NPORT-P false 0000810893 XXXXXXXX S000022556 C000074976 C000065241 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Global Advantage Strategy Bond Fund S000022556 YPZSSUF52R5JGG5DTZ31 2026-03-31 2026-03-31 N 365563071.410000 178791682.660000 186771388.750000 0.000000 0.000000 16952665.750000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4244956.031740 0.000000 0.000000 2733475.590000 KRW RON DKK CHF BRL CZK INR EUR GBP NGN SEK PLN NOK CNY EGP JPY IDR USD COP TRY CLP NZD SGD PHP AUD MYR THB ZAR PEN CAD N Bloomberg Global Aggregate Total Return Unhedged USD Index LEGATRUU N/A N/A 000000000 1.000000 NC USD 1259.240000 0.0006742 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 0.000000 USD 0.000000 USD 100000.000000 USD 1259.240000 N N N N/A N/A 000000000 1.000000 NC 83.150000 0.0000445 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 708435.000000 JPY 4547.000000 USD 2026-04-02 83.150000 N N N N/A N/A 000000000 1.000000 NC -544.230000 -0.0002914 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 98348.000000 USD 2076434.110000 CZK 2026-04-15 -544.230000 N N N N/A N/A 000000000 1.000000 NC -485.010000 -0.0002597 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 494562.900000 SEK 51844.510000 USD 2026-05-04 -485.010000 N N N N/A N/A 000000000 1.000000 NC 36148.570000 0.0193544 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 6277659.400000 USD 9151107.000000 AUD 2026-04-02 36148.570000 N N N N/A N/A 000000000 1.000000 NC 35430.630000 0.0189701 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5798588.440000 USD 30219343.660000 BRL 2026-04-02 35430.630000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BKLH46II9 46932.610000 PA 5360.170000 0.0028699 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N FNMA PASS THRU POOLS N/A 3138EHBB7 11790.900000 PA USD 11922.950000 0.0063837 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 3619.880000 0.0019381 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-15 0.000000 CHF 0.000000 CHF 1100000.000000 CHF 3619.880000 N N N N/A N/A 000000000 1.000000 NC -22.020000 -0.0000118 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 791365.180000 TRY 17043.530000 USD 2026-05-06 -22.020000 N N N N/A N/A 000000000 1.000000 NC -1319.710000 -0.0007066 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 202000.000000 EUR 232517.760000 USD 2026-05-04 -1319.710000 N N N N/A N/A 000000000 1.000000 NC 730.500000 0.0003911 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1814261.230000 INR 19890.380000 USD 2026-04-07 730.500000 N N N N/A N/A 000000000 1.000000 NC -558.330000 -0.0002989 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 179138.830000 USD 1230000.000000 CNY 2026-04-02 -558.330000 N N N KUWAIT GOVT 549300FSC1YD0D9XX589 501499AE7 200000.000000 PA USD 195930.430000 0.104904 Long DBT NUSS KW N 2 2030-10-09 Fixed 4.136 N N N N N N N/A N/A 000000000 1.000000 NC 34.310000 0.0000184 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 29874.290000 USD 206000.000000 CNY 2026-04-02 34.310000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A N/A ACI2S2BG9 215835.650000 PA 249734.710000 0.133711 Long ABS-CBDO CORP IE N 2 2033-05-15 Floating 2.954 N N N N N N N/A N/A 000000000 1.000000 NC 7717.110000 0.0041318 N/A DFE KZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 82000.000000 USD 44394800.000000 KZT 2026-07-07 7717.110000 N N N N/A N/A 000000000 1.000000 NC -49522.090000 -0.0265148 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 27000000.000000 BRL -49522.090000 N N N N/A N/A 000000000 1.000000 NC 16.050000 0.0000086 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 732444.240000 RON 165977.970000 EUR 2026-04-14 16.050000 N N N N/A N/A 000000000 1.000000 NC 346.190000 0.0001854 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 251000.000000 EUR 290464.600000 USD 2026-04-02 346.190000 N N N N/A N/A 000000000 1.000000 NC USD 964.990000 0.0005167 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-09-17 75306.860000 USD 0.000000 USD 12300000.000000 USD -74341.870000 N N N N/A N/A 000000000 1.000000 NC 2091.740000 0.0011199 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 77617.070000 USD 1429458.000000 MXN 2026-04-13 2091.740000 N N N N/A N/A 000000000 1.000000 NC 18843.710000 0.0100892 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2053-06-21 14499.910000 CAD 0.000000 CAD 500000.000000 CAD 4343.800000 N N N N/A N/A 000000000 1.000000 NC -444.500000 -0.000238 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 157697.940000 BRL 30000.000000 USD 2026-04-02 -444.500000 N N N N/A N/A 000000000 1.000000 NC 16.050000 0.0000086 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 732444.240000 RON 165977.970000 EUR 2026-04-14 16.050000 N N N FNMA PASS THRU POOLS N/A 31412NMF0 14698.600000 PA USD 15183.720000 0.0081296 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 7290.790000 0.0039036 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -830000000.000000 JPY 5646258.500000 USD 2031-09-16 960.260000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Q1VT3 551700000.000000 PA 133094.910000 0.0712609 Long DBT NUSS CO N 2 2046-07-25 Fixed 11.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 320785.370000 PA USD 324000.950000 0.173475 Long ABS-O CORP US N 2 2055-02-16 Floating 5.12223 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF10 N/A 32027NMJ7 6032.280000 PA USD 6022.050000 0.0032243 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 58.750000 0.0000315 N/A DFE RO N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 176047.480000 EUR 777214.410000 RON 2026-04-14 58.750000 N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822CB8 1100000.000000 PA USD 973148.610000 0.521037 Long DBT CORP JP N 2 2032-10-13 Floating 2.494 N N N N N N N/A N/A 000000000 1.000000 NC -5161.520000 -0.0027635 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1835396.870000 USD 58573754.000000 TWD 2026-04-13 -5161.520000 N N N N/A N/A 000000000 1.000000 NC 861.760000 0.0004614 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 31064.080000 USD 572542.000000 MXN 2026-04-13 861.760000 N N N N/A N/A 000000000 1.000000 NC 105.620000 0.0000566 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 44940707.000000 KRW 30000.000000 USD 2026-04-27 105.620000 N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI2X44W2 950000.000000 PA 1063506.230000 0.569416 Long DBT NUSS N/A N 2 2045-10-12 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 7089.110000 0.0037956 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 37605609.930000 INR 404231.000000 USD 2026-04-07 7089.110000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133 N/A 38380HCH3 2538.470000 PA USD 2428.310000 0.0013002 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAC3 353228.050000 PA USD 197641.160000 0.10582 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC -227.160000 -0.0001216 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 104773.660000 BRL 20000.000000 USD 2026-04-02 -227.160000 N N N N/A N/A 000000000 480000.000000 NC 37.730000 0.0000202 N/A DFE US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Put Purchased MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2026-06-04 N/A 23.900000 EUR 2026-06-02 XXXX -1909.690000 N N N N/A N/A 000000000 1.000000 NC -116.610000 -0.0000624 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 126907.000000 EUR 146651.810000 RON 2026-04-14 -116.610000 N N N N/A N/A 000000000 1.000000 NC -36086.770000 -0.0193214 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 837188.000000 USD 75856767.490000 INR 2026-04-07 -36086.770000 N N N FNMA PASS THRU POOLS N/A 31402ETG3 940.580000 PA USD 950.710000 0.000509 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -8407.100000 -0.0045013 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 302856.880000 EUR 1299074.310000 RON 2026-04-08 -8407.100000 N N N N/A N/A 000000000 1.000000 NC 154.150000 0.0000825 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 95109.470000 USD 4408323.930000 TRY 2026-05-04 154.150000 N N N N/A N/A 000000000 1.000000 NC -33028.340000 -0.0176838 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 824079.000000 USD 74905072.740000 INR 2026-04-07 -33028.340000 N N N N/A N/A 000000000 1.000000 NC -1237.890000 -0.0006628 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4670508.410000 TRY 100216.900000 USD 2026-04-30 -1237.890000 N N N N/A N/A 000000000 1.000000 NC 21504.400000 0.0115138 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6361828.450000 CAD 4601368.040000 USD 2026-05-04 21504.400000 N N N N/A N/A 000000000 363966.000000 NC USD 1084.980000 0.0005809 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 -2606.510000 N N N N/A N/A 000000000 1.000000 NC USD 37679.260000 0.020174 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-03-04 0.000000 USD 0.000000 USD 600000.000000 USD 37679.260000 N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 436187.790000 PA USD 258796.890000 0.138564 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.27303 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRL3 200000.000000 PA USD 202835.220000 0.108601 Long DBT NUSS IL N 2 2034-03-12 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2660.500000 -0.0014245 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 91861.040000 USD 314219.870000 PEN 2026-11-30 -2660.500000 N N N N/A N/A 000000000 1.000000 NC 48.580000 0.000026 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1499000.000000 ZAR 88516.480000 USD 2026-04-20 48.580000 N N N N/A N/A 000000000 1.000000 NC 4901.070000 0.0026241 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 254000.000000 EUR 298487.030000 USD 2026-04-02 4901.070000 N N N N/A N/A 000000000 1.000000 NC -279.490000 -0.0001496 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2314087.300000 THB 70000.000000 USD 2026-04-23 -279.490000 N N N N/A N/A 000000000 1.000000 NC 490.670000 0.0002627 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 48892800.000000 KRW 33000.000000 USD 2026-04-10 490.670000 N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 28621BDD4 150000.000000 PA USD 149781.950000 0.0801953 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 9377.310000 0.0050207 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 253837.000000 EUR 302856.880000 RON 2026-04-08 9377.310000 N N N N/A N/A 000000000 1.000000 NC USD -1409.900000 -0.0007549 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1409.900000 N N N KOMMUNALBANKEN AS I7ETN0QQO2AHZZGHJ389 ACI22XFG5 400000.000000 PA 269475.220000 0.144281 Long DBT CORP NO N 2 2027-01-19 Fixed 1.9 N N N N N N N/A N/A 000000000 1.000000 NC 236.820000 0.0001268 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2297626.310000 THB 70000.000000 USD 2026-04-20 236.820000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAQ2 611386.900000 PA USD 164346.970000 0.0879937 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.09303 N N N N N N FNMA PASS THRU POOLS N/A 31407EBF9 5185.790000 PA USD 5308.760000 0.0028424 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2000.240000 -0.001071 N/A DFE RO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 91272.970000 USD 394034.540000 RON 2026-04-16 -2000.240000 N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 125994.640000 PA 145812.070000 0.0780698 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 2.666 N N N N N N N/A N/A 000000000 1.000000 NC 11153.190000 0.0059716 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1152660.360000 PEN 340781.800000 USD 2026-07-08 11153.190000 N N N N/A N/A 000000000 1.000000 NC 1929.320000 0.001033 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 136000.000000 CAD 99698.070000 USD 2026-04-02 1929.320000 N N N N/A N/A 000000000 1.000000 NC -57455.990000 -0.0307627 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 31810060.930000 EUR 36766227.470000 USD 2026-05-04 -57455.990000 N N N N/A N/A 000000000 1.000000 NC 378.780000 0.0002028 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 44275.720000 USD 307499.300000 CNY 2026-05-13 378.780000 N N N N/A N/A 000000000 1.000000 NC -1415.880000 -0.0007581 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 318792.970000 USD 460000.000000 AUD 2026-04-02 -1415.880000 N N N N/A N/A 000000000 1.000000 NC USD -9132.840000 -0.0048898 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -1244000.000000 GBP 1655000.000000 USD 2045-10-15 -3269.400000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DR3 300000.000000 PA USD 320029.870000 0.171348 Long DBT CORP US N 2 2031-05-01 Fixed 6.388 N N N N N N FHLMC PASS THRU POOLS N/A 3133CUTH9 848186.420000 PA USD 877830.700000 0.470003 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -156.980000 -0.000084 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 606855.600000 BRL 117000.000000 USD 2026-04-02 -156.980000 N N N N/A N/A 000000000 1.000000 NC -1036.780000 -0.0005551 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 17340.560000 USD 536959.230000 THB 2026-04-20 -1036.780000 N N N N/A N/A 000000000 1.000000 NC 454.880000 0.0002435 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 654733.950000 RON 148699.250000 USD 2026-04-27 454.880000 N N N N/A N/A 000000000 1.000000 NC 1711.960000 0.0009166 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 783803.000000 USD 73819350.340000 INR 2026-04-24 1711.960000 N N N FNMA PASS THRU POOLS N/A 31416XHQ6 709.910000 PA USD 708.310000 0.0003792 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 4850000.000000 PA USD 4676298.950000 2.50376 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4.5 N N N N N N FANNIE MAE 2006-48 N/A 31395NLE5 12272.810000 PA USD 12184.040000 0.0065235 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 4.17638 N N N N N N N/A N/A 000000000 1.000000 NC USD 93797.730000 0.0502206 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-03-19 78106.950000 USD 0.000000 USD 620000.000000 USD 15690.780000 N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2005-6 N/A 92922FX86 35359.970000 PA USD 32717.770000 0.0175175 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -615.990000 -0.0003298 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 123613.000000 USD 2087456130.000000 IDR 2026-04-13 -615.990000 N N N N/A N/A 000000000 1.000000 NC -209.170000 -0.000112 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 89000.000000 EUR 102661.500000 USD 2026-04-02 -209.170000 N N N N/A N/A 000000000 1.000000 NC 37127.030000 0.0198783 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 181356638.520000 INR 1935141.660000 USD 2026-08-18 37127.030000 N N N N/A N/A 000000000 1.000000 NC -47.910000 -0.0000257 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 10246.760000 USD 32000.000000 ILS 2026-06-10 -47.910000 N N N N/A N/A 000000000 1.000000 NC 7214.480000 0.0038627 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 651841.280000 PEN 193172.500000 USD 2026-08-26 7214.480000 N N N N/A N/A 000000000 1.000000 NC -17116.860000 -0.0091646 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-01 0.000000 CAD -2009.070000 CAD 2000000.000000 CAD -15107.790000 N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 32651.150000 PA USD 32329.760000 0.0173098 Long ABS-MBS CORP US N 2 2044-10-25 Floating 4.57303 N N N N N N N/A N/A 000000000 1.000000 NC 2095.990000 0.0011222 N/A DFE CZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1541046.820000 CZK 74763.110000 EUR 2026-08-10 2095.990000 N N N ICG EURO CLO 2023-2 DAC 23-2A N/A ACI38GWX8 500000.000000 PA 577805.710000 0.309365 Long ABS-CBDO CORP IE N 2 2038-01-26 Floating 3.32 N N N N N N GNMA PASS THRU POOLS N/A 3618N5C23 699930.770000 PA USD 642639.360000 0.344078 Long ABS-MBS USGSE US N 2 2054-12-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 112634.900000 0.0603063 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2054-12-18 114589.160000 JPY 0.000000 JPY 60000000.000000 JPY -1954.260000 N N N N/A N/A 000000000 93000.000000 NC USD 141.550000 0.0000758 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 18.790000 N N N N/A N/A 000000000 1.000000 NC 204.010000 0.0001092 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 102823.390000 USD 89000.000000 EUR 2026-05-04 204.010000 N N N N/A N/A 000000000 1.000000 NC USD 309707.260000 0.165822 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.45 Y Single Leg Swap 2030-12-20 377967.660000 USD 0.000000 USD 17153000.000000 USD -68260.400000 N N N N/A N/A 000000000 1.000000 NC -525.220000 -0.0002812 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1224934.200000 TRY 26118.000000 USD 2026-04-29 -525.220000 N N N FNMA PASS THRU POOLS N/A 31371MT80 45.670000 PA USD 46.560000 0.0000249 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 15181.680000 0.0081285 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2692078.000000 USD 429655648.000000 JPY 2026-04-02 15181.680000 N N N FNMA PASS THRU POOLS N/A 3138MCPH1 15572.410000 PA USD 14256.230000 0.007633 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 82.830000 0.0000443 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 852786.110000 RON 193312.580000 EUR 2026-04-14 82.830000 N N N N/A N/A 000000000 1.000000 NC -11089.790000 -0.0059376 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2036-03-18 0.000000 JPY -8133.310000 JPY 30000000.000000 JPY -2956.480000 N N N N/A N/A 000000000 1.000000 NC 83299.270000 0.0445996 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-09-17 86031.650000 JPY 0.000000 JPY 90000000.000000 JPY -2732.380000 N N N N/A N/A 000000000 1.000000 NC -15992.290000 -0.0085625 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 5897.460000 AUD 0.000000 AUD 600000.000000 AUD -21889.750000 N N N N/A N/A 000000000 1.000000 NC -6269.310000 -0.0033567 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 132411928.000000 JPY 830550.000000 USD 2026-05-07 -6269.310000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 857524AH5 200000.000000 PA USD 204102.250000 0.109279 Long DBT NUSS PL N 2 2035-02-12 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -22712.530000 -0.0121606 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2055-09-19 76672.630000 EUR 0.000000 EUR 5400000.000000 EUR -99385.160000 N N N FNMA PASS THRU POOLS N/A 31371NAA3 647.220000 PA USD 659.850000 0.0003533 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2562.760000 0.0013721 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 83785.000000 USD 322459140.250000 COP 2026-06-17 2562.760000 N N N N/A N/A 000000000 1.000000 NC 345.280000 0.0001849 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1551405.010000 THB 47450.830000 USD 2026-04-20 345.280000 N N N N/A N/A 000000000 1.000000 NC -7.160000 -0.0000038 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3599.240000 USD 24683.590000 CNY 2026-06-15 -7.160000 N N N N/A N/A 000000000 1.000000 NC -1086.880000 -0.0005819 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2399442.160000 TRY 52214.000000 USD 2026-04-13 -1086.880000 N N N N/A N/A 000000000 1.000000 NC 120071.510000 0.064288 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 123727.450000 EUR 0.000000 EUR 600000.000000 EUR -3655.940000 N N N N/A N/A 000000000 1.000000 NC -5765.790000 -0.0030871 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 228488.480000 USD 826817.550000 PLN 2026-04-22 -5765.790000 N N N N/A N/A 000000000 1.000000 NC -8366.070000 -0.0044793 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1929915.180000 USD 183605375.520000 INR 2026-08-18 -8366.070000 N N N N/A N/A 000000000 -691500.000000 NC USD -552.510000 -0.0002958 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-13 N/A 1350.000000 USD 2026-07-09 XXXX 1591.140000 N N N N/A N/A 000000000 1.000000 NC 10775.860000 0.0057695 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 48664945.690000 INR 527300.000000 USD 2026-04-10 10775.860000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 29000.000000 PA USD 20564.020000 0.0110103 Long DBT NUSS AR N 2 2035-07-09 Variable 4.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 38000.000000 PA USD 37884.220000 0.0202837 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 112801.130000 PA USD 100886.340000 0.054016 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 17206.510000 0.0092126 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2031-09-16 2394.390000 THB 0.000000 THB 20320000.000000 THB 14812.120000 N N N COSTA RICA GOVT 549300S1EK2VN6XVJP58 ACI3721X4 500000.000000 PA 591604.600000 0.316753 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 1048.380000 0.0005613 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 824433.130000 USD 5669214.420000 CNY 2026-06-24 1048.380000 N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L3F0 200000.000000 PA USD 199297.610000 0.106707 Long DBT CORP SA N 2 2055-06-02 Fixed 6.375 N N N N N N FNMA PASS THRU POOLS N/A 31409VYE7 261.370000 PA USD 269.750000 0.0001444 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAN7 700000.000000 PA USD 721358.450000 0.386225 Long DBT CORP FR N 2 2036-01-09 Floating 5.862 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 783517.000000 PA USD 739506.680000 0.395942 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A 36263KAB7 143957.330000 PA USD 120040.370000 0.0642713 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N EMF-NL BV 2008-APRX N/A B39M0PII2 17441.880000 PA 20117.700000 0.0107713 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 280.050000 0.0001499 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 140000.000000 PLN 37992.820000 USD 2026-04-15 280.050000 N N N FNMA PASS THRU POOLS N/A 31410LC91 3475.040000 PA USD 3573.230000 0.0019132 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -8639.530000 -0.0046257 N/A DFE IN N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 243000.000000 USD 22191736.860000 INR 2026-04-07 -8639.530000 N N N N/A N/A 000000000 1.000000 NC 2645.620000 0.0014165 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 99709.230000 USD 4578249.000000 TRY 2026-04-08 2645.620000 N N N MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1 N/A 59021AAD0 503884.750000 PA USD 230253.610000 0.123281 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.31303 N N N N N N N/A N/A 000000000 1.000000 NC -97.800000 -0.0000524 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 636938.000000 TWD 2026-04-13 -97.800000 N N N N/A N/A 000000000 1.000000 NC -6635.320000 -0.0035526 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 244252.000000 USD 882108.770000 PLN 2026-04-22 -6635.320000 N N N N/A N/A 000000000 1.000000 NC USD -11709.630000 -0.0062695 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 0.000000 USD -3946.780000 USD 4009000.000000 USD -7762.850000 N N N N/A N/A 000000000 1.000000 NC -284.100000 -0.0001521 N/A DIR NO N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2031-09-16 0.000000 NOK -24.530000 NOK 900000.000000 NOK -259.570000 N N N N/A N/A 000000000 1.000000 NC -355428.620000 -0.190301 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2032-03-19 0.000000 JPY -316695.310000 JPY 1202200000.000000 JPY -38733.310000 N N N BULGARIAN GOVT 529900PG0XCL4LICL838 ACI2YSM32 200000.000000 PA 221312.950000 0.118494 Long DBT NUSS BG N 2 2035-07-18 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 70047.220000 0.0375043 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 32805.370000 EUR 0.000000 EUR 2780000.000000 EUR 37241.850000 N N N N/A N/A 000000000 1.000000 NC -5050.710000 -0.0027042 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 423509.000000 USD 39324928.200000 INR 2026-04-24 -5050.710000 N N N N/A N/A 000000000 1.000000 NC USD 22814.370000 0.0122151 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-12-17 56550.190000 USD 0.000000 USD 3700000.000000 USD -33735.820000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI30Y3M3 20000000.000000 PA 115830.000000 0.062017 Long DBT NUSS JP N 2 2055-09-20 Fixed 3.2 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 300000.000000 PA 340061.380000 0.182074 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PFJ0 500000.000000 PA USD 489442.810000 0.262055 Long DBT CORP US N 2 2037-01-22 Floating 4.898 N N N N N N MORGAN STANLEY MTGE LN TR 2006-2 N/A 61748HVH1 10228.120000 PA USD 9702.320000 0.0051948 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.69303 N N N N N N N/A N/A 000000000 1.000000 NC 5652.510000 0.0030264 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 45099102.980000 INR 481931.000000 USD 2026-04-07 5652.510000 N N N FHLMC PASS THRU POOLS N/A 3132DWMU4 1874534.900000 PA USD 1939281.620000 1.03832 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6.5 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AV3 4878.130000 PA USD 5061.430000 0.00271 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.51287 N N N N N N N/A N/A 000000000 1.000000 NC -5277.900000 -0.0028259 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 121526898.000000 JPY 762750.000000 USD 2026-05-07 -5277.900000 N N N N/A N/A 000000000 1.000000 NC 602.200000 0.0003224 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 63698.000000 USD 21402369.000000 HUF 2026-04-15 602.200000 N N N N/A N/A 000000000 1.000000 NC -28.740000 -0.0000154 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 14258.780000 BRL 2724.000000 USD 2026-04-02 -28.740000 N N N N/A N/A 000000000 1.000000 NC 28607.930000 0.0153171 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 72716800.000000 TWD 2300000.000000 USD 2026-04-16 28607.930000 N N N N/A N/A 000000000 1.000000 NC -4641.620000 -0.0024852 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 159873.310000 USD 576262.070000 PLN 2026-04-15 -4641.620000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1 N/A 251510MM2 135827.040000 PA USD 124218.770000 0.0665085 Long ABS-MBS CORP US N 2 2036-02-25 Variable 6.445 N N N N N N N/A N/A 000000000 1.000000 NC 1113.530000 0.0005962 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 217881.580000 USD 10042162.020000 TRY 2026-04-27 1113.530000 N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 300000.000000 PA USD 288851.190000 0.154655 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 34178.350000 0.0182996 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 70313079.000000 TWD 2229500.000000 USD 2026-04-20 34178.350000 N N N CHINA GOVT 300300CHN201808MOF68 60367QAE3 200000.000000 PA USD 200061.710000 0.107116 Long DBT NUSS CN N 2 2028-11-13 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC -4.810000 -0.0000026 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 49079.000000 USD 834647290.000000 IDR 2026-06-10 -4.810000 N N N N/A N/A 000000000 1.000000 NC USD 24604.590000 0.0131736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 6626.090000 USD 0.000000 USD 2605000.000000 USD 17978.500000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 100000.000000 PA USD 104629.370000 0.05602 Long DBT CORP US N 2 2029-10-24 Floating 6.484 N N N N N N N/A N/A 000000000 1.000000 NC 1056.680000 0.0005658 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 37700.650000 USD 12900408.000000 HUF 2026-04-15 1056.680000 N N N N/A N/A 000000000 1.000000 NC 135.760000 0.0000727 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1464425.900000 RON 331954.780000 EUR 2026-04-14 135.760000 N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI1G4C46 300000.000000 PA 339351.850000 0.181694 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC 171.130000 0.0000916 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 26118.000000 USD 1208654.850000 TRY 2026-04-29 171.130000 N N N N/A N/A 000000000 1.000000 NC 93454.520000 0.0500369 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 194823870.000000 TWD 6179000.000000 USD 2026-04-16 93454.520000 N N N N/A N/A 000000000 1.000000 NC 27.080000 0.0000145 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 59064.000000 EUR 68334.820000 RON 2026-04-14 27.080000 N N N N/A N/A 000000000 -93000.000000 NC USD -37.570000 -0.0000201 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 4.280000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB N/A 02148JAU1 202155.120000 PA USD 164528.010000 0.0880906 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -36203.480000 -0.0193838 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 9151107.000000 AUD 6275234.360000 USD 2026-05-04 -36203.480000 N N N FNMA PASS THRU POOLS N/A 31414SX81 1382.150000 PA USD 1421.210000 0.0007609 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -128.650000 -0.0000689 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 538000.000000 CNY 77982.170000 USD 2026-04-02 -128.650000 N N N N/A N/A 000000000 1.000000 NC -1426.670000 -0.0007639 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4216099.840000 TRY 93444.000000 USD 2026-04-02 -1426.670000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 98000.000000 PA USD 94710.220000 0.0507092 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 4000000.000000 PA 1259484.470000 0.674346 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 1.000000 NC USD -71861.100000 -0.0384754 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 0.000000 USD -86464.180000 USD 3940000.000000 USD 14603.080000 N N N N/A N/A 000000000 1.000000 NC -180.000000 -0.0000964 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1207487.380000 TRY 26118.000000 USD 2026-04-28 -180.000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AF5 500000.000000 PA USD 494378.590000 0.264697 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 -500000.000000 PA USD -438503.790000 -0.234781 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 3 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2NSRJ4 3810000.000000 PA 4359134.920000 2.33394 Long DBT NUSS FR N 2 2030-02-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -25.250000 -0.0000135 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15191.000000 USD 22802948.000000 KRW 2026-04-20 -25.250000 N N N N/A N/A 000000000 1.000000 NC USD 1173.040000 0.0006281 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -986000000.000000 JPY 6361290.320000 USD 2027-12-16 -2928.370000 N N N N/A N/A 000000000 1.000000 NC -21625.420000 -0.0115786 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4601368.040000 USD 6370594.050000 CAD 2026-04-02 -21625.420000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 32921.200000 PA USD 35607.190000 0.0190646 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.23303 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AE2 168031.970000 PA USD 80174.790000 0.0429267 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 -4832.130000 -0.0025872 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 135000.000000 USD 12325675.500000 INR 2026-04-07 -4832.130000 N N N N/A N/A 000000000 1.000000 NC 20012.030000 0.0107147 N/A DCR N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 22646.610000 EUR 0.000000 EUR 100000.000000 EUR -2634.580000 N N N N/A N/A 000000000 1.000000 NC -1553.470000 -0.0008317 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 346838.290000 RON 298728.000000 EUR 2026-04-02 -1553.470000 N N N N/A N/A 000000000 1.000000 NC 34061.190000 0.0182368 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8273923.520000 USD 57081384.670000 CNY 2026-05-07 34061.190000 N N N BCAP LLC TRUST 2007-AA2 N/A 05530NAA5 122749.890000 PA USD 120034.980000 0.0642684 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC USD 5152.500000 0.0027587 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-06-26 0.000000 USD -6802.330000 USD 390000.000000 USD 11954.830000 N N N N/A N/A 000000000 1.000000 NC -649.980000 -0.000348 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 165977.970000 RON 142955.000000 EUR 2026-04-14 -649.980000 N N N N/A N/A 000000000 170460.000000 PA 197026.230000 0.105491 Long RA LU N 2 Repurchase N 1.980000 2027-07-10 200000.000000 EUR 161766.320000 EUR N N N N/A N/A 000000000 1.000000 NC 499.670000 0.0002675 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 185000.000000 DKK 29114.410000 USD 2026-04-07 499.670000 N N N N/A N/A 000000000 1.000000 NC -7404.710000 -0.0039646 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 222513001.000000 JPY 1398837.000000 USD 2026-05-07 -7404.710000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI1LSN29 355110000.000000 PA 211494.070000 0.113237 Long DBT NUSS KR N 2 2030-06-10 Fixed 1.375 N N N N N N N/A N/A 000000000 1.000000 NC -152.540000 -0.0000817 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 222923.880000 PLN 59898.000000 USD 2026-04-15 -152.540000 N N N N/A N/A 000000000 1.000000 NC -54009.290000 -0.0289173 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22245758.670000 ZAR 1247924.890000 USD 2026-08-05 -54009.290000 N N N N/A N/A 000000000 1.000000 NC -3418.530000 -0.0018303 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 404231.000000 USD 37666648.810000 INR 2026-04-24 -3418.530000 N N N SERBIA GOVT 254900W94OCY91V32O78 ACI1W3TJ9 600000.000000 PA 565078.990000 0.302551 Long DBT NUSS RS N 2 2033-03-03 Fixed 1.65 N N N N N N N/A N/A 000000000 1.000000 NC -3495.510000 -0.0018715 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1500000.000000 ZAR 84642.040000 USD 2026-06-17 -3495.510000 N N N N/A N/A 000000000 1.000000 NC 341.900000 0.0001831 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 101000.000000 USD 354005.000000 PEN 2026-06-17 341.900000 N N N N/A N/A 000000000 1.000000 NC -2051.770000 -0.0010985 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4838091.140000 TRY 104429.000000 USD 2026-04-20 -2051.770000 N N N N/A N/A 000000000 1.000000 NC -23632.490000 -0.0126532 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 1032.680000 BRL 0.000000 BRL 10200000.000000 BRL -24665.170000 N N N N/A N/A 000000000 1.000000 NC -376.420000 -0.0002015 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3906400.000000 KZT 7600.000000 USD 2026-06-10 -376.420000 N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 BMXC0WII0 800000.000000 PA 439437.550000 0.235281 Long DBT CORP AU N 2 2033-08-22 Fixed 2 N N N N N N N/A N/A 000000000 -81034.000000 NC USD -71.550000 -0.0000383 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 105.350000 N N N N/A N/A 000000000 1.000000 NC -55267.490000 -0.029591 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2300000.000000 USD 72210800.000000 TWD 2027-01-19 -55267.490000 N N N N/A N/A 000000000 1.000000 NC USD -8533.070000 -0.0045687 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.45 Y Single Leg Swap 2035-12-20 0.000000 USD -33848.010000 USD 4190000.000000 USD 25314.940000 N N N FNMA PASS THRU POOLS N/A 31371NTK1 176.590000 PA USD 176.280000 0.0000944 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 4.5 N N N N N N N/A N/A 000000000 33.000000 NC -182646.990000 -0.0977917 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2026-06-26 3834563.180000 GBP -182646.990000 N N N WASHINGTON MUTUAL MTGE P/T 2007-HY1 N/A 93936AAB7 255343.780000 PA USD 202996.590000 0.108687 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 2525.610000 0.0013522 N/A DFE KZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30000.000000 USD 16140000.000000 KZT 2026-07-15 2525.610000 N N N N/A N/A 000000000 1.000000 NC 846.050000 0.000453 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1827374.590000 THB 56330.910000 USD 2026-04-20 846.050000 N N N N/A N/A 000000000 1.000000 NC 580.380000 0.0003107 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 146146.110000 RON 126907.000000 EUR 2026-04-08 580.380000 N N N N/A N/A 000000000 -200000.000000 NC USD -178.520000 -0.0000956 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 04/20/26-10Y LCH 2036-04-20 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-04-16 XXXX 466.480000 N N N CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI 81560029E2CE4D14F425 147918AB2 400000.000000 PA USD 400535.600000 0.214452 Long DBT MUN IT N 2 2026-05-05 Fixed 5.75 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H08 N/A 38380QS78 294890.580000 PA USD 294307.050000 0.157576 Long ABS-MBS USGSE US N 2 2068-01-20 Floating 3.97294 N N N N N N N/A N/A 000000000 1.000000 NC 1017.210000 0.0005446 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 133486.910000 ILS 43568.000000 USD 2026-06-17 1017.210000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAA7 764233.630000 PA USD 205410.790000 0.10998 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.27303 N N N N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHTT6 19300000.000000 PA 12167.330000 0.0065146 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 -4035.790000 -0.0021608 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 469281.000000 USD 7912828510.000000 IDR 2026-06-10 -4035.790000 N N N N/A N/A 000000000 1.000000 NC 1089.200000 0.0005832 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 595000.000000 SEK 63941.420000 USD 2026-04-02 1089.200000 N N N N/A N/A 000000000 1.000000 NC -52.180000 -0.0000279 N/A DFE RO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 15629.510000 USD 68755.680000 RON 2026-04-16 -52.180000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRN9 400000.000000 PA USD 406366.250000 0.217574 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 -206.490000 -0.0001106 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 11998375.760000 THB 365848.750000 USD 2026-06-17 -206.490000 N N N N/A N/A 000000000 1.000000 NC USD -53654.690000 -0.0287275 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-18 0.000000 USD -72298.660000 USD 4740000.000000 USD 18643.970000 N N N N/A N/A 000000000 1.000000 NC 1208.820000 0.0006472 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1033490.000000 THB 32588.840000 USD 2026-04-20 1208.820000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 46254.010000 PA USD 40363.470000 0.0216112 Long ABS-MBS CORP US N 2 2046-07-20 Floating 4.20952 N N N N N N FNMA PASS THRU POOLS N/A 31418EW48 200965.220000 PA USD 205609.460000 0.110086 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6 N N N N N N STRUCTURED ADJ RATE MTG LN 2006-3 N/A 863579Y69 92357.770000 PA USD 47306.230000 0.0253284 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.98085 N N N N N N N/A N/A 000000000 1.000000 NC 1574.860000 0.0008432 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 212142.830000 USD 9761752.320000 TRY 2026-04-24 1574.860000 N N N N/A N/A 000000000 1.000000 NC USD 4388.930000 0.0023499 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2056-03-18 4173.480000 USD 0.000000 USD 190000.000000 USD 215.450000 N N N N/A N/A 000000000 1.000000 NC 3706.740000 0.0019846 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1933577.000000 USD 62048486.000000 TWD 2026-04-20 3706.740000 N N N N/A N/A 000000000 1.000000 NC 382.470000 0.0002048 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 101000.000000 USD 525145.970000 BRL 2026-04-02 382.470000 N N N N/A N/A 000000000 1.000000 NC -2420.050000 -0.0012957 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 13348392.000000 KZT 24900.000000 USD 2026-06-04 -2420.050000 N N N N/A N/A 000000000 1.000000 NC 1160.190000 0.0006212 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 135440.000000 USD 6206605.720000 TRY 2026-04-20 1160.190000 N N N N/A N/A 000000000 1.000000 NC -2550.650000 -0.0013657 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 14438250.000000 KZT 27000.000000 USD 2026-06-04 -2550.650000 N N N N/A N/A 000000000 1.000000 NC -44.700000 -0.0000239 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14315.540000 BRL 2719.000000 USD 2026-04-02 -44.700000 N N N N/A N/A 000000000 1.000000 NC USD 66820.940000 0.0357769 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-17 60227.040000 USD 0.000000 USD 600000.000000 USD 6593.900000 N N N N/A N/A 000000000 1.000000 NC -4379.550000 -0.0023449 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 181776780.890000 INR 1929915.180000 USD 2026-04-24 -4379.550000 N N N N/A N/A 000000000 1.000000 NC -2563.580000 -0.0013726 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 237353.000000 EUR 271936.060000 RON 2026-04-14 -2563.580000 N N N N/A N/A 000000000 1.000000 NC 254.860000 0.0001365 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 149353.790000 ILS 47856.000000 USD 2026-06-10 254.860000 N N N N/A N/A 000000000 1.000000 NC USD -25494.450000 -0.0136501 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-17 0.000000 USD -29740.910000 USD 1500000.000000 USD 4246.460000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 BYN6FXII0 5600000.000000 PA 230202.560000 0.123254 Long DBT NUSS CZ N 2 2030-05-15 Fixed 0.95 N N N N N N N/A N/A 000000000 -691500.000000 NC USD -567.030000 -0.0003036 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-14 N/A 1350.000000 USD 2026-07-10 XXXX 1223.960000 N N N N/A N/A 000000000 1.000000 NC 1798.790000 0.0009631 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1242376.000000 USD 116922247.850000 INR 2026-04-24 1798.790000 N N N N/A N/A 000000000 1.000000 NC USD -1039.020000 -0.0005563 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1039.020000 N N N N/A N/A 000000000 1.000000 NC -770309.880000 -0.412435 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2031-03-18 0.000000 AUD -176644.920000 AUD 18000000.000000 AUD -593664.960000 N N N N/A N/A 000000000 1.000000 NC 72.370000 0.0000387 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3046558.290000 THB 93019.000000 USD 2026-06-17 72.370000 N N N N/A N/A 000000000 1.000000 NC 29799.890000 0.0159553 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 70453315.000000 TWD 2229500.000000 USD 2026-04-20 29799.890000 N N N FNMA PASS THRU POOLS N/A 3138ANC84 14384.990000 PA USD 14244.090000 0.0076265 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 11062.850000 0.0059232 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 48533688.970000 INR 523613.000000 USD 2026-04-07 11062.850000 N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 77958.720000 PA USD 71933.350000 0.0385141 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.69303 N N N N N N N/A N/A 000000000 1.000000 NC -49.440000 -0.0000265 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 172000.000000 CNY 24922.790000 USD 2026-04-02 -49.440000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI06JNF9 9105000000.000000 PA 584992.700000 0.313213 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 23046.930000 0.0123396 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 2997.690000 USD 0.000000 USD 1500000.000000 USD 20049.240000 N N N N/A N/A 000000000 1.000000 NC 5343.690000 0.0028611 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 518350000.000000 KRW 350000.000000 USD 2026-04-10 5343.690000 N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 157239.900000 PA USD 155282.580000 0.0831405 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 4.14573 N N N N N N GNMA PASS THRU POOLS N/A 21H032647 200000.000000 PA USD 183473.570000 0.0982343 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 3.5 N N N N N N JP MORGAN MORTGAGE TRUST 2021-10 N/A 46654AAC3 582078.420000 PA USD 485009.160000 0.259681 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 131.200000 0.0000702 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 197000.000000 EUR 227833.690000 USD 2026-04-02 131.200000 N N N N/A N/A 000000000 1.000000 NC -6676.620000 -0.0035748 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 36291060.000000 KZT 67600.000000 USD 2026-06-04 -6676.620000 N N N GSAMP TRUST 2006-FM1 N/A 362334PK4 517102.080000 PA USD 339002.510000 0.181507 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.33303 N N N N N N N/A N/A 000000000 1.000000 NC 3167.120000 0.0016957 N/A DFE RO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 298519.930000 EUR 1331443.680000 RON 2026-04-14 3167.120000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-2 N/A 41161PJ38 22754.690000 PA USD 5906.510000 0.0031624 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.56917 N N N N N N N/A N/A 000000000 1.000000 NC 660.100000 0.0003534 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 53561.750000 USD 2412255.180000 TRY 2026-04-03 660.100000 N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 722112.990000 PA USD 726851.420000 0.389166 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6019 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JF5 100000.000000 PA USD 96955.410000 0.0519113 Long DBT CORP US N 2 2027-08-01 Fixed 2.1 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 30620000.000000 PA USD 30202374.430000 16.1708 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 204.220000 0.0001093 N/A DFE HK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1209209.120000 HKD 154573.000000 USD 2026-04-20 204.220000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2JND14 400000.000000 PA 485147.320000 0.259755 Long DBT NUSS HU N 2 2033-09-12 Fixed 5.375 N N N N N N GNMA PASS THRU POOLS N/A 21H062651 6200000.000000 PA USD 6425551.780000 3.44033 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QDYC2 183026.390000 PA USD 174759.090000 0.0935684 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N N/A N/A 000000000 -34.000000 NC 90231.890000 0.0483114 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -4927690.010000 EUR 90231.890000 N N N GNMA PASS THRU POOLS N/A 36179XNB8 80894.520000 PA USD 72445.580000 0.0387884 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 3888.590000 PA USD 3673.860000 0.001967 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.27303 N N N N N N N/A N/A 000000000 1.000000 NC -32579.700000 -0.0174436 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1935141.660000 USD 179252171.970000 INR 2026-04-10 -32579.700000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 4.570000 PA 0.580000 0.0000003 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 1830.540000 0.0009801 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3233936.200000 THB 100000.000000 USD 2026-04-17 1830.540000 N N N FNMA PASS THRU POOLS N/A 31415VUH6 29152.400000 PA USD 30243.460000 0.0161928 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138AKRH4 495.070000 PA USD 486.650000 0.0002606 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 14.940000 PA 1.780000 0.000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -1903.330000 -0.0010191 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 71133.190000 USD 257000.000000 PLN 2026-04-15 -1903.330000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638EB4 400000.000000 PA USD 399820.000000 0.214069 Long DBT NUSS PE N 2 2035-02-08 Fixed 5.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 120000.000000 PA USD 119568.750000 0.0640188 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBE9 500000.000000 PA USD 502425.000000 0.269005 Long DBT NUSS MX N 2 2032-07-02 Fixed 5.85 N N N N N N N/A N/A 000000000 1.000000 NC 590.270000 0.000316 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1275000.000000 CNY 185704.210000 USD 2026-04-02 590.270000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI2YZPV1 5600000.000000 PA 324941.350000 0.173978 Long DBT NUSS ZA N 2 2026-07-22 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -14.100000 -0.0000075 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 371.020000 USD 11754.890000 THB 2026-04-20 -14.100000 N N N N/A N/A 000000000 1.000000 NC -289.290000 -0.0001549 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 90000.000000 USD 2875569.000000 TWD 2026-04-27 -289.290000 N N N N/A N/A 000000000 1.000000 NC USD 134469.450000 0.0719968 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-06-18 125669.240000 USD 0.000000 USD 2600000.000000 USD 8800.210000 N N N N/A N/A 000000000 1.000000 NC -2625.780000 -0.0014059 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 102000.000000 USD 9409806.000000 INR 2026-04-07 -2625.780000 N N N N/A N/A 000000000 1.000000 NC 28.260000 0.0000151 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22965.730000 USD 158106.650000 CNY 2026-06-05 28.260000 N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 300000.000000 PA USD 302435.400000 0.161928 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2MLPN3 200000.000000 PA 220427.130000 0.11802 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC 65364.590000 0.0349971 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-17 7381.620000 EUR 0.000000 EUR 100000.000000 EUR 57982.970000 N N N N/A N/A 000000000 1.000000 NC USD -1337.440000 -0.0007161 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1337.440000 N N N N/A N/A 000000000 1.000000 NC 2083.410000 0.0011155 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 391298.980000 USD 62431752.000000 JPY 2026-04-02 2083.410000 N N N N/A N/A 000000000 1.000000 NC 2334.820000 0.0012501 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 111330.370000 USD 5073213.630000 TRY 2026-04-06 2334.820000 N N N N/A N/A 000000000 1.000000 NC 348.600000 0.0001866 N/A DFE HK N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1411084.660000 HKD 180489.000000 USD 2026-04-20 348.600000 N N N N/A N/A 000000000 1.000000 NC -66197.860000 -0.0354433 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2036-03-18 0.000000 AUD -927.010000 AUD 1500000.000000 AUD -65270.850000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 2121589.430000 PA 265126.480000 0.141952 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 100000.000000 PA USD 101819.520000 0.0545156 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 8903.130000 0.0047669 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 39259284.300000 INR 423509.000000 USD 2026-04-07 8903.130000 N N N N/A N/A 000000000 1.000000 NC 3304.720000 0.0017694 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 271116.490000 RON 237353.000000 EUR 2026-04-08 3304.720000 N N N N/A N/A 000000000 1.000000 NC 1069.560000 0.0005727 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 58329872.000000 KRW 39858.600000 USD 2026-04-15 1069.560000 N N N N/A N/A 000000000 1.000000 NC 90.350000 0.0000484 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 797000.000000 MXN 44285.160000 USD 2026-06-17 90.350000 N N N N/A N/A 000000000 1.000000 NC -401.480000 -0.000215 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 308031.170000 PLN 82575.000000 USD 2026-04-15 -401.480000 N N N N/A N/A 000000000 1.000000 NC 56979.050000 0.0305074 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3037941.000000 AUD 2153007.010000 USD 2026-04-02 56979.050000 N N N N/A N/A 000000000 1.000000 NC 184.100000 0.0000986 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 638446.000000 MXN 35586.860000 USD 2026-06-17 184.100000 N N N N/A N/A 000000000 1.000000 NC -952.020000 -0.0005097 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 39286.340000 USD 3629900.670000 INR 2026-04-07 -952.020000 N N N N/A N/A 000000000 1.000000 NC -435.710000 -0.0002333 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14712.690000 USD 53000.000000 PLN 2026-04-15 -435.710000 N N N UMBS PASS THRU POOLS N/A 01F042665 800000.000000 PA USD 770879.530000 0.41274 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4.5 N N N N N N N/A N/A 000000000 -2.000000 NC 1616.690000 0.0008656 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -254888.090000 EUR 1616.690000 N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAF5 376866.470000 PA USD 149446.660000 0.0800158 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 19714.990000 0.0105557 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 4300000.000000 PLN 19714.990000 N N N N/A N/A 000000000 1.000000 NC 16788.300000 0.0089887 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 19342996.760000 ZAR 1158372.180000 USD 2026-04-20 16788.300000 N N N JP MORGAN MORTGAGE ACQ CORP 2005-RM1 N/A 46629NAC7 3116.910000 PA USD 1372.360000 0.0007348 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.95303 N N N N N N N/A N/A 000000000 1.000000 NC -3005.000000 -0.0016089 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 150927.000000 USD 653310.160000 RON 2026-04-27 -3005.000000 N N N N/A N/A 000000000 1.000000 NC -1029.470000 -0.0005512 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1341000.000000 AUD 924193.730000 USD 2026-04-02 -1029.470000 N N N N/A N/A 000000000 1.000000 NC -381.060000 -0.000204 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 93019.000000 USD 3051953.390000 THB 2026-04-16 -381.060000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB78 400000.000000 PA USD 392736.300000 0.210277 Long DBT CORP US N 2 2035-10-23 Floating 5.016 N N N N N N N/A N/A 000000000 1.000000 NC -142.750000 -0.0000764 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 40054.000000 USD 2430116.230000 PHP 2026-06-17 -142.750000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087XQ2 640828.000000 PA 533104.950000 0.285432 Long DBT NUSS CA N 2 2036-12-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 54130.590000 0.0289823 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 115897734.000000 TWD 3661393.000000 USD 2026-06-08 54130.590000 N N N N/A N/A 000000000 1.000000 NC 686.720000 0.0003677 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 156000.000000 ILS 50406.100000 USD 2026-06-10 686.720000 N N N N/A N/A 000000000 1.000000 NC -262746.750000 -0.140678 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2027-06-17 0.000000 GBP -20208.810000 GBP 8700000.000000 GBP -242537.940000 N N N N/A N/A 000000000 1.000000 NC -164230.490000 -0.0879313 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 33697824.110000 BRL 6341329.340000 USD 2026-04-02 -164230.490000 N N N N/A N/A 000000000 1.000000 NC USD -3507.810000 -0.0018781 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-12-17 7178.000000 USD 0.000000 USD 1100000.000000 USD -10685.810000 N N N N/A N/A 000000000 1.000000 NC 91598.210000 0.049043 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2463792026.000000 CLP 2752901.770000 USD 2026-09-16 91598.210000 N N N N/A N/A 000000000 1.000000 NC 19672.820000 0.0105331 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 150852146.000000 JPY 970192.000000 USD 2026-04-02 19672.820000 N N N N/A N/A 000000000 1.000000 NC -4562.510000 -0.0024428 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 185161.000000 USD 17100982.250000 INR 2026-04-07 -4562.510000 N N N N/A N/A 000000000 1.000000 NC USD -9458.990000 -0.0050645 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-12 0.000000 USD -5440.000000 USD 1600000.000000 USD -4018.990000 N N N N/A N/A 000000000 1.000000 NC 2840.920000 0.0015211 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9768196.800000 INR 106000.000000 USD 2026-04-07 2840.920000 N N N FNMA PASS THRU POOLS N/A 31413VSF5 1071.160000 PA USD 1090.010000 0.0005836 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 92937.960000 0.0497603 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 227216103.000000 TWD 7165665.990000 USD 2026-06-04 92937.960000 N N N PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC 213800QSH7EDGMUDJW25 69828QAD9 400000.000000 PA USD 313216.000000 0.1677 Long DBT CORP GB N 2 2032-04-05 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 12389.470000 0.0066335 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 47740216.920000 INR 516560.000000 USD 2026-04-07 12389.470000 N N N N/A N/A 000000000 1.000000 NC -7328.610000 -0.0039238 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 176396.010000 USD 1600501.860000 SEK 2026-04-02 -7328.610000 N N N N/A N/A 000000000 1.000000 NC 996.320000 0.0005334 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 99000.000000 USD 9397228.500000 INR 2026-04-24 996.320000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI2X3D53 3100000.000000 PA 182060.710000 0.0974778 Long DBT NUSS ZA N 2 2026-05-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 277.480000 0.0001486 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 142435.940000 USD 6552765.420000 TRY 2026-04-28 277.480000 N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ACI1K3GD9 86850000.000000 PA 867316.820000 0.464373 Long DBT CORP N/A N 2 2030-02-25 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -34588.810000 -0.0185193 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2028-12-15 4951.630000 EUR 0.000000 EUR 7600000.000000 EUR -39540.440000 N N N N/A N/A 000000000 1.000000 NC USD 75655.330000 0.0405069 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 69164.360000 USD 0.000000 USD 4300000.000000 USD 6490.970000 N N N FNMA PASS THRU POOLS N/A 31404FCH4 2324.380000 PA USD 2336.210000 0.0012508 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SA7 800000.000000 PA USD 590156.250000 0.315978 Long DBT UST US N 2 2048-02-15 Fixed 3 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 ACI20FY59 100000.000000 PA 112137.900000 0.0600402 Long DBT CORP US N 2 2081-09-15 Floating 1.875 N N N N N N N/A N/A 000000000 1.000000 NC 572.400000 0.0003065 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 542886.790000 THB 17051.000000 USD 2026-04-16 572.400000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U4B6 300000.000000 PA USD 291996.040000 0.156339 Long DBT CORP US N 2 2036-09-15 Floating 4.892 N N N N N N FNMA PASS THRU POOLS N/A 31419MBY6 2991.320000 PA USD 2895.670000 0.0015504 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJ53 835498.470000 PA USD 854375.820000 0.457445 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 258.510000 0.0001384 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 68136.200000 RON 59064.000000 EUR 2026-05-11 258.510000 N N N N/A N/A 000000000 1.000000 NC -1154.990000 -0.0006184 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4264223.500000 TRY 93444.000000 USD 2026-04-14 -1154.990000 N N N N/A N/A 000000000 1.000000 NC -4.080000 -0.0000022 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 516313.930000 THB 15748.000000 USD 2026-06-17 -4.080000 N N N N/A N/A 000000000 1.000000 NC 8431.880000 0.0045145 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1918000.000000 EUR 2225352.600000 USD 2026-04-02 8431.880000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 2.970000 PA 0.370000 0.0000002 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC USD 28554.250000 0.0152883 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 500000.000000 USD 28554.250000 N N N N/A N/A 000000000 1.000000 NC 401.790000 0.0002151 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 530000.000000 SEK 56387.800000 USD 2026-04-02 401.790000 N N N N/A N/A 000000000 1.000000 NC 8986.800000 0.0048117 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3338204.000000 NZD 1929298.310000 USD 2026-05-04 8986.800000 N N N N/A N/A 000000000 1.000000 NC 39274.970000 0.0210284 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-09-16 26563.550000 JPY 0.000000 JPY 1040000000.000000 JPY 12711.420000 N N N N/A N/A 000000000 78.000000 NC USD -279761.640000 -0.149788 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 9068718.750000 USD -279761.640000 N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4S3 328831.100000 PA USD 330192.820000 0.17679 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 4.48125 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAA4 85411.730000 PA USD 71666.040000 0.038371 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.18582 N N N N N N N/A N/A 000000000 1.000000 NC 524.620000 0.0002809 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 144117.000000 EUR 167102.290000 RON 2026-04-02 524.620000 N N N N/A N/A 000000000 1.000000 NC USD 68387.970000 0.0366159 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 26522.050000 USD 0.000000 USD 6900000.000000 USD 41865.920000 N N N N/A N/A 000000000 1.000000 NC -495.150000 -0.0002651 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24000.000000 USD 35347715.000000 KRW 2026-04-13 -495.150000 N N N N/A N/A 000000000 1.000000 NC 1002.220000 0.0005366 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 142377.470000 ILS 46387.000000 USD 2026-06-17 1002.220000 N N N N/A N/A 000000000 1.000000 NC -32594.210000 -0.0174514 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 824545.000000 USD 74990306.390000 INR 2026-04-07 -32594.210000 N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 40956.850000 PA USD 35003.940000 0.0187416 Long ABS-MBS CORP US N 2 2047-04-20 Floating 4.20952 N N N N N N N/A N/A 000000000 1.000000 NC -820.660000 -0.0004394 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 94911.000000 USD 3099802.750000 THB 2026-04-16 -820.660000 N N N N/A N/A 000000000 1.000000 NC 69405.280000 0.0371606 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 6226771.720000 CAD 4545755.780000 USD 2026-04-02 69405.280000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UR7 100000.000000 PA USD 97546.880000 0.052228 Long DBT UST US N 2 2056-02-15 Fixed 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31415R3A0 6910.400000 PA USD 7140.070000 0.0038229 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -84.280000 -0.0000451 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 14910228.000000 KRW 2026-04-17 -84.280000 N N N SPAIN GOVT 9598007A56S18711AH60 ACI2KBGK3 500000.000000 PA 589980.630000 0.315884 Long DBT NUSS ES N 2 2029-05-31 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 40706.280000 0.0217947 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8700713.000000 USD 60059368.700000 CNY 2026-05-07 40706.280000 N N N N/A N/A 000000000 243.000000 NC -242816.780000 -0.130008 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A EUIB 2026-12-14 68237756.080000 EUR -242816.780000 N N N 37 CAPITAL CLO 4 LTD 2023-2A N/A 883932AN5 600000.000000 PA USD 600179.910000 0.321345 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 4.76219 N N N N N N N/A N/A 000000000 1.000000 NC -61086.190000 -0.0327064 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2229500.000000 USD 69755704.000000 TWD 2027-01-20 -61086.190000 N N N N/A N/A 000000000 1.000000 NC -230.210000 -0.0001233 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 94836.190000 USD 4382484.660000 TRY 2026-05-05 -230.210000 N N N N/A N/A 000000000 1.000000 NC 6306.120000 0.0033764 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 830550.000000 USD 132813250.000000 JPY 2026-04-02 6306.120000 N N N N/A N/A 000000000 1.000000 NC 143.860000 0.000077 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 779000.000000 CNY 113244.850000 USD 2026-04-02 143.860000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 260480630.000000 PA 1647032.620000 0.881844 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC 403.190000 0.0002159 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 174918.540000 EUR 773752.150000 RON 2026-04-14 403.190000 N N N N/A N/A 000000000 1.000000 NC -893.080000 -0.0004782 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 116478.100000 USD 100000.000000 EUR 2026-04-02 -893.080000 N N N N/A N/A 000000000 1.000000 NC 1792.490000 0.0009597 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1122400.000000 CZK 54719.300000 EUR 2026-08-12 1792.490000 N N N N/A N/A 000000000 1.000000 NC 540.130000 0.0002892 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2030-06-18 1246.990000 CAD 0.000000 CAD 100000.000000 CAD -706.860000 N N N N/A N/A 000000000 1.000000 NC -4269.400000 -0.0022859 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3034252.080000 ZAR 174499.750000 USD 2026-05-13 -4269.400000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863EB0 300000.000000 PA USD 303975.000000 0.162752 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85 N N N N N N N/A N/A 000000000 1.000000 NC 1.350000 0.0000007 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 764.650000 THB 24.570000 USD 2026-04-20 1.350000 N N N GUATEMALA GOVT 529900QKDFFU9UWW5315 401494BA6 500000.000000 PA USD 509500.000000 0.272793 Long DBT NUSS GT N 2 2036-08-15 Fixed 6.25 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 1.420000 PA 0.170000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -70.970000 -0.000038 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 236358.420000 USD 37500000.000000 JPY 2026-04-02 -70.970000 N N N N/A N/A 000000000 1.000000 NC -370798.650000 -0.198531 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2035-09-17 0.000000 JPY -349400.830000 JPY 829900000.000000 JPY -21397.820000 N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VCF4 300000.000000 PA USD 298414.770000 0.159775 Long DBT CORP JP N 2 2030-09-11 Fixed 4.35 N N N N N N N/A N/A 000000000 1.000000 NC 153509.520000 0.0821911 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-06-15 157270.370000 JPY 0.000000 JPY 60000000.000000 JPY -3760.850000 N N N N/A N/A 000000000 1.000000 NC USD -1027.200000 -0.00055 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1027.200000 N N N N/A N/A 000000000 1.000000 NC -488.730000 -0.0002617 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 167102.290000 EUR 734874.100000 RON 2026-04-02 -488.730000 N N N N/A N/A 000000000 1.000000 NC 8026.300000 0.0042974 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 111928722.000000 CLP 128927.860000 USD 2026-09-16 8026.300000 N N N N/A N/A 000000000 1.000000 NC -2070.100000 -0.0011084 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 62243733.000000 JPY 391298.980000 USD 2026-05-07 -2070.100000 N N N N/A N/A 000000000 40.000000 NC USD -66404.720000 -0.035554 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 4439687.520000 USD -66404.720000 N N N N/A N/A 000000000 1.000000 NC -649.980000 -0.000348 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 165977.970000 RON 142955.000000 EUR 2026-04-14 -649.980000 N N N N/A N/A 000000000 1.000000 NC -1126.010000 -0.0006029 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 201219.740000 USD 3606240.000000 MXN 2026-06-10 -1126.010000 N N N N/A N/A 000000000 1.000000 NC 715.570000 0.0003831 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 47419.120000 USD 2155341.260000 TRY 2026-04-09 715.570000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 100000.000000 PA USD 98680.010000 0.0528347 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC -1112.440000 -0.0005956 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5241358.300000 TRY 112153.000000 USD 2026-05-04 -1112.440000 N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009BA5 10553.040000 PA USD 8337.950000 0.0044643 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 12625.410000 0.0067598 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 310162.290000 USD 1671991.860000 BRL 2026-04-02 12625.410000 N N N N/A N/A 000000000 1.000000 NC -24442.490000 -0.0130868 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-01 1445.890000 CZK 0.000000 CZK 81300000.000000 CZK -25888.380000 N N N BOGOTA DISTRITO CAPITAL (AKA: SANTA FE DE BOGOTA DC) 529900L83GNDA0PLHT11 097230AC0 667000000.000000 PA 179137.610000 0.0959128 Long DBT NUSS CO N 2 2035-11-05 Fixed 13.1404 N N N N N N N/A N/A 000000000 1.000000 NC -29331.010000 -0.0157042 N/A DIR SE N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SEK-STIBOR-Bloomberg 3M Y 2031-03-18 0.000000 SEK -9256.560000 SEK 17600000.000000 SEK -20074.450000 N N N N/A N/A 000000000 1.000000 NC -158.780000 -0.000085 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 151385.000000 EUR 174918.540000 RON 2026-04-14 -158.780000 N N N FHLMC PASS THRU POOLS N/A 3132DWLU5 72405.510000 PA USD 73906.370000 0.0395705 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N N/A N/A 000000000 -597000.000000 NC USD -241.790000 -0.0001295 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 34.040000 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514Y8B6 700000.000000 PA USD 713012.870000 0.381757 Long DBT NUSS IL N 2 2035-02-19 Fixed 5.625 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 300000.000000 PA USD 301481.650000 0.161417 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N PROJECT CASHMERE N/A 990ABJRT5 2700000.000000 PA 1862865.500000 0.997404 Long ABS-MBS CORP AU N 3 2057-12-30 Floating 4.5426 N N N N N N N/A N/A 000000000 1.000000 NC 122.040000 0.0000653 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7386.000000 USD 39692.360000 BRL 2026-07-02 122.040000 N N N N/A N/A 000000000 1.000000 NC 132.310000 0.0000708 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2420262.950000 PHP 40054.000000 USD 2026-04-17 132.310000 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 7734.150000 PA USD 7733.950000 0.0041409 Long ABS-O CORP US N 2 2038-04-25 Floating 5.09862 N N N N N N N/A N/A 000000000 1.000000 NC 55.940000 0.00003 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 18626.280000 USD 128491.530000 CNY 2026-06-01 55.940000 N N N FNMA PASS THRU POOLS N/A 3140H7TP2 38165.810000 PA USD 36561.210000 0.0195754 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 14763.480000 0.0079046 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 540000.000000 EUR 638922.600000 USD 2026-04-02 14763.480000 N N N N/A N/A 000000000 1.000000 NC 4898.810000 0.0026229 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 37058515.760000 INR 396263.000000 USD 2026-04-07 4898.810000 N N N N/A N/A 000000000 1.000000 NC 327.720000 0.0001755 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 171000.000000 PLN 46391.170000 USD 2026-04-15 327.720000 N N N UMBS PASS THRU POOLS N/A 01F040669 1165488.000000 PA USD 1097525.710000 0.58763 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -12109.220000 -0.0064834 N/A DIR SE N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SEK-STIBOR-Bloomberg 3M Y 2030-01-10 0.000000 SEK -3111.280000 SEK 6300000.000000 SEK -8997.940000 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 200000.000000 PA 236285.840000 0.126511 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N N/A N/A 000000000 1.000000 NC 32959.530000 0.017647 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4335900.000000 GBP 5771728.950000 USD 2026-05-05 32959.530000 N N N N/A N/A 000000000 1.000000 NC -6522.400000 -0.0034922 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2036-03-18 0.000000 CAD -7061.170000 CAD 500000.000000 CAD 538.770000 N N N N/A N/A 000000000 691500.000000 NC USD 2061.360000 0.0011037 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-13 N/A 1400.000000 USD 2026-07-09 XXXX -4300.440000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI3187G8 275000.000000 PA 4421.840000 0.0023675 Long DBT NUSS EG N 2 2026-10-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -10005.600000 -0.0053571 N/A DIR CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2032-03-17 0.000000 CNY -5705.640000 CNY 9070000.000000 CNY -4299.960000 N N N N/A N/A 000000000 1.000000 NC -431.390000 -0.000231 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 551848.100000 USD 3785567.600000 CNY 2026-06-30 -431.390000 N N N N/A N/A 000000000 1.000000 NC 151.830000 0.0000813 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 57577.760000 USD 396998.660000 CNY 2026-06-03 151.830000 N N N N/A N/A 000000000 1.000000 NC -145.500000 -0.0000779 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20027.000000 USD 338141876.000000 IDR 2026-06-10 -145.500000 N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAF5 172414.970000 PA USD 144726.610000 0.0774886 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 10726.530000 0.0057431 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 49462822.790000 INR 533089.000000 USD 2026-04-07 10726.530000 N N N N/A N/A 000000000 1.000000 NC 429.430000 0.0002299 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110000.000000 USD 10377687.100000 INR 2026-04-24 429.430000 N N N N/A N/A 000000000 -3.000000 NC USD -1116.400000 -0.0005977 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 -88.720000 N N N N/A N/A 000000000 1.000000 NC 4240.760000 0.0022706 N/A DFE IN N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 9256882.500000 INR 102000.000000 USD 2026-04-07 4240.760000 N N N SERBIA GOVT 254900W94OCY91V32O78 ACI2PFGN3 300000.000000 PA USD 300827.590000 0.161067 Long DBT NUSS RS N 2 2034-06-12 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410VSV3 1764.040000 PA USD 1810.230000 0.0009692 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -148950.350000 -0.0797501 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12035654.000000 USD 380543308.000000 TWD 2026-04-16 -148950.350000 N N N N/A N/A 000000000 1.000000 NC -121.420000 -0.000065 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 38887.290000 BRL 7386.000000 USD 2026-04-02 -121.420000 N N N N/A N/A 000000000 1.000000 NC -61.790000 -0.0000331 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6516.000000 USD 62495.440000 NOK 2026-04-07 -61.790000 N N N N/A N/A 000000000 1.000000 NC 11.460000 0.0000061 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 320545.000000 TWD 2026-04-17 11.460000 N N N N/A N/A 000000000 1.000000 NC 56.510000 0.0000303 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 697406.370000 ZAR 41216.000000 USD 2026-04-20 56.510000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 82933.580000 PA USD 82962.310000 0.0444192 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 4.99404 N N N N N N N/A N/A 000000000 1.000000 NC 224.440000 0.0001202 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 735856.690000 RON 166959.570000 EUR 2026-04-14 224.440000 N N N FNMA PASS THRU POOLS N/A 31416RZ48 6595.440000 PA USD 6451.170000 0.003454 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 4 N N N N N N COUNTRYWIDE HOME LOANS 2006-J4 N/A 12669YAE2 191094.430000 PA USD 63023.970000 0.0337439 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -30405.200000 -0.0162794 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2035-12-17 0.000000 JPY -796.730000 JPY 90000000.000000 JPY -29608.470000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBK3 100000.000000 PA USD 101348.100000 0.0542632 Long DBT CORP US N 2 2029-08-06 Fixed 4.838 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 3576.000000 NS USD 82248.000000 0.0440367 Long EC CORP LU Y 3 N N N GNMA PASS THRU POOLS N/A 36179W2V9 568849.910000 PA USD 508565.250000 0.272293 Long ABS-MBS USGSE US N 2 2052-04-20 Fixed 3 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 ACI1MBVD2 300000.000000 PA 343290.980000 0.183803 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.125 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDX1 100000.000000 PA USD 103923.460000 0.0556421 Long DBT CORP US N 2 2029-10-23 Floating 6.087 N N N N N N POLARIS 2026-1 PLC 2026-1A N/A ACI38C327 499991.130000 PA 660231.430000 0.353497 Long ABS-MBS CORP GB N 2 2070-06-27 Floating 4.4548 N N N N N N N/A N/A 000000000 1.000000 NC 140084.190000 0.075003 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 152180.350000 EUR 0.000000 EUR 700000.000000 EUR -12096.160000 N N N N/A N/A 000000000 1.000000 NC USD 1414.330000 0.0007573 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-06-20 140840.020000 USD 0.000000 USD 14300000.000000 USD -139425.690000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QA11 N/A 74922XAA5 114313.340000 PA USD 106593.570000 0.0570717 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.13303 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI2FJPF3 3431000.000000 PA 853097.940000 0.456761 Long DBT NUSS MY N 2 2028-04-20 Fixed 3.519 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI302XY4 1377920720.000000 PA 359655.070000 0.192564 Long DBT NUSS CO N 2 2031-01-22 Fixed 6.5 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 28957.990000 PA USD 28013.940000 0.0149991 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.15807 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 634215.000000 PA USD 603895.340000 0.323334 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 1124.190000 0.0006019 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 16000.000000 USD 8539200.000000 KZT 2026-07-29 1124.190000 N N N N/A N/A 000000000 1.000000 NC 1746.980000 0.0009354 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 137000.000000 AUD 96270.160000 USD 2026-04-02 1746.980000 N N N N/A N/A 000000000 1.000000 NC 501.350000 0.0002684 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 260000.000000 EUR 301022.410000 USD 2026-04-02 501.350000 N N N CHILE ELECTRICITY LUX MPC SARL N/A 168829AA7 301000.000000 PA USD 311342.360000 0.166697 Long DBT CORP LU N 2 2033-01-20 Fixed 6.01 N N N N N N N/A N/A 000000000 1.000000 NC 798.390000 0.0004275 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 105918.000000 USD 335479.380000 ILS 2026-04-06 798.390000 N N N N/A N/A 000000000 1.000000 NC 656.880000 0.0003517 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 700000.000000 SEK 74600.670000 USD 2026-04-02 656.880000 N N N N/A N/A 000000000 1.000000 NC 83.260000 0.0000446 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 29414.790000 USD 944038.000000 TWD 2026-04-13 83.260000 N N N UMBS PASS THRU POOLS N/A 01F032666 -679000.000000 PA USD -621128.160000 -0.332561 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -59901.950000 -0.0320723 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2036-03-18 7270.750000 KRW 0.000000 KRW 1026080000.000000 KRW -67172.700000 N N N N/A N/A 000000000 1.000000 NC 642.570000 0.000344 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1526948.170000 RON 346838.290000 EUR 2026-04-02 642.570000 N N N N/A N/A 000000000 1.000000 NC USD 7066.910000 0.0037837 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-06-25 704.950000 USD 0.000000 USD 190000.000000 USD 6361.960000 N N N N/A N/A 000000000 1.000000 NC 58855.620000 0.0315121 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 36708810.310000 USD 31810060.930000 EUR 2026-04-02 58855.620000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2WJ7V9 142000000.000000 PA 790656.500000 0.423329 Long DBT NUSS JP N 2 2045-03-20 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC 371.500000 0.0001989 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 557000.000000 MXN 31257.960000 USD 2026-06-17 371.500000 N N N KOREA HOUSING FINANCE CORP (KHFC) 9884002AAOBT56QW9B80 ACI38Q631 500000.000000 PA 565066.280000 0.302544 Long DBT CORP KR N 2 2031-03-04 Fixed 2.696 N N N N N N N/A N/A 000000000 1.000000 NC -106.560000 -0.0000571 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 22500.000000 USD 716908.000000 TWD 2026-04-16 -106.560000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 BP5D0MII4 168000000.000000 PA 552381.840000 0.295753 Long DBT NUSS JP N 2 2051-06-20 Fixed 0.7 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 2056.360000 PA USD 2031.010000 0.0010874 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 -140.550000 -0.0000753 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4412318.530000 TRY 95109.470000 USD 2026-05-05 -140.550000 N N N CROSS 2025-H5 MORTGAGE TRUST N/A 227920AA3 610123.780000 PA USD 612529.010000 0.327957 Long ABS-MBS CORP US N 2 2070-07-25 Variable 5.509 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U4A8 380000.000000 PA USD 375884.610000 0.201254 Long DBT CORP US N 2 2029-09-15 Floating 4.078 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI34TWG1 400000.000000 PA 461650.580000 0.247174 Long DBT CORP US N 2 2029-05-04 Floating 2.622 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 153934.190000 PA USD 144871.900000 0.0775664 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.17303 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1044.760000 -0.0005594 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/20/26-10Y LCH 2036-04-20 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-04-16 XXXX -399.760000 N N N N/A N/A 000000000 1.000000 NC -2394.980000 -0.0012823 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 143715.640000 USD 113000.000000 CHF 2026-04-02 -2394.980000 N N N N/A N/A 000000000 1.000000 NC -12574.110000 -0.0067324 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 518012.440000 USD 1876323.940000 PLN 2026-04-15 -12574.110000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638EC2 350000.000000 PA USD 338275.000000 0.181117 Long DBT NUSS PE N 2 2054-08-08 Fixed 5.875 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR5 N/A 17311LAJ0 82681.190000 PA USD 74715.380000 0.0400037 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.59316 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638AV4 2600000.000000 PA 742956.410000 0.397789 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 4520.130000 0.0024201 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4132051.740000 THB 129943.000000 USD 2026-04-16 4520.130000 N N N N/A N/A 000000000 1.000000 NC -222.200000 -0.000119 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 3517215.000000 TWD 2026-04-23 -222.200000 N N N N/A N/A 000000000 1.000000 NC -3444.770000 -0.0018444 N/A DFE IN N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 94000.000000 USD 8574730.760000 INR 2026-04-07 -3444.770000 N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI1FN6F7 400000.000000 PA 201083.790000 0.107663 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -1984.960000 -0.0010628 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 374168.730000 USD 322000.000000 EUR 2026-04-02 -1984.960000 N N N N/A N/A 000000000 1.000000 NC 15.920000 0.0000085 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 69000.000000 ILS 22007.180000 USD 2026-06-10 15.920000 N N N N/A N/A 000000000 1.000000 NC -7852.780000 -0.0042045 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-03-19 0.000000 AUD -209.800000 AUD 200000.000000 AUD -7642.980000 N N N N/A N/A 000000000 1.000000 NC -13.820000 -0.0000074 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 53463.900000 USD 369168.230000 CNY 2026-04-03 -13.820000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAV7 375000.000000 PA USD 384485.900000 0.205859 Long DBT CORP FR N 2 2030-01-18 Floating 5.716 N N N N N N FNMA PASS THRU POOLS N/A 3138EGCB8 1313.020000 PA USD 1300.160000 0.0006961 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F020448 -3900000.000000 PA USD -3588512.540000 -1.92134 Short ABS-MBS USGSE US N 2 2041-04-16 Fixed 2 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AW6 400000.000000 PA USD 406528.570000 0.217661 Long DBT NUSS HU N 2 2035-09-26 Fixed 6 N N N N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 ACI2NJDT7 500000.000000 PA 532643.500000 0.285185 Long DBT CORP GB N 2 2032-04-15 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC 924.120000 0.0004948 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 80015.000000 USD 297495770.000000 COP 2026-04-08 924.120000 N N N N/A N/A 000000000 1.000000 NC -8.850000 -0.0000047 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3288.070000 USD 108000.000000 THB 2026-04-20 -8.850000 N N N N/A N/A 000000000 1.000000 NC 135.610000 0.0000726 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 501089.000000 MXN 27921.730000 USD 2026-06-17 135.610000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 200000.000000 PA 203697.800000 0.109063 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -32950.850000 -0.0176423 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 5771950.080000 USD 4335900.000000 GBP 2026-04-02 -32950.850000 N N N N/A N/A 000000000 1.000000 NC -205.500000 -0.00011 N/A DFE RO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 15739.010000 USD 68632.310000 RON 2026-05-04 -205.500000 N N N N/A N/A 000000000 1.000000 NC 40.210000 0.0000215 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 102830.460000 USD 89000.000000 EUR 2026-04-02 40.210000 N N N N/A N/A 000000000 1.000000 NC 5551.020000 0.0029721 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 73693158.060000 INR 783803.000000 USD 2026-04-07 5551.020000 N N N FNMA PASS THRU POOLS N/A 31417E6Y2 15931.940000 PA USD 16644.230000 0.0089116 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 249.870000 0.0001338 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 959554.000000 MXN 53458.540000 USD 2026-06-17 249.870000 N N N N/A N/A 000000000 1.000000 NC USD -271.080000 -0.0001451 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-22 0.000000 USD 0.000000 USD 500000.000000 USD -271.080000 N N N N/A N/A 000000000 1.000000 NC -1086.080000 -0.0005815 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4177169.760000 TRY 92908.580000 USD 2026-04-01 -1086.080000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3D3 450000.000000 PA USD 456887.070000 0.244624 Long DBT CORP US N 2 2034-04-24 Floating 5.389 N N N N N N N/A N/A 000000000 1.000000 NC 1768.870000 0.0009471 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 93215.420000 USD 4253139.970000 TRY 2026-04-09 1768.870000 N N N KUWAIT GOVT 549300FSC1YD0D9XX589 501499AD9 400000.000000 PA USD 394579.440000 0.211263 Long DBT NUSS KW N 2 2028-10-09 Fixed 4.016 N N N N N N FNMA PASS THRU POOLS N/A 31412QLC1 5413.040000 PA USD 5565.990000 0.0029801 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 24.000000 NC -41525.990000 -0.0222336 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2026-06-19 2070476.600000 CAD -41525.990000 N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2G9 200000.000000 PA USD 196703.340000 0.105318 Long DBT CORP US N 2 2027-01-06 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 6586.860000 0.0035267 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 2056-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2056-03-18 0.000000 GBP -1753.960000 GBP 100000.000000 GBP 8340.820000 N N N FNMA PASS THRU POOLS N/A 31412LL65 3643.850000 PA USD 3715.130000 0.0019891 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N KUWAIT GOVT 549300FSC1YD0D9XX589 501499AF4 300000.000000 PA USD 288529.080000 0.154482 Long DBT NUSS KW N 2 2035-10-09 Fixed 4.652 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-1 N/A 007036AC0 5395.140000 PA USD 4762.960000 0.0025502 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.29364 N N N N N N N/A N/A 000000000 -3.000000 NC USD -399.230000 -0.0002138 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 300.340000 N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 2083.860000 PA USD 1988.810000 0.0010648 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.36793 N N N N N N N/A N/A 000000000 1.000000 NC -725.270000 -0.0003883 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 60147.670000 USD 1010648247.000000 IDR 2026-06-10 -725.270000 N N N N/A N/A 000000000 1.000000 NC 11972.940000 0.0064105 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 109580257.000000 JPY 702438.000000 USD 2026-04-02 11972.940000 N N N N/A N/A 000000000 1.000000 NC -18962.760000 -0.0101529 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR 0.000000 EUR 600000.000000 EUR -18962.760000 N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AV1 500000.000000 PA USD 507365.820000 0.271651 Long DBT CORP CO N 2 2036-01-19 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC 3891.350000 0.0020835 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 791956.000000 USD 74790344.750000 INR 2026-04-24 3891.350000 N N N N/A N/A 000000000 1.000000 NC -7323.280000 -0.003921 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 567250.000000 USD 52619528.130000 INR 2026-04-24 -7323.280000 N N N N/A N/A 000000000 1.000000 NC -30816.150000 -0.0164994 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 798880.000000 USD 72728437.440000 INR 2026-04-07 -30816.150000 N N N N/A N/A 000000000 1.000000 NC 137041.250000 0.0733738 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2031-03-18 105689.560000 AUD 0.000000 AUD 3900000.000000 AUD 31351.690000 N N N N/A N/A 000000000 1.000000 NC -3102.890000 -0.0016613 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 760972.190000 USD 5204212.710000 CNY 2026-06-26 -3102.890000 N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBF6 400000.000000 PA USD 405713.890000 0.217225 Long DBT CORP NL N 2 2035-12-03 Floating 5.515 N N N N N N N/A N/A 000000000 1.000000 NC -5710.560000 -0.0030575 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 175203.630000 USD 3056602.530000 MXN 2026-06-17 -5710.560000 N N N FNMA PASS THRU POOLS N/A 31419AG43 25936.600000 PA USD 25682.660000 0.0137509 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA3 N/A 74923XAA4 215815.320000 PA USD 204293.070000 0.109381 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.99303 N N N N N N GNMA PASS THRU POOLS N/A 36179WVV7 838071.600000 PA USD 749255.800000 0.401162 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AR0 200000.000000 PA USD 172149.990000 0.0921715 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 34535.200000 0.0184906 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-02-15 0.000000 USD 0.000000 USD 600000.000000 USD 34535.200000 N N N THAILAND GOVT 254900PHJ6MSKT6C7026 ACI2S0HH5 8388000.000000 PA 245134.090000 0.131248 Long DBT NUSS TH N 2 2045-06-17 Fixed 2.98 N N N N N N N/A N/A 000000000 1.000000 NC 1400.580000 0.0007499 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 405184.850000 ILS 130339.000000 USD 2026-04-13 1400.580000 N N N N/A N/A 000000000 1.000000 NC -4140.070000 -0.0022167 N/A DFE RO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1332759.880000 RON 297708.080000 EUR 2026-04-22 -4140.070000 N N N N/A N/A 000000000 146.000000 NC USD -383381.410000 -0.205268 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 16560734.450000 USD -383381.410000 N N N N/A N/A 000000000 -363966.000000 NC USD -290.810000 -0.0001557 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 1005.560000 N N N N/A N/A 000000000 1.000000 NC 317.610000 0.0001701 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 999172.750000 RON 226854.000000 EUR 2026-04-02 317.610000 N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI2V6L67 300000.000000 PA 336317.740000 0.180069 Long DBT NUSS SA N 2 2032-03-05 Fixed 3.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPJII2 400000.000000 PA USD 140000.000000 0.0749579 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 10124.270000 0.0054207 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 350631.000000 EUR 415401.190000 RON 2026-04-02 10124.270000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 BL6JRNII8 40000000.000000 PA 133923.950000 0.0717047 Long DBT NUSS JP N 2 2050-12-20 Fixed 0.7 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10 N/A 12668ABJ3 11548.530000 PA USD 7230.490000 0.0038713 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -445575.390000 -0.238567 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-09-16 0.000000 EUR -151177.360000 EUR 29800000.000000 EUR -294398.030000 N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 9021.090000 PA USD 9030.040000 0.0048348 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 4.87963 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 474436200.000000 PA 2980453.620000 1.59578 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC 20012.040000 0.0107147 N/A DCR N/A N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 20472.840000 EUR 0.000000 EUR 100000.000000 EUR -460.800000 N N N N/A N/A 000000000 1.000000 NC -305.020000 -0.0001633 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 217683.570000 USD 3917760.000000 MXN 2026-06-10 -305.020000 N N N N/A N/A 000000000 1.000000 NC 193.340000 0.0001035 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 296857.910000 PLN 80160.000000 USD 2026-04-15 193.340000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 990ADDTL1 8930600000.000000 PA 1954927.970000 1.0467 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 -4724.840000 -0.0025297 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2249372.720000 ZAR 127071.000000 USD 2026-07-22 -4724.840000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CT5 700000.000000 PA USD 702841.940000 0.376311 Long DBT CORP GB N 2 2027-07-06 Floating 6.187 N N N N N N N/A N/A 000000000 1.000000 NC -1075.130000 -0.0005756 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 774493.940000 RON 174334.980000 EUR 2026-04-22 -1075.130000 N N N N/A N/A 000000000 1.000000 NC 59.550000 0.0000319 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 13550.310000 SGD 10622.990000 USD 2026-05-04 59.550000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-2 N/A 17307GRE0 12622.140000 PA USD 12253.430000 0.0065607 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.42971 N N N N N N FNMA PASS THRU POOLS N/A 31371NH57 2083.420000 PA USD 2124.230000 0.0011373 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -223.710000 -0.0001198 N/A DFE NO N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 31093.000000 USD 298904.260000 NOK 2026-04-07 -223.710000 N N N N/A N/A 000000000 1.000000 NC 288837.160000 0.154647 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2054-09-18 296346.210000 JPY 0.000000 JPY 156400000.000000 JPY -7509.050000 N N N N/A N/A 000000000 1.000000 NC 2434.970000 0.0013037 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 446956.460000 ILS 144666.000000 USD 2026-04-13 2434.970000 N N N N/A N/A 000000000 1.000000 NC -35184.400000 -0.0188382 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2027-03-16 0.000000 AUD -4896.110000 AUD 1700000.000000 AUD -30288.290000 N N N N/A N/A 000000000 1.000000 NC -411.450000 -0.0002203 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 136105.000000 USD 4349494.000000 TWD 2026-04-27 -411.450000 N N N N/A N/A 000000000 1.000000 NC -2967.470000 -0.0015888 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 79423.270000 USD 1378788.000000 MXN 2026-06-17 -2967.470000 N N N N/A N/A 000000000 1.000000 NC 5238.040000 0.0028045 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-10 0.000000 CHF -3225.010000 CHF 1600000.000000 CHF 8463.050000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VDA8 250000.000000 PA USD 249717.880000 0.133702 Long DBT CORP CA N 2 2026-04-10 None 0 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AN8 550000.000000 PA USD 568737.150000 0.30451 Long DBT CORP GB N 2 2035-03-01 Floating 5.778 N N N N N N N/A N/A 000000000 1.000000 NC -74189.220000 -0.0397219 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 22900000.000000 BRL -74189.220000 N N N N/A N/A 000000000 1.000000 NC 385.800000 0.0002066 N/A DCR SG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 SINGAPORE GOVT SINGAPORE GOVERNMENT Y 2026-08-26 0.000000 SGD 0.000000 SGD 20000.000000 SGD 385.800000 N N N UMBS PASS THRU POOLS N/A 01F062655 -2900000.000000 PA USD -2997908.610000 -1.60512 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 4047.970000 0.0021673 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 128220.780000 USD 5878089.330000 TRY 2026-04-01 4047.970000 N N N N/A N/A 000000000 1.000000 NC -6346.490000 -0.003398 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3064252.540000 ZAR 173195.000000 USD 2026-07-22 -6346.490000 N N N N/A N/A 000000000 -20.000000 NC 197747.390000 0.105877 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-06-15 -16421662.830000 JPY 197747.390000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AU0 200000.000000 PA USD 195165.360000 0.104494 Long DBT NUSS HU N 2 2036-03-26 Fixed 5.5 N N N N N N EXPORT DEVELOPMENT CANADA (EDC) Z6MHCSLXHKYG4B6PHW02 ACI2N3ML9 22900000.000000 PA 236832.820000 0.126804 Long DBT CORP CA N 2 2029-03-11 Fixed 7.13 N N N N N N N/A N/A 000000000 1.000000 NC -8169.740000 -0.0043742 N/A DIR SE N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SEK-STIBOR-Bloomberg 3M Y 2030-02-03 0.000000 SEK -279.840000 SEK 7060000.000000 SEK -7889.900000 N N N N/A N/A 000000000 1.000000 NC -465.870000 -0.0002494 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 148699.250000 USD 654276.700000 RON 2026-04-16 -465.870000 N N N N/A N/A 000000000 1.000000 NC 3830.350000 0.0020508 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 297708.080000 RON 260633.000000 EUR 2026-04-22 3830.350000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BS1 200000.000000 PA USD 202409.200000 0.108373 Long DBT CORP NL N 2 2036-03-25 Floating 5.525 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 2952.410000 PA USD 2792.500000 0.0014951 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.56067 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822DK7 800000.000000 PA USD 811666.240000 0.434577 Long DBT CORP JP N 2 2031-04-24 Floating 5.159 N N N N N N N/A N/A 000000000 1.000000 NC -7292.100000 -0.0039043 N/A DIR SE N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SEK-STIBOR-Bloomberg 3M Y 2031-09-16 1718.080000 SEK 0.000000 SEK 8200000.000000 SEK -9010.180000 N N N FNMA PASS THRU POOLS N/A 3140FXQR6 227472.950000 PA USD 198020.720000 0.106023 Long ABS-MBS USGSE US N 2 2060-03-01 Fixed 3 N N N N N N N/A N/A 000000000 -93.000000 NC 100180.830000 0.0536382 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -11367497.950000 EUR 100180.830000 N N N N/A N/A 000000000 1.000000 NC -12711.790000 -0.0068061 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1969101.490000 USD 2515330.240000 SGD 2026-04-02 -12711.790000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 10.000000 PA 1.030000 0.0000006 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -828.950000 -0.0004438 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1822560.560000 TRY 39178.000000 USD 2026-04-22 -828.950000 N N N N/A N/A 000000000 1.000000 NC -1251.780000 -0.0006702 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 54719.300000 CZK 46000.000000 EUR 2026-08-12 -1251.780000 N N N BANC OF AMERICA FUNDING CORP 2007-5 N/A 059523AG5 126180.880000 PA USD 108242.650000 0.0579546 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 44.910000 0.000024 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2719.000000 USD 14506.680000 BRL 2026-06-02 44.910000 N N N N/A N/A 000000000 1.000000 NC -768479.690000 -0.411455 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2044-06-19 0.000000 JPY -774689.140000 JPY 493600000.000000 JPY 6209.450000 N N N N/A N/A 000000000 1.000000 NC 1659.840000 0.0008887 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 23000.000000 USD 12296950.000000 KZT 2026-07-29 1659.840000 N N N N/A N/A 000000000 1.000000 NC USD 15052.440000 0.0080593 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -1773.000000 USD 600000.000000 USD 16825.440000 N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI389068 200000.000000 PA USD 196650.000000 0.105289 Long DBT NUSS EC N 2 2039-01-29 Fixed 9.25 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 -475000.000000 PA USD -399241.210000 -0.213759 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -179203.550000 -0.0959481 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (09/16/26) LCH N/A N/A 2028-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2028-09-16 0.000000 GBP -97164.290000 GBP 9080000.000000 GBP -82039.260000 N N N N/A N/A 000000000 1.000000 NC 8420.870000 0.0045087 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2027-06-18 12774.160000 CAD 0.000000 CAD 1700000.000000 CAD -4353.290000 N N N N/A N/A 000000000 1.000000 NC -127.310000 -0.0000682 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40285.270000 USD 126000.000000 ILS 2026-06-10 -127.310000 N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1 N/A 16160VAB9 563820.580000 PA USD 506941.350000 0.271423 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 513.090000 0.0002747 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 52214.000000 USD 2373611.890000 TRY 2026-04-13 513.090000 N N N N/A N/A 000000000 1.000000 NC USD -47510.400000 -0.0254377 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-17 0.000000 USD -55171.570000 USD 4200000.000000 USD 7661.170000 N N N THORNBURG MORTGAGE SECURITIES TR 2004-3 N/A 885220FS7 10520.920000 PA USD 10032.690000 0.0053716 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.53303 N N N N N N N/A N/A 000000000 1.000000 NC USD 1348.120000 0.0007218 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-05-15 0.000000 USD 0.000000 USD 2400000.000000 USD 1348.120000 N N N CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA N/A 224939AA6 2900000.000000 PA 904192.650000 0.484117 Long DBT CORP PE N 2 2043-12-15 Fixed 10.1 N N N N N N N/A N/A 000000000 1.000000 NC -10202.760000 -0.0054627 N/A DFE RO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 488424.940000 EUR 2111509.850000 RON 2026-04-22 -10202.760000 N N N N/A N/A 000000000 1.000000 NC -1217.920000 -0.0006521 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4346454.220000 TRY 93444.000000 USD 2026-04-28 -1217.920000 N N N N/A N/A 000000000 1.000000 NC 529.610000 0.0002836 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3093586.080000 THB 94911.000000 USD 2026-06-17 529.610000 N N N N/A N/A 000000000 1.000000 NC 439.980000 0.0002356 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 41726.270000 USD 408291.550000 NOK 2026-04-07 439.980000 N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HCD7 200000.000000 PA USD 224242.150000 0.120062 Long DBT CORP IT N 2 2033-11-28 Fixed 7.2 N N N N N N N/A N/A 000000000 1.000000 NC 18175.690000 0.0097315 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 403362.790000 CHF 522631.410000 USD 2026-04-02 18175.690000 N N N N/A N/A 000000000 1.000000 NC 673.170000 0.0003604 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 59064.000000 EUR 69067.880000 RON 2026-05-11 673.170000 N N N N/A N/A 000000000 1.000000 NC 1976.740000 0.0010584 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 67553.330000 USD 3103332.430000 TRY 2026-04-06 1976.740000 N N N BULGARIAN GOVT 529900PG0XCL4LICL838 ACI2YSLY5 200000.000000 PA 216645.630000 0.115995 Long DBT NUSS BG N 2 2045-07-18 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 50.430000 0.000027 N/A DFE RO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 68833.670000 RON 15629.510000 USD 2026-05-04 50.430000 N N N BLUEMOUNTAIN CLO LTD 2018-3A N/A 09630AAN6 174764.030000 PA USD 174945.250000 0.0936681 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 4.85802 N N N N N N N/A N/A 000000000 1.000000 NC -67922.130000 -0.0363665 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-09-17 37015.940000 AUD 0.000000 AUD 2400000.000000 AUD -104938.070000 N N N N/A N/A 000000000 1.000000 NC -166532.780000 -0.089164 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6179000.000000 USD 193415058.000000 TWD 2027-01-19 -166532.780000 N N N N/A N/A 000000000 1.000000 NC -190.270000 -0.0001019 N/A DFE RO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 20455.240000 EUR 89512.120000 RON 2026-04-29 -190.270000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI06HZS2 900000.000000 PA 40754.380000 0.0218205 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -40499.280000 -0.0216839 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 60206410.750000 CNY 8700713.000000 USD 2026-04-02 -40499.280000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 77.020000 PA 8.670000 0.0000046 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 32190.000000 NS USD 740370.000000 0.396404 Long EC CORP LU Y 3 N N N THAILAND GOVT 254900PHJ6MSKT6C7026 ACI2SCV91 26500000.000000 PA 791255.610000 0.423649 Long DBT NUSS TH N 2 2040-06-17 Fixed 2.7 N N N N N N N/A N/A 000000000 1.000000 NC -653.040000 -0.0003496 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 79695.050000 USD 1344335951.000000 IDR 2026-06-10 -653.040000 N N N N/A N/A 000000000 1.000000 NC -715.500000 -0.0003831 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 18888000.000000 INR 200000.000000 USD 2026-04-30 -715.500000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2PXFN5 2700000.000000 PA 12667.650000 0.0067824 Long DBT NUSS JP N 2 2054-06-20 Fixed 2.2 N N N N N N N/A N/A 000000000 1.000000 NC -1024.180000 -0.0005484 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 63652.000000 USD 1138556.050000 MXN 2026-09-17 -1024.180000 N N N N/A N/A 000000000 1.000000 NC -10461.310000 -0.0056011 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 308318.050000 USD 5371486.240000 MXN 2026-06-17 -10461.310000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BSQNRDII4 3100000.000000 PA 4096145.010000 2.19313 Long DBT NUSS GB N 2 2030-03-07 Fixed 4.375 N N N N N N N/A N/A 000000000 81034.000000 NC USD 258.580000 0.0001384 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 -295.530000 N N N N/A N/A 000000000 1.000000 NC -6322.540000 -0.0033852 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 523613.000000 USD 48612754.530000 INR 2026-04-24 -6322.540000 N N N N/A N/A 000000000 1.000000 NC 3441.420000 0.0018426 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4134611.750000 THB 128942.000000 USD 2026-04-16 3441.420000 N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TH1 6590.930000 PA USD 6490.320000 0.003475 Long ABS-MBS CORP US N 2 2036-07-25 Variable 5.526 N N N N N N N/A N/A 000000000 1.000000 NC -68088.380000 -0.0364555 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7165665.990000 USD 227223269.000000 TWD 2026-04-16 -68088.380000 N N N N/A N/A 000000000 1.000000 NC -63531.640000 -0.0340157 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2029-10-11 0.000000 EUR 0.000000 EUR 2450000.000000 EUR -63531.640000 N N N ELSTREE 2025-2 1ST PLC 252-1ST N/A ACI30PVB5 491627.480000 PA 649358.490000 0.347676 Long ABS-MBS CORP GB N 2 2065-10-21 Floating 4.4709 N N N N N N N/A N/A 000000000 1.000000 NC 2052.240000 0.0010988 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 23000.000000 USD 12453350.000000 KZT 2026-07-20 2052.240000 N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS12 N/A 751151AQ4 31227.950000 PA USD 23859.600000 0.0127748 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 5 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WQVJ3 371500000.000000 PA 98465.980000 0.0527201 Long DBT NUSS CO N 2 2040-11-28 Fixed 12.75 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1VHWN6 500000.000000 PA 275617.850000 0.14757 Long DBT CORP AU N 2 2032-08-20 Fixed 1.5 N N N N N N BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1A N/A ACI2X1P88 490633.220000 PA 649337.420000 0.347664 Long ABS-MBS CORP GB N 2 2067-05-17 Floating 4.57743 N N N N N N N/A N/A 000000000 1.000000 NC 10.800000 0.0000058 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 81000.000000 GBP 107218.140000 USD 2026-05-05 10.800000 N N N N/A N/A 000000000 1.000000 NC -76367.870000 -0.0408884 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2035-11-07 0.000000 COP 0.000000 COP 3431600000.000000 COP -76367.870000 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087R48 2900000.000000 PA 2032402.030000 1.08818 Long DBT NUSS CA N 2 2034-06-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 4706.750000 0.0025201 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 919588.780000 USD 5975755.490000 DKK 2026-04-07 4706.750000 N N N SERBIA GOVT 254900W94OCY91V32O78 ACI1MBV00 1100000.000000 PA 1258733.600000 0.673944 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.125 N N N N N N N/A N/A 000000000 1.000000 NC -86.270000 -0.0000462 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3049.420000 USD 11000.000000 PLN 2026-04-15 -86.270000 N N N N/A N/A 000000000 1.000000 NC 6.690000 0.0000036 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 535.420000 USD 24091.760000 TRY 2026-04-02 6.690000 N N N N/A N/A 000000000 1.000000 NC -1986.950000 -0.0010638 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 86930292.160000 INR 916058.550000 USD 2026-04-07 -1986.950000 N N N N/A N/A 000000000 1.000000 NC -269469.760000 -0.144278 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2050-05-27 0.000000 EUR -35425.690000 EUR 500000.000000 EUR -234044.070000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BT4 400000.000000 PA USD 393578.930000 0.210728 Long DBT CORP CH N 2 2033-11-06 Floating 4.844 N N N N N N N/A N/A 000000000 1.000000 NC 398.160000 0.0002132 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 188637.000000 USD 62920494.000000 HUF 2026-04-15 398.160000 N N N N/A N/A 000000000 1.000000 NC -1225.950000 -0.0006564 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 396263.000000 USD 37123899.160000 INR 2026-04-24 -1225.950000 N N N N/A N/A 000000000 1.000000 NC -49.700000 -0.0000266 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 190808.360000 RON 43184.880000 EUR 2026-04-14 -49.700000 N N N MOROCCO GOVT 529900F3MBW9XY5K1X07 ACI2W0J21 1000000.000000 PA 1149851.360000 0.615646 Long DBT NUSS MA N 2 2029-04-02 Fixed 3.875 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2QBM79 1555000000.000000 PA 1709616.950000 0.915353 Long DBT NUSS CL N 2 2029-10-01 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC 190943.010000 0.102234 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 380519237.000000 TWD 12035654.000000 USD 2026-06-04 190943.010000 N N N N/A N/A 000000000 -200000.000000 NC USD -556.680000 -0.0002981 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05500 04/29/26-10Y LCH 2036-04-29 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2026-04-27 XXXX 148.320000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SE9 980000.000000 PA USD 768266.400000 0.411341 Long DBT UST US N 2 2048-11-15 Fixed 3.375 N N N N N N ARCAN-2A N/A ACI2YDJX3 500000.000000 PA 577984.170000 0.309461 Long ABS-CBDO CORP IE N 2 2039-07-25 Floating 3.28 N N N N N N N/A N/A 000000000 1.000000 NC 107.740000 0.0000577 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 936498.000000 TWD 29370.190000 USD 2026-04-13 107.740000 N N N N/A N/A 000000000 1.000000 NC -462.850000 -0.0002478 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 115198.000000 USD 1947376767.000000 IDR 2026-04-16 -462.850000 N N N N/A N/A 000000000 1.000000 NC -30648.180000 -0.0164095 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 1542900000.000000 COP -30648.180000 N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172DH9 300000.000000 PA USD 307076.580000 0.164413 Long DBT CORP US N 2 2031-02-13 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC -52443.880000 -0.0280792 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2030-06-17 0.000000 CAD -111841.480000 CAD 1300000.000000 CAD 59397.600000 N N N N/A N/A 000000000 1.000000 NC -5048.170000 -0.0027029 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 193044.000000 USD 697900.390000 PLN 2026-04-22 -5048.170000 N N N RENAISSANCE HOME EQUITY LOAN TRUST 2006-2 N/A 759676AF6 478277.680000 PA USD 159799.650000 0.085559 Long ABS-MBS CORP US N 2 2036-08-25 Variable 5.797 N N N N N N N/A N/A 000000000 1.000000 NC 1023.460000 0.000548 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 116005.000000 USD 11027703.270000 INR 2026-05-06 1023.460000 N N N N/A N/A 000000000 1.000000 NC -439.030000 -0.0002351 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 408327.020000 NOK 41726.270000 USD 2026-05-04 -439.030000 N N N N/A N/A 000000000 1.000000 NC 2235.390000 0.0011969 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 531000.000000 EUR 615991.860000 USD 2026-04-02 2235.390000 N N N MAGYAR EXPORT-IMPORT BANK RT (AKA: EXPORT-IMPORT BANK OF HUNGARY) 529900O4UGETQ9Q3AA63 55977YAA6 700000.000000 PA USD 708335.520000 0.379253 Long DBT MUN HU N 2 2027-12-04 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC 18233.750000 0.0097626 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 37081632.000000 TWD 1176000.000000 USD 2026-04-20 18233.750000 N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1KDG39 300000.000000 PA 155863.890000 0.0834517 Long DBT CORP AU N 2 2034-07-20 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -8846.590000 -0.0047366 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1927145.170000 USD 3338204.000000 NZD 2026-04-02 -8846.590000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BD9H2PII9 1.150000 PA 0.150000 0.0000001 Long DBT CORP DK N 2 2050-07-01 Fixed 1.5 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI2KMVF3 1000000.000000 PA 668265.050000 0.357798 Long DBT CORP AU N 2 2036-07-21 Fixed 5.25 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVX6 186566.010000 PA USD 60633.880000 0.0324642 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.57144 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 8596.940000 PA 9949.120000 0.0053269 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 2.84 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 776627.900000 PA USD 7563579.090000 4.04965 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC 302.440000 0.0001619 N/A DIR CO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-02-11 0.000000 COP 0.000000 COP 7400000.000000 COP 302.440000 N N N N/A N/A 000000000 1.000000 NC 2885.080000 0.0015447 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 271936.060000 EUR 1212875.630000 RON 2026-04-14 2885.080000 N N N N/A N/A 000000000 1.000000 NC -67.810000 -0.0000363 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 28493.370000 BRL 5433.000000 USD 2026-04-02 -67.810000 N N N N/A N/A 000000000 1.000000 NC 717.410000 0.0003841 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 92906.460000 USD 81000.000000 EUR 2026-04-02 717.410000 N N N FNMA PASS THRU POOLS N/A 3138A4TN5 4842.250000 PA USD 4679.410000 0.0025054 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -228.130000 -0.0001221 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1360351.280000 ZAR 80057.000000 USD 2026-04-20 -228.130000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GMM8 500000.000000 PA USD 510067.270000 0.273097 Long DBT CORP US N 2 2036-01-24 Floating 5.511 N N N N N N N/A N/A 000000000 1.000000 NC -12789.510000 -0.0068477 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 -1005.150000 GBP 300000.000000 GBP -11784.360000 N N N N/A N/A 000000000 1.000000 NC USD 30842.570000 0.0165135 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 1100000.000000 USD 30842.570000 N N N N/A N/A 000000000 1.000000 NC -17906.860000 -0.0095876 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 151000.000000 USD 7406550.000000 EGP 2026-04-20 -17906.860000 N N N N/A N/A 000000000 1.000000 NC -115.400000 -0.0000618 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 25568.000000 USD 431971360.000000 IDR 2026-04-13 -115.400000 N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 800000.000000 PA USD 805200.000000 0.431115 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 2569.610000 0.0013758 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85856.240000 USD 1585387.000000 MXN 2026-04-10 2569.610000 N N N N/A N/A 000000000 1.000000 NC USD -1253.000000 -0.0006709 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1253.000000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UT3 100000.000000 PA USD 96414.060000 0.0516214 Long DBT UST US N 2 2046-02-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC -847.060000 -0.0004535 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 99308.000000 USD 3243538.310000 THB 2026-04-17 -847.060000 N N N N/A N/A 000000000 1.000000 NC 41.430000 0.0000222 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 207000.000000 CNY 30095.220000 USD 2026-04-02 41.430000 N N N N/A N/A 000000000 1.000000 NC 694.460000 0.0003718 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1343086315.000000 IDR 79663.000000 USD 2026-06-10 694.460000 N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 15369.380000 PA USD 10868.780000 0.0058193 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.21303 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAF0 636541.660000 PA USD 332098.110000 0.17781 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.02303 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI35CC95 600000.000000 PA 655186.760000 0.350796 Long DBT NUSS CO N 2 2034-11-26 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -1110.960000 -0.0005948 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4273567.900000 TRY 93444.000000 USD 2026-04-16 -1110.960000 N N N N/A N/A 000000000 1.000000 NC -15065.400000 -0.0080662 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 428357797.000000 JPY 2692078.000000 USD 2026-05-07 -15065.400000 N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 39963.250000 PA USD 37724.120000 0.020198 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC -28812.170000 -0.0154264 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 910745.420000 USD 83510801.290000 INR 2026-04-07 -28812.170000 N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 40853.960000 PA USD 39526.600000 0.0211631 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.11303 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 1493.000000 NS USD 34339.000000 0.0183856 Long EC CORP LU N 3 N N N N/A N/A 000000000 1.000000 NC 1137.430000 0.000609 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 250000.000000 SGD 195584.030000 USD 2026-04-02 1137.430000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 4.790000 PA 0.570000 0.0000003 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -239.590000 -0.0001283 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 35503512.000000 KRW 23368.850000 USD 2026-04-13 -239.590000 N N N N/A N/A 000000000 1.000000 NC 1170.750000 0.0006268 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 92908.580000 USD 4180932.550000 TRY 2026-04-02 1170.750000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DEB1 500000.000000 PA USD 497509.250000 0.266373 Long DBT CORP US N 2 2026-05-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1849.330000 -0.0009902 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 229508.610000 USD 172000.000000 GBP 2026-04-02 -1849.330000 N N N SPECIALTY UNDERWRITING & RESID 2006-BC2 N/A 84751PLP2 439586.410000 PA USD 139607.630000 0.0747479 Long ABS-MBS CORP US N 2 2037-02-25 Variable 6.3501 N N N N N N QATARENERGY 254900QTESJKJ3P87J26 74730DAC7 200000.000000 PA USD 176287.200000 0.0943866 Long DBT CORP QA N 2 2031-07-12 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC -823.330000 -0.0004408 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 301884592.750000 COP 80015.000000 USD 2026-06-17 -823.330000 N N N N/A N/A 000000000 1.000000 NC 1948.140000 0.0010431 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 448658.660000 ILS 144667.000000 USD 2026-04-06 1948.140000 N N N N/A N/A 000000000 1.000000 NC USD 15370.070000 0.0082293 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-06-17 3126.790000 USD 0.000000 USD 1430000.000000 USD 12243.280000 N N N N/A N/A 000000000 1.000000 NC -315.820000 -0.0001691 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 22499.000000 USD 33357595.000000 KRW 2026-04-16 -315.820000 N N N N/A N/A 000000000 1.000000 NC -2063.200000 -0.0011047 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 97961.380000 USD 356000.000000 PLN 2026-04-15 -2063.200000 N N N N/A N/A 000000000 1.000000 NC 94998.590000 0.0508636 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 194774438.000000 TWD 6179000.000000 USD 2026-04-16 94998.590000 N N N N/A N/A 000000000 1.000000 NC -58.500000 -0.0000313 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20000.000000 USD 29981403.000000 KRW 2026-04-23 -58.500000 N N N JABIL INC 5493000CGCQY2OQU7669 46652MED3 250000.000000 PA USD 248627.580000 0.133119 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 2343.900000 0.001255 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2029-09-01 0.000000 CAD -3710.880000 CAD 2500000.000000 CAD 6054.780000 N N N N/A N/A 000000000 1.000000 NC -649.980000 -0.000348 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 165977.970000 RON 142955.000000 EUR 2026-04-14 -649.980000 N N N N/A N/A 000000000 1.000000 NC -797.640000 -0.0004271 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 216593.000000 USD 3663601069.000000 IDR 2026-04-27 -797.640000 N N N FNMA PASS THRU POOLS N/A 31416CDJ2 2308.970000 PA USD 2374.210000 0.0012712 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 458.110000 0.0002453 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 64128.720000 USD 444527.460000 CNY 2026-05-21 458.110000 N N N N/A N/A 000000000 1.000000 NC USD -1066.830000 -0.0005712 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1066.830000 N N N N/A N/A 000000000 1.000000 NC -1482.210000 -0.0007936 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 51659.000000 USD 912199.790000 MXN 2026-09-17 -1482.210000 N N N N/A N/A 000000000 1.000000 NC 1005.240000 0.0005382 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1233000.000000 EUR 1426168.560000 USD 2026-04-02 1005.240000 N N N N/A N/A 000000000 1.000000 NC 3601.970000 0.0019285 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2371263.110000 THB 75601.000000 USD 2026-04-20 3601.970000 N N N CAPITAL FOUR CLO X DAC 10A N/A ACI2ZN408 700000.000000 PA 807687.650000 0.432447 Long ABS-CBDO CORP IE N 2 2038-10-25 Floating 3.279 N N N N N N PRIME MORTGAGE TR 2006-CL1 N/A 74161QAA0 11652.190000 PA USD 11647.390000 0.0062362 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1.000000 NC USD -2723.390000 -0.0014581 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 200000.000000 USD -2723.390000 N N N WMALT MTGE PASS-THRU CERT 2005-9 N/A 93934FEN8 49856.160000 PA USD 46556.930000 0.0249272 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N FAIR OAKS LOAN FUNDING V DAC 5A N/A ACI384R29 500000.000000 PA 577600.370000 0.309255 Long ABS-CBDO CORP IE N 2 2036-10-15 Floating 3.268 N N N N N N FNMA PASS THRU POOLS N/A 31417WKT7 14156.950000 PA USD 14315.530000 0.0076647 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -3086.250000 -0.0016524 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2031-09-16 0.000000 CHF -3473.560000 CHF 400000.000000 CHF 387.310000 N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BMF7LTII5 1000000.000000 PA 506506.230000 0.271191 Long DBT MUN AU N 2 2035-09-17 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 21H022648 3400000.000000 PA USD 2925593.750000 1.5664 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 2.5 N N N N N N KAZMUNAYGAS NATIONAL JSC 2138001H1M69RFJCSH88 ACI1S0N15 550000.000000 PA USD 494185.260000 0.264594 Long DBT CORP KZ N 2 2033-04-14 Fixed 3.5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI34G249 21800000.000000 PA 1261754.140000 0.675561 Long DBT NUSS ZA N 2 2026-08-05 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 6615.470000 0.003542 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 78000.000000 USD 42003000.000000 KZT 2026-07-16 6615.470000 N N N N/A N/A 000000000 1.000000 NC 19535.250000 0.0104594 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5793614.470000 DKK 915658.260000 USD 2026-04-07 19535.250000 N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630CA4 94445.990000 PA USD 92199.710000 0.049365 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.782 N N N N N N N/A N/A 000000000 1.000000 NC 593.940000 0.000318 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1178000.000000 MXN 65915.760000 USD 2026-06-17 593.940000 N N N BDS 2021-FL10 LTD N/A 07335YAA4 187754.700000 PA USD 187983.790000 0.100649 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 5.14404 N N N N N N N/A N/A 000000000 1.000000 NC 36.240000 0.0000194 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 249179.590000 HKD 31846.740000 USD 2026-04-20 36.240000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2XSL83 600000.000000 PA 176053.330000 0.0942614 Long DBT NUSS PE N 2 2035-08-12 Fixed 6.85 N N N N N N N/A N/A 000000000 1.000000 NC -1562.390000 -0.0008365 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 336963155.040000 COP 86773.490000 USD 2026-09-16 -1562.390000 N N N N/A N/A 000000000 1.000000 NC 483.630000 0.0002589 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 51844.510000 USD 495372.190000 SEK 2026-04-02 483.630000 N N N N/A N/A 000000000 1.000000 NC 7447.890000 0.0039877 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1398837.000000 USD 223184443.000000 JPY 2026-04-02 7447.890000 N N N FNMA PASS THRU POOLS N/A 3138ABRY7 12618.150000 PA USD 12735.450000 0.0068187 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -3327.080000 -0.0017814 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2027-06-18 2724.480000 JPY 0.000000 JPY 306700000.000000 JPY -6051.560000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAV4 420513.110000 PA USD 167792.340000 0.0898384 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 1045000000.000000 PA 1105290.630000 0.591788 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC 27.250000 0.0000146 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 17043.530000 USD 789950.570000 TRY 2026-05-04 27.250000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 1.200000 PA 0.150000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 343000.000000 NC USD 522.050000 0.0002795 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 72.470000 N N N N/A N/A 000000000 1.000000 NC -3432.800000 -0.001838 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 153200000.000000 COP -3432.800000 N N N N/A N/A 000000000 1.000000 NC -4853.410000 -0.0025986 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 119002.090000 USD 3759447.350000 THB 2026-04-20 -4853.410000 N N N N/A N/A 000000000 1.000000 NC USD -2529.180000 -0.0013542 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-18 61470.700000 USD 0.000000 USD 8900000.000000 USD -63999.880000 N N N N/A N/A 000000000 1.000000 NC 338.030000 0.000181 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 146651.810000 EUR 648714.280000 RON 2026-04-14 338.030000 N N N N/A N/A 000000000 1.000000 NC 243.530000 0.0001304 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 29513.350000 USD 1346694.160000 TRY 2026-04-17 243.530000 N N N N/A N/A 000000000 1.000000 NC 486.910000 0.0002607 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 495973.000000 USD 46655188.160000 INR 2026-04-24 486.910000 N N N N/A N/A 000000000 1.000000 NC 97257.550000 0.052073 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-06-18 102180.950000 JPY 0.000000 JPY 80000000.000000 JPY -4923.400000 N N N N/A N/A 000000000 1.000000 NC -245.700000 -0.0001316 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4345375.730000 TRY 93461.000000 USD 2026-05-06 -245.700000 N N N N/A N/A 000000000 1.000000 NC -8823.250000 -0.0047241 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 24200000.000000 CZK -8823.250000 N N N N/A N/A 000000000 1.000000 NC -60.320000 -0.0000323 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 10622.990000 USD 13580.430000 SGD 2026-04-02 -60.320000 N N N N/A N/A 000000000 1.000000 NC 63474.220000 0.033985 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-01 0.000000 PLN -1526.190000 PLN 15000000.000000 PLN 65000.410000 N N N N/A N/A 000000000 1.000000 NC -1264.560000 -0.0006771 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 74763.110000 CZK 63238.000000 EUR 2026-08-10 -1264.560000 N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 128198.550000 PA USD 116649.480000 0.0624558 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.13587 N N N N N N N/A N/A 000000000 1.000000 NC 164616.490000 0.088138 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6341329.340000 USD 34147107.300000 BRL 2026-06-02 164616.490000 N N N N/A N/A 000000000 1.000000 NC -56380.310000 -0.0301868 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2229499.990000 USD 69907087.000000 TWD 2027-01-20 -56380.310000 N N N FNMA PASS THRU POOLS N/A 31414PUU1 3753.220000 PA USD 3868.620000 0.0020713 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418FAY3 86541.010000 PA USD 89530.150000 0.0479357 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -170758.530000 -0.0914265 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6179000.000000 USD 193279120.000000 TWD 2027-01-19 -170758.530000 N N N MDPK-2021-39A N/A 55821LAJ3 700000.000000 PA USD 700958.540000 0.375303 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 4.9192 N N N N N N N/A N/A 000000000 1.000000 NC 258.820000 0.0001386 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 58994.980000 USD 1257994.620000 CZK 2026-04-15 258.820000 N N N PROVIDUS CLO VII DAC 7A N/A ACI38JRZ3 500000.000000 PA 576189.200000 0.3085 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 3.164 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 857524AF9 200000.000000 PA USD 204548.240000 0.109518 Long DBT NUSS PL N 2 2030-02-12 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 4898.170000 0.0026225 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-09-01 0.000000 CAD 0.000000 CAD 600000.000000 CAD 4898.170000 N N N N/A N/A 000000000 1.000000 NC -323.300000 -0.0001731 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 302597.810000 RON 68136.200000 EUR 2026-05-11 -323.300000 N N N N/A N/A 000000000 1.000000 NC 1408.250000 0.000754 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 75000.000000 USD 395783.250000 BRL 2026-04-02 1408.250000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151ABW9 307283.370000 PA USD 127999.040000 0.0685325 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.5 N N N N N N TEXAS NATURAL GAS SECURITIZATION FINANCE CORP N/A 88258MAA3 167461.500000 PA USD 171619.700000 0.0918876 Long DBT MUN US N 2 2035-04-01 Fixed 5.102 N N N N N N N/A N/A 000000000 1.000000 NC 1488.590000 0.000797 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 363000.000000 ILS 117181.750000 USD 2026-06-10 1488.590000 N N N N/A N/A 000000000 1.000000 NC -18.870000 -0.0000101 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 75041.280000 USD 3475304.260000 TRY 2026-05-05 -18.870000 N N N N/A N/A 000000000 1.000000 NC 2788.870000 0.0014932 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 100147.270000 USD 1846315.000000 MXN 2026-04-15 2788.870000 N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 131680.060000 PA USD 109802.840000 0.05879 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-29T1 N/A 02147PCJ1 19749.520000 PA USD 13787.600000 0.0073821 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -20.340000 -0.0000109 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20208.880000 RON 17444.000000 EUR 2026-04-29 -20.340000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI30CS02 1500000.000000 PA 87570.660000 0.0468865 Long DBT NUSS ZA N 2 2026-06-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 2405.720000 0.0012881 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 124802.230000 USD 5703649.110000 TRY 2026-04-10 2405.720000 N N N N/A N/A 000000000 1.000000 NC -67704.360000 -0.0362499 N/A DIR NO N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2031-03-18 0.000000 NOK -52260.130000 NOK 17300000.000000 NOK -15444.230000 N N N N/A N/A 000000000 23.000000 NC -6802.870000 -0.0036424 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 1644884.500000 AUD -6802.870000 N N N N/A N/A 000000000 1.000000 NC 67.800000 0.0000363 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5433.000000 USD 28871.510000 BRL 2026-06-02 67.800000 N N N N/A N/A 000000000 1.000000 NC 3776.010000 0.0020217 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 785494.000000 USD 74172234.690000 INR 2026-04-24 3776.010000 N N N N/A N/A 000000000 1.000000 NC -3599.030000 -0.001927 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1212009.300000 RON 271116.490000 EUR 2026-04-08 -3599.030000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GC93 400000.000000 PA USD 406840.540000 0.217828 Long DBT CORP US N 2 2031-04-23 Floating 5.218 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WZRP4 2610200000.000000 PA 658111.590000 0.352362 Long DBT NUSS CO N 2 2029-08-22 Fixed 11 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QD99 250000.000000 PA USD 249737.450000 0.133713 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 USD 193211.190000 0.103448 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2276500000.000000 JPY 15176666.670000 USD 2027-12-16 -1060.530000 N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 408272.620000 PA USD 199513.110000 0.106822 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.01303 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAF5 463972.170000 PA USD 105474.560000 0.0564725 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 -3142.240000 -0.0016824 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 129000.000000 USD 11917548.900000 INR 2026-04-07 -3142.240000 N N N N/A N/A 000000000 381000.000000 NC USD 579.880000 0.0003105 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX 13.110000 N N N N/A N/A 000000000 1.000000 NC -1806.080000 -0.000967 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 708816400.000000 COP 188000.000000 USD 2026-06-17 -1806.080000 N N N N/A N/A 000000000 1.000000 NC USD -2969.020000 -0.0015897 N/A DCR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2030-12-20 0.000000 USD -3893.720000 USD 100000.000000 USD 924.700000 N N N BEIGNET INVESTOR LLC N/A 076912AA2 1700000.000000 PA USD 1749181.770000 0.936536 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N N/A N/A 000000000 1.000000 NC -6209.030000 -0.0033244 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 31848200.000000 KZT 59000.000000 USD 2026-06-03 -6209.030000 N N N FNMA PASS THRU POOLS N/A 31415REY6 7020.840000 PA USD 7205.490000 0.0038579 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AHB4 10723.810000 PA USD 9861.080000 0.0052798 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.95 N N N N N N N/A N/A 000000000 1.000000 NC 1245.560000 0.0006669 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 289107.840000 CHF 364091.270000 USD 2026-05-04 1245.560000 N N N N/A N/A 000000000 1.000000 NC 76.240000 0.0000408 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 17444.000000 EUR 20250.290000 RON 2026-04-14 76.240000 N N N N/A N/A 000000000 1.000000 NC -1635.670000 -0.0008758 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 188263.330000 USD 141000.000000 GBP 2026-04-02 -1635.670000 N N N N/A N/A 000000000 1.000000 NC 832.700000 0.0004458 N/A DFE CO N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 23706.000000 USD 91637913.600000 COP 2026-06-17 832.700000 N N N N/A N/A 000000000 1.000000 NC 2264.050000 0.0012122 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 77945.820000 USD 1438685.000000 MXN 2026-04-15 2264.050000 N N N N/A N/A 000000000 1.000000 NC 1323.140000 0.0007084 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 232158.600000 USD 202000.000000 EUR 2026-04-02 1323.140000 N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 26937.330000 PA USD 25948.050000 0.0138929 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.24273 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 L26915AA3 367870.000000 PA USD 361501.100000 0.193553 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC 853.810000 0.0004571 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 467624.000000 USD 44025549.640000 INR 2026-04-24 853.810000 N N N N/A N/A 000000000 1.000000 NC -4674.930000 -0.002503 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 231668.540000 USD 329000.000000 AUD 2026-04-02 -4674.930000 N N N N/A N/A 000000000 1.000000 NC -28.490000 -0.0000153 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 392911.000000 MXN 21759.000000 USD 2026-06-17 -28.490000 N N N N/A N/A 000000000 1.000000 NC 2833.390000 0.001517 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 322098438.000000 KRW 217000.000000 USD 2026-04-10 2833.390000 N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 100000.000000 PA USD 91135.610000 0.0487953 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EW55 192497.760000 PA USD 199567.960000 0.106852 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -1241.450000 -0.0006647 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 364091.270000 USD 290134.720000 CHF 2026-04-02 -1241.450000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI2WQ115 4250000.000000 PA 250546.720000 0.134146 Long DBT NUSS ZA N 2 2026-04-22 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3357.590000 0.0017977 N/A DFE GB N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 242000.000000 GBP 323668.900000 USD 2026-04-02 3357.590000 N N N N/A N/A 000000000 1.000000 NC USD 5568.470000 0.0029814 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-29 0.000000 USD -2783.540000 USD 248000.000000 USD 8352.010000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 990ADDTR8 9294700000.000000 PA 2302007.150000 1.23253 Long DBT NUSS US N 2 2035-01-24 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 27296.420000 0.0146149 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2031-09-16 0.000000 SGD -11048.130000 SGD 5000000.000000 SGD 38344.550000 N N N N/A N/A 000000000 1.000000 NC -14658.640000 -0.0078484 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2026-09-15 0.000000 CHF -18565.570000 CHF 2500000.000000 CHF 3906.930000 N N N N/A N/A 000000000 1.000000 NC -1710.930000 -0.0009161 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 173000.000000 USD 2913261664.000000 IDR 2026-06-10 -1710.930000 N N N N/A N/A 000000000 1.000000 NC -10.670000 -0.0000057 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 68532.460000 TRY 1497.650000 USD 2026-04-20 -10.670000 N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AD8 38582.940000 PA USD 32278.110000 0.0172821 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.21303 N N N N N N N/A N/A 000000000 1.000000 NC 1603.770000 0.0008587 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 117000.000000 SGD 92604.780000 USD 2026-04-02 1603.770000 N N N N/A N/A 000000000 1.000000 NC -4700.480000 -0.0025167 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 5966475.920000 DKK 919588.780000 USD 2026-05-04 -4700.480000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 958ZIBII4 744080000.000000 PA 512373.530000 0.274332 Long DBT NUSS NG N 2 2026-06-29 None 0 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBK4 400000.000000 PA USD 408990.230000 0.218979 Long DBT NUSS SA N 2 2031-01-13 Fixed 5.375 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78017DAQ1 400000.000000 PA USD 393402.860000 0.210633 Long DBT CORP CA N 2 2031-11-03 Floating 4.305 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2MHL63 -900000.000000 PA -841397.700000 -0.450496 Short DBT NUSS FR N 2 2049-06-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 44.020000 0.0000236 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 119199.000000 USD 2024412545.000000 IDR 2026-04-27 44.020000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1S5B09 1400000.000000 PA 333686.840000 0.178661 Long DBT NUSS MY N 2 2031-04-15 Fixed 2.632 N N N N N N N/A N/A 000000000 1.000000 NC -874.160000 -0.000468 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2527000.000000 CNY 366014.400000 USD 2026-04-02 -874.160000 N N N N/A N/A 000000000 178000.000000 NC USD 255.960000 0.000137 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX -5.700000 N N N FNMA PASS THRU POOLS N/A 31410KM92 4370.430000 PA USD 4512.350000 0.002416 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N ROCKFORD TOWER EUROPE CLO 2018-1A DAC N/A ACI2ZP3T1 500000.000000 PA 577615.920000 0.309264 Long ABS-CBDO CORP IE N 2 2036-08-29 Floating 3.271 N N N N N N N/A N/A 000000000 1.000000 NC 24.410000 0.0000131 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 43184.880000 RON 37362.000000 EUR 2026-04-14 24.410000 N N N N/A N/A 000000000 -200000.000000 NC USD -575.060000 -0.0003079 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.69500 04/29/26-10Y LCH 2036-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2026-04-27 XXXX 129.940000 N N N N/A N/A 000000000 1.000000 NC -236.980000 -0.0001269 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 USD 1693297730.000000 IDR 2026-04-17 -236.980000 N N N N/A N/A 000000000 1.000000 NC -2212.450000 -0.0011846 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 128700000.000000 COP -2212.450000 N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 1517.720000 PA USD 1489.880000 0.0007977 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 13.460000 0.0000072 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 120000.000000 USD 2037492504.000000 IDR 2026-04-27 13.460000 N N N SUNTRUST ADJR MRTG LN TR 2007-1 N/A 78473NAF0 36904.090000 PA USD 34388.980000 0.0184123 Long ABS-MBS CORP US N 2 2037-02-25 Floating 6.11523 N N N N N N N/A N/A 000000000 1.000000 NC -1927.740000 -0.0010321 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 69258.560000 USD 6375596.740000 INR 2026-04-07 -1927.740000 N N N N/A N/A 000000000 1.000000 NC -604.550000 -0.0003237 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 469317.960000 BRL 90000.000000 USD 2026-04-02 -604.550000 N N N N/A N/A 000000000 1.000000 NC USD 50888.010000 0.0272461 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-03-18 15264.320000 USD 0.000000 USD 9320000.000000 USD 35623.690000 N N N N/A N/A 000000000 1.000000 NC 10466.370000 0.0056038 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (09/16/26) LCH N/A N/A 2036-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2036-09-16 6849.330000 GBP 0.000000 GBP 200000.000000 GBP 3617.040000 N N N N/A N/A 000000000 1.000000 NC 22.800000 0.0000122 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 68334.820000 EUR 301684.550000 RON 2026-04-14 22.800000 N N N PHILIPPINES GOVT 529900RAHBALMYIJ3T08 718286BM8 20000000.000000 PA 314353.910000 0.16831 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.25 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BNKDTMII1 40000000.000000 PA 132721.720000 0.0710611 Long DBT NUSS JP N 2 2051-03-20 Fixed 0.7 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 900000.000000 PA USD 886564.760000 0.474679 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 31846.050000 0.0170508 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 130193037.580000 INR 1413700.000000 USD 2026-04-10 31846.050000 N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAC1 147592.780000 PA USD 98764.040000 0.0528796 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.00821 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 407675.360000 PA USD 408727.340000 0.218838 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 5.32812 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3N1 500000.000000 PA USD 498010.320000 0.266642 Long DBT CORP US N 2 2035-12-03 Floating 5.211 N N N N N N N/A N/A 000000000 1.000000 NC 1343.510000 0.0007193 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 62106493.000000 TWD 1933577.000000 USD 2026-06-24 1343.510000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MH47 33729.930000 PA USD 33038.100000 0.0176891 Long ABS-MBS CORP US N 2 2034-04-25 Floating 4.76912 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQDII7 131314.820000 PA 151021.370000 0.0808589 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -8250.290000 -0.0044173 N/A DFE RO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 415401.190000 EUR 1795800.130000 RON 2026-04-02 -8250.290000 N N N N/A N/A 000000000 1.000000 NC 120.900000 0.0000647 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 462194.450000 INR 5002.000000 USD 2026-04-07 120.900000 N N N N/A N/A 000000000 1.000000 NC -1183.300000 -0.0006336 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 481931.000000 USD 45178621.600000 INR 2026-04-24 -1183.300000 N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 18509.750000 PA USD 14788.640000 0.007918 Long ABS-MBS CORP US N 2 2037-07-25 Variable 4.9037 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 B1W32LII9 500000.000000 PA 23751.790000 0.012717 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -4262.150000 -0.002282 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2057663.520000 ZAR 117159.000000 USD 2026-04-22 -4262.150000 N N N N/A N/A 000000000 1.000000 NC 21.600000 0.0000116 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 125115.830000 USD 5802884.710000 TRY 2026-05-06 21.600000 N N N N/A N/A 000000000 1.000000 NC USD -1172.130000 -0.0006276 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1172.130000 N N N FNMA PASS THRU POOLS N/A 31402WLE6 721.770000 PA USD 716.400000 0.0003836 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 617068.280000 PA 76060.740000 0.040724 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAE2 485887.890000 PA USD 212006.690000 0.113511 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.93303 N N N N N N FNMA PASS THRU POOLS N/A 31416H6F7 3446.190000 PA USD 3553.580000 0.0019026 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -3372.470000 -0.0018057 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 258827.360000 USD 193000.000000 GBP 2026-04-02 -3372.470000 N N N N/A N/A 000000000 1.000000 NC 326.820000 0.000175 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2648656.000000 JPY 17016.000000 USD 2026-04-02 326.820000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 836205AS3 200000.000000 PA USD 156440.090000 0.0837602 Long DBT NUSS ZA N 2 2044-07-24 Fixed 5.375 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 157239.900000 PA USD 7456.190000 0.0039921 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.14178 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626VDM2 250000.000000 PA USD 249406.150000 0.133536 Long DBT CORP CA N 2 2026-04-21 None 0 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 1229.050000 PA USD 1204.170000 0.0006447 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.13248 N N N N N N N/A N/A 000000000 1.000000 NC -33695.610000 -0.0180411 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 57219972.890000 CNY 8273923.520000 USD 2026-04-02 -33695.610000 N N N N/A N/A 000000000 1.000000 NC -1302.220000 -0.0006972 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 121039.000000 USD 2542085.290000 CZK 2026-04-15 -1302.220000 N N N ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC 254900G082ZFKTCR2Q75 00402AAA9 300000.000000 PA USD 296028.080000 0.158498 Long DBT CORP AE N 2 2030-05-06 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 81.920000 0.0000439 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 354696.510000 USD 16332355.500000 TRY 2026-04-30 81.920000 N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XG3 118606.970000 PA USD 76871.370000 0.041158 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.25178 N N N N N N N/A N/A 000000000 1.000000 NC -45.290000 -0.0000242 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 393903.210000 BRL 76000.000000 USD 2026-04-02 -45.290000 N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 288961.730000 PA USD 264402.410000 0.141565 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N N/A N/A 000000000 1.000000 NC USD -585.360000 -0.0003134 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-03-18 997.880000 USD 0.000000 USD 240000.000000 USD -1583.240000 N N N N/A N/A 000000000 1.000000 NC -106674.130000 -0.0571148 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4600000.000000 USD 144545800.000000 TWD 2027-01-19 -106674.130000 N N N N/A N/A 000000000 1.000000 NC -47.300000 -0.0000253 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15748.000000 USD 517258.810000 THB 2026-04-16 -47.300000 N N N N/A N/A 000000000 1.000000 NC -2623.200000 -0.0014045 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 73446.470000 USD 1277212.000000 MXN 2026-06-17 -2623.200000 N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 1708930000.000000 PA 1104508.910000 0.591369 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 300000.000000 PA USD 296743.340000 0.158881 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N N/A N/A 000000000 1.000000 NC 989.290000 0.0005297 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 300583.000000 USD 2073872.410000 CNY 2026-06-03 989.290000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2TMXJ4 600000.000000 PA 703975.200000 0.376918 Long DBT NUSS RO N 2 2030-03-10 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 682.420000 0.0003654 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 158071.860000 ILS 51070.000000 USD 2026-06-17 682.420000 N N N N/A N/A 000000000 1.000000 NC 1951.620000 0.0010449 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 148000.000000 PLN 41819.400000 USD 2026-04-15 1951.620000 N N N SPAIN GOVT 9598007A56S18711AH60 ACI2PBKR8 1090000.000000 PA 1267158.830000 0.678454 Long DBT NUSS ES N 2 2034-10-31 Fixed 3.45 N N N N N N N/A N/A 000000000 1.000000 NC USD -26721.250000 -0.0143069 N/A DCR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 SOUTH KOREA GOVT KOREA GOVT Y Single Leg Swap 2030-12-20 0.000000 USD -32506.300000 USD 900000.000000 USD 5785.050000 N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 23991.490000 PA USD 23225.010000 0.012435 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.21188 N N N N N N FREDDIE MAC REMICS 5511 N/A 3137HKKK9 783502.330000 PA USD 790053.980000 0.423006 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.0619 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-21M N/A 05609CAA5 267765.870000 PA USD 267632.920000 0.143294 Long ABS-MBS CORP US N 2 2036-10-15 Floating 4.51748 N N N N N N LCM 30 LTD N/A 50200YAQ1 173812.620000 PA USD 174006.560000 0.0931655 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.00924 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 28400000.000000 PA 1649495.160000 0.883163 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N N/A N/A 000000000 1.000000 NC -4796.400000 -0.0025681 N/A DFE CN N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 751243.210000 USD 5141264.380000 CNY 2026-04-02 -4796.400000 N N N N/A N/A 000000000 1.000000 NC -20735.670000 -0.0111022 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-09-17 3341.800000 AUD 0.000000 AUD 500000.000000 AUD -24077.470000 N N N N/A N/A 000000000 1.000000 NC -2107.590000 -0.0011284 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 58407.360000 USD 209000.000000 PLN 2026-04-15 -2107.590000 N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDT4 1000000.000000 PA USD 1031808.240000 0.552445 Long DBT CORP JP N 2 2032-01-15 Fixed 5.454 N N N N N N N/A N/A 000000000 1.000000 NC 121554.600000 0.065082 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 4374900.000000 GBP 5912174.240000 USD 2026-04-02 121554.600000 N N N N/A N/A 000000000 1.000000 NC USD -2023.980000 -0.0010837 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2036-06-20 12461.950000 USD 0.000000 USD 8300000.000000 USD -14485.930000 N N N CANADIAN IMPERIAL BANK OF COMMERCE (CIBC) 2IGI19DL77OX0HC3ZE78 13607PVU5 900000.000000 PA USD 923155.710000 0.49427 Long DBT CORP CA N 2 2030-01-14 Fixed 4.876 N N N N N N DOMINICAN REPUBLIC GOVT 254900EHU7Q8FGVPI369 P3579ECH8 200000.000000 PA USD 184780.000000 0.0989338 Long DBT NUSS DO N 2 2032-09-23 Fixed 4.875 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 -100000.000000 PA USD -101819.520000 -0.0545156 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 6 N N N N N N N/A N/A 000000000 269000.000000 NC 156.710000 0.0000839 N/A DFE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2026-08-17 N/A 24.040000 EUR 2026-08-13 XXXX -813.640000 N N N N/A N/A 000000000 1.000000 NC -105176.050000 -0.0563127 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (09/16/26) LCH N/A N/A 2031-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2031-09-16 0.000000 GBP -70334.260000 GBP 2400000.000000 GBP -34841.790000 N N N FNMA PASS THRU POOLS N/A 31415V6U4 3167.820000 PA USD 3272.020000 0.0017519 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BD25 250000.000000 PA USD 249944.680000 0.133824 Long DBT CORP US N 2 2026-04-02 None 0 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 40913.920000 PA USD 39892.780000 0.0213591 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.13303 N N N N N N N/A N/A 000000000 1.000000 NC -284.240000 -0.0001522 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 226854.000000 RON 196020.000000 EUR 2026-04-02 -284.240000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2R9YZ8 100000.000000 PA 114792.110000 0.0614613 Long DBT NUSS RO N 2 2031-09-24 Fixed 5.125 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A1 N/A 59020U5W1 54503.980000 PA USD 24981.830000 0.0133756 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.34181 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 13438.000000 NS USD 309074.000000 0.165483 Long EC CORP LU N 3 N N N ITALY GOVT 815600DE60799F5A9309 ACI2BGT93 1900000.000000 PA 2219086.790000 1.18813 Long DBT NUSS IT N 2 2028-04-01 Fixed 3.4 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 8.630000 PA 1.020000 0.0000005 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N GNMA PASS THRU POOLS N/A 21H030641 3700000.000000 PA USD 3303752.240000 1.76887 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 3 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-6AR N/A 61749CAM3 120309.220000 PA USD 64208.140000 0.0343779 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.87432 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 5311.500000 PA USD 5251.770000 0.0028119 Long ABS-MBS CORP US N 2 2032-01-25 Floating 4.41303 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 30960.000000 PA USD 25219.140000 0.0135027 Long DBT NUSS AR N 3 2030-07-09 Variable 0.75 N N N N N N N/A N/A 000000000 -446000.000000 NC USD -2729.520000 -0.0014614 N/A DFE KY 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 2026-11-10 N/A 1.240000 USD 2026-11-05 XXXX 454.920000 N N N N/A N/A 000000000 1.000000 NC -16326.660000 -0.0087415 N/A DIR CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2032-03-17 0.000000 CNY -18705.190000 CNY 14800000.000000 CNY 2378.530000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AV4 300000.000000 PA USD 300507.180000 0.160896 Long DBT NUSS PL N 2 2033-10-04 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -780.460000 -0.0004179 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1807613.020000 TRY 39161.000000 USD 2026-04-17 -780.460000 N N N N/A N/A 000000000 1.000000 NC -197.030000 -0.0001055 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 31749.710000 USD 99000.000000 ILS 2026-06-10 -197.030000 N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 88828.480000 PA 102800.080000 0.0550406 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 2.676 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1 N/A 02149JAL0 491832.230000 PA USD 163845.100000 0.0877249 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N N/A N/A 000000000 25.000000 NC USD -34502.900000 -0.0184733 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 2704394.530000 USD -34502.900000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 1949.590000 PA USD 1923.770000 0.00103 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 52943.300000 PA USD 51966.120000 0.0278234 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F052656 1680000.000000 PA USD 1685572.310000 0.902479 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -306.430000 -0.0001641 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 440000.000000 NOK 45134.500000 USD 2026-04-07 -306.430000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 600000.000000 PA 687285.030000 0.367982 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBG3 1600000.000000 PA USD 1593988.850000 0.853444 Long DBT NUSS SA N 2 2034-01-16 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 113840.910000 0.060952 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 5253166.000000 AUD 3738263.770000 USD 2026-04-02 113840.910000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DD7 300000.000000 PA USD 299018.430000 0.160099 Long DBT CORP US N 2 2034-02-15 Fixed 5.45 N N N N N N FNMA PASS THRU POOLS N/A 31414ADY5 9851.740000 PA USD 10137.460000 0.0054277 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 3192.610000 0.0017094 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 313000.000000 PLN 87507.580000 USD 2026-04-15 3192.610000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 4416774.050000 PA 544322.380000 0.291438 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 40911.520000 0.0219046 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1762204.000000 NZD 1053561.860000 USD 2026-04-02 40911.520000 N N N N/A N/A 000000000 1.000000 NC 13821.610000 0.0074003 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 139333688.000000 JPY 891763.000000 USD 2026-04-02 13821.610000 N N N N/A N/A 000000000 1.000000 NC 1975.570000 0.0010577 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4609963.230000 INR 50660.050000 USD 2026-04-07 1975.570000 N N N N/A N/A 000000000 1.000000 NC 21356.010000 0.0114343 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (09/16/26) LCH N/A N/A 2056-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2056-09-16 15190.820000 GBP 0.000000 GBP 310000.000000 GBP 6165.190000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 33400000.000000 PA 1952670.050000 1.04549 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 -87016.640000 -0.0465899 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 16527138.310000 USD 113233804.040000 CNY 2026-04-02 -87016.640000 N N N N/A N/A 000000000 1.000000 NC 229.800000 0.000123 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 295374.980000 PLN 79797.000000 USD 2026-04-15 229.800000 N N N N/A N/A 000000000 1.000000 NC -28671.490000 -0.0153511 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 900288.000000 USD 82533902.400000 INR 2026-04-07 -28671.490000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 158260.800000 PA USD 170779.310000 0.0914376 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -7391.120000 -0.0039573 N/A DIR CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2032-03-17 0.000000 CNY -8488.870000 CNY 6700000.000000 CNY 1097.750000 N N N N/A N/A 000000000 1.000000 NC 4141.100000 0.0022172 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 46571864.700000 INR 495973.000000 USD 2026-04-07 4141.100000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 5000000.000000 PA 17934.220000 0.0096022 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N GSR MORTGAGE LOAN TRUST 2007-AR2 N/A 3622N6AC3 10346.710000 PA USD 5182.790000 0.0027749 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.91619 N N N N N N N/A N/A 000000000 1.000000 NC -18.250000 -0.0000098 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 394.200000 USD 12381.870000 THB 2026-04-20 -18.250000 N N N N/A N/A 000000000 1.000000 NC -1113.390000 -0.0005961 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3450767.720000 TRY 74734.000000 USD 2026-04-21 -1113.390000 N N N N/A N/A 000000000 1.000000 NC USD 15943.580000 0.0085364 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-08-15 0.000000 USD -1319.560000 USD 1500000.000000 USD 17263.140000 N N N N/A N/A 000000000 1.000000 NC 4149.880000 0.0022219 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 110423.000000 EUR 131818.010000 RON 2026-04-08 4149.880000 N N N N/A N/A 000000000 1.000000 NC -4201.700000 -0.0022496 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 458216689.730000 COP 120464.460000 USD 2026-04-08 -4201.700000 N N N N/A N/A 000000000 691500.000000 NC USD 2098.700000 0.0011237 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-07-14 N/A 1400.000000 USD 2026-07-10 XXXX -3433.300000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI2MPQS2 10910000.000000 PA 1668954.260000 0.893581 Long DBT CORP CN N 2 2034-01-08 Fixed 2.63 N N N N N N FNMA PASS THRU POOLS N/A 31410KVV3 2847.550000 PA USD 2928.000000 0.0015677 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415QYT7 1845.290000 PA USD 1863.990000 0.000998 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 206105.910000 0.110352 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2035-12-17 0.000000 COP 0.000000 COP 7328000000.000000 COP 206105.910000 N N N N/A N/A 000000000 1.000000 NC USD 4675.750000 0.0025035 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD -2397.180000 USD 466400.000000 USD 7072.930000 N N N N/A N/A 000000000 1.000000 NC 21553.730000 0.0115402 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2887010.990000 MYR 735076.000000 USD 2026-04-15 21553.730000 N N N FNMA PASS THRU POOLS N/A 3138AVPA7 2530.060000 PA USD 2449.160000 0.0013113 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BBF6 300000.000000 PA USD 306450.000000 0.164078 Long DBT NUSS MX N 2 2038-01-29 Fixed 6.625 N N N N N N N/A N/A 000000000 1.000000 NC 11.040000 0.0000059 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 89215.610000 RON 20208.880000 EUR 2026-04-29 11.040000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAM4 48879.390000 PA USD 46297.290000 0.0247882 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.59303 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 248189.670000 PA USD 209088.980000 0.111949 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.08303 N N N N N N JABIL INC 5493000CGCQY2OQU7669 46652MDG7 250000.000000 PA USD 249499.450000 0.133586 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 -78.610000 -0.0000421 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 49960.050000 USD 342401.200000 CNY 2026-07-02 -78.610000 N N N GNMA PASS THRU POOLS N/A 3618N53U1 5699997.770000 PA USD 5232100.060000 2.80134 Long ABS-MBS USGSE US N 2 2055-12-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 1429.290000 0.0007653 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 50197.290000 USD 925613.000000 MXN 2026-04-10 1429.290000 N N N N/A N/A 000000000 1.000000 NC USD 67703.270000 0.0362493 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-12-17 0.000000 USD -55239.270000 USD 8140000.000000 USD 122942.540000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339NDL5 250000.000000 PA USD 249441.380000 0.133554 Long DBT CORP US N 2 2026-04-20 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1PD3L8 250000000.000000 PA 1124964.560000 0.602322 Long DBT NUSS JP N 2 2040-06-20 Fixed 0.4 N N N N N N N/A N/A 000000000 1.000000 NC 1056.360000 0.0005656 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 187781.690000 ILS 60905.000000 USD 2026-06-10 1056.360000 N N N N/A N/A 000000000 1.000000 NC 967.170000 0.0005178 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 144790.740000 ILS 47114.000000 USD 2026-06-10 967.170000 N N N N/A N/A 000000000 1.000000 NC 386.320000 0.0002068 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9589.000000 USD 38051549.250000 COP 2026-09-16 386.320000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 586600.000000 PA USD 540034.160000 0.289142 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -501.080000 -0.0002683 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3486730.910000 TRY 74768.000000 USD 2026-05-05 -501.080000 N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 123200.000000 PA USD 118006.050000 0.0631821 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N N/A N/A 000000000 1.000000 NC -174.000000 -0.0000932 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 3517573.000000 TWD 2026-04-20 -174.000000 N N N WELLFLEET CLO 2021-1 LTD N/A 94950CAL0 500000.000000 PA USD 500562.040000 0.268008 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 4.84763 N N N N N N N/A N/A 000000000 -381000.000000 NC USD -153.920000 -0.0000824 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 54.080000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2QPV94 60000000.000000 PA 364559.400000 0.19519 Long DBT NUSS JP N 2 2029-06-20 Fixed 0.4 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI2X9NM2 100000.000000 PA 129351.500000 0.0692566 Long DBT NUSS GB N 2 2056-01-31 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 775.940000 0.0004154 N/A DFE CO N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 424510.500000 USD 1588199908.130000 COP 2026-06-17 775.940000 N N N N/A N/A 000000000 1.000000 NC 266.700000 0.0001428 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17444.000000 EUR 20455.240000 RON 2026-04-29 266.700000 N N N BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A N/A ACI1Y3X37 500000.000000 PA 577326.960000 0.309109 Long ABS-CBDO CORP IE N 2 2035-07-19 Floating 2.906 N N N N N N N/A N/A 000000000 1.000000 NC -8527.370000 -0.0045657 N/A DIR CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2032-03-17 0.000000 CNY -4857.720000 CNY 7730000.000000 CNY -3669.650000 N N N N/A N/A 000000000 1.000000 NC 2557.970000 0.0013696 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 443893.430000 ILS 143761.000000 USD 2026-04-06 2557.970000 N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 119306.620000 PA USD 73455.460000 0.0393291 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.88303 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AD4 168031.970000 PA USD 80190.570000 0.0429351 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.93303 N N N N N N N/A N/A 000000000 1.000000 NC 556.260000 0.0002978 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3236835.020000 THB 99308.000000 USD 2026-06-17 556.260000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI350557 17600000.000000 PA 317035.610000 0.169745 Long DBT NUSS EG N 2 2030-10-14 Fixed 19.698 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2T3R46 3800000.000000 PA 18175.260000 0.0097313 Long DBT NUSS JP N 2 2054-12-20 Fixed 2.3 N N N N N N N/A N/A 000000000 1.000000 NC USD 259685.990000 0.13904 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-19 408847.480000 USD 0.000000 USD 6000000.000000 USD -149161.490000 N N N DOMINICAN REPUBLIC GOVT 254900EHU7Q8FGVPI369 25714PEZ7 700000.000000 PA USD 701330.000000 0.375502 Long DBT NUSS DO N 2 2036-06-01 Fixed 6.6 N N N N N N N/A N/A 000000000 1.000000 NC -1048.350000 -0.0005613 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 423688.870000 USD 2911000.000000 CNY 2026-04-02 -1048.350000 N N N N/A N/A 000000000 1.000000 NC 729.440000 0.0003906 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 154055.270000 ILS 49829.000000 USD 2026-06-10 729.440000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 955PDJII7 296000000.000000 PA 205636.650000 0.110101 Long DBT NUSS NG N 2 2026-06-12 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3138E7TW4 1083.450000 PA USD 1076.830000 0.0005765 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 71675CAB4 200000.000000 PA USD 179107.670000 0.0958967 Long DBT CORP MY N 2 2032-01-28 Fixed 2.48 N N N N N N N/A N/A 000000000 1.000000 NC -8086.650000 -0.0043297 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3856108.840000 USD 69049027.330000 MXN 2026-04-20 -8086.650000 N N N N/A N/A 000000000 1.000000 NC 234.350000 0.0001255 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 146687.470000 ILS 46993.000000 USD 2026-06-17 234.350000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 262051AA3 264392.000000 PA USD 259814.610000 0.139108 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N TIKEHAU CLO V BV 5A N/A ACI2YQ816 400000.000000 PA 462208.230000 0.247473 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.216 N N N N N N N/A N/A 000000000 1.000000 NC 505.090000 0.0002704 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 81806.660000 USD 3744871.660000 TRY 2026-04-21 505.090000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 40412DED7 250000.000000 PA USD 248691.480000 0.133153 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 68394.880000 0.0366196 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5481905.500000 PEN 1620283.600000 USD 2027-01-28 68394.880000 N N N N/A N/A 000000000 1.000000 NC -42137.020000 -0.0225607 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3661393.000000 USD 115919702.000000 TWD 2026-04-20 -42137.020000 N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI2972L8 400000.000000 PA 255560.310000 0.13683 Long DBT MUN AU N 2 2036-09-15 Fixed 4.75 N N N N N N UMBS PASS THRU POOLS N/A 01F032443 47000.000000 PA USD 45250.950000 0.024228 Long ABS-MBS USGSE US N 2 2041-04-16 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 463.870000 0.0002484 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1481000.000000 MXN 82587.480000 USD 2026-06-17 463.870000 N N N FANNIE MAE REMICS 2025-19 N/A 3136BVBY3 556021.530000 PA USD 560720.190000 0.300217 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.8219 N N N N N N FNMA PASS THRU POOLS N/A 31414K6M7 3598.060000 PA USD 3699.720000 0.0019809 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -140.600000 -0.0000753 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 345000.000000 CNY 49949.050000 USD 2026-04-02 -140.600000 N N N N/A N/A 000000000 1.000000 NC 4112.710000 0.002202 N/A DFE VN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 340213.750000 USD 9083986070.000000 VND 2026-04-15 4112.710000 N N N N/A N/A 000000000 1.000000 NC -3274.330000 -0.0017531 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 130839.000000 USD 12079176.850000 INR 2026-04-07 -3274.330000 N N N N/A N/A 000000000 1.000000 NC -800.080000 -0.0004284 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 335108.660000 ILS 105918.000000 USD 2026-05-05 -800.080000 N N N N/A N/A 000000000 1.000000 NC -262.370000 -0.0001405 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 64637.510000 USD 442476.070000 CNY 2026-06-11 -262.370000 N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI1Q9PP3 1400000.000000 PA 653094.430000 0.349676 Long DBT MUN AU N 2 2037-11-20 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -321734.510000 -0.172261 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2035-03-19 0.000000 JPY -299005.250000 JPY 580000000.000000 JPY -22729.260000 N N N UMBS PASS THRU POOLS N/A 01F062655 1700000.000000 PA USD 1757394.700000 0.940934 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 211.780000 0.0001134 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 711000.000000 MXN 39637.770000 USD 2026-06-17 211.780000 N N N N/A N/A 000000000 1.000000 NC -287.720000 -0.000154 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 166959.570000 RON 144117.000000 EUR 2026-04-14 -287.720000 N N N N/A N/A 000000000 1.000000 NC 33.140000 0.0000177 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20036.450000 USD 891902.540000 TRY 2026-04-01 33.140000 N N N N/A N/A 000000000 1.000000 NC 46.710000 0.000025 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82419.730000 USD 568000.000000 CNY 2026-04-02 46.710000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CPZ8 100000.000000 PA USD 98445.310000 0.052709 Long DBT UST US N 2 2036-02-15 Fixed 4.125 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855BD82 650000.000000 PA USD 649419.230000 0.347708 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 140276.570000 0.075106 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2031-09-16 314.210000 SGD 0.000000 SGD 9592000.000000 SGD 139962.360000 N N N N/A N/A 000000000 1.000000 NC -815.900000 -0.0004368 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 88406.000000 USD 1489720665.000000 IDR 2026-06-10 -815.900000 N N N UMBS PASS THRU POOLS N/A 01F060667 100000.000000 PA USD 101788.270000 0.0544989 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BS8 756845.980000 PA USD 799379.940000 0.427999 Long DBT CORP US N 2 2032-01-10 Fixed 7.507 N N N N N N FNMA PASS THRU POOLS N/A 31413DD61 1576.360000 PA USD 1623.350000 0.0008692 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 18854.590000 0.010095 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -44958.780000 USD 2300000.000000 USD 63813.370000 N N N CAPITAL FOUR CLO IV DAC 4A N/A ACI38L038 500000.000000 PA 576173.250000 0.308491 Long ABS-CBDO CORP IE N 2 2038-04-15 Floating 3.189 N N N N N N N/A N/A 000000000 1.000000 NC 7908.440000 0.0042343 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6289523.300000 THB 198878.210000 USD 2026-04-20 7908.440000 N N N N/A N/A 000000000 1.000000 NC -978.460000 -0.0005239 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 150000.000000 USD 2529968565.000000 IDR 2026-04-27 -978.460000 N N N N/A N/A 000000000 1.000000 NC 1199.490000 0.0006422 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 52668.860000 USD 2393936.630000 TRY 2026-04-01 1199.490000 N N N N/A N/A 000000000 1.000000 NC -4104.170000 -0.0021974 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2016128.030000 ZAR 114866.000000 USD 2026-04-22 -4104.170000 N N N KOREA HOUSING FINANCE CORP (KHFC) 9884002AAOBT56QW9B80 ACI2ZX6R5 300000.000000 PA 341078.690000 0.182618 Long DBT CORP KR N 2 2030-09-02 Fixed 2.765 N N N N N N N/A N/A 000000000 1.000000 NC -2847.270000 -0.0015245 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 110075.530000 USD 10153509.990000 INR 2026-04-07 -2847.270000 N N N N/A N/A 000000000 1.000000 NC -2536.620000 -0.0013581 N/A DFE PL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 99889.000000 USD 361398.400000 PLN 2026-04-15 -2536.620000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2FJ6B3 1500000.000000 PA 1725626.590000 0.923925 Long DBT NUSS FR N 2 2029-02-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -572272.560000 -0.306403 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 -185338.920000 EUR 15730000.000000 EUR -386933.640000 N N N N/A N/A 000000000 1.000000 NC -19639.590000 -0.0105153 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-03-15 29503.550000 CAD 0.000000 CAD 1900000.000000 CAD -49143.140000 N N N BARCLAYS MORTGAGE LOAN TRUST 2025-NQM3 N/A 06745VAA6 949238.400000 PA USD 953845.620000 0.510702 Long ABS-MBS CORP US N 2 2065-05-25 Fixed 5.64 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI2MHTY4 500000.000000 PA 325045.880000 0.174034 Long DBT NUSS AU N 2 2035-09-20 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 373.060000 0.0001997 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 102497.610000 USD 89000.000000 EUR 2026-04-02 373.060000 N N N N/A N/A 000000000 1.000000 NC -3789.150000 -0.0020288 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 131818.010000 EUR 564846.770000 RON 2026-04-08 -3789.150000 N N N COUNTRYWIDE HOME LOANS 2006-21 N/A 12543PAN3 102921.620000 PA USD 43054.510000 0.023052 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS16 N/A 74922LAA1 113613.750000 PA USD 81540.990000 0.0436582 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC -1240.300000 -0.0006641 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 18000.000000 USD 920160.000000 EGP 2026-04-08 -1240.300000 N N N N/A N/A 000000000 1.000000 NC -32870.100000 -0.0175991 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 819483.000000 USD 74484858.580000 INR 2026-04-07 -32870.100000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI38VBK6 9000000.000000 PA 201019.320000 0.107629 Long DBT NUSS TR N 2 2026-04-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 809.360000 0.0004333 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 174334.980000 RON 151385.000000 EUR 2026-04-22 809.360000 N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 200229.100000 PA USD 193532.560000 0.10362 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N N/A N/A 000000000 1.000000 NC USD -4.940000 -0.0000026 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-15 0.000000 USD 0.000000 USD 100000.000000 USD -4.940000 N N N N/A N/A 000000000 1.000000 NC 12464.050000 0.0066734 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 52533022.500000 INR 567250.000000 USD 2026-04-07 12464.050000 N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B3MYD3II6 267835.400000 PA 287643.490000 0.154008 Long DBT NUSS GB N 2 2042-11-22 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC 1315.180000 0.0007042 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 92000.000000 AUD 64790.600000 USD 2026-04-02 1315.180000 N N N N/A N/A 000000000 1.000000 NC -13542.290000 -0.0072507 N/A DFE CO N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 7647684163.480000 COP 2005003.320000 USD 2026-08-18 -13542.290000 N N N N/A N/A 000000000 1.000000 NC -1023.820000 -0.0005482 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2428436.180000 TRY 53561.750000 USD 2026-04-03 -1023.820000 N N N N/A N/A 000000000 1.000000 NC -11443.020000 -0.0061268 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 387069.000000 USD 1394425.360000 PLN 2026-04-15 -11443.020000 N N N GNMA PASS THRU POOLS N/A 36179XS98 640306.680000 PA USD 594705.470000 0.318414 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -41.030000 -0.000022 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 31019.370000 USD 115000.000000 PLN 2026-04-15 -41.030000 N N N N/A N/A 000000000 1.000000 NC 5310.720000 0.0028434 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 762750.000000 USD 121895077.000000 JPY 2026-04-02 5310.720000 N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 116109.960000 PA USD 97124.480000 0.0520018 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC -4749.250000 -0.0025428 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 66600.000000 USD 3426570.000000 EGP 2026-04-16 -4749.250000 N N N N/A N/A 000000000 66.000000 NC -317084.600000 -0.169771 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A ITALY GOVT 2026-06-08 8870549.400000 EUR -317084.600000 N N N MORGAN STANLEY MORTGAGE TRUST-2005-5AR N/A 61748HLA7 93574.700000 PA USD 20954.190000 0.0112192 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.02225 N N N N N N N/A N/A 000000000 -178000.000000 NC USD -72.090000 -0.0000386 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 20.470000 N N N N/A N/A 000000000 1.000000 NC -557.550000 -0.0002985 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 158283.540000 BRL 30000.000000 USD 2026-04-02 -557.550000 N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 202712BW4 1200000.000000 PA USD 1235534.980000 0.661523 Long DBT CORP AU N 2 2030-01-22 Fixed 4.971 N N N N N N N/A N/A 000000000 1.000000 NC -1148.560000 -0.000615 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 64500000.000000 COP -1148.560000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHTR0 18500000.000000 PA 11627.540000 0.0062255 Long DBT NUSS NG N 2 2027-01-21 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31371NV69 194.050000 PA USD 193.770000 0.0001037 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 817.700000 0.0004378 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1364654555.000000 IDR 81054.370000 USD 2026-06-10 817.700000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDM0 250000.000000 PA USD 249386.600000 0.133525 Long DBT CORP US N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3434.220000 0.0018387 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 74665611.680000 INR 791956.000000 USD 2026-04-07 3434.220000 N N N N/A N/A 000000000 1.000000 NC -86087.220000 -0.0460923 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 45 Y Single Leg Swap 2031-06-20 0.000000 EUR -87085.380000 EUR 5300000.000000 EUR 998.160000 N N N N/A N/A 000000000 -93.000000 NC 403907.040000 0.216257 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-06-08 -12758471.230000 EUR 403907.040000 N N N N/A N/A 000000000 1.000000 NC 9.400000 0.000005 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1497.650000 USD 68655.270000 TRY 2026-04-22 9.400000 N N N N/A N/A 000000000 1.000000 NC -32426.000000 -0.0173613 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1176000.000000 USD 36787632.000000 TWD 2027-01-20 -32426.000000 N N N N/A N/A 000000000 1.000000 NC 10968.820000 0.0058729 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 916058.550000 USD 87118084.160000 INR 2026-04-24 10968.820000 N N N N/A N/A 000000000 1.000000 NC USD 1225.170000 0.000656 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2046-02-15 0.000000 USD 0.000000 USD 100000.000000 USD 1225.170000 N N N N/A N/A 000000000 1.000000 NC 28.800000 0.0000154 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2724.000000 USD 14448.370000 BRL 2026-06-02 28.800000 N N N N/A N/A 000000000 1.000000 NC -1817.680000 -0.0009732 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 205051.000000 USD 3456565212.000000 IDR 2026-06-10 -1817.680000 N N N N/A N/A 000000000 1.000000 NC -795.000000 -0.0004257 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1839251.260000 TRY 39158.000000 USD 2026-04-30 -795.000000 N N N N/A N/A 000000000 1.000000 NC -56418.160000 -0.0302071 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2031-09-16 2803.790000 EUR 0.000000 EUR 2400000.000000 EUR -59221.950000 N N N N/A N/A 000000000 1.000000 NC -167.600000 -0.0000897 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 85269.000000 USD 584788.450000 CNY 2026-06-15 -167.600000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI2MHL63 200000.000000 PA 186977.270000 0.10011 Long DBT NUSS FR N 2 2049-06-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -100857.210000 -0.0540004 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2031-03-18 246.520000 INR 0.000000 INR 256350000.000000 INR -101103.730000 N N N N/A N/A 000000000 -42.000000 NC 88306.590000 0.0472806 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2026-06-08 -5603631.220000 EUR 88306.590000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 955PDHII1 296000000.000000 PA 205744.500000 0.110159 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 -35955.710000 -0.0192512 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 918167.000000 USD 83537129.080000 INR 2026-04-07 -35955.710000 N N N N/A N/A 000000000 1.000000 NC -1120.780000 -0.0006001 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 258000.000000 AUD 176819.550000 USD 2026-05-04 -1120.780000 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 610410.000000 PA 684340.980000 0.366406 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC 239.540000 0.0001283 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23368.850000 USD 35501643.000000 KRW 2026-04-15 239.540000 N N N N/A N/A 000000000 1.000000 NC 274.530000 0.000147 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 476023.000000 THB 14728.090000 USD 2026-04-20 274.530000 N N N N/A N/A 000000000 1.000000 NC USD -66296.350000 -0.035496 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-12-17 0.000000 USD -54767.200000 USD 1000000.000000 USD -11529.150000 N N N N/A N/A 000000000 1.000000 NC 4584.610000 0.0024547 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2252876.340000 MXN 129509.890000 USD 2026-06-17 4584.610000 N N N N/A N/A 000000000 1.000000 NC 37029.270000 0.019826 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-09-16 27092.350000 JPY 0.000000 JPY 3841000000.000000 JPY 9936.920000 N N N N/A N/A 000000000 1.000000 NC -204.420000 -0.0001094 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1350265.280000 TRY 29513.350000 USD 2026-04-20 -204.420000 N N N N/A N/A 000000000 1.000000 NC 625789.690000 0.335056 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 25097060.930000 EUR 29634233.090000 USD 2026-04-02 625789.690000 N N N N/A N/A 000000000 1.000000 NC -342.710000 -0.0001835 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 187474.000000 USD 1284196.900000 CNY 2026-07-06 -342.710000 N N N N/A N/A 000000000 1.000000 NC 760.010000 0.0004069 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 162000.000000 USD 843072.460000 BRL 2026-04-02 760.010000 N N N N/A N/A 000000000 1.000000 NC 2928.650000 0.001568 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 559000.000000 EUR 649048.920000 USD 2026-04-02 2928.650000 N N N N/A N/A 000000000 1.000000 NC 548.420000 0.0002936 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2381619.000000 INR 25700.000000 USD 2026-04-07 548.420000 N N N GNMA PASS THRU POOLS N/A 36179XHW9 713622.540000 PA USD 660176.710000 0.353468 Long ABS-MBS USGSE US N 2 2052-10-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 74.360000 0.0000398 N/A DFE RO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 732186.920000 RON 165977.970000 EUR 2026-04-14 74.360000 N N N OLYMPUS CORPORATION 5299000Y52IFDI1I2A21 68163WAA7 200000.000000 PA USD 197571.580000 0.105783 Long DBT CORP JP N 2 2026-12-08 Fixed 2.143 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1ZX259 900000.000000 PA 474856.840000 0.254245 Long DBT NUSS AU N 2 2034-03-20 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -3376.310000 -0.0018077 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 75600398.400000 INR 800000.000000 USD 2026-04-30 -3376.310000 N N N N/A N/A 000000000 1.000000 NC 196809.240000 0.105374 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 7131200000.000000 COP 196809.240000 N N N N/A N/A 000000000 1.000000 NC -717.500000 -0.0003842 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1527899.710000 ZAR 89456.000000 USD 2026-04-20 -717.500000 N N N N/A N/A 000000000 1.000000 NC -8138.220000 -0.0043573 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2031-03-18 0.000000 CHF -9764.890000 CHF 2200000.000000 CHF 1626.670000 N N N N/A N/A 000000000 1.000000 NC -39.580000 -0.0000212 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 369435.460000 CNY 53449.190000 USD 2026-04-03 -39.580000 N N N N/A N/A 000000000 1.000000 NC 605.310000 0.0003241 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 79000.000000 AUD 55111.370000 USD 2026-04-02 605.310000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61748UAK8 800000.000000 PA USD 790882.000000 0.423449 Long DBT CORP US N 2 2029-10-18 Floating 4.133 N N N N N N N/A N/A 000000000 1.000000 NC -2592.790000 -0.0013882 N/A DFE RO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 110036.000000 USD 474235.900000 RON 2026-04-16 -2592.790000 N N N N/A N/A 000000000 1.000000 NC 19132.040000 0.0102436 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 78432800.400000 INR 847438.000000 USD 2026-04-07 19132.040000 N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1KFVM5 400000.000000 PA 223938.510000 0.1199 Long DBT NUSS AU N 2 2033-03-08 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -17102.390000 -0.0091569 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -2922.270000 EUR 800000.000000 EUR -14180.120000 N N N BANK OF AMERICA MTGE SEC 2006-3 N/A 05950LAK8 31916.410000 PA USD 27494.980000 0.0147212 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -3577.940000 -0.0019157 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 175274756.250000 COP 43805.000000 USD 2026-04-30 -3577.940000 N N N N/A N/A 000000000 1.000000 NC 37418.640000 0.0200345 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3672700.640000 PEN 1086308.570000 USD 2026-08-04 37418.640000 N N N N/A N/A 000000000 1.000000 NC 14520.390000 0.0077744 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6949608.640000 ZAR 424672.000000 USD 2026-04-20 14520.390000 N N N FNMA PASS THRU POOLS N/A 3138AA3F6 13717.090000 PA USD 13582.760000 0.0072724 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1292.190000 0.0006919 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 1292.190000 N N N N/A N/A 000000000 1.000000 NC USD -158.190000 -0.0000847 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-08-15 0.000000 USD 0.000000 USD 3200000.000000 USD -158.190000 N N N N/A N/A 000000000 1.000000 NC -9898.460000 -0.0052998 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 279226.190000 USD 4857000.000000 MXN 2026-06-17 -9898.460000 N N N PMT LOAN TRUST 2021-INV1 N/A 69359YAC1 654144.970000 PA USD 545057.660000 0.291832 Long ABS-MBS CORP US N 2 2051-07-25 Variable 2.5 N N N N N N ALBA PLC/LONDON 2005-1 N/A B0Q41VII5 53245.150000 PA 70221.600000 0.0375976 Long ABS-MBS CORP GB N 2 2042-11-25 Floating 4.04542 N N N N N N N/A N/A 000000000 1.000000 NC 522.930000 0.00028 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 93444.000000 USD 4235732.420000 TRY 2026-04-14 522.930000 N N N N/A N/A 000000000 1.000000 NC -9115.640000 -0.0048806 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2027-09-17 0.000000 JPY -10376.860000 JPY 240000000.000000 JPY 1261.220000 N N N SPAIN GOVT 9598007A56S18711AH60 ACI2XHL53 100000.000000 PA 113150.800000 0.0605825 Long DBT NUSS ES N 2 2035-10-31 Fixed 3.2 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 524107.520000 PA USD 475709.170000 0.254701 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 3451.810000 0.0018481 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 225000.000000 GBP 301261.910000 USD 2026-04-02 3451.810000 N N N N/A N/A 000000000 1.000000 NC -209.070000 -0.0001119 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7212.870000 USD 26000.000000 PLN 2026-04-15 -209.070000 N N N N/A N/A 000000000 1.000000 NC USD 13370.290000 0.0071586 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-06-27 0.000000 USD -442.830000 USD 420000.000000 USD 13813.120000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 780082AQ6 800000.000000 PA USD 804724.660000 0.430861 Long DBT CORP CA N 2 2026-12-14 Fixed 4.851 N N N N N N N/A N/A 000000000 1.000000 NC 2498.240000 0.0013376 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1562000.000000 EUR 1807936.280000 USD 2026-04-02 2498.240000 N N N UMBS PASS THRU POOLS N/A 01F020653 -9890000.000000 PA USD -7964154.220000 -4.26412 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 ACI1B8GK2 450000.000000 PA USD 432343.260000 0.231483 Long DBT CORP SA N 2 2029-04-16 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -4105.330000 -0.0021981 N/A DFE PH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 203962.010000 USD 12116363.200000 PHP 2026-04-17 -4105.330000 N N N N/A N/A 000000000 597000.000000 NC USD 858.490000 0.0004596 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX 29.830000 N N N FNMA PASS THRU POOLS N/A 31418EYP9 774243.780000 PA USD 800986.280000 0.428859 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAM7 174524.480000 PA USD 155412.920000 0.0832102 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.70744 N N N N N N N/A N/A 000000000 1.000000 NC 823.100000 0.0004407 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 139676.670000 ILS 45340.000000 USD 2026-06-10 823.100000 N N N N/A N/A 000000000 1.000000 NC 36081.460000 0.0193185 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2028-12-15 0.000000 EUR -5458.250000 EUR 7800000.000000 EUR 41539.710000 N N N N/A N/A 000000000 1.000000 NC -11766.970000 -0.0063002 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 422169.000000 USD 1523523.490000 PLN 2026-04-15 -11766.970000 N N N N/A N/A 000000000 1.000000 NC 218.030000 0.0001167 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 71831394.000000 KRW 48000.000000 USD 2026-04-27 218.030000 N N N N/A N/A 000000000 1.000000 NC -1086.460000 -0.0005817 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2386695.440000 TRY 52215.000000 USD 2026-04-09 -1086.460000 N N N N/A N/A 000000000 1.000000 NC -1299.950000 -0.000696 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 331954.780000 RON 285909.000000 EUR 2026-04-14 -1299.950000 N N N N/A N/A 000000000 1.000000 NC -1556.810000 -0.0008335 N/A DFE TH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 26379.640000 USD 817531.400000 THB 2026-04-20 -1556.810000 N N N N/A N/A 000000000 1.000000 NC -516.430000 -0.0002765 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 69067.880000 EUR 303004.230000 RON 2026-05-11 -516.430000 N N N N/A N/A 000000000 1.000000 NC -66150.550000 -0.0354179 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-10-14 0.000000 PLN 0.000000 PLN 3500000.000000 PLN -66150.550000 N N N N/A N/A 000000000 1.000000 NC 1331.380000 0.0007128 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 49674.000000 USD 914398.990000 MXN 2026-04-09 1331.380000 N N N N/A N/A 000000000 1.000000 NC -7859.900000 -0.0042083 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 654119.000000 USD 10991488617.000000 IDR 2026-06-10 -7859.900000 N N N N/A N/A 000000000 1.000000 NC -18240.650000 -0.0097663 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 4073.420000 AUD 0.000000 AUD 700000.000000 AUD -22314.070000 N N N N/A N/A 000000000 1.000000 NC 1496.910000 0.0008015 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 222032.300000 ILS 72272.760000 USD 2026-06-17 1496.910000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEC6 800000.000000 PA USD 812535.990000 0.435043 Long DBT CORP US N 2 2035-01-23 Floating 5.336 N N N N N N CHINA GOVT 300300CHN201808MOF68 60367QAF0 200000.000000 PA USD 200734.980000 0.107476 Long DBT NUSS CN N 2 2030-11-13 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 56210.060000 0.0300956 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 145465800.000000 TWD 4600000.000000 USD 2026-04-16 56210.060000 N N N N/A N/A 000000000 1.000000 NC -2903.110000 -0.0015544 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 260633.000000 EUR 298519.930000 RON 2026-04-14 -2903.110000 N N N N/A N/A 000000000 1.000000 NC -550.170000 -0.0002946 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1215718.240000 TRY 26066.000000 USD 2026-04-24 -550.170000 N N N N/A N/A 000000000 1.000000 NC -6067.340000 -0.0032485 N/A DIR CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2032-03-17 0.000000 CNY -4933.770000 CNY 5500000.000000 CNY -1133.570000 N N N FNMA PASS THRU POOLS N/A 31417MP56 568.460000 PA USD 585.280000 0.0003134 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N BAYFRT-7A N/A ACI355GJ4 1000000.000000 PA USD 999964.700000 0.535395 Long ABS-CBDO CORP SG N 3 2048-04-11 Floating 5.04004 N N N N N N N/A N/A 000000000 1.000000 NC 33969.340000 0.0181877 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2161917.050000 SGD 1715479.060000 USD 2026-04-02 33969.340000 N N N GPMT LTD 2021-FL4 N/A 36262TAA1 455198.330000 PA USD 454618.840000 0.243409 Long ABS-CBDO CORP KY N 2 2036-12-15 Floating 5.13943 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI1LTCD5 200000.000000 PA USD 187778.600000 0.100539 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25 N N N N N N ATLAS SENIOR LOAN FUND LTD 2021-18A N/A 04943EAQ4 500000.000000 PA USD 499375.040000 0.267372 Long ABS-CBDO CORP KY N 2 2035-01-18 Floating 4.77763 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GC44 800000.000000 PA USD 813535.560000 0.435578 Long DBT CORP US N 2 2036-01-28 Floating 5.536 N N N N N N N/A N/A 000000000 1.000000 NC -842.780000 -0.0004512 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 202000.000000 EUR 232638.960000 USD 2026-04-02 -842.780000 N N N N/A N/A 000000000 1.000000 NC 12610.490000 0.0067518 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2509698.610000 SGD 1969101.490000 USD 2026-05-04 12610.490000 N N N N/A N/A 000000000 1.000000 NC 102.340000 0.0000548 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 53449.190000 USD 368884.930000 CNY 2026-05-08 102.340000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI2G7SL2 6000000.000000 PA 927584.610000 0.496642 Long DBT CORP CN N 2 2033-05-22 Fixed 2.82 N N N N N N N/A N/A 000000000 1.000000 NC -10936.620000 -0.0058556 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 339996.060000 USD 5934189.230000 MXN 2026-06-17 -10936.620000 N N N N/A N/A 000000000 1.000000 NC 652.960000 0.0003496 N/A DFE KZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11700.000000 USD 6175026.000000 KZT 2026-08-05 652.960000 N N N N/A N/A 000000000 1.000000 NC -757.020000 -0.0004053 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 193312.580000 RON 166498.000000 EUR 2026-04-14 -757.020000 N N N N/A N/A 000000000 1.000000 NC 1366.310000 0.0007315 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 121000.000000 USD 633839.140000 BRL 2026-04-02 1366.310000 N N N N/A N/A 000000000 -343000.000000 NC USD -138.570000 -0.0000742 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 14.320000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY69 900000.000000 PA 1030150.770000 0.551557 Long DBT CORP US N 2 2035-03-21 Floating 3.955 N N N N N N N/A N/A 000000000 1.000000 NC 3489.150000 0.0018681 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 74048519.380000 INR 785494.000000 USD 2026-04-07 3489.150000 N N N N/A N/A 000000000 1.000000 NC 930.990000 0.0004985 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 389187.080000 PLN 105769.000000 USD 2026-04-15 930.990000 N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2 N/A 61778XAA7 566399.760000 PA USD 568281.280000 0.304266 Long ABS-MBS CORP US N 2 2070-07-25 Fixed 5.443 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAB6 433582.530000 PA USD 199317.720000 0.106718 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.88303 N N N N N N N/A N/A 000000000 1.000000 NC -791.590000 -0.0004238 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 648270.110000 RON 146146.110000 EUR 2026-04-08 -791.590000 N N N N/A N/A 000000000 1.000000 NC 26513.380000 0.0141956 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1576000.000000 NZD 932161.610000 USD 2026-04-02 26513.380000 N N N N/A N/A 000000000 -88.000000 NC 34070.870000 0.018242 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2026-06-15 -6542337.160000 AUD 34070.870000 N N N N/A N/A 000000000 1.000000 NC 94449.800000 0.0505697 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (03/18/26) LCH N/A N/A 2028-03-18 0.000000 GBP 0.000000 GBP N/A GBP Y 2028-03-18 54307.330000 GBP 0.000000 GBP 4900000.000000 GBP 40142.470000 N N N N/A N/A 000000000 1.000000 NC USD 1417.660000 0.000759 N/A DCR US N 3 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A PETROLEOS MEXICANOS (PEMEX) Y Single Leg Swap 2026-07-06 0.000000 USD 0.000000 USD 258830.000000 USD 1417.660000 N N N N/A N/A 000000000 1.000000 NC -2448.130000 -0.0013108 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 132000000.000000 COP -2448.130000 N N N N/A N/A 000000000 1.000000 NC 5788.390000 0.0030992 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 439419641.000000 KRW 298000.000000 USD 2026-04-15 5788.390000 N N N FNMA PASS THRU POOLS N/A 31412PYW5 18430.090000 PA USD 18249.720000 0.0097712 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.5 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI17SZK2 107000.000000 PA 118914.450000 0.0636685 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45 N N N N N N IRB INFRASTRUCTURE DEVELOPERS LIMITED 335800XGO3AITGW6AK27 ACI2N3K07 300000.000000 PA USD 301358.770000 0.161352 Long DBT CORP IN N 2 2032-03-11 Fixed 7.11 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 7950.410000 PA USD 7883.160000 0.0042208 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.21303 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91086QAZ1 200000.000000 PA USD 163170.000000 0.0873635 Long DBT NUSS MX N 2 2099-12-31 Fixed 5.75 N N N N N N ANTOFAGASTA PLC 213800MY6QVH4FVLD628 03718NAA4 400000.000000 PA USD 358938.000000 0.19218 Long DBT CORP GB N 2 2030-10-14 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC 38.920000 0.0000208 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 330000.000000 NOK 34119.620000 USD 2026-04-07 38.920000 N N N NIGERIA GOVT 549300GSBZD84TNEQ285 990ACHUB3 18700000.000000 PA 11717.650000 0.0062738 Long DBT NUSS US N 2 2027-01-28 None 0 N N N N N N PANAMA GOVT 549300SHS4T08CL0LP14 BA000GRH5 500000.000000 PA 578543.200000 0.30976 Long LON CORP IE N 3 2027-03-05 Floating 3.886 N N N N N N N/A N/A 000000000 446000.000000 NC USD 1736.720000 0.0009299 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-11-10 N/A 1.310000 USD 2026-11-05 XXXX -1447.720000 N N N N/A N/A 000000000 1.000000 NC 1576.400000 0.000844 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 182203.000000 USD 17317707.520000 INR 2026-05-06 1576.400000 N N N N/A N/A 000000000 1.000000 NC 461.290000 0.000247 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 270000.000000 SEK 28982.470000 USD 2026-04-02 461.290000 N N N N/A N/A 000000000 1.000000 NC 11742.160000 0.0062869 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 412018.000000 EUR 488424.940000 RON 2026-04-22 11742.160000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 ACI20BTZ8 300000.000000 PA 312920.740000 0.167542 Long DBT CORP CA N 2 2029-09-14 Fixed 0.01 N N N N N N FNMA PASS THRU POOLS N/A 31418U4W1 8939.800000 PA USD 9039.890000 0.0048401 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -11658.210000 -0.006242 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 380133.000000 USD 1367878.190000 PLN 2026-04-15 -11658.210000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Z7LJ3 2025300000.000000 PA 502144.730000 0.268855 Long DBT NUSS CO N 2 2035-01-24 Fixed 11.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -1079.450000 -0.000578 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 100000.000000 USD -1079.450000 N N N CHINA GOVT 300300CHN201808MOF68 ACI2T8432 4900000.000000 PA 646081.900000 0.345921 Long DBT NUSS CN N 2 2055-01-15 Fixed 1.92 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 3397492.000000 PA USD 3175398.490000 1.70015 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N THAILAND GOVT 254900PHJ6MSKT6C7026 ACI386HX7 9011000.000000 PA 264182.410000 0.141447 Long DBT NUSS TH N 2 2036-05-17 Fixed 1.84 N N N N N N N/A N/A 000000000 1.000000 NC -71.470000 -0.0000383 N/A DFE RO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20250.290000 EUR 89055.720000 RON 2026-04-14 -71.470000 N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AR9 134031.740000 PA USD 117868.460000 0.0631084 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.66737 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 3256691.000000 PA USD 3379216.050000 1.80928 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 6194.560000 0.0033167 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 287000.000000 USD 1518703.840000 BRL 2026-04-02 6194.560000 N N N N/A N/A 000000000 1.000000 NC USD 864.650000 0.0004629 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 100000.000000 USD 864.650000 N N N CHINA GOVT 300300CHN201808MOF68 BRT57JII1 7400000.000000 PA 1033966.880000 0.5536 Long DBT NUSS CN N 2 2054-09-25 Fixed 2.19 N N N N N N N/A N/A 000000000 1.000000 NC 62.730000 0.0000336 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11637.660000 USD 80503.510000 CNY 2026-05-26 62.730000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB N/A 12668BFE8 28794.150000 PA USD 15688.540000 0.0083999 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -35472.770000 -0.0189926 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 917213.000000 USD 83492523.570000 INR 2026-04-07 -35472.770000 N N N FHLMC PASS THRU POOLS N/A 3133W6LE5 36447.800000 PA USD 37968.730000 0.020329 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 632.030000 0.0003384 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 165563.000000 USD 1143046.950000 CNY 2026-06-01 632.030000 N N N N/A N/A 000000000 1.000000 NC 76075.530000 0.0407319 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 604403944.000000 JPY 3884424.000000 USD 2026-04-02 76075.530000 N N N N/A N/A 000000000 426155.000000 PA 492571.350000 0.26373 Long RA LU N 2 Repurchase N 1.960000 2027-07-11 500000.000000 EUR 404415.800000 EUR N N N FNMA PASS THRU POOLS N/A 31414D7J9 3378.420000 PA USD 3459.320000 0.0018522 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAT2 700000.000000 PA USD 722464.060000 0.386817 Long DBT CORP GB N 2 2029-01-10 Floating 6.534 N N N N N N N/A N/A 000000000 1.000000 NC 26.450000 0.0000142 N/A DFE N/A N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 152201.000000 EUR 176047.480000 RON 2026-04-14 26.450000 N N N N/A N/A 000000000 1.000000 NC -45998.720000 -0.0246284 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1713780.030000 USD 2507962834.000000 KRW 2026-04-15 -45998.720000 N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer