NPORT-P false 0000810893 XXXXXXXX S000079898 C000241370 C000241367 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Total Return Fund V S000079898 549300FWMPGHJPL5Y817 2026-03-31 2026-03-31 N 564547512.540000 197053383.260000 367494129.280000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 USD BRL PEN AUD EUR CAD GBP JPY N Bloomberg US Aggregate Total Return Unhedged USD Index LBUSTRUU FNMA PASS THRU POOLS N/A 3140QUFM3 2372141.590000 PA USD 2345366.850000 0.638205 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5 N N N N N N N/A N/A 000000000 -800000.000000 NC USD -2410.160000 -0.0006558 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/4.06900 05/04/26-10Y LCH 2036-05-04 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2026-04-30 XXXX 471.840000 N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCG8 300000.000000 PA USD 265534.150000 0.0722553 Long DBT CORP US N 2 2031-01-15 Fixed 2.45 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XDW2 800000.000000 PA USD 790047.390000 0.214982 Long DBT CORP US N 2 2029-02-04 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC 3269.770000 0.0008897 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14418372.600000 INR 155538.000000 USD 2026-04-07 3269.770000 N N N N/A N/A 000000000 1.000000 NC -65849.550000 -0.0179185 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 -8573.490000 EUR 1810000.000000 EUR -57276.060000 N N N N/A N/A 000000000 2.000000 NC USD -2456.280000 -0.0006684 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 226859.380000 USD -2456.280000 N N N N/A N/A 000000000 1.000000 NC -348.080000 -0.0000947 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 105400.000000 BRL 20000.000000 USD 2026-04-02 -348.080000 N N N N/A N/A 000000000 1.000000 NC -664.870000 -0.0001809 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 264000.000000 USD 4470693163.000000 IDR 2026-04-27 -664.870000 N N N N/A N/A 000000000 1.000000 NC USD 4323.270000 0.0011764 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 500000.000000 USD 4323.270000 N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440CE2 1400000.000000 PA USD 1422747.550000 0.387148 Long DBT CORP US N 2 2028-08-15 Fixed 4.95 N N N N N N SUNNOVA HESTIA I ISSUER LLC 2023-GRID1 N/A 86746BAA1 343464.320000 PA USD 336522.770000 0.0915723 Long ABS-O MUN US N 2 2050-12-20 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 7270.240000 0.0019783 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1374253.570000 USD 218601828.000000 JPY 2026-05-07 7270.240000 N N N SMURFIT KAPPA TREASURY UNLIMITED COMPANY 635400B3DOXSWFOWJT40 83272GAD3 300000.000000 PA USD 305894.770000 0.083238 Long DBT CORP IE N 2 2030-01-15 Fixed 5.2 N N N N N N HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC 254900ZZRL7MWL1X8E92 41068XAK6 300000.000000 PA USD 291278.190000 0.0792606 Long DBT CORP US N 2 2036-03-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 44262.550000 0.0120444 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2817009.500000 SGD 2235294.280000 USD 2026-04-02 44262.550000 N N N N/A N/A 000000000 1.000000 NC -108.900000 -0.0000296 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 140000.000000 USD 2373952000.000000 IDR 2026-04-09 -108.900000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TP3 514208.200000 PA USD 394597.000000 0.107375 Long DBT UST US N 2 2053-02-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -9839.740000 -0.0026775 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 289999.080000 USD 5052334.970000 MXN 2026-06-17 -9839.740000 N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAV0 1000000.000000 PA USD 1002895.470000 0.272901 Long DBT CORP GB N 2 2029-03-27 Fixed 4.654 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NS6 1100000.000000 PA USD 1102314.250000 0.299954 Long DBT CORP US N 2 2028-05-24 Floating 4.658 N N N N N N INTERSTATE POWER AND LIGHT COMPANY EF9UQIIO4KY2BWOK3P26 461070AP9 1100000.000000 PA USD 1092420.210000 0.297262 Long DBT CORP US N 2 2028-09-26 Fixed 4.1 N N N N N N N/A N/A 000000000 1.000000 NC 600375.580000 0.16337 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 42 Y Single Leg Swap 2029-12-20 670824.780000 EUR 0.000000 EUR 3358085.370000 EUR -70449.200000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 500000.000000 PA USD 443300.780000 0.120628 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFT5 1100000.000000 PA 826045.680000 0.224778 Long DBT NUSS CA N 2 2034-09-01 Fixed 4.45 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBL1 800000.000000 PA USD 802679.370000 0.21842 Long DBT CORP US N 2 2027-11-19 Floating 4.876 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2MY5W7 400000.000000 PA 444197.860000 0.120872 Long DBT NUSS RO N 2 2036-02-22 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC 1058.550000 0.000288 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 69000.000000 GBP 92386.980000 USD 2026-04-02 1058.550000 N N N NEDERLANDSE WATERSCHAPSBANK NV (NWB BANK) JLP5FSPH9WPSHY3NIM24 63983TEH4 200000.000000 PA USD 200448.380000 0.0545446 Long DBT NUSS NL N 2 2028-06-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 4024.940000 0.0010952 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-05 0.000000 EUR 0.000000 EUR 200000.000000 EUR 4024.940000 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCS2 400000.000000 PA USD 387749.010000 0.105512 Long DBT CORP US N 2 2029-09-27 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC -1155.040000 -0.0003143 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 40256.000000 USD 710844.470000 MXN 2026-09-17 -1155.040000 N N N N/A N/A 000000000 1.000000 NC -26854.950000 -0.0073076 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 14868033.560000 EUR 17184547.530000 USD 2026-05-04 -26854.950000 N N N N/A N/A 000000000 1.000000 NC -291.480000 -0.0000793 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2028205.930000 TRY 43492.000000 USD 2026-05-05 -291.480000 N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAK8 300000.000000 PA USD 295845.750000 0.0805035 Long DBT CORP FR N 2 2027-10-19 Floating 2.045 N N N N N N N/A N/A 000000000 1.000000 NC -1077.540000 -0.0002932 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2495697.780000 TRY 54068.000000 USD 2026-04-17 -1077.540000 N N N FERGUSON FINANCE PLC 2138003A7ZEU931DZL61 314890AB0 800000.000000 PA USD 753949.060000 0.205159 Long DBT CORP GB N 2 2030-06-02 Fixed 3.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 300000.000000 PA USD 291041.020000 0.0791961 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565ECY9 500000.000000 PA USD 505719.330000 0.137613 Long DBT CORP US N 2 2030-03-21 Fixed 5.05 N N N N N N N/A N/A 000000000 1.000000 NC -1431.830000 -0.0003896 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 39952.730000 USD 143000.000000 PLN 2026-04-15 -1431.830000 N N N N/A N/A 000000000 1.000000 NC 108.160000 0.0000294 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 399638.000000 MXN 22268.670000 USD 2026-06-17 108.160000 N N N N/A N/A 000000000 1.000000 NC 21356.010000 0.0058113 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 2056-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2056-09-16 15193.000000 GBP 0.000000 GBP 310000.000000 GBP 6163.010000 N N N N/A N/A 000000000 1.000000 NC 1160.570000 0.0003158 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 113220.100000 USD 172002454.000000 KRW 2026-04-15 1160.570000 N N N N/A N/A 000000000 1.000000 NC 961.230000 0.0002616 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 601000.000000 EUR 695627.210000 USD 2026-04-02 961.230000 N N N MASSMUTUAL GLOBAL FUNDING II 549300K1IE3K7YU6VG29 57629TCB1 400000.000000 PA USD 395983.510000 0.107752 Long DBT CORP US N 2 2029-01-22 Fixed 4 N N N N N N DHAFRAH PV2 ENERGY CO LLC 529900AHXZA1YRZN9C67 25241MAA5 500000.000000 PA USD 486110.120000 0.132277 Long DBT CORP AE N 2 2053-06-30 Fixed 5.794 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 414318.000000 PA USD 297986.250000 0.081086 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TA6 600000.000000 PA USD 401332.030000 0.109208 Long DBT UST US N 2 2041-08-15 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 10.030000 0.0000027 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 610.000000 USD 3211.650000 BRL 2026-04-02 10.030000 N N N N/A N/A 000000000 1.000000 NC 2238.440000 0.0006091 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2207594.360000 THB 69247.000000 USD 2026-04-16 2238.440000 N N N MOUNTAIN VIEW CLO 2016-1 LLC N/A 62432FAV6 1000000.000000 PA USD 999068.150000 0.27186 Long ABS-CBDO CORP KY N 2 2033-04-14 Floating 4.53253 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBW9 1850000.000000 PA USD 1754645.360000 0.477462 Long DBT CORP US N 2 2028-06-15 Fixed 1.9 N N N N N N N/A N/A 000000000 1.000000 NC 2059.690000 0.0005605 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 45709.560000 CHF 59225.220000 USD 2026-04-02 2059.690000 N N N N/A N/A 000000000 1.000000 NC USD 1640.340000 0.0004464 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-02 0.000000 USD -6428.570000 USD 900000.000000 USD 8068.910000 N N N N/A N/A 000000000 -689500.000000 NC USD -550.910000 -0.0001499 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put 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 2026-07-13 N/A 1350.000000 USD 2026-07-09 XXXX 1621.020000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAM8 1100000.000000 PA USD 1082630.400000 0.294598 Long DBT CORP US N 2 2029-01-23 Floating 3.509 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QD99 900000.000000 PA USD 899054.820000 0.244645 Long DBT CORP US N 2 2026-04-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 27.270000 0.0000074 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1659.000000 USD 8734.640000 BRL 2026-04-02 27.270000 N N N CAPITAL FOUR CLO IV DAC 4A N/A ACI38L038 1400000.000000 PA 1613285.090000 0.438996 Long ABS-CBDO CORP IE N 2 2038-04-15 Floating 3.189 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 4530000.000000 PA 1361356.190000 0.370443 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 -9918.480000 -0.0026989 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 308344.250000 USD 5381748.040000 MXN 2026-06-17 -9918.480000 N N N POST ROAD EQUIPMENT FINANCE 2025-1 LLC N/A 73747LAB4 981367.590000 PA USD 988114.490000 0.268879 Long ABS-O CORP US N 2 2031-05-15 Fixed 4.9 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BNDC0SII9 300000.000000 PA 167142.500000 0.0454817 Long DBT MUN AU N 2 2033-09-15 Fixed 2.25 N N N N N N JDE PEETS NV 724500EHG519SE5ZRT89 ACI1YJCM3 200000.000000 PA 211311.440000 0.0575006 Long DBT CORP NL N 2 2029-01-16 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -243.850000 -0.0000664 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 187086.740000 PLN 50153.000000 USD 2026-04-15 -243.850000 N N N N/A N/A 000000000 1.000000 NC -7713.180000 -0.0020989 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 192449.000000 USD 17492748.080000 INR 2026-04-07 -7713.180000 N N N N/A N/A 000000000 1.000000 NC -1399.350000 -0.0003808 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-29 0.000000 EUR -207.870000 EUR 100000.000000 EUR -1191.480000 N N N N/A N/A 000000000 1.000000 NC USD 5017.480000 0.0013653 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -591.000000 USD 200000.000000 USD 5608.480000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YDF3 400000.000000 PA USD 409244.450000 0.111361 Long DBT CORP JP N 2 2030-07-10 Floating 5.382 N N N N N N N/A N/A 000000000 1.000000 NC -10605.570000 -0.0028859 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 300147430.000000 JPY 1880623.000000 USD 2026-04-02 -10605.570000 N N N N/A N/A 000000000 1.000000 NC 27509.140000 0.0074856 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 17157710.730000 USD 14868033.560000 EUR 2026-04-02 27509.140000 N N N NSTAR ELECTRIC COMPANY 54930080R72Y2Z31UR68 67021CAP2 870000.000000 PA USD 855073.780000 0.232677 Long DBT CORP US N 2 2030-04-01 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC 96.550000 0.0000263 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12000.000000 PLN 3329.070000 USD 2026-04-15 96.550000 N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AW9 15000.000000 PA USD 12555.910000 0.0034166 Long DBT CORP US N 2 2032-05-18 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -14713.990000 -0.0040039 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 -10258.510000 AUD 700000.000000 AUD -4455.480000 N N N FHLMC PASS THRU POOLS N/A 3133KRBP8 3821034.270000 PA USD 3698363.100000 1.00637 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 985.500000 0.0002682 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 -408.330000 EUR 200000.000000 EUR 1393.830000 N N N N/A N/A 000000000 1.000000 NC USD -456.820000 -0.0001243 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 100000.000000 USD -456.820000 N N N N/A N/A 000000000 1.000000 NC 7461.240000 0.0020303 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 988455.000000 USD 157586217.000000 JPY 2026-05-07 7461.240000 N N N N/A N/A 000000000 1.000000 NC -8284.040000 -0.0022542 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 214199.000000 USD 19498213.670000 INR 2026-04-07 -8284.040000 N N N NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION 4NYF266XZC35SCTGX023 637432NW1 400000.000000 PA USD 342367.690000 0.0931628 Long DBT CORP US N 2 2031-03-15 Fixed 1.35 N N N N N N N/A N/A 000000000 1.000000 NC -423.660000 -0.0001153 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 261187.000000 BRL 50000.000000 USD 2026-04-02 -423.660000 N N N N/A N/A 000000000 1.000000 NC 19820.230000 0.0053933 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2929124.000000 USD 15275088.750000 BRL 2026-04-02 19820.230000 N N N N/A N/A 000000000 -200000.000000 NC USD -1132.760000 -0.0003082 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 GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A N/A 39571NAC0 1400000.000000 PA USD 1423915.360000 0.387466 Long ABS-O CORP US N 2 2060-03-25 Fixed 5.32 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HN6 200000.000000 PA USD 131038.140000 0.0356572 Long DBT CORP US N 2 2052-02-01 Fixed 3.45 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DD64 900000.000000 PA USD 899376.030000 0.244732 Long DBT CORP US N 2 2026-04-06 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -99802.950000 -0.0271577 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 -10905.980000 BRL 11500000.000000 BRL -88896.970000 N N N N/A N/A 000000000 1.000000 NC 51.290000 0.000014 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50000.000000 USD 75256213.000000 KRW 2026-04-20 51.290000 N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAV3 1100000.000000 PA USD 994353.690000 0.270577 Long DBT CORP US N 2 2030-02-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 1797.640000 0.0004892 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3117060.000000 THB 96441.420000 USD 2026-04-20 1797.640000 N N N N/A N/A 000000000 -200000.000000 NC -30.680000 -0.0000083 N/A DIR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Call Written MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR 2.54000 04/20/26-5Y LCH 2031-04-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.540000 EUR 2026-04-16 XXXX 383.590000 N N N N/A N/A 000000000 -500000.000000 NC -585.000000 -0.0001592 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN45 (V1 ONLY) 5Y SP Single Leg Swap 2031-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.050000 EUR 2026-05-20 XXXX 274.460000 N N N MUTUAL OF OMAHA COMPANIES GLOBAL FUNDING 635400AL5J3F1ZPTAN95 62829D2E9 400000.000000 PA USD 401477.170000 0.109247 Long DBT CORP US N 2 2029-10-15 Fixed 4.75 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1VHWN6 500000.000000 PA 275617.850000 0.0749993 Long DBT CORP AU N 2 2032-08-20 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 1107.690000 0.0003014 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 38902.410000 USD 717341.000000 MXN 2026-04-10 1107.690000 N N N N/A N/A 000000000 1.000000 NC 739.120000 0.0002011 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1077428.050000 THB 33443.000000 USD 2026-04-16 739.120000 N N N N/A N/A 000000000 1.000000 NC 1221.110000 0.0003323 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3495121.000000 THB 107344.010000 USD 2026-04-20 1221.110000 N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAJ6 300000.000000 PA USD 303416.870000 0.0825637 Long DBT CORP GB N 2 2027-10-18 Floating 6.557 N N N N N N N/A N/A 000000000 1.000000 NC -19611.450000 -0.0053365 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2045-06-18 0.000000 JPY -20095.940000 JPY 30000000.000000 JPY 484.490000 N N N N/A N/A 000000000 1.000000 NC -708.440000 -0.0001928 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2528268.470000 TRY 54355.000000 USD 2026-04-28 -708.440000 N N N N/A N/A 000000000 1.000000 NC -4255.300000 -0.0011579 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 120037.940000 USD 2088000.000000 MXN 2026-06-17 -4255.300000 N N N FHLMC PASS THRU POOLS N/A 3142GQEL2 3487802.760000 PA USD 3511477.230000 0.955519 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 5.5 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CR1 1400000.000000 PA USD 1422353.450000 0.387041 Long DBT CORP US N 2 2032-03-25 Fixed 5.65 N N N N N N UMBS PASS THRU POOLS N/A 01F060667 8140000.000000 PA USD 8285565.020000 2.25461 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 USD 209.150000 0.0000569 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 300000.000000 USD 209.150000 N N N N/A N/A 000000000 1.000000 NC 3650.590000 0.0009934 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3528451.730000 THB 110752.000000 USD 2026-04-16 3650.590000 N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCH6 700000.000000 PA USD 706566.730000 0.192266 Long DBT CORP US N 2 2028-06-01 Fixed 5.45 N N N N N N TENNESSEE VALLEY AUTHORITY (TVA) 549300HE1ISW43LNKM54 880591EX6 60000.000000 PA USD 52530.710000 0.0142943 Long DBT USGA US N 2 2031-09-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 4732.020000 0.0012876 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -1000.000000 USD 500000.000000 USD 5732.020000 N N N N/A N/A 000000000 1.000000 NC 2252.060000 0.0006128 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 104000.000000 AUD 74006.880000 USD 2026-04-02 2252.060000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 85325C2A9 400000.000000 PA USD 403606.830000 0.109827 Long DBT CORP GB N 2 2030-10-15 Floating 5.005 N N N N N N HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC 254900ZZRL7MWL1X8E92 40408AAA9 500000.000000 PA USD 509505.120000 0.138643 Long DBT CORP US N 2 2031-01-15 Fixed 6.15 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 400000.000000 PA USD 293671.880000 0.079912 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KDU5 600000.000000 PA USD 597995.580000 0.162722 Long DBT CORP US N 2 2026-04-28 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEF9 300000.000000 PA USD 300986.070000 0.0819023 Long DBT CORP US N 2 2028-04-22 Floating 4.58834 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 1108000.000000 PA USD 1104624.060000 0.300583 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 -7647.160000 -0.0020809 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 190651.000000 USD 17328746.020000 INR 2026-04-07 -7647.160000 N N N N/A N/A 000000000 1.000000 NC USD 392.060000 0.0001067 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 500000.000000 USD 392.060000 N N N N/A N/A 000000000 1.000000 NC USD -15383.800000 -0.0041861 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 4900000.000000 USD -15383.800000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 3100000.000000 PA USD 1618054.670000 0.440294 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N N/A N/A 000000000 1.000000 NC 387781.200000 0.10552 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 13930033.560000 EUR 16488813.560000 USD 2026-04-02 387781.200000 N N N N/A N/A 000000000 1.000000 NC 132.650000 0.0000361 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4093000.000000 ZAR 241693.090000 USD 2026-04-20 132.650000 N N N HARVEST CLO XVI DAC 16A N/A ACI354S05 1300000.000000 PA 1501629.950000 0.408613 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.336 N N N N N N N/A N/A 000000000 1.000000 NC USD 76610.420000 0.0208467 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-12-18 13384.990000 USD 0.000000 USD 700000.000000 USD 63225.430000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AED5 1700000.000000 PA USD 1681788.210000 0.457637 Long DBT CORP US N 2 2029-01-08 Fixed 4.25 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087S21 417000.000000 PA 296675.890000 0.0807294 Long DBT NUSS CA N 2 2034-12-01 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 1027.730000 0.0002797 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 144183.000000 USD 6597836.430000 TRY 2026-04-20 1027.730000 N N N N/A N/A 000000000 1.000000 NC 26020.920000 0.0070806 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3505159.110000 USD 161289896.450000 TRY 2026-04-24 26020.920000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 99000.000000 PA USD 98644.220000 0.0268424 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N COTY INC 549300BO9IWPF3S48F93 ACI2P8220 300000.000000 PA 347236.330000 0.0944876 Long DBT CORP US N 2 2027-05-15 Fixed 4.5 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 298785JV9 15000.000000 PA USD 14651.300000 0.0039868 Long DBT CORP N/A N 2 2033-02-14 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -1007.610000 -0.0002742 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 1588.190000 0.0004322 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 34529767.160000 INR 366247.000000 USD 2026-04-07 1588.190000 N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI1Q9PP3 300000.000000 PA 139948.810000 0.0380819 Long DBT MUN AU N 2 2037-11-20 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -2925.320000 -0.000796 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1394934.630000 USD 24978257.460000 MXN 2026-04-20 -2925.320000 N N N RWE FINANCE US LLC 529900J7MYLKI84UP772 749983AC6 1600000.000000 PA USD 1556302.820000 0.42349 Long DBT CORP US N 2 2035-09-18 Fixed 5.125 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAZ9 1300000.000000 PA USD 1222585.100000 0.332682 Long DBT CORP US N 2 2030-09-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2663.540000 0.0007248 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 800000.000000 USD 2663.540000 N N N UMBS PASS THRU POOLS N/A 01F050650 3100000.000000 PA USD 3053723.080000 0.830958 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8F0 400000.000000 PA USD 399709.070000 0.108766 Long DBT CORP US N 2 2027-10-15 Floating 4.35414 N N N N N N N/A N/A 000000000 1.000000 NC 470.260000 0.000128 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 475602.200000 NOK 49588.000000 USD 2026-04-07 470.260000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863EB0 500000.000000 PA USD 506625.000000 0.137859 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC USD 196.020000 0.0000533 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-06 0.000000 USD -790.000000 USD 200000.000000 USD 986.020000 N N N NTT FINANCE CORPORATION 3538007PR116187GD960 62954WAV7 800000.000000 PA USD 811751.050000 0.220888 Long DBT CORP JP N 2 2035-07-16 Fixed 5.502 N N N N N N FNMA PASS THRU POOLS N/A 3140QSDY4 9383465.190000 PA USD 9305021.770000 2.53202 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5 N N N N N N N/A N/A 000000000 -267730.000000 NC USD -213.920000 -0.0000582 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 745.950000 N N N FHLMC PASS THRU POOLS N/A 3132DWLL5 1550180.020000 PA USD 1559557.820000 0.424376 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -400000.000000 NC USD -2089.520000 -0.0005686 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 -799.520000 N N N N/A N/A 000000000 1.000000 NC USD 3606.040000 0.0009813 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -1025.000000 USD 500000.000000 USD 4631.040000 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDQ6 900000.000000 PA USD 897519.240000 0.244227 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGW5 216846.000000 PA USD 217752.490000 0.0592533 Long DBT UST US N 2 2028-04-15 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC 1671.320000 0.0004548 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 18796056.900000 INR 200171.000000 USD 2026-04-07 1671.320000 N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAT4 300000.000000 PA USD 295984.790000 0.0805414 Long DBT CORP FR N 2 2032-01-12 Floating 4.656 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKW8 500000.000000 PA USD 503341.100000 0.136966 Long DBT CORP US N 2 2028-07-22 Floating 4.948 N N N N N N N/A N/A 000000000 1.000000 NC -1413.560000 -0.0003846 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3352890.690000 TRY 73951.580000 USD 2026-04-03 -1413.560000 N N N HANWHA Q CELLS AMERICAS HOLDINGS CORP 988400471QDZGCLXRM35 41136TAA5 300000.000000 PA USD 304700.290000 0.082913 Long DBT CORP US N 2 2028-07-27 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -829.870000 -0.0002258 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2452443.250000 TRY 54355.000000 USD 2026-04-02 -829.870000 N N N N/A N/A 000000000 1.000000 NC -301.000000 -0.0000819 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 105156.160000 BRL 20000.000000 USD 2026-04-02 -301.000000 N N N GOLUB CAPITAL PARTNERS CLO 50B LTD N/A 38178DAN7 800000.000000 PA USD 800249.560000 0.217758 Long ABS-CBDO CORP JE N 2 2035-04-20 Floating 4.77763 N N N N N N N/A N/A 000000000 22.000000 NC 10164.640000 0.0027659 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A 90SONIA 2027-06-15 6962403.130000 GBP 10164.640000 N N N N/A N/A 000000000 1.000000 NC 857.170000 0.0002332 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1680629395.000000 IDR 99672.000000 USD 2026-06-10 857.170000 N N N N/A N/A 000000000 1.000000 NC USD 577.140000 0.000157 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -318.000000 USD 80000.000000 USD 895.140000 N N N N/A N/A 000000000 1.000000 NC 401.640000 0.0001093 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 670293458.000000 IDR 39812.430000 USD 2026-06-10 401.640000 N N N N/A N/A 000000000 -300000.000000 NC USD -1448.340000 -0.0003941 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 286.040000 N N N N/A N/A 000000000 1.000000 NC 2567.110000 0.0006985 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 34079993.520000 INR 362476.000000 USD 2026-04-07 2567.110000 N N N N/A N/A 000000000 1.000000 NC -494.790000 -0.0001346 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 159929.000000 USD 14982948.370000 INR 2026-04-24 -494.790000 N N N N/A N/A 000000000 1.000000 NC USD 2442.080000 0.0006645 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 100000.000000 USD 2442.080000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UM8 1575000.000000 PA USD 1535132.810000 0.41773 Long DBT UST US N 2 2055-08-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 143.390000 0.000039 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 184301.670000 PLN 49790.000000 USD 2026-04-15 143.390000 N N N PUBLIC SERVICE COMPANY OF OKLAHOMA F3TJNSIZRGXRH8GEIK79 744533BM1 875000.000000 PA USD 768503.920000 0.20912 Long DBT CORP US N 2 2031-08-15 Fixed 2.2 N N N N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 118042.550000 PA USD 118870.030000 0.0323461 Long ABS-O CORP US N 2 2030-06-15 Fixed 5.89 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WBB3 700000.000000 PA USD 690758.950000 0.187965 Long DBT CORP US N 2 2030-12-15 Fixed 4.45 N N N N N N SNAM SPA 8156002278562044AF79 83304JAA5 600000.000000 PA USD 606407.290000 0.165011 Long DBT CORP IT N 2 2030-05-28 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 691.660000 0.0001882 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 289138.900000 PLN 78579.000000 USD 2026-04-15 691.660000 N N N N/A N/A 000000000 1.000000 NC USD -1609.900000 -0.0004381 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 300000.000000 USD -1609.900000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KK2 1265000.000000 PA USD 1310672.560000 0.356651 Long DBT CORP US N 2 2053-04-01 Fixed 6.7 N N N N N N N/A N/A 000000000 1.000000 NC -5.140000 -0.0000014 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 135.230000 USD 4284.380000 THB 2026-04-20 -5.140000 N N N N/A N/A 000000000 1.000000 NC 3968.360000 0.0010798 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3495121.080000 THB 110000.000000 USD 2026-04-09 3968.360000 N N N N/A N/A 000000000 1.000000 NC -6728.610000 -0.0018309 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 212689.540000 USD 19502567.370000 INR 2026-04-07 -6728.610000 N N N N/A N/A 000000000 1.000000 NC -2327.890000 -0.0006334 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 65178.180000 USD 1133429.000000 MXN 2026-06-17 -2327.890000 N N N N/A N/A 000000000 1.000000 NC USD -1413.540000 -0.0003846 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 900000.000000 USD -1413.540000 N N N N/A N/A 000000000 1.000000 NC -2633.400000 -0.0007166 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 70482.200000 USD 1223571.000000 MXN 2026-06-17 -2633.400000 N N N MANULIFE FINANCIAL CORPORATION 5493007GBX87QOZACS27 56501RAN6 15000.000000 PA USD 14211.380000 0.0038671 Long DBT CORP CA N 2 2032-03-16 Fixed 3.703 N N N N N N N/A N/A 000000000 1.000000 NC -2781.840000 -0.000757 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 412976.860000 USD 65100000.000000 JPY 2026-04-02 -2781.840000 N N N N/A N/A 000000000 1.000000 NC 465.130000 0.0001266 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1485000.000000 MXN 82810.540000 USD 2026-06-17 465.130000 N N N N/A N/A 000000000 1.000000 NC 1991.420000 0.0005419 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 66537.720000 USD 1228659.000000 MXN 2026-04-10 1991.420000 N N N N/A N/A 000000000 1.000000 NC 29613.720000 0.0080583 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1578909.000000 AUD 1118982.280000 USD 2026-04-02 29613.720000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SC3 600000.000000 PA USD 451710.940000 0.122917 Long DBT UST US N 2 2048-05-15 Fixed 3.125 N N N N N N FREDDIE MAC REMICS 5491 N/A 3137HHVQ1 400993.840000 PA USD 403623.000000 0.109831 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 4.9619 N N N N N N ENTERPRISE FLEET FINANCING 2025-1 LLC N/A 29390HAB5 864052.740000 PA USD 866586.140000 0.23581 Long ABS-O CORP US N 2 2027-10-20 Fixed 4.65 N N N N N N GOLUB CAPITAL BDC INC 2549005WE0QLGK9APF78 38173MAD4 300000.000000 PA USD 307086.590000 0.0835623 Long DBT CORP US N 2 2028-12-05 Fixed 7.05 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDU7 1300000.000000 PA USD 1324432.360000 0.360395 Long DBT CORP US N 2 2029-07-24 Floating 5.299 N N N N N N N/A N/A 000000000 1.000000 NC -225.190000 -0.0000613 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2374979035.000000 IDR 139726.430000 USD 2026-04-09 -225.190000 N N N N/A N/A 000000000 1.000000 NC USD 2985.790000 0.0008125 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 200000.000000 USD 2985.790000 N N N PACIFIC LIFE GLOBAL FUNDING II 6354003EUPCHXTWUU869 6944PL3F4 800000.000000 PA USD 807500.180000 0.219732 Long DBT CORP US N 2 2030-02-10 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC 198861.040000 0.0541127 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 118600.620000 GBP 0.000000 GBP 3800000.000000 GBP 80260.420000 N N N N/A N/A 000000000 1.000000 NC -1645.950000 -0.0004479 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-22 0.000000 EUR -202.350000 EUR 100000.000000 EUR -1443.600000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SH2 2900000.000000 PA USD 2062625.000000 0.561268 Long DBT UST US N 2 2049-05-15 Fixed 2.875 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CU7 500000.000000 PA USD 513152.200000 0.139636 Long DBT CORP US N 2 2028-08-15 Fixed 5.65 N N N N N N N/A N/A 000000000 1.000000 NC -322.910000 -0.0000879 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 94823.000000 USD 1603931045.000000 IDR 2026-04-16 -322.910000 N N N N/A N/A 000000000 1.000000 NC -273.710000 -0.0000745 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 102000.000000 USD 3260714.000000 TWD 2026-04-27 -273.710000 N N N N/A N/A 000000000 1.000000 NC 55179.440000 0.0150151 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 2546244.000000 AUD 1811960.960000 USD 2026-04-02 55179.440000 N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI2R4B43 100000.000000 PA 112344.020000 0.0305703 Long DBT NUSS N/A N 2 2031-12-04 Fixed 2.5 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61748UAE2 400000.000000 PA USD 406236.610000 0.110542 Long DBT CORP US N 2 2031-01-15 Floating 5.23 N N N N N N CDW LLC / CDW FINANCE CORP N/A 12513GBF5 1400000.000000 PA USD 1333774.260000 0.362938 Long DBT CORP US N 2 2029-02-15 Fixed 3.25 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DY2 500000.000000 PA USD 508576.890000 0.138391 Long DBT CORP US N 2 2031-01-30 Floating 5.085 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AV7 700000.000000 PA USD 463331.200000 0.126079 Long DBT CORP US N 2 2050-04-15 Fixed 3.15 N N N N N N N/A N/A 000000000 1.000000 NC 2228.480000 0.0006064 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3245063.020000 THB 100728.000000 USD 2026-04-16 2228.480000 N N N N/A N/A 000000000 1.000000 NC 1177.640000 0.0003205 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 125881.590000 USD 1200828.480000 SEK 2026-05-04 1177.640000 N N N N/A N/A 000000000 1.000000 NC -48.190000 -0.0000131 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 228163.010000 BRL 44000.000000 USD 2026-04-02 -48.190000 N N N N/A N/A 000000000 1.000000 NC -841.910000 -0.0002291 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 276297.930000 BRL 52499.000000 USD 2026-04-02 -841.910000 N N N N/A N/A 000000000 1.000000 NC 1091.660000 0.0002971 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 192548.680000 USD 1875000.000000 NOK 2026-04-07 1091.660000 N N N N/A N/A 000000000 4.000000 NC -14289.670000 -0.0038884 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-06-08 579728.240000 EUR -14289.670000 N N N FREDDIE MAC REMICS 5560 N/A 3137HLZD7 398606.580000 PA USD 402269.220000 0.109463 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 4.6619 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAR1 3700000.000000 PA USD 3644692.770000 0.991769 Long DBT CORP US N 2 2032-01-21 Floating 4.516 N N N N N N N/A N/A 000000000 1.000000 NC -428.220000 -0.0001165 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 100000.000000 USD 3190220.000000 TWD 2026-04-23 -428.220000 N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCP4 700000.000000 PA 501625.810000 0.136499 Long DBT CORP US N 2 2033-02-15 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC 135505.220000 0.0368728 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4877000.000000 GBP 6590704.650000 USD 2026-04-02 135505.220000 N N N N/A N/A 000000000 1.000000 NC USD 4609.390000 0.0012543 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 599.540000 USD 0.000000 USD 300000.000000 USD 4009.850000 N N N N/A N/A 000000000 1.000000 NC -647.650000 -0.0001762 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2007276.130000 TRY 43472.000000 USD 2026-04-21 -647.650000 N N N N/A N/A 000000000 1.000000 NC 264.210000 0.0000719 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 887000.000000 MXN 49449.650000 USD 2026-06-17 264.210000 N N N N/A N/A 000000000 -800000.000000 NC USD -2297.440000 -0.0006252 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/3.66900 05/04/26-10Y LCH 2036-05-04 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-30 XXXX 584.560000 N N N N/A N/A 000000000 -687500.000000 NC USD -563.750000 -0.0001534 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put 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 2026-07-14 N/A 1350.000000 USD 2026-07-10 XXXX 1210.000000 N N N ROMARK CLO IV LTD 2021-4A N/A 77588LAN1 900000.000000 PA USD 900949.370000 0.24516 Long ABS-CBDO CORP KY N 2 2034-07-10 Floating 4.78968 N N N N N N N/A N/A 000000000 1.000000 NC -117376.010000 -0.0319396 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 24083932.620000 BRL 4532166.470000 USD 2026-04-02 -117376.010000 N N N N/A N/A 000000000 1.000000 NC -16.840000 -0.0000046 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 363.700000 USD 11423.820000 THB 2026-04-20 -16.840000 N N N FHLMC PASS THRU POOLS N/A 3142GRGT1 1138936.720000 PA USD 1146406.780000 0.311952 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1977.120000 0.000538 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14956560.080000 INR 159929.000000 USD 2026-04-07 1977.120000 N N N N/A N/A 000000000 1.000000 NC -2689.560000 -0.0007319 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 208329.000000 USD 19325118.860000 INR 2026-04-24 -2689.560000 N N N N/A N/A 000000000 1.000000 NC USD 1247.840000 0.0003396 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 200000.000000 USD 1247.840000 N N N N/A N/A 000000000 1.000000 NC 7821.900000 0.0021284 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-05 0.000000 EUR 0.000000 EUR 400000.000000 EUR 7821.900000 N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KE0 775000.000000 PA USD 775000.000000 0.210888 Long DBT CORP US N 2 2026-04-01 Fixed 3.25 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLG2 1800000.000000 PA USD 1825892.690000 0.49685 Long DBT CORP US N 2 2029-04-25 Floating 5.202 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAK6 1600000.000000 PA USD 1513090.400000 0.411732 Long DBT CORP US N 2 2030-09-01 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC -65.850000 -0.0000179 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21921.000000 USD 720017.170000 THB 2026-04-16 -65.850000 N N N N/A N/A 000000000 1.000000 NC 807.310000 0.0002197 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 995.310000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA87 800000.000000 PA USD 825499.180000 0.224629 Long DBT CORP US N 2 2030-04-25 Floating 5.727 N N N N N N N/A N/A 000000000 1.000000 NC 1503.610000 0.0004092 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 142906.520000 USD 1398461.770000 NOK 2026-05-04 1503.610000 N N N N/A N/A 000000000 1.000000 NC 1872.500000 0.0005095 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 142000.000000 PLN 40124.020000 USD 2026-04-15 1872.500000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UP1 9300000.000000 PA USD 8887312.500000 2.41836 Long DBT UST US N 2 2055-11-15 Fixed 4.625 N N N N N N KODIT GLOBAL 2024-1 COLTD N/A ACI2P7FP7 300000.000000 PA USD 303279.900000 0.0825265 Long DBT CORP KR N 2 2027-05-29 Fixed 5.357 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 200000.000000 PA USD 209258.740000 0.0569421 Long DBT CORP US N 2 2029-10-24 Floating 6.484 N N N N N N JDE PEETS NV 724500EHG519SE5ZRT89 ACI1YJ6N8 200000.000000 PA 184932.810000 0.0503227 Long DBT CORP NL N 2 2033-06-16 Fixed 1.125 N N N N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 656029AH8 1100000.000000 PA USD 952003.000000 0.259053 Long DBT CORP JP N 2 2031-09-22 Fixed 2.08 N N N N N N N/A N/A 000000000 1.000000 NC 185.020000 0.0000503 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 641642.000000 MXN 35765.000000 USD 2026-06-17 185.020000 N N N N/A N/A 000000000 1.000000 NC 766.210000 0.0002085 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 100000.000000 AUD 69761.230000 USD 2026-04-02 766.210000 N N N N/A N/A 000000000 1.000000 NC -62.450000 -0.000017 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50000.000000 USD 847600000.000000 IDR 2026-04-17 -62.450000 N N N N/A N/A 000000000 1.000000 NC -87.980000 -0.0000239 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 15496.080000 USD 19810.190000 SGD 2026-04-02 -87.980000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SZ2 2525000.000000 PA USD 1438559.560000 0.391451 Long DBT UST US N 2 2051-08-15 Fixed 2 N N N N N N N/A N/A 000000000 407.000000 NC USD -838851.050000 -0.228262 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 45173820.520000 USD -838851.050000 N N N N/A N/A 000000000 1.000000 NC -15180.980000 -0.0041309 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 707034.800000 USD 2568381.680000 PLN 2026-04-22 -15180.980000 N N N NSTAR ELECTRIC COMPANY 54930080R72Y2Z31UR68 67021CAN7 1000000.000000 PA USD 968255.250000 0.263475 Long DBT CORP US N 2 2029-05-15 Fixed 3.25 N N N N N N WISCONSIN POWER AND LIGHT COMPANY JWBYHVQVMY66CVCOSO49 976826BS5 300000.000000 PA USD 304650.440000 0.0828994 Long DBT CORP US N 2 2034-03-30 Fixed 5.375 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BD3 81000.000000 PA 25245.030000 0.0068695 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -578.740000 -0.0001575 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19933.710000 USD 71850.900000 PLN 2026-04-15 -578.740000 N N N N/A N/A 000000000 1.000000 NC 4464.880000 0.001215 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19587806.940000 INR 211326.000000 USD 2026-04-07 4464.880000 N N N N/A N/A 000000000 -1800000.000000 NC USD -2453.060000 -0.0006675 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 0.800000 USD 2026-06-17 XXXX -473.060000 N N N N/A N/A 000000000 1.000000 NC USD -1423.310000 -0.0003873 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -721.500000 USD 200000.000000 USD -701.810000 N N N N/A N/A 000000000 1.000000 NC USD -9451.830000 -0.002572 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 0.000000 USD -3098.960000 USD 3236000.000000 USD -6352.870000 N N N N/A N/A 000000000 1.000000 NC USD 216682.810000 0.0589623 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 62763.340000 USD 0.000000 USD 3800000.000000 USD 153919.470000 N N N N/A N/A 000000000 1.000000 NC -2119.990000 -0.0005769 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 115999.000000 USD 171256716.000000 KRW 2026-04-13 -2119.990000 N N N N/A N/A 000000000 1.000000 NC -22.720000 -0.0000062 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 313362.000000 MXN 17353.660000 USD 2026-06-17 -22.720000 N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDQ7 900000.000000 PA USD 897597.090000 0.244248 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 63752.400000 0.0173479 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-18 45814.400000 USD 0.000000 USD 3200000.000000 USD 17938.000000 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAQ5 900000.000000 PA USD 733284.530000 0.199536 Long DBT CORP US N 2 2032-11-15 Fixed 2.5 N N N N N N PEAC SOLUTIONS RECEIVABLES 2025-1A LLC N/A 69392HAB9 980341.050000 PA USD 985146.680000 0.268071 Long ABS-O CORP US N 2 2028-10-20 Fixed 4.94 N N N N N N N/A N/A 000000000 -27400000.000000 NC USD -14431.580000 -0.003927 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 07/15/26-1Y LCH 2027-07-15 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-07-13 XXXX 9132.420000 N N N N/A N/A 000000000 1.000000 NC -16300.320000 -0.0044355 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 500103.920000 USD 8724812.990000 MXN 2026-06-17 -16300.320000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YBG7 700000.000000 PA USD 692629.760000 0.188474 Long DBT CORP GB N 2 2030-02-10 Floating 4.241 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 1300000.000000 PA USD 1283558.470000 0.349273 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N TOYOTA AUTO RECEIVABLES 2024-B OWNER TRUST N/A 89237NAD9 248222.760000 PA USD 250452.470000 0.0681514 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.33 N N N N N N RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES N/A Y7280PAA1 600000.000000 PA USD 566452.680000 0.154139 Long DBT CORP IN N 2 2028-07-14 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 6429.690000 0.0017496 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 424244.860000 USD 40472959.640000 INR 2026-04-24 6429.690000 N N N N/A N/A 000000000 -300000.000000 NC USD -1135.770000 -0.0003091 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 832.980000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JJ3 300000.000000 PA USD 304753.060000 0.0829273 Long DBT CORP US N 2 2030-03-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 196.510000 0.0000535 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 200171.000000 USD 18829685.630000 INR 2026-04-24 196.510000 N N N N/A N/A 000000000 1.000000 NC -594.030000 -0.0001616 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 69643.000000 USD 2274637.880000 THB 2026-04-17 -594.030000 N N N N/A N/A 000000000 1.000000 NC -195.420000 -0.0000532 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 57316.060000 USD 45673.660000 CHF 2026-04-02 -195.420000 N N N N/A N/A 000000000 1.000000 NC -720.060000 -0.0001959 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2716762.000000 TRY 58294.610000 USD 2026-04-30 -720.060000 N N N N/A N/A 000000000 1.000000 NC -7279.100000 -0.0019807 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 427056.000000 USD 66620693.000000 JPY 2026-04-02 -7279.100000 N N N N/A N/A 000000000 1.000000 NC USD 44862.670000 0.0122077 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-11-15 0.000000 USD 0.000000 USD 1070000.000000 USD 44862.670000 N N N N/A N/A 000000000 1.000000 NC 20257.150000 0.0055122 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3517912.960000 USD 5128153.000000 AUD 2026-04-02 20257.150000 N N N N/A N/A 000000000 1.000000 NC USD 153689.970000 0.0418211 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.46 Y Single Leg Swap 2031-06-20 115480.000000 USD 0.000000 USD 3100000.000000 USD 38209.970000 N N N N/A N/A 000000000 1.000000 NC -8396.830000 -0.0022849 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 214422.000000 USD 19508649.620000 INR 2026-04-07 -8396.830000 N N N N/A N/A 000000000 1.000000 NC 1746.250000 0.0004752 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 363259.000000 USD 34301639.220000 INR 2026-04-24 1746.250000 N N N JONES LANG LASALLE INCORPORATED 6SYKCME112RT8TQUO411 48020QAB3 200000.000000 PA USD 211194.570000 0.0574688 Long DBT CORP US N 2 2028-12-01 Fixed 6.875 N N N N N N MERCEDES-BENZ FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 58769JAZ0 500000.000000 PA USD 504947.330000 0.137403 Long DBT CORP US N 2 2027-11-15 Fixed 4.9 N N N N N N BMW VEHICLE LEASE TRUST 2024-1 N/A 05611UAD5 106617.910000 PA USD 106733.310000 0.0290435 Long ABS-O CORP US N 2 2027-03-25 Fixed 4.98 N N N N N N N/A N/A 000000000 1.000000 NC -1500.640000 -0.0004083 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3312869.810000 TRY 72091.000000 USD 2026-04-13 -1500.640000 N N N N/A N/A 000000000 1.000000 NC -816.580000 -0.0002222 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 39285.800000 USD 3642673.660000 INR 2026-04-07 -816.580000 N N N N/A N/A 000000000 70.000000 NC -21406.920000 -0.0058251 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 5204131.840000 AUD -21406.920000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CMM0 9500000.000000 PA USD 9748818.400000 2.65278 Long DBT UST US N 2 2035-02-15 Fixed 4.625 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAT2 500000.000000 PA USD 516045.760000 0.140423 Long DBT CORP GB N 2 2029-01-10 Floating 6.534 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325ET8 200000.000000 PA USD 198400.000000 0.0539873 Long DBT NUSS CO N 2 2029-01-21 Fixed 5.375 N N N N N N AVANGRID INC 549300OX0Q38NLSKPB49 05351WAB9 400000.000000 PA USD 390521.950000 0.106266 Long DBT CORP US N 2 2029-06-01 Fixed 3.8 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TY4 562679.460000 PA USD 496656.620000 0.135147 Long DBT UST US N 2 2054-02-15 Fixed 2.125 N N N N N N GNMA PASS THRU POOLS N/A 21H060655 940000.000000 PA USD 954806.420000 0.259815 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 6 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAP3 1250000.000000 PA USD 1110698.480000 0.302236 Long DBT CORP NL N 2 2031-07-12 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 4577.560000 0.0012456 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19293348.690000 INR 208329.000000 USD 2026-04-07 4577.560000 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YCZ0 200000.000000 PA USD 205544.890000 0.0559315 Long DBT CORP JP N 2 2029-07-06 Floating 5.778 N N N N N N N/A N/A 000000000 1.000000 NC -646.230000 -0.0001758 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2485871.570000 TRY 54355.000000 USD 2026-04-16 -646.230000 N N N N/A N/A 000000000 1.000000 NC 1154.710000 0.0003142 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2267928.040000 THB 70000.000000 USD 2026-04-17 1154.710000 N N N FHLMC PASS THRU POOLS N/A 3142GQBU5 3412347.300000 PA USD 3436291.640000 0.93506 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -8481.160000 -0.0023078 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 248045.000000 USD 4059169.610000 ZAR 2026-04-20 -8481.160000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BF9 1500000.000000 PA USD 1509424.980000 0.410734 Long DBT CORP NL N 2 2027-09-11 Floating 6.083 N N N N N N N/A N/A 000000000 1.000000 NC -1341.390000 -0.000365 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 107373.030000 USD 3495121.000000 THB 2026-04-09 -1341.390000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JW8 900000.000000 PA USD 871242.300000 0.237077 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -671.840000 -0.0001828 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2480436.070000 TRY 54355.000000 USD 2026-04-14 -671.840000 N N N N/A N/A 000000000 1.000000 NC USD 41239.130000 0.0112217 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.43 Y Single Leg Swap 2029-12-20 51791.850000 USD 0.000000 USD 693000.000000 USD -10552.720000 N N N N/A N/A 000000000 1.000000 NC 243.780000 0.0000663 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 139726.430000 USD 2380594640.000000 IDR 2026-06-10 243.780000 N N N N/A N/A 000000000 -200000.000000 NC -741.850000 -0.0002019 N/A DIR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Put Written MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR 2.92000 04/20/26-5Y LCH 2031-04-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.920000 EUR 2026-04-16 XXXX -327.580000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TR9 2500000.000000 PA USD 2005175.780000 0.545635 Long DBT UST US N 2 2053-05-15 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 8282.770000 0.0022539 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 100000.000000 USD 8282.770000 N N N N/A N/A 000000000 1.000000 NC 1420.590000 0.0003866 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2204229.020000 THB 68327.000000 USD 2026-04-16 1420.590000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SP4 500000.000000 PA USD 244599.610000 0.0665588 Long DBT UST US N 2 2050-08-15 Fixed 1.375 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BL1 600000.000000 PA USD 618702.590000 0.168357 Long DBT CORP CH N 2 2030-09-13 Floating 5.617 N N N N N N DENSO CORPORATION 549300RYPA10CQM3QK38 24872BAB6 700000.000000 PA USD 699255.680000 0.190277 Long DBT CORP JP N 2 2029-09-11 Fixed 4.42 N N N N N N VASA TRUST 2021-VASA N/A 92230AAA4 500000.000000 PA USD 491347.650000 0.133702 Long ABS-MBS CORP US N 2 2039-07-15 Floating 4.68748 N N N N N N N/A N/A 000000000 1.000000 NC 120.430000 0.0000328 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 184910.340000 PLN 49931.000000 USD 2026-04-15 120.430000 N N N N/A N/A 000000000 1.000000 NC -782.640000 -0.000213 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6621439.190000 TRY 144183.000000 USD 2026-04-24 -782.640000 N N N N/A N/A 000000000 1.000000 NC -1162.130000 -0.0003162 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 40282049.460000 INR 424244.860000 USD 2026-04-07 -1162.130000 N N N N/A N/A 000000000 1.000000 NC -24351.980000 -0.0066265 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-06-18 0.000000 JPY -25337.930000 JPY 20000000.000000 JPY 985.950000 N N N FNMA PASS THRU POOLS N/A 3140QSDX6 6935406.190000 PA USD 6723118.120000 1.82945 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 19247.910000 0.0052376 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-12-17 0.000000 USD 0.000000 USD 300000.000000 USD 19247.910000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDG3 1800000.000000 PA USD 1796636.880000 0.488889 Long DBT CORP US N 2 2026-04-16 None 0 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BW2 600000.000000 PA USD 593248.160000 0.161431 Long DBT CORP US N 2 2031-10-15 Fixed 4.5 N N N N N N JDE PEETS NV 724500EHG519SE5ZRT89 47216QAC7 500000.000000 PA USD 434995.230000 0.118368 Long DBT CORP NL N 2 2031-09-24 Fixed 2.25 N N N N N N GS REFT 2026-FL1 ISSUER LTD N/A 36274DAA2 500000.000000 PA USD 501250.000000 0.136397 Long ABS-CBDO CORP KY N 2 2043-04-19 Floating 5.17 N N N N N N GOODLEAP SUSTAINABLE HOME IMPROVEMENT LOAN TRUST 2023-3C N/A 38237CAA6 384616.240000 PA USD 377324.530000 0.102675 Long ABS-O CORP US N 2 2055-07-20 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QQDV4 1625466.110000 PA USD 1576464.240000 0.428977 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N HANWHA ENERGY USA HOLDINGS CORPORATION 549300VVIE7XDIYNIT55 41135WAC5 400000.000000 PA USD 400526.820000 0.108989 Long DBT CORP US N 2 2028-07-02 Fixed 4.375 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI381N52 1100000.000000 PA 1241772.660000 0.337903 Long DBT NUSS MX N 2 2031-05-16 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -2879.200000 -0.0007835 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 SMURFIT WESTROCK FINANCING DAC 6354005S6ZLHLVX7VT12 83272YAC6 700000.000000 PA USD 689107.720000 0.187515 Long DBT CORP IE N 2 2036-01-15 Fixed 5.185 N N N N N N GNMA PASS THRU POOLS N/A 21H042653 2300000.000000 PA USD 2219506.260000 0.603957 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 3.860000 0.0000011 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 670571472.000000 IDR 39431.000000 USD 2026-06-10 3.860000 N N N N/A N/A 000000000 1.000000 NC 2381430.730000 0.648019 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 2709867.180000 EUR 0.000000 EUR 11900000.000000 EUR -328436.450000 N N N BNG BANK NV 529900GGYMNGRQTDOO93 05591F2Y5 600000.000000 PA USD 616771.970000 0.167832 Long DBT CORP NL N 2 2030-02-01 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 143.260000 0.000039 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 124999.000000 USD 2124565253.000000 IDR 2026-04-27 143.260000 N N N N/A N/A 000000000 1.000000 NC -11292.210000 -0.0030728 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 217214.670000 USD 6781985.030000 THB 2026-04-20 -11292.210000 N N N N/A N/A 000000000 1.000000 NC -10.080000 -0.0000027 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3254.530000 BRL 610.000000 USD 2026-06-02 -10.080000 N N N WISCONSIN POWER AND LIGHT COMPANY JWBYHVQVMY66CVCOSO49 976826BR7 300000.000000 PA USD 301195.430000 0.0819592 Long DBT CORP US N 2 2033-04-01 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC 24247.790000 0.0065981 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5131000.000000 GBP 6815369.790000 USD 2026-05-05 24247.790000 N N N N/A N/A 000000000 1.000000 NC USD 3785.560000 0.0010301 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 400000.000000 USD 3785.560000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 5561732.000000 PA USD 5324836.760000 1.44896 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAN6 800000.000000 PA USD 719909.570000 0.195897 Long DBT CORP US N 2 2030-06-27 Fixed 1.96 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -1391.700000 -0.0003787 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 370.800000 N N N GOODMAN US FINANCE FIVE LLC N/A 38239PAA5 615000.000000 PA USD 605313.340000 0.164714 Long DBT CORP US N 2 2032-05-04 Fixed 4.625 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KE18 900000.000000 PA USD 896659.200000 0.243993 Long DBT CORP US N 2 2026-05-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 2196.280000 0.0005976 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 148000.000000 AUD 104308.910000 USD 2026-04-02 2196.280000 N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAD2 200000.000000 PA USD 191959.180000 0.0522346 Long DBT CORP GB N 2 2032-04-15 Fixed 7.75 N N N N N N FORTRESS CREDIT BSL X LTD 2021-1A N/A 34962HAJ6 497832.360000 PA USD 498099.280000 0.135539 Long ABS-CBDO CORP KY N 2 2033-04-20 Floating 4.76763 N N N N N N BRANDYWINE OPERATING PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AQ6 100000.000000 PA USD 95999.480000 0.0261227 Long DBT CORP US N 2 2027-11-15 Fixed 3.95 N N N N N N ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC N/A 00501XAA9 700000.000000 PA USD 699549.030000 0.190357 Long ABS-CBDO CORP US N 2 2044-08-18 Floating 5.10997 N N N N N N N/A N/A 000000000 1.000000 NC USD 4119.000000 0.0011208 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 500000.000000 USD 4119.000000 N N N MONDELEZ INTERNATIONAL INC 549300DV9GIB88LZ5P30 609207BD6 500000.000000 PA 370019.640000 0.100687 Long DBT CORP US N 2 2031-07-03 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 5053.150000 0.001375 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 1354.550000 USD 0.000000 USD 535000.000000 USD 3698.600000 N N N FHF ISSUER TRUST 2023-2A N/A 30333LAB4 105372.720000 PA USD 106255.370000 0.0289135 Long ABS-O CORP US N 2 2029-10-15 Fixed 6.79 N N N N N N N/A N/A 000000000 1.000000 NC -3375.730000 -0.0009186 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 388543.460000 USD 291000.000000 GBP 2026-04-02 -3375.730000 N N N N/A N/A 000000000 1.000000 NC USD 3188.720000 0.0008677 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 0.000000 USD -263.910000 USD 300000.000000 USD 3452.630000 N N N N/A N/A 000000000 1.000000 NC -33925.220000 -0.0092315 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2032-06-01 0.000000 CAD -12226.520000 CAD 1400000.000000 CAD -21698.700000 N N N N/A N/A 000000000 -16.000000 NC USD 67262.450000 0.018303 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -1860250.000000 USD 67262.450000 N N N N/A N/A 000000000 1.000000 NC 67651.730000 0.0184089 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2914000.000000 NZD 1742181.520000 USD 2026-04-02 67651.730000 N N N N/A N/A 000000000 1.000000 NC -8287.660000 -0.0022552 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 192268.000000 USD 17421211.210000 INR 2026-04-07 -8287.660000 N N N N/A N/A 000000000 1.000000 NC USD -35957.130000 -0.0097844 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -59234.540000 USD 7900000.000000 USD 23277.410000 N N N N/A N/A 000000000 1.000000 NC -2832.840000 -0.0007709 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6679854.210000 TRY 144183.000000 USD 2026-04-20 -2832.840000 N N N N/A N/A 000000000 1.000000 NC USD -2407.870000 -0.0006552 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 791.710000 0.0002154 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 362476.000000 USD 34138352.160000 INR 2026-04-24 791.710000 N N N N/A N/A 000000000 1.000000 NC -227.600000 -0.0000619 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 120000.000000 USD 2033400000.000000 IDR 2026-04-27 -227.600000 N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI24TRG9 100000.000000 PA 78497.890000 0.0213603 Long DBT NUSS N/A N 2 2043-02-04 Fixed 1.25 N N N N N N FHLMC PASS THRU POOLS N/A 3142GTLS3 14815994.580000 PA USD 14898837.320000 4.05417 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 90.910000 0.0000247 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 802000.000000 MXN 44562.980000 USD 2026-06-17 90.910000 N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AT2 450000.000000 PA USD 442009.580000 0.120277 Long DBT CORP US N 2 2029-04-15 Fixed 3.65 N N N N N N AMEREN MISSOURI SECURITIZATION FUNDING I LLC N/A 023940AA7 578092.430000 PA USD 577278.020000 0.157085 Long DBT CORP US N 2 2041-10-01 Fixed 4.85 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EDJ1 700000.000000 PA USD 685110.760000 0.186428 Long DBT CORP GB N 2 2032-02-24 Floating 4.521 N N N N N N N/A N/A 000000000 79.000000 NC USD -98110.910000 -0.0266973 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 16390956.970000 USD -98110.910000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEG7 200000.000000 PA USD 206162.010000 0.0560994 Long DBT CORP US N 2 2030-04-22 Floating 5.581 N N N N N N N/A N/A 000000000 1.000000 NC USD -1365.750000 -0.0003716 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -592.500000 USD 200000.000000 USD -773.250000 N N N N/A N/A 000000000 1.000000 NC -11960.330000 -0.0032546 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 589840.000000 USD 91712393.000000 JPY 2026-04-02 -11960.330000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DD23 900000.000000 PA USD 899792.010000 0.244845 Long DBT CORP US N 2 2026-04-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -170.120000 -0.0000463 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1014405.370000 ZAR 59698.000000 USD 2026-04-20 -170.120000 N N N N/A N/A 000000000 1.000000 NC USD 1259.240000 0.0003427 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 100000.000000 USD 1259.240000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFP5 200000.000000 PA USD 202421.270000 0.0550815 Long DBT CORP US N 2 2028-04-13 Floating 5.652 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-H24 N/A 38375BGP1 20644.280000 PA USD 20591.510000 0.0056032 Long ABS-MBS USGSE US N 2 2060-10-20 Floating 4.13325 N N N N N N N/A N/A 000000000 1.000000 NC 10524.340000 0.0028638 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1880623.000000 USD 299240782.000000 JPY 2026-05-07 10524.340000 N N N BENCHMARK MORTGAGE TRUST 2018-B4 N/A 08161HAB6 69803.140000 PA USD 69453.780000 0.0188993 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 3.976 N N N N N N N/A N/A 000000000 1.000000 NC 48633.090000 0.0132337 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4616840.970000 PEN 1370307.780000 USD 2026-06-17 48633.090000 N N N N/A N/A 000000000 1.000000 NC 755.290000 0.0002055 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1498000.000000 MXN 83821.570000 USD 2026-06-17 755.290000 N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAG2 800000.000000 PA USD 807729.290000 0.219794 Long DBT CORP US N 2 2034-02-01 Fixed 5.5 N N N N N N CTP NV 3157000YTVO4TN65UM14 ACI2VCBK4 1300000.000000 PA 1460534.650000 0.397431 Long DBT CORP NL N 2 2031-03-10 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC -7317.000000 -0.0019911 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 219262157.000000 JPY 1374253.570000 USD 2026-04-02 -7317.000000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00913XDE0 900000.000000 PA USD 898539.930000 0.244505 Long DBT CORP US N 2 2026-04-14 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -759.860000 -0.0002068 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 57858.000000 USD 971117601.000000 IDR 2026-06-10 -759.860000 N N N N/A N/A 000000000 1.000000 NC 24246.150000 0.0065977 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 44 Y Single Leg Swap 2030-12-20 37505.240000 EUR 0.000000 EUR 1400000.000000 EUR -13259.090000 N N N N/A N/A 000000000 1.000000 NC -2551.730000 -0.0006944 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 211326.000000 USD 19619717.170000 INR 2026-04-24 -2551.730000 N N N N/A N/A 000000000 1.000000 NC USD 6414.540000 0.0017455 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 1980000.000000 USD 6414.540000 N N N N/A N/A 000000000 -400000.000000 NC USD -357.040000 -0.0000972 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 932.960000 N N N N/A N/A 000000000 1.000000 NC USD 17011.280000 0.004629 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 200000.000000 USD 17011.280000 N N N N/A N/A 000000000 1.000000 NC 10293.740000 0.0028011 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 766000.000000 NZD 450475.560000 USD 2026-04-02 10293.740000 N N N N/A N/A 000000000 1.000000 NC -1144.500000 -0.0003114 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2516359.840000 TRY 54092.000000 USD 2026-04-22 -1144.500000 N N N N/A N/A 000000000 1.000000 NC USD 204093.400000 0.0555365 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 203910.100000 USD 0.000000 USD 11600000.000000 USD 183.300000 N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887CL4 1500000.000000 PA USD 1504419.210000 0.409372 Long DBT CORP US N 2 2035-08-01 Fixed 5.75 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFN0 500000.000000 PA USD 501869.880000 0.136565 Long DBT CORP US N 2 2028-04-13 Floating 4.68976 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBR0 300000.000000 PA USD 311424.140000 0.0847426 Long DBT CORP US N 2 2027-11-15 Fixed 7.1 N N N N N N N/A N/A 000000000 1.000000 NC -2326.720000 -0.0006331 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 580541370.000000 KRW 383730.060000 USD 2026-04-15 -2326.720000 N N N N/A N/A 000000000 1.000000 NC -7077.210000 -0.0019258 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 183470.000000 USD 16702741.860000 INR 2026-04-07 -7077.210000 N N N N/A N/A 000000000 1.000000 NC 2861.100000 0.0007785 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15177286.320000 INR 163144.000000 USD 2026-04-07 2861.100000 N N N N/A N/A 000000000 1.000000 NC -22318.380000 -0.0060731 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 877482.330000 USD 80976000.000000 INR 2026-04-07 -22318.380000 N N N N/A N/A 000000000 1.000000 NC -18543.070000 -0.0050458 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2872389.240000 USD 3669190.020000 SGD 2026-04-02 -18543.070000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBM0 1600000.000000 PA USD 1650615.420000 0.449154 Long DBT CORP JP N 2 2028-07-12 Fixed 6.07 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLC1 780000.000000 PA USD 801521.470000 0.218105 Long DBT CORP US N 2 2028-11-10 Floating 6.204 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAN2 100000.000000 PA USD 99314.360000 0.0270247 Long DBT CORP US N 2 2028-12-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 1448.680000 0.0003942 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1278864.860000 PEN 368846.580000 USD 2026-04-10 1448.680000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SL3 2300000.000000 PA USD 1339570.320000 0.364515 Long DBT UST US N 2 2050-02-15 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -124.670000 -0.0000339 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 180000.000000 USD 270409467.000000 KRW 2026-04-27 -124.670000 N N N N/A N/A 000000000 1.000000 NC 95406.230000 0.0259613 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SENIOR FINANCIALS SERIES 44 Y Single Leg Swap 2030-12-20 154494.390000 EUR 0.000000 EUR 6100000.000000 EUR -59088.160000 N N N N/A N/A 000000000 1.000000 NC -341.800000 -0.000093 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 131266.730000 BRL 25000.000000 USD 2026-04-02 -341.800000 N N N N/A N/A 000000000 1.000000 NC USD 1480.330000 0.0004028 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-04-30 0.000000 USD 0.000000 USD 1350000.000000 USD 1480.330000 N N N N/A N/A 000000000 1.000000 NC 13544.590000 0.0036857 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 738484174.000000 KRW 504632.450000 USD 2026-04-15 13544.590000 N N N N/A N/A 000000000 -1000000.000000 NC USD -812.670000 -0.0002211 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 362.330000 N N N N/A N/A 000000000 1.000000 NC 1463.540000 0.0003982 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3634855.380000 INR 39850.190000 USD 2026-04-07 1463.540000 N N N N/A N/A 000000000 1.000000 NC -899.370000 -0.0002447 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 319809.270000 USD 10206201.000000 TWD 2026-04-13 -899.370000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SJ8 4243300.000000 PA USD 2640293.960000 0.718459 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 932.700000 0.0002538 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC SRUNSEC SOFRRATE Y Single Leg Swap 2026-06-20 3112.730000 USD 0.000000 USD 500000.000000 USD -2180.030000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2Q6 1000000.000000 PA USD 992609.150000 0.270102 Long DBT CORP FR N 2 2027-06-30 Floating 1.675 N N N N N N BMW VEHICLE LEASE TRUST 2025-1 N/A 096912AD2 1000000.000000 PA USD 1003692.200000 0.273118 Long ABS-O CORP US N 2 2028-06-26 Fixed 4.43 N N N N N N ONCOR ELECTRIC DELIVERY COMPANY LLC 549300SP2X2BS1KERD24 ACI2P4RP1 300000.000000 PA 344814.000000 0.0938284 Long DBT CORP US N 2 2031-05-15 Fixed 3.5 N N N N N N EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 635400B4JJBON4TCHF02 29449W7M3 15000.000000 PA USD 14878.590000 0.0040487 Long DBT CORP US N 2 2026-07-12 Fixed 1.3 N N N N N N N/A N/A 000000000 1.000000 NC -227.820000 -0.000062 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 195566.510000 USD 169000.000000 EUR 2026-04-02 -227.820000 N N N FHLMC PASS THRU POOLS N/A 3142GQV90 2784593.930000 PA USD 2801580.510000 0.762347 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 5.5 N N N N N N BRANDYWINE OPERATING PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AR4 100000.000000 PA USD 101852.530000 0.0277154 Long DBT CORP US N 2 2028-03-15 Variable 8.3 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HD8 1275000.000000 PA USD 1139314.310000 0.310022 Long DBT CORP US N 2 2031-06-01 Fixed 2.5 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAH5 15000.000000 PA USD 13609.800000 0.0037034 Long DBT CORP CA N 2 2031-04-15 Fixed 2.724 N N N N N N COSTA RICA GOVT 549300S1EK2VN6XVJP58 ACI3859N0 250000.000000 PA 297793.250000 0.0810335 Long DBT NUSS CR N 2 2036-01-16 Fixed 6.001 N N N N N N N/A N/A 000000000 1.000000 NC USD 1680.300000 0.0004572 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-01-31 0.000000 USD 0.000000 USD 200000.000000 USD 1680.300000 N N N N/A N/A 000000000 1.000000 NC -15.220000 -0.0000041 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6483.200000 BRL 1220.000000 USD 2026-06-02 -15.220000 N N N N/A N/A 000000000 1.000000 NC -22194.830000 -0.0060395 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-09-18 4137.540000 AUD 0.000000 AUD 900000.000000 AUD -26332.370000 N N N N/A N/A 000000000 -474269.000000 NC USD -418.780000 -0.000114 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 616.550000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TC2 600000.000000 PA USD 415148.440000 0.112967 Long DBT UST US N 2 2041-11-15 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -9802.020000 -0.0026673 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 235929.660000 USD 2140671.200000 SEK 2026-04-02 -9802.020000 N N N N/A N/A 000000000 1.000000 NC -36311.730000 -0.0098809 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 0.000000 AUD -760.450000 AUD 700000.000000 AUD -35551.280000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-A N/A 831943AA3 519368.530000 PA USD 524502.800000 0.142724 Long ABS-O CORP US N 2 2056-03-15 Fixed 5.24 N N N N N N AP MOLLER - MAERSK A/S 549300D2K6PKKKXVNN73 00203QAF4 500000.000000 PA USD 522990.830000 0.142313 Long DBT CORP DK N 2 2033-09-14 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC 141.680000 0.0000386 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1748507.560000 ZAR 103335.000000 USD 2026-04-20 141.680000 N N N N/A N/A 000000000 1.000000 NC USD 2361.990000 0.0006427 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 100000.000000 USD 2361.990000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61748UAK8 700000.000000 PA USD 692021.750000 0.188308 Long DBT CORP US N 2 2029-10-18 Floating 4.133 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAW1 500000.000000 PA USD 438474.650000 0.119315 Long DBT CORP US N 2 2030-10-15 Fixed 3 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAS4 400000.000000 PA USD 403934.780000 0.109916 Long DBT CORP ES N 2 2027-08-18 Fixed 5.294 N N N N N N MOSAIC SOLAR LOAN TRUST 2023-3A N/A 618933AA3 94528.920000 PA USD 91877.150000 0.025001 Long ABS-O CORP US N 2 2053-11-20 Fixed 5.91 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -249.920000 -0.000068 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 ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4B4 500000.000000 PA USD 500921.460000 0.136307 Long DBT CORP US N 2 2026-08-27 Floating 4.68745 N N N N N N PROJECT CASHMERE N/A 990ABJRT5 5700000.000000 PA 3932716.060000 1.07014 Long ABS-MBS CORP AU N 3 2057-12-30 Floating 4.5426 N N N N N N N/A N/A 000000000 1.000000 NC 1799.590000 0.0004897 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 366247.000000 USD 34587451.060000 INR 2026-04-24 1799.590000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HM8 300000.000000 PA USD 267697.220000 0.0728439 Long DBT CORP US N 2 2032-02-01 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -6.460000 -0.0000018 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3240.810000 BRL 611.000000 USD 2026-06-02 -6.460000 N N N THL CREDIT WIND RIVER CLO LTD 2017-3A N/A 97316LAJ7 800000.000000 PA USD 801059.220000 0.217979 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 4.87219 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 2600000.000000 PA USD 2570012.640000 0.699334 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -725.170000 -0.0001973 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1691260.900000 TRY 36061.000000 USD 2026-04-29 -725.170000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 873923AE6 400000.000000 PA USD 395152.350000 0.107526 Long DBT CORP US N 2 2031-03-24 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC 7324.610000 0.0019931 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 651000.000000 AUD 456482.180000 USD 2026-04-02 7324.610000 N N N N/A N/A 000000000 1.000000 NC 8290.660000 0.002256 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 596000.000000 CAD 436747.810000 USD 2026-04-02 8290.660000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SU3 9860000.000000 PA USD 5476921.880000 1.49034 Long DBT UST US N 2 2051-02-15 Fixed 1.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -660.550000 -0.0001797 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-05 0.000000 USD -770.000000 USD 200000.000000 USD 109.450000 N N N BENCHMARK MORTGAGE TRUST 2018-B5 N/A 08160BAB0 978624.050000 PA USD 975271.680000 0.265384 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 4.0765 N N N N N N BEIGNET INVESTOR LLC N/A 076912AA2 3500000.000000 PA USD 3601256.580000 0.979949 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDP9 900000.000000 PA USD 897697.710000 0.244275 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAX3 1000000.000000 PA USD 990798.310000 0.269609 Long DBT CORP GB N 2 2029-09-22 Floating 4.32 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QQ4 489000.000000 PA USD 471140.040000 0.128203 Long DBT UST US N 2 2041-05-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UC0 600000.000000 PA USD 537515.630000 0.146265 Long DBT UST US N 2 2054-08-15 Fixed 4.25 N N N N N N UMBS PASS THRU POOLS N/A 01F040669 2430000.000000 PA USD 2288301.110000 0.622677 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 44893.920000 0.0122162 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1102887.280000 USD 5945334.460000 BRL 2026-04-02 44893.920000 N N N N/A N/A 000000000 1.000000 NC 20622.540000 0.0056117 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6100938.530000 CAD 4412672.210000 USD 2026-05-04 20622.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SK5 790000.000000 PA USD 503532.420000 0.137018 Long DBT UST US N 2 2049-11-15 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 25791.150000 0.0070181 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2056-06-17 17874.470000 USD 0.000000 USD 1100000.000000 USD 7916.680000 N N N N/A N/A 000000000 1.000000 NC -1500.050000 -0.0004082 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3295253.230000 TRY 72092.000000 USD 2026-04-09 -1500.050000 N N N N/A N/A 000000000 1.000000 NC 5953.270000 0.00162 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-05 0.000000 EUR 0.000000 EUR 300000.000000 EUR 5953.270000 N N N N/A N/A 000000000 1.000000 NC 3967.320000 0.0010796 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 872000.000000 SGD 682197.080000 USD 2026-04-02 3967.320000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H23 N/A 38376RHF6 369786.280000 PA USD 369937.600000 0.100665 Long ABS-MBS USGSE US N 2 2065-09-20 Floating 4.30325 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QS0 10027000.000000 PA USD 8945964.060000 2.43431 Long DBT UST US N 2 2041-08-15 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -1160.820000 -0.0003159 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 172011512.000000 KRW 113220.100000 USD 2026-04-13 -1160.820000 N N N N/A N/A 000000000 1.000000 NC USD -4527.820000 -0.0012321 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-18 0.000000 USD -12712.220000 USD 400000.000000 USD 8184.400000 N N N UMBS PASS THRU POOLS N/A 01F052656 16096000.000000 PA USD 16149388.020000 4.39446 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5.5 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BPSNB4II5 2800000.000000 PA 3685253.110000 1.00281 Long DBT NUSS GB N 2 2027-03-07 Fixed 3.75 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 900000.000000 PA USD 929164.540000 0.252838 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBA3 58000.000000 PA USD 51590.640000 0.0140385 Long DBT CORP US N 2 2031-12-15 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -558.640000 -0.000152 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1189615.170000 ZAR 69650.000000 USD 2026-04-20 -558.640000 N N N N/A N/A 000000000 1.000000 NC USD -1004.940000 -0.0002735 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 200000.000000 USD -1004.940000 N N N N/A N/A 000000000 1.000000 NC 28724.400000 0.0078163 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 22230.110000 EUR 0.000000 EUR 1140000.000000 EUR 6494.290000 N N N N/A N/A 000000000 1.000000 NC -2.160000 -0.0000006 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 38.390000 USD 1193.100000 THB 2026-04-20 -2.160000 N N N N/A N/A 000000000 1.000000 NC 100.730000 0.0000274 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4240794.460000 THB 129482.000000 USD 2026-06-17 100.730000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LW9 600000.000000 PA USD 595685.140000 0.162094 Long DBT CORP US N 2 2029-04-23 Floating 4.075 N N N N N N BROOKFIELD FINANCE I UK PLC / BROOKFIELD FINANCE INC N/A 11272BAA1 1900000.000000 PA USD 1634504.720000 0.44477 Long DBT CORP GB N 2 2032-01-30 Fixed 2.34 N N N N N N SMURFIT WESTROCK FINANCING DAC 6354005S6ZLHLVX7VT12 83272YAB8 500000.000000 PA USD 504579.430000 0.137303 Long DBT CORP IE N 2 2035-01-15 Fixed 5.418 N N N N N N N/A N/A 000000000 1.000000 NC -2263.950000 -0.0006161 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 449968.360000 USD 1662000.000000 PLN 2026-04-15 -2263.950000 N N N N/A N/A 000000000 27400000.000000 NC USD 39658.760000 0.0107917 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 07/15/26-1Y LCH 2027-07-15 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2026-07-13 XXXX -20621.240000 N N N N/A N/A 000000000 1.000000 NC -1506.860000 -0.00041 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1398340.300000 NOK 142906.520000 USD 2026-04-07 -1506.860000 N N N N/A N/A 000000000 1.000000 NC -61303.790000 -0.0166816 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 19290.590000 AUD 0.000000 AUD 2300000.000000 AUD -80594.380000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SX7 734500.000000 PA USD 459679.360000 0.125085 Long DBT UST US N 2 2051-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UE6 1300000.000000 PA USD 1214789.060000 0.33056 Long DBT UST US N 2 2054-11-15 Fixed 4.5 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DD15 900000.000000 PA USD 899895.960000 0.244874 Long DBT CORP US N 2 2026-04-01 None 0 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KDF8 300000.000000 PA USD 299475.120000 0.0814911 Long DBT CORP US N 2 2026-04-15 None 0 N N N N N N GREATAMERICA LEASING RECEIVABLES FUNDING LLC 2025-1 N/A 39154GAH9 948262.380000 PA USD 950521.140000 0.258649 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.52 N N N N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAH4 625000.000000 PA USD 585993.780000 0.159457 Long DBT CORP US N 2 2029-12-01 Fixed 2.5 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2MJSF2 300000.000000 PA 345322.970000 0.0939669 Long DBT NUSS MX N 2 2032-05-25 Fixed 4.4899 N N N N N N N/A N/A 000000000 1.000000 NC -922.350000 -0.000251 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 24824565.740000 TRY 557679.960000 USD 2026-04-01 -922.350000 N N N N/A N/A 000000000 1.000000 NC -7676.870000 -0.002089 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 529694.800000 USD 8845071.540000 ZAR 2026-04-20 -7676.870000 N N N N/A N/A 000000000 1.000000 NC 520.990000 0.0001418 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1007597134.000000 IDR 59764.000000 USD 2026-06-10 520.990000 N N N N/A N/A 000000000 1.000000 NC -7611.810000 -0.0020713 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 192558.000000 USD 17512668.710000 INR 2026-04-07 -7611.810000 N N N N/A N/A 000000000 1.000000 NC 390.100000 0.0001062 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2269936.980000 THB 69643.000000 USD 2026-06-17 390.100000 N N N N/A N/A 000000000 1.000000 NC -5126.240000 -0.0013949 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 625590.240000 USD 10552768963.000000 IDR 2026-06-10 -5126.240000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U4D2 700000.000000 PA USD 693906.160000 0.188821 Long DBT CORP US N 2 2030-01-23 Floating 4.182 N N N N N N N/A N/A 000000000 1.000000 NC -352.450000 -0.0000959 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 50000.000000 USD 74643500.000000 KRW 2026-04-23 -352.450000 N N N N/A N/A 000000000 1.000000 NC -6695.710000 -0.001822 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 210246.000000 USD 19274302.050000 INR 2026-04-07 -6695.710000 N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 700000.000000 PA USD 700594.920000 0.190641 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 4.78802 N N N N N N N/A N/A 000000000 1.000000 NC 69113.550000 0.0188067 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 5505843.130000 CAD 4027197.250000 USD 2026-04-02 69113.550000 N N N MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17 N/A 55287HAA8 1200000.000000 PA USD 1196896.490000 0.325691 Long ABS-CBDO CORP US N 2 2040-02-18 Floating 4.99956 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 1900000.000000 PA USD 1909383.760000 0.519568 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQQ25 1284471.630000 PA USD 1272349.610000 0.346223 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -7505.050000 -0.0020422 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 158063839.000000 JPY 988455.000000 USD 2026-04-02 -7505.050000 N N N N/A N/A 000000000 1.000000 NC 41.460000 0.0000113 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 USD 3204188.000000 TWD 2026-04-20 41.460000 N N N N/A N/A 000000000 1.000000 NC -759.620000 -0.0002067 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1678526.960000 TRY 35989.000000 USD 2026-04-24 -759.620000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 1600000.000000 PA USD 1169062.500000 0.318117 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AJ6 2400000.000000 PA USD 2342298.170000 0.63737 Long DBT CORP US N 2 2031-03-20 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC 117651.890000 0.0320146 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4532166.470000 USD 24405036.620000 BRL 2026-06-02 117651.890000 N N N N/A N/A 000000000 1.000000 NC -1539.460000 -0.0004189 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 412002.470000 BRL 78000.000000 USD 2026-04-02 -1539.460000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 720000.000000 PA 224400.240000 0.0610623 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 3421.570000 0.0009311 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2029-12-20 3619.840000 USD 0.000000 USD 200000.000000 USD -198.270000 N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBA5 600000.000000 PA USD 538808.320000 0.146617 Long DBT CORP NL N 2 2031-05-11 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -1379.690000 -0.0003754 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 163144.000000 USD 15201921.060000 INR 2026-04-24 -1379.690000 N N N N/A N/A 000000000 1.000000 NC USD -959.390000 -0.0002611 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 200000.000000 USD -959.390000 N N N N/A N/A 000000000 1.000000 NC 5.780000 0.0000016 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3258.240000 THB 104.710000 USD 2026-04-20 5.780000 N N N N/A N/A 000000000 1.000000 NC -831.800000 -0.0002263 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 228122.070000 USD 4078845.420000 MXN 2026-04-21 -831.800000 N N N N/A N/A 000000000 1.000000 NC -216.200000 -0.0000588 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 70000.000000 USD 2236836.000000 TWD 2026-04-27 -216.200000 N N N N/A N/A 000000000 1.000000 NC -24.890000 -0.0000068 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 37000.000000 PLN 9942.060000 USD 2026-04-15 -24.890000 N N N UMBS PASS THRU POOLS N/A 01F042665 1300000.000000 PA USD 1252679.230000 0.340871 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4.5 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8B9 250000.000000 PA USD 252887.980000 0.0688142 Long DBT CORP US N 2 2028-05-26 Floating 5.504 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFQ3 200000.000000 PA USD 205775.470000 0.0559942 Long DBT CORP US N 2 2030-04-18 Floating 5.656 N N N N N N N/A N/A 000000000 29200000.000000 PA USD 29200000.000000 7.94571 Long RA US N 2 Repurchase N 3.690000 2026-04-01 31063900.000000 USD 29796468.650000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 3747390.000000 PA USD 1995522.870000 0.543008 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 251.120000 0.0000683 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 964358.000000 MXN 53726.180000 USD 2026-06-17 251.120000 N N N N/A N/A 000000000 1.000000 NC 86.860000 0.0000236 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 19766.260000 SGD 15496.080000 USD 2026-05-04 86.860000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECK9 1400000.000000 PA USD 1458041.860000 0.396752 Long DBT CORP GB N 2 2029-09-13 Floating 6.49 N N N N N N N/A N/A 000000000 1.000000 NC -11129.260000 -0.0030284 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 409678.000000 USD 1479539.810000 PLN 2026-04-22 -11129.260000 N N N N/A N/A 000000000 1.000000 NC USD 3945.880000 0.0010737 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-03-18 0.000000 USD -5055.620000 USD 700000.000000 USD 9001.500000 N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EDF9 600000.000000 PA USD 599656.020000 0.163174 Long DBT CORP US N 2 2028-03-17 Fixed 4.3 N N N N N N N/A N/A 000000000 62.000000 NC -373205.720000 -0.101554 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2026-06-26 7204330.820000 GBP -373205.720000 N N N DEVELOPMENT BANK OF JAPAN INC (DBJ) 5493001HGBABMWFZUI25 25159MBK2 500000.000000 PA USD 502353.010000 0.136697 Long DBT CORP JP N 2 2026-09-01 Fixed 5.125 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCN8 430000.000000 PA USD 408207.290000 0.111079 Long DBT CORP JP N 2 2029-01-14 Fixed 2.472 N N N N N N N/A N/A 000000000 1.000000 NC -1401.640000 -0.0003814 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 180000.000000 USD 3032100000.000000 IDR 2026-04-27 -1401.640000 N N N EDP FINANCE BV 5299007L43AQDFOW5739 26835PAH3 2200000.000000 PA USD 2088570.660000 0.568328 Long DBT CORP NL N 2 2028-01-24 Fixed 1.71 N N N N N N N/A N/A 000000000 1.000000 NC 737.200000 0.0002006 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4306202.980000 THB 132114.000000 USD 2026-06-17 737.200000 N N N N/A N/A 000000000 1.000000 NC -20738.590000 -0.0056432 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4412672.210000 USD 6109344.670000 CAD 2026-04-02 -20738.590000 N N N N/A N/A 000000000 1.000000 NC USD -3421.680000 -0.0009311 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -1176.000000 USD 400000.000000 USD -2245.680000 N N N N/A N/A 000000000 1.000000 NC -16345.550000 -0.0044478 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 680000.000000 USD 62631952.160000 INR 2026-04-09 -16345.550000 N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 BKMG43II7 600000.000000 PA 635538.980000 0.172939 Long DBT CORP NL N 2 2030-03-15 Fixed 1.5 N N N N N N N/A N/A 000000000 160.000000 NC USD -167569.510000 -0.0455979 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 17308124.960000 USD -167569.510000 N N N UMBS PASS THRU POOLS N/A 01F042657 20100000.000000 PA USD 19380125.540000 5.27359 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KPW79 2872860.730000 PA USD 2722322.050000 0.74078 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 8335.400000 0.0022682 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 476000.000000 GBP 638369.220000 USD 2026-04-02 8335.400000 N N N FNMA PASS THRU POOLS N/A 3140QRAB9 1239366.840000 PA USD 1201945.060000 0.327065 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1446.330000 -0.0003936 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 119946.280000 USD 2015431314.000000 IDR 2026-06-10 -1446.330000 N N N FNMA PASS THRU POOLS N/A 3140QRAA1 8173817.000000 PA USD 7751471.460000 2.10928 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 94.920000 0.0000258 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 1400000.000000 USD 94.920000 N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10113CDT0 900000.000000 PA USD 897254.550000 0.244155 Long DBT CORP US N 2 2026-04-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TB4 775000.000000 PA USD 425977.540000 0.115914 Long DBT UST US N 2 2051-11-15 Fixed 1.875 N N N N N N N/A N/A 000000000 1.000000 NC -3826.700000 -0.0010413 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 -1174.280000 -0.0003195 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1202793.480000 SEK 125881.590000 USD 2026-04-02 -1174.280000 N N N N/A N/A 000000000 1.000000 NC 18395.310000 0.0050056 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3660974.980000 SGD 2872389.240000 USD 2026-05-04 18395.310000 N N N N/A N/A 000000000 1.000000 NC 1032.210000 0.0002809 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 38512.000000 USD 708928.900000 MXN 2026-04-09 1032.210000 N N N N/A N/A 000000000 -27400000.000000 NC USD -23936.640000 -0.0065135 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25000 07/15/26-1Y LCH 2027-07-15 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-07-13 XXXX 6203.360000 N N N N/A N/A 000000000 1.000000 NC 2324.320000 0.0006325 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 383730.060000 USD 580625791.000000 KRW 2026-04-09 2324.320000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SY5 14673000.000000 PA USD 10698393.750000 2.91117 Long DBT UST US N 2 2041-05-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 134724.000000 PA USD 95658.430000 0.0260299 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQDD5 2266288.740000 PA USD 2145366.890000 0.583783 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -19027.600000 -0.0051777 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 411423.000000 USD 588458317.000000 KRW 2026-07-14 -19027.600000 N N N N/A N/A 000000000 1.000000 NC -142.920000 -0.0000389 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2527646.310000 TRY 54365.000000 USD 2026-05-06 -142.920000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI0C4L00 1100000.000000 PA 636292.070000 0.173144 Long DBT NUSS AU N 2 2035-06-21 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -0.620000 -0.0000002 N/A DFE TR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5000.000000 TRY 111.890000 USD 2026-04-02 -0.620000 N N N FNMA PASS THRU POOLS N/A 3140QSSU6 432496.730000 PA USD 418834.470000 0.11397 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H040657 2300000.000000 PA USD 2153406.510000 0.58597 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 4 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAX2 500000.000000 PA USD 496184.570000 0.135018 Long DBT CORP US N 2 2028-11-15 Fixed 3.95 N N N N N N FANNIE MAE REMICS 2025-66 N/A 3136BWYL4 463120.520000 PA USD 467240.530000 0.127142 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8419 N N N N N N PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC) PUSS41EMO3E6XXNV3U28 744573AW6 1500000.000000 PA USD 1548886.040000 0.421472 Long DBT CORP US N 2 2028-10-15 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC -1161.880000 -0.0003162 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 127500.000000 USD 189978932.000000 KRW 2026-04-16 -1161.880000 N N N N/A N/A 000000000 1.000000 NC 1579.380000 0.0004298 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 86689765.000000 KRW 59227.590000 USD 2026-04-15 1579.380000 N N N N/A N/A 000000000 1.000000 NC -1847.910000 -0.0005028 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 76127.660000 USD 275746.560000 PLN 2026-04-15 -1847.910000 N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2V3 300000.000000 PA USD 302065.980000 0.0821961 Long DBT CORP CA N 2 2026-12-11 Fixed 5.264 N N N N N N N/A N/A 000000000 1.000000 NC -46251.030000 -0.0125855 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 2361582.000000 USD 367454602.000000 JPY 2026-04-02 -46251.030000 N N N N/A N/A 000000000 1.000000 NC -27.410000 -0.0000075 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8915.470000 BRL 1659.000000 USD 2026-07-02 -27.410000 N N N N/A N/A 000000000 1.000000 NC -1681.650000 -0.0004576 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 56883.000000 USD 204922.370000 PLN 2026-04-15 -1681.650000 N N N N/A N/A 000000000 1.000000 NC -279.210000 -0.000076 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40000.000000 USD 59728000.000000 KRW 2026-04-17 -279.210000 N N N N/A N/A 000000000 1.000000 NC -24207.760000 -0.0065873 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6815601.710000 USD 5131000.000000 GBP 2026-04-02 -24207.760000 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 400000.000000 PA USD 318299.910000 0.0866136 Long DBT CORP US N 2 2033-11-15 Fixed 2.65 N N N N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAC7 300000.000000 PA USD 310343.940000 0.0844487 Long DBT CORP US N 2 2028-11-21 Fixed 6 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI2CQHN2 100000.000000 PA 63618.930000 0.0173116 Long DBT CORP AU N 2 2035-08-22 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1669.370000 0.0004543 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2334493452.000000 IDR 138929.000000 USD 2026-06-10 1669.370000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAY2 750000.000000 PA USD 712994.550000 0.194015 Long DBT CORP US N 2 2029-12-15 Fixed 3.375 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAW8 500000.000000 PA USD 501144.850000 0.136368 Long DBT CORP NL N 2 2027-06-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -1729.270000 -0.0004706 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 62042.000000 USD 223897.170000 PLN 2026-04-15 -1729.270000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UH9 2164323.000000 PA USD 2013728.630000 0.547962 Long DBT UST US N 2 2055-02-15 Fixed 2.375 N N N N N N BANK OF NEW YORK MELLON CORP (BNY MELLON) WFLLPEPC7FZXENRZV188 06406RCG0 400000.000000 PA USD 396067.620000 0.107775 Long DBT CORP US N 2 2030-01-22 Floating 4.026 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 28103BDT6 900000.000000 PA USD 897170.310000 0.244132 Long DBT CORP US N 2 2026-04-27 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQM78 6839303.860000 PA USD 6770548.000000 1.84236 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 1051434.000000 PA USD 546501.040000 0.14871 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N SOUTHWESTERN PUBLIC SERVICE COMPANY OL6FE7QD5EQ3DOYEO258 845743BT9 200000.000000 PA USD 145048.250000 0.0394695 Long DBT CORP US N 2 2049-06-15 Fixed 3.75 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAX3 400000.000000 PA USD 405044.320000 0.110218 Long DBT CORP ES N 2 2027-11-07 Floating 6.527 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GK3 100000.000000 PA USD 74921.300000 0.0203871 Long DBT CORP US N 2 2048-03-01 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC -530.430000 -0.0001443 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 129482.000000 USD 4248304.420000 THB 2026-04-16 -530.430000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDM0 900000.000000 PA USD 897791.760000 0.244301 Long DBT CORP US N 2 2026-04-21 None 0 N N N N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI2Q0PD7 900000.000000 PA 1040208.500000 0.283054 Long DBT NUSS N/A N 2 2029-10-05 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 2191.370000 0.0005963 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1237699.350000 THB 39771.830000 USD 2026-04-20 2191.370000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SA7 700000.000000 PA USD 516386.720000 0.140516 Long DBT UST US N 2 2048-02-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -11460.170000 -0.0031185 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-03-20 0.000000 AUD -14431.660000 AUD 500000.000000 AUD 2971.490000 N N N LOANPAL SOLAR LOAN 2020-3GS LTD N/A 53948NAA1 25640.930000 PA USD 21336.610000 0.005806 Long ABS-O CORP US N 2 2047-12-20 Fixed 2.47 N N N N N N N/A N/A 000000000 1.000000 NC 15.230000 0.0000041 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1220.000000 USD 6398.290000 BRL 2026-04-02 15.230000 N N N N/A N/A 000000000 1.000000 NC 370.160000 0.0001007 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 555000.000000 MXN 31145.720000 USD 2026-06-17 370.160000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 1400000.000000 PA 382235.120000 0.104011 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N VF CORPORATION CWAJJ9DJ5Z7P057HV541 918204BC1 500000.000000 PA USD 445814.100000 0.121312 Long DBT CORP US N 2 2030-04-23 Fixed 2.95 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 1248000.000000 PA 1375465.270000 0.374282 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N PUBLIC SERVICE COMPANY OF COLORADO 5BANEF6PGSEK0SNMQF44 744448CP4 700000.000000 PA USD 690875.390000 0.187996 Long DBT CORP US N 2 2028-06-15 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC -1713.280000 -0.0004662 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 55864.000000 USD 201022.130000 PLN 2026-04-15 -1713.280000 N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CW3 600000.000000 PA USD 609151.900000 0.165758 Long DBT CORP US N 2 2034-08-15 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC -5.680000 -0.0000015 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 718701.910000 THB 21921.000000 USD 2026-06-17 -5.680000 N N N N/A N/A 000000000 1.000000 NC -1097.650000 -0.0002987 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2539433.050000 TRY 54065.000000 USD 2026-04-30 -1097.650000 N N N N/A N/A 000000000 1.000000 NC -637.340000 -0.0001734 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 71898.000000 USD 1211991776.000000 IDR 2026-06-10 -637.340000 N N N N/A N/A 000000000 1.000000 NC 30239.800000 0.0082286 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2032-06-18 27706.240000 JPY 0.000000 JPY 160000000.000000 JPY 2533.560000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BS6 1400000.000000 PA USD 1376352.810000 0.374524 Long DBT CORP CH N 2 2032-08-10 Floating 4.588 N N N N N N N/A N/A 000000000 1.000000 NC 6.450000 0.0000018 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 611.000000 USD 3198.280000 BRL 2026-04-02 6.450000 N N N N/A N/A 000000000 1.000000 NC -1854.920000 -0.0005047 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 155538.000000 USD 14442480.990000 INR 2026-04-24 -1854.920000 N N N N/A N/A 000000000 1.000000 NC 1605.980000 0.000437 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 940000.000000 SEK 100901.930000 USD 2026-04-02 1605.980000 N N N N/A N/A 000000000 1.000000 NC 10826.550000 0.002946 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 396000.000000 EUR 468543.240000 USD 2026-04-02 10826.550000 N N N N/A N/A 000000000 1.000000 NC 1613.590000 0.0004391 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 34244425.930000 INR 363259.000000 USD 2026-04-07 1613.590000 N N N RENEW TREASURY IFSC PRIVATE LIMITED 335800IK4XWJ5637BW61 759963AA9 400000.000000 PA USD 388793.020000 0.105796 Long DBT CORP IN N 2 2031-02-02 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -5715.000000 -0.0015551 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 929200.090000 PEN 260586.710000 USD 2026-05-26 -5715.000000 N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAB9 900000.000000 PA USD 855480.870000 0.232788 Long DBT CORP US N 2 2029-01-18 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC -601.930000 -0.0001638 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 429580.830000 USD 7731381.000000 MXN 2026-06-10 -601.930000 N N N SOLAR STAR FUNDING LLC N/A 83416WAA1 259346.120000 PA USD 260592.520000 0.0709107 Long DBT CORP US N 2 2035-06-30 Fixed 5.375 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABN0 1000000.000000 PA USD 1002960.700000 0.272919 Long DBT CORP DK N 2 2032-03-27 Floating 4.999 N N N N N N WIND RIVER CLO LTD 2021-2A N/A 97315VAL1 300000.000000 PA USD 300201.760000 0.0816889 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 4.77763 N N N N N N SWITCH ABS ISSUER LLC 2025-2A N/A 871044AS2 1100000.000000 PA USD 1076221.960000 0.292854 Long ABS-O CORP US N 2 2055-10-25 Fixed 5.121 N N N N N N HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC 254900ZZRL7MWL1X8E92 41068XAF7 200000.000000 PA USD 201452.890000 0.054818 Long DBT CORP US N 2 2034-07-01 Fixed 6.375 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61748UAS1 2800000.000000 PA USD 2753730.220000 0.749326 Long DBT CORP US N 2 2032-01-16 Floating 4.493 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -1437.650000 -0.0003912 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 324.850000 N N N ABU DHABI NATIONAL ENERGY COMPANY PJSC (TAQA) 213800UNJSVQFNUYYW03 00388WAP6 400000.000000 PA USD 377452.480000 0.10271 Long DBT CORP AE N 2 2037-03-09 Fixed 4.75 N N N N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 656029AN5 400000.000000 PA USD 404563.270000 0.110087 Long DBT CORP JP N 2 2029-10-16 Fixed 5.094 N N N N N N N/A N/A 000000000 1.000000 NC -491.580000 -0.0001338 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 94164.000000 USD 1589770812.000000 IDR 2026-04-13 -491.580000 N N N N/A N/A 000000000 1.000000 NC -974.260000 -0.0002651 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110000.000000 EUR 126169.260000 USD 2026-04-02 -974.260000 N N N N/A N/A 000000000 1.000000 NC -198.700000 -0.0000541 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10345.000000 USD 1610269.000000 JPY 2026-04-02 -198.700000 N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HAY4 15000.000000 PA USD 14305.060000 0.0038926 Long DBT CORP NL N 2 2030-05-01 Fixed 3.4 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 600000.000000 PA USD 594797.620000 0.161852 Long DBT CORP US N 2 2028-06-05 Floating 3.691 N N N N N N WISCONSIN ELECTRIC POWER COMPANY AENKIFMULUAWOUU8Q584 976656CN6 300000.000000 PA USD 301659.320000 0.0820855 Long DBT CORP US N 2 2032-09-30 Fixed 4.75 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAS4 400000.000000 PA USD 437340.030000 0.119006 Long DBT CORP FR N 2 2034-10-19 Floating 7.003 N N N N N N N/A N/A 000000000 1.000000 NC -1333.550000 -0.0003629 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 49696.390000 USD 72726691.000000 KRW 2026-04-15 -1333.550000 N N N N/A N/A 000000000 1.000000 NC USD 135763.560000 0.0369431 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 13055.180000 USD 0.000000 USD 1200000.000000 USD 122708.380000 N N N N/A N/A 000000000 1.000000 NC 4152.280000 0.0011299 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 580314973.000000 KRW 390000.000000 USD 2026-04-09 4152.280000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TM0 306000.000000 PA USD 276983.790000 0.0753709 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CX8 200000.000000 PA USD 198251.680000 0.0539469 Long DBT CORP US N 2 2030-09-11 Fixed 4.85 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAB0 361130.300000 PA USD 361359.800000 0.0983308 Long ABS-O CORP US N 2 2050-06-21 Fixed 5.08 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DAW0 800000.000000 PA USD 757485.370000 0.206122 Long DBT CORP NL N 2 2029-12-13 Floating 2.47 N N N N N N FNMA PASS THRU POOLS N/A 3140QSSW2 3824270.160000 PA USD 3789356.450000 1.03113 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TU2 1507000.000000 PA USD 1422908.220000 0.387192 Long DBT UST US N 2 2043-08-15 Fixed 4.375 N N N N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 188250.470000 PA USD 189404.480000 0.0515395 Long ABS-O CORP US N 2 2030-02-15 Fixed 5.69 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KY2 600000.000000 PA USD 596372.200000 0.162281 Long DBT CORP US N 2 2032-10-15 Fixed 5.05 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 184633.400000 PA USD 132754.580000 0.0361243 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N KEB HANA BANK (AKA: KOREA EXCHANGE BANK) 6RPK2YDJN6L35AS0M510 48723RAE5 300000.000000 PA USD 303845.970000 0.0826805 Long DBT CORP KR N 2 2027-04-23 Fixed 5.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 126495.000000 PA USD 71694.850000 0.0195091 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 17805.710000 0.0048452 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.44 Y Single Leg Swap 2030-06-20 19611.900000 USD 0.000000 USD 297000.000000 USD -1806.190000 N N N N/A N/A 000000000 1.000000 NC USD 565.910000 0.000154 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 MORGAN STANLEY MORGAN STANLEY DEAN WITTER GLBL SR UNSEC Y Single Leg Swap 2026-06-20 1897.920000 USD 0.000000 USD 300000.000000 USD -1332.010000 N N N ARES EUROPEAN CLO 14A N/A ACI2RNVJ6 170192.310000 PA 196926.320000 0.0535862 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 USD 2165.640000 0.0005893 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-11-15 0.000000 USD 0.000000 USD 200000.000000 USD 2165.640000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEE2 200000.000000 PA USD 202480.590000 0.0550976 Long DBT CORP US N 2 2028-04-22 Floating 5.571 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TH1 100000.000000 PA USD 82425.780000 0.0224291 Long DBT UST US N 2 2042-05-15 Fixed 3.25 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 700000.000000 PA USD 685068.420000 0.186416 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 300000.000000 PA USD 313154.480000 0.0852135 Long DBT CORP US N 2 2029-11-01 Floating 6.407 N N N N N N N/A N/A 000000000 1.000000 NC -647.080000 -0.0001761 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3048785.960000 TRY 65237.000000 USD 2026-05-04 -647.080000 N N N N/A N/A 000000000 1.000000 NC -149.590000 -0.0000407 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 29835.000000 USD 503808966.000000 IDR 2026-04-13 -149.590000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 1000000.000000 PA USD 1039449.150000 0.282848 Long DBT CORP CH N 2 2029-09-22 Floating 6.246 N N N N N N N/A N/A 000000000 1.000000 NC 196.080000 0.0000534 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 45512.000000 CHF 57316.060000 USD 2026-05-04 196.080000 N N N N/A N/A 000000000 1.000000 NC -2222.080000 -0.0006047 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 397090.650000 USD 7116619.000000 MXN 2026-06-10 -2222.080000 N N N FREDDIE MAC REMICS 5584 N/A 3137HNCM8 362053.660000 PA USD 363790.580000 0.0989922 Long ABS-MBS USGSE US N 2 2055-10-25 Floating 4.5619 N N N N N N LCM 34 LTD N/A 50203CAL7 750000.000000 PA USD 750872.840000 0.204322 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.84763 N N N N N N N/A N/A 000000000 1.000000 NC -172.220000 -0.0000469 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 47676.000000 USD 806272135.000000 IDR 2026-04-16 -172.220000 N N N N/A N/A 000000000 1.000000 NC 5715.350000 0.0015552 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-03-28 0.000000 GBP -425.980000 GBP 100000.000000 GBP 6141.330000 N N N N/A N/A 000000000 1.000000 NC 323.570000 0.000088 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1635180.000000 THB 50000.000000 USD 2026-04-27 323.570000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SE9 900000.000000 PA USD 705550.780000 0.19199 Long DBT UST US N 2 2048-11-15 Fixed 3.375 N N N N N N FNMA PASS THRU POOLS N/A 3140Q1EY2 2500000.000000 PA USD 2479677.100000 0.674753 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC -20287.920000 -0.0055206 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5128153.000000 AUD 3516554.000000 USD 2026-05-04 -20287.920000 N N N N/A N/A 000000000 1.000000 NC -313.190000 -0.0000852 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 35543.000000 USD 599183894.000000 IDR 2026-06-10 -313.190000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CPZ8 710000.000000 PA USD 698961.720000 0.190197 Long DBT UST US N 2 2036-02-15 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 15285.480000 0.0041594 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 680000.000000 USD 3601474.480000 BRL 2026-04-02 15285.480000 N N N N/A N/A 000000000 1.000000 NC -8403.010000 -0.0022866 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 542158.000000 USD 84709585.000000 JPY 2026-04-02 -8403.010000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00913XD26 900000.000000 PA USD 899793.630000 0.244846 Long DBT CORP US N 2 2026-04-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1142.340000 -0.0003108 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 132114.000000 USD 4314856.450000 THB 2026-04-16 -1142.340000 N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI38VDC2 600000.000000 PA 694443.250000 0.188967 Long DBT CORP US N 2 2028-03-10 Floating 2.899 N N N N N N N/A N/A 000000000 1.000000 NC -50.570000 -0.0000138 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 2765.000000 USD 430794.000000 JPY 2026-04-02 -50.570000 N N N EQUINIX EUROPE 2 FINANCING CORPORATION LLC 254900FSZR46BPMCKI50 29390XAG9 400000.000000 PA USD 396446.910000 0.107878 Long DBT CORP US N 2 2030-11-15 Fixed 4.6 N N N N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer