NPORT-P false 0000810893 XXXXXXXX S000022557 C000065243 C000069483 C000065245 C000200461 C000069484 C000065246 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Dynamic Bond Fund S000022557 O7M5VNOD7AVYOESOBU56 2026-03-31 2026-03-31 N 7766922244.660000 5163857567.300000 2603064677.360000 0.000000 0.000000 390676182.720000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 36342863.413499 0.000000 0.000000 12929886.590000 COP NGN GBP AUD PLN ZAR DOP CZK EUR CLP KZT UZS TRY JPY CAD PEN USD BRL EGP NZD N ADAPTHEALTH LLC N/A 00653VAC5 -1495000.000000 PA USD -1425606.880000 -0.0547665 Short DBT CORP US N 2 2029-08-01 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 758505.820000 0.029139 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 99649295.090000 PEN 29317238.920000 USD 2026-05-26 758505.820000 N N N N/A N/A 000000000 -3720060.000000 NC USD -3284.810000 -0.0001262 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 4836.080000 N N N N/A N/A 000000000 1.000000 NC 48201.540000 0.0018517 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 364094735.100000 INR 3893300.000000 USD 2026-04-07 48201.540000 N N N N/A N/A 000000000 1.000000 NC -4926.850000 -0.0001893 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2030-12-17 0.000000 COP 0.000000 COP 286600000.000000 COP -4926.850000 N N N N/A N/A 000000000 1.000000 NC -5053.420000 -0.0001941 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 360000.000000 USD 533745246.000000 KRW 2026-04-16 -5053.420000 N N N N/A N/A 000000000 1.000000 NC -48260.970000 -0.001854 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1573619.000000 USD 5662542.080000 PLN 2026-04-15 -48260.970000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 910000.000000 PA 1205739.910000 0.04632 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.38087 N N N N N N SW (FINANCE) I PLC 549300BHN1HB5BNG2R96 ACI1ML5J6 2500000.000000 PA 3078815.020000 0.118277 Long DBT CORP GB N 2 2028-05-28 Fixed 2.375 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RM8 1380403.860000 PA USD 1240871.950000 0.0476697 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.39303 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 990ADDTR8 82274600000.000000 PA 20376851.070000 0.782802 Long DBT NUSS US N 2 2035-01-24 Fixed 1 N N N N N N WINSTON RE LTD 2549001Q4VX5Y31QFJ88 975660AC5 250000.000000 PA USD 255800.000000 0.0098269 Long DBT CORP BM N 2 2028-02-21 Floating 10.02 N N N N N N N/A N/A 000000000 918.000000 NC -841670.300000 -0.0323338 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A EUIB 2026-12-14 257787078.520000 EUR -841670.300000 N N N N/A N/A 000000000 1.000000 NC -50955.800000 -0.0019575 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4220001.000000 USD 391789112.840000 INR 2026-04-24 -50955.800000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAC5 811881.980000 PA USD 686868.310000 0.0263869 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.29303 N N N N N N N/A N/A 000000000 -15.000000 NC -1907.150000 -0.0000733 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Call Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 06/08/26 2026-06-09 N/A EUR N/A 128.000000 EUR 2026-04-24 XXXX 3311.470000 N N N AMETEK INC 549300WZDEF9KKE40E98 03111CDL4 950000.000000 PA USD 947888.250000 0.0364143 Long DBT CORP US N 2 2026-04-20 None 0 N N N N N N HILLENBRAND INC U246OE781574J2BUD366 431571AF5 -2300000.000000 PA USD -2132755.040000 -0.0819325 Short DBT CORP US N 2 2029-02-15 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 1491.920000 0.0000573 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1299034.210000 USD 206400000.000000 JPY 2026-04-02 1491.920000 N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4G1 39956.410000 PA USD 14229.420000 0.0005466 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -47167.510000 -0.001812 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19972211.030000 BRL 3808583.340000 USD 2026-04-02 -47167.510000 N N N N/A N/A 000000000 1.000000 NC 12693.540000 0.0004876 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 457566.870000 USD 8433415.000000 MXN 2026-04-13 12693.540000 N N N N/A N/A 000000000 1.000000 NC -9285.230000 -0.0003567 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 59637955.520000 TRY 1303277.000000 USD 2026-04-20 -9285.230000 N N N N/A N/A 000000000 1.000000 NC 21946.230000 0.0008431 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1832835.130000 USD 174304453.700000 INR 2026-04-24 21946.230000 N N N N/A N/A 000000000 1.000000 NC -62294.150000 -0.0023931 N/A DFE SE N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 1583951.760000 USD 14405000.000000 SEK 2026-04-02 -62294.150000 N N N N/A N/A 000000000 1.000000 NC -473565.140000 -0.0181926 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 26600000.000000 BRL 4661718.700000 USD 2026-04-02 -473565.140000 N N N N/A N/A 000000000 1.000000 NC -369068.790000 -0.0141782 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2031-09-16 13991.390000 EUR 0.000000 EUR 15700000.000000 EUR -383060.180000 N N N RLJ LODGING TRUST LP 549300RX5I8Z6I6LDZ74 74965LAB7 1100000.000000 PA USD 1031047.710000 0.039609 Long DBT CORP US N 2 2029-09-15 Fixed 4 N N N N N N AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A N/A ACI21GDS9 4142045.170000 PA 4792377.160000 0.184105 Long ABS-CBDO CORP IE N 2 2031-01-16 Floating 2.746 N N N N N N N/A N/A 000000000 1.000000 NC 1244631.810000 0.0478141 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 32634806.690000 USD 175490409.490000 BRL 2026-04-02 1244631.810000 N N N N/A N/A 000000000 1.000000 NC -155785.980000 -0.0059847 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4983072.660000 USD 87054279.370000 MXN 2026-06-17 -155785.980000 N N N N/A N/A 000000000 199250.000000 PA USD 199250.000000 0.0076544 Long RA US N 2 Repurchase N 3.250000 2026-04-01 200000.000000 USD 191770.640000 USD CDS N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 120171.800000 PA USD 93772.450000 0.0036024 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.72998 N N N N N N ALAMO RE LTD 5493003E22VRD25G0S03 011395AQ3 1800000.000000 PA USD 1835100.000000 0.0704977 Long DBT CORP BM N 2 2026-06-08 Floating 15.39 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 260000.000000 PA 341635.280000 0.0131243 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.38087 N N N N N N EDGEWELL PERSONAL CARE CO (AKA: ENERGIZER HOLDINGS INC) 549300CY8QZDL4Z3RU59 28035QAB8 -1200000.000000 PA USD -1134405.360000 -0.0435796 Short DBT CORP US N 2 2029-04-01 Fixed 4.125 N N N N N N FREDDIE MAC-2980 N/A 31395UEG2 29841.560000 PA USD 31010.630000 0.0011913 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 6 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 4749.650000 PA USD 4799.320000 0.0001844 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BG0 -3425000.000000 PA USD -3537168.750000 -0.135885 Short DBT CORP US N 2 2028-06-01 Fixed 8.5 N N N N N N STRUCTURED ASSET SEC CORP 2003-6A N/A 86359AMR1 12266.670000 PA USD 12163.910000 0.0004673 Long ABS-MBS CORP US N 2 2033-03-25 Floating 6.16862 N N N N N N GNMA PASS THRU POOLS N/A 36202DGT2 56.540000 PA USD 57.480000 0.0000022 Long ABS-MBS USGSE US N 2 2030-04-20 Fixed 8.5 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI0ZY1X9 2500000.000000 PA 3068202.960000 0.117869 Long DBT CORP IT N 2 2028-01-18 Floating 7.708 N N N N N N N/A N/A 000000000 1.000000 NC 19216.860000 0.0007382 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 716983.000000 USD 13198223.060000 MXN 2026-04-09 19216.860000 N N N FNMA PASS THRU POOLS N/A 3138WGQR8 409798.690000 PA USD 384178.340000 0.0147587 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N SIX FLAGS ENTERTAINMENT CORPORATION 529900AS2CYWYFHRS781 83001AAD4 -1100000.000000 PA USD -1060306.720000 -0.040733 Short DBT CORP US N 2 2031-05-15 Fixed 7.25 N N N N N N CI FINANCIAL CORP 549300M9W7JJQSVCEM78 ACI379J02 1000000.000000 PA 1157702.100000 0.0444746 Long DBT CORP CA N 2 2031-12-12 Fixed 4.625 N N N N N N N/A N/A 000000000 102375.000000 PA USD 102375.000000 0.0039329 Long RA US N 2 Repurchase N 3.430000 2026-05-01 100000.000000 USD 99150.210000 USD CDS N N N N/A N/A 000000000 1011250.000000 PA USD 1011250.000000 0.0388484 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1000000.000000 USD 990914.500000 USD CDS N N N N/A N/A 000000000 1.000000 NC -17680.980000 -0.0006792 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 500387815.000000 JPY 3135262.000000 USD 2026-04-02 -17680.980000 N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAT5 -3500000.000000 PA USD -3211342.890000 -0.123368 Short DBT CORP US N 2 2031-02-15 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -2526.680000 -0.0000971 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 90812866.400000 TRY 1955825.000000 USD 2026-05-06 -2526.680000 N N N N/A N/A 000000000 1.000000 NC -27551.280000 -0.0010584 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3257855.000000 USD 303570186.760000 INR 2026-04-24 -27551.280000 N N N N/A N/A 000000000 1.000000 NC 2936.000000 0.0001128 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 713194.540000 USD 4920293.470000 CNY 2026-05-07 2936.000000 N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 153514.290000 PA 174444.130000 0.0067015 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 2.419 N N N N N N N/A N/A 000000000 1.000000 NC -14285.450000 -0.0005488 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2190000.000000 USD 36937541049.000000 IDR 2026-04-27 -14285.450000 N N N N/A N/A 000000000 1.000000 NC USD 3409.500000 0.000131 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2027-06-20 4960.850000 USD 0.000000 USD 400000.000000 USD -1551.350000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAE7 99863.970000 PA USD 49635.080000 0.0019068 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.29303 N N N N N N LEHMAN XS TRUST 2006-9 N/A 52523DAC4 20046066.170000 PA USD 18862861.150000 0.724641 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.31303 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AC7 602411.080000 PA USD 302881.570000 0.0116356 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.94303 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 1568182.420000 PA USD 1442143.520000 0.0554018 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.07303 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AM9 4600000.000000 PA USD 4660814.990000 0.179051 Long DBT CORP US N 2 2028-06-15 Fixed 5.625 N N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR3 N/A 45662FAA8 15529.920000 PA USD 11891.220000 0.0004568 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.92294 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 1464644.730000 PA USD 388822.170000 0.0149371 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.19303 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRN9 10500000.000000 PA USD 10667114.120000 0.409791 Long DBT NUSS IL N 2 2029-03-12 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -17.550000 -0.0000007 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 296309.790000 THB 9000.000000 USD 2026-05-19 -17.550000 N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAF6 2300000.000000 PA USD 1864452.220000 0.0716253 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.21303 N N N N N N TALEN ENERGY SUPPLY LLC (AKA: PPL ENERGY SUPPLY LLC) K5K33XN0PQAU1XF7NN66 87422VAM0 -1100000.000000 PA USD -1088519.740000 -0.0418169 Short DBT CORP US N 2 2034-02-01 Fixed 6.25 N N N N N N N/A N/A 000000000 1112625.000000 PA USD 1112625.000000 0.0427429 Long RA US N 2 Repurchase N 3.350000 2026-05-01 1150000.000000 USD 1082667.160000 USD CDS N N N N/A N/A 000000000 1.000000 NC 6382.390000 0.0002452 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20377000.000000 MXN 1136316.740000 USD 2026-06-17 6382.390000 N N N NOVASTAR HOME EQUITY LOAN 2006-6 N/A 66988RAE7 2657191.310000 PA USD 872467.770000 0.0335169 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC -2601.830000 -0.0001 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 68322952.000000 JPY 427901.000000 USD 2026-04-02 -2601.830000 N N N N/A N/A 000000000 1.000000 NC -15427.500000 -0.0005927 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1181519.500000 USD 881000.000000 GBP 2026-04-02 -15427.500000 N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 513521.660000 PA USD 497822.280000 0.0191245 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.15807 N N N N N N N/A N/A 000000000 1.000000 NC -8262.140000 -0.0003174 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6414017.330000 BRL 1230001.000000 USD 2026-04-02 -8262.140000 N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAC8 766716.860000 PA USD 355181.820000 0.0136448 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC 1022.540000 0.0000393 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 43048246.240000 THB 1314370.000000 USD 2026-06-17 1022.540000 N N N ENERGIZER HOLDINGS INC 5493000D6NN0V57UME20 29272WAD1 -3676000.000000 PA USD -3500284.260000 -0.134468 Short DBT CORP US N 2 2029-03-31 Fixed 4.375 N N N N N N ADJUSTABLE RATE MORTGAGE TRUST 2006-1 N/A 225470B93 174872.550000 PA USD 103156.970000 0.0039629 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.05303 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB N/A 12668BAC7 170851.000000 PA USD 90161.690000 0.0034637 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N ARES XXXIX CLO LTD 2016-39A N/A 04015WBL7 7000000.000000 PA USD 7018096.400000 0.269609 Long ABS-CBDO CORP KY N 2 2037-07-18 Floating 5.08763 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BE16 1700000.000000 PA USD 1694081.450000 0.0650803 Long DBT CORP US N 2 2026-05-01 None 0 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 41309167.130000 PA USD 402309978.710000 15.4552 Long STIV RF US N 1 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAD2 445170.510000 PA USD 164763.440000 0.0063296 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1164000.000000 PA USD 1164000.000000 0.0447165 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1200000.000000 USD 1134405.360000 USD CDS N N N BAIN CAPITAL CREDIT CLO 2022-4A LTD N/A 05685BAQ9 1200000.000000 PA USD 1200930.850000 0.0461353 Long ABS-CBDO CORP JE N 2 2037-10-16 Floating 5.05113 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GS4 785714.290000 PA USD 845136.600000 0.032467 Long DBT MUN US N 2 2035-07-01 Fixed 7.35 N N N N N N N/A N/A 000000000 1.000000 NC 14944.980000 0.0005741 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1703251.490000 USD 8900000.000000 BRL 2026-04-02 14944.980000 N N N N/A N/A 000000000 1.000000 NC -5384.420000 -0.0002068 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1314370.000000 USD 43124479.700000 THB 2026-04-16 -5384.420000 N N N AVIENT CORPORATION SM8L9RZYIB34LNTWO040 05368VAB2 -1300000.000000 PA USD -1310171.200000 -0.0503319 Short DBT CORP US N 2 2031-11-01 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 23251.320000 0.0008932 N/A DFE GB N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1118000.000000 GBP 1503036.630000 USD 2026-04-02 23251.320000 N N N N/A N/A 000000000 1.000000 NC USD 0.000000 0 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.45 Y Single Leg Swap 2030-12-20 4776.020000 USD 0.000000 USD 0.000000 USD -4776.020000 N N N ROGERS COMMUNICATIONS INC 5493000M6Z4XFIP6PF03 775109DG3 -1445000.000000 PA USD -1451594.980000 -0.0557648 Short DBT CORP CA N 2 2055-04-15 Floating 7 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1 N/A 02149JCA2 1541944.370000 PA USD 577269.280000 0.0221765 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1070000.000000 PA USD 1070000.000000 0.0411054 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1000000.000000 USD 1035537.370000 USD CDS N N N N/A N/A 000000000 1153625.000000 PA USD 1153625.000000 0.044318 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1139341.500000 USD CDS N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAC7 30974.150000 PA USD 26629.950000 0.001023 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.79303 N N N N N N JABIL INC 5493000CGCQY2OQU7669 46652MED3 2050000.000000 PA USD 2038746.120000 0.078321 Long DBT CORP US N 2 2026-05-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -3872.910000 -0.0001488 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32066638.300000 THB 970000.000000 USD 2026-04-23 -3872.910000 N N N FNMA PASS THRU POOLS N/A 31406DAF3 1909.640000 PA USD 1932.840000 0.0000743 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 5.058 N N N N N N WAMU MTGE P/T CERT 2007-HY3 N/A 933634AC1 11794672.120000 PA USD 10335105.030000 0.397036 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.79853 N N N N N N N/A N/A 000000000 1.000000 NC 130673.900000 0.00502 N/A DCR DE N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2026-12-20 735720.070000 EUR 0.000000 EUR 3100000.000000 EUR -605046.170000 N N N N/A N/A 000000000 1.000000 NC -335688.110000 -0.0128959 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 51999302.190000 USD 66423908.620000 SGD 2026-04-02 -335688.110000 N N N N/A N/A 000000000 773000.000000 PA USD 773000.000000 0.0296958 Long RA US N 2 Repurchase N 3.420000 2026-05-01 800000.000000 USD 762866.560000 USD CDS N N N N/A N/A 000000000 99125.000000 PA USD 99125.000000 0.003808 Long RA US N 2 Repurchase N 3.420000 2026-05-01 100000.000000 USD 97216.580000 USD CDS N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 1480.280000 PA USD 1267.230000 0.0000487 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.89791 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 27774.200000 PA USD 27264.650000 0.0010474 Long ABS-MBS CORP US N 2 2042-08-25 Floating 5.25874 N N N N N N N/A N/A 000000000 1.000000 NC 24549.490000 0.0009431 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 156805.200000 KWD 540000.000000 USD 2030-05-14 24549.490000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA4 N/A 748939AA3 618337.450000 PA USD 571308.500000 0.0219475 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.15303 N N N N N N BEAR STEARNS MTGE FUND TR 2006-AR5 N/A 07401NAP4 972865.210000 PA USD 928160.980000 0.0356565 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.17303 N N N N N N N/A N/A 000000000 1090375.000000 PA USD 1090375.000000 0.0418881 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1100000.000000 USD 1069382.410000 USD CDS N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 63529.030000 PA USD 41790.440000 0.0016054 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.99376 N N N N N N N/A N/A 000000000 -1628833.060000 PA USD -1629862.390000 -0.0626132 Short RA US N 2 Reverse repurchase N 3.250000 2026-06-12 1660591.880000 USD 1689440.680000 USD CDS N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAF9 2000000.000000 PA USD 1904131.880000 0.0731496 Long DBT CORP IE N 2 2028-06-15 Fixed 2.3 N N N N N N N/A N/A 000000000 1.000000 NC 33711.900000 0.0012951 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1160621.920000 USD 21422179.000000 MXN 2026-04-15 33711.900000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 47318830.250000 PA USD 44660921.140000 1.71571 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N SKYMILES IP LTD 2549008L7P4I8VB90936 24736CBT0 275272.880000 PA USD 277022.240000 0.0106422 Long LON CORP KY N 2 2028-10-20 Floating 5.1676 N N N N N N ADVANCED DRAINAGE SYSTEMS INC 6QQTOZ5MF5DHM7K92I60 00790RAC8 -1500000.000000 PA USD -1463431.200000 -0.0562195 Short DBT CORP US N 2 2034-03-01 Fixed 5.375 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QA2 N/A 761118TN8 112679.830000 PA USD 72438.890000 0.0027828 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.04303 N N N N N N N/A N/A 000000000 1.000000 NC 613.240000 0.0000236 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5200000.000000 NOK 537642.440000 USD 2026-04-07 613.240000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DDP1 1800000.000000 PA USD 1795080.060000 0.0689603 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDL7 1250000.000000 PA USD 1247146.630000 0.0479107 Long DBT CORP US N 2 2026-04-20 None 0 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AR9 489215.840000 PA USD 430219.880000 0.0165274 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.66737 N N N N N N FNMA PASS THRU POOLS N/A 3140E9S56 72229.530000 PA USD 67863.830000 0.0026071 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-12 N/A 126673NX6 334214.530000 PA USD 334161.220000 0.0128372 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.29303 N N N N N N N/A N/A 000000000 1.000000 NC 6228.500000 0.0002393 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 3649989.300000 ILS 1169531.000000 USD 2026-06-10 6228.500000 N N N N/A N/A 000000000 1.000000 NC -19399.760000 -0.0007453 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 91403525.550000 TRY 1955825.000000 USD 2026-05-04 -19399.760000 N N N N/A N/A 000000000 1.000000 NC -120786.700000 -0.0046402 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3705810.030000 USD 64651561.780000 MXN 2026-06-17 -120786.700000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2 N/A 12668BNA7 542502.250000 PA USD 229538.620000 0.008818 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAD0 797855.080000 PA USD 254754.090000 0.0097867 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1051250.000000 PA USD 1051250.000000 0.0403851 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1000000.000000 USD 1028724.850000 USD CDS N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 8441.420000 PA USD 5148.130000 0.0001978 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.54427 N N N N N N WYNDHAM HOTELS & RESORTS INC 549300FE3MQ4RVXXC673 98311AAE5 -1100000.000000 PA USD -1083441.700000 -0.0416218 Short DBT CORP US N 2 2033-03-01 Fixed 5.625 N N N N N N AMN HEALTHCARE INC 549300H27NUKBFFQEE84 00175PAD5 -1100000.000000 PA USD -1078794.320000 -0.0414432 Short DBT CORP US N 2 2031-01-15 Fixed 6.5 N N N N N N FREDDIE MAC STRIPS 382 N/A 3142FSZ93 13946093.100000 PA USD 2036080.500000 0.0782186 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 37149.620000 0.0014271 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 -2768.840000 GBP 650000.000000 GBP 39918.460000 N N N N/A N/A 000000000 1.000000 NC 26472.650000 0.001017 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 61773508.190000 INR 678844.680000 USD 2026-04-07 26472.650000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECD5 1000000.000000 PA USD 1041757.200000 0.0400204 Long DBT CORP GB N 2 2028-11-02 Floating 7.385 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 8101000.700000 PA USD 1901603.790000 0.0730525 Long ABS-MBS CORP US N 2 2046-11-25 Floating 4.77874 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 123380.080000 PA USD 105712.870000 0.0040611 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.35303 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 280500000.000000 PA 15493993.650000 0.595221 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N JP MORGAN MORTGAGE TRUST 2007-S3 N/A 46631NDZ9 9148.160000 PA USD 3694.100000 0.0001419 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 7954.590000 0.0003056 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 46286825.550000 THB 1420107.000000 USD 2026-06-17 7954.590000 N N N N/A N/A 000000000 904531.250000 PA USD 904531.250000 0.0347487 Long RA US N 2 Repurchase N 2.500000 2026-05-01 875000.000000 USD 896221.380000 USD CDS N N N FANNIE MAE REMICS 2017-47 N/A 3136AWWU7 286267.230000 PA USD 36323.500000 0.0013954 Long ABS-MBS USGSE US N 2 2047-06-25 Floating 2.32362 N N N N N N BANC OF AMERICA FUNDING CORP 2007-8 N/A 05953LAJ8 326765.520000 PA USD 263450.880000 0.0101208 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 112452.590000 PA USD 112032.460000 0.0043039 Long ABS-MBS CORP US N 2 2031-10-25 Floating 4.49303 N N N N N N FREDDIE MAC REMICS 4959 N/A 3137FRNT4 5646492.770000 PA USD 903898.470000 0.0347244 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 3.5 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00809KD21 300000.000000 PA USD 299933.010000 0.0115223 Long DBT CORP US N 2 2026-04-02 None 0 N N N N N N NATURE COAST RE LTD N/A 63901CAF8 600000.000000 PA USD 598320.000000 0.0229852 Long DBT CORP BM N 2 2030-02-26 Floating 8 N N N N N N N/A N/A 000000000 1097250.000000 PA USD 1097250.000000 0.0421522 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1086083.890000 USD CDS N N N N/A N/A 000000000 1.000000 NC 65294.630000 0.0025084 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 287923419.000000 INR 3105970.000000 USD 2026-04-07 65294.630000 N N N N/A N/A 000000000 1.000000 NC 429243.390000 0.0164899 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 38981820.410000 PEN 11557702.920000 USD 2026-08-12 429243.390000 N N N N/A N/A 000000000 1.000000 NC -12678.350000 -0.0004871 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2854583.160000 USD 4119000.000000 AUD 2026-04-02 -12678.350000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 376003.780000 PA USD 336287.820000 0.0129189 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.02556 N N N N N N N/A N/A 000000000 1.000000 NC 6146.770000 0.0002361 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 888318.000000 USD 141533308.000000 JPY 2026-05-07 6146.770000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BD82 2450000.000000 PA USD 2447810.930000 0.0940357 Long DBT CORP US N 2 2026-04-08 None 0 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 9700000.000000 PA USD 9622206.100000 0.369649 Long DBT CORP US N 2 2028-03-24 Floating 3.526 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAW1 3600000.000000 PA USD 3613493.120000 0.138817 Long DBT CORP KY N 2 2028-01-15 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC -5469.020000 -0.0002101 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 635937.000000 USD 10722915319.000000 IDR 2026-06-10 -5469.020000 N N N N/A N/A 000000000 1.000000 NC 7747.560000 0.0002976 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1043639.050000 USD 48023050.890000 TRY 2026-04-24 7747.560000 N N N N/A N/A 000000000 1.000000 NC 12719.710000 0.0004886 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1400929.800000 USD 7473470.160000 BRL 2026-07-02 12719.710000 N N N FREMONT HOME LOAN TRUST 2006-3 N/A 35729MAE7 3253213.720000 PA USD 972521.240000 0.0373606 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.27303 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE3 N/A 46602UAD0 3762849.660000 PA USD 1210998.280000 0.046522 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.25303 N N N N N N N/A N/A 000000000 1092000.000000 PA USD 1092000.000000 0.0419506 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1200000.000000 USD 1081708.920000 USD CDS N N N SYMPHONY CLO 36 LTD 2025-52A N/A 87170MAC6 2200000.000000 PA USD 2199833.720000 0.0845094 Long ABS-CBDO CORP KY N 2 2036-01-20 Floating 4.81506 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLY7 38077.280000 PA USD 15257.020000 0.0005861 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -75.990000 -0.0000029 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 775453.000000 USD 13187508809.000000 IDR 2026-06-10 -75.990000 N N N GRAY MEDIA INC 529900TM5726KDN7UU35 389375AP1 -2100000.000000 PA USD -2117715.600000 -0.0813547 Short DBT CORP US N 2 2033-08-15 Fixed 7.25 N N N N N N N/A N/A 000000000 1.000000 NC 11184.870000 0.0004297 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6110000.000000 SEK 656608.540000 USD 2026-04-02 11184.870000 N N N MERRILL LYNCH MTGE INVESTORS 2006-A1 N/A 59020U5W1 545039.830000 PA USD 249818.350000 0.0095971 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.34181 N N N N N N N/A N/A 000000000 1.000000 NC -1914503.680000 -0.0735481 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2035-07-09 0.000000 EUR 0.000000 EUR 55900000.000000 EUR -1914503.680000 N N N N/A N/A 000000000 1.000000 NC 30694.980000 0.0011792 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6463226.600000 USD 33637539.680000 BRL 2026-04-02 30694.980000 N N N N/A N/A 000000000 1.000000 NC 67.970000 0.0000026 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4964.130000 SGD 3929.000000 USD 2026-04-02 67.970000 N N N N/A N/A 000000000 1.000000 NC 33229.970000 0.0012766 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4735247.880000 USD 24700000.000000 BRL 2026-04-02 33229.970000 N N N FNMA PASS THRU POOLS N/A 31418CXM1 109781.330000 PA USD 102077.390000 0.0039214 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1 N/A 59020U5D3 1488327.100000 PA USD 152275.660000 0.0058499 Long ABS-MBS CORP US N 2 2037-02-25 Variable 5.95 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEM2 6547.260000 PA USD 5912.570000 0.0002271 Long ABS-MBS CORP US N 2 2045-08-19 Floating 4.3112 N N N N N N N/A N/A 000000000 1091750.000000 PA USD 1091750.000000 0.0419409 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1074759.500000 USD CDS N N N N/A N/A 000000000 831000.000000 PA USD 831000.000000 0.0319239 Long RA US N 2 Repurchase N 3.420000 2026-05-01 800000.000000 USD 813623.150000 USD CDS N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 ACI2MZXR4 3200000.000000 PA 3702911.950000 0.142252 Long DBT CORP US N 2 2027-02-23 Floating 3.024 N N N N N N N/A N/A 000000000 1.000000 NC USD -36418.800000 -0.0013991 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 11600000.000000 USD -36418.800000 N N N CONSECO FINANCE SECURITIZATIONS CORP. N/A 20846QFQ6 1749665.200000 PA USD 1775763.910000 0.0682182 Long ABS-O CORP US N 2 2031-09-01 Variable 7.77 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6C3 530.430000 PA USD 543.520000 0.0000209 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.481 N N N N N N ASBURY AUTOMOTIVE GROUP INC 549300JH4DTA7U42GL91 043436AV6 -1100000.000000 PA USD -1060629.670000 -0.0407454 Short DBT CORP US N 2 2030-03-01 Fixed 4.75 N N N N N N SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I) N/A 00846NAA5 6600000.000000 PA USD 4133250.000000 0.158784 Long DBT CORP US N 2 2067-01-15 Floating 5.6838 N N N N N N N/A N/A 000000000 1.000000 NC -6585.120000 -0.000253 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1638964.000000 USD 27706040176.000000 IDR 2026-04-16 -6585.120000 N N N SPECIALTY UNDERWRITING & RESID 2007-AB1 N/A 84752CAB3 571211.430000 PA USD 294782.230000 0.0113244 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.03303 N N N N N N FREDDIE MAC REMICS 5122 N/A 3137H1AT3 10239880.800000 PA USD 2009505.950000 0.0771977 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 135388.440000 0.0052011 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/18/26) LCH N/A N/A 2036-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2036-03-18 8545.090000 GBP 0.000000 GBP 2830000.000000 GBP 126843.350000 N N N WMALT MTGE PASS-THRU CERT 2005-8 N/A 93934FDF6 271886.060000 PA USD 217740.300000 0.0083648 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 6 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 29285000.000000 PA 9127168.150000 0.350632 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 987.680000 PA USD 928.210000 0.0000357 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.2912 N N N N N N N/A N/A 000000000 1.000000 NC -37041.360000 -0.001423 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3105970.000000 USD 288404844.350000 INR 2026-04-24 -37041.360000 N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZR7 31564.300000 PA USD 13681.440000 0.0005256 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 341320.690000 0.0131123 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 39886709.760000 PEN 11776065.000000 USD 2026-05-20 341320.690000 N N N N/A N/A 000000000 802187.500000 PA USD 802187.500000 0.030817 Long RA US N 2 Repurchase N 3.400000 2026-05-01 850000.000000 USD 768278.570000 USD CDS N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KB2 5500000.000000 PA USD 5436396.960000 0.208846 Long DBT CORP US N 2 2029-03-01 Fixed 4.2 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZN6 407028.510000 PA USD 210511.560000 0.0080871 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6.5 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DDN6 550000.000000 PA USD 548564.500000 0.0210738 Long DBT CORP US N 2 2026-04-22 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 58153273.510000 PA USD 52038121.260000 1.99911 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LV97 178160.120000 PA USD 161928.630000 0.0062207 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.46769 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-4 N/A 576433ME3 33201.510000 PA USD 32490.600000 0.0012482 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.57161 N N N N N N N/A N/A 000000000 1.000000 NC USD 6744309.450000 0.259091 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.45 Y Single Leg Swap 2030-12-20 9388875.310000 USD 0.000000 USD 124140060.000000 USD -2644565.860000 N N N FNMA PASS THRU POOLS N/A 3138WLCK7 8339.860000 PA USD 7994.450000 0.0003071 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 200122.650000 0.007688 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 124818397.850000 USD 108161523.270000 EUR 2026-04-02 200122.650000 N N N N/A N/A 000000000 1.000000 NC -10516.420000 -0.000404 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 872141.210000 USD 14654399497.000000 IDR 2026-06-10 -10516.420000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MK27 14100.580000 PA USD 14067.480000 0.0005404 Long ABS-MBS CORP US N 2 2034-04-25 Floating 5.95873 N N N N N N CHASEFLEX TRUST 2007-M1 N/A 16165YAT9 1090513.290000 PA USD 927968.690000 0.0356491 Long ABS-MBS CORP US N 2 2037-08-25 Variable 6.85 N N N N N N FREDDIE MAC REMICS 5163 N/A 3137H43Z1 2823682.990000 PA USD 434162.440000 0.0166789 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N GSR MORTGAGE LOAN TRUST 2006-3F N/A 362334JR6 116794.110000 PA USD 105424.860000 0.00405 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 34228.480000 0.0013149 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9902204.280000 ILS 3185320.000000 USD 2026-04-13 34228.480000 N N N N/A N/A 000000000 1.000000 NC 18445.240000 0.0007086 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 137448611.790000 INR 1470000.000000 USD 2026-04-07 18445.240000 N N N FHLMC PASS THRU POOLS N/A 3132WPND5 53478.750000 PA USD 51361.360000 0.0019731 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N N/A N/A 000000000 276.000000 NC USD 20700.000000 0.0007952 N/A DCO US N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Call Purchased ICE FUTURES EUROPE 549300UF4R84F48NCH34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT EMFUT - CCA 2026 GE IFE 12/24/26 2026-12-25 N/A USD N/A 45.000000 USD 2026-12-15 XXXX -429605.100000 N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 327742.960000 PA USD 290806.820000 0.0111717 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.39303 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBX6 3800000.000000 PA USD 3658912.500000 0.140562 Long DBT CORP JP N 2 2030-05-22 Floating 3.261 N N N N N N N/A N/A 000000000 1.000000 NC 14978.210000 0.0005754 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2662578.140000 ILS 863579.000000 USD 2026-06-10 14978.210000 N N N N/A N/A 000000000 1.000000 NC -446680.810000 -0.0171598 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 12585878.130000 USD 42404340.600000 PEN 2026-06-17 -446680.810000 N N N N/A N/A 000000000 1.000000 NC -41643.560000 -0.0015998 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 2126324.000000 USD 330849210.000000 JPY 2026-04-02 -41643.560000 N N N N/A N/A 000000000 1.000000 NC -26939.530000 -0.0010349 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 63523498.730000 TRY 1371139.000000 USD 2026-04-20 -26939.530000 N N N COUNTRYWIDE ALT LOAN TRUST 2006-43CB N/A 02149FAX2 6566767.840000 PA USD 1753845.130000 0.0673762 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.16303 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A 65535VPU6 178869.330000 PA USD 161590.620000 0.0062077 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.15516 N N N N N N N/A N/A 000000000 1168750.000000 PA USD 1168750.000000 0.044899 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1118322.700000 USD CDS N N N N/A N/A 000000000 527625.000000 PA USD 527625.000000 0.0202694 Long RA US N 2 Repurchase N 3.150000 2026-05-01 525000.000000 USD 503397.930000 USD CDS N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888AA7 16820.830000 PA USD 17030.290000 0.0006542 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.5 N N N N N N RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2008-A N/A 74928AAA9 1288823.230000 PA USD 1065018.690000 0.040914 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -50334.830000 -0.0019337 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 LLOYDS BANKING GROUP PLC LLOYDS BANKING GROUP PLC SUB RVC Y Single Leg Swap 2030-12-20 0.000000 EUR -6514.510000 EUR 3400000.000000 EUR -43820.320000 N N N N/A N/A 000000000 1.000000 NC -6626.090000 -0.0002545 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 22838654.300000 TRY 505073.240000 USD 2026-04-06 -6626.090000 N N N N/A N/A 000000000 1.000000 NC -38383.020000 -0.0014745 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1074679.210000 USD 18688349.000000 MXN 2026-06-17 -38383.020000 N N N SAXON ASSET SECURITIES TRUST 2006-3 N/A 80556AAC1 142578.000000 PA USD 141148.040000 0.0054224 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.13303 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAG0 15974.400000 PA USD 11332.530000 0.0004354 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.18208 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-60 N/A 31394XVF0 10521.470000 PA USD 10867.600000 0.0004175 Long ABS-MBS USGSE US N 2 2044-03-25 Fixed 7.5 N N N N N N METHANEX CORPORATION 549300TSJHRXT9QXRD13 59151KAL2 -2000000.000000 PA USD -1981105.800000 -0.0761067 Short DBT CORP CA N 2 2029-12-15 Fixed 5.25 N N N N N N MASTERBRAND INC 549300E0Y4BR5Z9RDZ64 57638PAA2 -1891000.000000 PA USD -1849139.500000 -0.071037 Short DBT CORP US N 2 2032-07-15 Fixed 7 N N N N N N BCAP LLC TRUST 2011-RR6 N/A 05535YAF5 128991.290000 PA USD 60116.450000 0.0023094 Long ABS-MBS CORP US N 2 2037-04-26 Variable 28.3642 N N N N N N N/A N/A 000000000 1.000000 NC 2542.130000 0.0000977 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 31372982.080000 ZAR 1854111.000000 USD 2026-04-20 2542.130000 N N N N/A N/A 000000000 1.000000 NC USD 1270.940000 0.0000488 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 1270.940000 N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BJ7 800000.000000 PA 568977.070000 0.021858 Long DBT CORP CA N 2 2029-08-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -895.450000 -0.0000344 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2274678.000000 DOP 36000.000000 USD 2026-09-11 -895.450000 N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPS9 605777.310000 PA USD 552041.410000 0.0212074 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.91803 N N N N N N N/A N/A 000000000 9800000.000000 NC USD 583476.320000 0.022415 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.47000 06/06/35-10Y LCH 2045-06-06 0.000000 USD 0.000000 USD N/A USD N/A 4.470000 USD 2035-06-04 XXXX -295093.680000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPK908 200000.000000 PA USD 70000.000000 0.0026891 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 385000.000000 PA USD 385000.000000 0.0147903 Long RA US N 2 Repurchase N 3.250000 2026-05-01 400000.000000 USD 379558.880000 USD CDS N N N GSAA HOME EQUITY TRUST 2005-12 N/A 362341TK5 66268.280000 PA USD 62430.170000 0.0023983 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.999 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397G72 1600000.000000 PA USD 1620884.340000 0.0622683 Long DBT CORP US N 2 2028-03-20 Fixed 5.918 N N N N N N ASSET BACKED FUNDING CERT 2007-NC1 N/A 00076BAB0 8140185.730000 PA USD 7648358.150000 0.293821 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.09303 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 841974.170000 PA 974167.190000 0.0374239 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 2.716 N N N N N N N/A N/A 000000000 1.000000 NC -7731.310000 -0.000297 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1468414.350000 USD 10060673.520000 CNY 2026-04-02 -7731.310000 N N N FANNIE MAE REMICS 2023-66 N/A 3136BQA25 9696342.600000 PA USD 2219327.980000 0.0852583 Long ABS-MBS USGSE US N 2 2053-09-25 Fixed 4.5 N N N N N N N/A N/A 000000000 285400000.000000 NC USD 633559.460000 0.024339 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75700 09/22/26-1Y LCH 2027-09-22 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-09-18 XXXX 413801.460000 N N N ACE SECURITIES CORP 2006-FM2 N/A 00442CAD1 1491661.600000 PA USD 338309.150000 0.0129966 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.11303 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BD7 -1400000.000000 PA USD -1367875.730000 -0.0525487 Short DBT CORP US N 2 2029-09-15 Fixed 6.625 N N N N N N N/A N/A 000000000 506875.000000 PA USD 506875.000000 0.0194722 Long RA US N 2 Repurchase N 3.420000 2026-05-01 500000.000000 USD 503240.000000 USD CDS N N N N/A N/A 000000000 1.000000 NC 8623.720000 0.0003313 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1629121.000000 USD 259144277.000000 JPY 2026-05-07 8623.720000 N N N N/A N/A 000000000 1.000000 NC -53708.180000 -0.0020633 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4160150.000000 USD 385905914.380000 INR 2026-04-24 -53708.180000 N N N DOMINICAN REPUBLIC GOVT 254900EHU7Q8FGVPI369 25714PFA1 58800000.000000 PA 1022720.530000 0.0392891 Long DBT NUSS DO N 2 2036-06-01 Fixed 10.75 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 3208506.570000 PA USD 768242.250000 0.029513 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.01303 N N N N N N N/A N/A 000000000 1.000000 NC 1436.550000 0.0000552 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12486644.000000 TWD 391602.720000 USD 2026-04-13 1436.550000 N N N EVERGLADES RE II LTD 5493000EE11S6ONK0372 30014LAM6 400000.000000 PA USD 405400.000000 0.015574 Long DBT CORP BM N 2 2031-05-13 Floating 14.0253 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 4000.000000 PA USD 3865.720000 0.0001485 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 188750.000000 PA USD 188750.000000 0.0072511 Long RA US N 2 Repurchase N 3.400000 2026-05-01 200000.000000 USD 180771.430000 USD CDS N N N N/A N/A 000000000 1.000000 NC -29356.790000 -0.0011278 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12335630.410000 BRL 2352108.000000 USD 2026-04-02 -29356.790000 N N N N/A N/A 000000000 1.000000 NC 1310.330000 0.0000503 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 704264.880000 USD 32439144.640000 TRY 2026-04-29 1310.330000 N N N N/A N/A 000000000 663250.000000 PA USD 663250.000000 0.0254796 Long RA US N 2 Repurchase N 3.430000 2026-05-01 700000.000000 USD 657058.640000 USD CDS N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 400000.000000 PA USD 354423.640000 0.0136156 Long DBT CORP CH N 2 2031-02-10 Floating 4.375 N N N N N N N/A N/A 000000000 1.000000 NC 3128.470000 0.0001202 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4021130.000000 PLN 1086328.000000 USD 2026-04-15 3128.470000 N N N AMERICAN AXLE & MANUFACTURING INC RY5TAKFOBLDUGX31MS24 02406PBB5 -3225000.000000 PA USD -3078598.870000 -0.118268 Short DBT CORP US N 2 2029-10-01 Fixed 5 N N N N N N DOMINICAN REPUBLIC GOVT 254900EHU7Q8FGVPI369 25714PEG9 2050000.000000 PA USD 1749265.000000 0.0672002 Long DBT NUSS DO N 2 2041-01-21 Fixed 5.3 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 316400000.000000 PA 18376770.040000 0.705967 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAH6 200000.000000 PA USD 199185.720000 0.007652 Long DBT MUN US N 2 2026-06-01 Fixed 1.82 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 128.490000 PA USD 126.320000 0.0000049 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.37303 N N N N N N N/A N/A 000000000 29700000.000000 NC USD 980622.720000 0.0376719 N/A DIR IE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80000 07/14/34-10Y LCH 2044-07-14 0.000000 USD 0.000000 USD N/A USD N/A 3.800000 USD 2034-07-12 XXXX -1586199.780000 N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 21520.890000 PA USD 21128.740000 0.0008117 Long ABS-MBS CORP US N 2 2030-12-15 Floating 4.22699 N N N N N N N/A N/A 000000000 1156375.000000 PA USD 1156375.000000 0.0444236 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1100000.000000 USD 1131597.340000 USD CDS N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HL4 700000.000000 PA USD 547452.700000 0.0210311 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-E N/A 59020UJU0 263451.140000 PA USD 23.530000 0.0000009 Long ABS-O CORP US N 2 2029-11-25 Floating 0.01954 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CPZ8 7290000.000000 PA USD 7176663.240000 0.275701 Long DBT UST US N 2 2036-02-15 Fixed 4.125 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 28169.100000 PA USD 18440.670000 0.0007084 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.53767 N N N N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QDP4 2300000.000000 PA USD 2621873.500000 0.100723 Long DBT CORP MX N 2 2033-02-07 Fixed 10 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD95 20110.050000 PA USD 21120.730000 0.0008114 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 7 N N N N N N WESCO DISTRIBUTION INC 549300I2CEZJG9N4AH67 95081QAU8 -1100000.000000 PA USD -1086083.890000 -0.0417233 Short DBT CORP US N 2 2034-04-15 Fixed 5.5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBK4 2200000.000000 PA USD 2249446.280000 0.0864153 Long DBT NUSS SA N 2 2031-01-13 Fixed 5.375 N N N N N N FNMA PASS THRU POOLS N/A 3138WGVR2 414760.480000 PA USD 388722.890000 0.0149333 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N FLORA FOOD MANAGEMENT BV 2549002VGA888UKFKS25 ACI2PNX49 4500000.000000 PA 4888420.460000 0.187795 Long DBT CORP NL N 2 2029-07-02 Fixed 6.875 N N N N N N N/A N/A 000000000 1.000000 NC 2698.590000 0.0001037 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2625000.000000 SEK 279987.810000 USD 2026-04-02 2698.590000 N N N JP MORGAN MTGE ACQUIS CORP 2006-WF1 N/A 46628SAF0 1195571.100000 PA USD 318887.980000 0.0122505 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.11303 N N N N N N FANNIE MAE REMICS 2021-78 N/A 3136BJZL2 7954048.050000 PA USD 1462020.050000 0.0561653 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJY8 11955174.000000 PA USD 11909256.690000 0.457509 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N N/A N/A 000000000 699125.000000 PA USD 699125.000000 0.0268578 Long RA US N 2 Repurchase N 3.420000 2026-05-01 700000.000000 USD 695199.890000 USD CDS N N N N/A N/A 000000000 171500.000000 PA USD 171500.000000 0.0065884 Long RA US N 2 Repurchase N 3.400000 2026-05-01 200000.000000 USD 163196.980000 USD CDS N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVK6 305110.220000 PA USD 220665.660000 0.0084771 Long ABS-MBS CORP US N 2 2035-10-19 Floating 5.2912 N N N N N N N/A N/A 000000000 397500.000000 PA USD 397500.000000 0.0152705 Long RA US N 2 Repurchase N 3.300000 2027-12-12 375000.000000 USD 385652.630000 USD CDS N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 873923AE6 3100000.000000 PA USD 3062430.700000 0.117647 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 USD -1427.890000 -0.0000549 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -345.000000 USD 100000.000000 USD -1082.890000 N N N FNMA PASS THRU POOLS N/A 3140HFGF0 104690.220000 PA USD 97257.490000 0.0037363 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N VITALITY RE XVI LTD N/A 92849FAA6 300000.000000 PA USD 298410.000000 0.0114638 Long DBT CORP KY N 2 2030-01-08 Floating 5.26 N N N N N N N/A N/A 000000000 1.000000 NC -11300.060000 -0.0004341 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 100000.000000 USD 4903000.000000 EGP 2026-04-14 -11300.060000 N N N N/A N/A 000000000 1.000000 NC -19351.930000 -0.0007434 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6198052.770000 BRL 1177218.000000 USD 2026-04-02 -19351.930000 N N N INTRALOT CAPITAL LUXEMBOURG SA 549300QF747C7UWZYB38 ACI30N7J0 2955000.000000 PA 3271800.250000 0.12569 Long DBT CORP LU N 2 2031-10-15 Fixed 6.75 N N N N N N FREDDIE MAC REMICS 3622 N/A 31398LXT0 14097.340000 PA USD 14354.750000 0.0005515 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -387.180000 -0.0000149 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 232931.000000 USD 349648701.000000 KRW 2026-04-20 -387.180000 N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE2 N/A 93934JAD6 1083021.130000 PA USD 856351.850000 0.0328978 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.27303 N N N N N N FNMA PASS THRU POOLS N/A 31407JFM9 163590.310000 PA USD 173124.210000 0.0066508 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -47370.060000 -0.0018198 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1602329.000000 USD 5772428.680000 PLN 2026-04-15 -47370.060000 N N N N/A N/A 000000000 1.000000 NC -1840.350000 -0.0000707 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 7696000.000000 CNY 1115521.890000 USD 2026-04-02 -1840.350000 N N N BANK OF AMERICA MTGE SECURITIES 2004-4 N/A 05949ADN7 28759.390000 PA USD 27715.350000 0.0010647 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.42929 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 2140753.590000 PA 2476914.130000 0.0951538 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.796 N N N N N N BAYVIEW FINANCIAL ACQUISITION TR 2005-A N/A 073250BN1 39540.600000 PA USD 38330.650000 0.0014725 Long ABS-MBS CORP US N 2 2040-02-28 Floating 4.71754 N N N N N N FNMA PASS THRU POOLS N/A 31410GL27 3694.090000 PA USD 3868.020000 0.0001486 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1067000.000000 PA USD 1067000.000000 0.0409901 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1100000.000000 USD 1068136.740000 USD CDS N N N N/A N/A 000000000 1.000000 NC 34304.690000 0.0013179 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5654163.200000 USD 259144434.860000 TRY 2026-04-22 34304.690000 N N N N/A N/A 000000000 1.000000 NC -3337.680000 -0.0001282 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19902382.560000 ZAR 1171260.000000 USD 2026-04-20 -3337.680000 N N N N/A N/A 000000000 1.000000 NC -721.430000 -0.0000277 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1621250000.000000 UZS 125000.000000 USD 2026-12-11 -721.430000 N N N GNMA PASS THRU POOLS N/A 36211RSK6 6934.780000 PA USD 7121.480000 0.0002736 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -11019.710000 -0.0004233 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 159925.000000 USD 8175366.000000 EGP 2026-04-08 -11019.710000 N N N RESIDENTIAL ACCREDIT LOANS 2004-QA6 N/A 76110HG94 142881.420000 PA USD 46293.040000 0.0017784 Long ABS-MBS CORP US N 2 2034-12-26 Floating 3.51004 N N N N N N N/A N/A 000000000 1.000000 NC USD 137581.090000 0.0052854 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2044-07-14 0.000000 USD 0.000000 USD 2970000.000000 USD 137581.090000 N N N TREMONT RE LTD N/A 89479VAA4 250000.000000 PA USD 250000.000000 0.0096041 Long DBT CORP BM N 2 2033-03-22 Floating 7.66293 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 1131.110000 PA USD 474.550000 0.0000182 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB N/A 12667GWR0 36383.420000 PA USD 28964.950000 0.0011127 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.54303 N N N N N N HERC HOLDINGS INC 549300TP80QLITMSBP82 42704LAH7 -1600000.000000 PA USD -1577227.200000 -0.0605912 Short DBT CORP US N 2 2031-03-15 Fixed 5.75 N N N N N N N/A N/A 000000000 2040000.000000 PA USD 2040000.000000 0.0783692 Long RA US N 2 Repurchase N 3.430000 2026-05-01 2000000.000000 USD 2002796.400000 USD CDS N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TJ6 324000.000000 PA USD 323347.860000 0.0124218 Long DBT UST US N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 1090375.000000 PA USD 1090375.000000 0.0418881 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1069382.410000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD -15355.730000 -0.0005899 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -3140.000000 USD 1600000.000000 USD -12215.730000 N N N AEGIS ASSET BACKED SEC TR 2004-6 N/A 00764MDY0 85165.210000 PA USD 82050.170000 0.0031521 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.79303 N N N N N N SLM STUDENT LOAN TRUST 2013-2 N/A 78446CAB7 103000.000000 PA USD 98951.620000 0.0038014 Long ABS-O CORP US N 2 2043-06-25 Floating 5.27638 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1 N/A 32051GV44 125879.380000 PA USD 103739.900000 0.0039853 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.86676 N N N N N N N/A N/A 000000000 584718.750000 PA USD 584718.750000 0.0224627 Long RA US N 2 Repurchase N 3.400000 2026-05-01 675000.000000 USD 550789.810000 USD CDS N N N MORGAN STANLEY MTGE LN TRUST 2007-15AR N/A 61756XBT1 872769.210000 PA USD 560226.190000 0.0215218 Long ABS-MBS CORP US N 2 2037-12-25 Variable 3.6645 N N N N N N N/A N/A 000000000 1.000000 NC 62080.360000 0.0023849 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2466950.400000 USD 13100000.000000 BRL 2026-04-02 62080.360000 N N N N/A N/A 000000000 1116500.000000 PA USD 1116500.000000 0.0428918 Long RA US N 2 Repurchase N 3.500000 2026-05-01 1100000.000000 USD 1085563.050000 USD CDS N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 219593.810000 PA USD 138778.920000 0.0053314 Long ABS-MBS CORP US N 2 2035-11-19 Floating 4.4112 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-2 N/A 655378AE7 2800990.850000 PA USD 2360942.020000 0.0906986 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.63303 N N N N N N GSAMP TRUST 2006-HE6 N/A 36245AAD8 616222.140000 PA USD 534495.680000 0.0205333 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.27303 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 78017TAC7 5500000.000000 PA USD 5312162.630000 0.204073 Long DBT CORP LR N 2 2033-05-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 17826.360000 0.0006848 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3764889.010000 ILS 1217749.000000 USD 2026-06-10 17826.360000 N N N FEDEX FREIGHT HOLDING COMPANY INC 984500Y1DA5A58ICE336 314352AC9 6600000.000000 PA USD 6489844.550000 0.249316 Long DBT CORP US N 2 2031-03-15 Fixed 4.65 N N N N N N SLM STUDENT LOAN TRUST 2013-3 N/A 78447YAD4 104000.000000 PA USD 101659.820000 0.0039054 Long ABS-O CORP US N 2 2076-09-25 Floating 5.27638 N N N N N N N/A N/A 000000000 1.000000 NC 29353.170000 0.0011276 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2352108.000000 USD 12499337.120000 BRL 2026-06-02 29353.170000 N N N CAESARS ENTERTAINMENT INC 549300FA4CTCW903Y781 12769GAA8 -5275000.000000 PA USD -5076290.750000 -0.195012 Short DBT CORP US N 2 2029-10-15 Fixed 4.625 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-24 N/A 12667GPB3 9948.140000 PA USD 9695.650000 0.0003725 Long ABS-MBS CORP US N 2 2035-07-20 Floating 4.24952 N N N N N N N/A N/A 000000000 1.000000 NC 618.070000 0.0000237 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1673764.000000 USD 28426319342.000000 IDR 2026-04-27 618.070000 N N N ARES EUROPEAN CLO XII BV 12A N/A ACI20RGN4 2051469.630000 PA 2371191.620000 0.0910923 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 2.876 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 6355.550000 PA USD 6121.770000 0.0002352 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.96829 N N N N N N FIRST FRANKLIN MTG LN ASST BKD 2005-FF2 N/A 36242DN66 410492.330000 PA USD 462344.000000 0.0177615 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.73803 N N N N N N N/A N/A 000000000 1.000000 NC USD 2155917.030000 0.0828223 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 552544.110000 USD 0.000000 USD 18800000.000000 USD 1603372.920000 N N N SAXON ASSET SECURITIES TRUST 2004-1 N/A 805564PN5 39023.110000 PA USD 33376.440000 0.0012822 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.58803 N N N N N N N/A N/A 000000000 1.000000 NC USD -115605.450000 -0.0044411 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 24100000.000000 USD -115605.450000 N N N FNMA PASS THRU POOLS N/A 3140EW6F7 325865.890000 PA USD 305577.620000 0.0117391 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.5 N N N N N N LEHMAN XS TRUST 2006-12N N/A 525226AJ5 705516.960000 PA USD 702992.690000 0.0270063 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.19303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TG2 157000.000000 PA USD 156905.540000 0.0060277 Long DBT UST US N 2 2026-04-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 175611.720000 0.0067463 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -20685.000000 USD 7000000.000000 USD 196296.720000 N N N UNIGEL LUXEMBOURG SA 213800Y16R77O7LH7X62 904752AC6 1374101.000000 PA USD 82446.060000 0.0031673 Long DBT CORP LU N 2 2027-12-31 Fixed 13.5 Y Y Y N N N UMBS PASS THRU POOLS N/A 01F020646 -19000000.000000 PA USD -15308359.280000 -0.58809 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -261054.240000 -0.0100287 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 45728465.540000 USD 34351311.250000 GBP 2026-04-02 -261054.240000 N N N N/A N/A 000000000 1.000000 NC -4210.950000 -0.0001618 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1310000.000000 USD 41855501.000000 TWD 2026-04-27 -4210.950000 N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAD2 3300000.000000 PA USD 3167326.540000 0.121677 Long DBT CORP GB N 2 2032-04-15 Fixed 7.75 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 124907.520000 PA USD 112526.350000 0.0043228 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.8287 N N N N N N N/A N/A 000000000 1.000000 NC -48711.120000 -0.0018713 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1747632.000000 USD 6306854.360000 PLN 2026-04-15 -48711.120000 N N N N/A N/A 000000000 1.000000 NC 54440.000000 0.0020914 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 401408664.000000 INR 4293600.000000 USD 2026-04-07 54440.000000 N N N N/A N/A 000000000 1.000000 NC -4387657.100000 -0.168557 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/18/26) LCH N/A N/A 2031-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2031-03-18 0.000000 GBP -2187233.120000 GBP 102920000.000000 GBP -2200423.980000 N N N STRUCTURED ASSET MTG INV INC 2005-AR2 N/A 86359LJA8 18678.990000 PA USD 17934.360000 0.000689 Long ABS-MBS CORP US N 2 2045-05-25 Floating 4.25303 N N N N N N N/A N/A 000000000 1.000000 NC -1598.340000 -0.0000614 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 337500.000000 USD 10753623.000000 TWD 2026-04-16 -1598.340000 N N N N/A N/A 000000000 1.000000 NC USD 25480.410000 0.0009789 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 24690000.000000 USD 25480.410000 N N N VITALITY RE XVI LTD N/A 92849FAC2 300000.000000 PA USD 298560.000000 0.0114696 Long DBT CORP KY N 2 2030-01-08 Floating 7.26 N N N N N N N/A N/A 000000000 -50001.000000 NC USD -581.060000 -0.0000223 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-28 N/A 157.700000 USD 2026-04-24 XXXX -259.550000 N N N BANC OF AMERICA FUNDING CORP 2007-2 N/A 05951GAB8 3480.900000 PA USD 3967.950000 0.0001524 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.8058 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 836205BA1 10000000.000000 PA USD 9812731.000000 0.376968 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N N/A N/A 000000000 1157750.000000 PA USD 1157750.000000 0.0444764 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1100000.000000 USD 1138625.400000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD 3692574.980000 0.141855 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-03-30 5832252.710000 USD 0.000000 USD 25770000.000000 USD -2139677.730000 N N N N/A N/A 000000000 1.000000 NC 9480.850000 0.0003642 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1258793.810000 ILS 410676.000000 USD 2026-06-10 9480.850000 N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HDP7 1300000.000000 PA USD 1280644.430000 0.0491976 Long DBT CORP US N 2 2032-01-30 Floating 4.722 N N N N N N N/A N/A 000000000 1.000000 NC -338.090000 -0.000013 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 31000.000000 USD 9481.660000 KWD 2026-06-17 -338.090000 N N N N/A N/A 000000000 1.000000 NC 2655.560000 0.000102 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 9209533.000000 MXN 513337.590000 USD 2026-06-17 2655.560000 N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 90310.040000 PA USD 80591.510000 0.003096 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.91303 N N N N N N N/A N/A 000000000 692250.000000 PA USD 692250.000000 0.0265937 Long RA US N 2 Repurchase N 3.420000 2026-05-01 650000.000000 USD 671287.500000 USD CDS N N N COUNTRYWIDE HOME LOANS 2004-20 N/A 12669F2H5 7057.280000 PA USD 6762.390000 0.0002598 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.86682 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVP7 201340.100000 PA USD 192602.620000 0.0073991 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.35303 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 -37000000.000000 PA USD -34888694.900000 -1.34029 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 4 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 16544.160000 PA USD 16853.330000 0.0006474 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 955PDHII1 1457309000.000000 PA 1012950.400000 0.0389138 Long DBT NUSS NG N 2 2026-06-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -9806.990000 -0.0003767 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1196814.560000 USD 20188466405.000000 IDR 2026-06-10 -9806.990000 N N N JTI FINANCIAL SERVICES (NORTH AMERICA) LLC N/A 48130PEL6 1750000.000000 PA USD 1740828.780000 0.0668761 Long DBT CORP US N 2 2026-05-20 None 0 N N N N N N FREDDIE MAC REMICS 5096 N/A 3137FYS72 5174878.140000 PA USD 848739.010000 0.0326054 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -81900.090000 -0.0031463 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 15800000.000000 USD -81900.090000 N N N N/A N/A 000000000 -2800000.000000 NC USD -8050.840000 -0.0003093 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 1819.160000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB N/A 12668BRX3 765859.940000 PA USD 582317.470000 0.0223705 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC 47397.590000 0.0018208 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 59705172.440000 THB 1860235.000000 USD 2026-04-20 47397.590000 N N N N/A N/A 000000000 1.000000 NC 1019.780000 0.0000392 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 31466000.000000 ZAR 1858078.380000 USD 2026-04-20 1019.780000 N N N CIFC FUNDING 2022-I LTD N/A 12570LAA6 6900000.000000 PA USD 6903300.960000 0.265199 Long ABS-CBDO CORP KY N 2 2035-04-17 Floating 4.98763 N N N N N N N/A N/A 000000000 1.000000 NC USD 24246.910000 0.0009315 N/A DCR US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD 0.000000 USD 17723632.170000 USD 24246.910000 N N N N/A N/A 000000000 1033750.000000 PA USD 1033750.000000 0.0397128 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1000000.000000 USD 1040366.660000 USD CDS N N N N/A N/A 000000000 1125250.000000 PA USD 1125250.000000 0.0432279 Long RA US N 2 Repurchase N 3.000000 2026-05-01 1400000.000000 USD 1081761.660000 USD CDS N N N N/A N/A 000000000 1.000000 NC -2904.490000 -0.0001116 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4932239.480000 CNY 713194.540000 USD 2026-04-02 -2904.490000 N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 3963871.930000 PA USD 708754.570000 0.0272277 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.45303 N N N N N N N/A N/A 000000000 1.000000 NC -3150.960000 -0.000121 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1560000.000000 USD 49880509.000000 TWD 2026-04-23 -3150.960000 N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 6711872.200000 PA USD 2030118.510000 0.0779896 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.13303 N N N N N N FNMA PASS THRU POOLS N/A 31418CR89 24770.110000 PA USD 22993.680000 0.0008833 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140EU4G1 38565.030000 PA USD 36153.970000 0.0013889 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N GOODYEAR TIRE & RUBBER CO/THE 5493002BI0S2ZQUY3437 382550BR1 -1325000.000000 PA USD -1186623.890000 -0.0455856 Short DBT CORP US N 2 2031-07-15 Fixed 5.25 N N N N N N UMBS PASS THRU POOLS N/A 01F062663 75417000.000000 PA USD 77957305.500000 2.99483 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6.5 N N N N N N GREENGROVE RE LTD 254900WH3CK41D9L7T70 39526JAA9 600000.000000 PA USD 621900.000000 0.0238911 Long DBT CORP BM N 2 2032-04-08 Floating 11.27 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468G7 1400000.000000 PA USD 1394034.530000 0.0535536 Long DBT CORP US N 2 2030-01-23 Floating 4.431 N N N N N N GOODYEAR TIRE & RUBBER CO/THE 5493002BI0S2ZQUY3437 382550BK6 -2275000.000000 PA USD -1996721.090000 -0.0767065 Short DBT CORP US N 2 2033-04-30 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC -785.000000 -0.0000302 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1623125000.000000 UZS 125000.000000 USD 2026-12-14 -785.000000 N N N FNMA PASS THRU POOLS N/A 3140GQ3F1 22695.310000 PA USD 21755.310000 0.0008358 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N COSTA RICA GOVT 549300S1EK2VN6XVJP58 ACI3721X4 1500000.000000 PA 1774813.790000 0.0681817 Long DBT NUSS CR N 2 2030-11-21 Fixed 5.4995 N N N N N N N/A N/A 000000000 1.000000 NC -70540.020000 -0.0027099 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23300000.000000 BRL 4336787.870000 USD 2026-07-02 -70540.020000 N N N N/A N/A 000000000 1.000000 NC -51597.460000 -0.0019822 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 13042225.000000 AUD 8943510.160000 USD 2026-05-04 -51597.460000 N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4P5 67471.840000 PA USD 60871.390000 0.0023385 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.46801 N N N N N N N/A N/A 000000000 1.000000 NC -4284.700000 -0.0001646 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 75778431.880000 TRY 1629854.000000 USD 2026-05-06 -4284.700000 N N N N/A N/A 000000000 316.000000 NC USD -299616.980000 -0.0115102 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2026-06-16 76097737.500000 USD -299616.980000 N N N FNMA PASS THRU POOLS N/A 31410S7J0 34142.650000 PA USD 35820.190000 0.0013761 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.5 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038QD19 3600000.000000 PA USD 3599564.760000 0.138282 Long DBT CORP US N 2 2026-04-01 None 0 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 2306341.110000 PA USD 1360586.730000 0.0522686 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.94303 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAY8 -775000.000000 PA USD -689044.950000 -0.0264705 Short DBT CORP US N 2 2030-02-15 Fixed 4.375 N N N N N N FANNIE MAE 2002-33 N/A 31392DGT3 7430.950000 PA USD 7430.000000 0.0002854 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 7.5 N N N N N N N/A N/A 000000000 495625.000000 PA USD 495625.000000 0.0190401 Long RA US N 2 Repurchase N 3.430000 2026-05-01 500000.000000 USD 486082.920000 USD CDS N N N TORREY PINES RE LTD N/A 89141WAJ1 400000.000000 PA USD 414640.000000 0.0159289 Long DBT CORP BM N 2 2032-06-07 Floating 10.656 N N N N N N KIOXIA HOLDINGS CORPORATION 35380080RTKRARNH4R73 49726JAA6 -2000000.000000 PA USD -2034057.880000 -0.0781409 Short DBT CORP JP N 2 2030-07-24 Fixed 6.25 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBR1 -1700000.000000 PA USD -1688342.590000 -0.0648598 Short DBT CORP BM N 2 2032-02-01 Fixed 6.75 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11 N/A 32051GH65 1969470.960000 PA USD 938770.790000 0.0360641 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.13778 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 5600000.000000 PA USD 5266383.980000 0.202315 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N N/A N/A 000000000 1.000000 NC -107953.210000 -0.0041472 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -391059.210000 EUR 5000000.000000 EUR 283106.000000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAM4 206379.640000 PA USD 195477.430000 0.0075095 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.59303 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 2200000.000000 PA USD 2215921.400000 0.0851274 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N N/A N/A 000000000 1.000000 NC -234648.380000 -0.0090143 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6067260.000000 USD 552293576.910000 INR 2026-04-07 -234648.380000 N N N N/A N/A 000000000 1.000000 NC -18347.250000 -0.0007048 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1140063.840000 USD 1952000.000000 NZD 2026-04-02 -18347.250000 N N N GNMA PASS THRU POOLS N/A 36202ETV1 8115.860000 PA USD 8209.490000 0.0003154 Long ABS-MBS USGSE US N 2 2038-06-20 Fixed 6 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038QD27 2000000.000000 PA USD 1999516.000000 0.0768139 Long DBT CORP US N 2 2026-04-02 None 0 N N N N N N WAMU MTGE P/T CERT 2007-OA5 N/A 93364BAB6 28898.500000 PA USD 27766.450000 0.0010667 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.60874 N N N N N N FNMA PASS THRU POOLS N/A 31410RGA1 614.980000 PA USD 636.020000 0.0000244 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 7483.400000 0.0002875 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 43712585.470000 THB 1341099.000000 USD 2026-06-17 7483.400000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110 N/A 38381YWG5 9250353.040000 PA USD 1091697.060000 0.0419389 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 2.26048 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-1 N/A 75970JAF3 3801187.980000 PA USD 924483.130000 0.0355152 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.612 N N N N N N N/A N/A 000000000 1.000000 NC -2642.940000 -0.0001015 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 425895.060000 USD 1328000.000000 ILS 2026-06-10 -2642.940000 N N N FANNIE MAE REMICS 2023-39 N/A 3136BQFV6 9671195.850000 PA USD 1217077.440000 0.0467556 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 2 N N N N N N GOLUB CAPITAL PARTNERS CLO 50B LTD N/A 38178DAN7 2500000.000000 PA USD 2500779.880000 0.0960706 Long ABS-CBDO CORP JE N 2 2035-04-20 Floating 4.77763 N N N N N N N/A N/A 000000000 1.000000 NC -94140.230000 -0.0036165 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6175068.240000 USD 5261000.000000 EUR 2026-04-02 -94140.230000 N N N N/A N/A 000000000 1.000000 NC -2467.480000 -0.0000948 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1560000.000000 USD 49885586.000000 TWD 2026-04-20 -2467.480000 N N N N/A N/A 000000000 1.000000 NC 5271.670000 0.0002025 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7904000.000000 MXN 443559.990000 USD 2026-06-17 5271.670000 N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498AZ9 -1100000.000000 PA USD -1117187.500000 -0.0429182 Short DBT CORP US N 2 2029-06-15 Fixed 6 N N N N N N N/A N/A 000000000 714875.000000 PA USD 714875.000000 0.0274628 Long RA US N 2 Repurchase N 3.430000 2026-05-01 700000.000000 USD 696333.330000 USD CDS N N N HERC HOLDINGS INC 549300TP80QLITMSBP82 42704LAK0 -1800000.000000 PA USD -1742010.840000 -0.0669215 Short DBT CORP US N 2 2034-03-15 Fixed 6 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 4950000.000000 PA USD 4904108.700000 0.188398 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N QUIKRETE HOLDINGS INC 5493007KIN86DIZWZT22 74839XAL3 1188000.000000 PA USD 1187257.500000 0.04561 Long LON CORP US N 2 2032-02-10 Floating 5.9177 N N N N N N GNMA PASS THRU POOLS N/A 36202K4M4 14.870000 PA USD 14.850000 0.0000006 Long ABS-MBS USGSE US N 2 2026-07-20 Floating 5.375 N N N N N N UNITI SERVICES LLC 549300KT9GVEBYCD2N29 97382BAB5 -1000000.000000 PA USD -1040366.660000 -0.039967 Short DBT CORP US N 2 2033-10-15 Fixed 7.5 N N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAH8 13644.130000 PA USD 12549.500000 0.0004821 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.65985 N N N N N N N/A N/A 000000000 1.000000 NC 703.050000 0.000027 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 360892.500000 USD 16602859.460000 TRY 2026-04-28 703.050000 N N N N/A N/A 000000000 1.000000 NC -23649.870000 -0.0009085 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26123401786.160000 COP 6871414.950000 USD 2026-08-18 -23649.870000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 958ZIAII6 6856986000.000000 PA 4729052.400000 0.181672 Long DBT NUSS NG N 2 2026-06-26 None 0 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH N/A 05554WAB4 1410000.000000 PA USD 1077150.040000 0.0413801 Long ABS-MBS CORP US N 2 2042-04-20 Fixed 2.847 N N N N N N ACE SECURITIES CORP 2006-FM2 N/A 00442CAC3 2781948.650000 PA USD 630307.500000 0.0242141 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.03303 N N N N N N WELSH WATER (DWR CYMRU FINANCING UK PLC) 213800GDOFO2ED5PNC85 ACI1WW932 4950000.000000 PA 4877612.520000 0.18738 Long DBT CORP GB N 2 2034-03-31 Fixed 2.375 N N N N N N CARLYLE EURO CLO 2019-2 DAC 19-2A N/A ACI1ZPM05 770014.880000 PA 890945.440000 0.0342268 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 2.874 N N N N N N N/A N/A 000000000 1.000000 NC -101592.620000 -0.0039028 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 25900000.000000 BRL 4797540.100000 USD 2026-07-02 -101592.620000 N N N FANNIE MAE 2002-34 N/A 31392CP32 6427.300000 PA USD 6431.280000 0.0002471 Long ABS-MBS USGSE US N 2 2032-04-18 Floating 4.33638 N N N N N N RESIDENTIAL ASSET SECUR TR 2003-A15 N/A 45660NWT8 35328.540000 PA USD 33511.060000 0.0012874 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.24303 N N N N N N JTI FINANCIAL SERVICES (NORTH AMERICA) LLC N/A 48130PE44 250000.000000 PA USD 249113.330000 0.00957 Long DBT CORP US N 2 2026-05-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 4.830000 0.0000002 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 510327.950000 THB 15500.000000 USD 2026-04-20 4.830000 N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 2685.510000 PA USD 2401.470000 0.0000923 Long ABS-MBS CORP US N 2 2045-06-25 Floating 4.23303 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J2 N/A 12667F6C4 217238.650000 PA USD 179824.850000 0.0069082 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -18937.140000 -0.0007275 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 72833980.680000 TRY 1619972.880000 USD 2026-04-01 -18937.140000 N N N N/A N/A 000000000 1.000000 NC -67526.730000 -0.0025941 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23700000.000000 BRL 4415463.440000 USD 2026-07-02 -67526.730000 N N N N/A N/A 000000000 1.000000 NC -707582.450000 -0.0271827 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2032-06-01 0.000000 CAD -426475.640000 CAD 29200000.000000 CAD -281106.810000 N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAD8 240645.480000 PA USD 220831.860000 0.0084835 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 4591.380000 0.0001764 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 26591034.760000 USD 1233294851.270000 TRY 2026-05-06 4591.380000 N N N AMERICAN ASSETS TRUST LP 549300V1TI0SMG9Z6U69 02401LAA2 2100000.000000 PA USD 1894005.330000 0.0727606 Long DBT CORP US N 2 2031-02-01 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC -14981.670000 -0.0005755 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 931100.000000 USD 16654771.920000 MXN 2026-09-17 -14981.670000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 96110000.000000 PA 30262263.050000 1.16256 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N FNMA PASS THRU POOLS N/A 3140F1EQ1 25117.760000 PA USD 23505.790000 0.000903 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -2691.640000 -0.0001034 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 263292843.000000 COP 68979.000000 USD 2026-04-06 -2691.640000 N N N N/A N/A 000000000 -3601569.000000 PA USD -3604020.070000 -0.138453 Short RA US N 2 Reverse repurchase N 3.500000 2026-06-12 3850000.000000 USD 3880987.750000 USD CDS N N N N/A N/A 000000000 1.000000 NC -10651.210000 -0.0004092 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 886418.000000 USD 14894924863.000000 IDR 2026-06-10 -10651.210000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI1SQVK7 1700000.000000 PA 2216160.830000 0.0851366 Long DBT CORP GB N 2 2027-05-12 Floating 5.125 N N N N Y NATWEST GROUP PLC GBP XXXX N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 24797.260000 PA USD 23599.280000 0.0009066 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.45303 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1 N/A 12668AUS2 2004907.070000 PA USD 762349.870000 0.0292866 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.29303 N N N N N N FNMA PASS THRU POOLS N/A 31374CL53 61073.910000 PA USD 64050.610000 0.0024606 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.5 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 28621BDD4 700000.000000 PA USD 698982.410000 0.0268523 Long DBT CORP US N 2 2026-04-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 24492.800000 0.0009409 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 3479492.830000 ILS 1133629.000000 USD 2026-06-17 24492.800000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1 N/A 02146VAB8 297285.010000 PA USD 214814.970000 0.0082524 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 58367.340000 0.0022423 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10128684.580000 ILS 3280314.000000 USD 2026-04-06 58367.340000 N N N N/A N/A 000000000 1166188.000000 PA USD 1166188.000000 0.0448006 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1175000.000000 USD 1148989.380000 USD CDS N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAC4 1509395.650000 PA USD 1056335.750000 0.0405805 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.11303 N N N N N N FREDDIE MAC REMICS 4973 N/A 3137FT2D8 4408602.600000 PA USD 919383.210000 0.0353193 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 5 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAU2 30797.480000 PA USD 30377.520000 0.001167 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.82439 N N N N N N N/A N/A 000000000 1.000000 NC USD 11809.950000 0.0004537 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 500000.000000 USD 11809.950000 N N N N/A N/A 000000000 1.000000 NC -273105.170000 -0.0104917 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 148900000.000000 BRL -273105.170000 N N N RESIDENTIAL ASSET SECURITIES 2005-KS7 N/A 76110W3C8 797043.090000 PA USD 798610.790000 0.0306796 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.82803 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3 N/A 939336G49 11100.730000 PA USD 9871.400000 0.0003792 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.58224 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DD64 3800000.000000 PA USD 3797365.470000 0.145881 Long DBT CORP US N 2 2026-04-06 None 0 N N N N N N N/A N/A 000000000 783000.000000 PA USD 783000.000000 0.0300799 Long RA US N 2 Repurchase N 3.400000 2026-05-01 800000.000000 USD 761759.360000 USD CDS N N N N/A N/A 000000000 4334000.000000 PA USD 4334000.000000 0.166496 Long RA US N 2 Repurchase N 3.300000 2026-05-01 4400000.000000 USD 4234252.000000 USD CDS N N N N/A N/A 000000000 1.000000 NC -1290125.120000 -0.0495618 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 65700000.000000 BRL 11393639.850000 USD 2026-04-02 -1290125.120000 N N N AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST N/A 02377AAA6 966088.460000 PA USD 962885.780000 0.0369905 Long DBT CORP US N 2 2028-04-01 Fixed 3.7 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-41CB N/A 02149CAC5 628582.870000 PA USD 303969.600000 0.0116774 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N WESCO DISTRIBUTION INC 549300I2CEZJG9N4AH67 95081QAT1 -1100000.000000 PA USD -1096183.990000 -0.0421113 Short DBT CORP US N 2 2031-04-15 Fixed 5.25 N N N N N N N/A N/A 000000000 152486.250000 PA USD 152486.250000 0.005858 Long RA US N 2 Repurchase N 3.400000 2026-05-01 157000.000000 USD 149712.560000 USD CDS N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAB6 1500000.000000 PA USD 1292146.920000 0.0496394 Long DBT CORP GB N 2 2031-07-15 Fixed 4.75 N N N N N N PURPLE RE LTD N/A 74639NAB9 400000.000000 PA USD 406600.000000 0.01562 Long DBT CORP BM N 2 2026-06-05 Floating 14.14 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 4673.320000 PA USD 4610.110000 0.0001771 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 3.91169 N N N N N N N/A N/A 000000000 1.000000 NC 22505.170000 0.0008646 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 1948619.000000 USD 7244965442.000000 COP 2026-04-08 22505.170000 N N N N/A N/A 000000000 1.000000 NC 18531.480000 0.0007119 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4301339.750000 CHF 5416941.520000 USD 2026-05-04 18531.480000 N N N N/A N/A 000000000 1.000000 NC -16294.890000 -0.000626 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 5876385401.000000 COP 1557277.170000 USD 2026-06-17 -16294.890000 N N N N/A N/A 000000000 181655.000000 PA USD 181655.000000 0.0069785 Long RA US N 2 Repurchase N 3.350000 2026-06-12 188000.000000 USD 179931.750000 USD CDS N N N N/A N/A 000000000 1.000000 NC -195363.580000 -0.0075051 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 108161523.270000 EUR 125013629.400000 USD 2026-05-04 -195363.580000 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 215235.900000 PA USD 209658.410000 0.0080543 Long ABS-MBS CORP US N 2 2046-11-25 Floating 4.19303 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4R1 41377.960000 PA USD 33629.180000 0.0012919 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.05333 N N N N N N N/A N/A 000000000 1.000000 NC -2549.300000 -0.0000979 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2371022.400000 NOK 242290.900000 USD 2026-05-04 -2549.300000 N N N N/A N/A 000000000 1.000000 NC 6736.890000 0.0002588 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 685570.000000 USD 31165532.300000 TRY 2026-04-13 6736.890000 N N N FANNIE MAE 2005-5 N/A 31394B5A8 1343.220000 PA USD 1335.990000 0.0000513 Long ABS-MBS USGSE US N 2 2035-01-25 Fixed 5 N N N N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAH3 1300000.000000 PA USD 1234470.110000 0.0474237 Long DBT CORP US N 2 2028-08-09 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC -8674.000000 -0.0003332 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 259926255.000000 JPY 1629121.000000 USD 2026-04-02 -8674.000000 N N N N/A N/A 000000000 2227500.000000 PA USD 2227500.000000 0.0855722 Long RA US N 2 Repurchase N 3.430000 2026-05-01 2200000.000000 USD 2167980.650000 USD CDS N N N TORO EUROPEAN CLO 3 DAC 3A N/A ACI37Y6D3 1500000.000000 PA 1733580.280000 0.0665977 Long ABS-CBDO CORP IE N 2 2034-07-15 Floating 3.006 N N N N N N N/A N/A 000000000 1.000000 NC -16516.880000 -0.0006345 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1024520.880000 USD 806000.000000 CHF 2026-04-02 -16516.880000 N N N N/A N/A 000000000 1.000000 NC 182.040000 0.000007 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 280679571.000000 IDR 16684.970000 USD 2026-06-10 182.040000 N N N FNMA PASS THRU POOLS N/A 3138WGRY2 132797.570000 PA USD 124563.970000 0.0047853 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 122142.040000 0.0046922 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6512223.000000 AUD 4615251.510000 USD 2026-04-02 122142.040000 N N N N/A N/A 000000000 1.000000 NC -38379.060000 -0.0014744 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12800000.000000 BRL 2382813.950000 USD 2026-07-02 -38379.060000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPHII6 400000.000000 PA USD 140000.000000 0.0053783 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -12942.310000 -0.0004972 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 121248736.720000 THB 3677000.000000 USD 2026-05-19 -12942.310000 N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 ACI1GSHM8 1700000.000000 PA 1910431.680000 0.0733916 Long DBT CORP US N 2 2027-11-15 Fixed 1.164 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5Y5 213931.200000 PA USD 186592.870000 0.0071682 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.13034 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC5 N/A 61744CRW8 4000000.000000 PA USD 3768170.800000 0.144759 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.84303 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2Q7PM2 339300000.000000 PA 61365986.590000 2.35745 Long DBT NUSS BR N 2 2026-10-01 None 0 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAE8 408585.170000 PA USD 202731.140000 0.0077882 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.25303 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 455000.000000 PA 599040.930000 0.0230129 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.88087 N N N N N N ENERGIZER HOLDINGS INC 5493000D6NN0V57UME20 29272WAG4 -1825000.000000 PA USD -1711454.340000 -0.0657477 Short DBT CORP US N 2 2033-09-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 24566.430000 0.0009438 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 156805.200000 KWD 540000.000000 USD 2030-05-09 24566.430000 N N N N/A N/A 000000000 1.000000 NC USD -195802.840000 -0.007522 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-12-18 0.000000 USD -43911.620000 USD 42200000.000000 USD -151891.220000 N N N N/A N/A 000000000 1.000000 NC USD -19855.460000 -0.0007628 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 3700000.000000 USD -19855.460000 N N N N/A N/A 000000000 1.000000 NC -39984.750000 -0.0015361 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 300000.000000 USD 15186000.000000 EGP 2026-07-20 -39984.750000 N N N UMBS PASS THRU POOLS N/A 01F050668 99000000.000000 PA USD 97444780.290000 3.74346 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 5 N N N N N N UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST N/A 90932JAA0 365681.350000 PA USD 336860.280000 0.0129409 Long DBT CORP US N 2 2033-11-01 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 6642961.760000 0.255198 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-03 5890114.340000 USD 0.000000 USD 18000000.000000 USD 752847.420000 N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579GY8 38364.760000 PA USD 37184.530000 0.0014285 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.6301 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS10 N/A 74924DAA7 164019.840000 PA USD 135626.740000 0.0052103 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 N N N N N N ENI SPA BUCRF72VH5RBN7X3VL35 26874RAN8 1900000.000000 PA USD 1947018.500000 0.0747972 Long DBT CORP IT N 2 2034-05-15 Fixed 5.5 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 045054AS2 1000000.000000 PA USD 1019906.550000 0.039181 Long DBT CORP US N 2 2034-04-15 Fixed 5.8 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 356998.560000 PA USD 339802.690000 0.0130539 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.83874 N N N N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3 N/A 316599AD1 1223050.900000 PA USD 804883.930000 0.0309206 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.10821 N N N N N N AADVANTAGE LOYALTY IP LTD N/A 02376CBS3 3870750.000000 PA USD 3841719.380000 0.147585 Long LON CORP US N 2 2028-04-20 Floating 5.9176 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1 N/A 69121PCH4 514262.210000 PA USD 283999.970000 0.0109102 Long ABS-MBS CORP US N 2 2035-10-25 Variable 5.79 N N N N N N N/A N/A 000000000 1.000000 NC 140405.380000 0.0053938 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8025854.260000 USD 42300000.000000 BRL 2026-04-02 140405.380000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-7 N/A 41161PPN7 1982615.710000 PA USD 764198.630000 0.0293577 Long ABS-MBS CORP US N 2 2045-06-19 Floating 4.679 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AE8 2804.210000 PA USD 2817.580000 0.0001082 Long ABS-MBS CORP US N 2 2037-02-25 Floating 6.44708 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAD8 13171758.280000 PA USD 5327396.670000 0.204659 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.04303 N N N N N N N/A N/A 000000000 316875.000000 PA USD 316875.000000 0.0121732 Long RA US N 2 Repurchase N 3.420000 2026-05-01 300000.000000 USD 307677.600000 USD CDS N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514Y8A8 5400000.000000 PA USD 5486528.090000 0.210772 Long DBT NUSS IL N 2 2030-02-19 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -24352.490000 -0.0009355 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1461320.970000 USD 1149000.000000 CHF 2026-04-02 -24352.490000 N N N N/A N/A 000000000 1137125.000000 PA USD 1137125.000000 0.0436841 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1117187.500000 USD CDS N N N ACE SECURITIES CORP 2006-NC3 N/A 00442EAH8 4705143.230000 PA USD 1173650.460000 0.0450873 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.19303 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 990ADDTN7 73384900000.000000 PA 16064115.920000 0.617123 Long DBT NUSS US N 2 2030-09-18 Fixed 7.75 N N N N N N N/A N/A 000000000 1.000000 NC 1048296.080000 0.0402716 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 66716901.720000 SGD 52939796.210000 USD 2026-04-02 1048296.080000 N N N COUNTRYWIDE HOME LOANS 2003-56 N/A 12669FBQ5 6050.090000 PA USD 6153.240000 0.0002364 Long ABS-MBS CORP US N 2 2033-12-25 Floating 5.98787 N N N N N N N/A N/A 000000000 296625.000000 PA USD 296625.000000 0.0113952 Long RA US N 2 Repurchase N 3.250000 2026-05-01 300000.000000 USD 291002.580000 USD CDS N N N N/A N/A 000000000 1.000000 NC 1572.390000 0.0000604 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 357831.570000 SGD 280527.900000 USD 2026-05-04 1572.390000 N N N LIFEPOINT HEALTH INC 549300G8ZVHRTBBBSZ90 75915TAK8 5176897.200000 PA USD 5184351.930000 0.199163 Long LON CORP US N 2 2031-05-19 Floating 7.4222 N N N N N N DOMINICAN REPUBLIC GOVT 254900EHU7Q8FGVPI369 P3579ECY1 11400000.000000 PA 195739.980000 0.0075196 Long DBT NUSS DO N 2 2037-03-15 Fixed 10.5 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KAZ9 2400000.000000 PA USD 2386577.140000 0.0916834 Long DBT CORP US N 2 2026-10-05 Fixed 3.244 N N N N N N N/A N/A 000000000 1.000000 NC -132531.470000 -0.0050914 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 28199503.300000 USD 39042212.320000 CAD 2026-04-02 -132531.470000 N N N N/A N/A 000000000 1.000000 NC -654.820000 -0.0000252 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1945000.000000 NOK 200214.750000 USD 2026-04-07 -654.820000 N N N N/A N/A 000000000 1.000000 NC USD 1205.650000 0.0000463 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -26055.890000 USD 881285.580000 USD 27261.540000 N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 ACI1BWMH9 3700000.000000 PA 4690588.120000 0.180195 Long DBT CORP GB N 2 2029-05-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1870050.000000 PA USD 1870050.000000 0.0718403 Long RA US N 2 Repurchase N 3.130000 2026-05-01 1820000.000000 USD 1828726.900000 USD CDS N N N N/A N/A 000000000 1.000000 NC -6602.060000 -0.0002536 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 320000.000000 USD 471302866.000000 KRW 2026-04-13 -6602.060000 N N N GRAY MEDIA INC 529900TM5726KDN7UU35 389286AA3 -1664000.000000 PA USD -1236926.080000 -0.0475181 Short DBT CORP US N 2 2031-11-15 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -22484.400000 -0.0008638 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 840312.670000 USD 3036000.000000 PLN 2026-04-15 -22484.400000 N N N N/A N/A 000000000 1.000000 NC -3894.660000 -0.0001496 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4292000.000000 ZAR 249410.350000 USD 2026-04-20 -3894.660000 N N N N/A N/A 000000000 521875.000000 PA USD 521875.000000 0.0200485 Long RA US N 2 Repurchase N 3.150000 2026-05-01 500000.000000 USD 512796.000000 USD CDS N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 58339.090000 PA USD 55444.040000 0.00213 Long ABS-MBS CORP US N 2 2042-06-25 Floating 5.25874 N N N N N N LINDBLAD EXPEDITIONS LLC 549300MPUWOG67Y2R254 53523LAB6 -1900000.000000 PA USD -1941032.400000 -0.0745672 Short DBT CORP US N 2 2030-09-15 Fixed 7 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAC3 1064276.120000 PA USD 595492.820000 0.0228766 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.11303 N N N N N N FEDERAL HOME LOAN MTGE 5123 N/A 3137H15W2 3987892.320000 PA USD 678426.220000 0.0260626 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 3 N N N N N N N/A N/A 000000000 316.000000 NC USD -322329.480000 -0.0123827 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2026-09-15 76106625.000000 USD -322329.480000 N N N N/A N/A 000000000 1.000000 NC 1804912.930000 0.069338 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-03-18 1681961.240000 JPY 0.000000 JPY 42490000000.000000 JPY 122951.690000 N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA3 N/A 749575AA4 6801.340000 PA USD 0.070000 0 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0 N N N N N N N/A N/A 000000000 1.000000 NC 1180.240000 0.0000453 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 2303962.340000 CZK 109701.000000 USD 2026-04-15 1180.240000 N N N TRIAXX PRIME CDO 2007-1A N/A 896006AB9 3599253.350000 PA USD 30532.470000 0.0011729 Long ABS-CBDO CORP KY N 2 2039-10-02 Floating 4.59 N N N N N N N/A N/A 000000000 1.000000 NC USD 20381581.770000 0.782984 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-12-21 18802471.810000 USD 0.000000 USD 51300000.000000 USD 1579109.960000 N N N NATURE COAST RE LTD N/A 63901CAE1 800000.000000 PA USD 828160.000000 0.0318148 Long DBT CORP BM N 2 2033-04-10 Floating 13.2753 N N N N N N N/A N/A 000000000 2219250.000000 PA USD 2219250.000000 0.0852553 Long RA US N 2 Repurchase N 3.440000 2026-05-01 2200000.000000 USD 2178296.350000 USD CDS N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAF5 6866788.050000 PA USD 1561023.490000 0.0599687 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.23303 N N N N N N N/A N/A 000000000 1.000000 NC -600675.630000 -0.0230757 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 45000000.000000 BRL 8086834.630000 USD 2026-04-02 -600675.630000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2QBM79 1495000000.000000 PA 1643651.030000 0.0631429 Long DBT NUSS CL N 2 2029-10-01 Fixed 5.8 N N N N N N N/A N/A 000000000 192307.500000 PA USD 192307.500000 0.0073877 Long RA US N 2 Repurchase N 3.400000 2026-05-01 198000.000000 USD 188809.470000 USD CDS N N N N/A N/A 000000000 2026500.000000 PA USD 2026500.000000 0.0778505 Long RA US N 2 Repurchase N 3.000000 2026-05-01 2100000.000000 USD 2012998.430000 USD CDS N N N FNMA PASS THRU POOLS N/A 31407UMR5 33728.030000 PA USD 35300.150000 0.0013561 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.231 N N N N N N N/A N/A 000000000 1.000000 NC 6541.500000 0.0002513 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 505073.240000 USD 22884110.890000 TRY 2026-04-08 6541.500000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 2183081.050000 PA USD 1386153.430000 0.0532508 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.29303 N N N N N N N/A N/A 000000000 184725.000000 PA USD 184725.000000 0.0070964 Long RA US N 2 Repurchase N 3.400000 2026-05-01 180000.000000 USD 182124.000000 USD CDS N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DEB1 5100000.000000 PA USD 5074594.350000 0.194947 Long DBT CORP US N 2 2026-05-11 None 0 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AD4 7380804.330000 PA USD 3522370.770000 0.135316 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.93303 N N N N N N IMPAC CMB TRUST 2004-11 N/A 45254NMB0 35655.920000 PA USD 33883.330000 0.0013017 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.45303 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 24304.340000 PA USD 23736.610000 0.0009119 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.29303 N N N N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 1074321.410000 PA USD 374107.180000 0.0143718 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAH5 500000.000000 PA USD 438798.120000 0.016857 Long DBT CORP US N 2 2031-11-15 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -1432318.530000 -0.0550243 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 -817868.820000 EUR 39370000.000000 EUR -614449.710000 N N N FIRST HORIZON ALT MTGE SEC 2005-AA1 N/A 32051GGD1 14252.260000 PA USD 7912.790000 0.000304 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.3408 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAD4 1284846.910000 PA USD 914951.050000 0.035149 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.17303 N N N N N N N/A N/A 000000000 1.000000 NC USD 89730.720000 0.0034471 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 88498.080000 USD 0.000000 USD 5100000.000000 USD 1232.640000 N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498AX4 -1200000.000000 PA USD -1081708.920000 -0.0415552 Short DBT CORP US N 2 2031-09-15 Fixed 3.125 N N N N N N N/A N/A 000000000 -334.000000 NC 1293515.330000 0.049692 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -48407307.750000 EUR 1293515.330000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAE7 1700000.000000 PA USD 1733583.130000 0.0665978 Long DBT CORP DE N 2 2031-07-08 Floating 5.882 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 ACI34TZF0 650000.000000 PA 728082.290000 0.0279702 Long DBT CORP US N 2 2056-06-15 Floating 3.9962 N N N N N N N/A N/A 000000000 1778875.000000 PA USD 1778875.000000 0.0683377 Long RA US N 2 Repurchase N 3.200000 2026-05-01 1900000.000000 USD 1761841.120000 USD CDS N N N FRONTIER COMMUNICATIONS HOLDINGS LLC N/A 35908MAD2 4000000.000000 PA USD 4107364.000000 0.15779 Long DBT CORP US N 2 2030-05-15 Fixed 8.75 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AA3 733192.470000 PA USD 668826.020000 0.0256938 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.11303 N N N N N N ATLAS SENIOR LOAN FUND LTD 2021-16A N/A 04940AAN2 2100000.000000 PA USD 2101394.800000 0.0807277 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 4.76763 N N N N N N N/A N/A 000000000 2178000.000000 PA USD 2178000.000000 0.0836706 Long RA US N 2 Repurchase N 3.250000 2026-05-01 2400000.000000 USD 2176284.000000 USD CDS N N N VITALITY RE XVII LTD N/A 92853KAA8 600000.000000 PA USD 600030.000000 0.0230509 Long DBT CORP KY N 2 2031-01-08 Floating 5.5253 N N N N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 28504HD19 1450000.000000 PA USD 1449841.950000 0.0556975 Long DBT CORP FR N 2 2026-04-01 None 0 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ73 12319671.210000 PA USD 1546200.050000 0.0593992 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 2.22362 N N N N N N ACE SECURITIES CORP 2003-HE1 N/A 004421DA8 100271.560000 PA USD 103502.480000 0.0039762 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.76803 N N N N N N SONIC AUTOMOTIVE INC 549300NTLRGJ2JCBZU03 83545GBD3 -500000.000000 PA USD -485004.300000 -0.018632 Short DBT CORP US N 2 2029-11-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -5348.310000 -0.0002055 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4103404.220000 PLN 1100014.000000 USD 2026-04-15 -5348.310000 N N N N/A N/A 000000000 1.000000 NC -2117.200000 -0.0000813 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3185750000.000000 UZS 250000.000000 USD 2026-09-10 -2117.200000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1 N/A 12667G2X0 1906012.510000 PA USD 1159228.420000 0.0445332 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.24303 N N N N N N SIERRA MADRE FUNDING LTD 2004-1A N/A 82639RAA5 24113524.520000 PA USD 12907366.840000 0.495853 Long ABS-CBDO CORP KY N 2 2039-09-07 Floating 4.18356 N N N N N N GRAPHIC PACKAGING INTERNATIONAL LLC SO75N4VY5NXGQSK8YQ65 38869AAD9 -1200000.000000 PA USD -1102339.080000 -0.0423477 Short DBT CORP US N 2 2030-02-01 Fixed 3.75 N N N N N N COUNTRYWIDE HOME LOANS 2004-11 N/A 12669FA86 43326.000000 PA USD 41608.240000 0.0015984 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.94283 N N N N N N N/A N/A 000000000 9800000.000000 NC USD 499138.500000 0.019175 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.47000 06/06/35-10Y LCH 2045-06-06 0.000000 USD 0.000000 USD N/A USD N/A 4.470000 USD 2035-06-04 XXXX -379431.500000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659X2M3 1200000.000000 PA USD 1153854.550000 0.0443268 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-99 N/A 38381XTJ5 1510999.540000 PA USD 112266.060000 0.0043128 Long ABS-MBS USGSE US N 2 2049-08-20 Floating 2.26048 N N N N N N N/A N/A 000000000 1.000000 NC -42165.460000 -0.0016198 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1630118.920000 USD 150364288.340000 INR 2026-04-07 -42165.460000 N N N FREDDIE MAC REMICS 5392 N/A 3137HBX25 11931541.580000 PA USD 1366876.210000 0.0525103 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 2 N N N N N N N/A N/A 000000000 3609000.000000 PA USD 3609000.000000 0.138644 Long RA US N 2 Repurchase N 3.400000 2026-05-01 3600000.000000 USD 3524051.520000 USD CDS N N N N/A N/A 000000000 1.000000 NC -6987.460000 -0.0002684 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2484696.670000 USD 79295119.000000 TWD 2026-04-13 -6987.460000 N N N INDYMAC INDEX MORTGAGE LOAN TRUST 2007-FLX2 N/A 45668RAA6 191360.670000 PA USD 171549.880000 0.0065903 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC -2367.530000 -0.000091 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 964241.000000 USD 90392772.550000 INR 2026-04-24 -2367.530000 N N N N/A N/A 000000000 -10750000.000000 NC USD -67166.000000 -0.0025803 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 2026-04-27 N/A 5.120000 USD 2026-04-23 XXXX -41430.500000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 39293.030000 PA USD 38918.720000 0.0014951 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.17303 N N N N N N N/A N/A 000000000 1.000000 NC 8044.170000 0.000309 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7629388.540000 THB 239624.000000 USD 2026-04-16 8044.170000 N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 291225.520000 PA USD 283149.430000 0.0108775 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.02303 N N N N N N N/A N/A 000000000 1.000000 NC 3320.320000 0.0001276 N/A DFE CO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 6174723454.680000 COP 1656781.020000 USD 2026-06-17 3320.320000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VDM2 1300000.000000 PA USD 1296911.980000 0.0498225 Long DBT CORP CA N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 11398.120000 0.0004379 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 11000000.000000 USD 11398.120000 N N N FNMA PASS THRU POOLS N/A 31362J4X0 34.420000 PA USD 34.310000 0.0000013 Long ABS-MBS USGSE US N 2 2027-03-01 Floating 4.75 N N N N N N N/A N/A 000000000 -2800000.000000 NC USD -7793.520000 -0.0002994 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 2076.480000 N N N UMBS PASS THRU POOLS N/A 01F060675 190000000.000000 PA USD 193323491.400000 7.42676 Long ABS-MBS USGSE US N 2 2056-07-13 Fixed 6 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 1634863.000000 PA 2165407.160000 0.0831868 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 4.68087 N N N N N N N/A N/A 000000000 1.000000 NC 0.400000 0 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29560.280000 THB 900.000000 USD 2026-05-19 0.400000 N N N N/A N/A 000000000 -301577532.050000 PA -17828958.060000 -0.684922 Short RA ZA N 2 Reverse repurchase N 6.700000 2028-03-29 305300000.000000 ZAR 300048306.600000 ZAR N N N FANNIE MAE WHOLE LOAN 2001-W4 N/A 3139216U7 321.700000 PA USD 321.600000 0.0000124 Long ABS-MBS USGSE US N 2 2032-01-25 Variable 5.61 N N N N N N N/A N/A 000000000 1.000000 NC 2306230.820000 0.0885968 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 92490523.270000 EUR 109211422.520000 USD 2026-04-02 2306230.820000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI3187G8 8600000.000000 PA 138282.890000 0.0053123 Long DBT NUSS EG N 2 2026-10-20 None 0 N N N N N N FANNIE MAE REMICS 2018-45 N/A 3136B2EP3 5205503.250000 PA USD 607276.610000 0.0233293 Long ABS-MBS USGSE US N 2 2048-06-25 Floating 2.42362 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 958ZIBII4 7462756000.000000 PA 5138854.170000 0.197415 Long DBT NUSS NG N 2 2026-06-29 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -146136.590000 -0.005614 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 43600000.000000 BRL 8101052.080000 USD 2026-07-02 -146136.590000 N N N N/A N/A 000000000 1.000000 NC 48928.270000 0.0018796 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 58783685.920000 THB 1833228.000000 USD 2026-04-16 48928.270000 N N N BELLE HAVEN ABS CDO LTD 2004-1A N/A 078446AG6 20259487.890000 PA USD 5073380.960000 0.1949 Long ABS-CBDO CORP KY N 2 2044-11-03 Floating 7.11 N N N N N N N/A N/A 000000000 1.000000 NC -207867.160000 -0.0079855 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5388762.000000 USD 490582114.960000 INR 2026-04-07 -207867.160000 N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 27022.380000 PA USD 25767.530000 0.0009899 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.49303 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 17287.260000 PA USD 17149.320000 0.0006588 Long ABS-MBS CORP US N 2 2033-03-25 Floating 5.36419 N N N N N N FNMA PASS THRU POOLS N/A 3140H3BU9 19447.310000 PA USD 18639.710000 0.0007161 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 213.260000 PA USD 202.320000 0.0000078 Long ABS-MBS CORP US N 2 2032-09-19 Floating 4.4512 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DED7 250000.000000 PA USD 248691.480000 0.0095538 Long DBT CORP US N 2 2026-05-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 628.900000 0.0000242 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 47725.310000 SGD 37749.000000 USD 2026-04-02 628.900000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 1228275.020000 PA USD 496811.940000 0.0190857 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.90303 N N N N N N BARINGS EURO CLO 2025-1 DAC 25-1A N/A ACI379GS4 2000000.000000 PA 2307268.910000 0.0886366 Long ABS-CBDO CORP IE N 2 2039-08-15 Floating 3.426 N N N N N N SLM STUDENT LOAN TRUST 2013-1 N/A 78447MAD0 141000.000000 PA USD 141672.740000 0.0054425 Long ABS-O CORP US N 2 2070-11-25 Floating 5.57638 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E74 400000.000000 PA USD 403042.720000 0.0154834 Long DBT CORP US N 2 2027-05-17 Fixed 5.85 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 16100000.000000 PA USD 15960402.860000 0.613139 Long DBT CORP US N 2 2028-06-05 Floating 3.691 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HQ9 3100000.000000 PA USD 3103228.090000 0.119214 Long DBT CORP US N 2 2027-06-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1089000.000000 PA USD 1089000.000000 0.0418353 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1073182.880000 USD CDS N N N PEOPLE'S FINANCE REALTY MTGE SEC 2006-1 N/A 71103XAS3 2165027.410000 PA USD 506363.110000 0.0194526 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.93303 N N N N N N N/A N/A 000000000 3720060.000000 NC USD 11870.710000 0.000456 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-15 N/A 1400.000000 USD 2026-07-13 XXXX -13567.060000 N N N N/A N/A 000000000 1.000000 NC 20369.570000 0.0007825 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6273583.100000 PEN 1816324.000000 USD 2026-06-17 20369.570000 N N N N/A N/A 000000000 5479940.000000 NC USD 16335.700000 0.0006276 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-13 N/A 1400.000000 USD 2026-07-09 XXXX -39243.940000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDM0 800000.000000 PA USD 798037.120000 0.0306576 Long DBT CORP US N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 187575.000000 PA USD 187575.000000 0.0072059 Long RA US N 2 Repurchase N 3.370000 2026-06-12 183000.000000 USD 185296.650000 USD CDS N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAL8 1063345.070000 PA USD 1064692.650000 0.0409015 Long ABS-MBS CORP US N 2 2036-06-27 Floating 4.02821 N N N N N N N/A N/A 000000000 1.000000 NC -26686.210000 -0.0010252 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12200000.000000 BRL 2281013.370000 USD 2026-07-02 -26686.210000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 2124642.910000 PA USD 1054257.160000 0.0405006 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.09303 N N N N N N METHANEX CORPORATION 549300TSJHRXT9QXRD13 59151KAM0 -2000000.000000 PA USD -1988720.800000 -0.0763992 Short DBT CORP CA N 2 2027-10-15 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 798.880000 0.0000307 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 127597.400000 ILS 41465.950000 USD 2026-06-10 798.880000 N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A1 N/A 466287AA7 335202.690000 PA USD 292114.600000 0.0112219 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC 275062.920000 0.0105669 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6104315.480000 CHF 7909274.380000 USD 2026-04-02 275062.920000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAS2 1900000.000000 PA USD 1887696.090000 0.0725182 Long DBT CORP GB N 2 2028-03-18 Floating 3.75 N N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AD8 173623.230000 PA USD 145251.490000 0.00558 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.21303 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHTT6 1396100000.000000 PA 880145.810000 0.0338119 Long DBT NUSS NG N 2 2027-01-14 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -11378.840000 -0.0004371 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -8700.000000 USD 2500000.000000 USD -2678.840000 N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CX8 -2100000.000000 PA USD -2118453.100000 -0.081383 Short DBT CORP US N 2 2034-11-01 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 11106.400000 0.0004267 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 147444138.420000 INR 1568221.000000 USD 2026-04-07 11106.400000 N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 2250292.790000 PA USD 1335133.140000 0.0512908 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.27303 N N N N N N N/A N/A 000000000 1.000000 NC 62909.270000 0.0024167 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2292371.290000 USD 12200000.000000 BRL 2026-04-02 62909.270000 N N N N/A N/A 000000000 1.000000 NC USD 5112979.850000 0.196422 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-09-19 4590820.800000 USD 0.000000 USD 13200000.000000 USD 522159.050000 N N N N/A N/A 000000000 639000.000000 PA USD 639000.000000 0.024548 Long RA US N 2 Repurchase N 3.430000 2026-05-01 600000.000000 USD 619650.000000 USD CDS N N N AT&T INC 549300Z40J86GGSTL398 00206RGQ9 105000.000000 PA USD 104352.920000 0.0040088 Long DBT CORP US N 2 2030-02-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC -63654.010000 -0.0024453 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13500000.000000 BRL 2489947.990000 USD 2026-07-02 -63654.010000 N N N N/A N/A 000000000 -2300000.000000 NC -8531.250000 -0.0003277 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 -3767.140000 N N N TALEN ENERGY SUPPLY LLC (AKA: PPL ENERGY SUPPLY LLC) K5K33XN0PQAU1XF7NN66 87422VAN8 -1100000.000000 PA USD -1108228.800000 -0.042574 Short DBT CORP US N 2 2036-02-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -14854.150000 -0.0005706 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 6000000.000000 USD -14854.150000 N N N FHLMC PASS THRU POOLS N/A 31342AC31 503.910000 PA USD 513.270000 0.0000197 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 5.848 N N N N N N N/A N/A 000000000 1.460000 NC USD 0.000000 0 N/A DE US Y 3 None N/A Call Purchased CONSTELLATION OIL SERVICES HOLDING SA CONSTELLATION CLASS D EQUITY PLACEHOLDER N/A 0.010000 USD 2071-06-10 XXXX 0.000000 N N N N/A N/A 000000000 1.000000 NC 2517.060000 0.0000967 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 34123.950000 KWD 115000.000000 USD 2031-01-14 2517.060000 N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAW5 1449678.420000 PA USD 639789.330000 0.0245783 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 045054AR4 4600000.000000 PA USD 4742772.780000 0.1822 Long DBT CORP US N 2 2033-10-15 Fixed 5.95 N N N N N N GNMA PASS THRU POOLS N/A 36202K5U5 32.820000 PA USD 32.800000 0.0000013 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -18470.170000 -0.0007096 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5416941.520000 USD 4316617.690000 CHF 2026-04-02 -18470.170000 N N N N/A N/A 000000000 1.000000 NC 2490.260000 0.0000957 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 361328.880000 USD 16704956.780000 TRY 2026-04-28 2490.260000 N N N FANNIE MAE 2006-118 N/A 31396L4T4 11852.600000 PA USD 11647.460000 0.0004475 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 3.84169 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAC6 1307638.500000 PA USD 478013.790000 0.0183635 Long ABS-MBS CORP US N 2 2036-02-26 Floating 5.25 N N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAM7 299184.810000 PA USD 266422.130000 0.0102349 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.70744 N N N N N N FAURECIA SE 969500F0VMZLK2IULV85 31209DAC9 -1100000.000000 PA USD -1074650.280000 -0.041284 Short DBT CORP FR N 2 2033-09-15 Fixed 6.75 N N N N N N CHASEFLEX TRUST 2007-1 N/A 16165VAJ7 556947.070000 PA USD 169097.820000 0.0064961 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4P4 2747387.040000 PA USD 458287.430000 0.0176057 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBG4 1700000.000000 PA USD 1501116.860000 0.0576673 Long DBT CORP US N 2 2030-10-15 Fixed 1.875 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAQ2 1936058.520000 PA USD 520432.080000 0.0199931 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.09303 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BDQ2 1850000.000000 PA USD 1845023.690000 0.0708789 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 231419.310000 PA USD 225643.480000 0.0086684 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.13303 N N N N N N GNMA PASS THRU POOLS N/A 36225CLM6 196.020000 PA USD 196.600000 0.0000076 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 5.125 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WAU7 1300000.000000 PA USD 1244602.840000 0.047813 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.2475 N N N N N N ARMOR RE II LTD 549300X573KDIHEJL317 04227FAE5 500000.000000 PA USD 526400.000000 0.0202223 Long DBT CORP BM N 2 2031-05-07 Floating 13.74 N N N N N N FANNIE MAE 2002-95 N/A 31392HGU1 13680.850000 PA USD 14112.680000 0.0005422 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 39481.460000 0.0015167 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 298669493.360000 INR 3193643.000000 USD 2026-04-07 39481.460000 N N N FNMA PASS THRU POOLS N/A 31406L3G1 16231.150000 PA USD 16700.540000 0.0006416 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 5.8 N N N N N N N/A N/A 000000000 1.000000 NC -3557.170000 -0.0001367 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 23496065.190000 TRY 513563.970000 USD 2026-04-20 -3557.170000 N N N FNMA PASS THRU POOLS N/A 3140H5MU2 177208.060000 PA USD 169057.770000 0.0064946 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 1050000.000000 PA USD 1056012.330000 0.040568 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N N/A N/A 000000000 1.000000 NC 23636.340000 0.000908 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3538491.700000 ILS 1151403.000000 USD 2026-06-10 23636.340000 N N N FNMA PASS THRU POOLS N/A 31385HU59 427.600000 PA USD 422.730000 0.0000162 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.336 N N N N N N N/A N/A 000000000 1.000000 NC USD 1419.750000 0.0000545 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2056-02-15 0.000000 USD 0.000000 USD 100000.000000 USD 1419.750000 N N N FANNIE MAE REMICS 2014-78 N/A 3136ALQ46 4973066.890000 PA USD 634283.850000 0.0243668 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 2.19 N N N N N N FREDDIE MAC 2400 N/A 31339NC79 248.200000 PA USD 248.180000 0.0000095 Long ABS-MBS USGSE US N 2 2032-01-15 Floating 4.28671 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDA1 450000.000000 PA USD 449495.240000 0.0172679 Long DBT CORP US N 2 2026-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 32454.410000 0.0012468 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -9225.000000 USD 4500000.000000 USD 41679.410000 N N N N/A N/A 000000000 1.000000 NC USD 22713.360000 0.0008726 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 2400000.000000 USD 22713.360000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLE9 40109841.000000 PA USD 40322268.330000 1.54903 Long DBT UST US N 2 2034-07-15 Fixed 1.875 N N N N N N MASTR ASSET BACKED SEC TR 2006-AM3 N/A 57645EAM2 1252718.650000 PA USD 1143252.340000 0.0439195 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.27303 N N N N N N CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC) 549300CTE3HOMEUMM603 12610CFC9 1100000.000000 PA USD 1090867.360000 0.041907 Long DBT CORP US N 2 2026-06-12 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 44452.310000 0.0017077 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10237389.090000 ILS 3300978.000000 USD 2026-04-06 44452.310000 N N N ACCO BRANDS CORPORATION JCT8P4Y190IH4I1NX328 00081TAK4 -1767000.000000 PA USD -1578962.930000 -0.0606578 Short DBT CORP US N 2 2029-03-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1017500.000000 PA USD 1017500.000000 0.0390885 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1009279.190000 USD CDS N N N CARRINGTON MTGE LOAN TRUST 2006-FRE2 N/A 14454AAC3 680442.640000 PA USD 555387.630000 0.0213359 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.95303 N N N N N N N/A N/A 000000000 2958750.000000 PA USD 2958750.000000 0.113664 Long RA US N 2 Repurchase N 3.250000 2026-05-01 3000000.000000 USD 2863812.900000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD -368025.030000 -0.0141381 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 9582.460000 USD 0.000000 USD 126000000.000000 USD -377607.490000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1 N/A 12667GRF2 1135485.440000 PA USD 692094.610000 0.0265877 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.75 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339ND76 500000.000000 PA USD 499614.050000 0.0191933 Long DBT CORP US N 2 2026-04-07 None 0 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 150038.120000 PA USD 143194.460000 0.005501 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.36793 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 89818.230000 PA USD 86233.900000 0.0033128 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.38689 N N N N N N N/A N/A 000000000 522500.000000 PA USD 522500.000000 0.0200725 Long RA US N 2 Repurchase N 3.400000 2026-04-01 550000.000000 USD 502304.470000 USD CDS N N N FNMA PASS THRU POOLS N/A 31402RHT9 3944.740000 PA USD 3948.120000 0.0001517 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 5.058 N N N N N N NABORS INDUSTRIES INC 549300VFQWRKICUFNU92 62957HAP0 -500000.000000 PA USD -525280.500000 -0.0201793 Short DBT CORP US N 2 2030-01-31 Fixed 9.125 N N N N N N N/A N/A 000000000 468125.000000 PA USD 468125.000000 0.0179836 Long RA US N 2 Repurchase N 3.430000 2026-05-01 500000.000000 USD 460688.200000 USD CDS N N N EVERGLADES RE II LTD 5493000EE11S6ONK0372 30014LAP9 400000.000000 PA USD 407000.000000 0.0156354 Long DBT CORP BM N 2 2031-05-13 Floating 16.2753 N N N N N N NOMURA HOME EQUITY LOAN INC 2007-1 N/A 65537KAY6 387282.780000 PA USD 102578.270000 0.0039407 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.59303 N N N N N N CHEMOURS COMPANY 549300M1BOLNXL8DOV14 163851AF5 -2325000.000000 PA USD -2303876.210000 -0.0885063 Short DBT CORP US N 2 2028-11-15 Fixed 5.75 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDP8 250000.000000 PA USD 249340.550000 0.0095787 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -881511.730000 -0.0338644 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 160546165875.900000 COP 42109365.230000 USD 2026-06-17 -881511.730000 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 ACI34TWT3 650000.000000 PA 832306.060000 0.0319741 Long DBT CORP US N 2 2056-06-15 Floating 5.742 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP N/A 466317AA2 939274.950000 PA USD 930308.440000 0.035739 Long ABS-MBS CORP US N 2 2037-04-15 Floating 4.51901 N N N N N N FREMONT HOME LOAN TRUST 2004-B N/A 35729PDQ0 2400680.640000 PA USD 2395716.030000 0.0920344 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.66303 N N N N N N GNMA PASS THRU POOLS N/A 36225CNM4 2208.050000 PA USD 2204.040000 0.0000847 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 5.625 N N N N N N N/A N/A 000000000 1.000000 NC -12752.070000 -0.0004899 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7322660.060000 BRL 1400929.800000 USD 2026-04-02 -12752.070000 N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 804.080000 PA USD 817.560000 0.0000314 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.59952 N N N N N N CAPE LOOKOUT RE LTD N/A 13947LAF9 2300000.000000 PA USD 2335995.000000 0.0897402 Long DBT CORP BM N 2 2027-04-05 Floating 12.2274 N N N N N N N/A N/A 000000000 14700000.000000 NC USD 1165837.890000 0.0447871 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80800 08/02/34-10Y LCH 2044-08-02 0.000000 USD 0.000000 USD N/A USD N/A 3.810000 USD 2034-07-31 XXXX -123352.110000 N N N N/A N/A 000000000 1.000000 NC -5655.130000 -0.0002172 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 199875.870000 USD 721000.000000 PLN 2026-04-15 -5655.130000 N N N N/A N/A 000000000 1.000000 NC -26563.600000 -0.0010205 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4329288358.000000 COP 1132728.510000 USD 2026-06-17 -26563.600000 N N N N/A N/A 000000000 1.000000 NC USD 15824.710000 0.0006079 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 1060000.000000 USD 15824.710000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 71.000000 PA 733043.020000 0.0281608 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A 02376UAA3 438560.030000 PA USD 432763.010000 0.0166251 Long DBT CORP US N 2 2029-07-15 Fixed 3.575 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI38VBK6 39000000.000000 PA 871083.800000 0.0334638 Long DBT NUSS TR N 2 2026-04-07 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 23195304.000000 PA USD 22878943.710000 0.878923 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 71.000000 PA 15540.860000 0.000597 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -74956.360000 -0.0028795 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 24600000.000000 USD -74956.360000 N N N RESIDENTIAL ASSET SEC TRUST 2006-A6 N/A 76113FBC3 327624.200000 PA USD 157204.540000 0.0060392 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -14264.940000 -0.000548 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 31336719.130000 TRY 685570.000000 USD 2026-04-09 -14264.940000 N N N N/A N/A 000000000 1.000000 NC 57133.860000 0.0021949 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 303078250.650000 INR 3257855.000000 USD 2026-04-07 57133.860000 N N N PALM RE LTD 984500D3C66DA10DAP11 69664FAB4 400000.000000 PA USD 412360.000000 0.0158413 Long DBT CORP BM N 2 2032-06-07 Floating 11.27 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 346923.230000 PA USD 335683.190000 0.0128957 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.33874 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD4 N/A 232433AA0 129777.230000 PA USD 108840.280000 0.0041812 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.47303 N N N N N N N/A N/A 000000000 1123375.000000 PA USD 1123375.000000 0.0431559 Long RA US N 2 Repurchase N 3.420000 2026-06-12 1100000.000000 USD 1074621.240000 USD CDS N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCW4 8200000.000000 PA USD 8097998.070000 0.311095 Long DBT CORP US N 2 2028-02-24 Floating 2.947 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 1000000.000000 PA USD 986800.060000 0.0379092 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N FANNIE MAE WHOLE LOAN 2007-W1 N/A 31395D7K9 2967051.040000 PA USD 143391.050000 0.0055085 Long ABS-MBS USGSE US N 2 2046-11-25 Variable 2.19414 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397J61 6700000.000000 PA USD 6581740.310000 0.252846 Long DBT CORP US N 2 2031-04-09 Fixed 5.42 N N N N N N N/A N/A 000000000 210.000000 NC -1317494.690000 -0.0506132 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2026-06-26 24401765.680000 GBP -1317494.690000 N N N METHANEX US OPERATIONS INC N/A 59151LAA4 -1900000.000000 PA USD -1944879.900000 -0.074715 Short DBT CORP US N 2 2032-03-15 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 7555.000000 0.0002902 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1571606.000000 USD 148402825.570000 INR 2026-04-24 7555.000000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-10 N/A 41162CAC5 65565.680000 PA USD 58877.870000 0.0022619 Long ABS-MBS CORP US N 2 2036-11-19 Floating 3.9712 N N N N N N N/A N/A 000000000 1111000.000000 PA USD 1111000.000000 0.0426805 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1089608.190000 USD CDS N N N N/A N/A 000000000 1161000.000000 PA USD 1161000.000000 0.0446013 Long RA US N 2 Repurchase N 3.350000 2026-05-01 1200000.000000 USD 1129739.640000 USD CDS N N N KONA SPC LTD 254900UKS4SVVOMZWX26 ACI3000D0 1600000.000000 PA 1861521.010000 0.0715127 Long DBT CORP KY N 3 2026-09-15 Floating 5.718 N N N N N N N/A N/A 000000000 1.000000 NC 51519.210000 0.0019792 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8946966.350000 USD 13042225.000000 AUD 2026-04-02 51519.210000 N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAB7 2154660.510000 PA USD 907305.130000 0.0348553 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC -23040.990000 -0.0008851 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1869463.630000 USD 1395000.000000 GBP 2026-04-02 -23040.990000 N N N DSLA MORTGAGE LOAN TRUST 2006-AR1 N/A 23332UGK4 204963.340000 PA USD 177292.120000 0.0068109 Long ABS-MBS CORP US N 2 2046-03-19 Floating 4.77874 N N N N N N NBA (HARDWOOD FUNDING LLC) N/A 955NUGII9 2400000.000000 PA USD 2415264.910000 0.0927854 Long DBT CORP US Y 3 2032-06-07 Fixed 5.16 N N N N N N N/A N/A 000000000 1.000000 NC -3030.440000 -0.0001164 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-31 0.000000 CZK 0.000000 CZK 10320000.000000 CZK -3030.440000 N N N BATH & BODY WORKS INC GR3KVMWVCR54YWQNXU90 501797AN4 -1100000.000000 PA USD -1099502.030000 -0.0422388 Short DBT CORP US N 2 2028-02-01 Fixed 5.25 N N N N N N CHEMOURS COMPANY 549300M1BOLNXL8DOV14 163851AH1 -1900000.000000 PA USD -1783444.880000 -0.0685133 Short DBT CORP US N 2 2029-11-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 18545.820000 0.0007125 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1199005.380000 USD 21842281.000000 MXN 2026-04-17 18545.820000 N N N N/A N/A 000000000 1.000000 NC 21958.910000 0.0008436 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70327424.000000 MXN 3924105.370000 USD 2026-06-10 21958.910000 N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 737189.190000 PA USD 319532.300000 0.0122752 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 49867.400000 PA USD 37672.760000 0.0014472 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.56695 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B N/A 63874EAA8 330000.000000 PA USD 313841.620000 0.0120566 Long ABS-MBS CORP US N 2 2037-04-10 Fixed 3.8581 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2M5 2000000.000000 PA USD 1923090.920000 0.073878 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N N/A N/A 000000000 1.000000 NC -1085.780000 -0.0000417 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 63400000.000000 BRL 11733027.360000 USD 2026-10-02 -1085.780000 N N N N/A N/A 000000000 -2900000.000000 NC USD -3623.840000 -0.0001392 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 5946.160000 N N N GSAMP TRUST 2006-FM2 N/A 36245DAD2 1319380.360000 PA USD 453018.350000 0.0174033 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.09303 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BY9 5100000.000000 PA USD 4968629.920000 0.190876 Long DBT CORP US N 2 2030-04-15 Fixed 4 N N N N N N GSR MORTGAGE LOAN TRUST 2007-3F N/A 3622MWAN3 153132.840000 PA USD 107789.610000 0.0041409 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N N/A N/A 000000000 714875.000000 PA USD 714875.000000 0.0274628 Long RA US N 2 Repurchase N 3.420000 2026-05-01 700000.000000 USD 696333.330000 USD CDS N N N FNMA PASS THRU POOLS N/A 3140GQJ98 4577.940000 PA USD 4400.230000 0.000169 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N VISTRA OPERATIONS COMPANY LLC 549300ZH5GKBTJZ7NM23 92840VAR3 -2800000.000000 PA USD -2899504.640000 -0.111388 Short DBT CORP US N 2 2032-04-15 Fixed 6.875 N N N N N N RAD CLO 16 LTD 2022-16A N/A 75009LAL0 1500000.000000 PA USD 1503997.860000 0.057778 Long ABS-CBDO CORP KY N 2 2037-07-15 Floating 5.22219 N N N N N N ASSET BACKED FUNDING CERT 2003-WF1 N/A 04542BCD2 93453.530000 PA USD 93736.940000 0.003601 Long ABS-MBS CORP US N 2 2032-12-25 Variable 4.91803 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAB7 500000.000000 PA USD 520247.670000 0.019986 Long DBT CORP US N 2 2031-06-01 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC -103606.850000 -0.0039802 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3961969.000000 USD 14323468.810000 PLN 2026-04-22 -103606.850000 N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAR2 923000.000000 PA USD 907197.960000 0.0348511 Long DBT CORP US N 2 2027-12-15 Fixed 4.25 N N N N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 229466.210000 PA USD 237476.280000 0.0091229 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.88803 N N N N N N N/A N/A 000000000 1.000000 NC 126.020000 0.0000048 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 3525993.000000 TWD 2026-04-17 126.020000 N N N FNMA PASS THRU POOLS N/A 3140H1WH9 102663.590000 PA USD 95586.960000 0.0036721 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N BANC OF AMERICA FUNDING CORP 2007-A N/A 05952DAA6 611016.490000 PA USD 587356.650000 0.022564 Long ABS-MBS CORP US N 2 2047-02-20 Floating 4.10952 N N N N N N N/A N/A 000000000 1.000000 NC -1591.800000 -0.0000612 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2326197.220000 PLN 625032.000000 USD 2026-04-15 -1591.800000 N N N MLCC MORTGAGE INVESTORS INC. 2003-C N/A 589929S41 165.960000 PA USD 153.890000 0.0000059 Long ABS-MBS CORP US N 2 2028-06-25 Floating 4.45303 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 3463.410000 PA USD 3363.550000 0.0001292 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.05874 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI1N5XG5 2877422680.000000 PA 680088.890000 0.0261265 Long DBT NUSS CO N 2 2029-04-18 Fixed 2.25 N N N N N N N/A N/A 000000000 2418750.000000 PA USD 2418750.000000 0.0929193 Long RA US N 2 Repurchase N 3.380000 2026-05-01 2500000.000000 USD 2367366.750000 USD CDS N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KDF8 1850000.000000 PA USD 1846763.240000 0.0709457 Long DBT CORP US N 2 2026-04-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -274899.030000 -0.0105606 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 325376663.000000 ZAR 18928162.360000 USD 2026-04-20 -274899.030000 N N N KIOXIA HOLDINGS CORPORATION 35380080RTKRARNH4R73 49726JAB4 -3100000.000000 PA USD -3189047.040000 -0.122511 Short DBT CORP JP N 2 2033-07-24 Fixed 6.625 N N N N N N ALTICE FRANCE LUX 3 / ALTICE HOLDINGS 1 N/A 020956AA6 88568.000000 PA USD 80595.810000 0.0030962 Long DBT CORP LU N 2 2033-01-15 Fixed 10 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2004-2 N/A 86359BLE9 2999.420000 PA USD 2881.180000 0.0001107 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.80981 N N N N N N N/A N/A 000000000 1.000000 NC 1677415.860000 0.06444 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2028-04-28 5577.260000 COP 0.000000 COP 90703800000.000000 COP 1671838.600000 N N N INDYMAC IMSC MTGE LN TRUST 2007-AR1 N/A 456672AC8 427247.310000 PA USD 252492.440000 0.0096998 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.71516 N N N N N N N/A N/A 000000000 1.000000 NC -2839351.150000 -0.109077 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 234348.400000 BRL 0.000000 BRL 1064750000.000000 BRL -3073699.550000 N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953CJ8 -890000.000000 PA USD -897858.700000 -0.0344924 Short DBT CORP US N 2 2032-04-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -43420.470000 -0.0016681 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1162134.270000 USD 20174651.000000 MXN 2026-06-17 -43420.470000 N N N WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP N/A 983130AX3 600000.000000 PA USD 598165.500000 0.0229793 Long DBT CORP US N 2 2027-05-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -258400.500000 -0.0099268 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 8677215.610000 USD 29415760.920000 PEN 2026-06-22 -258400.500000 N N N AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST N/A 02377LAA2 337212.040000 PA USD 314734.130000 0.0120909 Long DBT CORP US N 2 2033-08-15 Fixed 3.15 N N N N N N NELNET STUDENT LOAN TRUST 2005-2 N/A 64031QBX8 38352.720000 PA USD 38064.230000 0.0014623 Long ABS-O CORP US N 2 2037-03-23 Floating 4.05002 N N N N N N N/A N/A 000000000 1.000000 NC -9880.460000 -0.0003796 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3193643.000000 USD 299196444.460000 INR 2026-04-24 -9880.460000 N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953CH2 -3312000.000000 PA USD -3251776.580000 -0.124921 Short DBT CORP US N 2 2028-10-15 Fixed 4.75 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AA6 3611728.050000 PA USD 1833727.060000 0.0704449 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.15303 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AS5 1423000.000000 PA USD 1425842.870000 0.0547755 Long DBT CORP US N 2 2027-03-15 Fixed 5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 58600000.000000 PA 3381718.250000 0.129913 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N CARRINGTON MORTGAGE LN TR 2004-NC1 N/A 144531AE0 639565.810000 PA USD 673972.980000 0.0258915 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.69303 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 629025000.000000 PA 34840280.760000 1.33843 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N RESIDENTIAL ASSET SECUR TR 2007-A7 N/A 76114QAA3 1347585.480000 PA USD 480253.860000 0.0184496 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 51498.750000 0.0019784 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-01 1589.370000 PLN 0.000000 PLN 12170000.000000 PLN 49909.380000 N N N N/A N/A 000000000 341000.000000 PA USD 341000.000000 0.0130999 Long RA US N 2 Repurchase N -2.500000 2026-05-01 400000.000000 USD 355636.100000 USD CDS N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 1531022.330000 PA USD 748174.170000 0.0287421 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.01303 N N N N N N MASTR SEASONED SECURITIES TRUST 2005-2 N/A 55265WDM2 125.430000 PA USD 121.330000 0.0000047 Long ABS-MBS CORP US N 2 2032-10-25 Floating 5.45487 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DD15 500000.000000 PA USD 499942.200000 0.0192059 Long DBT CORP US N 2 2026-04-01 None 0 N N N N N N N/A N/A 000000000 -13032499.000000 NC USD -151450.670000 -0.0058182 N/A DFE US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Call Written MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-28 N/A 157.700000 USD 2026-04-24 XXXX -66739.430000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0GYHC9 266700000.000000 PA 14833224.730000 0.569837 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9 N N N N N N UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 90931GAA7 1660591.880000 PA USD 1689440.680000 0.064902 Long DBT CORP US N 2 2029-04-15 Fixed 5.875 N N N N N N COUNTRYWIDE HOME LOANS 2004-R1 N/A 12669F7J6 5799.040000 PA USD 5618.900000 0.0002159 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC -249361.080000 -0.0095795 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -766453.580000 EUR 8500000.000000 EUR 517092.500000 N N N N/A N/A 000000000 1.000000 NC 19446.100000 0.000747 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1177218.000000 USD 6280811.200000 BRL 2026-06-02 19446.100000 N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00809KDD7 350000.000000 PA USD 349480.570000 0.0134257 Long DBT CORP US N 2 2026-04-13 None 0 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2005-12 N/A 225470SB0 641899.420000 PA USD 415019.360000 0.0159435 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -33695.350000 -0.0012944 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3691811.230000 USD 5302000.000000 AUD 2026-04-02 -33695.350000 N N N N/A N/A 000000000 1091750.000000 PA USD 1091750.000000 0.0419409 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1100000.000000 USD 1084343.700000 USD CDS N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BC1 5700000.000000 PA USD 5776302.250000 0.221904 Long DBT CORP CH N 2 2027-12-22 Floating 6.327 N N N N N N N/A N/A 000000000 1.000000 NC 167198.160000 0.0064231 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6029892.490000 USD 32100000.000000 BRL 2026-04-02 167198.160000 N N N N/A N/A 000000000 1.000000 NC 2193.240000 0.0000843 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 140453.130000 USD 2417000.000000 ZAR 2026-04-20 2193.240000 N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPU4 629065.240000 PA USD 262898.000000 0.0100996 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.51803 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-5 N/A 86363XAA5 799395.880000 PA USD 760751.000000 0.0292252 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.23303 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CW0 5900000.000000 PA USD 5823498.650000 0.223717 Long DBT CORP US N 2 2027-04-15 Fixed 2.95 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 572.540000 PA USD 570.850000 0.0000219 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 4.12638 N N N N N N NTT FINANCE CORPORATION 3538007PR116187GD960 62954WAQ8 1300000.000000 PA USD 1305154.420000 0.0501391 Long DBT CORP JP N 2 2028-07-16 Fixed 4.62 N N N N N N CMO PLACEHOLDER N/A BA000QBV9 600000.000000 PA USD 600000.000000 0.0230498 Long LON CORP GB N 3 2026-08-31 Floating 6.59 N N N N N N ALTICE FRANCE 5493001ZMCICV4N02J21 02090DAE8 734148.000000 PA USD 696290.540000 0.0267489 Long DBT CORP FR N 2 2032-07-15 Fixed 6.875 N N N N N N N/A N/A 000000000 1.000000 NC 1549.030000 0.0000595 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 659130362.000000 KRW 440000.000000 USD 2026-04-27 1549.030000 N N N NBA (HARDWOOD FUNDING LLC) N/A 955NUHII7 1300000.000000 PA USD 1301576.130000 0.0500017 Long DBT CORP US Y 3 2028-06-07 Fixed 4.84 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAD3 178790.000000 PA USD 161613.340000 0.0062086 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.81663 N N N N N N N/A N/A 000000000 1.000000 NC -10247.240000 -0.0003937 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 23733639.050000 TRY 514177.000000 USD 2026-04-17 -10247.240000 N N N POLESTAR RE LTD 254900VQQ6V3O4PG3408 73110JAB8 2300000.000000 PA USD 2378200.000000 0.0913615 Long DBT CORP BM N 2 2027-01-07 Floating 16.79 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAN0 288498.770000 PA USD 101736.870000 0.0039083 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N CINEMARK USA INC 54930008H2137JSCPQ09 172441BH9 -2375000.000000 PA USD -2442466.630000 -0.0938304 Short DBT CORP US N 2 2032-08-01 Fixed 7 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAD4 8816.010000 PA USD 8886.300000 0.0003414 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.15191 N N N N N N GNMA PASS THRU POOLS N/A 36200TSX7 16591.600000 PA USD 17291.910000 0.0006643 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.5 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAE0 2402689.820000 PA USD 1341195.390000 0.0515237 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC 91409.980000 0.0035116 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 385271491.500000 INR 4160150.000000 USD 2026-04-07 91409.980000 N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CW74 5808513.190000 PA USD 322107.610000 0.0123742 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 1.58359 N N N N N N MAGNETITE XLII LTD 2024-42A N/A 55955XAA4 1000000.000000 PA USD 998917.930000 0.0383747 Long ABS-CBDO CORP KY N 2 2038-01-25 Floating 4.97802 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 1279.780000 PA USD 1257.340000 0.0000483 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 3.93169 N N N N N N N/A N/A 000000000 -4329.000000 NC USD 11325795.620000 0.435095 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -491037119.350000 USD 11325795.620000 N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBK3 3300000.000000 PA USD 3297185.130000 0.126665 Long DBT CORP US N 2 2027-05-09 Fixed 4.35 N N N N N N N/A N/A 000000000 1.000000 NC 86031.200000 0.003305 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 47800721.200000 PEN 13785355.790000 USD 2026-05-26 86031.200000 N N N N/A N/A 000000000 1128875.000000 PA USD 1128875.000000 0.0433672 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1090652.310000 USD CDS N N N UMBS PASS THRU POOLS N/A 01F040651 79900000.000000 PA USD 75340722.230000 2.89431 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4 N N N N N N SIERRA MADRE FUNDING LTD 2004-1A N/A 82639RAB3 10332112.200000 PA USD 5516882.970000 0.211938 Long ABS-CBDO CORP KY N 2 2039-09-07 Floating 4.16356 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB N/A 02147MAR2 793578.480000 PA USD 246595.230000 0.0094733 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.50303 N N N N N N BP CAPITAL MARKETS BV 7245003VD7E4T30HJD24 ACI2R4D66 4100000.000000 PA 4677340.650000 0.179686 Long DBT CORP NL N 2 2031-09-12 Fixed 3.36 N N N N N N JONES LANG LASALLE FINANCE BV 7245008JNMAJF7J71W93 48002BD82 750000.000000 PA USD 749334.840000 0.0287866 Long DBT CORP NL N 2 2026-04-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3550.980000 0.0001364 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1338000.000000 GBP 1774528.390000 USD 2026-04-02 3550.980000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BEV0 2000000.000000 PA USD 1986656.200000 0.0763199 Long DBT CORP US N 2 2026-05-29 None 0 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAA4 1107350.780000 PA USD 1005142.750000 0.0386138 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.15303 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 1016834.740000 PA USD 672620.720000 0.0258396 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.29303 N N N N N N VITALITY RE XVII LTD N/A 92853KAB6 250000.000000 PA USD 250012.500000 0.0096045 Long DBT CORP KY N 2 2031-01-08 Floating 5.9253 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ADU8 5500000.000000 PA USD 5523747.790000 0.212202 Long DBT CORP US N 2 2027-06-23 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -1592.790000 -0.0000612 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 280527.900000 USD 358626.870000 SGD 2026-04-02 -1592.790000 N N N N/A N/A 000000000 862968.750000 PA USD 862968.750000 0.033152 Long RA US N 2 Repurchase N 3.350000 2026-06-12 875000.000000 USD 842038.750000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD 5984.390000 0.0002299 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-20 18201.470000 USD 0.000000 USD 200000.000000 USD -12217.080000 N N N N/A N/A 000000000 1.000000 NC -3791.810000 -0.0001457 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-02 0.000000 CZK 0.000000 CZK 10400000.000000 CZK -3791.810000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 904859.360000 PA USD 449026.140000 0.0172499 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.89303 N N N N N N JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN 213800LCDPGJ1BI7KX98 48129VAF3 474000000.000000 PA 1019116.900000 0.0391507 Long DBT CORP KZ N 2 2028-10-16 Fixed 18.4 N N N N N N N/A N/A 000000000 1.000000 NC 236.420000 0.0000091 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1025000.000000 ILS 326918.220000 USD 2026-06-10 236.420000 N N N UMBS PASS THRU POOLS N/A 01F040669 37000000.000000 PA USD 34842444.900000 1.33852 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4 N N N N N N BAITEREK NATIONAL INVESTMENT HOLDING JSC 984500B4F78F04253804 ACI396P33 201000000.000000 PA 417380.500000 0.0160342 Long DBT NUSS KZ N 3 2029-04-02 Fixed 16.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 19800.110000 0.0007606 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 5500000.000000 USD 19800.110000 N N N N/A N/A 000000000 1082125.000000 PA USD 1082125.000000 0.0415712 Long RA US N 2 Repurchase N 3.420000 2026-06-12 1100000.000000 USD 1046945.240000 USD CDS N N N N/A N/A 000000000 1.000000 NC -154.200000 -0.0000059 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19475.540000 USD 328614697.000000 IDR 2026-06-10 -154.200000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A N/A ACI2X1Q61 5973237.540000 PA 6911556.070000 0.265516 Long ABS-CBDO CORP IE N 2 2035-02-15 Floating 3.134 N N N N N N N/A N/A 000000000 1.000000 NC 4605.330000 0.0001769 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6075000.000000 SEK 646331.810000 USD 2026-04-02 4605.330000 N N N N/A N/A 000000000 1.000000 NC 17274.500000 0.0006636 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1310000.000000 PLN 370158.240000 USD 2026-04-15 17274.500000 N N N N/A N/A 000000000 1.000000 NC 137848.740000 0.0052956 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16280730.590000 PEN 4759612.520000 USD 2026-11-30 137848.740000 N N N N/A N/A 000000000 1.000000 NC -27297.140000 -0.0010487 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3079369.000000 USD 51909231170.000000 IDR 2026-06-10 -27297.140000 N N N N/A N/A 000000000 1.000000 NC 524.800000 0.0000202 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2622000.000000 CNY 381206.160000 USD 2026-04-02 524.800000 N N N FNMA PASS THRU POOLS N/A 31374TYQ6 1032.050000 PA USD 1043.640000 0.0000401 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 6.125 N N N N N N HERC HOLDINGS INC 549300TP80QLITMSBP82 42704LAF1 -1000000.000000 PA USD -1026084.000000 -0.0394183 Short DBT CORP US N 2 2030-06-15 Fixed 7 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41282KD70 350000.000000 PA USD 349723.710000 0.0134351 Long DBT CORP US N 2 2026-04-07 None 0 N N N N N N N/A N/A 000000000 1032500.000000 PA USD 1032500.000000 0.0396648 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1000000.000000 USD 1025301.770000 USD CDS N N N N/A N/A 000000000 1212000.000000 PA USD 1212000.000000 0.0465605 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1200000.000000 USD 1178179.920000 USD CDS N N N N/A N/A 000000000 1.000000 NC 5688.860000 0.0002185 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1040241.050000 USD 165500000.000000 JPY 2026-05-07 5688.860000 N N N HERBALIFE (HLF FINANCING SARL LLC / HERBALIFE INTERNATIONAL INC) N/A 40390DAC9 -2500000.000000 PA USD -2341448.000000 -0.0899497 Short DBT CORP US N 2 2029-06-01 Fixed 4.875 N N N N N N N/A N/A 000000000 1098000.000000 PA USD 1098000.000000 0.042181 Long RA US N 2 Repurchase N 3.050000 2026-05-01 1200000.000000 USD 1072300.800000 USD CDS N N N GNMA PASS THRU POOLS N/A 36225CBA3 91.380000 PA USD 91.280000 0.0000035 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 5.625 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAD7 -3250000.000000 PA USD -2968162.760000 -0.114026 Short DBT CORP IE N 2 2032-09-30 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC -1327396.240000 -0.0509936 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 65700000.000000 BRL 11356368.730000 USD 2026-04-02 -1327396.240000 N N N N/A N/A 000000000 1206218.750000 PA USD 1206218.750000 0.0463384 Long RA US N 2 Repurchase N 3.410000 2026-05-01 1200000.000000 USD 1190134.740000 USD CDS N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHTR0 1341600000.000000 PA 843216.270000 0.0323932 Long DBT NUSS NG N 2 2027-01-21 None 0 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 192478.000000 PA USD 172571.250000 0.0066295 Long ABS-MBS CORP US N 2 2046-05-25 Floating 3.98303 N N N N N N NELNET STUDENT LOAN TRUST 2005-1 N/A 64031QBR1 68974.250000 PA USD 68466.370000 0.0026302 Long ABS-O CORP US N 2 2033-10-25 Floating 4.25862 N N N N N N N/A N/A 000000000 1389.000000 NC USD -4156529.740000 -0.159678 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2026-12-24 40100430.000000 USD -4156529.740000 N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 369003.830000 PA USD 349278.770000 0.013418 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.14763 N N N N N N N/A N/A 000000000 1142625.000000 PA USD 1142625.000000 0.0438954 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1108228.800000 USD CDS N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 1500000.000000 PA USD 1512177.000000 0.0580922 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1 N/A 81375WAB2 196790.640000 PA USD 196598.260000 0.0075526 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.55803 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CF4 1700000.000000 PA USD 1580406.970000 0.0607133 Long DBT CORP DE Y 2 2032-01-14 Floating 3.729 N N N N N N N/A N/A 000000000 1.000000 NC -39.440000 -0.0000015 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2036-03-23 0.000000 PLN 0.000000 PLN 400000.000000 PLN -39.440000 N N N N/A N/A 000000000 1.000000 NC -27539.140000 -0.001058 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 989408.070000 USD 91079959.880000 INR 2026-04-07 -27539.140000 N N N AHLSTROM-MUNKSJO OYJ (SPA US HOLDCO INC) 254900HXD0I72WZYIT06 937JIMII2 1621041.280000 PA USD 1608072.950000 0.0617761 Long LON CORP FI N 2 2028-02-04 Floating 7.9612 N N N N N N N/A N/A 000000000 1.000000 NC -26797.890000 -0.0010295 N/A DFE NG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 533775000.000000 NGN 330000.000000 USD 2026-11-18 -26797.890000 N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 1205368.720000 PA USD 573915.340000 0.0220477 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.89303 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1900000.000000 PA USD 1911879.310000 0.0734472 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N N/A N/A 000000000 1.000000 NC -2551.760000 -0.000098 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2030-12-17 0.000000 COP 0.000000 COP 143300000.000000 COP -2551.760000 N N N FREDDIE MAC STRIPS 424 N/A 3133Q6X25 6307856.960000 PA USD 1390806.830000 0.0534296 Long ABS-MBS USGSE US N 2 2055-08-25 Fixed 5 N N N N N N STEPSTONE GROUP MIDCO 2 GMBH 894500DB5T5ENCFFQU61 BA000BNR8 4700000.000000 PA 4772094.650000 0.183326 Long LON CORP US N 2 2032-04-26 Floating 6.599 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-1 N/A 22541SAN8 14860.340000 PA USD 14912.090000 0.0005729 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 7 N N N N N N UNIGEL NETHERLANDS HOLDING CORPORATION BV 213800UOXJTQ82DWTJ78 90475UAA8 2430953.000000 PA USD 48619.060000 0.0018678 Long DBT CORP NL N 2 2044-12-31 Fixed 15 Y Y Y N N N OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4 N/A 69121QAD3 1388687.950000 PA USD 1174948.740000 0.0451371 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC 93256.750000 0.0035826 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15847210.030000 PEN 4644960.000000 USD 2026-04-13 93256.750000 N N N N/A N/A 000000000 1.000000 NC 5248.300000 0.0002016 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23581355.320000 THB 721252.650000 USD 2026-04-20 5248.300000 N N N URSA RE LTD 549300O8X4DWGDJZ6W59 90323WAR1 1400000.000000 PA USD 1431500.000000 0.0549929 Long DBT CORP BM N 2 2028-02-22 Floating 11.0363 N N N N N N N/A N/A 000000000 38850.000000 PA USD 38850.000000 0.0014925 Long RA US N 2 Repurchase N 3.400000 2026-05-01 40000.000000 USD 38143.330000 USD CDS N N N MORGAN STANLEY MORTGAGE LN TR-2006-3AR N/A 61748HWP2 171847.880000 PA USD 110047.450000 0.0042276 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.05303 N N N N N N DRYDEN 95 CLO LTD N/A 262487AJ0 2900000.000000 PA USD 2900640.960000 0.111432 Long ABS-CBDO CORP KY N 2 2034-08-20 Floating 4.69557 N N N N N N MAYFLOWER RE LTD N/A 57839MAB4 300000.000000 PA USD 303900.000000 0.0116747 Long DBT CORP BM N 2 2030-07-08 Floating 10.023 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KE75 350000.000000 PA USD 348447.930000 0.0133861 Long DBT CORP US N 2 2026-05-07 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 32786.840000 PA USD 10116.760000 0.0003886 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.14303 N N N N N N N/A N/A 000000000 1.000000 NC 3336.150000 0.0001282 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 11200000.000000 MXN 624392.470000 USD 2026-06-17 3336.150000 N N N MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC) 213800227GGD6UI7PI97 ACI210QC5 6000000.000000 PA 6553315.950000 0.251754 Long DBT CORP GB N 2 2028-11-30 Fixed 4.75 N N N N N N GOVT NATL MORTGAGE ASSOC SERIES 2007-30 N/A 38375J3R4 157124.160000 PA USD 155139.050000 0.0059599 Long ABS-MBS USGSE US N 2 2037-05-20 Floating 4.08952 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHP9 20559552.000000 PA USD 20104854.690000 0.772353 Long DBT UST US N 2 2033-07-15 Fixed 1.375 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KDP6 600000.000000 PA USD 598367.640000 0.022987 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 974.200000 0.0000374 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 992336.000000 USD 93347062.850000 INR 2026-04-24 974.200000 N N N N/A N/A 000000000 1.000000 NC -51984.010000 -0.001997 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2035-01-24 0.000000 COP 0.000000 COP 2320000000.000000 COP -51984.010000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2T82B6 2710000000.000000 PA 14186667.720000 0.544999 Long DBT NUSS JP N 2 2044-12-20 Fixed 2 N N N N N N N/A N/A 000000000 1093125.000000 PA USD 1093125.000000 0.0419938 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1074510.940000 USD CDS N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND41 2500000.000000 PA USD 2144451.250000 0.0823818 Long DBT MUN US N 2 2036-06-01 Fixed 3.487 N N N N N N RALI TRUST 2006-QA10 N/A 74922NAA7 41427.470000 PA USD 37471.090000 0.0014395 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.16303 N N N N N N N/A N/A 000000000 1.000000 NC -3407.420000 -0.0001309 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1571604.900000 BRL 300000.000000 USD 2026-04-02 -3407.420000 N N N TALON FUNDING LTD 1A N/A 87483UAA4 1444503.130000 PA USD 236427.610000 0.0090827 Long ABS-CBDO CORP KY N 2 2035-06-05 Floating 7.24 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAB5 127738.170000 PA USD 104935.880000 0.0040312 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 623668.270000 0.023959 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 60198745.980000 PEN 17673804.640000 USD 2027-01-15 623668.270000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 1200000.000000 PA USD 420000.000000 0.0161348 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3127.630000 0.0001202 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1955825.000000 USD 90650532.930000 TRY 2026-05-04 3127.630000 N N N JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3 N/A 466308AE3 2052869.080000 PA USD 1587165.050000 0.0609729 Long ABS-MBS CORP US N 2 2037-05-26 Variable 5.84288 N N N N N N SANDERS RE III LTD N/A 799925AA0 1200000.000000 PA USD 1213800.000000 0.0466297 Long DBT CORP BM N 2 2029-06-05 Floating 11.26 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20I N/A 83162CSA2 15415.060000 PA USD 15600.150000 0.0005993 Long ABS-O CORP US N 2 2028-09-01 Fixed 5.6 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BF8 2900000.000000 PA USD 2889538.220000 0.111005 Long DBT CORP CA N 2 2030-04-29 Fixed 4.625 N N N N N N FNMA PASS THRU POOLS N/A 31388JK53 2294.080000 PA USD 2317.830000 0.000089 Long ABS-MBS USGSE US N 2 2031-09-01 Floating 6.159 N N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAM6 3500000.000000 PA USD 3160820.600000 0.121427 Long ABS-MBS CORP US N 2 2036-06-27 Floating 4.02821 N N N N N N JABIL INC 5493000CGCQY2OQU7669 46652MD85 250000.000000 PA USD 249751.480000 0.0095945 Long DBT CORP US N 2 2026-04-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 691323.710000 0.0265581 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 38370461.740000 USD 206505988.040000 BRL 2026-07-02 691323.710000 N N N N/A N/A 000000000 1.000000 NC 209335.700000 0.0080419 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 17502162.670000 PEN 5172339.580000 USD 2026-12-21 209335.700000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAR7 500000.000000 PA USD 496129.980000 0.0190595 Long DBT CORP US N 2 2029-04-23 Floating 4.005 N N N N N N GNMA PASS THRU POOLS N/A 21H060655 123908000.000000 PA USD 125859738.100000 4.83506 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 6 N N N N N N N/A N/A 000000000 -10750000.000000 NC USD -12201.250000 -0.0004687 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.700000 USD 2026-04-23 XXXX 78969.500000 N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AE2 3990759.330000 PA USD 1904151.310000 0.0731504 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.01303 N N N N N N N/A N/A 000000000 1.000000 NC 72.020000 0.0000028 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5154.340000 SGD 4081.000000 USD 2026-04-02 72.020000 N N N N/A N/A 000000000 1.000000 NC 1295.130000 0.0000498 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 11425000.000000 MXN 634828.030000 USD 2026-06-17 1295.130000 N N N N/A N/A 000000000 1.000000 NC -333561.540000 -0.0128142 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16500000.000000 BRL 2851858.890000 USD 2026-04-02 -333561.540000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 517411.430000 PA USD 503322.680000 0.0193358 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.84303 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-5 N/A 22944BAL2 793294.430000 PA USD 360490.680000 0.0138487 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC -189658.520000 -0.007286 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5955298.000000 USD 545951944.150000 INR 2026-04-07 -189658.520000 N N N TEREX CORPORATION YAWJZJYEQ7M1SYMOS462 880779BB8 -1075000.000000 PA USD -1083001.480000 -0.0416049 Short DBT CORP US N 2 2032-10-15 Fixed 6.25 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-S3 N/A 46628VAG1 423973.530000 PA USD 418689.680000 0.0160845 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.81 N N N N N N FNMA PASS THRU POOLS N/A 3140H2DC9 139979.310000 PA USD 129967.540000 0.0049929 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ32 4038798.700000 PA USD 510336.140000 0.0196052 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 2.22362 N N N N N N N/A N/A 000000000 1.000000 NC 0.300000 0 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 22991.500000 THB 700.000000 USD 2026-05-19 0.300000 N N N PENTA CLO 9 DAC N/A ACI1Y3GV4 2000000.000000 PA 2305778.560000 0.0885794 Long ABS-CBDO CORP IE N 2 2036-07-25 Floating 2.88 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BD3 68961000.000000 PA 21492868.120000 0.825676 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-WF1 N/A 83612LAU3 1475355.340000 PA USD 1473917.750000 0.0566224 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.35303 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 56237.770000 PA USD 54660.270000 0.0020998 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.58874 N N N N N N N/A N/A 000000000 1.000000 NC -2367.500000 -0.000091 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 16721108.180000 TRY 361328.880000 USD 2026-04-29 -2367.500000 N N N N/A N/A 000000000 1.000000 NC 55560.600000 0.0021344 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10198548.040000 ILS 3300955.000000 USD 2026-04-13 55560.600000 N N N FREDDIE MAC 2246 N/A 3133TPLV9 2179.260000 PA USD 2254.280000 0.0000866 Long ABS-MBS USGSE US N 2 2030-08-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC -34811.380000 -0.0013373 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1011930.710000 USD 781304.620000 CHF 2026-04-02 -34811.380000 N N N N/A N/A 000000000 1.000000 NC USD 2920.390000 0.0001122 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 430000.000000 USD 2920.390000 N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAA9 370000.000000 PA USD 378589.920000 0.014544 Long DBT CORP US N 2 2028-06-01 Fixed 8.125 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAK2 27891.940000 PA USD 27607.360000 0.0010606 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.2643 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10113CDT0 1270000.000000 PA USD 1266125.870000 0.0486398 Long DBT CORP US N 2 2026-04-27 None 0 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 3248.840000 PA USD 3244.390000 0.0001246 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 3.90169 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745 N/A 94990DAA4 1400000.000000 PA USD 1321244.260000 0.0507573 Long ABS-MBS CORP US N 2 2036-06-15 Variable 3.7487 N N N N N N N/A N/A 000000000 1147562.500000 PA USD 1147562.500000 0.0440851 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1075000.000000 USD 1110206.250000 USD CDS N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAY6 23156.420000 PA USD 21613.530000 0.0008303 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC -218350.490000 -0.0083882 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5443686.000000 USD 494790229.760000 INR 2026-04-07 -218350.490000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 80795.140000 PA USD 78449.300000 0.0030137 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.18478 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00913XDE0 1100000.000000 PA USD 1098215.470000 0.0421893 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 -18256.290000 -0.0007013 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7646478.100000 ILS 2416827.000000 USD 2026-05-05 -18256.290000 N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4H9 744331.570000 PA USD 265074.110000 0.0101832 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 13171417.680000 PA USD 129277464.540000 4.96636 Long STIV RF US N 1 N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CN0 3300000.000000 PA USD 3314118.360000 0.127316 Long DBT CORP US N 2 2027-03-25 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC 572225.420000 0.0219828 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 273872956.580000 ZAR 16735644.000000 USD 2026-04-20 572225.420000 N N N N/A N/A 000000000 182300000.000000 NC USD 404687.770000 0.0155466 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75700 09/22/26-1Y LCH 2027-09-22 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-09-18 XXXX 255657.520000 N N N FANNIE MAE 2020-37 N/A 3136B97D3 5213946.060000 PA USD 372812.790000 0.0143221 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.99278 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAB3 13500000.000000 PA USD 13415331.510000 0.515367 Long DBT CORP GB N 2 2029-03-08 Floating 4.302 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BF54 142291.240000 PA USD 132399.880000 0.0050863 Long ABS-MBS CORP US N 2 2044-06-25 Floating 4.39303 N N N N N N WASHINGTON MUTUAL 2002-AR15 N/A 939336DN0 1103749.400000 PA USD 1083732.900000 0.041633 Long ABS-MBS CORP US N 2 2032-12-25 Floating 6.1118 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 1548731.740000 PA USD 1054795.500000 0.0405213 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.03303 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC6 N/A 073879LN6 385123.990000 PA USD 342954.650000 0.013175 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.75 N N N N N N N/A N/A 000000000 1156375.000000 PA USD 1156375.000000 0.0444236 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1139341.500000 USD CDS N N N N/A N/A 000000000 1.000000 NC 24532.540000 0.0009424 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 156805.200000 KWD 540000.000000 USD 2030-05-15 24532.540000 N N N N/A N/A 000000000 1.000000 NC 18217.600000 0.0006999 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2416827.000000 USD 7654937.000000 ILS 2026-04-06 18217.600000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668AQH1 890290.420000 PA USD 795498.970000 0.0305601 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.42952 N N N N N N CLARIVATE SCIENCE HOLDINGS CORPORATION N/A 18064PAD1 -140000.000000 PA USD -121647.550000 -0.0046732 Short DBT CORP US N 2 2029-07-01 Fixed 4.875 N N N N N N N/A N/A 000000000 492172.500000 PA USD 492172.500000 0.0189074 Long RA US N 2 Repurchase N 3.420000 2026-05-01 479000.000000 USD 489344.480000 USD CDS N N N N/A N/A 000000000 1.000000 NC 11309.460000 0.0004345 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 90233672.780000 INR 964241.000000 USD 2026-04-07 11309.460000 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDH6 450000.000000 PA USD 449132.040000 0.017254 Long DBT CORP US N 2 2026-04-17 None 0 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3W N/A 75971FAX1 2693347.690000 PA USD 1904761.070000 0.0731738 Long ABS-MBS CORP US N 2 2037-09-25 Variable 2.60446 N N N N N N N/A N/A 000000000 1.000000 NC USD 51014.600000 0.0019598 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 5900000.000000 USD 51014.600000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB N/A 12668APJ8 336810.110000 PA USD 171090.710000 0.0065727 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -37510.710000 -0.001441 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 26400000.000000 BRL 4848618.420000 USD 2026-10-02 -37510.710000 N N N N/A N/A 000000000 1134125.000000 PA USD 1134125.000000 0.0435688 Long RA US N 2 Repurchase N 3.410000 2026-05-01 1075000.000000 USD 1112747.550000 USD CDS N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 28399.570000 PA USD 27434.570000 0.0010539 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.33303 N N N N N N FANNIEMAE WHOLE LOAN 2003-W17 N/A 31393UAK9 15456.270000 PA USD 15585.120000 0.0005987 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5.75 N N N N N N BANC OF AMERICA FUNDING CORP 2007-4 N/A 05953YAB7 117602.890000 PA USD 107389.160000 0.0041255 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.59303 N N N N N N UMBS PASS THRU POOLS N/A 01F060667 265900000.000000 PA USD 270655004.610000 10.3976 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6 N N N N N N N/A N/A 000000000 3227875.000000 PA USD 3227875.000000 0.124003 Long RA US N 2 Repurchase N 3.400000 2026-05-01 3100000.000000 USD 3152721.700000 USD CDS N N N S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC) Y6X4K52KMJMZE7I7MY94 78513LD63 700000.000000 PA USD 699538.350000 0.0268736 Long DBT CORP US N 2 2026-04-06 None 0 N N N N N N N/A N/A 000000000 75375.000000 PA USD 75375.000000 0.0028956 Long RA US N 2 Repurchase N 3.400000 2026-05-01 75000.000000 USD 73417.740000 USD CDS N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 1936.500000 PA USD 1904.770000 0.0000732 Long ABS-MBS CORP US N 2 2033-09-25 Floating 5.68627 N N N N N N N/A N/A 000000000 1.000000 NC 4562.560000 0.0001753 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 379000.000000 CHF 478549.550000 USD 2026-04-02 4562.560000 N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3W N/A 75971FAY9 2550527.500000 PA USD 1804589.260000 0.0693256 Long ABS-MBS CORP US N 2 2037-09-25 Variable 2.60446 N N N N N N N/A N/A 000000000 98853.750000 PA USD 98853.750000 0.0037976 Long RA US N 2 Repurchase N 3.400000 2026-05-01 101000.000000 USD 96172.120000 USD CDS N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAH1 4028398.660000 PA USD 1240805.600000 0.0476671 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.69303 N N N N N N FNMA PASS THRU POOLS N/A 31413UKC2 57306.320000 PA USD 60295.920000 0.0023163 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAB1 728103.250000 PA USD 472167.310000 0.0181389 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.92303 N N N N N N N/A N/A 000000000 1069750.000000 PA USD 1069750.000000 0.0410958 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1100000.000000 USD 1052792.180000 USD CDS N N N N/A N/A 000000000 1.000000 NC -304079.300000 -0.0116816 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16500000.000000 BRL 2881341.130000 USD 2026-04-02 -304079.300000 N N N INEOS STYROLUTION LUDWIGSHAFEN GMBH 5299003M4PGUGL48LS74 ACI1J9953 2450000.000000 PA 2774141.940000 0.106572 Long DBT CORP DE N 2 2027-01-16 Fixed 2.25 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XUV0 2347302.530000 PA USD 427913.650000 0.0164388 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 3.5 N N N N N N N/A N/A 000000000 287260.000000 PA USD 287260.000000 0.0110355 Long RA US N 2 Repurchase N 3.430000 2026-06-12 271000.000000 USD 283060.860000 USD CDS N N N N/A N/A 000000000 1.000000 NC -136180.740000 -0.0052316 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 5012933.000000 USD 18104057.140000 PLN 2026-04-22 -136180.740000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2R4 6400000.000000 PA USD 6030637.890000 0.231675 Long DBT CORP FR N 2 2029-09-15 Floating 2.159 N N N N N N CITIUS FUNDING LTD-2006-1A N/A 17305CAH2 435815897.510000 PA USD 4.360000 0.0000002 Long ABS-CBDO CORP KY N 3 2046-05-05 Floating 7 N N N N N N N/A N/A 000000000 1.000000 NC USD -19120.460000 -0.0007345 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -8295.000000 USD 2800000.000000 USD -10825.460000 N N N N/A N/A 000000000 1.000000 NC -1637.440000 -0.0000629 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 362793.000000 USD 6129387735.000000 IDR 2026-04-13 -1637.440000 N N N FREDDIE MAC REMICS 5411 N/A 3137HCRW4 17560840.600000 PA USD 2780172.580000 0.106804 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDL8 750000.000000 PA USD 748332.830000 0.0287481 Long DBT CORP US N 2 2026-04-20 None 0 N N N N N N LIGHT AND WONDER INTERNATIONAL INC RLTHESQ0RNFQJWPBJN60 531968AB1 -2800000.000000 PA USD -2745316.000000 -0.105465 Short DBT CORP US N 2 2033-10-01 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -238198.480000 -0.0091507 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15400000.000000 BRL 2734860.590000 USD 2026-04-02 -238198.480000 N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAD7 3237552.530000 PA USD 861879.540000 0.0331102 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC -980654.900000 -0.0376731 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 74900000.000000 BRL 13479223.280000 USD 2026-04-02 -980654.900000 N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAG0 9500000.000000 PA USD 9551371.540000 0.366928 Long DBT CORP US N 2 2027-06-30 Fixed 5.125 N N N N N N N/A N/A 000000000 1144000.000000 PA USD 1144000.000000 0.0439482 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1109665.910000 USD CDS N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI302XY4 86148413956.000000 PA 22485846.420000 0.863822 Long DBT NUSS CO N 2 2031-01-22 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 12053.180000 0.000463 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29935315.780000 INR 328191.330000 USD 2026-04-07 12053.180000 N N N N/A N/A 000000000 1.000000 NC -113983.420000 -0.0043788 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 27300000.000000 BRL 4938718.290000 USD 2026-10-02 -113983.420000 N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 -1400000.000000 PA USD -1346940.280000 -0.0517444 Short DBT CORP US N 2 2030-06-01 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 41084.250000 0.0015783 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5362000.000000 AUD 3740597.150000 USD 2026-04-02 41084.250000 N N N N/A N/A 000000000 1.000000 NC 2589.590000 0.0000995 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 427901.000000 USD 68117560.000000 JPY 2026-05-07 2589.590000 N N N N/A N/A 000000000 1.000000 NC 669.920000 0.0000257 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1182026.650000 USD 8146000.000000 CNY 2026-04-02 669.920000 N N N MORGAN STANLEY MORTGAGE TRUST-2004-6AR N/A 61748HBS9 26596.930000 PA USD 24983.920000 0.0009598 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.08774 N N N N N N BLUEMOUNTAIN CLO XXXIV LTD N/A 09631JAL0 3200000.000000 PA USD 3200765.540000 0.122961 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 4.81763 N N N N N N N/A N/A 000000000 2082500.000000 PA USD 2082500.000000 0.0800019 Long RA US N 2 Repurchase N 3.400000 2026-05-01 2000000.000000 USD 2056814.000000 USD CDS N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BL6 1800000.000000 PA USD 1888069.700000 0.0725326 Long DBT CORP US N 2 2033-09-01 Fixed 6.05 N N N N N N GNMA PASS THRU POOLS N/A 36202DHY0 124.360000 PA USD 129.330000 0.000005 Long ABS-MBS USGSE US N 2 2030-07-20 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC 7399.270000 0.0002843 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7885000.000000 SEK 840323.270000 USD 2026-04-02 7399.270000 N N N FNMA PASS THRU POOLS N/A 31409GEL6 40604.250000 PA USD 41342.070000 0.0015882 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 5.675 N N N N N N N/A N/A 000000000 396500.000000 PA USD 396500.000000 0.015232 Long RA US N 2 Repurchase N 3.440000 2026-05-01 400000.000000 USD 390248.320000 USD CDS N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 41313.970000 PA USD 20145.630000 0.0007739 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAD7 985495.480000 PA USD 638878.390000 0.0245433 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.04303 N N N N N N N/A N/A 000000000 1.000000 NC 5727.250000 0.00022 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3584876.690000 ILS 1148456.000000 USD 2026-06-17 5727.250000 N N N N/A N/A 000000000 1116500.000000 PA USD 1116500.000000 0.0428918 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1078517.000000 USD CDS N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAQ8 7800000.000000 PA USD 7887414.600000 0.303005 Long DBT CORP FR N 2 2027-10-19 Floating 6.612 N N N N N N N/A N/A 000000000 531875.000000 PA USD 531875.000000 0.0204326 Long RA US N 2 Repurchase N 3.420000 2026-05-01 500000.000000 USD 525280.500000 USD CDS N N N N/A N/A 000000000 1174500.000000 PA USD 1174500.000000 0.0451199 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1200000.000000 USD 1154520.240000 USD CDS N N N GNMA PASS THRU POOLS N/A 36296QRY7 42676.090000 PA USD 43590.390000 0.0016746 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N N/A N/A 000000000 1097250.000000 PA USD 1097250.000000 0.0421522 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1100000.000000 USD 1081429.800000 USD CDS N N N MI WINDOWS AND DOORS LLC 2549001JQBGDT0WEQ156 55336CAK8 786060.000000 PA USD 726775.350000 0.02792 Long LON CORP US N 2 2031-03-28 Floating 6.4177 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 1153.370000 PA USD 1112.200000 0.0000427 Long ABS-MBS CORP US N 2 2034-07-19 Floating 4.3712 N N N N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI350557 528000000.000000 PA 9511068.400000 0.36538 Long DBT NUSS EG N 2 2030-10-14 Fixed 19.698 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DDG1 500000.000000 PA USD 499060.750000 0.019172 Long DBT CORP US N 2 2026-04-16 None 0 N N N N N N BATH & BODY WORKS INC GR3KVMWVCR54YWQNXU90 501797AW4 -3250000.000000 PA USD -3282669.000000 -0.126108 Short DBT CORP US N 2 2030-10-01 Fixed 6.625 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAD8 852341.740000 PA USD 490247.710000 0.0188335 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.03303 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRZ3 7597997.500000 PA USD 1274589.230000 0.0489649 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAE8 442346.190000 PA USD 215831.100000 0.0082914 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.29303 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 5200000.000000 PA USD 5062357.560000 0.194477 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N N/A N/A 000000000 1574025.000000 PA USD 1574025.000000 0.0604681 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1555000.000000 USD 1553218.380000 USD CDS N N N N/A N/A 000000000 1.000000 NC -5760.450000 -0.0002213 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1905472.000000 USD 60892974.000000 TWD 2026-04-27 -5760.450000 N N N N/A N/A 000000000 1.000000 NC 8285.460000 0.0003183 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 93180350.400000 INR 992336.000000 USD 2026-04-07 8285.460000 N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 37255GDP0 600000.000000 PA USD 598367.640000 0.022987 Long DBT CORP US N 2 2026-04-23 None 0 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 659098.120000 PA USD 581722.640000 0.0223476 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.86783 N N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 468357.810000 PA USD 449610.430000 0.0172723 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.75686 N N N N N N N/A N/A 000000000 1.000000 NC 17545.550000 0.000674 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3135262.000000 USD 498876305.000000 JPY 2026-05-07 17545.550000 N N N BELLE HAVEN ABS CDO LTD 2004-1A N/A 078446AA9 13512988.910000 PA USD 3402273.320000 0.130703 Long ABS-CBDO CORP KY N 2 2044-11-03 Floating 7.11 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 195980.290000 PA USD 192664.210000 0.0074014 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.17048 N N N N N N N/A N/A 000000000 1.000000 NC 4237.690000 0.0001628 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 513563.970000 USD 23433923.950000 TRY 2026-04-17 4237.690000 N N N FIRST FRANKLIN MTG LOAN 2004-FF10 N/A 32027NMJ7 14649.820000 PA USD 14624.980000 0.0005618 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.06803 N N N N N N N/A N/A 000000000 1.000000 NC 63519.910000 0.0024402 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 58066420.010000 THB 1826048.000000 USD 2026-04-16 63519.910000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DD23 1800000.000000 PA USD 1799584.030000 0.0691333 Long DBT CORP US N 2 2026-04-02 None 0 N N N N N N N/A N/A 000000000 869625.000000 PA USD 869625.000000 0.0334077 Long RA US N 2 Repurchase N 2.850000 2026-04-01 900000.000000 USD 858625.080000 USD CDS N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 282144.200000 PA USD 270421.480000 0.0103886 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.42952 N N N N N N N/A N/A 000000000 1.000000 NC 37418.070000 0.0014375 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2356473.650000 USD 12400000.000000 BRL 2026-04-02 37418.070000 N N N N/A N/A 000000000 1068375.000000 PA USD 1068375.000000 0.041043 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1060629.670000 USD CDS N N N GNMA PASS THRU POOLS N/A 36296JMU6 241320.420000 PA USD 245467.780000 0.00943 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMN94 300.480000 PA USD 309.340000 0.0000119 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.521 N N N N N N CENTRAL GARDEN & PET COMPANY 5493004DVZLD37DJ0H83 153527AN6 -2350000.000000 PA USD -2212406.800000 -0.0849924 Short DBT CORP US N 2 2030-10-15 Fixed 4.125 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBU9 3000000.000000 PA USD 2833541.430000 0.108854 Long DBT CORP US N 2 2032-04-15 Fixed 3.9 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAC0 804977.020000 PA USD 399400.540000 0.0153435 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.97303 N N N N N N N/A N/A 000000000 1.000000 NC USD -8669.770000 -0.0003331 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -5760.000000 USD 1500000.000000 USD -2909.770000 N N N N/A N/A 000000000 215.000000 NC -317259.180000 -0.0121879 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2026-06-19 18548019.550000 CAD -317259.180000 N N N N/A N/A 000000000 955200.000000 PA USD 955200.000000 0.0366952 Long RA US N 2 Repurchase N 3.400000 2026-05-01 960000.000000 USD 935433.600000 USD CDS N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 710000000.000000 PA 750963.010000 0.0288492 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDH7 2400000.000000 PA USD 2395468.080000 0.0920249 Long DBT CORP US N 2 2026-04-17 None 0 N N N N N N KAISER ALUMINUM CORPORATION N/A 483007AM2 -1500000.000000 PA USD -1474677.000000 -0.0566516 Short DBT CORP US N 2 2034-03-01 Fixed 5.875 N N N N N N VERAISON RE LTD 2549007WYB39A966J434 92335TAE9 300000.000000 PA USD 305220.000000 0.0117254 Long DBT CORP BM N 2 2033-03-08 Floating 8.5253 N N N N N N FANNIE MAE 2007-9 N/A 31396PTW1 29516.810000 PA USD 29236.510000 0.0011232 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.12638 N N N N N N GSR MORTGAGE LOAN TRUST 2006-8F N/A 362611AA3 312201.920000 PA USD 127285.600000 0.0048898 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 25333.020000 0.0009732 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2252725.220000 USD 11800000.000000 BRL 2026-04-02 25333.020000 N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAA2 437708.160000 PA USD 369299.410000 0.0141871 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.21303 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAR4 400000.000000 PA USD 349828.200000 0.0134391 Long DBT MUN US N 2 2034-06-01 Fixed 3.401 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 1471.380000 PA USD 1471.580000 0.0000565 Long ABS-MBS CORP US N 2 2042-11-25 Floating 4.79303 N N N N N N N/A N/A 000000000 1.000000 NC -12258.970000 -0.0004709 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 195342721.740000 THB 5947400.000000 USD 2026-06-17 -12258.970000 N N N N/A N/A 000000000 1954625.000000 PA USD 1954625.000000 0.0750894 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1900000.000000 USD 1923845.000000 USD CDS N N N COUNTRYWIDE HOME LOANS 2006-1 N/A 126694XC7 2857.260000 PA USD 1364.150000 0.0000524 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -190588.900000 -0.0073217 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6024467.330000 USD 552413531.820000 INR 2026-04-07 -190588.900000 N N N CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2 N/A 14453FAD1 1548078.280000 PA USD 1516573.650000 0.0582611 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.27303 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AW9 183519.130000 PA USD 160397.370000 0.0061619 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.62474 N N N N N N N/A N/A 000000000 1.000000 NC -24879.510000 -0.0009558 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 73524207.880000 TRY 1629562.000000 USD 2026-04-02 -24879.510000 N N N N/A N/A 000000000 1.000000 NC 189.550000 0.0000073 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1690000.000000 USD 28694686098.000000 IDR 2026-04-27 189.550000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BDL3 300000.000000 PA USD 299328.120000 0.0114991 Long DBT CORP US N 2 2026-04-20 None 0 N N N N N N PARK PLACE SECURITIES INC 2004-MHQ1 N/A 70069FCY1 252797.640000 PA USD 250990.160000 0.0096421 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.59303 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22 N/A 02151BBG2 1060356.620000 PA USD 390138.500000 0.0149877 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 69176.640000 0.0026575 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4293884.070000 USD 22600000.000000 BRL 2026-04-02 69176.640000 N N N N/A N/A 000000000 1.000000 NC -2081.710000 -0.00008 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5108000.000000 CNY 739535.530000 USD 2026-04-02 -2081.710000 N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAW9 4670164.410000 PA USD 2288009.750000 0.0878968 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.33303 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VD18 750000.000000 PA USD 749916.300000 0.028809 Long DBT CORP CA N 2 2026-04-01 None 0 N N N N N N N/A N/A 000000000 2076250.000000 PA USD 2076250.000000 0.0797618 Long RA US N 2 Repurchase N 3.400000 2026-05-01 2200000.000000 USD 1988485.710000 USD CDS N N N N/A N/A 000000000 1.000000 NC 28.940000 0.0000011 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 17499.220000 USD 778960.280000 TRY 2026-04-01 28.940000 N N N N/A N/A 000000000 1111000.000000 PA USD 1111000.000000 0.0426805 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1077798.370000 USD CDS N N N N/A N/A 000000000 1.000000 NC -193078.950000 -0.0074174 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 40487894.870000 PEN 11417584.070000 USD 2026-05-14 -193078.950000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAV2 2600000.000000 PA USD 2662530.000000 0.102284 Long DBT NUSS MX N 2 2035-02-09 Fixed 6.35 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 449258.050000 PA USD 430790.940000 0.0165494 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N N/A N/A 000000000 1138500.000000 PA USD 1138500.000000 0.0437369 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1108606.400000 USD CDS N N N GNMA PASS THRU POOLS N/A 36202K6U4 272.520000 PA USD 272.720000 0.0000105 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 5.375 N N N N N N WMALT MTGE PASS-THRU CERT 2005-10 N/A 93934FFZ0 451576.410000 PA USD 428230.000000 0.016451 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -35990.360000 -0.0013826 N/A DFE PL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1417257.000000 USD 5127635.830000 PLN 2026-04-15 -35990.360000 N N N N/A N/A 000000000 1.000000 NC 22039.480000 0.0008467 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6536299.420000 DKK 1033036.730000 USD 2026-04-07 22039.480000 N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515BE5 266818.590000 PA USD 258185.890000 0.0099185 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.5 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAB9 7752111.760000 PA USD 6675903.140000 0.256463 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.78618 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308GZ4 400000.000000 PA USD 330299.410000 0.0126889 Long DBT CORP US N 2 2042-04-15 Fixed 4.45 N N N N N N N/A N/A 000000000 1.000000 NC -52052.320000 -0.0019997 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 2144385.710000 USD 7767308.140000 PLN 2026-04-15 -52052.320000 N N N FREDDIE MAC REMICS 4015 N/A 3137ANBJ3 413054.320000 PA USD 30254.290000 0.0011623 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 4.5 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 600000.000000 PA USD 594088.400000 0.0228227 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N GOODYEAR TIRE & RUBBER CO/THE 5493002BI0S2ZQUY3437 382550BG5 -3375000.000000 PA USD -3343266.390000 -0.128436 Short DBT CORP US N 2 2027-03-15 Fixed 4.875 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAC6 1896016.750000 PA USD 593252.830000 0.0227906 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.97303 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 417.540000 PA USD 396.120000 0.0000152 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC 3193.930000 0.0001227 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 311584.600000 USD 473355137.000000 KRW 2026-04-15 3193.930000 N N N N/A N/A 000000000 1.000000 NC 11.140000 0.0000004 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 871.950000 USD 4574.250000 BRL 2026-04-02 11.140000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KC0 1100000.000000 PA USD 1061100.510000 0.0407635 Long DBT CORP US N 2 2032-03-01 Fixed 4.4 N N N N N N STRUCTURED ASSET SEC CORP 2005-AR1 N/A 86359DVX2 3830581.290000 PA USD 3710792.500000 0.142555 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.48303 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038QD68 1050000.000000 PA USD 1049235.710000 0.0403077 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 -3975.450000 -0.0001527 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 173928722.500000 INR 1832835.130000 USD 2026-04-07 -3975.450000 N N N N/A N/A 000000000 1.000000 NC 936958.980000 0.0359945 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 33722311.250000 GBP 45571825.590000 USD 2026-04-02 936958.980000 N N N LONG BEACH MTGE LOAN TRUST 2002-2 N/A 542514CK8 72125.270000 PA USD 71872.410000 0.0027611 Long ABS-MBS CORP US N 2 2032-07-25 Floating 5.58821 N N N N N N N/A N/A 000000000 -42.000000 NC USD -15629.590000 -0.0006004 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/26 2026-06-19 N/A USD N/A 110.000000 USD 2026-04-24 XXXX -1242.070000 N N N N/A N/A 000000000 1.000000 NC 58357.070000 0.0022419 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4903176.570000 USD 25700000.000000 BRL 2026-04-02 58357.070000 N N N N/A N/A 000000000 207750.000000 PA USD 207750.000000 0.007981 Long RA US N 2 Repurchase N 3.430000 2026-05-01 200000.000000 USD 203405.790000 USD CDS N N N N/A N/A 000000000 1.000000 NC 1533692.210000 0.0589187 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2030-09-18 0.000000 COP 0.000000 COP 57240300000.000000 COP 1533692.210000 N N N N/A N/A 000000000 1.000000 NC -650.790000 -0.000025 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5659767.200000 BRL 1092000.000000 USD 2026-04-02 -650.790000 N N N N/A N/A 000000000 1119250.000000 PA USD 1119250.000000 0.0429974 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1085792.840000 USD CDS N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BH5 1700000.000000 PA USD 1471016.430000 0.0565109 Long DBT CORP US N 2 2033-10-15 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -20141.760000 -0.0007738 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 74363432.310000 TRY 1629562.000000 USD 2026-04-14 -20141.760000 N N N N/A N/A 000000000 1.000000 NC -2750.320000 -0.0001057 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 134150.210000 USD 197595482.000000 KRW 2026-04-15 -2750.320000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JT5 2800000.000000 PA USD 2583784.590000 0.0992593 Long DBT CORP US N 2 2031-06-01 Fixed 3.25 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBT7 3100000.000000 PA USD 3000771.980000 0.115278 Long DBT CORP US N 2 2032-04-15 Fixed 4.15 N N N N N N N/A N/A 000000000 1171500.000000 PA USD 1171500.000000 0.0450046 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1200000.000000 USD 1153445.880000 USD CDS N N N N/A N/A 000000000 1.000000 NC 261741.200000 0.0100551 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 26290633.680000 PEN 7754205.480000 USD 2026-09-16 261741.200000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 54403.980000 PA USD 50868.430000 0.0019542 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.75958 N N N N N N N/A N/A 000000000 1.000000 NC -13636.880000 -0.0005239 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1390612006.000000 COP 364900.000000 USD 2026-04-06 -13636.880000 N N N N/A N/A 000000000 1.000000 NC 3006.670000 0.0001155 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2066000.000000 PLN 559539.350000 USD 2026-04-15 3006.670000 N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR2 N/A 45660LY86 295342.440000 PA USD 279328.620000 0.0107308 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.24839 N N N N N N N/A N/A 000000000 619500.000000 PA USD 619500.000000 0.0237989 Long RA US N 2 Repurchase N 3.430000 2026-05-01 600000.000000 USD 615181.060000 USD CDS N N N N/A N/A 000000000 1.000000 NC 30810.930000 0.0011836 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1143281.410000 USD 21055585.000000 MXN 2026-04-13 30810.930000 N N N N/A N/A 000000000 417000.000000 PA USD 417000.000000 0.0160196 Long RA US N 2 Repurchase N 3.000000 2026-04-01 400000.000000 USD 403532.000000 USD CDS N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2C9W52 16001700000.000000 PA 4290249.320000 0.164815 Long DBT NUSS CO N 2 2033-02-09 Fixed 13.25 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P87324BE1 44400000.000000 PA 12687409.410000 0.487403 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N N/A N/A 000000000 1.000000 NC 89159.780000 0.0034252 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 391151892.690000 INR 4220001.000000 USD 2026-04-07 89159.780000 N N N N/A N/A 000000000 1.000000 NC -38649.230000 -0.0014848 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 300000.000000 USD 15264000.000000 EGP 2026-07-20 -38649.230000 N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAH5 2900000.000000 PA USD 2890644.020000 0.111048 Long DBT CORP CH N 2 2032-02-16 Floating 4.632 N N N N N N N/A N/A 000000000 1.000000 NC 628661.190000 0.0241508 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 49375.600000 EUR 0.000000 EUR 24950000.000000 EUR 579285.590000 N N N N/A N/A 000000000 2176.000000 NC USD -3341268.460000 -0.128359 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 241519001.090000 USD -3341268.460000 N N N N/A N/A 000000000 1.000000 NC USD 110573.460000 0.0042478 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.44 Y Single Leg Swap 2030-06-20 77396.320000 USD 0.000000 USD 1844370.000000 USD 33177.140000 N N N N/A N/A 000000000 1094500.000000 PA USD 1094500.000000 0.0420466 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1083441.700000 USD CDS N N N N/A N/A 000000000 1.000000 NC -171245.870000 -0.0065786 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 33100000.000000 BRL 6089807.920000 USD 2026-07-02 -171245.870000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DM7 1400000.000000 PA USD 1400402.190000 0.0537982 Long DBT CORP US N 2 2029-04-15 Fixed 4.65 N N N N N N N/A N/A 000000000 710630.000000 PA USD 710630.000000 0.0272997 Long RA US N 2 Repurchase N 3.400000 2026-05-01 716000.000000 USD 700150.120000 USD CDS N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 28535.420000 PA USD 29079.730000 0.0011171 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N N/A N/A 000000000 589500.000000 PA USD 589500.000000 0.0226464 Long RA US N 2 Repurchase N 3.420000 2026-06-12 600000.000000 USD 583299.500000 USD CDS N N N N/A N/A 000000000 14700000.000000 NC USD 488163.480000 0.0187534 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80800 08/02/34-10Y LCH 2044-08-02 0.000000 USD 0.000000 USD N/A USD N/A 3.810000 USD 2034-07-31 XXXX -801026.520000 N N N N/A N/A 000000000 1.000000 NC 147.850000 0.0000057 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 53927028.780000 THB 1641300.000000 USD 2026-05-19 147.850000 N N N N/A N/A 000000000 1.000000 NC -178.910000 -0.0000069 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9315.000000 USD 1449943.000000 JPY 2026-04-02 -178.910000 N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 32592.580000 PA USD 31706.840000 0.0012181 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.2912 N N N N N N N/A N/A 000000000 1.000000 NC USD 107538.050000 0.0041312 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -36307.580000 USD 22780000.000000 USD 143845.630000 N N N FHLMC STRUC PASS THRU SEC T-30 N/A 3133TQCA3 56964.490000 PA USD 52856.740000 0.0020306 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 8.61 N N N N N N FNMA PASS THRU POOLS N/A 3140HKXX1 653158.490000 PA USD 610295.310000 0.0234453 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -855.550000 -0.0000329 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -5951.400000 USD 700000.000000 USD 5095.850000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABX2 1400000.000000 PA USD 1230944.130000 0.0472883 Long DBT CORP US N 2 2031-11-15 Fixed 2.25 N N N N N N FNMA PASS THRU POOLS N/A 31409VJZ7 16501.830000 PA USD 16965.520000 0.0006518 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 6.251 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4 N/A 83613AAQ5 1559240.550000 PA USD 1340608.670000 0.0515012 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.74303 N N N N N N N/A N/A 000000000 1.000000 NC 92267.690000 0.0035446 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1579881.000000 USD 28608959.110000 ZAR 2026-08-21 92267.690000 N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 9730303.130000 PA USD 9364461.250000 0.359748 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N N/A N/A 000000000 1.000000 NC -29372.450000 -0.0011284 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 14000000.000000 BRL 2561756.630000 USD 2026-10-02 -29372.450000 N N N N/A N/A 000000000 1.000000 NC 20413.470000 0.0007842 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1619972.880000 USD 72899589.590000 TRY 2026-04-02 20413.470000 N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AV8 20157.440000 PA USD 19739.770000 0.0007583 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.5 N N N N N N N/A N/A 000000000 227077.500000 PA USD 227077.500000 0.0087235 Long RA US N 2 Repurchase N 3.420000 2026-05-01 221000.000000 USD 225772.720000 USD CDS N N N DELTA FUNDING HOME EQUITY LN TR 1998-1 N/A 24763LDB3 36486.190000 PA USD 36117.430000 0.0013875 Long ABS-MBS CORP US N 2 2030-05-25 Variable 7.79 N N N N N N N/A N/A 000000000 31900000.000000 NC USD 2710501.530000 0.104127 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25500 08/18/39-10Y LCH 2049-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2039-08-16 XXXX -343923.470000 N N N N/A N/A 000000000 1.000000 NC -2117.430000 -0.0000813 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 580000.000000 USD 2012368.000000 PEN 2026-04-17 -2117.430000 N N N N/A N/A 000000000 1198968.750000 PA USD 1198968.750000 0.0460599 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1225000.000000 USD 1166444.020000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD 96.870000 0.0000037 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -729.600000 USD 92000.000000 USD 826.470000 N N N N/A N/A 000000000 1.000000 NC -21682.040000 -0.0008329 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 755676.000000 USD 13343802.380000 MXN 2026-09-17 -21682.040000 N N N N/A N/A 000000000 1126125.000000 PA USD 1126125.000000 0.0432615 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1088519.740000 USD CDS N N N N/A N/A 000000000 130937.500000 PA USD 130937.500000 0.0050301 Long RA US N 2 Repurchase N 3.420000 2026-05-01 125000.000000 USD 128837.250000 USD CDS N N N N/A N/A 000000000 1.000000 NC -3301.390000 -0.0001268 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1059249.350000 USD 7273000.000000 CNY 2026-04-02 -3301.390000 N N N NBA (HARDWOOD FUNDING LLC) N/A 957HXRII3 600000.000000 PA USD 605564.530000 0.0232635 Long DBT CORP US Y 3 2035-06-07 Fixed 5.33 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LR0 54260.420000 PA USD 50411.660000 0.0019366 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N VITALITY RE XVII LTD N/A 92853KAC4 250000.000000 PA USD 250012.500000 0.0096045 Long DBT CORP KY N 2 2031-01-08 Floating 7.5253 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBR1 3100000.000000 PA USD 3070198.090000 0.117945 Long DBT CORP US N 2 2029-04-15 Fixed 4 N N N N N N WESCO DISTRIBUTION INC 549300I2CEZJG9N4AH67 95081QAS3 -1250000.000000 PA USD -1274527.500000 -0.0489626 Short DBT CORP US N 2 2033-03-15 Fixed 6.375 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 98843.510000 PA USD 98820.690000 0.0037963 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.04 N N N N N N BAYOU RE LTD N/A 07304LAC5 500000.000000 PA USD 519500.000000 0.0199572 Long DBT CORP BM N 2 2031-04-30 Floating 11.852 N N N N N N N/A N/A 000000000 1.000000 NC 447.730000 0.0000172 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 389816.000000 USD 2688000.000000 CNY 2026-04-02 447.730000 N N N N/A N/A 000000000 1.000000 NC 2666.340000 0.0001024 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4094054.310000 PLN 1105510.000000 USD 2026-04-15 2666.340000 N N N N/A N/A 000000000 1.000000 NC 52834.630000 0.0020297 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3197690.000000 USD 17184386.060000 BRL 2026-07-02 52834.630000 N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 313243.260000 PA USD 131969.230000 0.0050698 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.12606 N N N N N N N/A N/A 000000000 1893875.000000 PA USD 1893875.000000 0.0727556 Long RA US N 2 Repurchase N 3.450000 2026-05-01 1900000.000000 USD 1877168.960000 USD CDS N N N N/A N/A 000000000 1047500.000000 PA USD 1047500.000000 0.040241 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1000000.000000 USD 1030698.000000 USD CDS N N N FHLMC STRUCTURED PASS THROUGH SECURITIES T-48 N/A 31392UZ56 886.340000 PA USD 853.740000 0.0000328 Long ABS-MBS USGSE US N 2 2033-07-25 Variable 4.26995 N N N N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAR7 1900000.000000 PA USD 1640160.690000 0.0630088 Long DBT CORP US N 2 2031-06-10 Fixed 3.125 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKH3 446405.330000 PA USD 423065.920000 0.0162526 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.53303 N N N N N N N/A N/A 000000000 15771000.000000 NC USD 1127090.290000 0.0432986 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 18.000000 USD 2026-08-19 XXXX 373867.330000 N N N GNMA PASS THRU POOLS N/A 36202DGE5 2122.140000 PA USD 2208.530000 0.0000848 Long ABS-MBS USGSE US N 2 2030-03-20 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31410EPA0 16791.280000 PA USD 17481.810000 0.0006716 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.5 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00913XD26 3600000.000000 PA USD 3599174.530000 0.138267 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 13345.320000 0.0005127 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23140377.200000 THB 715960.180000 USD 2026-04-20 13345.320000 N N N N/A N/A 000000000 1.000000 NC 31823.510000 0.0012225 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 21466724.200000 THB 683620.980000 USD 2026-04-20 31823.510000 N N N N/A N/A 000000000 4500000.000000 PA USD 4500000.000000 0.172873 Long RA US N 2 Repurchase N 3.710000 2026-04-01 4557000.000000 USD 4595627.680000 USD UST N N N N/A N/A 000000000 618000.000000 PA USD 618000.000000 0.0237412 Long RA US N 2 Repurchase N 3.250000 2026-05-01 600000.000000 USD 614172.600000 USD CDS N N N N/A N/A 000000000 1.000000 NC 4765.860000 0.0001831 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 11482053.260000 USD 59500000.000000 BRL 2026-04-02 4765.860000 N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 613944.800000 PA USD 288372.450000 0.0110782 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N AMENTUM HOLDINGS INC 2549009FJIBLW40CU216 02352BAA3 -2200000.000000 PA USD -2278683.000000 -0.0875385 Short DBT CORP US N 2 2032-08-01 Fixed 7.25 N N N N N N N/A N/A 000000000 1.000000 NC -7344.260000 -0.0002821 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 154677584.000000 JPY 967279.000000 USD 2026-04-02 -7344.260000 N N N COSTA RICA GOVT 549300S1EK2VN6XVJP58 ACI385991 750000.000000 PA 893379.750000 0.0343203 Long DBT NUSS CR N 2 2036-01-16 Fixed 6.001 N N N N N N RHP HOTEL PROPERTIES LP / RHP FINANCE CORP N/A 74984CAA6 -1100000.000000 PA USD -1086408.070000 -0.0417357 Short DBT CORP US N 2 2034-03-15 Fixed 5.75 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YGB5 4300000.000000 PA USD 4271979.650000 0.164114 Long DBT CORP US N 2 2032-03-12 Floating 4.708 N N N N N N STRUCTURED ASSET INVST LN TR 2005-8 N/A 86358EXQ4 199889.120000 PA USD 197634.670000 0.0075924 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.51303 N N N N N N N/A N/A 000000000 1.000000 NC 8667.000000 0.000333 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 703251.730000 USD 31672277.840000 TRY 2026-04-03 8667.000000 N N N N/A N/A 000000000 1.000000 NC -1255334.120000 -0.0482252 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 42017090.600000 USD 735089000.000000 MXN 2026-06-17 -1255334.120000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 21703.040000 PA USD 21636.700000 0.0008312 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.71484 N N N N N N BANC OF AMERICA FUNDING CORP 2006-7 N/A 05951KAX1 112507.070000 PA USD 101849.700000 0.0039127 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.8776 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CR1 -500000.000000 PA USD -460688.200000 -0.0176979 Short DBT CORP US N 2 2031-02-15 Fixed 3.625 N N N N N N LOCKE TAVERN RE LTD N/A 539694AB5 400000.000000 PA USD 400000.000000 0.0153665 Long DBT CORP BM N 2 2033-04-11 Floating 4.05 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30227QDN3 400000.000000 PA USD 399009.560000 0.0153285 Long DBT CORP US N 2 2026-04-22 None 0 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BD17 1950000.000000 PA USD 1949784.530000 0.0749034 Long DBT CORP US N 2 2026-04-01 None 0 N N N N N N FREDDIE MAC REMICS 5167 N/A 3137H3M33 8575593.320000 PA USD 1105983.980000 0.0424878 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3 N N N N N N MERRILL LYNCH MTGE INV TRUST 2007-SD1 N/A 590232AA2 377430.440000 PA USD 217893.690000 0.0083707 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.69303 N N N N N N N/A N/A 000000000 1.000000 NC -114675.710000 -0.0044054 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3379748.260000 USD 58881636.210000 MXN 2026-06-17 -114675.710000 N N N N/A N/A 000000000 1106718.750000 PA USD 1106718.750000 0.042516 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1125000.000000 USD 1070739.450000 USD CDS N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AC2 1699.520000 PA USD 1711.010000 0.0000657 Long ABS-MBS CORP US N 2 2037-02-25 Floating 6.44708 N N N N N N VISTRA OPERATIONS COMPANY LLC 549300ZH5GKBTJZ7NM23 92840VAH5 -1100000.000000 PA USD -1074510.940000 -0.0412787 Short DBT CORP US N 2 2029-05-01 Fixed 4.375 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 772.730000 PA USD 782.620000 0.0000301 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.67 N N N N N N N/A N/A 000000000 1.000000 NC -693725.440000 -0.0266503 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 202346629.990000 BRL 38370461.740000 USD 2026-04-02 -693725.440000 N N N N/A N/A 000000000 1.000000 NC -5138.940000 -0.0001974 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 6523028.590000 DKK 1005367.990000 USD 2026-05-04 -5138.940000 N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 7750043.890000 PA USD 6000921.760000 0.230533 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.11303 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 6200000.000000 PA 8190968.810000 0.314666 Long DBT CORP GB N 2 2026-09-28 Floating 5.875 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N N/A N/A 000000000 1.000000 NC USD -10835.970000 -0.0004163 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -5737.500000 USD 1700000.000000 USD -5098.470000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB N/A 12668BXS7 996541.570000 PA USD 389047.040000 0.0149457 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.49303 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 -3450000.000000 PA USD -3118307.130000 -0.119794 Short DBT CORP IE N 2 2030-06-15 Variable 4.9 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KQ3 6900000.000000 PA USD 6907036.280000 0.265342 Long DBT CORP US N 2 2032-05-15 Fixed 4.7 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KDT8 1600000.000000 PA USD 1594854.570000 0.0612683 Long DBT CORP US N 2 2026-04-27 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -566219.070000 -0.021752 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 31200000.000000 BRL 5457121.370000 USD 2026-04-02 -566219.070000 N N N N/A N/A 000000000 1.000000 NC -298.200000 -0.0000115 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 31000.000000 USD 9493.130000 KWD 2026-06-30 -298.200000 N N N N/A N/A 000000000 345937.500000 PA USD 345937.500000 0.0132896 Long RA US N 2 Repurchase N 2.950000 2026-05-01 375000.000000 USD 329129.850000 USD CDS N N N N/A N/A 000000000 1.000000 NC 10761.460000 0.0004134 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1306530.410000 ILS 427236.000000 USD 2026-06-17 10761.460000 N N N FNMA PASS THRU POOLS N/A 31410DDR8 17401.110000 PA USD 18186.890000 0.0006987 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG72 163664.540000 PA USD 156984.590000 0.0060308 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.39043 N N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A14 N/A 45660LT41 224664.970000 PA USD 95052.490000 0.0036516 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 22420.370000 PA USD 21817.690000 0.0008382 Long ABS-MBS CORP US N 2 2032-03-25 Floating 4.45865 N N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 38586.480000 PA USD 33671.730000 0.0012935 Long ABS-MBS CORP US N 2 2037-06-20 Floating 4.11961 N N N N N N FHLMC STRUCTURED PASS THROUGH SECURITIES T-13 N/A 3133TGDA4 10885.540000 PA USD 10906.910000 0.000419 Long ABS-MBS USGSE US N 2 2029-09-25 Variable 6.555 N N N N N N POST CLO 2022-1 LTD N/A 73742YAJ4 3700000.000000 PA USD 3700818.140000 0.142172 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 4.76211 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAE9 1684499.940000 PA USD 1629202.860000 0.0625879 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.09303 N N N N N N CITRUS RE LTD 549300VWWT5SE805NK88 177510AS3 250000.000000 PA USD 250000.000000 0.0096041 Long DBT CORP BM N 2 2033-06-07 Floating 8.93428 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 16734.330000 PA USD 16197.200000 0.0006222 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.78732 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GD95 250000.000000 PA USD 249750.530000 0.0095945 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 1067300.540000 0.0410017 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 45972419.390000 NZD 27485346.490000 USD 2026-04-02 1067300.540000 N N N GSAMP TRUST 2004-OPT N/A 36242DNU3 457059.660000 PA USD 447062.670000 0.0171745 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.66303 N N N N N N N/A N/A 000000000 1500000.000000 NC USD 3329.850000 0.0001279 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75700 09/22/26-1Y LCH 2027-09-22 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-09-18 XXXX 2114.850000 N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MBB7 -2400000.000000 PA USD -2176284.000000 -0.0836047 Short DBT CORP US N 2 2029-10-01 Fixed 4.95 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41282KD88 200000.000000 PA USD 199819.240000 0.0076763 Long DBT CORP US N 2 2026-04-08 None 0 N N N N N N N/A N/A 000000000 1256125.000000 PA USD 1256125.000000 0.0482556 Long RA US N 2 Repurchase N 2.850000 2026-05-01 1300000.000000 USD 1240236.230000 USD CDS N N N N/A N/A 000000000 1.000000 NC 313.900000 0.0000121 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 36692.540000 USD 254833.360000 CNY 2026-05-13 313.900000 N N N TOPBUILD CORP 5493007YSKHOL4RWII46 89055FAD5 -1100000.000000 PA USD -1077798.370000 -0.041405 Short DBT CORP US N 2 2034-01-31 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC 64829.320000 0.0024905 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2846603.650000 USD 129385537.060000 TRY 2026-04-01 64829.320000 N N N LOCKE TAVERN RE LTD N/A 539694AC3 300000.000000 PA USD 300000.000000 0.0115249 Long DBT CORP BM N 2 2033-04-11 Floating 4.05 N N N N N N N/A N/A 000000000 1.000000 NC -10884.010000 -0.0004181 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 23930120.600000 TRY 514405.000000 USD 2026-04-22 -10884.010000 N N N N/A N/A 000000000 1.000000 NC 16677.480000 0.0006407 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3863081.980000 ILS 1248088.000000 USD 2026-06-17 16677.480000 N N N CTP NV 3157000YTVO4TN65UM14 ACI20LM91 1000000.000000 PA 1142688.720000 0.0438978 Long DBT CORP NL N 2 2026-09-27 Fixed 0.625 N N N N N N FANNIEMAE STRIP-428 N/A 31423YJQ3 6655544.120000 PA USD 1177879.030000 0.0452497 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140J7UF0 95824.370000 PA USD 89178.870000 0.0034259 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 158339.540000 PA USD 106593.860000 0.0040949 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.24272 N N N N N N N/A N/A 000000000 1.000000 NC -794086.580000 -0.0305058 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 44700000.000000 BRL 7835506.940000 USD 2026-04-02 -794086.580000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAU9 800000.000000 PA USD 796920.340000 0.0306147 Long DBT CORP GB N 2 2028-01-10 Fixed 4.337 N N N N N N JP MORGAN MORTGAGE TRUST 2006-S2 N/A 46628YBF6 1228747.040000 PA USD 358971.570000 0.0137903 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CD60 79.880000 PA USD 79.770000 0.0000031 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 5.125 N N N N N N N/A N/A 000000000 998750.000000 PA USD 998750.000000 0.0383682 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1000000.000000 USD 993142.700000 USD CDS N N N FREDDIE MAC STRIPS 408 N/A 3142G6F35 17310017.800000 PA USD 2070161.110000 0.0795278 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N N/A N/A 000000000 198000.000000 PA USD 198000.000000 0.0076064 Long RA US N 2 Repurchase N 3.400000 2026-04-01 200000.000000 USD 194001.720000 USD CDS N N N N/A N/A 000000000 1.000000 NC -6185.000000 -0.0002376 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 141962099.000000 JPY 888318.000000 USD 2026-04-02 -6185.000000 N N N EXPAND ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 165167DG9 300000.000000 PA USD 300202.330000 0.0115326 Long DBT CORP US N 2 2029-02-01 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC 413817.170000 0.0158973 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45240246.630000 PEN 13351901.140000 USD 2026-07-07 413817.170000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAU4 1000000.000000 PA USD 1016000.000000 0.0390309 Long DBT NUSS MX N 2 2028-02-09 Fixed 5.4 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822BR4 1000000.000000 PA USD 926432.740000 0.0355901 Long DBT CORP JP N 2 2030-02-25 Fixed 2.559 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377DD1 -1200000.000000 PA USD -1189802.520000 -0.0457078 Short DBT CORP US N 2 2036-01-15 Fixed 6 N N N N N N YORKSHIRE WATER FINANCE PLC 213800O8BDOGHJMTCP32 ACI2D68P0 4900000.000000 PA 6394923.540000 0.245669 Long DBT CORP GB N 2 2030-04-28 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC -4512.250000 -0.0001733 N/A DFE SE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1609932.680000 USD 15197953.340000 SEK 2026-04-02 -4512.250000 N N N N/A N/A 000000000 1.000000 NC 31413.980000 0.0012068 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2497616.780000 USD 13100000.000000 BRL 2026-04-02 31413.980000 N N N MORGAN STANLEY ABS CAPITAL I 2003-NC8 N/A 61746RDM0 264656.260000 PA USD 274786.140000 0.0105563 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.84303 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 471018.620000 PA USD 468752.500000 0.0180077 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.54303 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLG2 1700000.000000 PA USD 1724454.210000 0.0662471 Long DBT CORP US N 2 2029-04-25 Floating 5.202 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 3000000.000000 PA USD 2699151.900000 0.103691 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.13303 N N N N N N N/A N/A 000000000 1.000000 NC USD 21418.800000 0.0008228 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 2600000.000000 USD 21418.800000 N N N FNMA PASS THRU POOLS N/A 31407H6U5 15702.590000 PA USD 16493.760000 0.0006336 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 1441848.910000 PA USD 605604.800000 0.0232651 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.11303 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JDA2 8430.640000 PA USD 9025.770000 0.0003467 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC -45.520000 -0.0000017 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 2489.000000 USD 387793.000000 JPY 2026-04-02 -45.520000 N N N N/A N/A 000000000 1.000000 NC -4878.780000 -0.0001874 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 647000.000000 EUR 742956.310000 USD 2026-04-02 -4878.780000 N N N VENTURE GLOBAL PLAQUEMINES LNG LLC 549300TKP4I6OJ02BF90 922966AB2 3400000.000000 PA USD 3812770.200000 0.146472 Long DBT CORP US N 2 2035-05-01 Fixed 7.75 N N N N N N N/A N/A 000000000 1.000000 NC 53.570000 0.0000021 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1219729.430000 THB 37100.000000 USD 2026-04-24 53.570000 N N N N/A N/A 000000000 4187.000000 NC USD -6102229.390000 -0.234425 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 452931995.050000 USD -6102229.390000 N N N LAZARD GROUP LLC FI94J2CJ1D7BIGVMS874 52107QAL9 1900000.000000 PA USD 1974649.200000 0.0758586 Long DBT CORP US N 2 2031-03-15 Fixed 6 N N N N N N THAMES WATER SUPER SENIOR ISSUER PLC 635400LBEYCV7F4FC741 ACI2VXTH6 215576.000000 PA 311216.400000 0.0119558 Long DBT CORP GB N 2 2027-10-10 Fixed 9.75 N N N N N N N/A N/A 000000000 1.000000 NC 6981.050000 0.0002682 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 148155297.620000 INR 1571606.000000 USD 2026-04-07 6981.050000 N N N N/A N/A 000000000 1.000000 NC 51.420000 0.000002 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2036-03-23 0.000000 CZK 0.000000 CZK 2000000.000000 CZK 51.420000 N N N N/A N/A 000000000 1.000000 NC -696.590000 -0.0000268 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1374131.000000 DOP 21918.550000 USD 2026-05-08 -696.590000 N N N N/A N/A 000000000 1.000000 NC -2473.550000 -0.000095 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 340462.000000 USD 5748462547.000000 IDR 2026-06-10 -2473.550000 N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAC6 832965.470000 PA USD 265501.910000 0.0101996 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.89303 N N N N N N ALTICE SA 549300LA7PKCH18B3S39 000000000 2147.000000 NS 29779.330000 0.001144 Long EC CORP LU N 3 N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 1167830.840000 PA USD 550045.170000 0.0211307 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.09303 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZK3 4100000.000000 PA USD 4034481.260000 0.15499 Long DBT CORP US N 2 2028-02-24 Floating 2.64 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BD25 2550000.000000 PA USD 2549435.690000 0.0979398 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 -243419.790000 -0.0093513 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5647170.000000 USD 511684426.530000 INR 2026-04-07 -243419.790000 N N N WASHINGTON MUTUAL 2005-AR18 N/A 92922F8M3 262946.400000 PA USD 256316.180000 0.0098467 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.64986 N N N N N N AMERICAN HOME MTGE ASSETS 2006-3 N/A 02660UAA8 90495.530000 PA USD 74790.300000 0.0028732 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.82874 N N N N N N N/A N/A 000000000 153750.000000 PA USD 153750.000000 0.0059065 Long RA US N 2 Repurchase N 3.400000 2026-05-01 150000.000000 USD 152943.300000 USD CDS N N N N/A N/A 000000000 1.000000 NC 261122.950000 0.0100314 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 34351311.250000 GBP 45726713.620000 USD 2026-05-05 261122.950000 N N N FANNIE MAE REMICS 2024-6 N/A 3136BQ2Z1 9971652.380000 PA USD 1753080.310000 0.0673468 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 836231.720000 0.0321249 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-21 3205675.740000 USD 0.000000 USD 31800000.000000 USD -2369444.020000 N N N N/A N/A 000000000 1.000000 NC -116658.750000 -0.0044816 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 25412988.110000 USD 44020419.390000 NZD 2026-04-02 -116658.750000 N N N N/A N/A 000000000 2538000.000000 PA USD 2538000.000000 0.0975005 Long RA US N 2 Repurchase N 3.410000 2026-06-12 2650000.000000 USD 2420194.250000 USD CDS N N N N/A N/A 000000000 1.000000 NC -218478.650000 -0.0083931 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5451187.000000 USD 495488367.960000 INR 2026-04-07 -218478.650000 N N N N/A N/A 000000000 1.000000 NC 10151.170000 0.00039 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2306000.000000 ILS 745105.540000 USD 2026-06-10 10151.170000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1 N/A 25151WAA1 266846.550000 PA USD 189291.980000 0.0072719 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1139875.000000 PA USD 1139875.000000 0.0437897 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1098333.500000 USD CDS N N N CWHL-2007-12 N/A 17025LAJ7 5868006.480000 PA USD 2774909.260000 0.106602 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 131789.840000 0.0050629 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 38988492.270000 CAD 28199503.300000 USD 2026-05-04 131789.840000 N N N FNMA PASS THRU POOLS N/A 3140J9MD0 6413931.960000 PA USD 6135915.010000 0.235719 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N CONCENTRA HEALTH SERVICES INC 984500GB84105F75DE32 20600DAA1 -2175000.000000 PA USD -2251372.950000 -0.0864893 Short DBT CORP US N 2 2032-07-15 Fixed 6.875 N N N N N N N/A N/A 000000000 1.000000 NC 12473.980000 0.0004792 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1179656.000000 USD 6257013.390000 BRL 2026-06-02 12473.980000 N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAJ8 286.980000 PA USD 286.590000 0.000011 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.99303 N N N N N N N/A N/A 000000000 291000.000000 PA USD 291000.000000 0.0111791 Long RA US N 2 Repurchase N 3.420000 2026-05-01 300000.000000 USD 291310.020000 USD CDS N N N N/A N/A 000000000 1.000000 NC -104.810000 -0.000004 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 34608.110000 USD 47928.080000 CAD 2026-05-04 -104.810000 N N N SW (FINANCE) I PLC 549300BHN1HB5BNG2R96 ACI3529N0 2500000.000000 PA 3244196.940000 0.12463 Long DBT CORP GB N 2 2030-11-19 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 96.140000 0.0000037 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 7958.300000 SGD 6286.000000 USD 2026-04-02 96.140000 N N N GNMA PASS THRU POOLS N/A 21H050649 11400000.000000 PA USD 11292118.610000 0.433801 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 52052.230000 0.0019997 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -11000.000000 USD 5500000.000000 USD 63052.230000 N N N BEAR STEARNS ADJ RATE MTGE TR 2004-7 N/A 07384MX98 11144.910000 PA USD 8601.440000 0.0003304 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0 N N N N N N FANNIE MAE 2002-21 N/A 31392CRD8 29.770000 PA USD 29.870000 0.0000011 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 4.67638 N N N N N N N/A N/A 000000000 1038750.000000 PA USD 1038750.000000 0.0399049 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1000000.000000 USD 1017028.940000 USD CDS N N N N/A N/A 000000000 1.000000 NC -162958.270000 -0.0062602 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6700000.000000 BRL 1130515.480000 USD 2026-04-02 -162958.270000 N N N N/A N/A 000000000 1.000000 NC 24463.790000 0.0009398 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1561906.590000 USD 28458719.000000 MXN 2026-04-17 24463.790000 N N N UMBS PASS THRU POOLS N/A 01F050650 430804696.000000 PA USD 424373626.270000 16.3028 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5 N N N N N N CARPENTER TECHNOLOGY CORPORATION DX6I6ZD3X5WNNCDJKP85 144285AN3 -1100000.000000 PA USD -1091242.860000 -0.0419215 Short DBT CORP US N 2 2034-03-01 Fixed 5.625 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAX3 1500000.000000 PA USD 1486197.470000 0.0570941 Long DBT CORP GB N 2 2029-09-22 Floating 4.32 N N N N N N STRUCTURED ADJ RATE MTG LN 2006-3 N/A 863579Y69 253983.870000 PA USD 130092.140000 0.0049977 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.98085 N N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HG39 599083.740000 PA USD 324177.930000 0.0124537 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.43364 N N N N N N N/A N/A 000000000 1.000000 NC 8731.370000 0.0003354 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1303277.000000 USD 59691389.880000 TRY 2026-04-21 8731.370000 N N N N/A N/A 000000000 188750.000000 PA USD 188750.000000 0.0072511 Long RA US N 2 Repurchase N 3.400000 2026-05-01 200000.000000 USD 180771.430000 USD CDS N N N N/A N/A 000000000 399000.000000 PA USD 399000.000000 0.0153281 Long RA US N 2 Repurchase N 3.420000 2026-05-01 400000.000000 USD 393247.200000 USD CDS N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHUB3 1346200000.000000 PA 843545.430000 0.0324059 Long DBT NUSS US N 2 2027-01-28 None 0 N N N N N N UNIGEL LUXEMBOURG SA 213800Y16R77O7LH7X62 904752AD4 2990223.000000 PA USD 89706.690000 0.0034462 Long DBT CORP LU N 2 2028-12-31 Fixed 11 Y Y Y N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 309044.840000 PA USD 296570.400000 0.0113931 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.04188 N N N N N N N/A N/A 000000000 1.000000 NC 8711.270000 0.0003347 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-02 0.000000 PLN 0.000000 PLN 1900000.000000 PLN 8711.270000 N N N N/A N/A 000000000 -735.000000 NC USD 2766418.330000 0.106275 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -83479921.880000 USD 2766418.330000 N N N AMC NETWORKS INC 549300VGG9K75226LR46 00164VAK9 -1171000.000000 PA USD -1156876.690000 -0.0444429 Short DBT CORP US N 2 2032-07-15 Fixed 10.5 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBY6 -3400000.000000 PA USD -3305363.820000 -0.12698 Short DBT CORP BM N 2 2031-01-15 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC -49034.070000 -0.0018837 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2234106.310000 USD 3167000.000000 AUD 2026-04-02 -49034.070000 N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAE3 16560433.310000 PA USD 8642295.620000 0.332005 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.94303 N N N N N N N/A N/A 000000000 968750.000000 PA USD 968750.000000 0.0372157 Long RA US N 2 Repurchase N 3.410000 2026-05-01 1000000.000000 USD 957083.800000 USD CDS N N N COMMERCIAL METALS COMPANY 549300OQS2LO07ZJ7N73 201723AS2 -2800000.000000 PA USD -2773180.200000 -0.106535 Short DBT CORP US N 2 2033-11-15 Fixed 5.75 N N N N N N INTELSAT SA 549300YV2L21F4K80V46 000000000 22273.000000 NS USD 334095.000000 0.0128347 Long EC CORP LU N 3 N N N N/A N/A 000000000 1.000000 NC -20878.080000 -0.0008021 N/A DFE EG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 200000.000000 USD 10196000.000000 EGP 2026-05-20 -20878.080000 N N N WMALT MTGE PASS-THRU CERT 2005-11 N/A 93934FHZ8 1748001.400000 PA USD 1418517.820000 0.0544941 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.49303 N N N N N N SALLY HOLDINGS LLC / SALLY CAPITAL INC N/A 79546VAQ9 -1675000.000000 PA USD -1715623.780000 -0.0659078 Short DBT CORP US N 2 2032-04-01 Fixed 6.75 N N N N N N WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2 N/A 94985FAL2 508353.510000 PA USD 371221.290000 0.0142609 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.14303 N N N N N N N/A N/A 000000000 1.000000 NC 8532.020000 0.0003278 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 16922000.000000 MXN 946881.580000 USD 2026-06-17 8532.020000 N N N N/A N/A 000000000 1.000000 NC -8732.540000 -0.0003355 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1516400130.000000 COP 397327.430000 USD 2026-06-17 -8732.540000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 3819.290000 PA USD 3601.980000 0.0001384 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.90023 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB1 N/A 1248MGAL8 1072349.520000 PA USD 291210.990000 0.0111872 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6.237 N N N N N N POLESTAR RE LTD 254900VQQ6V3O4PG3408 73110JAC6 500000.000000 PA USD 524100.000000 0.020134 Long DBT CORP BM N 2 2028-01-07 Floating 14.13 N N N N N N N/A N/A 000000000 1.000000 NC 5750.250000 0.0002209 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1180097.710000 USD 188200000.000000 JPY 2026-04-02 5750.250000 N N N HAYFIN EMERALD CLO VI DAC 6A N/A ACI30X675 4000000.000000 PA 4620769.240000 0.177513 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.266 N N N N N N N/A N/A 000000000 1.000000 NC -64414.590000 -0.0024746 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 12600000.000000 BRL 2318947.270000 USD 2026-07-02 -64414.590000 N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 4096.000000 NS 693947.840000 0.0266589 Long EP CORP GB N 1 N N N N/A N/A 000000000 1120500.000000 PA USD 1120500.000000 0.0430454 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1200000.000000 USD 1102339.080000 USD CDS N N N FNMA PASS THRU POOLS N/A 31362M2N7 295.140000 PA USD 292.750000 0.0000112 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 4.371 N N N N N N N/A N/A 000000000 1.000000 NC 138612.680000 0.005325 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 5070000.000000 EUR 5998773.300000 USD 2026-04-02 138612.680000 N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 1846789.000000 PA USD 1807960.450000 0.0694551 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 1307.220000 0.0000502 N/A DFE HK N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5291452.160000 HKD 676819.000000 USD 2026-04-20 1307.220000 N N N WASHINGTON MUTUAL 2006-AR4 N/A 93934FPT3 66225.330000 PA USD 55652.120000 0.0021379 Long ABS-MBS CORP US N 2 2046-05-25 Floating 3.69734 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAP9 425588.960000 PA USD 349573.150000 0.0134293 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.39303 N N N N N N N/A N/A 000000000 211750.000000 PA USD 211750.000000 0.0081346 Long RA US N 2 Repurchase N 3.400000 2026-05-01 200000.000000 USD 205118.400000 USD CDS N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAD4 223229.110000 PA USD 2.230000 0.0000001 Long ABS-MBS CORP US N 2 2036-02-26 Floating 0 N N N N N N N/A N/A 000000000 1162500.000000 PA USD 1162500.000000 0.0446589 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1200000.000000 USD 1166524.250000 USD CDS N N N N/A N/A 000000000 1.000000 NC -19416.270000 -0.0007459 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 60177512.200000 TRY 1303277.000000 USD 2026-04-21 -19416.270000 N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAD7 1249019.990000 PA USD 572376.770000 0.0219886 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.09303 N N N N N N COOPERATIEVE RABOBANK UA/NEW YORK BRANCH DG3RU1DBUFHT4ZF9WN62 21688AAY8 1900000.000000 PA USD 1913361.770000 0.0735042 Long DBT CORP NL N 2 2026-10-05 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 71898.370000 0.0027621 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4735190.640000 USD 24900000.000000 BRL 2026-04-02 71898.370000 N N N N/A N/A 000000000 1.000000 NC -457.080000 -0.0000176 N/A DFE ZA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 650000.000000 ZAR 37904.580000 USD 2026-04-20 -457.080000 N N N RESIDENTIAL ACCREDIT LOANS 2005-QA2 N/A 76110HT90 421604.660000 PA USD 378099.400000 0.0145252 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.67787 N N N N N N CAPE LOOKOUT RE LTD N/A 13947LAG7 1400000.000000 PA USD 1461460.000000 0.0561438 Long DBT CORP BM N 2 2032-03-13 Floating 10.41 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TT4 557000.000000 PA USD 553905.270000 0.021279 Long DBT UST US N 2 2026-05-26 None 0 N N N N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 37255GD62 250000.000000 PA USD 249827.500000 0.0095974 Long DBT CORP US N 2 2026-04-06 None 0 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2003-5 N/A 885220EB5 38245.400000 PA USD 35903.970000 0.0013793 Long ABS-MBS CORP US N 2 2043-10-25 Floating 5.11371 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCXV9 16463616.930000 PA USD 721465.330000 0.027716 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 1.73081 N N N N N N N/A N/A 000000000 1.000000 NC 7334.680000 0.0002818 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 6360000.000000 BRL 7334.680000 N N N JETBLUE 2020-1 CLASS A PASS THROUGH TRUST N/A 477164AA5 336407.580000 PA USD 319401.740000 0.0122702 Long DBT CORP US N 2 2034-05-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 333013.140000 0.0127931 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 66275190.610000 SGD 51999302.190000 USD 2026-05-04 333013.140000 N N N N/A N/A 000000000 1.000000 NC USD 39835.440000 0.0015303 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 85899.380000 USD 0.000000 USD 7000000.000000 USD -46063.940000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 955PDJII7 1455979000.000000 PA 1011495.400000 0.0388579 Long DBT NUSS NG N 2 2026-06-12 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 4537.480000 0.0001743 N/A DFE SE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 15172485.660000 SEK 1609932.680000 USD 2026-05-04 4537.480000 N N N N/A N/A 000000000 1119343.750000 PA USD 1119343.750000 0.043001 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1075000.000000 USD 1083001.480000 USD CDS N N N N/A N/A 000000000 1122000.000000 PA USD 1122000.000000 0.043103 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1109279.600000 USD CDS N N N SIX FLAGS ENTERTAINMENT CORP / CANADAS WONDERLAND CO / MAGNUM MANAGEMENT CORP N/A 150190AE6 -2288000.000000 PA USD -2189807.730000 -0.0841242 Short DBT CORP US N 2 2029-07-15 Fixed 5.25 N N N N N N CITRUS RE LTD 549300VWWT5SE805NK88 177510AT1 300000.000000 PA USD 300000.000000 0.0115249 Long DBT CORP BM N 2 2033-06-07 Floating 9.92572 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 4600000.000000 PA USD 4564006.060000 0.175332 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N N/A N/A 000000000 1.000000 NC -7565.920000 -0.0002907 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 488149.000000 USD 76270938.000000 JPY 2026-04-02 -7565.920000 N N N UMBS PASS THRU POOLS N/A 01F042665 69800000.000000 PA USD 67259238.820000 2.58385 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4.5 N N N N N N N/A N/A 000000000 3607.000000 NC USD -5393236.850000 -0.207188 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 748382048.080000 USD -5393236.850000 N N N SELECT MEDICAL CORPORATION 549300X05KS0JKR8CB50 816196AV1 -900000.000000 PA USD -858625.080000 -0.0329852 Short DBT CORP US N 2 2032-12-01 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -13442.430000 -0.0005164 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 31884730.190000 TRY 703251.730000 USD 2026-04-03 -13442.430000 N N N N/A N/A 000000000 1.000000 NC 18168.250000 0.000698 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9422000.000000 EUR 10908589.030000 USD 2026-04-02 18168.250000 N N N BEAR STEARNS ARM TR 2004-8 N/A 07384MZ88 22667.020000 PA USD 21744.670000 0.0008353 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.18283 N N N N N N N/A N/A 000000000 29700000.000000 NC USD 2363267.610000 0.0907879 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80000 07/14/34-10Y LCH 2044-07-14 0.000000 USD 0.000000 USD N/A USD N/A 3.800000 USD 2034-07-12 XXXX -203554.890000 N N N N/A N/A 000000000 1.000000 NC -20050.610000 -0.0007703 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 7351847194.150000 COP 1948619.000000 USD 2026-06-17 -20050.610000 N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAC1 4469822.390000 PA USD 1558554.210000 0.0598738 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.05303 N N N N N N MARRIOTT OWNERSHIP RESORTS INC BW4532OH033VURR0IT68 57164PAH9 -400000.000000 PA USD -379558.880000 -0.0145812 Short DBT CORP US N 2 2029-06-15 Fixed 4.5 N N N N N N N/A N/A 000000000 -2394654.500000 PA -2767861.930000 -0.106331 Short RA GB N 2 Reverse repurchase N 0.250000 2028-03-31 2450000.000000 EUR 2400087.740000 EUR CDS N N N N/A N/A 000000000 1.000000 NC USD 5921171.910000 0.227469 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2055-06-18 5248595.400000 USD 0.000000 USD 37100000.000000 USD 672576.510000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCU8 9200000.000000 PA USD 8349769.120000 0.320767 Long DBT CORP US N 2 2033-01-25 Floating 2.963 N N N N N N N/A N/A 000000000 1.000000 NC -20383.770000 -0.0007831 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-01 0.000000 CZK -1693.660000 CZK 67800000.000000 CZK -18690.110000 N N N MARRIOTT OWNERSHIP RESORTS INC BW4532OH033VURR0IT68 57164PAK2 -2625000.000000 PA USD -2498392.050000 -0.0959789 Short DBT CORP US N 2 2033-10-01 Fixed 6.5 N N N N N N CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA N/A 224939AB4 4300000.000000 PA 1314750.420000 0.0505078 Long DBT CORP PE N 2 2045-03-05 Fixed 9.7 N N N N N N N/A N/A 000000000 439.000000 NC 202830.820000 0.007792 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A 90SONIA 2027-06-15 138931589.710000 GBP 202830.820000 N N N GSAMP TRUST 2006-FM1 N/A 362334PK4 1861567.480000 PA USD 1220409.010000 0.0468835 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.33303 N N N N N N FANNIE MAE 2000-32 N/A 31358SNY3 410.060000 PA USD 409.670000 0.0000157 Long ABS-MBS USGSE US N 2 2030-10-18 Floating 4.23638 N N N N N N N/A N/A 000000000 1.000000 NC 21477.880000 0.0008251 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1400000.000000 GBP 1874518.520000 USD 2026-04-02 21477.880000 N N N USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP N/A 91740PAH1 -1100000.000000 PA USD -1098333.500000 -0.0421939 Short DBT CORP US N 2 2033-10-01 Fixed 6.25 N N N N N N FNMA PASS THRU POOLS N/A 31411HNR7 13422.940000 PA USD 14131.420000 0.0005429 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.5 N N N N N N PURPLE RE LTD N/A 74639NAC7 700000.000000 PA USD 722120.000000 0.0277411 Long DBT CORP BM N 2 2027-06-07 Floating 12.676 N N N N N N FANNIE MAE 2003-34 N/A 31393CEY5 5796.430000 PA USD 5855.570000 0.0002249 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 6 N N N N N N N/A N/A 000000000 1087625.000000 PA USD 1087625.000000 0.0417825 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1085667.550000 USD CDS N N N N/A N/A 000000000 1.000000 NC 1313.900000 0.0000505 N/A DFE NO N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 1755539.810000 NOK 182617.000000 USD 2026-04-07 1313.900000 N N N N/A N/A 000000000 1.000000 NC 24532.540000 0.0009424 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 156805.200000 KWD 540000.000000 USD 2030-05-16 24532.540000 N N N N/A N/A 000000000 1.000000 NC 8043.910000 0.000309 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-31 0.000000 PLN 0.000000 PLN 1900000.000000 PLN 8043.910000 N N N N/A N/A 000000000 385500.000000 PA USD 385500.000000 0.0148095 Long RA US N 2 Repurchase N 3.400000 2026-05-01 400000.000000 USD 370913.920000 USD CDS N N N N/A N/A 000000000 1.000000 NC 147785.770000 0.0056774 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1157395257.210000 INR 12370700.000000 USD 2026-04-07 147785.770000 N N N LIFEPOINT HEALTH INC 549300G8ZVHRTBBBSZ90 75915TAL6 2462583.080000 PA USD 2463900.560000 0.0946538 Long LON CORP US N 2 2031-05-19 Floating 7.1517 N N N N N N N/A N/A 000000000 1106875.000000 PA USD 1106875.000000 0.042522 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1100000.000000 USD 1091242.860000 USD CDS N N N N/A N/A 000000000 510300.000000 PA USD 510300.000000 0.0196038 Long RA US N 2 Repurchase N 3.000000 2026-05-01 567000.000000 USD 506662.130000 USD CDS N N N SIGNAL PEAK CLO 6 LTD 2020-8A N/A 826937AA2 2125000.000000 PA USD 2130660.620000 0.081852 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.05763 N N N N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 136659.800000 PA USD 143206.460000 0.0055015 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.48116 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB1 N/A 17307GDL9 2457.510000 PA USD 2457.650000 0.0000944 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.15979 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 14275.590000 PA USD 13385.100000 0.0005142 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.17303 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A4 N/A 589929W87 1112.710000 PA USD 1099.660000 0.0000422 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7.00003 N N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAE1 527987.090000 PA USD 441554.130000 0.0169629 Long ABS-MBS CORP US N 2 2047-06-20 Floating 4.34952 N N N N N N N/A N/A 000000000 459562.500000 PA USD 459562.500000 0.0176547 Long RA US N 2 Repurchase N 3.350000 2026-05-01 475000.000000 USD 449799.680000 USD CDS N N N FHLMC PASS THRU POOLS N/A 3128NHK36 1383.630000 PA USD 1420.910000 0.0000546 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.09 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA5 N/A 749236AC9 6032608.410000 PA USD 3988766.710000 0.153233 Long ABS-MBS CORP US N 2 2037-09-25 Variable 6.1601 N N N N N N N/A N/A 000000000 1.000000 NC 140516.940000 0.0053981 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 17519320.000000 USD 299228268.710000 ZAR 2026-04-20 140516.940000 N N N N/A N/A 000000000 1.000000 NC 227587.990000 0.0087431 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 10502002.000000 AUD 7473446.220000 USD 2026-04-02 227587.990000 N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 505266.080000 PA USD 493402.180000 0.0189547 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 5.25874 N N N N N N N/A N/A 000000000 1.000000 NC 7301.400000 0.0002805 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 967279.000000 USD 154210195.000000 JPY 2026-05-07 7301.400000 N N N VIPER ENERGY PARTNERS LLC 54930010ZZ02MRGRI973 92764MAA2 1200000.000000 PA USD 1201452.000000 0.0461553 Long DBT CORP US N 2 2030-08-01 Fixed 4.9 N N N N N N FANNIE MAE INTEREST STRIP 438 N/A 31424UWK8 4032841.700000 PA USD 848628.220000 0.0326011 Long ABS-MBS USGSE US N 2 2053-08-25 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -1011.360000 -0.0000389 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 120000.000000 USD 178922737.000000 KRW 2026-04-17 -1011.360000 N N N FNMA PASS THRU POOLS N/A 31405U6G9 4278.880000 PA USD 4350.020000 0.0001671 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.754 N N N N N N N/A N/A 000000000 1.000000 NC -3194.600000 -0.0001227 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 473380063.000000 KRW 311584.600000 USD 2026-04-13 -3194.600000 N N N N/A N/A 000000000 1.000000 NC 5208.230000 0.0002001 N/A DCR DE N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A DEUTSCHE BANK AKTIENGESELLSCHAFT Y Single Leg Swap 2030-12-20 19332.520000 EUR 0.000000 EUR 1700000.000000 EUR -14124.290000 N N N N/A N/A 000000000 1.000000 NC -14270.760000 -0.0005482 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 31504683.780000 TRY 685570.000000 USD 2026-04-13 -14270.760000 N N N FREDDIE MAC REMICS 4989 N/A 3137FUKP8 340619.300000 PA USD 334912.770000 0.0128661 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 4.14573 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFM2 775994.400000 PA USD 415213.190000 0.0159509 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAG9 60837.040000 PA USD 60473.250000 0.0023232 Long ABS-MBS CORP US N 2 2037-08-27 Floating 4.02821 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVM36 20130060.450000 PA USD 20912118.530000 0.803365 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N N/A N/A 000000000 669375.000000 PA USD 669375.000000 0.0257149 Long RA US N 2 Repurchase N 3.250000 2026-05-01 700000.000000 USD 656448.240000 USD CDS N N N N/A N/A 000000000 113120.000000 PA USD 113120.000000 0.0043456 Long RA US N 2 Repurchase N 3.400000 2026-05-01 112000.000000 USD 109963.460000 USD CDS N N N N/A N/A 000000000 1207593.750000 PA USD 1207593.750000 0.0463912 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1171000.000000 USD 1156876.690000 USD CDS N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAE2 1362762.040000 PA USD 426001.870000 0.0163654 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC 3298.510000 0.0001267 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32002652.180000 THB 975000.000000 USD 2026-04-20 3298.510000 N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAJ8 574344.320000 PA USD 502440.370000 0.0193019 Long ABS-MBS CORP US N 2 2046-10-20 Floating 3.39639 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247J95 68966.580000 PA USD 62349.780000 0.0023952 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.46044 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAE6 1010724.420000 PA USD 463209.750000 0.0177948 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.29303 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377DC3 -2200000.000000 PA USD -2171585.680000 -0.0834242 Short DBT CORP US N 2 2034-01-15 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC 2433.090000 0.0000935 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32937.030000 KWD 111000.000000 USD 2031-01-13 2433.090000 N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAY4 -1100000.000000 PA USD -1119929.800000 -0.0430235 Short DBT CORP US N 2 2033-07-15 Fixed 6.75 N N N N N N PANAMA GOVT 549300SHS4T08CL0LP14 BA000GRH5 1900000.000000 PA 2198464.140000 0.0844568 Long LON CORP IE N 3 2027-03-05 Floating 3.886 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 3959096.000000 PA USD 1044850.570000 0.0401392 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.01303 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAG2 1300000.000000 PA USD 1116077.040000 0.0428755 Long DBT CORP US N 2 2032-03-15 Fixed 2.35 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 209903.000000 PA USD 165515.170000 0.0063585 Long ABS-MBS CORP US N 2 2036-10-20 Floating 4.16952 N N N N N N N/A N/A 000000000 1.000000 NC -36490.060000 -0.0014018 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12200000.000000 BRL 2221493.860000 USD 2026-10-02 -36490.060000 N N N AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST N/A 023761AA7 567500.000000 PA USD 552514.480000 0.0212255 Long DBT CORP US N 2 2029-02-15 Fixed 3.65 N N N N N N N/A N/A 000000000 1.000000 NC -807.520000 -0.000031 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 15164790.950000 THB 460700.000000 USD 2026-05-19 -807.520000 N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 22909.260000 PA USD 23644.220000 0.0009083 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBV1 4500000.000000 PA USD 4468721.810000 0.171672 Long DBT CORP US N 2 2027-03-15 Fixed 3.65 N N N N N N N/A N/A 000000000 1.000000 NC 9896.140000 0.0003802 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 19139001060.000000 IDR 1135199.000000 USD 2026-06-10 9896.140000 N N N EMF-NL BV 2008-APRX N/A B39M0PII2 226744.460000 PA 261530.140000 0.010047 Long ABS-MBS CORP NL N 2 2041-04-17 Floating 2.833 N N N N N N N/A N/A 000000000 1.000000 NC -487.240000 -0.0000187 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 849870000.000000 UZS 63000.000000 USD 2027-06-18 -487.240000 N N N BCAP LLC TRUST 2011-RR6 N/A 05535YAJ7 202812.130000 PA USD 181036.290000 0.0069547 Long ABS-MBS CORP US N 2 2037-06-26 Fixed 5.25 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 3250000.000000 PA USD 2981555.690000 0.11454 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N ACUSHNET COMPANY 549300H805O14KEFES79 005095AB0 -1400000.000000 PA USD -1392666.660000 -0.053501 Short DBT CORP US N 2 2033-12-01 Fixed 5.625 N N N N N N N/A N/A 000000000 2615625.000000 PA USD 2615625.000000 0.100483 Long RA US N 2 Repurchase N 3.400000 2026-05-01 2500000.000000 USD 2525130.000000 USD CDS N N N FANNIE MAE REMICS 2024-9 N/A 3136BRGW1 8335000.900000 PA USD 1381558.910000 0.0530743 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 150200000.000000 PA 45138123.510000 1.73404 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE 254900OVY0XI1DFYC092 BA0005336 6000000.000000 PA 6923062.260000 0.265958 Long LON CORP LU N 3 2029-06-11 Floating 3.522 N N N N N N N/A N/A 000000000 1.000000 NC -215607.040000 -0.0082828 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5454272.000000 USD 496052402.720000 INR 2026-04-07 -215607.040000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 900123DK3 5500000.000000 PA USD 5599525.750000 0.215113 Long DBT NUSS TR N 2 2034-05-15 Fixed 7.625 N N N N N N N/A N/A 000000000 1.000000 NC -21587.020000 -0.0008293 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 81447220.550000 TRY 1747644.420000 USD 2026-04-30 -21587.020000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4 N/A 07387ABR5 16854.960000 PA USD 15871.300000 0.0006097 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.86527 N N N N N N N/A N/A 000000000 1.000000 NC -19373.900000 -0.0007443 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 74526388.510000 TRY 1629562.000000 USD 2026-04-16 -19373.900000 N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 5100000.000000 PA USD 5133150.000000 0.197196 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAQ4 2000000.000000 PA USD 2032735.800000 0.0780901 Long DBT CORP US N 2 2029-07-15 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 1082.540000 0.0000416 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 382392.150000 USD 12272494.000000 TWD 2026-04-13 1082.540000 N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 3367705.890000 PA USD 3072130.090000 0.11802 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.67345 N N N N N N N/A N/A 000000000 1.000000 NC 34449.290000 0.0013234 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 255669460.650000 INR 2734500.000000 USD 2026-04-07 34449.290000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CLW9 95900000.000000 PA USD 95890634.410000 3.68376 Long DBT UST US N 2 2034-11-15 Fixed 4.25 N N N N N N UMBS PASS THRU POOLS N/A 01F062655 10583000.000000 PA USD 10940298.910000 0.420285 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6.5 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 1218.850000 PA USD 1227.270000 0.0000471 Long ABS-MBS CORP US N 2 2033-03-25 Floating 5.27 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 50658128.000000 PA USD 48807832.280000 1.87501 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WF1 N/A 46628SAG8 951589.670000 PA USD 240018.040000 0.0092206 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.63 N N N N N N N/A N/A 000000000 1.000000 NC 2527.690000 0.0000971 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10175877.000000 DOP 170000.000000 USD 2026-05-08 2527.690000 N N N N/A N/A 000000000 1.000000 NC 7785.760000 0.0002991 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1584534.000000 USD 149639429.630000 INR 2026-04-24 7785.760000 N N N N/A N/A 000000000 1.000000 NC -966.560000 -0.0000371 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6130039.790000 TRY 136971.580000 USD 2026-04-01 -966.560000 N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953CK5 -2500000.000000 PA USD -2516200.000000 -0.096663 Short DBT CORP US N 2 2029-09-15 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC -79692.570000 -0.0030615 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 26600000.000000 BRL 4843452.690000 USD 2026-10-02 -79692.570000 N N N N/A N/A 000000000 609000.000000 PA USD 609000.000000 0.0233955 Long RA US N 2 Repurchase N 3.430000 2026-05-01 600000.000000 USD 592125.300000 USD CDS N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AJ0 6500000.000000 PA USD 6225247.600000 0.239151 Long DBT CORP US N 2 2029-05-01 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 2554.800000 0.0000981 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 242290.900000 USD 2370816.460000 NOK 2026-04-07 2554.800000 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBE9 1800000.000000 PA USD 1808730.000000 0.0694846 Long DBT NUSS MX N 2 2032-07-02 Fixed 5.85 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WZRP4 48111500000.000000 PA 12130386.880000 0.466004 Long DBT NUSS CO N 2 2029-08-22 Fixed 11 N N N N N N ADIENT GLOBAL HOLDINGS LTD 213800VA38VCKE6M8790 00687YAD7 -3825000.000000 PA USD -3870135.000000 -0.148676 Short DBT CORP JE N 2 2033-02-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC 242.220000 0.0000093 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 164349.200000 THB 5232.380000 USD 2026-04-20 242.220000 N N N N/A N/A 000000000 -42.000000 NC USD -5589.230000 -0.0002147 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/26 2026-06-19 N/A USD N/A 113.000000 USD 2026-04-24 XXXX 4204.750000 N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAD9 757914.610000 PA USD 263664.770000 0.010129 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.09303 N N N N N N CAPITAL FOUR CLO X DAC 10A N/A ACI2ZN408 2800000.000000 PA 3230750.610000 0.124113 Long ABS-CBDO CORP IE N 2 2038-10-25 Floating 3.279 N N N N N N N/A N/A 000000000 1.000000 NC 84686.480000 0.0032533 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17759646.310000 USD 92430967.200000 BRL 2026-04-02 84686.480000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAE0 1685724.110000 PA USD 1430272.510000 0.0549457 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.41303 N N N N N N N/A N/A 000000000 532058.750000 PA USD 532058.750000 0.0204397 Long RA US N 2 Repurchase N 3.400000 2026-05-01 499000.000000 USD 519227.150000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD -59.480000 -0.0000023 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 11000000.000000 USD -59.480000 N N N COMMERCIAL METALS COMPANY 549300OQS2LO07ZJ7N73 201723AV5 -2800000.000000 PA USD -2763251.400000 -0.106154 Short DBT CORP US N 2 2035-12-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -11595.930000 -0.0004455 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1341099.000000 USD 43800427.450000 THB 2026-04-16 -11595.930000 N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPR1 1712587.210000 PA USD 1658090.800000 0.0636976 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.76803 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4R4 20557.220000 PA USD 20077.620000 0.0007713 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.86463 N N N N N N N/A N/A 000000000 1125250.000000 PA USD 1125250.000000 0.0432279 Long RA US N 2 Repurchase N 3.050000 2026-05-01 1400000.000000 USD 1081761.660000 USD CDS N N N EVERGLADES RE II LTD 5493000EE11S6ONK0372 30014LAN4 400000.000000 PA USD 406200.000000 0.0156047 Long DBT CORP BM N 2 2031-05-13 Floating 15.0253 N N N N N N GNMA PASS THRU POOLS N/A 36225CPL4 3150.780000 PA USD 3156.180000 0.0001212 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 5.375 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-S10 N/A 74958DAG3 230597.240000 PA USD 187697.000000 0.0072106 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 N N N N N N FREDDIEMAC STRIP-401 N/A 3142G47L9 16276043.000000 PA USD 3477032.840000 0.133575 Long ABS-MBS USGSE US N 2 2053-06-25 Fixed 5 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAP4 2215115.920000 PA USD 1239488.270000 0.0476165 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.01303 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO3 N/A 761118KU1 101392.740000 PA USD 70071.950000 0.0026919 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.59303 N N N N N N NAVESINK CLO 2 LTD 2024-2A N/A 63942YAQ7 1500000.000000 PA USD 1500069.060000 0.057627 Long ABS-CBDO CORP KY N 2 2036-01-15 Floating 4.86219 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLP9 5330.690000 PA USD 5467.110000 0.00021 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 6.516 N N N N N N N/A N/A 000000000 1.000000 NC 37977.810000 0.001459 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3254000.000000 AUD 2283075.710000 USD 2026-04-02 37977.810000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Z7LJ3 74010300000.000000 PA 18349816.000000 0.704931 Long DBT NUSS CO N 2 2035-01-24 Fixed 11.75 N N N N N N GROSVENOR PLACE CLO 2025-4 DAC 25-4A N/A ACI379GR6 2300000.000000 PA 2658390.370000 0.102125 Long ABS-CBDO CORP IE N 2 2039-08-15 Floating 3.383 N N N N N N N/A N/A 000000000 1.000000 NC 41526.640000 0.0015953 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1491203.140000 USD 27491821.000000 MXN 2026-04-15 41526.640000 N N N N/A N/A 000000000 1.000000 NC -4098.460000 -0.0001574 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5885000.000000 NOK 603674.000000 USD 2026-04-07 -4098.460000 N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVS1 870374.370000 PA USD 853514.870000 0.0327888 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.91803 N N N N N N N/A N/A 000000000 1.000000 NC 3425.260000 0.0001316 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1568221.000000 USD 147696622.000000 INR 2026-04-24 3425.260000 N N N FANNIE MAE INTEREST STRIP 440 N/A 31424U8J8 16746616.800000 PA USD 3607727.340000 0.138595 Long ABS-MBS USGSE US N 2 2053-11-25 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F052664 60150000.000000 PA USD 60288418.380000 2.31606 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -92975.520000 -0.0035718 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 46600000.000000 BRL 8531782.720000 USD 2026-10-02 -92975.520000 N N N N/A N/A 000000000 -389.000000 NC 458358.720000 0.0176084 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -47547921.550000 EUR 458358.720000 N N N N/A N/A 000000000 1.000000 NC -8738.430000 -0.0003357 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 60805279.820000 TRY 1303883.000000 USD 2026-05-05 -8738.430000 N N N N/A N/A 000000000 1.000000 NC 14412.410000 0.0005537 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 6024902.620000 PLN 1637382.000000 USD 2026-04-15 14412.410000 N N N N/A N/A 000000000 1.000000 NC -237842.760000 -0.009137 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6073566.000000 USD 552588218.600000 INR 2026-04-07 -237842.760000 N N N GOODYEAR TIRE & RUBBER CO/THE 5493002BI0S2ZQUY3437 382550BN0 -2975000.000000 PA USD -2817166.430000 -0.108225 Short DBT CORP US N 2 2029-07-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 643826.070000 0.0247334 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 741798017.690000 ZAR 44423219.290000 USD 2026-04-20 643826.070000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 1500000.000000 PA USD 1461213.330000 0.0561343 Long DBT CORP US N 2 2030-04-15 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC 20115.270000 0.0007728 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3413492.670000 ILS 1108043.000000 USD 2026-06-10 20115.270000 N N N N/A N/A 000000000 1.000000 NC 139319.490000 0.0053521 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 14985590.200000 PEN 4429282.120000 USD 2026-06-17 139319.490000 N N N FNMA PASS THRU POOLS N/A 3140GTQM5 382773.450000 PA USD 357730.580000 0.0137427 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 432829.290000 0.0166277 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 55609985.320000 PEN 16301221.000000 USD 2026-08-21 432829.290000 N N N N/A N/A 000000000 1071000.000000 PA USD 1071000.000000 0.0411438 Long RA US N 2 Repurchase N 3.150000 2026-06-12 1400000.000000 USD 1040683.000000 USD CDS N N N N/A N/A 000000000 1.000000 NC 208.120000 0.000008 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 37188.660000 USD 1685728.490000 TRY 2026-04-14 208.120000 N N N N/A N/A 000000000 1.000000 NC -143610.090000 -0.005517 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10500000.000000 BRL 1883475.640000 USD 2026-04-02 -143610.090000 N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 187725.700000 PA USD 174499.790000 0.0067036 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.87092 N N N N N N ACADIA HEALTHCARE COMPANY INC 5493005CW985Y9D0NC11 00404AAP4 -960000.000000 PA USD -935433.600000 -0.0359359 Short DBT CORP US N 2 2029-04-15 Fixed 5 N N N N N N N/A N/A 000000000 3044452.500000 PA USD 3044452.500000 0.116957 Long RA US N 2 Repurchase N 3.430000 2026-05-01 2862000.000000 USD 2989885.610000 USD CDS N N N N/A N/A 000000000 1.000000 NC 2970.710000 0.0001141 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 978702749.000000 KRW 654000.000000 USD 2026-04-27 2970.710000 N N N JABIL INC 5493000CGCQY2OQU7669 46652MDG7 250000.000000 PA USD 249499.450000 0.0095848 Long DBT CORP US N 2 2026-04-16 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 118028.030000 0.0045342 N/A DCR DE N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2026-12-20 670725.620000 EUR 0.000000 EUR 2800000.000000 EUR -552697.590000 N N N N/A N/A 000000000 1.000000 NC -11.160000 -0.0000004 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4635.110000 BRL 871.950000 USD 2026-06-02 -11.160000 N N N FNMA PASS THRU POOLS N/A 3138WFX84 80960.690000 PA USD 76003.000000 0.0029198 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4V81 13050673.730000 PA USD 2037341.330000 0.078267 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 3 N N N N N N AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST N/A 023770AA8 189634.340000 PA USD 187340.500000 0.0071969 Long DBT CORP US N 2 2028-11-01 Fixed 3.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 600000.000000 PA USD 210000.000000 0.0080674 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 1200000.000000 PA USD 420000.000000 0.0161348 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31403DWH8 21442.700000 PA USD 22514.650000 0.0008649 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 3427.250000 PA USD 3384.990000 0.00013 Long ABS-MBS CORP US N 2 2033-10-25 Floating 6.74479 N N N N N N N/A N/A 000000000 1.000000 NC -9107.130000 -0.0003499 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 700668391.060000 COP 181621.000000 USD 2026-04-06 -9107.130000 N N N N/A N/A 000000000 1.000000 NC 86345.230000 0.0033171 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2298331.740000 USD 12352269.020000 BRL 2026-04-02 86345.230000 N N N N/A N/A 000000000 1.000000 NC -17775.730000 -0.0006829 N/A DFE EG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 148321.000000 USD 7264762.580000 EGP 2026-04-20 -17775.730000 N N N N/A N/A 000000000 227531.250000 PA USD 227531.250000 0.0087409 Long RA US N 2 Repurchase N 3.420000 2026-05-01 225000.000000 USD 222955.760000 USD CDS N N N N/A N/A 000000000 1.000000 NC 135725.090000 0.005214 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 17344919646.000000 KRW 11670000.000000 USD 2026-04-15 135725.090000 N N N GLOBAL SPORTS GROUP (GSG BIDCO LIMITED) 984500F49D98F3GDZ668 ACI38RGT1 2600000.000000 PA 2981183.910000 0.114526 Long DBT CORP JE N 2 2031-06-15 Fixed 4.7 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAG0 650000.000000 PA USD 641859.240000 0.0246578 Long DBT CORP GB N 2 2028-11-03 Floating 3.823 N N N N N N N/A N/A 000000000 1.000000 NC 434640.730000 0.0166973 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 38994273.160000 CAD 28467149.680000 USD 2026-04-02 434640.730000 N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HH46 792910.180000 PA USD 724399.570000 0.0278287 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.23303 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 104869.840000 PA USD 104973.870000 0.0040327 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 4.87963 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 7947.110000 PA USD 5819.530000 0.0002236 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 N N N N N N N/A N/A 000000000 203940.000000 PA USD 203940.000000 0.0078346 Long RA US N 2 Repurchase N 3.100000 2026-05-01 264000.000000 USD 196243.080000 USD CDS N N N N/A N/A 000000000 1.000000 NC 24549.490000 0.0009431 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 156805.200000 KWD 540000.000000 USD 2030-05-13 24549.490000 N N N N/A N/A 000000000 -15.000000 NC -15777.360000 -0.0006061 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Put Written EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 06/08/26 2026-06-09 N/A EUR N/A 125.500000 EUR 2026-04-24 XXXX -9641.180000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 3302185.380000 PA USD 1638614.390000 0.0629494 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.99303 N N N N N N N/A N/A 000000000 1.000000 NC 213720.860000 0.0082104 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-09-16 302991.560000 JPY 0.000000 JPY 22169000000.000000 JPY -89270.700000 N N N N/A N/A 000000000 411000.000000 PA USD 411000.000000 0.0157891 Long RA US N 2 Repurchase N 3.420000 2026-05-01 400000.000000 USD 408638.400000 USD CDS N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JW8 2600000.000000 PA USD 2516922.200000 0.0966907 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYZ97 333250.450000 PA USD 40814.120000 0.0015679 Long ABS-MBS USGSE US N 2 2041-06-25 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 21H022655 4400000.000000 PA USD 3783656.270000 0.145354 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 2.5 N N N N N N N/A N/A 000000000 1171500.000000 PA USD 1171500.000000 0.0450046 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1136025.000000 USD CDS N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AC5 157033.720000 PA USD 88889.380000 0.0034148 Long ABS-MBS CORP US N 2 2037-06-27 Floating 4.28748 N N N N N N FNMA PASS THRU POOLS N/A 31406BJJ0 4391.420000 PA USD 4477.990000 0.000172 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.795 N N N N N N N/A N/A 000000000 1091750.000000 PA USD 1091750.000000 0.0419409 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1086408.070000 USD CDS N N N N/A N/A 000000000 1.000000 NC -100460.590000 -0.0038593 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4300000.000000 BRL 729679.280000 USD 2026-04-02 -100460.590000 N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 6859679.150000 PA USD 6959169.880000 0.267345 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.29303 N N N N N N N/A N/A 000000000 1.000000 NC 493.250000 0.0000189 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1881939.960000 CZK 89136.000000 USD 2026-04-15 493.250000 N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 217590.440000 PA USD 218751.420000 0.0084036 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.49303 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-R3 N/A 62951MAY6 293613.090000 PA USD 254209.070000 0.0097658 Long ABS-MBS CORP US N 2 2035-02-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -295.900000 -0.0000114 N/A DFE KZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12153750.000000 KZT 25000.000000 USD 2026-04-20 -295.900000 N N N N/A N/A 000000000 1.000000 NC -1266011.330000 -0.0486354 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 71000000.000000 BRL 12440949.300000 USD 2026-04-02 -1266011.330000 N N N SCIENCE APPLICATIONS INTERNATIONAL CORPORATION 549300LZPNZIXQGZPZ48 808625AB3 -2200000.000000 PA USD -2149242.480000 -0.0825659 Short DBT CORP US N 2 2033-11-01 Fixed 5.875 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 80689.240000 PA USD 57061.100000 0.0021921 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC -11404.080000 -0.0004381 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3096708.000000 USD 52379821777.000000 IDR 2026-04-27 -11404.080000 N N N GNMA PASS THRU POOLS N/A 36225CA89 1928.690000 PA USD 1926.280000 0.000074 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 5.625 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WQVJ3 19313300000.000000 PA 5118985.260000 0.196652 Long DBT NUSS CO N 2 2040-11-28 Fixed 12.75 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 2838.560000 PA USD 2625.250000 0.0001009 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.99996 N N N N N N N/A N/A 000000000 1.000000 NC -57.710000 -0.0000022 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7295671.860000 THB 222524.000000 USD 2026-06-17 -57.710000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2K9 4100000.000000 PA USD 3849696.680000 0.147891 Long DBT CORP FR N 2 2031-01-13 Floating 3.052 N N N N N N WIND RIVER CLO LTD 2021-2A N/A 97315VAL1 1400000.000000 PA USD 1400941.540000 0.0538189 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 4.77763 N N N N N N N/A N/A 000000000 1.000000 NC -6553.960000 -0.0002518 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 384513.000000 USD 59983989.000000 JPY 2026-04-02 -6553.960000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS16 N/A 74922LAA1 142017.200000 PA USD 101926.240000 0.0039156 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.19303 N N N N N N N/A N/A 000000000 199237.500000 PA USD 199237.500000 0.007654 Long RA US N 2 Repurchase N 3.430000 2026-05-01 207000.000000 USD 198424.130000 USD CDS N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBB5 2700000.000000 PA USD 2792475.000000 0.107276 Long DBT NUSS MX N 2 2030-05-13 Fixed 6 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 677.710000 PA USD 638.670000 0.0000245 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.70309 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7EF0 124412.070000 PA USD 119259.000000 0.0045815 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N N/A N/A 000000000 928125.000000 PA USD 928125.000000 0.0356551 Long RA US N 2 Repurchase N 3.440000 2026-05-01 900000.000000 USD 922771.590000 USD CDS N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2T3R46 2030000000.000000 PA 9709413.060000 0.372999 Long DBT NUSS JP N 2 2054-12-20 Fixed 2.3 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DE13 2900000.000000 PA USD 2889176.920000 0.110991 Long DBT CORP US N 2 2026-05-01 None 0 N N N N N N N/A N/A 000000000 1137000.000000 PA USD 1137000.000000 0.0436793 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1200000.000000 USD 1126386.240000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD 12210.400000 0.0004691 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 500000.000000 USD 12210.400000 N N N OWENS-BROCKWAY GLASS CONTAINER INC V2UQUCDZJ9WY98W8QU33 69073TAU7 -725000.000000 PA USD -695168.570000 -0.0267058 Short DBT CORP US N 2 2031-05-15 Fixed 7.25 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPT7 684250.040000 PA USD 597661.070000 0.0229599 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.36803 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 39429.000000 PA USD 39903.250000 0.0015329 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 5.058 N N N N N N FNMA PASS THRU POOLS N/A 3140H2Z43 126644.090000 PA USD 118018.640000 0.0045338 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N RASC TRUST 2006-EMX6 N/A 754065AD2 1927363.470000 PA USD 1724276.410000 0.0662402 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.33303 N N N N N N N/A N/A 000000000 -1600000.000000 NC USD -8358.080000 -0.0003211 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 -3198.080000 N N N N/A N/A 000000000 1.000000 NC -364.390000 -0.000014 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5026093.000000 MXN 278339.790000 USD 2026-06-17 -364.390000 N N N N/A N/A 000000000 1.000000 NC 16401.450000 0.0006301 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 201667.600000 KWD 680000.000000 USD 2030-08-12 16401.450000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 8761.480000 PA USD 8744.120000 0.0003359 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.84 N N N N N N AMETEK INC 549300WZDEF9KKE40E98 03111CDT7 350000.000000 PA USD 348948.080000 0.0134053 Long DBT CORP US N 2 2026-04-27 None 0 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 800387.060000 PA USD 511884.980000 0.0196647 Long ABS-MBS CORP US N 2 2036-01-19 Floating 4.2912 N N N N N N N/A N/A 000000000 1.000000 NC -82.000000 -0.0000032 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2157.690000 USD 68361.980000 THB 2026-04-20 -82.000000 N N N N/A N/A 000000000 1.000000 NC -19057.500000 -0.0007321 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4387000.000000 AUD 3006617.730000 USD 2026-05-04 -19057.500000 N N N VIPER ENERGY PARTNERS LLC 54930010ZZ02MRGRI973 92764MAB0 2450000.000000 PA USD 2470592.250000 0.0949109 Long DBT CORP US N 2 2035-08-01 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC -525.310000 -0.0000202 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 781000.000000 PLN 209858.050000 USD 2026-04-15 -525.310000 N N N FNMA PASS THRU POOLS N/A 31410LTW2 1266098.770000 PA USD 1189237.080000 0.045686 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -243158.790000 -0.0093413 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 11998654.000000 USD 17677584542.000000 KRW 2026-04-15 -243158.790000 N N N FNMA PASS THRU POOLS N/A 31409GLM6 8016.770000 PA USD 8403.200000 0.0003228 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1040000.000000 PA USD 1040000.000000 0.0399529 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1000000.000000 USD 1008787.190000 USD CDS N N N AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD N/A 00253XAA9 158333.330000 PA USD 158551.830000 0.006091 Long DBT CORP US N 2 2026-04-20 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 660380.390000 PA USD 209531.570000 0.0080494 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWE6 4112492.190000 PA USD 739138.430000 0.0283949 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 135.890000 0.0000052 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 934401.690000 HKD 119422.490000 USD 2026-04-20 135.890000 N N N MV CREDIT EURO CLO III DAC 3A N/A ACI35DCS1 2700000.000000 PA 3120743.790000 0.119887 Long ABS-CBDO CORP IE N 2 2038-02-15 Floating 3.284 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEF4 6300000.000000 PA USD 6226580.870000 0.239202 Long DBT UST US N 2 2027-03-31 Fixed 2.5 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTK4 10087.740000 PA USD 9186.430000 0.0003529 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.38689 N N N N N N N/A N/A 000000000 909000.000000 PA USD 909000.000000 0.0349204 Long RA US N 2 Repurchase N 3.430000 2026-05-01 900000.000000 USD 891497.610000 USD CDS N N N FNMA PASS THRU POOLS N/A 31409URU1 19507.170000 PA USD 19960.990000 0.0007668 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 5.875 N N N N N N OLIN CORPORATION 549300GKK294V7W57P06 680665AK2 -2500000.000000 PA USD -2396426.700000 -0.0920617 Short DBT CORP US N 2 2030-02-01 Fixed 5 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 1779.290000 PA USD 1799.380000 0.0000691 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.33303 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-6AR N/A 61748HBM2 2809.830000 PA USD 2713.340000 0.0001042 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.60944 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAJ0 227436.110000 PA USD 221657.160000 0.0085152 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.99999 N N N N N N ANGLIAN WATER (OSPREY) FINANCING PLC 21380072JDZ74GW9ZY87 ACI2ZR540 3325000.000000 PA 4448023.020000 0.170876 Long DBT CORP GB N 2 2031-08-27 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -14106.600000 -0.0005419 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -8120.000000 USD 2800000.000000 USD -5986.600000 N N N N/A N/A 000000000 1.000000 NC -11032.020000 -0.0004238 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1269776.060000 USD 951000.000000 GBP 2026-04-02 -11032.020000 N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 28794.730000 PA USD 27854.660000 0.0010701 Long ABS-MBS CORP US N 2 2035-10-20 Floating 6.6265 N N N N N N N/A N/A 000000000 1.000000 NC -56125.970000 -0.0021561 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 201321367.090000 TRY 4444769.000000 USD 2026-04-08 -56125.970000 N N N N/A N/A 000000000 1.000000 NC 122313.440000 0.0046988 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11202717.160000 PEN 3320602.650000 USD 2026-08-11 122313.440000 N N N N/A N/A 000000000 1.000000 NC 27604.710000 0.0010605 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5269000.000000 EUR 6117779.520000 USD 2026-04-02 27604.710000 N N N N/A N/A 000000000 1.000000 NC USD -459268.870000 -0.0176434 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-18 161879.740000 USD 0.000000 USD 77130000.000000 USD -621148.610000 N N N EPH FINANCING INTERNATIONAL AS 3157003E5A4ZV0JCSM65 ACI2L2292 2850000.000000 PA 3486768.610000 0.133949 Long DBT CORP CZ N 2 2028-11-13 Fixed 6.651 N N N N N N N/A N/A 000000000 1.000000 NC -234.580000 -0.000009 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1140151.860000 CZK 53468.620000 USD 2026-04-15 -234.580000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746804 3500.000000 NS USD 4042500.000000 0.155298 Long EP CORP US N 1 N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 342276.980000 PA USD 110726.430000 0.0042537 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.90303 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-13 N/A 41162KAA1 17027.350000 PA USD 13430.830000 0.000516 Long ABS-MBS CORP US N 2 2046-11-19 Floating 3.9712 N N N N N N N/A N/A 000000000 395500.000000 PA USD 395500.000000 0.0151936 Long RA US N 2 Repurchase N 3.410000 2026-05-01 400000.000000 USD 380707.360000 USD CDS N N N N/A N/A 000000000 1.000000 NC -8740.380000 -0.0003358 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1753978.000000 USD 29619474720.000000 IDR 2026-04-13 -8740.380000 N N N N/A N/A 000000000 1.000000 NC USD 5442503.350000 0.209081 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-09-19 4933195.550000 USD 0.000000 USD 13900000.000000 USD 509307.800000 N N N JP MORGAN MORTGAGE TRUST 2006-S3 N/A 46629AAN1 1411565.380000 PA USD 458732.920000 0.0176228 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAN6 35907.410000 PA USD 37163.550000 0.0014277 Long ABS-MBS CORP US N 2 2033-04-25 Floating 5.17303 N N N N N N HOME EQUITY MTGE TRUST 2006-2 N/A 225470W25 129810.170000 PA USD 10983.680000 0.000422 Long ABS-MBS CORP US N 2 2036-07-25 Variable 5.8672 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31622GDQ7 250000.000000 PA USD 249332.530000 0.0095784 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 37085.820000 0.0014247 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1239119.660000 USD 22881088.000000 MXN 2026-04-10 37085.820000 N N N N/A N/A 000000000 1.000000 NC USD 6885.260000 0.0002645 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 23091.350000 USD 0.000000 USD 3650000.000000 USD -16206.090000 N N N AMNEAL PHARMACEUTICALS LLC 54930037VIXE7LRZ1M66 03168LAA3 -1125000.000000 PA USD -1159535.250000 -0.044545 Short DBT CORP US N 2 2032-08-01 Fixed 6.875 N N N N N N AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST N/A 02376AAA7 1306983.000000 PA USD 1265038.520000 0.048598 Long DBT CORP US N 2 2031-04-15 Fixed 3.35 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAB9 34905000.000000 PA USD 3243170.150000 0.124591 Long DBT MUN US N 2 2047-06-01 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB N/A 12668AZX6 225367.500000 PA USD 189229.640000 0.0072695 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.59303 N N N N N N N/A N/A 000000000 607500.000000 PA USD 607500.000000 0.0233379 Long RA US N 2 Repurchase N 3.440000 2026-05-01 600000.000000 USD 594252.900000 USD CDS N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 4102727.680000 PA USD 3980525.470000 0.152917 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 722.740000 0.0000278 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 524000.000000 EUR 606388.260000 USD 2026-04-02 722.740000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 6812537.100000 PA USD 6548759.750000 0.251579 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 3508.790000 0.0001348 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 749981.000000 USD 5176976.350000 CNY 2026-05-07 3508.790000 N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 5774.950000 PA USD 5679.450000 0.0002182 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.51615 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAC6 807287.900000 PA USD 261159.410000 0.0100328 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.94303 N N N N N N RMAC SECURITIES PLC 2007-NS1X N/A B1ZPGKII4 315090.600000 PA 410381.200000 0.0157653 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.00289 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 1225.730000 PA USD 1211.950000 0.0000466 Long ABS-MBS CORP US N 2 2032-01-25 Floating 4.41303 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAE8 927944.330000 PA USD 210795.080000 0.008098 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.13303 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBW9 700000.000000 PA USD 671000.250000 0.0257773 Long DBT CORP US N 2 2032-03-15 Fixed 4.05 N N N N N N N/A N/A 000000000 1.000000 NC -6074.820000 -0.0002334 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2155205.180000 BRL 410000.000000 USD 2026-04-02 -6074.820000 N N N N/A N/A 000000000 1.000000 NC -5258.280000 -0.000202 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 520937.450000 USD 1618000.000000 ILS 2026-06-10 -5258.280000 N N N HERC HOLDINGS INC 549300TP80QLITMSBP82 42704LAE4 -3675000.000000 PA USD -3737500.730000 -0.143581 Short DBT CORP US N 2 2029-06-15 Fixed 6.625 N N N N N N N/A N/A 000000000 605250.000000 PA USD 605250.000000 0.0232514 Long RA US N 2 Repurchase N 3.440000 2026-05-01 600000.000000 USD 588282.000000 USD CDS N N N N/A N/A 000000000 1.000000 NC 106.590000 0.0000041 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 353399.000000 TWD 11103.400000 USD 2026-06-17 106.590000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BDE9 250000.000000 PA USD 249608.580000 0.009589 Long DBT CORP US N 2 2026-04-14 None 0 N N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AA9 307441.910000 PA USD 278721.300000 0.0107074 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.13303 N N N N N N N/A N/A 000000000 1.000000 NC 22736.740000 0.0008735 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 784000.000000 USD 13802539.520000 ZAR 2026-08-21 22736.740000 N N N N/A N/A 000000000 1.000000 NC 13599.000000 0.0005224 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 17264893.620000 USD 89500000.000000 BRL 2026-04-02 13599.000000 N N N N/A N/A 000000000 510825.000000 PA USD 510825.000000 0.019624 Long RA US N 2 Repurchase N 3.000000 2026-05-01 490000.000000 USD 494326.700000 USD CDS N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 5000000.000000 PA USD 4978828.250000 0.191268 Long DBT CORP ES N 2 2028-03-24 Floating 4.175 N N N N N N N/A N/A 000000000 1101375.000000 PA USD 1101375.000000 0.0423107 Long RA US N 2 Repurchase N 3.410000 2026-05-01 1100000.000000 USD 1074650.280000 USD CDS N N N N/A N/A 000000000 1.000000 NC -12112.910000 -0.0004653 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1420107.000000 USD 46382682.770000 THB 2026-04-17 -12112.910000 N N N N/A N/A 000000000 1.000000 NC 84137.410000 0.0032322 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 12860409.150000 PEN 3769833.250000 USD 2026-05-26 84137.410000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAX9 2000000.000000 PA USD 2008108.420000 0.077144 Long DBT CORP KY N 2 2030-01-15 Fixed 5.15 N N N N N N ICBC STANDARD BANK PLC F01VVKN4DRF2NWKGQ283 ACI37D938 14960000000.000000 PA 1226811.740000 0.0471295 Long DBT CORP GB N 3 2029-12-13 Fixed 20 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 10915.790000 PA USD 10642.400000 0.0004088 Long ABS-MBS CORP US N 2 2031-11-15 Floating 4.48699 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 3600000.000000 PA 3666560.330000 0.140855 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N FNMA PASS THRU POOLS N/A 3138WGA46 72047.240000 PA USD 67429.860000 0.0025904 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.5 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBV6 4400000.000000 PA USD 3933208.180000 0.151099 Long DBT CORP GB N 2 2032-11-24 Floating 2.894 N N N N N N N/A N/A 000000000 1.000000 NC 25551.700000 0.0009816 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1693260.350000 USD 76963762.690000 TRY 2026-04-09 25551.700000 N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI06Z1N0 5920695.800000 PA 3604365.620000 0.138466 Long DBT NUSS NZ N 2 2030-09-20 Fixed 3 N N N N N N N/A N/A 000000000 1112375.000000 PA USD 1112375.000000 0.0427333 Long RA US N 2 Repurchase N 3.440000 2026-06-12 1100000.000000 USD 1085563.050000 USD CDS N N N COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB N/A 12668AAL9 177842.410000 PA USD 88164.700000 0.003387 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.5 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BB8 3500000.000000 PA USD 3484347.580000 0.133856 Long DBT CORP NL N 2 2028-03-28 Floating 4.017 N N N N N N ALAMO RE LTD 5493003E22VRD25G0S03 011395AJ9 750000.000000 PA USD 760125.000000 0.0292012 Long DBT CORP BM N 2 2026-06-07 Floating 12.59 N N N N N N N/A N/A 000000000 1.000000 NC 5948.360000 0.0002285 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 76402576.000000 MXN 4245177.160000 USD 2026-06-10 5948.360000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HW0 1000000.000000 PA USD 979573.450000 0.0376315 Long DBT CORP US N 2 2027-12-01 Fixed 3.3 N N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAT5 307075.000000 PA USD 176788.480000 0.0067916 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.75 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AD5 2270206.690000 PA USD 1916843.340000 0.0736379 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.62874 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A2 N/A 466247CL5 24806.220000 PA USD 24426.990000 0.0009384 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0 N N N N N N N/A N/A 000000000 1.000000 NC 119.860000 0.0000046 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 9589.120000 USD 431472.040000 TRY 2026-04-02 119.860000 N N N N/A N/A 000000000 1.000000 NC -672.780000 -0.0000258 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 230000.000000 USD 344786132.000000 KRW 2026-04-23 -672.780000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 3000000.000000 PA USD 2936007.510000 0.11279 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP) CD30XVRLT4QO00B1C706 15089QAP9 -2862000.000000 PA USD -2989885.610000 -0.11486 Short DBT CORP US N 2 2032-07-15 Variable 7.129 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB N/A 12668BXF5 885943.770000 PA USD 319620.520000 0.0122786 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.14303 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DEJ4 1850000.000000 PA USD 1839136.800000 0.0706528 Long DBT CORP US N 2 2026-05-18 None 0 N N N N N N FANNIE MAE REMICS 2021-96 N/A 3136BKYL0 5256827.940000 PA USD 918764.210000 0.0352955 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -7284.430000 -0.0002798 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 95400000.000000 BRL 17649409.470000 USD 2026-10-02 -7284.430000 N N N BAYOU RE LTD N/A 07304LAA9 365000.000000 PA USD 370657.500000 0.0142393 Long DBT CORP BM N 2 2030-05-26 Floating 15.94 N N N N N N N/A N/A 000000000 10750000.000000 NC USD 317565.750000 0.0121997 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.320000 USD 2026-04-23 XXXX 176751.500000 N N N N/A N/A 000000000 1.000000 NC USD -20638.060000 -0.0007928 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -10461.750000 USD 2900000.000000 USD -10176.310000 N N N WASHINGTON MUTUAL 2004-AR11 N/A 92922FYA0 44823.960000 PA USD 42094.910000 0.0016171 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.90244 N N N N N N N/A N/A 000000000 1.000000 NC -14518.250000 -0.0005577 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 599116.630000 USD 55355980.150000 INR 2026-04-07 -14518.250000 N N N N/A N/A 000000000 1.000000 NC 20628.220000 0.0007925 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 724472.570000 USD 13358912.000000 MXN 2026-04-10 20628.220000 N N N FREDDIE MAC STRIPS 408 N/A 3142G6F92 6421873.350000 PA USD 1077342.980000 0.0413875 Long ABS-MBS USGSE US N 2 2053-04-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 75366.520000 0.0028953 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2027194926.000000 CLP 2265072.880000 USD 2026-09-16 75366.520000 N N N UNIGEL (STICHTING ADMINISTRATIEKANTOOR UNIGEL CREDITORS) N/A 000000000 11319.000000 NS USD 0.010000 0 Long EC CORP NL N 3 N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAS2 400000.000000 PA USD 344786.360000 0.0132454 Long DBT MUN US N 2 2035-06-01 Fixed 3.501 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2P7MX2 1181000000.000000 PA 5157912.670000 0.198148 Long DBT NUSS JP N 2 2064-03-20 Fixed 2.2 N N N N N N N/A N/A 000000000 -2388970.500000 PA -2764507.100000 -0.106202 Short RA GB N 2 Reverse repurchase N 0.650000 2026-04-01 2450000.000000 EUR 2400087.740000 EUR CDS N N N ABILENE DC 1 LLC/ABILENE DC 2 LLC N/A BA000GR85 999999.810000 PA USD 992830.030000 0.0381408 Long LON CORP US N 3 2028-01-09 Floating 5.3427 N N N N N N N/A N/A 000000000 1.000000 NC -20428.170000 -0.0007848 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1340280.690000 USD 12780000.000000 NOK 2026-04-07 -20428.170000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 8588.240000 PA USD 8022.390000 0.0003082 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.25874 N N N N N N FREDDIE MAC REMICS 5058 N/A 3137F8DW0 4283166.440000 PA USD 345968.910000 0.0132908 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -10768.860000 -0.0004137 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 531081.000000 USD 82576138.000000 JPY 2026-04-02 -10768.860000 N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAW8 -2800000.000000 PA USD -2870844.960000 -0.110287 Short DBT CORP US N 2 2032-09-01 Fixed 6.875 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 9342.820000 PA USD 8764.980000 0.0003367 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1591875.000000 PA USD 1591875.000000 0.0611539 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1500000.000000 USD 1566757.500000 USD CDS N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JQ1 200000.000000 PA USD 170766.520000 0.0065602 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2021-75 N/A 3136BJR80 8800026.730000 PA USD 1532993.700000 0.0588919 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 9238042.310000 PA USD 4513694.540000 0.173399 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.09303 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 1060.460000 PA USD 1036.350000 0.0000398 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.68058 N N N N N N N/A N/A 000000000 1.000000 NC -5450.860000 -0.0002094 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2030-12-17 0.000000 COP 0.000000 COP 293900000.000000 COP -5450.860000 N N N DBGS 2021-W52 MORTGAGE TRUST N/A 23308LAA2 1000000.000000 PA USD 998018.400000 0.0383401 Long ABS-MBS CORP US N 2 2039-10-15 Floating 5.33228 N N N N N N FIRST FRANKLIN MTG LN ABS CERT 2004-FF3 N/A 36228FU61 167086.840000 PA USD 164763.630000 0.0063296 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.61803 N N N N N N CLEAR CHANNEL OUTDOOR HOLDINGS INC 254900XBEE6V1ENYS150 18453HAD8 -2620000.000000 PA USD -2632562.900000 -0.101133 Short DBT CORP US N 2 2029-06-01 Fixed 7.5 N N N N N N LONGLEAF PINE RE LTD N/A 54307MAA6 600000.000000 PA USD 635190.000000 0.0244016 Long DBT CORP BM N 2 2031-05-27 Floating 21.4573 N N N N N N CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2012-3R N/A 12640HAW3 1150331.000000 PA USD 1069335.040000 0.0410798 Long ABS-MBS CORP US N 2 2037-07-27 Floating 4.15914 N N N N N N N/A N/A 000000000 4506250.000000 PA USD 4506250.000000 0.173113 Long RA US N 2 Repurchase N 3.420000 2026-05-01 4525000.000000 USD 4477776.060000 USD CDS N N N AIRCASTLE LTD / AIRCASTLE IRELAND DAC N/A 00929JAA4 1900000.000000 PA USD 1946100.900000 0.0747619 Long DBT CORP BM N 2 2031-10-01 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -752.500000 -0.0000289 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2618000.000000 CNY 379348.110000 USD 2026-04-02 -752.500000 N N N N/A N/A 000000000 1.000000 NC -271298.530000 -0.0104223 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2035-01-24 0.000000 COP 0.000000 COP 13657900000.000000 COP -271298.530000 N N N N/A N/A 000000000 1.000000 NC 98745.030000 0.0037934 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4746955.140000 USD 25100000.000000 BRL 2026-04-02 98745.030000 N N N KENNEDY LEWIS CLO 8 LTD 8A N/A 37148EAN4 6000000.000000 PA USD 6013908.960000 0.231032 Long ABS-CBDO CORP KY N 2 2038-01-20 Floating 5.04763 N N N N N N N/A N/A 000000000 1123375.000000 PA USD 1123375.000000 0.0431559 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1085792.840000 USD CDS N N N N/A N/A 000000000 1.000000 NC -0.460000 0 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3300.940000 THB 100.000000 USD 2026-05-19 -0.460000 N N N N/A N/A 000000000 49467.500000 PA USD 49467.500000 0.0019004 Long RA US N 2 Repurchase N 3.150000 2026-06-12 47000.000000 USD 48202.820000 USD CDS N N N N/A N/A 000000000 1.000000 NC 32546.220000 0.0012503 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2168289.710000 USD 11400000.000000 BRL 2026-04-02 32546.220000 N N N N/A N/A 000000000 297750.000000 PA USD 297750.000000 0.0114384 Long RA US N 2 Repurchase N 3.430000 2026-05-01 300000.000000 USD 293116.230000 USD CDS N N N N/A N/A 000000000 1.000000 NC 16066.100000 0.0006172 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 112751324.000000 INR 1206800.000000 USD 2026-04-07 16066.100000 N N N WMALT MTGE PASS-THRU CERT 2005-9 N/A 93934FFK3 76467.980000 PA USD 62947.030000 0.0024182 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-22R N/A 02147LAA1 350578.660000 PA USD 184327.600000 0.0070812 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -360820.970000 -0.0138614 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 26800000.000000 BRL 4813074.030000 USD 2026-04-02 -360820.970000 N N N N/A N/A 000000000 1.000000 NC 6871.140000 0.000264 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 149389865.520000 INR 1584534.000000 USD 2026-04-07 6871.140000 N N N N/A N/A 000000000 -2900000.000000 NC USD -16425.020000 -0.000631 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 -6855.020000 N N N KKR CLO LTD 16 N/A 48251BBE9 6995182.000000 PA USD 7002322.750000 0.269003 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.80763 N N N N N N N/A N/A 000000000 1.000000 NC 362.940000 0.0000139 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 367069.600000 NOK 38272.000000 USD 2026-04-07 362.940000 N N N N/A N/A 000000000 1.000000 NC USD 22369.110000 0.0008593 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 67286.570000 USD 0.000000 USD 630000.000000 USD -44917.460000 N N N N/A N/A 000000000 3280000.000000 PA USD 3280000.000000 0.126005 Long RA US N 2 Repurchase N 3.430000 2026-05-01 3200000.000000 USD 3237760.000000 USD CDS N N N N/A N/A 000000000 1.000000 NC 14779.380000 0.0005678 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 505073.240000 USD 23202559.570000 TRY 2026-04-06 14779.380000 N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY23 994.130000 PA USD 972.390000 0.0000374 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.55303 N N N N N N FREDDIE MAC REMICS 5072 N/A 3137F96T3 10962859.280000 PA USD 428984.360000 0.01648 Long ABS-MBS USGSE US N 2 2036-02-25 Fixed 1.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAE8 4755756.050000 PA USD 1513636.830000 0.0581483 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.5 N N N N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAD5 4261288.920000 PA USD 1537202.880000 0.0590536 Long ABS-MBS CORP US N 2 2037-03-25 Variable 6.471 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBL1 300000.000000 PA USD 297861.450000 0.0114427 Long DBT CORP US N 2 2032-05-09 Fixed 4.75 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1465936.240000 PA USD 1418307.530000 0.0544861 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.11303 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBZ3 -3625000.000000 PA USD -3519996.080000 -0.135225 Short DBT CORP BM N 2 2033-09-15 Fixed 6.25 N N N N N N N/A N/A 000000000 749000.000000 PA USD 749000.000000 0.0287738 Long RA US N 2 Repurchase N 3.420000 2026-05-01 700000.000000 USD 724876.160000 USD CDS N N N FHLMC STRUCTURED PASS THROUGH T-31 N/A 3133TR7B5 405.680000 PA USD 400.340000 0.0000154 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 3.87189 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 65480CAC9 1100000.000000 PA USD 1081684.270000 0.0415543 Long DBT CORP US N 2 2026-09-16 Fixed 1.85 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WGH8 6100000.000000 PA USD 6095499.850000 0.234166 Long DBT CORP US N 2 2027-08-13 Floating 4.39493 N N N N N N N/A N/A 000000000 323906.250000 PA USD 323906.250000 0.0124433 Long RA US N 2 Repurchase N -1.250000 2026-05-01 375000.000000 USD 333408.850000 USD CDS N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAD6 777499.920000 PA USD 385287.290000 0.0148013 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.27303 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00809KDH8 400000.000000 PA USD 399214.800000 0.0153363 Long DBT CORP US N 2 2026-04-17 None 0 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECE3 1800000.000000 PA USD 2013497.260000 0.077351 Long DBT CORP GB N 2 2033-11-02 Floating 7.437 N N N N N N N/A N/A 000000000 301577532.050000 PA 17822414.540000 0.68467 Long RA ZA N 2 Repurchase N 6.800000 2028-03-29 328089886.000000 ZAR 296821559.400000 ZAR N N N RESIDENTIAL ASSET SEC CORP 2006-EMX5 N/A 74924QAD2 10188168.930000 PA USD 9278614.040000 0.35645 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.31303 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 BZ8VHWII9 180000000.000000 PA 187674.090000 0.0072097 Long DBT NUSS CL N 2 2035-03-01 Fixed 5 N N N N N N N/A N/A 000000000 1106875.000000 PA USD 1106875.000000 0.042522 Long RA US N 2 Repurchase N 2.750000 2026-05-01 1100000.000000 USD 1060306.720000 USD CDS N N N FNMA PASS THRU POOLS N/A 31405YPX3 6684.990000 PA USD 6765.300000 0.0002599 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 5.058 N N N N N N N/A N/A 000000000 827000.000000 PA USD 827000.000000 0.0317702 Long RA US N 2 Repurchase N 2.500000 2026-05-01 800000.000000 USD 819402.400000 USD CDS N N N N/A N/A 000000000 1.000000 NC 5145.800000 0.0001977 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1005367.990000 USD 6533173.760000 DKK 2026-04-07 5145.800000 N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 744.190000 PA USD 715.590000 0.0000275 Long ABS-MBS CORP US N 2 2034-03-19 Floating 4.4912 N N N N N N N/A N/A 000000000 1.000000 NC 22890.380000 0.0008794 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3395265.630000 ILS 1105178.000000 USD 2026-06-17 22890.380000 N N N N/A N/A 000000000 1.000000 NC 24859.330000 0.000955 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3262242.520000 ILS 1064744.000000 USD 2026-06-17 24859.330000 N N N N/A N/A 000000000 1.000000 NC -10438.420000 -0.000401 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 24149390.650000 TRY 514145.000000 USD 2026-04-30 -10438.420000 N N N N/A N/A 000000000 1.000000 NC -102324.540000 -0.0039309 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11159020522.730000 COP 2933689.260000 USD 2026-04-08 -102324.540000 N N N N/A N/A 000000000 -165.000000 NC 412901.650000 0.0158621 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -22014265.500000 EUR 412901.650000 N N N N/A N/A 000000000 1.000000 NC USD 16209.260000 0.0006227 N/A DCR US N 2 UBS AG 254900R882POXXVAK772 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -414833.710000 USD 11848394.990000 USD 431042.970000 N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 77511MD99 700000.000000 PA USD 699295.730000 0.0268643 Long DBT CORP CA N 2 2026-04-09 None 0 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 149700000.000000 PA 8751937.300000 0.336217 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 1734.810000 0.0000666 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 6409907.000000 MXN 357173.500000 USD 2026-06-17 1734.810000 N N N GNMA PASS THRU POOLS N/A 21H060648 2992000.000000 PA USD 3042751.650000 0.116891 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 6 N N N N N N N/A N/A 000000000 1752750.000000 PA USD 1752750.000000 0.0673341 Long RA US N 2 Repurchase N 2.500000 2026-05-01 1900000.000000 USD 1667591.240000 USD CDS N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAC7 2934018.500000 PA USD 1058996.720000 0.0406827 Long ABS-MBS CORP US N 2 2037-03-25 Variable 6.231 N N N N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI1YMJ56 1900000.000000 PA 2186322.840000 0.0839903 Long DBT CORP GG N 2 2026-06-22 Fixed 1.125 N N N N N N N/A N/A 000000000 1.000000 NC -21239.170000 -0.0008159 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 75797446.870000 TRY 1629562.000000 USD 2026-04-28 -21239.170000 N N N N/A N/A 000000000 784687.500000 PA USD 784687.500000 0.0301448 Long RA US N 2 Repurchase N 3.400000 2026-05-01 750000.000000 USD 757539.000000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD 8202414.200000 0.315106 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-27 7707904.450000 USD 0.000000 USD 21110000.000000 USD 494509.750000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRX85 209900000.000000 PA 39243480.390000 1.50759 Long DBT NUSS BR N 2 2026-07-01 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1 N/A 12668AUX1 161875.400000 PA USD 78282.150000 0.0030073 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AL1 1900000.000000 PA USD 1947958.680000 0.0748333 Long DBT CORP US N 2 2034-08-15 Fixed 6.2 N N N N N N N/A N/A 000000000 1.000000 NC -67883.700000 -0.0026078 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2338147.140000 USD 8427832.660000 PLN 2026-04-15 -67883.700000 N N N NOVASTAR HOME EQUITY LOAN 2006-4 N/A 66988XAC8 2792738.820000 PA USD 1077097.080000 0.041378 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.09303 N N N N N N ARBYS RESTAURANT (IRB HOLDING CORP) 549300HVW4WNWYBXN830 44988LAM9 6137244.990000 PA USD 6129573.430000 0.235475 Long LON CORP US N 2 2030-12-16 Floating 6.1764 N N N N N N N/A N/A 000000000 1.000000 NC 78320.430000 0.0030088 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 8338911.730000 USD 43600000.000000 BRL 2026-04-02 78320.430000 N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 1700000.000000 PA 2007761.530000 0.0771307 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP2 N/A 36242DT52 24231.460000 PA USD 22638.870000 0.0008697 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.14303 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCY7 1192865.780000 PA USD 1186685.420000 0.045588 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.55303 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAF1 646140.800000 PA USD 376044.000000 0.0144462 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.23303 N N N N N N N/A N/A 000000000 1192843.750000 PA USD 1192843.750000 0.0458246 Long RA US N 2 Repurchase N 3.410000 2026-06-12 1225000.000000 USD 1166444.020000 USD CDS N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 37790BE49 2550000.000000 PA USD 2540332.950000 0.0975901 Long DBT CORP US N 2 2026-05-04 None 0 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882SDQ6 1150000.000000 PA USD 1146830.140000 0.0440569 Long DBT CORP US N 2 2026-04-24 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31413YRZ6 17818.950000 PA USD 18742.660000 0.00072 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 571406.250000 PA USD 571406.250000 0.0219513 Long RA US N 2 Repurchase N 3.400000 2026-05-01 575000.000000 USD 569593.530000 USD CDS N N N EMERA US FINANCE LLC N/A 29103HAC1 1200000.000000 PA USD 1198808.990000 0.0460538 Long DBT CORP US N 2 2029-04-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 149000000.000000 PA USD 147281493.600000 5.658 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5 N N N N N N TORO EUROPEAN CLO 2 DAC 2A N/A ACI37WPZ7 4300000.000000 PA 4969188.750000 0.190898 Long ABS-CBDO CORP IE N 2 2034-07-25 Floating 3.02 N N N N N N N/A N/A 000000000 219937.500000 PA USD 219937.500000 0.0084492 Long RA US N 2 Repurchase N 3.250000 2026-06-12 225000.000000 USD 214785.970000 USD CDS N N N N/A N/A 000000000 1.000000 NC -4411635.650000 -0.169479 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 2575248.450000 AUD 0.000000 AUD 169300000.000000 AUD -6986884.100000 N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 8717.480000 PA USD 8695.760000 0.0003341 Long ABS-MBS CORP US N 2 2034-11-21 Floating 5.59779 N N N N N N N/A N/A 000000000 1.000000 NC -12445.960000 -0.0004781 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6174909.330000 BRL 1179656.000000 USD 2026-04-02 -12445.960000 N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR3 N/A 25151AAB7 939239.660000 PA USD 873013.310000 0.0335379 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.03303 N N N N N N N/A N/A 000000000 1.000000 NC -118334.090000 -0.004546 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4689382.240000 USD 16969186.150000 PLN 2026-04-22 -118334.090000 N N N N/A N/A 000000000 1.000000 NC 118507.610000 0.0045526 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 44020419.390000 NZD 25441381.280000 USD 2026-05-04 118507.610000 N N N FANNIEMAE WHOLE LOAN 2001-W2 N/A 313920XZ8 890.080000 PA USD 888.820000 0.0000341 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 6.589 N N N N N N N/A N/A 000000000 1.000000 NC 41428.810000 0.0015915 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4836365.000000 USD 221628844.310000 TRY 2026-04-20 41428.810000 N N N KODIAK GAS SERVICES LLC 549300ZQBRWEUOVOM131 50012LAE4 -1100000.000000 PA USD -1118322.700000 -0.0429618 Short DBT CORP US N 2 2035-10-01 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 47333.360000 0.0018184 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3808583.340000 USD 20238164.410000 BRL 2026-06-02 47333.360000 N N N N/A N/A 000000000 1.000000 NC 3604.330000 0.0001385 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 13841467.000000 MXN 771133.850000 USD 2026-06-17 3604.330000 N N N BAITEREK NATIONAL INVESTMENT HOLDING JSC 984500B4F78F04253804 ACI396GZ2 201000000.000000 PA 421931.570000 0.016209 Long DBT NUSS KZ N 3 2031-04-02 Fixed 16.95 N N N N N N N/A N/A 000000000 1.000000 NC -3996171.840000 -0.153518 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2034-09-18 501958.620000 AUD 0.000000 AUD 162045000.000000 AUD -4498130.460000 N N N GNMA PASS THRU POOLS N/A 36225CDZ6 2140.650000 PA USD 2144.210000 0.0000824 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 5.125 N N N N N N PROJECT CASHMERE N/A 990ABJRT5 39600000.000000 PA 27322027.350000 1.04961 Long ABS-MBS CORP AU N 3 2057-12-30 Floating 4.5426 N N N N N N FNMA PASS THRU POOLS N/A 3138WFUZ7 140392.520000 PA USD 133275.750000 0.00512 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 3.5 N N N N N N FREDDIE MAC 4820 N/A 3137FHJ20 210253.100000 PA USD 40956.290000 0.0015734 Long ABS-MBS USGSE US N 2 2048-02-15 Fixed 5 N N N N N N N/A N/A 000000000 -31542000.000000 NC USD -1009312.460000 -0.038774 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 2026-08-21 N/A 17.000000 USD 2026-08-19 XXXX -255206.320000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EU5 1100000.000000 PA USD 1083500.000000 0.041624 Long DBT NUSS CO N 2 2031-01-21 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC -52565.870000 -0.0020194 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16835837.850000 BRL 3197690.000000 USD 2026-04-02 -52565.870000 N N N N/A N/A 000000000 1.000000 NC 114043.530000 0.0043811 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4828184.530000 USD 25600000.000000 BRL 2026-04-02 114043.530000 N N N N/A N/A 000000000 1.000000 NC 105.430000 0.0000041 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 47994.530000 CAD 34608.110000 USD 2026-04-02 105.430000 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 28103BDH2 250000.000000 PA USD 249508.180000 0.0095852 Long DBT CORP US N 2 2026-04-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 1305.770000 0.0000502 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 4357.820000 USD 0.000000 USD 700000.000000 USD -3052.050000 N N N N/A N/A 000000000 643.000000 NC USD -2649635.180000 -0.101789 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 74758796.880000 USD -2649635.180000 N N N SPECIALTY UNDERWRITING & RESIDL 2006-BC4 N/A 84751YAD2 3584381.890000 PA USD 1209262.920000 0.0464554 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.09303 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 8808.560000 PA USD 8614.320000 0.0003309 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.63394 N N N N N N N/A N/A 000000000 1145375.000000 PA USD 1145375.000000 0.044001 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1119929.800000 USD CDS N N N GRAY MEDIA INC 529900TM5726KDN7UU35 389375AL0 -2800000.000000 PA USD -2163523.320000 -0.0831145 Short DBT CORP US N 2 2030-10-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -3490.940000 -0.0001341 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5189651.030000 CNY 749981.000000 USD 2026-04-02 -3490.940000 N N N N/A N/A 000000000 123375.000000 PA USD 123375.000000 0.0047396 Long RA US N 2 Repurchase N 3.400000 2026-05-01 140000.000000 USD 121647.550000 USD CDS N N N N/A N/A 000000000 1.000000 NC 26176.680000 0.0010056 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 46245287.660000 THB 1430000.000000 USD 2026-04-17 26176.680000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308HY6 600000.000000 PA USD 437129.320000 0.0167929 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N N/A N/A 000000000 1063750.000000 PA USD 1063750.000000 0.0408653 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1000000.000000 USD 1022819.410000 USD CDS N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UR7 100000.000000 PA USD 97546.880000 0.0037474 Long DBT UST US N 2 2056-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -117323.750000 -0.0045071 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24590424.950000 BRL 4630000.000000 USD 2026-04-02 -117323.750000 N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 164940.560000 PA USD 130854.090000 0.0050269 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.96522 N N N N N N N/A N/A 000000000 1.000000 NC -6896.250000 -0.0002649 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 16083698.400000 TRY 342936.000000 USD 2026-04-29 -6896.250000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-13 N/A 41161PWB5 548067.480000 PA USD 222960.210000 0.0085653 Long ABS-MBS CORP US N 2 2036-02-19 Floating 4.3512 N N N N N N COUNTRYWIDE HOME LOANS 2006-J1 N/A 126694XX1 298006.350000 PA USD 89593.050000 0.0034418 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 16735.200000 0.0006429 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6920000.000000 SEK 747722.400000 USD 2026-04-02 16735.200000 N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 40254.110000 PA USD 34970.380000 0.0013434 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.14715 N N N N N N N/A N/A 000000000 1.000000 NC 9380.480000 0.0003604 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 573000.000000 CHF 725988.780000 USD 2026-04-02 9380.480000 N N N PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC 213800QSH7EDGMUDJW25 69828QAD9 4800000.000000 PA USD 3758592.000000 0.144391 Long DBT CORP GB N 2 2032-04-05 None 0 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 5100000.000000 PA USD 1785000.000000 0.068573 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP) CD30XVRLT4QO00B1C706 15089QAN4 -1771000.000000 PA USD -1849818.360000 -0.0710631 Short DBT CORP US N 2 2029-07-15 Variable 7.08 N N N N N N GSAA HOME EQUITY TRUST 2007-7 N/A 36249BAE0 31411890.100000 PA USD 17222065.060000 0.661607 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.35303 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 5888.000000 PA USD 5881.600000 0.0002259 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -5094.760000 -0.0001957 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -4230.000000 USD 1200000.000000 USD -864.760000 N N N N/A N/A 000000000 1.000000 NC -561.500000 -0.0000216 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 120079.230000 USD 375000.000000 ILS 2026-06-10 -561.500000 N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CW0 -2600000.000000 PA USD -2602327.000000 -0.0999717 Short DBT CORP US N 2 2033-02-01 Fixed 6 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPS6 11274.190000 PA USD 12136.130000 0.0004662 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 7.5 N N N N N N FREMONT HOME LOAN TRUST 2006-A N/A 35729RAF3 7699197.100000 PA USD 5071160.860000 0.194815 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.29303 N N N N N N FNMA PASS THRU POOLS N/A 31405JE91 2172.770000 PA USD 2220.690000 0.0000853 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 6.325 N N N N N N N/A N/A 000000000 1.000000 NC 16043.400000 0.0006163 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 874947998.000000 KRW 597878.940000 USD 2026-04-15 16043.400000 N N N BOSTON GAS COMPANY FN7P4E7K9JOBORDEUX61 100743AM5 1900000.000000 PA USD 1782472.900000 0.0684759 Long DBT CORP US N 2 2032-03-16 Fixed 3.757 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 53276.550000 PA USD 47647.120000 0.0018304 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.22417 N N N N N N INEOS US FINANCE LLC 5493008MHJ4R367SNK31 G4768PAN1 3780682.140000 PA USD 3315185.650000 0.127357 Long LON CORP US N 2 2030-02-18 Floating 6.9177 N N N N N N N/A N/A 000000000 1.000000 NC -521.420000 -0.00002 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1923413.600000 DOP 31000.000000 USD 2026-04-15 -521.420000 N N N HARBORVIEW MORTGAGE LOAN TR 2004-8 N/A 41161PHB2 178351.630000 PA USD 163875.520000 0.0062955 Long ABS-MBS CORP US N 2 2034-11-19 Floating 4.6112 N N N N N N N/A N/A 000000000 513750.000000 PA USD 513750.000000 0.0197364 Long RA US N 2 Repurchase N 3.410000 2026-05-01 500000.000000 USD 510798.000000 USD CDS N N N RESIDENTIAL ACCREDIT LOANS 2006-QA1 N/A 761118TB4 941269.580000 PA USD 631243.620000 0.02425 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.97313 N N N N N N N/A N/A 000000000 2220000.000000 PA USD 2220000.000000 0.0852841 Long RA US N 2 Repurchase N 3.430000 2026-05-01 2400000.000000 USD 2202063.700000 USD CDS N N N N/A N/A 000000000 1.000000 NC -1256.760000 -0.0000483 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1630625000.000000 UZS 125000.000000 USD 2026-12-18 -1256.760000 N N N MSCI INC 549300HTIN2PD78UB763 55354GAQ3 500000.000000 PA USD 435810.460000 0.0167422 Long DBT CORP US N 2 2033-08-15 Fixed 3.25 N N N N N N N/A N/A 000000000 31900000.000000 NC USD 816617.670000 0.0313714 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25500 08/18/39-10Y LCH 2049-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2039-08-16 XXXX -2237807.330000 N N N N/A N/A 000000000 309375.000000 PA USD 309375.000000 0.011885 Long RA US N 2 Repurchase N 3.440000 2026-05-01 300000.000000 USD 307590.530000 USD CDS N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAK7 3000000.000000 PA USD 2971732.080000 0.114163 Long DBT CORP US N 2 2027-03-24 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC -1419.710000 -0.0000545 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 118000.000000 USD 36043.490000 KWD 2026-07-13 -1419.710000 N N N N/A N/A 000000000 1.000000 NC USD 1502195.580000 0.0577087 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.46 Y Single Leg Swap 2031-06-20 1187075.000000 USD 0.000000 USD 30300000.000000 USD 315120.580000 N N N CITICORP MORTGAGE SECURITIES 2007-8 N/A 17312DAC2 46589.680000 PA USD 47638.130000 0.0018301 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N N/A N/A 000000000 2381250.000000 PA USD 2381250.000000 0.0914787 Long RA US N 2 Repurchase N 3.420000 2026-05-01 2500000.000000 USD 2341448.000000 USD CDS N N N NTT FINANCE CORPORATION 3538007PR116187GD960 62954WAP0 1400000.000000 PA USD 1403597.050000 0.0539209 Long DBT CORP JP N 2 2027-07-16 Fixed 4.567 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2FK1C3 475000000.000000 PA 527676.350000 0.0202713 Long DBT NUSS CL N 2 2033-04-01 Fixed 6 N N N N N N N/A N/A 000000000 1131625.000000 PA USD 1131625.000000 0.0434728 Long RA US N 2 Repurchase N 3.410000 2026-05-01 1100000.000000 USD 1121584.200000 USD CDS N N N N/A N/A 000000000 1102750.000000 PA USD 1102750.000000 0.0423635 Long RA US N 2 Repurchase N 3.440000 2026-05-01 1100000.000000 USD 1096183.990000 USD CDS N N N FNMA PASS THRU POOLS N/A 31384VWA6 5806.940000 PA USD 5884.960000 0.0002261 Long ABS-MBS USGSE US N 2 2039-09-01 Floating 6.215 N N N N N N N/A N/A 000000000 1.000000 NC -1466.880000 -0.0000564 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 300000.000000 USD 9554075.000000 TWD 2026-04-13 -1466.880000 N N N N/A N/A 000000000 1.000000 NC -27198.000000 -0.0010448 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 30209727.600000 DOP 468000.000000 USD 2026-04-16 -27198.000000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH N/A 05554WAA6 3760000.000000 PA USD 3173035.800000 0.121896 Long ABS-MBS CORP US N 2 2042-04-20 Fixed 2.847 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAD2 48697.110000 PA USD 21321.560000 0.0008191 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.99303 N N N N N N FANNIE MAE REMICS 2011-144 N/A 3136A23W1 3275857.970000 PA USD 448776.490000 0.0172403 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 2.72362 N N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9 N/A 86361PAA4 259819.910000 PA USD 124125.660000 0.0047684 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.29694 N N N N N N VENTURE GLOBAL PLAQUEMINES LNG LLC 549300TKP4I6OJ02BF90 922966AA4 3400000.000000 PA USD 3739282.600000 0.143649 Long DBT CORP US N 2 2033-05-01 Fixed 7.5 N N N N N N EUROSAIL PLC 2006-1X N/A G3299JAG0 3859428.300000 PA 4440637.240000 0.170593 Long ABS-MBS CORP GB N 2 2044-06-10 Floating 2.499 N N N N N N HERC HOLDINGS INC 549300TP80QLITMSBP82 42704LAG9 -1047000.000000 PA USD -1073794.820000 -0.0412512 Short DBT CORP US N 2 2033-06-15 Fixed 7.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -36118.070000 -0.0013875 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -8550.000000 USD 3000000.000000 USD -27568.070000 N N N COUNTRYWIDE HOME LOANS 2007-10 N/A 12545CAB6 392236.860000 PA USD 152331.810000 0.005852 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.5 N N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAD5 17937.000000 PA USD 15483.390000 0.0005948 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.99907 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 260000.000000 PA 338749.700000 0.0130135 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.88087 N N N N N N N/A N/A 000000000 1.000000 NC USD 15159.480000 0.0005824 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 1400000.000000 USD 15159.480000 N N N N/A N/A 000000000 1.000000 NC -7223.880000 -0.0002775 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 15962586.640000 TRY 342251.000000 USD 2026-04-24 -7223.880000 N N N FNMA PASS THRU POOLS N/A 3140GVJU0 2848.690000 PA USD 2734.250000 0.000105 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 37790BDW8 2700000.000000 PA USD 2690977.410000 0.103377 Long DBT CORP US N 2 2026-04-30 None 0 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBC3 700000.000000 PA USD 630220.630000 0.0242107 Long DBT CORP US N 2 2030-06-15 Fixed 2.1 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 2437.010000 PA USD 2483.040000 0.0000954 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 6.12455 N N N N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QDE9 2200000.000000 PA USD 2105065.640000 0.0808687 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE4 N/A 576449AA0 49497.780000 PA USD 14120.820000 0.0005425 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.89303 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB3 N/A 12669GA50 207.340000 PA USD 204.860000 0.0000079 Long ABS-MBS CORP US N 2 2035-06-20 Floating 3.6699 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 375614.960000 PA USD 363737.450000 0.0139734 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.03303 N N N N N N FANNIE MAE-2006-56 N/A 31395NWV5 5015.900000 PA USD 5149.370000 0.0001978 Long ABS-MBS USGSE US N 2 2036-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 65497.000000 0.0025161 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4374786.020000 USD 23000000.000000 BRL 2026-04-02 65497.000000 N N N HOWARD HUGHES CORP/THE 549300BVHY25JZC1KI49 44267DAH0 -1200000.000000 PA USD -1153445.880000 -0.0443111 Short DBT CORP US N 2 2034-03-01 Fixed 6.125 N N N N N N N/A N/A 000000000 1010000.000000 PA USD 1010000.000000 0.0388004 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1000000.000000 USD 981816.600000 USD CDS N N N NESCO HOLDINGS II INC 254900FAHT0HW9T6L409 64083YAA9 -4305000.000000 PA USD -4214178.280000 -0.161893 Short DBT CORP US N 2 2029-04-15 Fixed 5.5 N N N N N N FANNIE MAE 2002-W12 N/A 31392GSN6 30426.700000 PA USD 30710.650000 0.0011798 Long ABS-MBS USGSE US N 2 2033-02-25 Variable 5.75 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 2127.520000 PA USD 2114.580000 0.0000812 Long ABS-MBS CORP US N 2 2034-04-19 Floating 5.46003 N N N N N N FNMA PASS THRU POOLS N/A 31410C6C1 780.470000 PA USD 816.240000 0.0000314 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 289875.000000 PA USD 289875.000000 0.0111359 Long RA US N 2 Repurchase N 3.420000 2026-05-01 300000.000000 USD 286074.960000 USD CDS N N N UMBS PASS THRU POOLS N/A 01F020653 -126000000.000000 PA USD -101464452.180000 -3.89788 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2 N N N N N N GATEWAY RE LTD 549300ZYFWQV9RCIN520 36779CAV8 250000.000000 PA USD 250000.000000 0.0096041 Long DBT CORP BM N 2 2029-07-06 Floating 5.54 N N N N N N N/A N/A 000000000 1.000000 NC -4.930000 -0.0000002 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 860771.000000 COP 225.570000 USD 2026-06-17 -4.930000 N N N GLOBAL SPORTS GROUP (GSG BIDCO LIMITED) 984500F49D98F3GDZ668 ACI38RGS3 2700000.000000 PA 3099355.730000 0.119066 Long DBT CORP JE N 2 2036-06-15 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 173.540000 0.0000067 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 97884.410000 THB 3145.620000 USD 2026-04-20 173.540000 N N N N/A N/A 000000000 1.000000 NC -5762.890000 -0.0002214 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 194596.100000 USD 701000.000000 PLN 2026-04-15 -5762.890000 N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBE7 1800000.000000 PA USD 1800002.360000 0.0691494 Long DBT CORP NL N 2 2027-06-01 Fixed 4.4 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 13997.620000 PA USD 13853.920000 0.0005322 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 5.2808 N N N N N N AMKOR TECHNOLOGY INC 529900VHLRTKPWZJBM84 031652BL3 -1100000.000000 PA USD -1096874.790000 -0.0421378 Short DBT CORP US N 2 2033-10-01 Fixed 5.875 N N N N N N N/A N/A 000000000 -5479940.000000 NC USD -4378.470000 -0.0001682 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 15139.960000 N N N N/A N/A 000000000 3898125.000000 PA USD 3898125.000000 0.149751 Long RA US N 2 Repurchase N 3.400000 2026-05-01 4500000.000000 USD 3671932.050000 USD CDS N N N CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP) CD30XVRLT4QO00B1C706 15089QAW4 -593000.000000 PA USD -617037.480000 -0.0237043 Short DBT CORP US N 2 2028-11-15 Variable 6.85 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7Q5 210688.650000 PA USD 194721.820000 0.0074805 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.37303 N N N N N N N/A N/A 000000000 1.000000 NC -7552.880000 -0.0002902 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1335636360.000000 COP 354600.000000 USD 2026-04-20 -7552.880000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAW5 350000.000000 PA USD 350089.410000 0.0134491 Long DBT CORP GB N 2 2028-05-09 Fixed 4.836 N N N N N N N/A N/A 000000000 7211375.000000 PA USD 7211375.000000 0.277034 Long RA US N 2 Repurchase N 3.420000 2026-05-01 7000000.000000 USD 7007748.490000 USD CDS N N N SIX FLAGS ENTERTAINMENT CORP/CANADAS WONDERLAND CO/MILLENNIUM OPERATIONS LLC N/A 83003AAA8 -1100000.000000 PA USD -1102528.170000 -0.042355 Short DBT CORP US N 2 2032-01-15 Fixed 8.625 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCJ7 4800000.000000 PA USD 4204835.950000 0.161534 Long DBT CORP JP N 2 2031-09-17 Fixed 2.222 N N N N N N N/A N/A 000000000 1.000000 NC -14837.460000 -0.00057 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 87649994.430000 THB 2652600.000000 USD 2026-05-19 -14837.460000 N N N N/A N/A 000000000 1.000000 NC USD 2925081.870000 0.112371 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-21 19923915.170000 USD 0.000000 USD 239700000.000000 USD -16998833.300000 N N N RESIDENTIAL ASSET SEC TRUST 2005-A10 N/A 45660LXM6 78946.660000 PA USD 32357.540000 0.0012431 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.5 N N N N N N N/A N/A 000000000 2782500.000000 PA USD 2782500.000000 0.106893 Long RA US N 2 Repurchase N 3.400000 2026-05-01 2800000.000000 USD 2773672.860000 USD CDS N N N GNMA PASS THRU POOLS N/A 36210B4E2 100239.260000 PA USD 101961.370000 0.003917 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151AAA8 467404.820000 PA USD 210826.960000 0.0080992 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418B2L9 69523.900000 PA USD 65213.270000 0.0025052 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 2275.340000 0.0000874 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1154588.020000 USD 183600000.000000 JPY 2026-04-02 2275.340000 N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 364664.920000 PA USD 394888.900000 0.0151702 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.61303 N N N N N N N/A N/A 000000000 1529893.750000 PA USD 1529893.750000 0.0587728 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1445000.000000 USD 1451594.980000 USD CDS N N N KKR GROUP FINANCE CO XII LLC N/A 48255GAA3 1000000.000000 PA USD 983805.140000 0.0377941 Long DBT CORP US N 2 2032-05-17 Fixed 4.85 N N N N N N N/A N/A 000000000 595125.000000 PA USD 595125.000000 0.0228625 Long RA US N 2 Repurchase N 3.410000 2026-06-12 575000.000000 USD 584779.030000 USD CDS N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HE98 99000.230000 PA USD 80542.120000 0.0030941 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.13499 N N N N N N N/A N/A 000000000 3348250.000000 PA USD 3348250.000000 0.128627 Long RA US N 2 Repurchase N 3.430000 2026-05-01 3425000.000000 USD 3277270.070000 USD CDS N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VDA8 250000.000000 PA USD 249717.880000 0.0095932 Long DBT CORP CA N 2 2026-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 765.810000 0.0000294 N/A DFE HK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4534403.170000 HKD 579632.000000 USD 2026-04-20 765.810000 N N N N/A N/A 000000000 1.000000 NC 3.220000 0.0000001 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 36042.270000 THB 1100.000000 USD 2026-05-18 3.220000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 10114.660000 PA USD 10020.890000 0.000385 Long ABS-MBS CORP US N 2 2035-06-19 Floating 4.2712 N N N N N N N/A N/A 000000000 1.000000 NC -11604.020000 -0.0004458 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1257335.000000 USD 21187226352.000000 IDR 2026-06-10 -11604.020000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 42200000.000000 PA 11521658.670000 0.442619 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z30 57280.660000 PA USD 55796.750000 0.0021435 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.61568 N N N N N N N/A N/A 000000000 195750.000000 PA USD 195750.000000 0.00752 Long RA US N 2 Repurchase N 3.430000 2026-05-01 200000.000000 USD 192420.040000 USD CDS N N N NEW CENTURY HOME EQUITY LOAN TRUST 2003-2 N/A 64352VCS8 211646.640000 PA USD 178906.200000 0.0068729 Long ABS-MBS CORP US N 2 2033-01-25 Floating 6.79303 N N N N N N CVC CORDATUS LOAN FUND XII DAC 12A N/A ACI378M42 1500000.000000 PA 1731456.750000 0.0665161 Long ABS-CBDO CORP IE N 2 2039-01-23 Floating 3.285 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAK9 1900000.000000 PA USD 1998602.970000 0.0767788 Long DBT CORP US N 2 2030-11-21 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC -8251.760000 -0.000317 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2342591.120000 BRL 443999.000000 USD 2026-04-02 -8251.760000 N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 62809.150000 PA USD 61107.370000 0.0023475 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.43303 N N N N N N N/A N/A 000000000 1113750.000000 PA USD 1113750.000000 0.0427861 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1100000.000000 USD 1089463.650000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD -13722.950000 -0.0005272 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 7300000.000000 USD -13722.950000 N N N FREDDIE MAC 2411 N/A 31339D4L9 8033.040000 PA USD 8015.260000 0.0003079 Long ABS-MBS USGSE US N 2 2029-12-15 Floating 4.13671 N N N N N N UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC N/A 91327BAA8 -1200000.000000 PA USD -1166524.250000 -0.0448135 Short DBT CORP US N 2 2029-02-15 Fixed 6.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 25100000.000000 PA USD 22012890.260000 0.845653 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAN4 223121.420000 PA USD 208008.790000 0.0079909 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N TRINITAS CLO VI LTD 2017-6A N/A 89640YBQ6 2200000.000000 PA USD 2201683.240000 0.0845804 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 4.77802 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 23302.040000 PA USD 23368.530000 0.0008977 Long ABS-MBS CORP US N 2 2033-06-25 Floating 5.71831 N N N N N N N/A N/A 000000000 1.000000 NC 44513.010000 0.00171 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4364000.000000 PLN 1220073.800000 USD 2026-04-15 44513.010000 N N N N/A N/A 000000000 -1600000.000000 NC USD -1428.160000 -0.0000549 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 3731.840000 N N N N/A N/A 000000000 1.000000 NC USD -111548.080000 -0.0042853 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 22200000.000000 USD -111548.080000 N N N FNMA PASS THRU POOLS N/A 3138WHDW9 48278.730000 PA USD 45190.400000 0.001736 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 11629.380000 0.0004468 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 440000.000000 USD 11629.380000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401ABC4 800000.000000 PA USD 779496.750000 0.0299453 Long DBT CORP KY N 2 2032-10-15 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC -985.690000 -0.0000379 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 79000.000000 USD 24121.070000 KWD 2026-07-07 -985.690000 N N N N/A N/A 000000000 1.000000 NC -3507.270000 -0.0001347 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1480000.000000 USD 25060806404.000000 IDR 2026-04-17 -3507.270000 N N N N/A N/A 000000000 1.000000 NC -15059.950000 -0.0005785 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9200000.000000 BRL 1725172.520000 USD 2026-07-02 -15059.950000 N N N N/A N/A 000000000 -120.000000 NC 1169528.370000 0.0449289 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-06-15 -98529977.000000 JPY 1169528.370000 N N N FNMA PASS THRU POOLS N/A 31410GGD9 1929.620000 PA USD 2046.540000 0.0000786 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.5 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 ACI1W3KV1 1400000.000000 PA 1577199.400000 0.0605901 Long DBT CORP US N 2 2027-03-15 Fixed 0.25 N N N N N N MINERAL RESOURCES LIMITED 5299007V1ACKFFX2P066 603051AF0 -1000000.000000 PA USD -1022819.410000 -0.0392929 Short DBT CORP AU N 2 2031-04-01 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC 122746.710000 0.0047155 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 12368377.390000 PEN 3657660.030000 USD 2026-07-20 122746.710000 N N N N/A N/A 000000000 1.000000 NC -668.430000 -0.0000257 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 222524.000000 USD 7309023.300000 THB 2026-04-16 -668.430000 N N N MURPHY OIL USA INC N32S6DTR2ZZ5222WHV58 626738AE8 -1100000.000000 PA USD -1085667.550000 -0.0417073 Short DBT CORP US N 2 2029-09-15 Fixed 4.75 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2XSL83 4100000.000000 PA 1203031.120000 0.046216 Long DBT NUSS PE N 2 2035-08-12 Fixed 6.85 N N N N N N AMETEK INC 549300WZDEF9KKE40E98 03111CD67 250000.000000 PA USD 249834.050000 0.0095977 Long DBT CORP US N 2 2026-04-06 None 0 N N N N N N N/A N/A 000000000 -2300000.000000 NC -352.780000 -0.0000136 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 4411.330000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AA1 2722560.990000 PA USD 1369019.650000 0.0525926 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.85303 N N N N N N N/A N/A 000000000 1.000000 NC -70128.880000 -0.0026941 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1978268.990000 USD 34411000.000000 MXN 2026-06-17 -70128.880000 N N N N/A N/A 000000000 1010000.000000 PA USD 1010000.000000 0.0388004 Long RA US N 2 Repurchase N 3.410000 2026-05-01 1000000.000000 USD 981816.600000 USD CDS N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TBC9 2000000.000000 PA USD 1985286.640000 0.0762673 Long DBT CORP US N 2 2035-04-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 32497.550000 0.0012484 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7694416.350000 PEN 2225299.000000 USD 2026-09-16 32497.550000 N N N N/A N/A 000000000 1.000000 NC -216.060000 -0.0000083 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2516112.600000 DOP 41000.000000 USD 2026-06-18 -216.060000 N N N TORREY PINES RE LTD N/A 89141WAH5 600000.000000 PA USD 620370.000000 0.0238323 Long DBT CORP BM N 2 2032-06-07 Floating 9.586 N N N N N N MORGAN STANLEY ABS CAPITAL-2006-HE6 N/A 61750FAE0 8783749.620000 PA USD 3014798.070000 0.115817 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.09303 N N N N N N BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A N/A 08186UAU6 1000000.000000 PA USD 1000259.590000 0.0384262 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 4.81763 N N N N N N N/A N/A 000000000 186245.000000 PA USD 186245.000000 0.0071548 Long RA US N 2 Repurchase N 3.380000 2026-05-01 193000.000000 USD 185004.140000 USD CDS N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAD2 2328872.500000 PA USD 1300241.660000 0.0499504 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.11303 N N N N N N ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV N/A 68622TAB7 -5375000.000000 PA USD -4385918.840000 -0.168491 Short DBT CORP US N 2 2031-04-30 Fixed 5.125 N N N N N N THAMES WATER SUPER SENIOR ISSUER PLC 635400LBEYCV7F4FC741 ACI3915T9 64369.000000 PA 93808.610000 0.0036038 Long DBT CORP GB N 2 2027-10-10 Fixed 9.75 N N N N N N CSMC TRUST 2017 N/A 12652FAA0 1200000.000000 PA USD 1016973.000000 0.0390683 Long ABS-MBS CORP US N 2 2032-11-10 Fixed 3.43134 N N N N N N N/A N/A 000000000 456125.000000 PA USD 456125.000000 0.0175226 Long RA US N 2 Repurchase N 3.440000 2026-05-01 445000.000000 USD 450251.000000 USD CDS N N N N/A N/A 000000000 100227.500000 PA USD 100227.500000 0.0038504 Long RA US N 2 Repurchase N 3.420000 2026-05-01 94000.000000 USD 97810.330000 USD CDS N N N N/A N/A 000000000 1.000000 NC -60053.560000 -0.002307 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 27400000.000000 BRL 5011156.220000 USD 2026-10-02 -60053.560000 N N N N/A N/A 000000000 1051250.000000 PA USD 1051250.000000 0.0403851 Long RA US N 2 Repurchase N 3.420000 2026-05-01 1000000.000000 USD 1028724.850000 USD CDS N N N N/A N/A 000000000 1130250.000000 PA USD 1130250.000000 0.04342 Long RA US N 2 Repurchase N 3.430000 2026-05-01 1100000.000000 USD 1102528.170000 USD CDS N N N BEIGNET INVESTOR LLC N/A 076912AA2 26500000.000000 PA USD 27266656.930000 1.04748 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N N/A N/A 000000000 1078593.750000 PA USD 1078593.750000 0.0414355 Long RA US N 2 Repurchase N 3.400000 2026-05-01 1125000.000000 USD 1055006.100000 USD CDS N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer