760000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 645060.130000 PA USD 628153.810000 0.30885 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.2312 N N N N N N UMBS PASS THRU POOLS N/A 01F062648 2000000.000000 PA USD 2069320.060000 1.01744 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 1629.620000 0.0008012 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 CHF 127734.690000 USD 2026-06-17 1629.620000 N N N N/A N/A 000000000 1.000000 NC 2348.230000 0.0011546 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 5904109.400000 THB 181369.130000 USD 2026-04-02 2348.230000 N N N N/A N/A 000000000 1.000000 NC 1264.890000 0.0006219 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 108000.000000 CAD 78904.780000 USD 2026-04-02 1264.890000 N N N N/A N/A 000000000 1.000000 NC 856.900000 0.0004213 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 94377.690000 USD 503471.940000 BRL 2026-07-02 856.900000 N N N N/A N/A 000000000 1.000000 NC 576.120000 0.0002833 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 337612.720000 ILS 108178.000000 USD 2026-06-10 576.120000 N N N N/A N/A 000000000 1.000000 NC 4766.380000 0.0023435 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 382028.940000 PEN 112916.070000 USD 2027-01-28 4766.380000 N N N N/A N/A 000000000 1.000000 NC -2436.630000 -0.001198 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 45 Y Single Leg Swap 2031-06-20 0.000000 EUR -2496.740000 EUR 150000.000000 EUR 60.110000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI3187G8 250000.000000 PA 4019.850000 0.0019765 Long DBT NUSS EG N 2 2026-10-20 None 0 N N N N N N N/A N/A 000000000 -2900000.000000 NC USD -20161.960000 -0.0099132 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.89900 06/29/26-7Y LCH 2033-06-29 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-06-25 XXXX 3284.850000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 2218.920000 PA USD 21610.040000 0.0106252 Long STIV RF US N 1 N N N N/A N/A 000000000 1200000.000000 NC USD 70038.240000 0.0344363 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -35561.760000 N N N DIAMETER CAPITAL CLO 2024-6A N/A 25255UAA0 1000000.000000 PA USD 1002986.250000 0.493147 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 5.28219 N N N N N N N/A N/A 000000000 970000.000000 NC USD 69322.020000 0.0340841 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 18.000000 USD 2026-08-19 XXXX 26757.450000 N N N N/A N/A 000000000 1.000000 NC -692.500000 -0.0003405 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 85752.750000 USD 2801430.000000 THB 2026-04-20 -692.500000 N N N N/A N/A 000000000 1.000000 NC 535.920000 0.0002635 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1858607.000000 MXN 103598.390000 USD 2026-06-17 535.920000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 3456.780000 PA USD 3229.030000 0.0015876 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.25874 N N N N N N N/A N/A 000000000 1.000000 NC 319.580000 0.0001571 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7838.000000 USD 31117643.800000 COP 2026-09-16 319.580000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 873923AC0 400000.000000 PA USD 397501.850000 0.195443 Long DBT CORP US N 2 2029-03-24 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -444.500000 -0.0002186 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 157697.940000 BRL 30000.000000 USD 2026-04-02 -444.500000 N N N N/A N/A 000000000 1.000000 NC 296.240000 0.0001457 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 504653388.000000 IDR 29968.000000 USD 2026-06-10 296.240000 N N N N/A N/A 000000000 1.000000 NC 170.820000 0.000084 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 94000.000000 ILS 30129.930000 USD 2026-06-10 170.820000 N N N N/A N/A 000000000 1.000000 NC 26975.830000 0.0132634 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 1244794.000000 AUD 885821.680000 USD 2026-04-02 26975.830000 N N N N/A N/A 000000000 1.000000 NC 1210.810000 0.0005953 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 172539.400000 USD 900000.000000 BRL 2026-04-02 1210.810000 N N N N/A N/A 000000000 1.000000 NC 75.670000 0.0000372 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2826721.000000 TWD 88401.320000 USD 2026-04-13 75.670000 N N N N/A N/A 000000000 1.000000 NC -3661.420000 -0.0018002 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-01 0.000000 EUR -253.670000 EUR 100000.000000 EUR -3407.750000 N N N N/A N/A 000000000 1.000000 NC -4592.740000 -0.0022582 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1100000.000000 BRL 198995.970000 USD 2026-10-02 -4592.740000 N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 13054.660000 PA USD 12323.210000 0.0060591 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC 505.060000 0.0002483 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-22 0.000000 EUR -359.550000 EUR 100000.000000 EUR 864.610000 N N N STRUCTURED ADJ RATE MTG LN 2006-7 N/A 86361BAF4 118229.260000 PA USD 94175.870000 0.0463042 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC -128.880000 -0.0000634 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 140066.300000 USD 1355000.000000 NOK 2026-04-07 -128.880000 N N N N/A N/A 000000000 1.000000 NC -208.260000 -0.0001024 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 20090.450000 USD 338153554.000000 IDR 2026-06-10 -208.260000 N N N N/A N/A 000000000 -2500000.000000 NC USD -20431.500000 -0.0100457 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -2838.910000 N N N N/A N/A 000000000 1.000000 NC 169.050000 0.0000831 N/A DFE PH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1202800.000000 PHP 20000.000000 USD 2026-04-23 169.050000 N N N N/A N/A 000000000 1.000000 NC USD -30831.090000 -0.015159 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-04-03 0.000000 USD -78582.520000 USD 5700000.000000 USD 47751.430000 N N N N/A N/A 000000000 1.000000 NC USD 14928.960000 0.0073402 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-02-15 0.000000 USD 0.000000 USD 1000000.000000 USD 14928.960000 N N N CROWN POINT CLO 7 LTD N/A 22846MAJ2 28747.100000 PA USD 28747.100000 0.0141343 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 4.89763 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694S41 11912.630000 PA USD 10893.340000 0.005356 Long ABS-MBS CORP US N 2 2046-05-20 Floating 4.24952 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHTR0 433300000.000000 PA 272335.730000 0.133902 Long DBT NUSS NG N 2 2027-01-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1240.920000 -0.0006101 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 54290854.720000 INR 572108.990000 USD 2026-04-07 -1240.920000 N N N N/A N/A 000000000 1.000000 NC 196.690000 0.0000967 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 102000.000000 EUR 118093.410000 USD 2026-04-02 196.690000 N N N N/A N/A 000000000 1.000000 NC -5598.720000 -0.0027528 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-12-31 0.000000 EUR -264.550000 EUR 100000.000000 EUR -5334.170000 N N N N/A N/A 000000000 1.000000 NC -5037.440000 -0.0024768 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-13 0.000000 EUR -259.360000 EUR 100000.000000 EUR -4778.080000 N N N N/A N/A 000000000 1.000000 NC 77480.960000 0.0380957 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2984708.790000 USD 16072209.130000 BRL 2026-06-02 77480.960000 N N N N/A N/A 000000000 1.000000 NC -10901.340000 -0.00536 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3810722310.570000 COP 1009529.720000 USD 2026-06-17 -10901.340000 N N N N/A N/A 000000000 1.000000 NC 650.890000 0.00032 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 311670.040000 ILS 100000.000000 USD 2026-06-17 650.890000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EQ4 200000.000000 PA USD 207094.000000 0.101824 Long DBT NUSS CO N 2 2054-11-07 Fixed 8.375 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 14269.660000 PA USD 13726.480000 0.006749 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.35874 N N N N N N N/A N/A 000000000 1.000000 NC -6208.300000 -0.0030525 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1200000.000000 BRL 220778.540000 USD 2026-07-02 -6208.300000 N N N N/A N/A 000000000 1.000000 NC -2.700000 -0.0000013 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5981.200000 PEN 1709.550000 USD 2026-06-17 -2.700000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 45000000.000000 PA 47596.250000 0.023402 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC 3450.220000 0.0016964 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 123896.020000 USD 2284147.000000 MXN 2026-04-15 3450.220000 N N N N/A N/A 000000000 24300000.000000 NC USD 46434.870000 0.022831 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.85700 10/09/26-1Y LCH 2027-10-09 0.000000 USD 0.000000 USD N/A USD N/A 3.860000 USD 2026-10-07 XXXX 27602.370000 N N N N/A N/A 000000000 1.000000 NC USD 1801893.500000 0.885952 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 1813352.510000 USD 0.000000 USD 14300000.000000 USD -11459.010000 N N N N/A N/A 000000000 1.000000 NC -8260.370000 -0.0040614 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1757608.180000 USD 2433408.530000 CAD 2026-04-02 -8260.370000 N N N N/A N/A 000000000 1.000000 NC -3.610000 -0.0000018 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 289.500000 USD 216.000000 GBP 2026-05-05 -3.610000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 193369.760000 PA USD 193752.690000 0.095264 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 401.730000 0.0001975 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 42862.000000 USD 159018020.000000 COP 2026-04-08 401.730000 N N N N/A N/A 000000000 1.000000 NC -15186.450000 -0.0074668 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2036-09-16 23299.630000 AUD 0.000000 AUD 3100000.000000 AUD -38486.080000 N N N N/A N/A 000000000 1.000000 NC 831.120000 0.0004086 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 73950000.000000 KRW 50000.000000 USD 2026-04-09 831.120000 N N N N/A N/A 000000000 1.000000 NC -189.800000 -0.0000933 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 120000.000000 USD 3837353.000000 TWD 2026-04-20 -189.800000 N N N N/A N/A 000000000 1.000000 NC 3166.020000 0.0015567 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 915922.500000 ILS 294632.000000 USD 2026-04-13 3166.020000 N N N N/A N/A 000000000 1.000000 NC 2265.510000 0.0011139 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 321841.780000 ILS 104857.000000 USD 2026-06-17 2265.510000 N N N N/A N/A 000000000 1.000000 NC -7708.420000 -0.0037901 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 294773.000000 USD 1065675.140000 PLN 2026-04-22 -7708.420000 N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 3925.550000 PA USD 3838.990000 0.0018875 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.63394 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 37039.180000 PA USD 36826.510000 0.0181068 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.18638 N N N N N N N/A N/A 000000000 1.000000 NC -8337.950000 -0.0040996 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 629775.540000 USD 575224382.000000 CLP 2026-06-17 -8337.950000 N N N N/A N/A 000000000 1.000000 NC USD -2645437.440000 -1.3007 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2026-06-10 0.000000 USD 0.000000 USD 61909684.880000 USD -2645437.440000 N N N N/A N/A 000000000 1.000000 NC 18082.800000 0.0088909 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 964117.000000 AUD 683275.500000 USD 2026-04-02 18082.800000 N N N N/A N/A 000000000 1.000000 NC 180188.480000 0.0885948 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 7226391.400000 EUR 8532814.570000 USD 2026-04-02 180188.480000 N N N N/A N/A 000000000 300000.000000 NC USD 427.050000 0.00021 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.98900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2026-08-06 XXXX -2047.950000 N N N N/A N/A 000000000 1.000000 NC 451.120000 0.0002218 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1125000.000000 SEK 119289.360000 USD 2026-04-02 451.120000 N N N N/A N/A 000000000 1.000000 NC 33.430000 0.0000164 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 640220.000000 TWD 20000.000000 USD 2026-04-30 33.430000 N N N N/A N/A 000000000 1.000000 NC 66603.380000 0.0327474 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4238851.570000 SGD 3363524.570000 USD 2026-04-02 66603.380000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 90075.310000 PA USD 78892.600000 0.0387898 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.78618 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 133323.440000 PA USD 133459.560000 0.0656192 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 4.86401 N N N N N N N/A N/A 000000000 1.000000 NC -3936.220000 -0.0019354 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 120285.760000 USD 408731.010000 PEN 2026-10-09 -3936.220000 N N N N/A N/A 000000000 1.000000 NC 905.680000 0.0004453 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 63556.190000 USD 236810363.940000 COP 2026-04-06 905.680000 N N N N/A N/A 000000000 1.000000 NC USD -577.980000 -0.0002842 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -384.000000 USD 100000.000000 USD -193.980000 N N N N/A N/A 000000000 1.000000 NC -18202.610000 -0.0089498 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 751573.670000 USD 679189610.000000 CLP 2026-04-09 -18202.610000 N N N N/A N/A 000000000 -4900000.000000 NC USD -1984.500000 -0.0009757 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 267.100000 N N N N/A N/A 000000000 1.000000 NC -60.190000 -0.0000296 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 89485.690000 CNY 12932.000000 USD 2026-04-02 -60.190000 N N N UMBS PASS THRU POOLS N/A 01F052649 2570000.000000 PA USD 2582238.750000 1.26963 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5.5 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 32233.490000 PA USD 28775.980000 0.0141485 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.17968 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 5200000.000000 PA 304008.510000 0.149474 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 4995.920000 0.0024564 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4566997.860000 THB 143621.000000 USD 2026-04-16 4995.920000 N N N N/A N/A 000000000 1.000000 NC -3772.260000 -0.0018547 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 100143.200000 USD 337194.170000 PEN 2026-07-20 -3772.260000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-8 N/A 69544QAA8 352315.780000 PA USD 353250.120000 0.173685 Long ABS-O CORP US N 2 2032-01-15 Fixed 5.331 N N N N N N N/A N/A 000000000 2400000.000000 NC USD 142165.440000 0.0698997 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -69214.560000 N N N N/A N/A 000000000 1.000000 NC USD -4068.680000 -0.0020005 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2057-08-25 0.000000 USD -4000.870000 USD 540000.000000 USD -67.810000 N N N N/A N/A 000000000 -200000.000000 NC USD -1044.760000 -0.0005137 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/20/26-10Y LCH 2036-04-20 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-04-16 XXXX -399.760000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 23071.500000 PA USD 22754.370000 0.0111878 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.78618 N N N N N N N/A N/A 000000000 1.000000 NC USD 79641.390000 0.0391579 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 77321.850000 USD 0.000000 USD 2520000.000000 USD 2319.540000 N N N N/A N/A 000000000 100000.000000 NC USD 21.690000 0.0000107 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-04-06 XXXX -238.310000 N N N N/A N/A 000000000 1200000.000000 NC USD 70686.600000 0.0347551 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29600 02/08/28-30Y LCH 2058-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2028-02-04 XXXX -13313.400000 N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 165068.800000 PA USD 158583.150000 0.0779719 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.19303 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -11892.160000 -0.0058471 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.76250 04/16/26-7Y LCH 2033-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-04-14 XXXX 907.840000 N N N N/A N/A 000000000 1.000000 NC 508.040000 0.0002498 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1622000.000000 MXN 90450.300000 USD 2026-06-17 508.040000 N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 12132.070000 PA USD 6622.790000 0.0032563 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.19754 N N N N N N N/A N/A 000000000 1.000000 NC 6.610000 0.0000032 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 402.000000 USD 2116.530000 BRL 2026-04-02 6.610000 N N N FREDDIE MAC REMICS 3844 N/A 3137A8VQ8 242523.260000 PA USD 245668.250000 0.12079 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DDG1 2700000.000000 PA USD 2694928.050000 1.32504 Long DBT CORP US N 2 2026-04-16 None 0 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 1645.070000 PA USD 1409.510000 0.000693 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC -170873.010000 -0.0840146 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7300000.000000 BRL 1238434.210000 USD 2026-04-02 -170873.010000 N N N N/A N/A 000000000 1.000000 NC -1881.590000 -0.0009251 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 233511.670000 USD 175000.000000 GBP 2026-04-02 -1881.590000 N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZE3 8037.820000 PA USD 7781.100000 0.0038258 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.62459 N N N N N N N/A N/A 000000000 1.000000 NC -140.630000 -0.0000691 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 100364.720000 USD 1806314.000000 MXN 2026-06-10 -140.630000 N N N N/A N/A 000000000 1.000000 NC 6035.020000 0.0029673 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1078414.000000 USD 171594971.000000 JPY 2026-05-07 6035.020000 N N N N/A N/A 000000000 1.000000 NC 518.650000 0.000255 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7000000.000000 JPY 44625.640000 USD 2026-04-02 518.650000 N N N N/A N/A 000000000 1.000000 NC 1216.180000 0.000598 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 100000.000000 CAD 73341.100000 USD 2026-06-17 1216.180000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 264614.130000 PA USD 243213.810000 0.119583 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.33303 N N N N N N N/A N/A 000000000 1.000000 NC 5508.290000 0.0027083 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-02-12 0.000000 EUR -267.970000 EUR 100000.000000 EUR 5776.260000 N N N FREDDIE MAC 3355 N/A 31397KC90 117552.650000 PA USD 117737.230000 0.0578888 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.48671 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 201476.630000 PA USD 106094.870000 0.0521646 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC 6250.400000 0.0030732 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 225416.540000 USD 1200000.000000 BRL 2026-04-02 6250.400000 N N N FNMA PASS THRU POOLS N/A 3140AJNH7 33671.130000 PA USD 33947.700000 0.0166913 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 703.940000 0.0003461 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 43000.000000 CHF 54480.830000 USD 2026-04-02 703.940000 N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 589913.180000 PA USD 590598.780000 0.290385 Long ABS-MBS CORP US N 2 2066-10-25 Variable 5.892 N N N N N N N/A N/A 000000000 1.000000 NC -42.990000 -0.0000211 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22363.000000 USD 82564196.000000 COP 2026-04-30 -42.990000 N N N N/A N/A 000000000 1.000000 NC -71467.560000 -0.0351391 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -14442.340000 AUD 3400000.000000 AUD -57025.220000 N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6QQ6 270000.000000 PA USD 226327.500000 0.11128 Long DBT NUSS EC N 2 2030-07-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2914.650000 -0.0014331 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 137492.310000 USD 12743241.020000 INR 2026-04-07 -2914.650000 N N N N/A N/A 000000000 -600000.000000 NC USD -608.460000 -0.0002992 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.5% APR 30YR N/A 103.530000 USD 2026-04-06 XXXX 188.420000 N N N N/A N/A 000000000 1.000000 NC -1388.610000 -0.0006827 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 146427.000000 USD 1404392.270000 NOK 2026-04-07 -1388.610000 N N N N/A N/A 000000000 -1800000.000000 NC USD -1768.140000 -0.0008694 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.76750 04/06/26-7Y LCH 2033-04-06 0.000000 USD 0.000000 USD N/A USD N/A 3.770000 USD 2026-04-02 XXXX 6511.860000 N N N N/A N/A 000000000 1.000000 NC -274.890000 -0.0001352 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3600000.000000 BRL 666015.450000 USD 2026-10-02 -274.890000 N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 821113.430000 PA USD 376656.550000 0.185194 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 3949.780000 0.001942 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4975412.310000 THB 155019.000000 USD 2026-04-20 3949.780000 N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 462670.530000 PA USD 339928.290000 0.167135 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.11303 N N N N N N N/A N/A 000000000 231944.000000 NC USD 740.130000 0.0003639 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-15 N/A 1400.000000 USD 2026-07-13 XXXX -845.900000 N N N N/A N/A 000000000 1.000000 NC -3528.260000 -0.0017348 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 293630.000000 USD 4934011705.000000 IDR 2026-06-10 -3528.260000 N N N N/A N/A 000000000 1.000000 NC 2959.180000 0.001455 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-23 0.000000 EUR -392.320000 EUR 100000.000000 EUR 3351.500000 N N N N/A N/A 000000000 1.000000 NC 231.710000 0.0001139 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 SEK 10835.620000 USD 2026-06-17 231.710000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS8 N/A 75115AAA9 40609.700000 PA USD 34235.260000 0.0168327 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -447.260000 -0.0002199 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 147941.000000 USD 4727735.000000 TWD 2026-04-27 -447.260000 N N N N/A N/A 000000000 1.000000 NC 2135.090000 0.0010498 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 184868.000000 USD 687339224.000000 COP 2026-04-08 2135.090000 N N N N/A N/A 000000000 1.000000 NC -1157.510000 -0.0005691 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2555364.080000 TRY 55607.000000 USD 2026-04-13 -1157.510000 N N N N/A N/A 000000000 1.000000 NC -624.490000 -0.000307 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 48045788.440000 COP 12454.000000 USD 2026-04-06 -624.490000 N N N N/A N/A 000000000 1.000000 NC -77299.280000 -0.0380064 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15860742.510000 BRL 2984708.790000 USD 2026-04-02 -77299.280000 N N N N/A N/A 000000000 1.000000 NC 19777.210000 0.009724 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 9465575.390000 ZAR 578416.000000 USD 2026-04-20 19777.210000 N N N N/A N/A 000000000 1.000000 NC USD -4240.610000 -0.002085 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 N/A CMBX.NA.AAA.16 Y Single Leg Swap 2065-04-17 0.000000 USD -9195.930000 USD 599143.590000 USD 4955.320000 N N N N/A N/A 000000000 1.000000 NC -2526.150000 -0.0012421 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 53203336.000000 JPY 332708.000000 USD 2026-04-02 -2526.150000 N N N N/A N/A 000000000 -900000.000000 NC USD -3084.840000 -0.0015167 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 97.280000 USD 2026-06-04 XXXX -553.590000 N N N FREDDIE MAC REMICS 5565 N/A 3137HMGK0 5760861.780000 PA USD 5775517.990000 2.8397 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC 318.380000 0.0001565 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 89729400.000000 KRW 60000.000000 USD 2026-04-23 318.380000 N N N N/A N/A 000000000 1.000000 NC USD 5635.000000 0.0027706 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-27 0.000000 USD 0.000000 USD 4000000.000000 USD 5635.000000 N N N N/A N/A 000000000 1.000000 NC USD 2244.450000 0.0011035 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-21 0.000000 USD -280.000000 USD 100000.000000 USD 2524.450000 N N N N/A N/A 000000000 1.000000 NC 1464.540000 0.0007201 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 54642.000000 USD 1005849.940000 MXN 2026-04-09 1464.540000 N N N N/A N/A 000000000 1.000000 NC 11722.390000 0.0057636 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1791768.600000 PEN 525229.700000 USD 2026-05-26 11722.390000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI350557 14500000.000000 PA 261194.110000 0.128424 Long DBT NUSS EG N 2 2030-10-14 Fixed 19.698 N N N N N N N/A N/A 000000000 1.000000 NC USD 2030.270000 0.0009982 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -275.000000 USD 100000.000000 USD 2305.270000 N N N N/A N/A 000000000 1.000000 NC 6909.100000 0.0033971 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30310834.970000 INR 327013.000000 USD 2026-04-07 6909.100000 N N N ARBOUR CLO VI DAC 6A N/A ACI2RC930 700000.000000 PA 809221.940000 0.397877 Long ABS-CBDO CORP IE N 2 2037-11-15 Floating 3.134 N N N N N N N/A N/A 000000000 1.000000 NC 5434.650000 0.0026721 N/A DFE CO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 740666.390000 USD 2812125116.230000 COP 2026-07-27 5434.650000 N N N N/A N/A 000000000 1.000000 NC 21700.580000 0.0106697 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4318779.800000 SGD 3388500.790000 USD 2026-05-04 21700.580000 N N N N/A N/A 000000000 200000.000000 NC USD 261.660000 0.0001287 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.96500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 2.960000 USD 2026-08-05 XXXX -1448.340000 N N N N/A N/A 000000000 100000.000000 NC USD 266.320000 0.0001309 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.220000 USD 2026-08-04 XXXX -1033.680000 N N N N/A N/A 000000000 1.000000 NC 17.380000 0.0000085 N/A DFE GB N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 228965.500000 USD 173000.000000 GBP 2026-04-02 17.380000 N N N N/A N/A 000000000 1.000000 NC -4768.870000 -0.0023448 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 140549.240000 USD 2448634.800000 MXN 2026-06-17 -4768.870000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KE75 1000000.000000 PA USD 995565.500000 0.489498 Long DBT CORP US N 2 2026-05-07 None 0 N N N N N N FREDDIE MAC 2764 N/A 31394TYD1 53185.970000 PA USD 54503.550000 0.0267982 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -831.160000 -0.0004087 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1925040.240000 TRY 41705.000000 USD 2026-04-17 -831.160000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FZ1 200000.000000 PA USD 167904.420000 0.082555 Long DBT CORP US N 2 2043-10-01 Fixed 4.65 N N N N N N N/A N/A 000000000 100000.000000 NC USD 265.170000 0.0001304 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2026-08-05 XXXX -1034.830000 N N N ALBACORE EURO CLO IV DAC 4A N/A ACI2Q3N92 999835.090000 PA 1157092.860000 0.568917 Long ABS-CBDO CORP IE N 2 2035-07-15 Floating 3.006 N N N N N N ICG-2021-3A N/A 449249AS0 1100000.000000 PA USD 1101341.870000 0.541506 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.81763 N N N N N N N/A N/A 000000000 1.000000 NC USD 1442.420000 0.0007092 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -410.000000 USD 200000.000000 USD 1852.420000 N N N N/A N/A 000000000 1.000000 NC -168.720000 -0.000083 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 414000.000000 CNY 59938.860000 USD 2026-04-02 -168.720000 N N N N/A N/A 000000000 1.000000 NC 2102.470000 0.0010337 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 7284261.110000 INR 79029.430000 USD 2026-04-07 2102.470000 N N N N/A N/A 000000000 1.000000 NC 5310.840000 0.0026112 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 303578.410000 USD 1600000.000000 BRL 2026-04-02 5310.840000 N N N N/A N/A 000000000 1.000000 NC -5200.680000 -0.0025571 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 257722.450000 USD 366000.000000 AUD 2026-04-02 -5200.680000 N N N ARES STRATEGIC INCOME FUND 549300IANZJVZPTICV54 04020EAL1 500000.000000 PA USD 495041.190000 0.243401 Long DBT CORP US N 2 2028-09-09 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC 209.740000 0.0001031 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10001.160000 USD 455742.860000 TRY 2026-04-06 209.740000 N N N GNMA PASS THRU POOLS N/A 21H060655 2660000.000000 PA USD 2701899.020000 1.32847 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -16609.000000 -0.0081663 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2056-03-18 0.000000 USD -27226.470000 USD 670000.000000 USD 10617.470000 N N N N/A N/A 000000000 1.000000 NC -2830.120000 -0.0013915 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 355797693.750000 COP 92445.000000 USD 2026-06-17 -2830.120000 N N N N/A N/A 000000000 1.000000 NC 1223.780000 0.0006017 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 60000.000000 USD 317130.000000 BRL 2026-04-02 1223.780000 N N N N/A N/A 000000000 1.000000 NC -1420.860000 -0.0006986 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1000000.000000 BRL 183659.790000 USD 2026-10-02 -1420.860000 N N N N/A N/A 000000000 900000.000000 NC USD 52060.140000 0.0255968 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -25474.860000 N N N N/A N/A 000000000 1.000000 NC -739.010000 -0.0003634 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 300981.000000 USD 28215463.850000 INR 2026-04-24 -739.010000 N N N N/A N/A 000000000 1.000000 NC 121.080000 0.0000595 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 185910.230000 PLN 50201.000000 USD 2026-04-15 121.080000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WQVJ3 2062700000.000000 PA 546718.110000 0.268809 Long DBT NUSS CO N 2 2040-11-28 Fixed 12.75 N N N N N N N/A N/A 000000000 1.000000 NC 2024.820000 0.0009956 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -278.480000 EUR 100000.000000 EUR 2303.300000 N N N N/A N/A 000000000 -129.000000 NC USD 288139.300000 0.141672 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -14317992.250000 USD 288139.300000 N N N N/A N/A 000000000 1.000000 NC -1687.450000 -0.0008297 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 39938.970000 USD 142000.000000 PLN 2026-04-15 -1687.450000 N N N N/A N/A 000000000 1.000000 NC -1794.170000 -0.0008822 N/A DFE CO N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 764788290.000000 COP 203000.000000 USD 2026-06-17 -1794.170000 N N N N/A N/A 000000000 1.000000 NC USD 1621.110000 0.0007971 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-30 0.000000 USD -320.000000 USD 100000.000000 USD 1941.110000 N N N N/A N/A 000000000 -3000000.000000 NC USD -3488.490000 -0.0017152 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2026-06-17 XXXX 1011.510000 N N N SYMPHONY CLO XXV LTD 2021-25A N/A 87167WDC6 900000.000000 PA USD 900501.280000 0.442757 Long ABS-CBDO CORP KY N 2 2034-04-19 Floating 4.71763 N N N N N N N/A N/A 000000000 1.000000 NC -288.260000 -0.0001417 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 217645130.100000 COP 57538.500000 USD 2026-07-21 -288.260000 N N N N/A N/A 000000000 1.000000 NC -5697.990000 -0.0028016 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1700000.000000 BRL 315866.710000 USD 2026-07-02 -5697.990000 N N N N/A N/A 000000000 1.000000 NC 309.220000 0.000152 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5656444.680000 PHP 93611.000000 USD 2026-04-17 309.220000 N N N N/A N/A 000000000 1.000000 NC -491.740000 -0.0002418 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1524065.220000 TRY 33007.000000 USD 2026-04-21 -491.740000 N N N N/A N/A 000000000 18400000.000000 NC USD 15949.120000 0.0078418 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% MAY 30YR N/A 99.100000 USD 2026-05-06 XXXX 10199.120000 N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 16137.190000 PA USD 15323.640000 0.0075343 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.81864 N N N N N N N/A N/A 000000000 1.000000 NC -1632.650000 -0.0008027 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 USD 1674099.600000 ZAR 2026-06-17 -1632.650000 N N N N/A N/A 000000000 1.000000 NC USD -711.660000 -0.0003499 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -360.750000 USD 100000.000000 USD -350.910000 N N N N/A N/A 000000000 1.000000 NC -936.760000 -0.0004606 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 116923.430000 USD 100000.000000 EUR 2026-06-17 -936.760000 N N N N/A N/A 000000000 1.000000 NC -25664.380000 -0.0126186 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL -81.020000 BRL 5500000.000000 BRL -25583.360000 N N N N/A N/A 000000000 1.000000 NC -1347.190000 -0.0006624 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 83727.000000 USD 1497641.590000 MXN 2026-09-17 -1347.190000 N N N N/A N/A 000000000 1.000000 NC -5373.860000 -0.0026422 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-07 0.000000 EUR -250.370000 EUR 100000.000000 EUR -5123.490000 N N N N/A N/A 000000000 1.000000 NC -4285.590000 -0.0021071 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 108863.240000 USD 990000.000000 SEK 2026-04-02 -4285.590000 N N N N/A N/A 000000000 1.000000 NC -425.030000 -0.000209 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 135799.080000 CHF 170010.030000 USD 2026-05-04 -425.030000 N N N N/A N/A 000000000 5600000.000000 NC USD 13354.880000 0.0065663 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 09/09/26-10Y LCH 2036-09-09 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-09-04 XXXX 9014.880000 N N N UMBS PASS THRU POOLS N/A 01F040669 1820000.000000 PA USD 1713871.610000 0.842674 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4 N N N N N N N/A N/A 000000000 22800000.000000 NC USD 34503.240000 0.0169645 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09300 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2027-01-04 XXXX 18315.240000 N N N N/A N/A 000000000 1.000000 NC -929.070000 -0.0004568 N/A DFE CZ N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 110346.540000 USD 2323000.000000 CZK 2026-04-15 -929.070000 N N N N/A N/A 000000000 1.000000 NC USD 17035.020000 0.0083758 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 1800000.000000 USD 17035.020000 N N N N/A N/A 000000000 1.000000 NC 371.680000 0.0001827 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1418084.490000 CZK 67166.000000 USD 2026-04-15 371.680000 N N N N/A N/A 000000000 1.000000 NC 943.430000 0.0004639 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 125261.440000 ILS 40866.000000 USD 2026-06-10 943.430000 N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 73.480000 PA USD 74.410000 0.0000366 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.975 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-4 N/A 17307GWE4 691.270000 PA USD 691.140000 0.0003398 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.67722 N N N N N N N/A N/A 000000000 1.000000 NC 6110.280000 0.0030043 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3205368.180000 THB 103666.500000 USD 2026-05-20 6110.280000 N N N N/A N/A 000000000 1.000000 NC 1082.060000 0.000532 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1876246.800000 THB 58050.830000 USD 2026-04-20 1082.060000 N N N N/A N/A 000000000 1.000000 NC 463.940000 0.0002281 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32557.000000 USD 121307382.000000 COP 2026-04-06 463.940000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACP8 11714.620000 PA USD 10667.630000 0.005245 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.38952 N N N N N N N/A N/A 000000000 1.000000 NC 2299.420000 0.0011306 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 301748.790000 ILS 98486.000000 USD 2026-06-17 2299.420000 N N N N/A N/A 000000000 1.000000 NC -330.940000 -0.0001627 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 59534.000000 USD 1006917771.000000 IDR 2026-06-10 -330.940000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAJ3 500000.000000 PA USD 504955.800000 0.248276 Long ABS-O CORP US N 2 2031-02-18 Fixed 5.21 N N N N N N N/A N/A 000000000 1.000000 NC 296.190000 0.0001456 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 48899.030000 USD 73989611.000000 KRW 2026-04-09 296.190000 N N N N/A N/A 000000000 1.000000 NC 416.060000 0.0002046 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 14929.000000 USD 57304966.500000 COP 2026-06-17 416.060000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 400000.000000 PA USD 420139.130000 0.206573 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N N/A N/A 000000000 1.000000 NC 13657.200000 0.0067149 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 8518125.680000 USD 7381391.400000 EUR 2026-04-02 13657.200000 N N N N/A N/A 000000000 1.000000 NC -5301.930000 -0.0026068 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1554952.630000 USD 1239100.700000 CHF 2026-04-02 -5301.930000 N N N N/A N/A 000000000 1.000000 NC 1112.880000 0.0005472 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 465222.230000 PLN 126433.000000 USD 2026-04-15 1112.880000 N N N N/A N/A 000000000 200000.000000 NC USD 79.900000 0.0000393 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -1328.550000 N N N N/A N/A 000000000 -1700000.000000 NC USD -686.800000 -0.0003377 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 72.150000 N N N N/A N/A 000000000 -23100000.000000 NC USD -7131.890000 -0.0035066 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2026-05-20 XXXX 22515.610000 N N N N/A N/A 000000000 27.000000 NC USD -120951.720000 -0.0594693 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2026-12-24 779490.000000 USD -120951.720000 N N N ISHARES CORE S&P 500 ETF 5493007M4YMN8XL48C14 464287200 11692.000000 NS USD 7637331.320000 3.75511 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -27158.390000 -0.0133532 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1386710.000000 USD 215767638.000000 JPY 2026-04-02 -27158.390000 N N N N/A N/A 000000000 1.000000 NC 1341.100000 0.0006594 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 289910.640000 PEN 83567.000000 USD 2026-12-17 1341.100000 N N N N/A N/A 000000000 1.000000 NC 727.400000 0.0003576 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2793393.000000 MXN 155625.110000 USD 2026-06-17 727.400000 N N N FNMA PASS THRU POOLS N/A 3140AXZP5 1103604.570000 PA USD 1126787.030000 0.554017 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2134.980000 -0.0010497 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 252455.000000 USD 23524009.360000 INR 2026-04-24 -2134.980000 N N N N/A N/A 000000000 1.000000 NC 2186.300000 0.001075 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 327301.950000 ILS 106502.000000 USD 2026-06-10 2186.300000 N N N N/A N/A 000000000 1.000000 NC -4343.740000 -0.0021357 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-01-06 0.000000 GBP -274.180000 GBP 100000.000000 GBP -4069.560000 N N N N/A N/A 000000000 1.000000 NC -834.590000 -0.0004103 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 25009518.000000 JPY 156750.350000 USD 2026-04-02 -834.590000 N N N N/A N/A 000000000 2500000.000000 NC USD 5677.750000 0.0027916 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.30000 06/04/26-7Y LCH 2033-06-04 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2026-06-02 XXXX -9274.400000 N N N BOYCE PARK CLO LLC 2022-1A N/A 103228AN2 1100000.000000 PA USD 1100324.610000 0.541006 Long ABS-CBDO CORP JE N 2 2035-04-21 Floating 4.66765 N N N N N N N/A N/A 000000000 -670000.000000 NC USD -760.450000 -0.0003739 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.700000 USD 2026-04-23 XXXX 4711.440000 N N N N/A N/A 000000000 1.000000 NC -239.590000 -0.0001178 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 35503512.000000 KRW 23368.850000 USD 2026-04-13 -239.590000 N N N N/A N/A 000000000 1.000000 NC -218.760000 -0.0001076 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-02 0.000000 CZK 0.000000 CZK 600000.000000 CZK -218.760000 N N N N/A N/A 000000000 1.000000 NC USD 17848.320000 0.0087756 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 26834.500000 USD 0.000000 USD 1270000.000000 USD -8986.180000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 166189.230000 PA USD 164606.110000 0.0809333 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.17303 N N N N N N N/A N/A 000000000 1.000000 NC -906.560000 -0.0004457 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 98229.000000 USD 1655247056.000000 IDR 2026-06-10 -906.560000 N N N N/A N/A 000000000 1.000000 NC 675.140000 0.000332 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 41000000.000000 CLP 675.140000 N N N N/A N/A 000000000 1.000000 NC -491.800000 -0.0002418 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20156.310000 USD 73000.000000 PLN 2026-04-15 -491.800000 N N N N/A N/A 000000000 1.000000 NC 4427.370000 0.0021768 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23485888.650000 INR 252455.000000 USD 2026-04-07 4427.370000 N N N FNMA PASS THRU POOLS N/A 3138E0LC1 16901.770000 PA USD 16805.180000 0.0082627 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N LCM 31 LTD N/A 50201QAL8 1000000.000000 PA USD 1001302.150000 0.492319 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 4.94763 N N N N N N N/A N/A 000000000 1.000000 NC -3042.530000 -0.0014959 N/A DFE PL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 119811.000000 USD 433476.200000 PLN 2026-04-15 -3042.530000 N N N N/A N/A 000000000 1.000000 NC 1143.500000 0.0005622 N/A DFE NZ N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 100000.000000 NZD 58762.080000 USD 2026-06-17 1143.500000 N N N N/A N/A 000000000 1.000000 NC -16755.730000 -0.0082384 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 403301.820000 USD 3659296.550000 SEK 2026-04-02 -16755.730000 N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 1363012.570000 PA USD 1017427.960000 0.500247 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.15303 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 29828.170000 PA USD 25506.550000 0.012541 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.45219 N N N N N N N/A N/A 000000000 1.000000 NC -7023.050000 -0.0034531 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 346351.000000 USD 53853043.000000 JPY 2026-04-02 -7023.050000 N N N FANNIE MAE 2007-96 N/A 31396XNT7 76306.900000 PA USD 76493.870000 0.0376104 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 4.49638 N N N N N N N/A N/A 000000000 1.000000 NC -50.060000 -0.0000246 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 435366.710000 BRL 84000.000000 USD 2026-04-02 -50.060000 N N N N/A N/A 000000000 2500000.000000 PA USD 2500000.000000 1.2292 Long RA US N 2 Repurchase N 3.620000 2026-04-01 2584000.000000 USD 2500928.430000 USD UST N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 137835.440000 PA USD 114877.790000 0.0564829 Long ABS-MBS CORP US N 2 2035-10-25 Variable 4.90193 N N N N N N N/A N/A 000000000 -2600000.000000 NC USD -15198.040000 -0.0074725 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95100 06/26/26-7Y LCH 2033-06-26 0.000000 USD 0.000000 USD N/A USD N/A 3.950000 USD 2026-06-24 XXXX 7034.740000 N N N ATLAS SENIOR LOAN FUND XV LTD N/A 04942MAN4 240024.910000 PA USD 240428.140000 0.118213 Long ABS-CBDO CORP KY N 2 2032-10-23 Floating 4.89102 N N N N N N N/A N/A 000000000 1.000000 NC -260.180000 -0.0001279 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 52640.000000 USD 182276.530000 PEN 2026-04-06 -260.180000 N N N N/A N/A 000000000 1.000000 NC 4892.120000 0.0024053 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 526210.060000 PEN 155531.600000 USD 2026-06-17 4892.120000 N N N N/A N/A 000000000 1.000000 NC 81.310000 0.00004 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 300429.000000 MXN 16740.540000 USD 2026-06-17 81.310000 N N N N/A N/A 000000000 1.000000 NC 82.630000 0.0000406 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 188000.000000 ILS 60000.850000 USD 2026-06-10 82.630000 N N N N/A N/A 000000000 200000.000000 NC USD 379.080000 0.0001864 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.06700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.070000 USD 2026-08-12 XXXX -1130.920000 N N N N/A N/A 000000000 1.000000 NC 2586.250000 0.0012716 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 29085618.900000 INR 309751.000000 USD 2026-04-07 2586.250000 N N N N/A N/A 000000000 1.000000 NC -564.730000 -0.0002777 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19959.870000 USD 72000.000000 PLN 2026-04-15 -564.730000 N N N 37 CAPITAL CLO II 2022-1A N/A 88429PAU6 1000000.000000 PA USD 1001005.920000 0.492173 Long ABS-CBDO CORP JE N 2 2034-07-15 Floating 4.96219 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 32190.760000 PA USD 31157.520000 0.0153195 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.78732 N N N N N N N/A N/A 000000000 1.000000 NC -1196.400000 -0.0005882 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 400000.000000 BRL 72835.860000 USD 2026-10-02 -1196.400000 N N N N/A N/A 000000000 1.000000 NC 8649.600000 0.0042528 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 575224382.000000 CLP 629761.750000 USD 2026-04-09 8649.600000 N N N N/A N/A 000000000 1.000000 NC 5008.000000 0.0024623 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 122000.000000 USD 2172637.000000 ZAR 2026-08-19 5008.000000 N N N N/A N/A 000000000 1.000000 NC 629.580000 0.0003096 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20000.890000 USD 917820.840000 TRY 2026-04-03 629.580000 N N N N/A N/A 000000000 1.000000 NC USD 264.290000 0.0001299 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 526.790000 N N N N/A N/A 000000000 -2500000.000000 NC USD -56.500000 -0.0000278 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 96.860000 USD 2026-04-06 XXXX 6974.750000 N N N N/A N/A 000000000 1.000000 NC -14583.300000 -0.0071703 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 460974.440000 USD 42269051.280000 INR 2026-04-07 -14583.300000 N N N N/A N/A 000000000 1.000000 NC 10.020000 0.0000049 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 803.000000 USD 4211.330000 BRL 2026-04-02 10.020000 N N N N/A N/A 000000000 1.000000 NC USD 5666.420000 0.0027861 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 9062.190000 USD 0.000000 USD 1030000.000000 USD -3395.770000 N N N N/A N/A 000000000 1.000000 NC 4940.400000 0.0024291 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 93940000.000000 CLP 106427.490000 USD 2026-06-17 4940.400000 N N N N/A N/A 000000000 1.000000 NC 5349.120000 0.00263 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 928251.400000 ILS 300627.000000 USD 2026-04-06 5349.120000 N N N ARES EUROPEAN CLO 14A N/A ACI2RNVH0 500000.000000 PA 579052.530000 0.284708 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 3.833 N N N N N N N/A N/A 000000000 1.000000 NC -367811.540000 -0.180845 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 -272945.840000 EUR 10110000.000000 EUR -94865.700000 N N N FNMA PASS THRU POOLS N/A 3140QVVV3 916781.550000 PA USD 896003.480000 0.440545 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -765.650000 -0.0003765 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 247479.000000 USD 23185070.120000 INR 2026-04-24 -765.650000 N N N N/A N/A 000000000 100000.000000 NC USD 287.590000 0.0001414 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 3.240000 USD 2026-08-06 XXXX -1012.410000 N N N N/A N/A 000000000 1.000000 NC -654.930000 -0.000322 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 508427.790000 BRL 97500.000000 USD 2026-04-02 -654.930000 N N N TOWD POINT MORTGAGE TRUST 2024-4 N/A 89183GAA4 748534.930000 PA USD 749718.810000 0.368621 Long ABS-MBS CORP US N 2 2064-10-27 Variable 4.54574 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2W94G7 120000000.000000 PA 586688.510000 0.288462 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.4 N N N N N N ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2023-1A N/A 682685AA0 557495.590000 PA USD 561530.690000 0.276093 Long ABS-O CORP US N 2 2029-11-14 Fixed 5.41 N N N N N N N/A N/A 000000000 1.000000 NC 288.450000 0.0001418 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 182955.580000 PEN 52640.000000 USD 2026-06-26 288.450000 N N N N/A N/A 000000000 2900000.000000 NC USD 13400.610000 0.0065888 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44250 06/23/26-7Y LCH 2033-06-23 0.000000 USD 0.000000 USD N/A USD N/A 3.440000 USD 2026-06-18 XXXX -4649.180000 N N N N/A N/A 000000000 1.000000 NC -3629.610000 -0.0017846 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 200000.000000 BRL 34981.550000 USD 2026-04-02 -3629.610000 N N N N/A N/A 000000000 1.000000 NC -6.640000 -0.0000033 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2144.790000 BRL 402.000000 USD 2026-06-02 -6.640000 N N N PIKES PEAK CLO 2018-2A N/A 72133JAY3 500000.000000 PA USD 500689.880000 0.246178 Long ABS-CBDO CORP KY N 2 2034-10-11 Floating 4.88763 N N N N N N N/A N/A 000000000 1.000000 NC -1190.020000 -0.0005851 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 49107.920000 USD 4537375.380000 INR 2026-04-07 -1190.020000 N N N N/A N/A 000000000 3300000.000000 NC USD 5022.600000 0.0024695 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 114.500000 N N N N/A N/A 000000000 1.000000 NC -827.290000 -0.0004068 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 95678.000000 USD 3124853.050000 THB 2026-04-16 -827.290000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 4357.380000 PA USD 4313.330000 0.0021208 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.12638 N N N N N N N/A N/A 000000000 1.000000 NC 348.870000 0.0001715 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 EUR 116335.540000 USD 2026-06-17 348.870000 N N N N/A N/A 000000000 1.000000 NC 4719.980000 0.0023207 N/A DFE CL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 100576639.000000 CLP 113376.890000 USD 2026-06-17 4719.980000 N N N PIKES PEAK CLO 2019-4A N/A 72132WAN9 500000.000000 PA USD 500669.450000 0.246168 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 4.88219 N N N N N N N/A N/A 000000000 1.000000 NC 21617.300000 0.0106288 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1939420.590000 CAD 1415843.190000 USD 2026-04-02 21617.300000 N N N N/A N/A 000000000 54.000000 NC USD -114330.150000 -0.0562137 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 6125203.150000 USD -114330.150000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156 N/A 38383BBP6 4537100.250000 PA USD 4550113.560000 2.23719 Long ABS-MBS USGSE US N 2 2055-09-20 Floating 4.52294 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAF0 600000.000000 PA USD 601635.840000 0.295811 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.64 N N N N N N N/A N/A 000000000 61.000000 NC 28183.780000 0.0138574 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A 90SONIA 2027-06-15 19304845.040000 GBP 28183.780000 N N N N/A N/A 000000000 1.000000 NC -7219.200000 -0.0035495 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 212291.050000 USD 717352.690000 PEN 2026-07-15 -7219.200000 N N N N/A N/A 000000000 1.000000 NC USD -7530.800000 -0.0037027 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-20 26207.740000 USD 0.000000 USD 2900000.000000 USD -33738.540000 N N N N/A N/A 000000000 1.000000 NC 2358.250000 0.0011595 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 490567.000000 USD 46323015.390000 INR 2026-04-24 2358.250000 N N N N/A N/A 000000000 1400000.000000 NC USD 167.160000 0.0000822 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2026-04-15 XXXX -11032.840000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2Q1SN0 100000.000000 PA 2250.360000 0.0011065 Long DBT NUSS TR N 2 2026-05-20 Floating 39.64 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBJ9 300000.000000 PA USD 283798.830000 0.139538 Long DBT UST US N 2 2028-01-31 Fixed 0.75 N N N N N N N/A N/A 000000000 1.000000 NC -761.540000 -0.0003744 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 60000.000000 USD 1006728000.000000 IDR 2026-04-02 -761.540000 N N N N/A N/A 000000000 -3300000.000000 NC USD -1333.200000 -0.0006555 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 467.100000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAB5 391107.650000 PA USD 390895.200000 0.192195 Long ABS-O CORP US N 2 2053-07-15 Floating 4.77223 N N N N N N N/A N/A 000000000 1.000000 NC 5319.270000 0.0026154 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -267.940000 EUR 100000.000000 EUR 5587.210000 N N N N/A N/A 000000000 1.000000 NC -1367.720000 -0.0006725 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 100000.000000 BRL 17937.860000 USD 2026-04-02 -1367.720000 N N N N/A N/A 000000000 1.000000 NC -2238.090000 -0.0011004 N/A DFE GB N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 134568.330000 USD 100000.000000 GBP 2026-06-17 -2238.090000 N N N N/A N/A 000000000 1.000000 NC 268.080000 0.0001318 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7491170.400000 INR 80000.000000 USD 2026-04-23 268.080000 N N N N/A N/A 000000000 1.000000 NC -142.060000 -0.0000698 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30000.000000 USD 955878.000000 TWD 2026-04-16 -142.060000 N N N FHLMC PASS THRU POOLS N/A 3133WEPN4 21609.040000 PA USD 21999.470000 0.0108167 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 47.690000 0.0000234 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 129133.000000 USD 2193126328.000000 IDR 2026-04-27 47.690000 N N N N/A N/A 000000000 1.000000 NC USD -94154.830000 -0.0462939 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-08-25 0.000000 USD -128701.290000 USD 32160000.000000 USD 34546.460000 N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 1602446.830000 PA USD 484857.790000 0.238394 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNN7 2300000.000000 PA USD 2296451.170000 1.12912 Long DBT UST US N 2 2030-07-31 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC 2511.410000 0.0012348 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 332708.000000 USD 53042571.000000 JPY 2026-05-07 2511.410000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WZRP4 7639400000.000000 PA 1926127.380000 0.947035 Long DBT NUSS CO N 2 2029-08-22 Fixed 11 N N N N N N N/A N/A 000000000 1.000000 NC -1546.740000 -0.0007605 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 17758.840000 USD 2026-04-02 -1546.740000 N N N N/A N/A 000000000 1.000000 NC 647.900000 0.0003186 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1285000.000000 MXN 71903.020000 USD 2026-06-17 647.900000 N N N N/A N/A 000000000 46300000.000000 NC USD 86866.670000 0.0427105 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-05-20 XXXX 832.420000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 2100000.000000 PA USD 2037287.110000 1.00169 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -4004.510000 -0.0019689 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 300000.000000 BRL 53912.230000 USD 2026-04-02 -4004.510000 N N N N/A N/A 000000000 4900000.000000 NC USD 7046.200000 0.0034645 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX 249.400000 N N N JAMESTOWN CLO 2022 XVIIIA LTD N/A 47047RAN6 500000.000000 PA USD 500669.910000 0.246169 Long ABS-CBDO CORP KY N 2 2035-07-25 Floating 4.93802 N N N N N N N/A N/A 000000000 1.000000 NC 491.780000 0.0002418 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 78940.000000 MYR 20000.000000 USD 2026-04-09 491.780000 N N N N/A N/A 000000000 1.000000 NC USD 127474.520000 0.0626765 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 27392.890000 USD 0.000000 USD 1800000.000000 USD 100081.630000 N N N N/A N/A 000000000 1.000000 NC -6.920000 -0.0000034 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19501.410000 USD 1186980.620000 PHP 2026-06-17 -6.920000 N N N N/A N/A 000000000 1.000000 NC 1331.610000 0.0006547 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 236711.910000 ILS 76775.000000 USD 2026-06-10 1331.610000 N N N N/A N/A 000000000 1.000000 NC USD -685598.810000 -0.337094 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2026-04-22 0.000000 USD 0.000000 USD 49577356.170000 USD -685598.810000 N N N N/A N/A 000000000 1.000000 NC -403.920000 -0.0001986 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 311327.630000 USD 269000.000000 EUR 2026-04-02 -403.920000 N N N N/A N/A 000000000 1.000000 NC 1979.550000 0.0009733 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 81517500.000000 CLP 90000.000000 USD 2026-04-09 1979.550000 N N N N/A N/A 000000000 490000.000000 NC USD 2867.970000 0.0014101 N/A DFE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-09-08 N/A 1400.000000 USD 2026-09-04 XXXX -3210.480000 N N N N/A N/A 000000000 1.000000 NC 983.110000 0.0004834 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 63910000.000000 CLP 70000.000000 USD 2026-04-16 983.110000 N N N N/A N/A 000000000 1.000000 NC -100.610000 -0.0000495 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10299.460000 USD 32000.000000 ILS 2026-06-10 -100.610000 N N N N/A N/A 000000000 1.000000 NC -6012.200000 -0.0029561 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 520791.460000 USD 1911000.000000 PLN 2026-04-15 -6012.200000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAY7 200000.000000 PA USD 189742.190000 0.0932921 Long DBT UST US N 2 2027-11-30 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC 2954.820000 0.0014528 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 13450345.000000 INR 145000.000000 USD 2026-04-07 2954.820000 N N N N/A N/A 000000000 1.000000 NC 1336.950000 0.0006573 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 72912326.000000 KRW 49823.240000 USD 2026-04-15 1336.950000 N N N N/A N/A 000000000 1.000000 NC -146.020000 -0.0000718 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 149560.440000 SEK 15652.650000 USD 2026-04-02 -146.020000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 124629.300000 PA USD 110857.750000 0.0545064 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.5713 N N N N N N N/A N/A 000000000 1.000000 NC 3802.550000 0.0018696 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 260000.000000 CAD 190713.390000 USD 2026-04-02 3802.550000 N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 152665.720000 PA USD 90578.910000 0.0445357 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.27303 N N N N N N N/A N/A 000000000 1.000000 NC -1039.110000 -0.0005109 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 44 Y Single Leg Swap 2030-12-20 0.000000 EUR -1205.760000 EUR 60000.000000 EUR 166.650000 N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 13253.130000 PA USD 13246.940000 0.0065132 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.76803 N N N N N N N/A N/A 000000000 1.000000 NC 414.340000 0.0002037 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1861685.970000 THB 56941.000000 USD 2026-04-20 414.340000 N N N FANNIE MAE 2006-115 N/A 31396LT26 5191.640000 PA USD 5764.390000 0.0028342 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 11.4545 N N N N N N COUNTRYWIDE HOME LOANS 2004-15 N/A 12669FL50 22820.230000 PA USD 22879.970000 0.0112496 Long ABS-MBS CORP US N 2 2034-10-20 Floating 6.58187 N N N N N N N/A N/A 000000000 1.000000 NC -0.100000 0 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16531.000000 COP 4.330000 USD 2026-06-17 -0.100000 N N N N/A N/A 000000000 1.000000 NC 2667.640000 0.0013116 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 325073.750000 PLN 90235.000000 USD 2026-04-15 2667.640000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 3170545.600000 PA USD 31118905.060000 15.3005 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC 59349.390000 0.0291808 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-08-22 0.000000 COP 0.000000 COP 2667300000.000000 COP 59349.390000 N N N N/A N/A 000000000 1.000000 NC -1858.890000 -0.000914 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 69472.490000 USD 251000.000000 PLN 2026-04-15 -1858.890000 N N N N/A N/A 000000000 1.000000 NC 87.760000 0.0000431 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 51938.070000 PEN 14998.000000 USD 2026-04-23 87.760000 N N N N/A N/A 000000000 1.000000 NC 1328.660000 0.0006533 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 324000.000000 ILS 104591.980000 USD 2026-06-10 1328.660000 N N N N/A N/A 000000000 1.000000 NC 2144.780000 0.0010545 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46631076.560000 INR 494602.000000 USD 2026-04-07 2144.780000 N N N N/A N/A 000000000 1.000000 NC USD 725.830000 0.0003569 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -268.250000 USD 100000.000000 USD 994.080000 N N N N/A N/A 000000000 1.000000 NC -9353.000000 -0.0045987 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 858144000.000000 COP 224000.000000 USD 2026-04-10 -9353.000000 N N N N/A N/A 000000000 1.000000 NC -32.710000 -0.0000161 N/A DFE JP N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 43152.940000 USD 6800000.000000 JPY 2026-06-17 -32.710000 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 256102.840000 PA USD 234675.940000 0.115385 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC -4.120000 -0.000002 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 520477.750000 THB 15875.000000 USD 2026-06-17 -4.120000 N N N N/A N/A 000000000 1.000000 NC USD -31281.770000 -0.0153806 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-12-18 21042.770000 USD 0.000000 USD 5210000.000000 USD -52324.540000 N N N N/A N/A 000000000 1.000000 NC -998.230000 -0.0004908 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 857658.000000 PEN 244525.680000 USD 2026-06-17 -998.230000 N N N N/A N/A 000000000 1.000000 NC 182169.430000 0.0895688 N/A DCR N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 207046.400000 EUR 0.000000 EUR 910300.000000 EUR -24876.970000 N N N N/A N/A 000000000 1.000000 NC 3571.500000 0.001756 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 246000.000000 AUD 173299.250000 USD 2026-04-02 3571.500000 N N N N/A N/A 000000000 1.000000 NC -1965.070000 -0.0009662 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 1600000.000000 BRL -1965.070000 N N N N/A N/A 000000000 -200000.000000 NC USD -556.680000 -0.0002737 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05500 04/29/26-10Y LCH 2036-04-29 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2026-04-27 XXXX 148.320000 N N N FHLMC PASS THRU POOLS N/A 31427CWQ2 197075.070000 PA USD 201933.730000 0.0992864 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 6 N N N N N N FREDDIE MAC 3181 N/A 31396URJ1 235603.510000 PA USD 22675.940000 0.0111493 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 2.68329 N N N N N N N/A N/A 000000000 1.000000 NC 3.600000 0.0000018 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 216.000000 GBP 289.500000 USD 2026-04-02 3.600000 N N N N/A N/A 000000000 1.000000 NC 781.270000 0.0003841 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1510974212.000000 IDR 89621.000000 USD 2026-06-10 781.270000 N N N N/A N/A 000000000 1.000000 NC -18.040000 -0.0000089 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5868.410000 BRL 1092.000000 USD 2026-07-02 -18.040000 N N N GNMA PASS THRU POOLS N/A 21H032647 200000.000000 PA USD 183473.570000 0.09021 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -1438.720000 -0.0007074 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 800000.000000 BRL -1438.720000 N N N N/A N/A 000000000 200000.000000 NC USD 399.420000 0.0001964 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.07500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.080000 USD 2026-08-14 XXXX -1160.580000 N N N N/A N/A 000000000 1.000000 NC -60.990000 -0.00003 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10000.000000 USD 34633.790000 PEN 2026-04-30 -60.990000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI38VBK6 7000000.000000 PA 156348.360000 0.0768731 Long DBT NUSS TR N 2 2026-04-07 None 0 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2XSL83 700000.000000 PA 205395.560000 0.100989 Long DBT NUSS PE N 2 2035-08-12 Fixed 6.85 N N N N N N N/A N/A 000000000 -2200000.000000 NC USD -13035.440000 -0.0064092 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96700 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 3.970000 USD 2026-05-06 XXXX -9900.440000 N N N N/A N/A 000000000 93.000000 NC -336924.320000 -0.165658 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-06-08 13478681.500000 EUR -336924.320000 N N N N/A N/A 000000000 1.000000 NC USD 416.000000 0.0002045 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -449.000000 USD 100000.000000 USD 865.000000 N N N N/A N/A 000000000 1.000000 NC 83.480000 0.000041 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 51966.930000 PEN 15002.000000 USD 2026-04-23 83.480000 N N N N/A N/A 000000000 1.000000 NC -1842.910000 -0.0009061 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 BRL 17462.670000 USD 2026-04-02 -1842.910000 N N N N/A N/A 000000000 1.000000 NC -3560.640000 -0.0017507 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 BRL 35050.520000 USD 2026-04-02 -3560.640000 N N N N/A N/A 000000000 1.000000 NC -14512.050000 -0.0071353 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 455680.000000 USD 41774464.000000 INR 2026-04-07 -14512.050000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 6784.970000 PA USD 6592.380000 0.0032413 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.25874 N N N N N N N/A N/A 000000000 200000.000000 NC USD 261.860000 0.0001288 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2026-08-04 XXXX -1478.140000 N N N N/A N/A 000000000 1.000000 NC 6508.240000 0.0032 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3331390.920000 THB 107900.000000 USD 2026-05-20 6508.240000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 397645.520000 PA USD 355643.620000 0.174862 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.02556 N N N N N N N/A N/A 000000000 1.000000 NC 37.710000 0.0000185 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 678160000.000000 IDR 40000.000000 USD 2026-04-09 37.710000 N N N N/A N/A 000000000 1.000000 NC 146.430000 0.000072 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 15652.650000 USD 149316.100000 SEK 2026-05-04 146.430000 N N N BARINGS EURO CLO 2020-1 DAC 20-1A N/A ACI316LH4 800000.000000 PA 924146.640000 0.454383 Long ABS-CBDO CORP IE N 2 2038-10-21 Floating 3.269 N N N N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 416155.490000 PA USD 39207.220000 0.0192773 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 2.07362 N N N N N N N/A N/A 000000000 1.000000 NC -491.320000 -0.0002416 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2314875.220000 TRY 49533.000000 USD 2026-05-04 -491.320000 N N N N/A N/A 000000000 900000.000000 NC USD 1369.800000 0.0006735 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 181.800000 N N N N/A N/A 000000000 1.000000 NC 107.740000 0.000053 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 936498.000000 TWD 29370.190000 USD 2026-04-13 107.740000 N N N N/A N/A 000000000 130700000.000000 NC USD 442131.960000 0.217387 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX -214308.790000 N N N GNMA PASS THRU POOLS N/A 21H050656 5340000.000000 PA USD 5278410.580000 2.59528 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F062648 -2000000.000000 PA USD -2069320.060000 -1.01744 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2024-77 N/A 3136BTRF2 413611.790000 PA USD 414535.840000 0.203818 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6119 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2Q7PM2 12800000.000000 PA 2315015.110000 1.13824 Long DBT NUSS BR N 2 2026-10-01 None 0 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 3013.090000 PA USD 2842.880000 0.0013978 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.61887 N N N N N N N/A N/A 000000000 1.000000 NC 4231.620000 0.0020806 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-01 188.920000 PLN 0.000000 PLN 1000000.000000 PLN 4042.700000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDM0 2000000.000000 PA USD 1995092.800000 0.980944 Long DBT CORP US N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2156.920000 -0.0010605 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 181424.310000 USD 5904109.400000 THB 2026-04-20 -2156.920000 N N N N/A N/A 000000000 1.000000 NC 175.200000 0.0000861 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 367000.000000 PLN 99036.520000 USD 2026-04-15 175.200000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 1140194.220000 PA USD 508893.190000 0.250212 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.92303 N N N N N N N/A N/A 000000000 1.000000 NC -2168.460000 -0.0010662 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 244622.000000 USD 4123617516.000000 IDR 2026-06-10 -2168.460000 N N N N/A N/A 000000000 1.000000 NC -200.730000 -0.0000987 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 9628.920000 USD 35000.000000 PLN 2026-04-15 -200.730000 N N N N/A N/A 000000000 1.000000 NC -1353.070000 -0.0006653 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 236944.520000 USD 178000.000000 GBP 2026-05-05 -1353.070000 N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669AK9 2604.480000 PA USD 1615.570000 0.0007943 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 -846.150000 -0.000416 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70172.280000 USD 1179089593.000000 IDR 2026-06-10 -846.150000 N N N N/A N/A 000000000 1.000000 NC -18040.340000 -0.00887 N/A DFE CO N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 10187847305.200000 COP 2670961.200000 USD 2026-08-18 -18040.340000 N N N N/A N/A 000000000 1.000000 NC 2966.230000 0.0014584 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 560357.000000 USD 89135987.000000 JPY 2026-05-07 2966.230000 N N N N/A N/A 000000000 -2700000.000000 NC USD -35384.310000 -0.0173977 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2026-04-28 XXXX -10184.310000 N N N N/A N/A 000000000 1.000000 NC USD 55447.020000 0.0272621 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-09-16 0.000000 USD -31090.950000 USD 4600000.000000 USD 86537.970000 N N N N/A N/A 000000000 1.000000 NC -144.820000 -0.0000712 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 362746863.600000 COP 96991.140000 USD 2026-06-17 -144.820000 N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 100801.850000 PA USD 58387.490000 0.0287079 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.5 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFT7 200000.000000 PA USD 200760.360000 0.0987095 Long DBT CORP US N 2 2035-07-19 Floating 5.32 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 35487.350000 PA USD 34337.590000 0.016883 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.33874 N N N N N N N/A N/A 000000000 1.000000 NC 8214.150000 0.0040387 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2430060.280000 CAD 1757608.180000 USD 2026-05-04 8214.150000 N N N NORTHWOODS CAPITAL XIV-B LTD N/A 66860CAL7 433716.020000 PA USD 434203.540000 0.213489 Long ABS-CBDO CORP KY N 2 2031-11-13 Floating 4.88308 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 1096.960000 PA USD 1066.080000 0.0005242 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.93876 N N N N N N N/A N/A 000000000 1.000000 NC USD -136.640000 -0.0000672 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-04-01 0.000000 USD -15360.000000 USD 3200000.000000 USD 15223.360000 N N N LEHMAN XS TRUST 2007-16N N/A 52525BAD4 165127.540000 PA USD 153175.940000 0.0753133 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.49303 N N N N N N N/A N/A 000000000 1.000000 NC -974.400000 -0.0004791 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 152679696.000000 COP 39910.000000 USD 2026-06-17 -974.400000 N N N FHLMC PASS THRU POOLS N/A 3142GVLG4 520050.270000 PA USD 530365.230000 0.260769 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 18915.080000 0.0093001 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 464677.550000 USD 2504937.270000 BRL 2026-04-02 18915.080000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 465977.260000 PA USD 452734.000000 0.2226 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.93698 N N N N N N N/A N/A 000000000 1.000000 NC 44.740000 0.000022 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5079.000000 USD 18919275.000000 COP 2026-04-24 44.740000 N N N N/A N/A 000000000 1.000000 NC -296.490000 -0.0001458 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 73978853.000000 KRW 48899.030000 USD 2026-04-15 -296.490000 N N N N/A N/A 000000000 1.000000 NC -918.500000 -0.0004516 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 118815.220000 USD 102000.000000 EUR 2026-04-02 -918.500000 N N N FREDDIE MAC REMICS 5480 N/A 3137HHUD1 242832.860000 PA USD 244605.590000 0.120267 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC 2333.730000 0.0011474 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-04 0.000000 EUR -136.150000 EUR 100000.000000 EUR 2469.880000 N N N N/A N/A 000000000 1.000000 NC USD 10680.020000 0.0052511 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2036-06-17 15590.730000 USD 0.000000 USD 926000.000000 USD -4910.710000 N N N FREDDIE MAC-3136 N/A 31396NH41 18787.270000 PA USD 1679.540000 0.0008258 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 2.91329 N N N N N N N/A N/A 000000000 1.000000 NC 2874.140000 0.0014132 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 306015.110000 USD 1600000.000000 BRL 2026-04-02 2874.140000 N N N N/A N/A 000000000 1200000.000000 NC USD 95073.600000 0.0467456 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29600 02/08/28-30Y LCH 2058-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2028-02-04 XXXX 11073.600000 N N N N/A N/A 000000000 1.000000 NC -2064.880000 -0.0010153 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 237665.760000 USD 178000.000000 GBP 2026-04-02 -2064.880000 N N N N/A N/A 000000000 1.000000 NC 14.580000 0.0000072 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 130000.000000 USD 2207283546.000000 IDR 2026-04-27 14.580000 N N N N/A N/A 000000000 2600000.000000 NC USD 1738.620000 0.0008548 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.260000 USD 2026-04-28 XXXX -23023.280000 N N N N/A N/A 000000000 1.000000 NC -5458.190000 -0.0026837 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 91164.720000 USD 2822715.000000 THB 2026-04-20 -5458.190000 N N N N/A N/A 000000000 1.000000 NC -58.500000 -0.0000288 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 29981403.000000 KRW 2026-04-23 -58.500000 N N N N/A N/A 000000000 1.000000 NC 1005.570000 0.0004944 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 156973937.000000 KRW 105395.000000 USD 2026-04-16 1005.570000 N N N N/A N/A 000000000 1.000000 NC 286.980000 0.0001411 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30000.000000 USD 156882.000000 BRL 2026-04-02 286.980000 N N N N/A N/A 000000000 1.000000 NC -158.080000 -0.0000777 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 31982.080000 USD 110744.350000 PEN 2026-04-06 -158.080000 N N N N/A N/A 000000000 1.000000 NC 18.410000 0.0000091 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11354.000000 USD 42067821.300000 COP 2026-04-30 18.410000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 405707.680000 PA USD 398495.410000 0.195932 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.2712 N N N N N N N/A N/A 000000000 1.000000 NC 62.110000 0.0000305 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 29425.000000 USD 9814806.000000 HUF 2026-04-15 62.110000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AH6 100000.000000 PA USD 99326.090000 0.0488365 Long DBT CORP US N 2 2031-11-15 Fixed 5.125 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 14944.270000 PA USD 14646.670000 0.0072015 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.29303 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI17K571 1333600000.000000 PA 255615.290000 0.125681 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.25 N N N N N N N/A N/A 000000000 1200000.000000 NC USD 62884.680000 0.030919 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -42715.320000 N N N N/A N/A 000000000 900000.000000 NC USD 48780.990000 0.0239846 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -28754.010000 N N N N/A N/A 000000000 1.000000 NC USD -22721.310000 -0.0111716 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1370000.000000 USD -22721.310000 N N N N/A N/A 000000000 1.000000 NC -199.020000 -0.0000979 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 32070.410000 USD 100000.000000 ILS 2026-06-10 -199.020000 N N N N/A N/A 000000000 1.000000 NC -2983.530000 -0.0014669 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 89404959.000000 JPY 560357.000000 USD 2026-04-02 -2983.530000 N N N N/A N/A 000000000 24400000.000000 NC USD 33569.520000 0.0165054 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14100 01/04/27-1Y LCH 2028-01-04 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2026-12-30 XXXX 15391.520000 N N N N/A N/A 000000000 1.000000 NC -3.590000 -0.0000018 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19777.000000 USD 1198407.090000 PHP 2026-04-13 -3.590000 N N N N/A N/A 000000000 1.000000 NC -333.620000 -0.000164 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 93611.000000 USD 5679472.980000 PHP 2026-06-17 -333.620000 N N N UMBS PASS THRU POOLS N/A 01F020653 -4350000.000000 PA USD -3502939.420000 -1.72232 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 291220.660000 PA USD 94209.740000 0.0463209 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.90303 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 359128.660000 PA USD 333671.720000 0.164059 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.16303 N N N N N N N/A N/A 000000000 1.000000 NC 19.840000 0.0000098 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 86000.000000 ILS 27429.240000 USD 2026-06-10 19.840000 N N N N/A N/A 000000000 1.000000 NC USD 23892.050000 0.0117472 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-17 28151.010000 USD 0.000000 USD 1630000.000000 USD -4258.960000 N N N BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 1222.430000 PA USD 1252.500000 0.0006158 Long ABS-MBS CORP US N 2 2034-09-20 Floating 6.61955 N N N N N N N/A N/A 000000000 -1800000.000000 NC USD -8659.080000 -0.0042575 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73250 05/11/26-10Y LCH 2036-05-11 0.000000 USD 0.000000 USD N/A USD N/A 3.730000 USD 2026-05-07 XXXX 340.920000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB78 300000.000000 PA USD 294552.230000 0.144825 Long DBT CORP US N 2 2035-10-23 Floating 5.016 N N N N N N N/A N/A 000000000 2800000.000000 NC USD 2285.360000 0.0011237 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.46250 04/16/26-7Y LCH 2033-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2026-04-14 XXXX -10270.690000 N N N N/A N/A 000000000 -2300000.000000 NC USD -6082.120000 -0.0029904 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 98.210000 USD 2026-06-04 XXXX 3351.470000 N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAN8 6664.900000 PA USD 17325.250000 0.0085185 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1413.010000 0.0006947 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 143000.000000 GBP 190687.880000 USD 2026-04-02 1413.010000 N N N N/A N/A 000000000 1.000000 NC 1978.280000 0.0009727 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 25955400.000000 CLP 30000.000000 USD 2026-04-02 1978.280000 N N N N/A N/A 000000000 1.000000 NC -2611.360000 -0.0012839 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 231594.240000 USD 173000.000000 GBP 2026-04-02 -2611.360000 N N N N/A N/A 000000000 3600000.000000 NC USD 0.360000 0.0000002 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26750 04/06/26-7Y LCH 2033-04-06 0.000000 USD 0.000000 USD N/A USD N/A 3.270000 USD 2026-04-02 XXXX -8211.210000 N N N N/A N/A 000000000 1.000000 NC 1095.740000 0.0005388 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2721392.760000 INR 29835.580000 USD 2026-04-07 1095.740000 N N N N/A N/A 000000000 1.000000 NC -2817.770000 -0.0013854 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 78894.120000 USD 1371945.000000 MXN 2026-06-17 -2817.770000 N N N N/A N/A 000000000 1.000000 NC 611.890000 0.0003009 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3560525.040000 THB 109239.000000 USD 2026-06-17 611.890000 N N N N/A N/A 000000000 600000.000000 NC USD 33995.400000 0.0167148 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -17934.600000 N N N N/A N/A 000000000 1.000000 NC 342.150000 0.0001682 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR 673.500000 N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 40361.030000 PA USD 37517.460000 0.0184465 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.87092 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 138530.980000 PA USD 132593.790000 0.0651935 Long ABS-MBS CORP US N 2 2035-12-20 Floating 4.42952 N N N N N N N/A N/A 000000000 1.000000 NC USD 980.560000 0.0004821 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -317.500000 USD 100000.000000 USD 1298.060000 N N N N/A N/A 000000000 1.000000 NC 4004.550000 0.001969 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 115346.520000 USD 455272714.440000 COP 2026-09-16 4004.550000 N N N N/A N/A 000000000 2800000.000000 NC USD 21658.000000 0.0106488 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.59900 06/29/26-7Y LCH 2033-06-29 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-06-25 XXXX -1422.260000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 873322.660000 PA USD 272788.620000 0.134124 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC -96414.870000 -0.0474051 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 74130.250000 AUD 0.000000 AUD 3700000.000000 AUD -170545.120000 N N N N/A N/A 000000000 1.000000 NC 807.740000 0.0003971 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-29 0.000000 EUR -188.000000 EUR 100000.000000 EUR 995.740000 N N N N/A N/A 000000000 1.000000 NC 47.140000 0.0000232 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 13000.000000 SGD 10158.360000 USD 2026-04-02 47.140000 N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 662632.370000 PA USD 521448.270000 0.256385 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.29303 N N N N N N N/A N/A 000000000 1.000000 NC -3187.570000 -0.0015673 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85314.230000 USD 1481055.000000 MXN 2026-06-17 -3187.570000 N N N GNMA PASS THRU POOLS N/A 21H030641 -6400000.000000 PA USD -5714598.460000 -2.80974 Short ABS-MBS USGSE US N 2 2056-04-21 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 93.930000 0.0000462 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 9936.000000 USD 3338471.000000 HUF 2026-04-15 93.930000 N N N N/A N/A 000000000 1.000000 NC -381.300000 -0.0001875 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 39461.250000 USD 158137.000000 MYR 2026-04-09 -381.300000 N N N N/A N/A 000000000 1.000000 NC USD 915.090000 0.0004499 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -780.000000 USD 200000.000000 USD 1695.090000 N N N N/A N/A 000000000 1.000000 NC 3103.490000 0.0015259 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8367875.040000 INR 91474.180000 USD 2026-04-07 3103.490000 N N N N/A N/A 000000000 -8.000000 NC 16820.300000 0.0082702 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -1067358.330000 EUR 16820.300000 N N N N/A N/A 000000000 -3.000000 NC USD 3409.560000 0.0016764 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2027-06-15 -722925.000000 USD 3409.560000 N N N N/A N/A 000000000 1.000000 NC -14980.560000 -0.0073656 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 388357.000000 USD 35355244.570000 INR 2026-04-07 -14980.560000 N N N N/A N/A 000000000 1.000000 NC -15.690000 -0.0000077 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 412.990000 USD 13084.830000 THB 2026-04-20 -15.690000 N N N N/A N/A 000000000 1.000000 NC -60.760000 -0.0000299 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 103911.750000 BRL 20000.000000 USD 2026-04-02 -60.760000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 428071.640000 PA USD 162203.190000 0.0797518 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.03303 N N N N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI11JW62 300000.000000 PA 299492.350000 0.147254 Long DBT NUSS CI N 2 2048-03-22 Fixed 6.625 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 8056.230000 PA USD 8014.020000 0.0039403 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N N/A N/A 000000000 1.000000 NC -546.730000 -0.0002688 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2062787.180000 TRY 44262.020000 USD 2026-04-30 -546.730000 N N N N/A N/A 000000000 1.000000 NC 2838.150000 0.0013955 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 185000.000000 GBP 247704.230000 USD 2026-04-02 2838.150000 N N N N/A N/A 000000000 1.000000 NC -1811.640000 -0.0008907 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 210657.000000 USD 3552014071.000000 IDR 2026-06-10 -1811.640000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAE5 521338.960000 PA USD 138406.060000 0.0680513 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.31303 N N N N N N N/A N/A 000000000 1.000000 NC -719.810000 -0.0003539 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 210922.520000 BRL 40000.000000 USD 2026-04-02 -719.810000 N N N N/A N/A 000000000 1.000000 NC 755.480000 0.0003715 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 155967.360000 PEN 45204.000000 USD 2026-09-16 755.480000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 479015.530000 PA USD 247866.630000 0.121871 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 9158.860000 0.0045032 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3402119.150000 NZD 1966237.750000 USD 2026-05-04 9158.860000 N N N N/A N/A 000000000 1.000000 NC -384.140000 -0.0001889 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 93771.000000 USD 3076626.510000 THB 2026-04-16 -384.140000 N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 241.010000 PA USD 240.890000 0.0001184 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.02343 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 217872.310000 PA USD 218456.470000 0.10741 Long ABS-MBS CORP US N 2 2055-05-25 Floating 4.9119 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 3388641.290000 PA USD 811373.560000 0.398935 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.01303 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AA6 1482266.950000 PA USD 940433.600000 0.462391 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.92803 N N N N N N N/A N/A 000000000 1.000000 NC USD -134.770000 -0.0000663 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -890.000000 USD 200000.000000 USD 755.230000 N N N N/A N/A 000000000 1.000000 NC 2185.480000 0.0010746 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 18661032.640000 MXN 1042143.180000 USD 2026-04-20 2185.480000 N N N BGCLO 19A N/A 09075JAU3 1000000.000000 PA USD 1002627.790000 0.49297 Long ABS-CBDO CORP KY N 2 2037-07-17 Floating 5.25763 N N N N N N 37 CAPITAL CLO I 2021-1A N/A 88430TAQ4 500000.000000 PA USD 500684.190000 0.246176 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 4.95219 N N N N N N N/A N/A 000000000 1.000000 NC -321.460000 -0.0001581 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 USD 3195076.000000 TWD 2026-04-27 -321.460000 N N N N/A N/A 000000000 1.000000 NC USD -10824.830000 -0.0053223 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 6362.420000 USD 0.000000 USD 2200000.000000 USD -17187.250000 N N N N/A N/A 000000000 -3000000.000000 NC USD -42930.300000 -0.0211079 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 06/04/26-7Y LCH 2033-06-04 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-06-02 XXXX -27930.300000 N N N N/A N/A 000000000 1.000000 NC -8081.560000 -0.0039735 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 400000.000000 BRL 69140.750000 USD 2026-04-02 -8081.560000 N N N N/A N/A 000000000 -200000.000000 NC USD -178.520000 -0.0000878 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 04/20/26-10Y LCH 2036-04-20 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-04-16 XXXX 466.480000 N N N N/A N/A 000000000 -1100000.000000 NC USD -3679.720000 -0.0018092 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.230000 USD 2026-04-06 XXXX -757.840000 N N N N/A N/A 000000000 1.000000 NC -0.270000 -0.0000001 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4.940000 USD 153.810000 THB 2026-04-20 -0.270000 N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 1212163.180000 PA USD 1081387.990000 0.531695 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.73874 N N N N N N GNMA PASS THRU POOLS N/A 21H040640 6430000.000000 PA USD 6024194.340000 2.96197 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4 N N N N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer