NPORT-P false 0000810893 XXXXXXXX S000009681 C000026531 C000026532 C000064135 C000200440 C000026529 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS Fund S000009681 FI3TYFAC6Z35DQG3Y659 2026-03-31 2026-03-31 N 3731716970.340000 2581093431.300000 1150623539.040000 0.000000 0.000000 143255724.860000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 22900843.570000 EUR KZT TRY ZAR AUD PEN EGP CLP PLN JPY BRL CAD CZK USD COP GBP N Russell 1000 Value Index RLV GNMA PASS THRU POOLS N/A 36184KB97 93135.670000 PA USD 87505.780000 0.0076051 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -4378.960000 -0.0003806 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10130771.420000 TRY 215686.000000 USD 2026-04-30 -4378.960000 N N N N/A N/A 000000000 1.000000 NC USD 451135.380000 0.0392079 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-09-17 227586.100000 USD 0.000000 USD 50580000.000000 USD 223549.280000 N N N N/A N/A 000000000 1.000000 NC 1112.010000 0.0000966 N/A DFE GB N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 100000.000000 GBP 133442.250000 USD 2026-06-17 1112.010000 N N N N/A N/A 000000000 1.000000 NC 27396.800000 0.002381 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 520940000.000000 CLP 590188.830000 USD 2026-06-17 27396.800000 N N N N/A N/A 000000000 3400000.000000 NC USD 206530.620000 0.0179495 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -92669.380000 N N N N/A N/A 000000000 1.000000 NC 8210.430000 0.0007136 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 306332.000000 USD 5638959.460000 MXN 2026-04-09 8210.430000 N N N FHLMC PASS THRU POOLS N/A 3128M75R3 5421.240000 PA USD 5598.590000 0.0004866 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -9139.110000 -0.0007943 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 250000.000000 USD 7939497.500000 THB 2026-04-09 -9139.110000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 1857478.020000 PA USD 1444926.770000 0.125578 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.65874 N N N N N N N/A N/A 000000000 1.000000 NC -64379.940000 -0.0055952 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 59743557.160000 NOK 6105626.690000 USD 2026-04-07 -64379.940000 N N N N/A N/A 000000000 -1500000.000000 NC USD -4312.950000 -0.0003748 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 974.550000 N N N N/A N/A 000000000 1.000000 NC 1327.430000 0.0001154 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 186318.400000 USD 8525929.980000 TRY 2026-04-20 1327.430000 N N N N/A N/A 000000000 -123900000.000000 NC USD -38252.890000 -0.0033245 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2026-05-20 XXXX 120757.110000 N N N N/A N/A 000000000 -1300000.000000 NC USD -1160.380000 -0.0001008 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 3032.120000 N N N FNMA PASS THRU POOLS N/A 31406VP91 18135.290000 PA USD 18495.830000 0.0016075 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 145791.320000 0.0126706 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 167976599.030000 ZAR 10059424.690000 USD 2026-04-20 145791.320000 N N N N/A N/A 000000000 1.000000 NC 1669.940000 0.0001451 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1701020.000000 USD 160011549.360000 INR 2026-04-24 1669.940000 N N N N/A N/A 000000000 1.000000 NC -7704.110000 -0.0006696 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 210544.920000 USD 753000.000000 PLN 2026-04-15 -7704.110000 N N N N/A N/A 000000000 1.000000 NC -253.020000 -0.000022 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 84231.000000 USD 2766651.430000 THB 2026-04-16 -253.020000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 1165985.080000 PA USD 1131255.510000 0.0983167 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N FNMA PASS THRU POOLS N/A 31406F6N6 4719.620000 PA USD 4777.200000 0.0004152 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.511 N N N N N N N/A N/A 000000000 1.000000 NC -16935.410000 -0.0014718 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 507488981.000000 JPY 3180752.000000 USD 2026-04-02 -16935.410000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 384296.370000 PA USD 191178.180000 0.0166152 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC 40407.350000 0.0035118 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4772340.980000 PEN 1395176.570000 USD 2026-11-30 40407.350000 N N N N/A N/A 000000000 1.000000 NC -8240.990000 -0.0007162 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5800000.000000 BRL 1065226.770000 USD 2026-10-02 -8240.990000 N N N N/A N/A 000000000 1.000000 NC -176.170000 -0.0000153 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16379.740000 USD 275588126.000000 IDR 2026-06-10 -176.170000 N N N F&G GLOBAL FUNDING 6354009CCUKJIZ7KFX73 30321L2J0 200000.000000 PA USD 202750.370000 0.0176209 Long DBT CORP US N 2 2030-01-16 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC -18833.040000 -0.0016368 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-27 0.000000 EUR -1036.320000 EUR 400000.000000 EUR -17796.720000 N N N N/A N/A 000000000 1.000000 NC -78450.020000 -0.006818 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2675487.000000 USD 10507975.190000 MYR 2026-04-15 -78450.020000 N N N NOMURA RESECURITIZATION TRUST 2018-1R N/A 65541JAC1 1521787.810000 PA USD 1486444.900000 0.129186 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.69303 N N N N N N N/A N/A 000000000 1.000000 NC -2300.910000 -0.0002 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 69914.510000 USD 251000.000000 PLN 2026-04-15 -2300.910000 N N N N/A N/A 000000000 1.000000 NC -489875.350000 -0.0425748 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 14221677.810000 USD 48082070.510000 PEN 2026-08-04 -489875.350000 N N N N/A N/A 000000000 -1500000.000000 NC USD -4175.100000 -0.0003629 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 1112.400000 N N N N/A N/A 000000000 1.000000 NC -235.080000 -0.0000204 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 50273.170000 USD 157000.000000 ILS 2026-06-10 -235.080000 N N N N/A N/A 000000000 1.000000 NC 4016.120000 0.000349 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 500000.000000 NZD 292109.000000 USD 2026-06-17 4016.120000 N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 473590.800000 PA USD 512842.720000 0.0445709 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.61303 N N N N N N N/A N/A 000000000 1.000000 NC -83143.090000 -0.0072259 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2155407.000000 USD 196223942.470000 INR 2026-04-07 -83143.090000 N N N N/A N/A 000000000 1.000000 NC 30869.270000 0.0026828 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1764549.520000 USD 9300000.000000 BRL 2026-04-02 30869.270000 N N N N/A N/A 000000000 1.000000 NC 607966.380000 0.052838 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 57715515.620000 PEN 17130332.310000 USD 2026-06-17 607966.380000 N N N N/A N/A 000000000 1.000000 NC USD -1273.690000 -0.0001107 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -1057.500000 USD 300000.000000 USD -216.190000 N N N N/A N/A 000000000 1.000000 NC 737.950000 0.0000641 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 157732.000000 USD 1088794.030000 CNY 2026-05-07 737.950000 N N N N/A N/A 000000000 1.000000 NC -4058.320000 -0.0003527 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1652861.000000 USD 154947454.450000 INR 2026-04-24 -4058.320000 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 211849.140000 PA USD 216407.350000 0.0188078 Long ABS-O CORP US N 2 2041-02-20 Floating 5.87294 N N N N N N N/A N/A 000000000 1.000000 NC -1526.830000 -0.0001327 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-06-08 127444.050000 EUR -1526.830000 N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 8133446.430000 PA USD 3969214.580000 0.344962 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.15303 N N N N N N FNMA PASS THRU POOLS N/A 31407HN85 2194.500000 PA USD 2296.920000 0.0001996 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 267.460000 0.0000232 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5121760.000000 TWD 160000.000000 USD 2026-04-30 267.460000 N N N N/A N/A 000000000 -2085648.000000 NC USD -1666.430000 -0.0001448 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 5762.220000 N N N FNMA PASS THRU POOLS N/A 3138ANNY5 1878.300000 PA USD 1872.930000 0.0001628 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 1391.040000 PA USD 1376.920000 0.0001197 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.11671 N N N N N N N/A N/A 000000000 1.000000 NC 1693.370000 0.0001472 N/A DFE PH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6564140.000000 PHP 110000.000000 USD 2026-04-13 1693.370000 N N N N/A N/A 000000000 1.000000 NC -4872.060000 -0.0004234 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1322979.000000 USD 22377765109.000000 IDR 2026-04-27 -4872.060000 N N N N/A N/A 000000000 1.000000 NC 387.060000 0.0000336 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16294971.550000 THB 497526.000000 USD 2026-06-17 387.060000 N N N FNMA PASS THRU POOLS N/A 3140JKMX1 11310.470000 PA USD 11068.630000 0.000962 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N SBA TOWER TRUST N/A 78403DAV2 700000.000000 PA USD 683274.900000 0.059383 Long DBT CORP US N 2 2027-04-15 Fixed 1.84 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2P59J2 300000.000000 PA 6751.950000 0.0005868 Long DBT NUSS TR N 2 2026-08-19 Floating 39.64 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 996767.180000 PA USD 998227.440000 0.0867553 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 6.25 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2S3 350000.000000 PA USD 347548.940000 0.0302053 Long DBT CORP US N 2 2035-01-13 Fixed 5.9 N N N N N N PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC 213800QSH7EDGMUDJW25 69828QAD9 1700000.000000 PA USD 1331168.000000 0.115691 Long DBT CORP GB N 2 2032-04-05 None 0 N N N N N N N/A N/A 000000000 16200000.000000 NC USD 74858.580000 0.0065059 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44250 06/23/26-7Y LCH 2033-06-23 0.000000 USD 0.000000 USD N/A USD N/A 3.440000 USD 2026-06-18 XXXX -25971.300000 N N N N/A N/A 000000000 1.000000 NC -19.740000 -0.0000017 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 108775.060000 USD 6591333.540000 PHP 2026-04-13 -19.740000 N N N MF1 2022-FL8 LTD N/A 55284JAC3 5900000.000000 PA USD 5911091.940000 0.513729 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 5.42672 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4R9 4700000.000000 PA USD 4653366.460000 0.404421 Long DBT CORP US N 2 2030-07-17 Fixed 5.033 N N N N N N N/A N/A 000000000 1.000000 NC 3989.360000 0.0003467 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 354960000.000000 KRW 240000.000000 USD 2026-04-09 3989.360000 N N N N/A N/A 000000000 -16100000.000000 NC USD -111933.640000 -0.0097281 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.89900 06/29/26-7Y LCH 2033-06-29 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-06-25 XXXX 18236.570000 N N N N/A N/A 000000000 1.000000 NC 8156.900000 0.0007089 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 779736.720000 PEN 230371.000000 USD 2026-09-16 8156.900000 N N N UMBS PASS THRU POOLS N/A 01F040651 -23000000.000000 PA USD -21687567.100000 -1.88485 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 8047.500000 PA USD 8175.810000 0.0007106 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.565 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 1561129.570000 PA USD 1450276.760000 0.126043 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -2497.650000 -0.0002171 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 282000.000000 EUR 323452.110000 USD 2026-04-02 -2497.650000 N N N N/A N/A 000000000 1.000000 NC -46721.180000 -0.0040605 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3064646.110000 USD 2611000.000000 EUR 2026-04-02 -46721.180000 N N N N/A N/A 000000000 1.000000 NC -6342.130000 -0.0005512 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-20 0.000000 EUR -1474.440000 EUR 370000.000000 EUR -4867.690000 N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LV97 72227.080000 PA USD 65646.750000 0.0057053 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.46769 N N N N N N N/A N/A 000000000 1.000000 NC -2038.150000 -0.0001771 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 497526.000000 USD 16323828.060000 THB 2026-04-16 -2038.150000 N N N N/A N/A 000000000 13500000.000000 NC USD 84504.600000 0.0073442 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2026-08-03 XXXX -114198.530000 N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 2826.020000 PA USD 2415.270000 0.0002099 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 38899.390000 0.0033807 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 163951743.060000 INR 1770346.000000 USD 2026-04-07 38899.390000 N N N PANAMA GOVT 549300SHS4T08CL0LP14 BA000HCH9 1000000.000000 PA 1165002.740000 0.10125 Long LON NUSS IE N 3 2027-04-01 Floating 4.925 N N N N N N N/A N/A 000000000 1.000000 NC -29036.870000 -0.0025236 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1600000.000000 BRL 279852.380000 USD 2026-04-02 -29036.870000 N N N FNMA PASS THRU POOLS N/A 3138A5XB3 2344.510000 PA USD 2319.870000 0.0002016 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N CVC CORDATUS LOAN FUND XII DAC 12A N/A ACI378M42 1500000.000000 PA 1731456.750000 0.15048 Long ABS-CBDO CORP IE N 2 2039-01-23 Floating 3.285 N N N N N N N/A N/A 000000000 1.000000 NC 5.210000 0.0000005 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 57065.680000 USD 9000000.000000 JPY 2026-06-17 5.210000 N N N N/A N/A 000000000 1.000000 NC 22032.920000 0.0019149 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-02-12 0.000000 EUR -1071.880000 EUR 400000.000000 EUR 23104.800000 N N N N/A N/A 000000000 1.000000 NC 488.020000 0.0000424 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 1803137.000000 MXN 100474.590000 USD 2026-06-17 488.020000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 1500000.000000 PA USD 1521428.880000 0.132227 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC 4696.680000 0.0004082 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5005000.000000 SEK 533394.790000 USD 2026-04-02 4696.680000 N N N N/A N/A 000000000 1.000000 NC -5950.100000 -0.0005171 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 245539.600000 USD 22686876.880000 INR 2026-04-07 -5950.100000 N N N UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST N/A 90932WAA1 375898.190000 PA USD 384281.620000 0.0333977 Long DBT CORP US N 2 2038-08-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -1676.930000 -0.0001457 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13884523.800000 THB 420000.000000 USD 2026-04-23 -1676.930000 N N N FNMA PASS THRU POOLS N/A 31410EKC1 6254.340000 PA USD 6478.280000 0.000563 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 6.085 N N N N N N GNMA PASS THRU POOLS N/A 36178UUR2 153074.220000 PA USD 143917.920000 0.0125078 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 156701.320000 PA USD 155037.280000 0.0134742 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Z8HT4 133500000.000000 PA 32808.370000 0.0028514 Long DBT NUSS CO N 2 2058-03-13 Fixed 12 N N N N N N N/A N/A 000000000 -22400000.000000 NC USD -41520.640000 -0.0036085 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% JUN 30YR N/A 101.380000 USD 2026-06-04 XXXX 23229.360000 N N N GNMA PASS THRU POOLS N/A 36184MYF4 41031.890000 PA USD 38576.700000 0.0033527 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -1298.190000 -0.0001128 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4023510.010000 TRY 87138.000000 USD 2026-04-21 -1298.190000 N N N N/A N/A 000000000 18000000.000000 NC USD 2876.400000 0.00025 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-04-06 XXXX -51123.600000 N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAE1 158396.130000 PA USD 132466.240000 0.0115126 Long ABS-MBS CORP US N 2 2047-06-20 Floating 4.34952 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAB5 9704.370000 PA USD 5850.080000 0.0005084 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.19303 N N N N N N N/A N/A 000000000 1.000000 NC 2972.750000 0.0002584 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 746000.000000 CHF 935939.230000 USD 2026-04-02 2972.750000 N N N FANNIE MAE 2006-115 N/A 31396LT26 1333.740000 PA USD 1480.880000 0.0001287 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 11.4545 N N N N N N N/A N/A 000000000 1.000000 NC 1095.680000 0.0000952 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 658051.340000 THB 21076.190000 USD 2026-04-20 1095.680000 N N N N/A N/A 000000000 1.000000 NC 11430.650000 0.0009934 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2034-03-28 0.000000 GBP -851.950000 GBP 200000.000000 GBP 12282.600000 N N N N/A N/A 000000000 1.000000 NC -7801.810000 -0.0006781 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4480052.550000 BRL 857098.250000 USD 2026-04-02 -7801.810000 N N N N/A N/A 000000000 1.000000 NC 357.670000 0.0000311 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23649.000000 USD 88431426.620000 COP 2026-04-16 357.670000 N N N GNMA PASS THRU POOLS N/A 36295QJT8 10934.720000 PA USD 11159.610000 0.0009699 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 127.460000 0.0000111 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4575223.260000 INR 48364.500000 USD 2026-04-02 127.460000 N N N N/A N/A 000000000 1.000000 NC -1613.910000 -0.0001403 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 306530.740000 USD 2100160.420000 CNY 2026-04-02 -1613.910000 N N N GNMA PASS THRU POOLS N/A 21H042646 16170000.000000 PA USD 15623674.880000 1.35784 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4.5 N N N N N N MDPKE 14A N/A ACI2289F9 1781966.280000 PA 2057046.420000 0.178777 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 2.816 N N N N N N N/A N/A 000000000 833.000000 NC USD -1720918.400000 -0.149564 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 92456492.600000 USD -1720918.400000 N N N N/A N/A 000000000 1.000000 NC 1106.030000 0.0000961 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4350131.100000 INR 47046.500000 USD 2026-04-07 1106.030000 N N N GOLDEN BEAR RE LTD SERIES 2026-1 N/A 38090EAA8 400000.000000 PA USD 407260.000000 0.0353947 Long DBT CORP BM N 2 2029-01-08 Floating 9.75 N N N N N N N/A N/A 000000000 1.000000 NC 1715.180000 0.0001491 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 78000.000000 CHF 99263.950000 USD 2026-04-02 1715.180000 N N N N/A N/A 000000000 1.000000 NC USD 5648902.790000 0.490943 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-16 2126867.790000 USD 0.000000 USD 11300000.000000 USD 3522035.000000 N N N N/A N/A 000000000 1.000000 NC 220.970000 0.0000192 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1104000.000000 CNY 160507.860000 USD 2026-04-02 220.970000 N N N N/A N/A 000000000 19600000.000000 NC USD 1.960000 0.0000002 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26750 04/06/26-7Y LCH 2033-04-06 0.000000 USD 0.000000 USD N/A USD N/A 3.270000 USD 2026-04-02 XXXX -44705.480000 N N N N/A N/A 000000000 1.000000 NC USD -3824.460000 -0.0003324 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -2025.000000 USD 600000.000000 USD -1799.460000 N N N N/A N/A 000000000 1.000000 NC -239134.050000 -0.020783 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 80800000.000000 BRL -239134.050000 N N N N/A N/A 000000000 1.000000 NC 5642.830000 0.0004904 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3000000.000000 SEK 322544.800000 USD 2026-04-02 5642.830000 N N N N/A N/A 000000000 1.000000 NC 8798.000000 0.0007646 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 362300000.000000 CLP 400000.000000 USD 2026-04-09 8798.000000 N N N N/A N/A 000000000 -7100000.000000 NC USD -22960.690000 -0.0019955 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08800 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-05-06 XXXX -13730.690000 N N N N/A N/A 000000000 1.000000 NC -24924.480000 -0.0021662 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1400000.000000 BRL 245353.620000 USD 2026-04-02 -24924.480000 N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QCL4 700000.000000 PA USD 536139.730000 0.0465956 Long DBT CORP MX N 2 2048-02-12 Fixed 6.35 N N N N N N N/A N/A 000000000 1.000000 NC -29716.790000 -0.0025827 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 496341.250000 USD 15368115.000000 THB 2026-04-20 -29716.790000 N N N N/A N/A 000000000 1.000000 NC USD 13567.370000 0.0011791 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 21628.200000 USD 0.000000 USD 1900000.000000 USD -8060.830000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325CU7 1100000.000000 PA USD 792121.000000 0.0688428 Long DBT NUSS CO N 2 2045-06-15 Fixed 5 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 2295.910000 PA USD 2330.520000 0.0002025 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.49 N N N N N N N/A N/A 000000000 1.000000 NC -24529.880000 -0.0021319 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1010550.950000 USD 3660377.230000 PLN 2026-04-15 -24529.880000 N N N N/A N/A 000000000 1.000000 NC -1136.380000 -0.0000988 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 183122.050000 USD 571000.000000 ILS 2026-06-10 -1136.380000 N N N N/A N/A 000000000 1.000000 NC -2104274.930000 -0.182881 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 -1567029.810000 EUR 57840000.000000 EUR -537245.120000 N N N N/A N/A 000000000 1.000000 NC 593.560000 0.0000516 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 260539.500000 MYR 65000.000000 USD 2026-04-30 593.560000 N N N N/A N/A 000000000 1.000000 NC -5541.960000 -0.0004816 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 44 Y Single Leg Swap 2030-12-20 0.000000 EUR -6414.850000 EUR 320000.000000 EUR 872.890000 N N N N/A N/A 000000000 1.000000 NC -2136.350000 -0.0001857 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 909000.000000 EUR 1048531.500000 USD 2026-04-02 -2136.350000 N N N N/A N/A 000000000 1.000000 NC -215.790000 -0.0000188 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4586830.640000 INR 48592.880000 USD 2026-04-24 -215.790000 N N N N/A N/A 000000000 1.000000 NC 617.490000 0.0000537 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 149995.770000 USD 1034813.320000 CNY 2026-05-07 617.490000 N N N FNMA PASS THRU POOLS N/A 3140HAC99 7474.140000 PA USD 6977.460000 0.0006064 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 11941.610000 PA USD 11970.870000 0.0010404 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 4.49638 N N N N N N N/A N/A 000000000 -116.000000 NC USD 310788.360000 0.0270104 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -13157843.810000 USD 310788.360000 N N N N/A N/A 000000000 1.000000 NC 8851.470000 0.0007693 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1869411.530000 ILS 604659.000000 USD 2026-06-10 8851.470000 N N N N/A N/A 000000000 1.000000 NC 2104.500000 0.0001829 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 220000.000000 USD 1150468.000000 BRL 2026-04-02 2104.500000 N N N N/A N/A 000000000 1.000000 NC -420532.690000 -0.0365482 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 18000000.000000 BRL 3054471.410000 USD 2026-04-02 -420532.690000 N N N N/A N/A 000000000 1.000000 NC USD 10151.360000 0.0008822 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -1375.000000 USD 500000.000000 USD 11526.360000 N N N N/A N/A 000000000 1.000000 NC -18307.500000 -0.0015911 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-01 0.000000 EUR -1268.350000 EUR 500000.000000 EUR -17039.150000 N N N N/A N/A 000000000 1.000000 NC -127.170000 -0.0000111 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 48256.430000 USD 4565000.000000 INR 2026-04-02 -127.170000 N N N N/A N/A 000000000 1.000000 NC 632.020000 0.0000549 N/A DFE CZ N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 2108189.800000 CZK 100000.000000 USD 2026-06-17 632.020000 N N N FREDDIE MAC REMICS 5557 N/A 3137HLZ21 434558.120000 PA USD 437096.030000 0.0379878 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 4.7619 N N N N N N FANNIE MAE REMICS 2025-54 N/A 3136BWNW2 425081.990000 PA USD 427567.440000 0.0371596 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 4.7619 N N N N N N N/A N/A 000000000 1.000000 NC -18848.860000 -0.0016381 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1400000.000000 BRL 251429.240000 USD 2026-04-02 -18848.860000 N N N N/A N/A 000000000 1.000000 NC -79361.430000 -0.0068973 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2036-09-16 121759.000000 AUD 0.000000 AUD 16200000.000000 AUD -201120.430000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EQ4 1400000.000000 PA USD 1449658.000000 0.125989 Long DBT NUSS CO N 2 2054-11-07 Fixed 8.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 7371.700000 0.0006407 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -948.000000 USD 240000.000000 USD 8319.700000 N N N N/A N/A 000000000 1.000000 NC 31182.180000 0.00271 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3222616.000000 PEN 952760.170000 USD 2026-07-08 31182.180000 N N N RESIDENTIAL ASSET SECUR TR 2007-A5 N/A 76114HAM7 324319.970000 PA USD 156727.240000 0.0136211 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQBT8 1475362.730000 PA USD 1460530.830000 0.126934 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -25821.660000 -0.0022441 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 8250018.660000 CHF 10328390.310000 USD 2026-05-04 -25821.660000 N N N N/A N/A 000000000 1.000000 NC USD 2808326.700000 0.24407 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-03-15 141728.180000 USD 0.000000 USD 21700000.000000 USD 2666598.520000 N N N N/A N/A 000000000 13100000.000000 NC USD 45320.760000 0.0039388 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.21900 06/08/26-10Y LCH 2036-06-08 0.000000 USD 0.000000 USD N/A USD N/A 4.220000 USD 2026-06-04 XXXX -18869.240000 N N N N/A N/A 000000000 1.000000 NC -152.070000 -0.0000132 N/A DFE JP N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 8316.000000 USD 1295656.000000 JPY 2026-04-02 -152.070000 N N N N/A N/A 000000000 1.000000 NC USD 7844.500000 0.0006818 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -2540.000000 USD 800000.000000 USD 10384.500000 N N N N/A N/A 000000000 1.000000 NC 4038.940000 0.000351 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 600000.000000 AUD 417549.420000 USD 2026-06-17 4038.940000 N N N N/A N/A 000000000 1.000000 NC 3805.010000 0.0003307 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14740800.000000 INR 160000.000000 USD 2026-04-09 3805.010000 N N N N/A N/A 000000000 1200000.000000 NC USD 1571.160000 0.0001365 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2026-08-04 XXXX -8868.840000 N N N N/A N/A 000000000 1.000000 NC -18194.270000 -0.0015813 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 900000.000000 BRL 155555.940000 USD 2026-04-02 -18194.270000 N N N N/A N/A 000000000 1.000000 NC 1744.330000 0.0001516 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 500000.000000 EUR 581677.700000 USD 2026-06-17 1744.330000 N N N N/A N/A 000000000 1.000000 NC -429.290000 -0.0000373 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 162904.450000 USD 9850099.020000 PHP 2026-04-17 -429.290000 N N N N/A N/A 000000000 1.000000 NC -383.020000 -0.0000333 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3740316580.000000 IDR 219533.840000 USD 2026-06-10 -383.020000 N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 17682.330000 PA USD 8192.090000 0.000712 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.91303 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 19540.420000 PA USD 19386.130000 0.0016848 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.17638 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 4200000.000000 PA USD 3735070.080000 0.324613 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.25303 N N N N N N N/A N/A 000000000 1.000000 NC 12715.940000 0.0011051 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1068396.450000 USD 5600000.000000 BRL 2026-04-02 12715.940000 N N N N/A N/A 000000000 1.000000 NC 3604.560000 0.0003133 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2029-10-01 0.000000 CLP 0.000000 CLP 245000000.000000 CLP 3604.560000 N N N FHLMC PASS THRU POOLS N/A 3128M6E87 52404.460000 PA USD 53950.760000 0.0046888 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 75790.400000 PA USD 62446.330000 0.0054272 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.50199 N N N N N N N/A N/A 000000000 1.000000 NC 32.700000 0.0000028 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 17575.170000 USD 809529.910000 TRY 2026-04-29 32.700000 N N N N/A N/A 000000000 1.000000 NC 3460.200000 0.0003007 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5188000.000000 MXN 291142.360000 USD 2026-06-17 3460.200000 N N N N/A N/A 000000000 1.000000 NC 3990.970000 0.0003469 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 459250000.000000 CLP 500000.000000 USD 2026-04-23 3990.970000 N N N N/A N/A 000000000 1.000000 NC 18917.660000 0.0016441 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 679324.470000 USD 12524026.000000 MXN 2026-04-15 18917.660000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 27600000.000000 PA 1613583.630000 0.140236 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 49088.550000 PA USD 49165.630000 0.004273 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.48671 N N N N N N N/A N/A 000000000 -16700000.000000 NC USD -62062.210000 -0.0053938 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.76250 04/16/26-7Y LCH 2033-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-04-14 XXXX 4737.790000 N N N N/A N/A 000000000 108.000000 NC USD -174225.490000 -0.0151418 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A FEDERAL FUND 2026-05-29 43362093.690000 USD -174225.490000 N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 117144.680000 PA USD 108485.450000 0.0094284 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.25955 N N N N N N N/A N/A 000000000 1.000000 NC 6545.420000 0.0005689 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1163537.330000 ILS 377381.000000 USD 2026-06-10 6545.420000 N N N N/A N/A 000000000 1.000000 NC -4181.720000 -0.0003634 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 510324.110000 USD 8608402250.000000 IDR 2026-06-10 -4181.720000 N N N FNMA PASS THRU POOLS N/A 3138LTLS5 87548.840000 PA USD 86452.290000 0.0075135 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -2805.880000 -0.0002439 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 136000.000000 USD 200303718.000000 KRW 2026-04-13 -2805.880000 N N N FANNIE MAE 2007-65 N/A 31396WLX2 11221.230000 PA USD 11118.480000 0.0009663 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.15638 N N N N N N N/A N/A 000000000 1.000000 NC USD 90801.770000 0.0078915 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-17 0.000000 USD -154968.640000 USD 10020000.000000 USD 245770.410000 N N N N/A N/A 000000000 1.000000 NC 1072.330000 0.0000932 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 29964681.600000 INR 320000.000000 USD 2026-04-23 1072.330000 N N N N/A N/A 000000000 1.000000 NC 340.340000 0.0000296 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 51235.000000 USD 190440495.000000 COP 2026-04-24 340.340000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 610000000.000000 PA 645193.570000 0.0560734 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 400000.000000 PA USD 402301.280000 0.0349638 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC USD 609330.790000 0.0529566 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2055-12-17 227072.120000 USD 0.000000 USD 8970000.000000 USD 382258.670000 N N N FNMA PASS THRU POOLS N/A 31417YM95 4663.540000 PA USD 4669.620000 0.0004058 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -42635.520000 -0.0037054 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2400000.000000 BRL 420698.360000 USD 2026-04-02 -42635.520000 N N N N/A N/A 000000000 1.000000 NC USD -4981.610000 -0.0004329 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -2525.250000 USD 700000.000000 USD -2456.360000 N N N N/A N/A 000000000 1.000000 NC USD 6187.250000 0.0005377 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -3003.000000 USD 1100000.000000 USD 9190.250000 N N N N/A N/A 000000000 1.000000 NC 2832.670000 0.0002462 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 16546387.930000 THB 507642.000000 USD 2026-06-17 2832.670000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI3187G8 1150000.000000 PA 18491.320000 0.0016071 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 USD 1933.540000 0.000168 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2032-09-28 3696.020000 USD 0.000000 USD 1300000.000000 USD -1762.480000 N N N N/A N/A 000000000 1.000000 NC 103.330000 0.000009 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 448000.000000 ILS 142887.180000 USD 2026-06-10 103.330000 N N N N/A N/A 000000000 1.000000 NC 12176.470000 0.0010582 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 286938000.000000 KRW 200000.000000 USD 2026-04-03 12176.470000 N N N FHLMC PASS THRU POOLS N/A 3132DWL35 1290299.650000 PA USD 1297973.980000 0.112806 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5ZG7 11099994.520000 PA USD 10188825.380000 0.885505 Long ABS-MBS USGSE US N 2 2055-11-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1200000.000000 NC USD 1569.960000 0.0001364 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.96500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 2.960000 USD 2026-08-05 XXXX -8690.040000 N N N N/A N/A 000000000 1.000000 NC 10295.980000 0.0008948 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5465000.000000 NOK 574693.010000 USD 2026-04-07 10295.980000 N N N N/A N/A 000000000 1.000000 NC 6145.970000 0.0005341 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 2569236.730000 PLN 698239.000000 USD 2026-04-15 6145.970000 N N N N/A N/A 000000000 -14400000.000000 NC USD -84173.760000 -0.0073155 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95100 06/26/26-7Y LCH 2033-06-26 0.000000 USD 0.000000 USD N/A USD N/A 3.950000 USD 2026-06-24 XXXX 38961.630000 N N N N/A N/A 000000000 1.000000 NC -1412.160000 -0.0001227 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 453090.160000 USD 3111000.000000 CNY 2026-04-02 -1412.160000 N N N N/A N/A 000000000 1.000000 NC 985952.400000 0.0856885 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2056-09-16 914893.090000 EUR 0.000000 EUR 39130000.000000 EUR 71059.310000 N N N N/A N/A 000000000 1.000000 NC 1688.380000 0.0001467 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 273456.400000 USD 12518040.970000 TRY 2026-04-21 1688.380000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2W14X7 2100000.000000 PA 2427528.190000 0.210975 Long DBT NUSS RO N 2 2039-07-11 Fixed 6.75 N N N N N N GLOBAL SPORTS GROUP (GSG BIDCO LIMITED) 984500F49D98F3GDZ668 ACI38RGT1 1200000.000000 PA 1375931.040000 0.119581 Long DBT CORP JE N 2 2031-06-15 Fixed 4.7 N N N N N N FHLMC PASS THRU POOLS N/A 31427CWQ2 886834.390000 PA USD 908698.260000 0.0789744 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -584.250000 -0.0000508 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4065458.850000 TRY 87178.000000 USD 2026-05-05 -584.250000 N N N N/A N/A 000000000 1.000000 NC -17.950000 -0.0000016 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 39709.060000 PEN 11349.660000 USD 2026-06-17 -17.950000 N N N N/A N/A 000000000 1.000000 NC -1262.290000 -0.0001097 N/A DFE CZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6135299.510000 CZK 287721.320000 USD 2026-04-15 -1262.290000 N N N N/A N/A 000000000 1.000000 NC 2088.840000 0.0001815 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1106203.710000 PLN 300000.000000 USD 2026-06-17 2088.840000 N N N GNMA PASS THRU POOLS N/A 36184BZ67 73030.510000 PA USD 68660.180000 0.0059672 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N CROSS 2024-H6 MORTGAGE TRUST N/A 227919AA5 3110844.890000 PA USD 3113464.530000 0.270589 Long ABS-MBS CORP US N 2 2069-09-25 Fixed 5.129 N N N N N N N/A N/A 000000000 1.000000 NC -3774.500000 -0.000328 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2391137009.020000 COP 646777.660000 USD 2026-04-08 -3774.500000 N N N FNMA PASS THRU POOLS N/A 31408DLF9 8214.350000 PA USD 8519.810000 0.0007405 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 410.700000 0.0000357 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1050257.150000 USD 909000.000000 EUR 2026-04-02 410.700000 N N N N/A N/A 000000000 1.000000 NC -470.530000 -0.0000409 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 638453.940000 USD 20404988.000000 TWD 2026-04-07 -470.530000 N N N N/A N/A 000000000 1.000000 NC 7264.850000 0.0006314 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1035236.380000 USD 5400000.000000 BRL 2026-04-02 7264.850000 N N N N/A N/A 000000000 1.000000 NC USD 133859.010000 0.0116336 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.46 Y Single Leg Swap 2031-06-20 106635.000000 USD 0.000000 USD 2700000.000000 USD 27224.010000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 250000.000000 PA USD 244667.290000 0.0212639 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N N/A N/A 000000000 1.000000 NC -149027.100000 -0.0129519 N/A DFE CO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 13886150850.000000 COP 3627000.000000 USD 2026-04-10 -149027.100000 N N N N/A N/A 000000000 415.000000 NC USD -625582.910000 -0.054369 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 86104394.220000 USD -625582.910000 N N N N/A N/A 000000000 37100000.000000 NC USD 2381163.330000 0.206946 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -612806.670000 N N N N/A N/A 000000000 1.000000 NC 4775.100000 0.000415 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 310420000.000000 CLP 340000.000000 USD 2026-04-16 4775.100000 N N N FANNIE MAE REMICS 2025-74 N/A 3136BXEJ9 7295024.720000 PA USD 7357038.270000 0.639396 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC 2287.010000 0.0001988 N/A DFE NZ N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 200000.000000 NZD 117524.160000 USD 2026-06-17 2287.010000 N N N CBAMR 2019-9A N/A 14987VAN9 3300000.000000 PA USD 3308548.550000 0.287544 Long ABS-CBDO CORP KY N 2 2037-07-15 Floating 5.30219 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 2700.740000 PA USD 2030.430000 0.0001765 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.43303 N N N N N N N/A N/A 000000000 1.000000 NC 195.210000 0.000017 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 169964.420000 USD 1172000.000000 CNY 2026-04-02 195.210000 N N N N/A N/A 000000000 1.000000 NC 14238.480000 0.0012375 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 951040.440000 USD 5000000.000000 BRL 2026-04-02 14238.480000 N N N FNMA PASS THRU POOLS N/A 31418NBG4 3218.390000 PA USD 3377.670000 0.0002936 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402RTT6 3332.080000 PA USD 3400.710000 0.0002956 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 6.04 N N N N N N N/A N/A 000000000 1.000000 NC 25.200000 0.0000022 N/A DFE ID N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 337596597.000000 IDR 19874.640000 USD 2026-06-10 25.200000 N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAV1 61221.800000 PA USD 55769.590000 0.0048469 Long ABS-MBS CORP US N 2 2046-12-20 Floating 4.16952 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2007-4 N/A 41164YAB7 162224.610000 PA USD 158484.540000 0.0137738 Long ABS-MBS CORP US N 2 2037-07-19 Floating 4.0112 N N N N N N GNMA PASS THRU POOLS N/A 21H030658 -36100000.000000 PA USD -32205703.840000 -2.79898 Short ABS-MBS USGSE US N 2 2056-05-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -38798.450000 -0.0033719 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1483669.000000 USD 5363819.520000 PLN 2026-04-22 -38798.450000 N N N N/A N/A 000000000 1.000000 NC -4186.320000 -0.0003638 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 101683143.000000 HUF 300000.000000 USD 2026-06-17 -4186.320000 N N N N/A N/A 000000000 1.000000 NC -625.850000 -0.0000544 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 128000.000000 USD 4076406.000000 TWD 2026-04-13 -625.850000 N N N GNMA PASS THRU POOLS N/A 36295QKD1 47931.380000 PA USD 48917.290000 0.0042514 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 12833.720000 0.0011154 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 109582592.910000 MXN 6119744.500000 USD 2026-04-20 12833.720000 N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 337382.460000 PA USD 299359.960000 0.0260172 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.39303 N N N N N N FNMA PASS THRU POOLS N/A 31411FL28 1962.630000 PA USD 2002.110000 0.000174 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N CAPE LOOKOUT RE LTD N/A 13947LAG7 550000.000000 PA USD 574145.000000 0.0498986 Long DBT CORP BM N 2 2032-03-13 Floating 10.41 N N N N N N N/A N/A 000000000 1.000000 NC 44350.040000 0.0038544 N/A DFE TR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 3169948.070000 USD 144890401.410000 TRY 2026-04-14 44350.040000 N N N N/A N/A 000000000 5100000.000000 NC USD 295007.460000 0.0256389 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -144357.540000 N N N N/A N/A 000000000 1.000000 NC -16586.150000 -0.0014415 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 900000.000000 BRL 157164.060000 USD 2026-04-02 -16586.150000 N N N BANC OF AMERICA FUNDING CORP 2006-7 N/A 05951KBD4 1401311.550000 PA USD 1267976.900000 0.110199 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.4117 N N N N N N UMBS PASS THRU POOLS N/A 01F032641 -5030000.000000 PA USD -4611898.400000 -0.400817 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 1378.530000 0.0001198 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 4780759.000000 MXN 266478.580000 USD 2026-06-17 1378.530000 N N N AVON FINANCE 4A N/A ACI2JTXR2 2380707.950000 PA 3153636.790000 0.274081 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 4.6291 N N N N N N FHLMC PASS THRU POOLS N/A 312927PK6 1420.750000 PA USD 1454.570000 0.0001264 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 28192.380000 PA USD 13989.180000 0.0012158 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.09303 N N N N N N GNMA PASS THRU POOLS N/A 36296P6J5 11162.140000 PA USD 11401.150000 0.0009909 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -3675.530000 -0.0003194 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 209564.740000 USD 646000.000000 ILS 2026-06-10 -3675.530000 N N N ATLAS SENIOR LOAN FUND XV LTD N/A 04942MAN4 1344139.340000 PA USD 1346397.410000 0.117015 Long ABS-CBDO CORP KY N 2 2032-10-23 Floating 4.89102 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 343073.940000 PA USD 346845.150000 0.0301441 Long ABS-O CORP US N 2 2052-11-15 Floating 5.22223 N N N N N N N/A N/A 000000000 1.000000 NC -14713.710000 -0.0012788 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 965358.660000 USD 9205000.000000 NOK 2026-04-07 -14713.710000 N N N PERUSAHAAN PERSEROAN (PERSERO) PT PERUSAHAAN LISTRIK NEGARA 254900OYVDRYS9J51J61 71568QAC1 800000.000000 PA USD 794736.800000 0.0690701 Long DBT CORP ID N 2 2027-05-15 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC -13150.410000 -0.0011429 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6000000.000000 BRL 1097333.480000 USD 2026-10-02 -13150.410000 N N N N/A N/A 000000000 1.000000 NC -17805.930000 -0.0015475 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 476569.870000 USD 8273253.000000 MXN 2026-06-17 -17805.930000 N N N N/A N/A 000000000 1.000000 NC -9403.030000 -0.0008172 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2031-09-16 0.000000 EUR -481.390000 EUR 400000.000000 EUR -8921.640000 N N N N/A N/A 000000000 -19000000.000000 NC USD -7676.000000 -0.0006671 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 2707.500000 N N N GNMA PASS THRU POOLS N/A 36182QB88 86840.120000 PA USD 81591.280000 0.007091 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3142GVLG4 2686924.280000 PA USD 2740218.210000 0.238151 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1404.090000 0.000122 N/A DFE SG N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 255000.000000 SGD 199739.630000 USD 2026-04-02 1404.090000 N N N N/A N/A 000000000 1.000000 NC -743.440000 -0.0000646 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 238109.630000 BRL 45225.000000 USD 2026-04-02 -743.440000 N N N FREDDIE MAC 3181 N/A 31396URJ1 60632.640000 PA USD 5835.660000 0.0005072 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 2.68329 N N N N N N N/A N/A 000000000 1.000000 NC 44465.770000 0.0038645 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 13154679.330000 CAD 9514484.960000 USD 2026-05-04 44465.770000 N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 1125.370000 PA 1487.780000 0.0001293 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 4.0019 N N N N N N N/A N/A 000000000 1.000000 NC -44501.480000 -0.0038676 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11563522909.430000 COP 2986909.880000 USD 2026-09-16 -44501.480000 N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 9890.140000 PA USD 9918.250000 0.000862 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 4.05303 N N N N N N N/A N/A 000000000 19000000.000000 NC USD 28918.000000 0.0025132 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 646.000000 N N N BELLA VISTA MORTGAGE TRUST 2005-1 N/A 07820QBL8 444849.100000 PA USD 429917.610000 0.0373639 Long ABS-MBS CORP US N 2 2045-01-22 Floating 4.38943 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5V56 548.150000 PA USD 566.660000 0.0000492 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 1045.750000 0.0000909 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 318435.250000 USD 1186000.000000 PLN 2026-04-15 1045.750000 N N N N/A N/A 000000000 1.000000 NC -14531.070000 -0.0012629 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5100000.000000 BRL 950163.020000 USD 2026-07-02 -14531.070000 N N N N/A N/A 000000000 1.000000 NC 61.750000 0.0000054 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1689370000.000000 IDR 99390.490000 USD 2026-06-10 61.750000 N N N POLESTAR RE LTD 254900VQQ6V3O4PG3408 73110JAE2 250000.000000 PA USD 249975.000000 0.0217252 Long DBT CORP BM N 2 2029-01-08 Floating 12.6632 N N N N N N N/A N/A 000000000 -13.000000 NC 23837.480000 0.0020717 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A EUIB 2027-06-14 -3650203.890000 EUR 23837.480000 N N N N/A N/A 000000000 181.000000 NC -82496.330000 -0.0071697 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-06-15 13456398.030000 AUD -82496.330000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2Q7PM2 74400000.000000 PA 13456025.350000 1.16946 Long DBT NUSS BR N 2 2026-10-01 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128KLML8 4831.410000 PA USD 4992.900000 0.0004339 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 112055.550000 PA USD 106373.490000 0.0092449 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.25803 N N N N N N N/A N/A 000000000 1.000000 NC 2827.920000 0.0002458 N/A DFE SE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1110000.000000 SEK 120081.650000 USD 2026-04-02 2827.920000 N N N N/A N/A 000000000 1.000000 NC -1357.700000 -0.000118 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 201186519.000000 KRW 132423.450000 USD 2026-04-13 -1357.700000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TJ6 100000.000000 PA USD 99798.720000 0.0086734 Long DBT UST US N 2 2026-04-21 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 21230.170000 0.0018451 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 26742933.470000 THB 833230.000000 USD 2026-04-20 21230.170000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2Q1SN0 400000.000000 PA 9001.430000 0.0007823 Long DBT NUSS TR N 2 2026-05-20 Floating 39.64 N N N N N N N/A N/A 000000000 1.000000 NC 1.750000 0.0000002 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3363.000000 ZAR 200.230000 USD 2026-04-20 1.750000 N N N N/A N/A 000000000 1.000000 NC 14998.480000 0.0013035 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 930974.860000 USD 4900000.000000 BRL 2026-04-02 14998.480000 N N N FHLMC PASS THRU POOLS N/A 31427PW75 3164101.910000 PA USD 3226856.940000 0.280444 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 108.510000 0.0000094 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 73623.100000 THB 2343.940000 USD 2026-04-20 108.510000 N N N FNMA PASS THRU POOLS N/A 3140GVZY4 1156660.620000 PA USD 1078840.190000 0.0937614 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N N/A N/A 000000000 13500000.000000 NC USD 30659.850000 0.0026646 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.30000 06/04/26-7Y LCH 2033-06-04 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2026-06-02 XXXX -50081.780000 N N N N/A N/A 000000000 1.000000 NC 2412.000000 0.0002096 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6015000.000000 SEK 637800.440000 USD 2026-04-02 2412.000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 72464.270000 PA USD 73898.190000 0.0064224 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 4.9774 N N N N N N N/A N/A 000000000 1.000000 NC -1635.940000 -0.0001422 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 535380.000000 BRL 100000.000000 USD 2026-06-17 -1635.940000 N N N N/A N/A 000000000 1.000000 NC 383.470000 0.0000333 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1271376.000000 TWD 39945.210000 USD 2026-06-17 383.470000 N N N N/A N/A 000000000 1.000000 NC 610.530000 0.0000531 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5306824.000000 TWD 166431.160000 USD 2026-04-13 610.530000 N N N N/A N/A 000000000 1.000000 NC 3635.850000 0.000316 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 295017.750000 USD 13286684.900000 TRY 2026-04-03 3635.850000 N N N N/A N/A 000000000 1.000000 NC USD 4668.290000 0.0004057 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -79129.640000 USD 47200000.000000 USD 83797.930000 N N N FNMA PASS THRU POOLS N/A 3138A9PQ1 124.260000 PA USD 123.920000 0.0000108 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 24344.500000 PA USD 23770.360000 0.0020659 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.45303 N N N N N N N/A N/A 000000000 800000.000000 NC USD 2300.720000 0.0002 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 3.240000 USD 2026-08-06 XXXX -8099.280000 N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 211268.970000 PA USD 96912.120000 0.0084226 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC 25.710000 0.0000022 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2036-03-23 0.000000 CZK 0.000000 CZK 1000000.000000 CZK 25.710000 N N N N/A N/A 000000000 1.000000 NC 135.300000 0.0000118 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20898.540000 USD 941838.680000 TRY 2026-04-09 135.300000 N N N N/A N/A 000000000 1.000000 NC 2029.740000 0.0001764 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 122845.000000 USD 660169.030000 BRL 2026-07-02 2029.740000 N N N N/A N/A 000000000 -10400000.000000 NC USD -4212.000000 -0.0003661 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 1196.000000 N N N N/A N/A 000000000 1.000000 NC USD 85923.220000 0.0074675 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-12-20 0.000000 USD -54312.490000 USD 4700000.000000 USD 140235.710000 N N N FHLMC PASS THRU POOLS N/A 3142GVLJ8 1850418.340000 PA USD 1892822.560000 0.164504 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1615.580000 0.0001404 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 57641.030000 USD 19723608.000000 HUF 2026-04-15 1615.580000 N N N N/A N/A 000000000 1.000000 NC 1423832.020000 0.123744 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 57102249.930000 EUR 67425480.180000 USD 2026-04-02 1423832.020000 N N N N/A N/A 000000000 1.000000 NC -326.810000 -0.0000284 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1137000.000000 CNY 164751.260000 USD 2026-04-02 -326.810000 N N N N/A N/A 000000000 1.000000 NC -160327.810000 -0.013934 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5973352.770000 USD 8741464177.000000 KRW 2026-04-15 -160327.810000 N N N N/A N/A 000000000 1.000000 NC 1952.660000 0.0001697 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 935010.120000 ILS 300000.000000 USD 2026-06-17 1952.660000 N N N N/A N/A 000000000 1.000000 NC -829.700000 -0.0000721 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 90131.000000 USD 1518824520.000000 IDR 2026-06-10 -829.700000 N N N UMBS PASS THRU POOLS N/A 01F060659 31550000.000000 PA USD 32124057.930000 2.79188 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 346000.000000 PA USD 344945.780000 0.029979 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 28034.120000 0.0024364 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-27 0.000000 USD 0.000000 USD 19900000.000000 USD 28034.120000 N N N N/A N/A 000000000 3400000.000000 NC USD 201439.460000 0.017507 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -98100.540000 N N N N/A N/A 000000000 733800000.000000 NC USD 4548972.960000 0.395348 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX 863462.460000 N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 73375.860000 PA USD 63202.530000 0.0054929 Long ABS-MBS CORP US N 2 2036-07-20 Floating 4.18952 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI22YPY3 373500000.000000 PA 76315.540000 0.0066325 Long DBT NUSS CO N 2 2042-05-28 Fixed 9.25 N N N N N N N/A N/A 000000000 1.000000 NC -73.790000 -0.0000064 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 134457.650000 USD 2277000.000000 ZAR 2026-04-20 -73.790000 N N N FNMA PASS THRU POOLS N/A 3140AGGL2 1441430.730000 PA USD 1514039.730000 0.131584 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 12900000.000000 NC USD 827951.670000 0.0719568 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -213078.330000 N N N N/A N/A 000000000 1.000000 NC 2480.760000 0.0002156 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1027599.000000 MYR 256450.960000 USD 2026-04-15 2480.760000 N N N N/A N/A 000000000 1.000000 NC 3672.060000 0.0003191 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 7283000.000000 MXN 407525.030000 USD 2026-06-17 3672.060000 N N N N/A N/A 000000000 1.000000 NC 1871.040000 0.0001626 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7185241.000000 MXN 400303.130000 USD 2026-06-17 1871.040000 N N N N/A N/A 000000000 1.000000 NC 1968.410000 0.0001711 N/A DFE HU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 80014.280000 USD 27288000.000000 HUF 2026-04-15 1968.410000 N N N N/A N/A 000000000 1.000000 NC 525.590000 0.0000457 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1101000.000000 PLN 297109.560000 USD 2026-04-15 525.590000 N N N FNMA PASS THRU POOLS N/A 3138AGJH2 59.550000 PA USD 59.390000 0.0000052 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N N/A N/A 000000000 2450000.000000 NC USD 14339.850000 0.0012463 N/A DFE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-09-08 N/A 1400.000000 USD 2026-09-04 XXXX -16052.400000 N N N N/A N/A 000000000 1.000000 NC 4388.860000 0.0003814 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 997000.000000 ILS 322146.670000 USD 2026-06-10 4388.860000 N N N ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A N/A 03329TAG9 400000.000000 PA USD 381817.130000 0.0331835 Long ABS-CBDO CORP KY N 2 2039-04-27 Fixed 2.723 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13 N/A 02150MAA3 3258381.200000 PA USD 1629198.090000 0.141593 Long ABS-MBS CORP US N 2 2047-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -202806.410000 -0.0176258 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-09-17 0.000000 USD -829830.130000 USD 39310000.000000 USD 627023.720000 N N N N/A N/A 000000000 -10400000.000000 NC USD -2214.160000 -0.0001924 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX 16473.340000 N N N N/A N/A 000000000 1.000000 NC 7599.630000 0.0006605 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1642836.190000 PEN 473549.000000 USD 2026-12-17 7599.630000 N N N FNMA PASS THRU POOLS N/A 31418CS47 1025036.740000 PA USD 953599.350000 0.0828767 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -2.180000 -0.0000002 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 903.950000 BRL 170.050000 USD 2026-06-02 -2.180000 N N N N/A N/A 000000000 1.000000 NC 14796.560000 0.001286 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-23 0.000000 EUR -1961.580000 EUR 500000.000000 EUR 16758.140000 N N N N/A N/A 000000000 1.000000 NC 32329.860000 0.0028098 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 21808290.250000 THB 694498.360000 USD 2026-04-20 32329.860000 N N N MF1 2021-FL7 LTD N/A 55284AAE8 4600000.000000 PA USD 4605218.880000 0.400237 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.54404 N N N N N N N/A N/A 000000000 1.000000 NC 473.950000 0.0000412 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 46705.000000 USD 173789305.000000 COP 2026-04-16 473.950000 N N N N/A N/A 000000000 1.000000 NC 1156.530000 0.0001005 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1125000.000000 SEK 119994.770000 USD 2026-04-02 1156.530000 N N N FNMA PASS THRU POOLS N/A 3138LQ2D5 65031.320000 PA USD 64178.410000 0.0055777 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 11966.620000 0.00104 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 253961494.600000 INR 2693980.000000 USD 2026-04-07 11966.620000 N N N GNMA PASS THRU POOLS N/A 36292DXR8 254.580000 PA USD 254.020000 0.0000221 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 9160.190000 0.0007961 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22479994850.000000 COP 6028828.660000 USD 2026-06-17 9160.190000 N N N N/A N/A 000000000 1.000000 NC -28621.720000 -0.0024875 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 618587.550000 USD 5585000.000000 SEK 2026-04-02 -28621.720000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124 N/A 38381PHD8 1559361.240000 PA USD 1573365.240000 0.13674 Long ABS-MBS USGSE US N 2 2055-07-20 Floating 4.82294 N N N N N N N/A N/A 000000000 1.000000 NC -4856.100000 -0.000422 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -1910.710000 EUR 500000.000000 EUR -2945.390000 N N N UMBS PASS THRU POOLS N/A 01F030660 1950000.000000 PA USD 1710164.780000 0.148629 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3620A2K21 49079.440000 PA USD 49714.630000 0.0043207 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F060667 125500000.000000 PA USD 127744276.340000 11.1022 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 13413.930000 0.0011658 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20360296.000000 TWD 650000.000000 USD 2026-04-07 13413.930000 N N N ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC N/A 00501XAA9 3400000.000000 PA USD 3397809.550000 0.295302 Long ABS-CBDO CORP US N 2 2044-08-18 Floating 5.10997 N N N N N N N/A N/A 000000000 1.000000 NC -86.750000 -0.0000075 N/A DFE GB N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 959000.000000 GBP 1269195.260000 USD 2026-05-05 -86.750000 N N N FNMA PASS THRU POOLS N/A 31406NUU6 340.400000 PA USD 346.100000 0.0000301 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.315 N N N N N N N/A N/A 000000000 1.000000 NC USD -1090.300000 -0.0000948 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -1297.500000 USD 300000.000000 USD 207.200000 N N N N/A N/A 000000000 1.000000 NC 347102.850000 0.0301665 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 22090730.740000 SGD 17528973.220000 USD 2026-04-02 347102.850000 N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 4687000.000000 PA USD 4566821.100000 0.3969 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.69303 N N N N N N PETROLEOS DEL PERU SA - PETROPERU SA 549300ZMGDLC9JT2OR80 P7808BAB3 1500000.000000 PA USD 1053900.000000 0.0915938 Long DBT CORP PE N 2 2047-06-19 Fixed 5.625 N N N N N N GNMA PASS THRU POOLS N/A 36200NMP3 1291.660000 PA USD 1303.960000 0.0001133 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 836.160000 0.0000727 N/A DFE SG N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 63452.950000 SGD 50189.000000 USD 2026-04-02 836.160000 N N N N/A N/A 000000000 1.000000 NC 15881.170000 0.0013802 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1045925.640000 USD 5500000.000000 BRL 2026-04-02 15881.170000 N N N N/A N/A 000000000 1.000000 NC -473.920000 -0.0000412 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 460000.000000 USD 15130780.000000 THB 2026-04-23 -473.920000 N N N N/A N/A 000000000 1.000000 NC -3027.080000 -0.0002631 N/A DFE ZA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 6859058.760000 ZAR 400000.000000 USD 2026-06-17 -3027.080000 N N N FNMA PASS THRU POOLS N/A 3140QTUZ0 2670176.670000 PA USD 2814477.100000 0.244605 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 804.500000 0.0000699 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 576501.890000 USD 5590000.000000 NOK 2026-04-07 804.500000 N N N CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA N/A 224939AB4 700000.000000 PA 214029.140000 0.0186011 Long DBT CORP PE N 2 2045-03-05 Fixed 9.7 N N N N N N FANNIE MAE REMICS 2026-21 N/A 3136G5FC9 34500000.000000 PA USD 34402520.250000 2.9899 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.6719 N N N N N N N/A N/A 000000000 1.000000 NC 2.170000 0.0000002 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 170.050000 USD 892.080000 BRL 2026-04-02 2.170000 N N N FNMA PASS THRU POOLS N/A 31402RNW5 3286.080000 PA USD 3333.810000 0.0002897 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.944 N N N N N N N/A N/A 000000000 1.000000 NC -17676.170000 -0.0015362 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5900000.000000 BRL 1074299.660000 USD 2026-10-02 -17676.170000 N N N FNMA PASS THRU POOLS N/A 31418A4P0 16724.630000 PA USD 16638.110000 0.001446 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WN6 14615.490000 PA USD 15052.000000 0.0013082 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 6489.770000 PA USD 6342.060000 0.0005512 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.05874 N N N N N N N/A N/A 000000000 1.000000 NC 16995.740000 0.0014771 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4916822.510000 ILS 1581633.000000 USD 2026-04-13 16995.740000 N N N N/A N/A 000000000 1.000000 NC -8075.670000 -0.0007019 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2700000.000000 BRL 491642.080000 USD 2026-10-02 -8075.670000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAE5 133816.390000 PA USD 35525.830000 0.0030875 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.31303 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 211849.140000 PA USD 219146.160000 0.0190459 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N N/A N/A 000000000 1.000000 NC 3092.690000 0.0002688 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1812359.690000 ILS 580717.000000 USD 2026-06-10 3092.690000 N N N N/A N/A 000000000 1.000000 NC 1041.280000 0.0000905 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2508683.910000 USD 13000000.000000 BRL 2026-04-02 1041.280000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 37580000.000000 PA 2081471.720000 0.180899 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC -7386.490000 -0.000642 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 778897.000000 USD 7470459.150000 NOK 2026-04-07 -7386.490000 N N N N/A N/A 000000000 1.000000 NC USD 3120.160000 0.0002712 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -795.000000 USD 200000.000000 USD 3915.160000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB N/A 12667GAW3 2338064.500000 PA USD 1710305.640000 0.148642 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.29303 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FW82 24853.020000 PA USD 24348.760000 0.0021161 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.59303 N N N N N N N/A N/A 000000000 3300000.000000 NC USD 186974.700000 0.0162499 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -98640.300000 N N N N/A N/A 000000000 1.000000 NC -16452.600000 -0.0014299 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 464112.220000 USD 8073000.000000 MXN 2026-06-17 -16452.600000 N N N N/A N/A 000000000 1.000000 NC -1266430.840000 -0.110065 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB SONIO (09/16/26) LCH N/A N/A 2036-09-16 0.000000 GBP 0.000000 GBP N/A GBP Y 2036-09-16 0.000000 GBP -323840.050000 GBP 24200000.000000 GBP -942590.790000 N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 110828.310000 PA USD 110972.300000 0.0096445 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N N/A N/A 000000000 -26.000000 NC 5014.140000 0.0004358 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2026-06-15 -1859434.650000 AUD 5014.140000 N N N N/A N/A 000000000 -12000000.000000 NC USD -71102.400000 -0.0061795 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96700 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 3.970000 USD 2026-05-06 XXXX -54002.400000 N N N N/A N/A 000000000 6500000.000000 NC USD 514982.000000 0.0447568 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29600 02/08/28-30Y LCH 2058-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2028-02-04 XXXX 59982.000000 N N N FNMA PASS THRU POOLS N/A 3138A8AB2 102.740000 PA USD 102.450000 0.0000089 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 2825.000000 0.0002455 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 30323050.000000 TWD 950000.000000 USD 2026-04-16 2825.000000 N N N FHLMC PASS THRU POOLS N/A 3128KYHK8 47560.500000 PA USD 49711.300000 0.0043204 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 -2210.870000 -0.0001921 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 157500.000000 USD 233513545.000000 KRW 2026-04-16 -2210.870000 N N N N/A N/A 000000000 18200000.000000 NC USD 129.220000 0.0000112 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44900 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2026-04-06 XXXX -25019.870000 N N N NATIONAL HEALTH INVS INC 549300ZPKZIG6DKDEC02 63633DAG9 100000.000000 PA USD 98456.750000 0.0085568 Long DBT CORP US N 2 2033-02-01 Fixed 5.35 N N N N N N N/A N/A 000000000 1.000000 NC USD 9900.190000 0.0008604 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-19 0.000000 USD -2130.000000 USD 600000.000000 USD 12030.190000 N N N FHLMC PASS THRU POOLS N/A 31296UAX9 93864.010000 PA USD 95842.370000 0.0083296 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 14206.090000 0.0012346 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 926000.000000 GBP 1239860.110000 USD 2026-04-02 14206.090000 N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 13919.760000 PA USD 13636.350000 0.0011851 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.35303 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 60476.950000 PA USD 28484.480000 0.0024756 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC 260.010000 0.0000226 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5200000.000000 NOK 536988.430000 USD 2026-06-17 260.010000 N N N N/A N/A 000000000 1.000000 NC -592.080000 -0.0000515 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 32178.000000 USD 110335.140000 PEN 2026-06-17 -592.080000 N N N N/A N/A 000000000 1.000000 NC -484.960000 -0.0000421 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8491793.000000 TWD 264855.380000 USD 2026-04-13 -484.960000 N N N N/A N/A 000000000 1.000000 NC 7775.380000 0.0006758 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 598000.000000 USD 3137825.600000 BRL 2026-04-02 7775.380000 N N N N/A N/A 000000000 1.000000 NC -14339.200000 -0.0012462 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 301998030.000000 JPY 1888550.000000 USD 2026-04-02 -14339.200000 N N N N/A N/A 000000000 1.000000 NC USD 424474.020000 0.0368908 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -7853.620000 USD 51780000.000000 USD 432327.640000 N N N N/A N/A 000000000 1.000000 NC -355.840000 -0.0000309 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 48592.880000 USD 4575223.260000 INR 2026-04-02 -355.840000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 90498.330000 PA USD 71115.700000 0.0061806 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.89651 N N N N N N N/A N/A 000000000 1.000000 NC USD 387461.710000 0.0336741 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 389396.050000 USD 0.000000 USD 12260000.000000 USD -1934.340000 N N N FNMA PASS THRU POOLS N/A 3138LY5M5 3458.500000 PA USD 3414.470000 0.0002967 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 3936.720000 0.0003421 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 109432450.000000 CLP 122099.000000 USD 2026-04-09 3936.720000 N N N N/A N/A 000000000 -1600000.000000 NC USD -13076.160000 -0.0011364 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -2409.490000 N N N N/A N/A 000000000 1.000000 NC 7137.330000 0.0006203 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 475502.130000 USD 2500000.000000 BRL 2026-04-02 7137.330000 N N N N/A N/A 000000000 600000.000000 NC USD 2266.800000 0.000197 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.320000 USD 2026-08-12 XXXX -4963.200000 N N N GNMA PASS THRU POOLS N/A 21H040640 36570000.000000 PA USD 34262019.760000 2.97769 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4 N N N N N N STWD 2022-FL3 LTD N/A 78485KAE5 9100000.000000 PA USD 9082314.240000 0.789339 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.47223 N N N N N N N/A N/A 000000000 1.000000 NC USD 13034.600000 0.0011328 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -1887.500000 USD 500000.000000 USD 14922.100000 N N N N/A N/A 000000000 1.000000 NC USD 303753.240000 0.026399 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-09-16 0.000000 USD -170339.930000 USD 25200000.000000 USD 474093.170000 N N N BDS 2025-FL14 LLC N/A 072921AC3 5250000.000000 PA USD 5233672.550000 0.454855 Long ABS-CBDO CORP US N 2 2042-10-17 Floating 5.24811 N N N N N N N/A N/A 000000000 1.000000 NC -139122.040000 -0.012091 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7103585.000000 USD 1105295094.000000 JPY 2026-04-02 -139122.040000 N N N N/A N/A 000000000 1.000000 NC 6094.780000 0.0005297 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 739956.220000 ILS 241966.000000 USD 2026-06-17 6094.780000 N N N N/A N/A 000000000 3300000.000000 NC USD 181682.820000 0.0157899 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -103932.180000 N N N N/A N/A 000000000 1.000000 NC -22323.300000 -0.0019401 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 755103.000000 USD 2720276.680000 PLN 2026-04-15 -22323.300000 N N N FNMA PASS THRU POOLS N/A 31407T6R6 45886.880000 PA USD 47369.460000 0.0041169 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 9987.990000 0.0008681 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1694927.420000 ILS 550185.000000 USD 2026-06-10 9987.990000 N N N N/A N/A 000000000 1.000000 NC -7540.230000 -0.0006553 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 230371.000000 USD 775428.790000 PEN 2026-04-06 -7540.230000 N N N INTEGRITY RE III LTD 254900VWHVNG2WMBWC74 45870GAC0 250000.000000 PA USD 255625.000000 0.0222162 Long DBT CORP BM N 2 2027-06-06 Floating 13.26 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 135112.990000 PA USD 129000.520000 0.0112114 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.60874 N N N N N N N/A N/A 000000000 1.000000 NC 1021.650000 0.0000888 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9899481.000000 TWD 310000.000000 USD 2026-04-23 1021.650000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-159 N/A 38381U6P2 8234552.480000 PA USD 8275586.080000 0.719226 Long ABS-MBS USGSE US N 2 2055-09-20 Floating 4.84294 N N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3 N/A 94985GAH9 66599.060000 PA USD 58864.830000 0.0051159 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 N N N N N N N/A N/A 000000000 -514.000000 NC 2237374.530000 0.194449 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-06-08 -70514561.400000 EUR 2237374.530000 N N N N/A N/A 000000000 1.000000 NC 21793.280000 0.001894 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5019002.610000 ILS 1618344.000000 USD 2026-04-06 21793.280000 N N N N/A N/A 000000000 1.000000 NC USD 771929.030000 0.0670879 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2049-02-20 165907.060000 USD 0.000000 USD 10900000.000000 USD 606021.970000 N N N GNMA PASS THRU POOLS N/A 36241KZ35 397.750000 PA USD 405.620000 0.0000353 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 6991.870000 0.0006077 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1705000.000000 ILS 550399.150000 USD 2026-06-10 6991.870000 N N N WINSTON RE LTD 2549001Q4VX5Y31QFJ88 975660AC5 250000.000000 PA USD 255800.000000 0.0222314 Long DBT CORP BM N 2 2028-02-21 Floating 10.02 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MDP2 300000.000000 PA USD 307580.820000 0.0267317 Long DBT CORP JP N 2 2034-07-09 Fixed 5.558 N N N N N N FNMA PASS THRU POOLS N/A 31412TWX7 49992.650000 PA USD 50972.220000 0.00443 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 3358.430000 0.0002919 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 382753.140000 USD 2000000.000000 BRL 2026-04-02 3358.430000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 300000.000000 PA USD 309721.510000 0.0269177 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TW8 797669.670000 PA USD 783132.860000 0.0680616 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.37803 N N N N N N FNMA PASS THRU POOLS N/A 3138AJMD1 993.870000 PA USD 991.110000 0.0000861 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31404BQD7 4298.880000 PA USD 4344.640000 0.0003776 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -548.880000 -0.0000477 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 90000.000000 USD 311704.090000 PEN 2026-04-30 -548.880000 N N N N/A N/A 000000000 1.000000 NC -1744.470000 -0.0001516 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 379957000.000000 COP 100000.000000 USD 2026-06-17 -1744.470000 N N N N/A N/A 000000000 1.000000 NC USD 70142.470000 0.006096 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 71185.150000 USD 0.000000 USD 12750000.000000 USD -1042.680000 N N N N/A N/A 000000000 1.000000 NC 436.670000 0.000038 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8481186500.000000 IDR 500000.000000 USD 2026-04-27 436.670000 N N N N/A N/A 000000000 1.000000 NC USD 25191.770000 0.0021894 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 13780000.000000 USD 25191.770000 N N N N/A N/A 000000000 1.000000 NC 997.300000 0.0000867 N/A DFE KR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 298713000.000000 KRW 200000.000000 USD 2026-06-17 997.300000 N N N FREDDIE MAC-3136 N/A 31396NH41 4836.590000 PA USD 432.380000 0.0000376 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 2.91329 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 161344.480000 PA USD 166590.380000 0.0144783 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 14200000.000000 NC USD 791881.460000 0.0688219 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62800 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-20 XXXX -438193.540000 N N N CAPE LOOKOUT RE LTD N/A 13947LAJ1 250000.000000 PA USD 250000.000000 0.0217273 Long DBT CORP BM N 2 2033-03-21 Floating 9.51 N N N N N N N/A N/A 000000000 1.000000 NC 14207.480000 0.0012348 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 906000.000000 GBP 1213389.490000 USD 2026-04-02 14207.480000 N N N CAPE LOOKOUT RE LTD N/A 13947LAH5 250000.000000 PA USD 250000.000000 0.0217273 Long DBT CORP BM N 2 2033-03-21 Floating 8.76 N N N N N N FREDDIE MAC REMICS 5517 N/A 3137HKGL2 1725337.030000 PA USD 1738830.200000 0.151121 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.8119 N N N N N N FNMA PASS THRU POOLS N/A 3138AJTP7 33.670000 PA USD 33.580000 0.0000029 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 1333403.270000 PA USD 1348457.660000 0.117194 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.33303 N N N N N N N/A N/A 000000000 1.000000 NC 2083.630000 0.0001811 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1050184.970000 USD 909000.000000 EUR 2026-05-04 2083.630000 N N N N/A N/A 000000000 1.000000 NC 5369.500000 0.0004667 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 712919.860000 ILS 232587.000000 USD 2026-06-10 5369.500000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2PJ5W7 49900000.000000 PA 1118964.590000 0.0972485 Long DBT NUSS TR N 2 2028-05-17 Floating 39.64 N N N N N N N/A N/A 000000000 1.000000 NC -734.200000 -0.0000638 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1091459.700000 CNY 157732.000000 USD 2026-04-02 -734.200000 N N N N/A N/A 000000000 1.000000 NC 703.290000 0.0000611 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 61784.430000 USD 2798031.480000 TRY 2026-04-09 703.290000 N N N N/A N/A 000000000 1.000000 NC USD 1448813.130000 0.125916 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2036-02-15 0.000000 USD -889.830000 USD 5500000.000000 USD 1449702.960000 N N N N/A N/A 000000000 1.000000 NC -7706.520000 -0.0006698 N/A DFE N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1022000.000000 EUR 1173572.410000 USD 2026-04-02 -7706.520000 N N N N/A N/A 000000000 1.000000 NC -303.820000 -0.0000264 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 519558.740000 BRL 100000.000000 USD 2026-04-02 -303.820000 N N N N/A N/A 000000000 1.000000 NC 96.160000 0.0000084 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59294.000000 USD 219690804.670000 COP 2026-04-30 96.160000 N N N N/A N/A 000000000 1.000000 NC USD -4716.230000 -0.0004099 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -2998.750000 USD 700000.000000 USD -1717.480000 N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 27596.310000 PA USD 23560.850000 0.0020477 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.66874 N N N N N N N/A N/A 000000000 1.000000 NC -37249.860000 -0.0032374 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7200000.000000 BRL 1324671.210000 USD 2026-07-02 -37249.860000 N N N GNMA PASS THRU POOLS N/A 36183TYC7 162106.820000 PA USD 152308.110000 0.013237 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YKY3 161.430000 PA USD 160.990000 0.000014 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140ADAD3 560878.690000 PA USD 589467.550000 0.0512303 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2CRX85 46100000.000000 PA 8618982.590000 0.749071 Long DBT NUSS BR N 2 2026-07-01 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3142GT6K7 1107425.830000 PA USD 1157627.400000 0.100609 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N N/A N/A 000000000 145.000000 NC USD -648948.130000 -0.0563997 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2026-12-24 4186150.000000 USD -648948.130000 N N N FHLMC PASS THRU POOLS N/A 3132DWMM2 16294396.950000 PA USD 16857207.860000 1.46505 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N ARBOUR CLO XIII DAC 13A N/A ACI38J3K2 4600000.000000 PA 5300896.480000 0.460698 Long ABS-CBDO CORP IE N 2 2038-08-15 Floating 3.151 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 7141.410000 PA USD 7190.260000 0.0006249 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 4.59638 N N N N N N N/A N/A 000000000 1.000000 NC USD -11299.540000 -0.000982 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-09-17 0.000000 USD -62631.140000 USD 5980000.000000 USD 51331.600000 N N N N/A N/A 000000000 1.000000 NC -1271.810000 -0.0001105 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 30026.570000 USD 2722806.360000 INR 2026-04-07 -1271.810000 N N N N/A N/A 000000000 1.000000 NC 2628.750000 0.0002285 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 139591534.000000 KRW 95456.340000 USD 2026-04-15 2628.750000 N N N N/A N/A 000000000 1592.000000 NC USD -1375956.730000 -0.119584 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 172215843.350000 USD -1375956.730000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 16980231.870000 PA USD 166660975.830000 14.4844 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -21684.160000 -0.0018846 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1795815.000000 USD 166725260.420000 INR 2026-04-24 -21684.160000 N N N N/A N/A 000000000 -2450000.000000 NC USD -4833.850000 -0.0004201 N/A DFE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-09-08 N/A 1350.000000 USD 2026-09-04 XXXX 7281.400000 N N N N/A N/A 000000000 1.000000 NC -33037.120000 -0.0028712 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1637171.300000 USD 2325000.000000 AUD 2026-04-02 -33037.120000 N N N N/A N/A 000000000 1.000000 NC -674.840000 -0.0000586 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 142500.000000 USD 4540419.000000 TWD 2026-04-16 -674.840000 N N N N/A N/A 000000000 1.000000 NC USD 5935.240000 0.0005158 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.44 Y Single Leg Swap 2030-06-20 7593.300000 USD 0.000000 USD 99000.000000 USD -1658.060000 N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 1033397.370000 PA USD 999140.760000 0.0868347 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N N/A N/A 000000000 1.000000 NC -4136.450000 -0.0003595 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 169533.870000 USD 614000.000000 PLN 2026-04-15 -4136.450000 N N N N/A N/A 000000000 1.000000 NC -19133.390000 -0.0016629 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-24 0.000000 EUR -1363.470000 EUR 500000.000000 EUR -17769.920000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GN58 1021247.330000 PA USD 952443.650000 0.0827763 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.41874 N N N N N N N/A N/A 000000000 1.000000 NC 920.730000 0.00008 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 97391.000000 USD 32723133.000000 HUF 2026-04-15 920.730000 N N N FNMA PASS THRU POOLS N/A 3138WAJ73 19563.210000 PA USD 19249.790000 0.001673 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2024-77 N/A 3136BTRF2 2274864.850000 PA USD 2279947.130000 0.198149 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -102.500000 -0.0000089 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1413863.000000 MXN 78298.260000 USD 2026-06-17 -102.500000 N N N N/A N/A 000000000 1.000000 NC 9416.450000 0.0008184 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1396715.570000 ILS 454638.750000 USD 2026-06-17 9416.450000 N N N MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A N/A ACI2PXBX7 3183768.140000 PA 3690653.070000 0.320752 Long ABS-MBS CORP IE N 2 2081-03-24 Floating 3.019 N N N N N N N/A N/A 000000000 1.000000 NC -786.020000 -0.0000683 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 80464.510000 USD 250000.000000 ILS 2026-06-10 -786.020000 N N N N/A N/A 000000000 1.000000 NC 5360.480000 0.0004659 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 600000.000000 CAD 438109.990000 USD 2026-06-17 5360.480000 N N N FNMA PASS THRU POOLS N/A 3140JGR64 5602.530000 PA USD 5218.620000 0.0004535 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -553009.260000 -0.0480617 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16966663.710000 USD 296000415.080000 MXN 2026-06-17 -553009.260000 N N N N/A N/A 000000000 1.000000 NC -37588.140000 -0.0032668 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21298060628.580000 COP 5665583.270000 USD 2026-06-17 -37588.140000 N N N N/A N/A 000000000 1.000000 NC -5619.780000 -0.0004884 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -845.410000 EUR 200000.000000 EUR -4774.370000 N N N FREDDIE MAC REMICS 3816 N/A 3137A6R46 64158.410000 PA USD 64374.910000 0.0055948 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4.5 N N N N N N N/A N/A 000000000 -21500000.000000 NC USD -17472.410000 -0.0015185 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2026-05-20 XXXX 8435.090000 N N N GNMA PASS THRU POOLS N/A 36176EM24 115996.340000 PA USD 109055.240000 0.0094779 Long ABS-MBS USGSE US N 2 2043-09-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -292.510000 -0.0000254 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 USD 149907014.000000 KRW 2026-04-23 -292.510000 N N N FNMA PASS THRU POOLS N/A 31407VFQ3 9718.480000 PA USD 10028.530000 0.0008716 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.275 N N N N N N N/A N/A 000000000 1.000000 NC -813.120000 -0.0000707 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 370000.000000 USD 11809919.000000 TWD 2026-04-09 -813.120000 N N N N/A N/A 000000000 1.000000 NC USD 15843.470000 0.0013769 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -2762.500000 USD 1000000.000000 USD 18605.970000 N N N N/A N/A 000000000 1.000000 NC -15740.170000 -0.001368 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 440706.110000 USD 7663747.000000 MXN 2026-06-17 -15740.170000 N N N BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 314.300000 PA USD 322.030000 0.000028 Long ABS-MBS CORP US N 2 2034-09-20 Floating 6.61955 N N N N N N N/A N/A 000000000 1.000000 NC 606.700000 0.0000527 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 931558.360000 PLN 251547.000000 USD 2026-04-15 606.700000 N N N N/A N/A 000000000 1.000000 NC 668.900000 0.0000581 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 284624475.000000 KRW 190000.000000 USD 2026-04-27 668.900000 N N N N/A N/A 000000000 1.000000 NC -1248.250000 -0.0001085 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8533569.040000 TRY 186318.400000 USD 2026-04-21 -1248.250000 N N N N/A N/A 000000000 1.000000 NC 4439.960000 0.0003859 N/A DFE MY N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 790000.000000 MYR 200000.000000 USD 2026-06-18 4439.960000 N N N N/A N/A 000000000 -6100000.000000 NC USD -20405.720000 -0.0017734 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.230000 USD 2026-04-06 XXXX -4202.590000 N N N FHLMC PASS THRU POOLS N/A 3128M4ZV8 811.350000 PA USD 838.760000 0.0000729 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XR5D3 1953286.610000 PA USD 2059445.060000 0.178985 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 1437.170000 0.0001249 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 91233209.000000 CLP 100000.000000 USD 2026-06-17 1437.170000 N N N N/A N/A 000000000 1.000000 NC -4141.420000 -0.0003599 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 988000.000000 EUR 1137838.600000 USD 2026-04-02 -4141.420000 N N N GNMA PASS THRU POOLS N/A 36184K6K8 76899.160000 PA USD 72251.550000 0.0062793 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 1361.900000 0.0001184 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 108953.000000 USD 4902449.190000 TRY 2026-04-02 1361.900000 N N N N/A N/A 000000000 1.000000 NC 3854.460000 0.000335 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 3154628.000000 THB 99638.920000 USD 2026-04-20 3854.460000 N N N N/A N/A 000000000 1.000000 NC -11639.550000 -0.0010116 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1313048.000000 USD 22134181441.000000 IDR 2026-06-10 -11639.550000 N N N FNMA PASS THRU POOLS N/A 31407R2A1 6543.940000 PA USD 6729.300000 0.0005848 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.487 N N N N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 3321719.750000 PA USD 3343516.540000 0.290583 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.6019 N N N N N N FHLMC PASS THRU POOLS N/A 3132DTRW2 1785040.560000 PA USD 1883726.260000 0.163714 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 19339.290000 0.0016808 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1896000.000000 PLN 530077.890000 USD 2026-04-15 19339.290000 N N N N/A N/A 000000000 1.000000 NC 14255.510000 0.0012389 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1888550.000000 USD 301085483.000000 JPY 2026-05-07 14255.510000 N N N N/A N/A 000000000 1.000000 NC -278.910000 -0.0000242 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2425614.520000 BRL 468000.000000 USD 2026-04-02 -278.910000 N N N FNMA PASS THRU POOLS N/A 31417Y7A9 2584.590000 PA USD 2577.650000 0.000224 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KRCR3 277774.910000 PA USD 292865.210000 0.0254527 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.5 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 23170.810000 PA USD 23062.870000 0.0020044 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.69303 N N N N N N OCEAN TRAILS CLO X 2020-10A N/A 67516CAY5 2000000.000000 PA USD 2002000.880000 0.173993 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.37219 N N N N N N N/A N/A 000000000 1.000000 NC 15517.440000 0.0013486 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 41839376.100000 INR 457370.910000 USD 2026-04-07 15517.440000 N N N N/A N/A 000000000 1.000000 NC -25276.060000 -0.0021967 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1630798.000000 USD 254804359.000000 JPY 2026-04-02 -25276.060000 N N N N/A N/A 000000000 1.000000 NC -3.470000 -0.0000003 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 115883.000000 USD 428651217.000000 COP 2026-04-30 -3.470000 N N N N/A N/A 000000000 67300000.000000 NC USD 161216.480000 0.0140112 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-06-17 XXXX 40076.480000 N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 107119.020000 PA USD 10091.990000 0.0008771 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 2.07362 N N N N N N N/A N/A 000000000 1.000000 NC -2057.510000 -0.0001788 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 379007.420000 USD 1185000.000000 ILS 2026-04-06 -2057.510000 N N N GNMA PASS THRU POOLS N/A 36179QUQ2 24382.910000 PA USD 24913.210000 0.0021652 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 5.125 N N N N N N N/A N/A 000000000 1304352.000000 NC USD 4162.190000 0.0003617 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 -4756.970000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Q1VT3 248500000.000000 PA 59949.400000 0.0052102 Long DBT NUSS CO N 2 2046-07-25 Fixed 11.5 N N N N N N N/A N/A 000000000 1.000000 NC -1420.070000 -0.0001234 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5067886.360000 TRY 108954.000000 USD 2026-04-28 -1420.070000 N N N N/A N/A 000000000 1.000000 NC 13346.010000 0.0011599 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2716140.000000 USD 256505471.250000 INR 2026-04-24 13346.010000 N N N N/A N/A 000000000 1.000000 NC 1088.110000 0.0000946 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 13428609.140000 ZAR 793617.000000 USD 2026-04-20 1088.110000 N N N N/A N/A 000000000 1.000000 NC 562.260000 0.0000489 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4960000.000000 MXN 275601.490000 USD 2026-06-17 562.260000 N N N N/A N/A 000000000 1.000000 NC -10747.680000 -0.0009341 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-07 0.000000 EUR -500.750000 EUR 200000.000000 EUR -10246.930000 N N N N/A N/A 000000000 1.000000 NC -35976.420000 -0.0031267 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1774226.000000 USD 275868900.000000 JPY 2026-04-02 -35976.420000 N N N N/A N/A 000000000 1.000000 NC -7553.250000 -0.0006564 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 4200000.000000 BRL -7553.250000 N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 416695.820000 PA USD 408098.760000 0.0354676 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.39303 N N N N N N N/A N/A 000000000 1.000000 NC USD -86515.510000 -0.007519 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2056-03-18 0.000000 USD -141821.440000 USD 3490000.000000 USD 55305.930000 N N N FHLMC PASS THRU POOLS N/A 3142GQGD8 6023428.050000 PA USD 6314488.230000 0.548788 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -4515.910000 -0.0003925 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1787526230.000000 COP 481813.000000 USD 2026-04-08 -4515.910000 N N N 123 LIGHTS RE LTD N/A 68302QAA2 250000.000000 PA USD 258062.500000 0.0224281 Long DBT CORP BM N 2 2031-09-14 Floating 14.51 N N N N N N N/A N/A 000000000 1.000000 NC -9927.820000 -0.0008628 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 53710000.000000 KZT 100000.000000 USD 2026-06-04 -9927.820000 N N N N/A N/A 000000000 1.000000 NC -1047.620000 -0.000091 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 62158.000000 USD 56599210.000000 CLP 2026-04-06 -1047.620000 N N N FNMA PASS THRU POOLS N/A 3140W0YK5 1293974.970000 PA USD 1360091.270000 0.118205 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 3760.640000 PA USD 3776.640000 0.0003282 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 4.52638 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 32822.540000 PA USD 28588.410000 0.0024846 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.44262 N N N N N N N/A N/A 000000000 -16700000.000000 NC USD -19419.260000 -0.0016877 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2026-06-17 XXXX 5630.740000 N N N N/A N/A 000000000 1.000000 NC -4737.360000 -0.0004117 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 141960502.000000 JPY 889755.580000 USD 2026-04-02 -4737.360000 N N N N/A N/A 000000000 1.000000 NC -10343.370000 -0.0008989 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1283647.010000 USD 962000.000000 GBP 2026-04-02 -10343.370000 N N N FHLMC PASS THRU POOLS N/A 3132DVCN3 2140908.840000 PA USD 2259863.340000 0.196403 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 17519.210000 PA USD 18088.380000 0.0015721 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -9948.190000 -0.0008646 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 8100000.000000 BRL -9948.190000 N N N N/A N/A 000000000 1.000000 NC 15855.620000 0.001378 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 529771.520000 USD 9782549.000000 MXN 2026-04-10 15855.620000 N N N N/A N/A 000000000 1.000000 NC -92992.190000 -0.0080819 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2404482.000000 USD 218876389.740000 INR 2026-04-07 -92992.190000 N N N N/A N/A 000000000 1.000000 NC 24313.220000 0.002113 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 128974466.250000 INR 1386375.000000 USD 2026-04-07 24313.220000 N N N MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17 N/A 55287HAC4 5800000.000000 PA USD 5785750.390000 0.502836 Long ABS-CBDO CORP US N 2 2040-02-18 Floating 5.25156 N N N N N N N/A N/A 000000000 28400000.000000 NC USD 1608263.600000 0.139773 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -683616.400000 N N N N/A N/A 000000000 1.000000 NC 1036922.960000 0.0901184 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 1178589.640000 EUR 0.000000 EUR 5181500.000000 EUR -141666.680000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 123321.640000 PA USD 63812.790000 0.0055459 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC 6376.240000 0.0005542 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 959000.000000 GBP 1275709.080000 USD 2026-04-02 6376.240000 N N N N/A N/A 000000000 1.000000 NC 18670.160000 0.0016226 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-04 0.000000 EUR -1089.220000 EUR 800000.000000 EUR 19759.380000 N N N N/A N/A 000000000 1.000000 NC 546.620000 0.0000475 N/A DFE TW N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20415203.000000 TWD 638453.940000 USD 2026-04-13 546.620000 N N N N/A N/A 000000000 1.000000 NC -15226.610000 -0.0013233 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1276773.000000 USD 118554756.920000 INR 2026-04-24 -15226.610000 N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 272475.770000 PA USD 130008.270000 0.0112989 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.11303 N N N N N N N/A N/A 000000000 600000.000000 NC USD 2091.240000 0.0001817 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2026-08-10 XXXX -5408.760000 N N N N/A N/A 000000000 1.000000 NC -2773.870000 -0.0002411 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 243842.050000 USD 7939497.000000 THB 2026-04-20 -2773.870000 N N N FNMA PASS THRU POOLS N/A 31408DLC6 37188.010000 PA USD 38923.400000 0.0033828 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2127.180000 0.0001849 N/A DFE MY N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 311648.000000 MYR 79150.710000 USD 2026-04-15 2127.180000 N N N N/A N/A 000000000 1.000000 NC 76514.690000 0.0066498 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16111163.740000 USD 83849746.130000 BRL 2026-04-02 76514.690000 N N N N/A N/A 000000000 9500000.000000 NC USD 14459.000000 0.0012566 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 2006.600000 N N N N/A N/A 000000000 1.000000 NC 5332.810000 0.0004635 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 356600000.000000 CLP 5332.810000 N N N GNMA PASS THRU POOLS N/A 36180HG51 6182.660000 PA USD 5809.120000 0.0005049 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 19038.110000 0.0016546 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 252742495.560000 INR 2688178.000000 USD 2026-04-07 19038.110000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 427754.520000 PA USD 98931.410000 0.0085981 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.19303 N N N N N N N/A N/A 000000000 600000.000000 NC USD 2372.520000 0.0002062 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.32500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.330000 USD 2026-08-14 XXXX -5007.480000 N N N N/A N/A 000000000 1.000000 NC -9824.140000 -0.0008538 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 20920317.960000 ZAR 1224850.000000 USD 2026-04-20 -9824.140000 N N N N/A N/A 000000000 1.000000 NC USD -16679.720000 -0.0014496 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND SR UNSEC REGS Y Single Leg Swap 2035-12-20 0.000000 USD -1059.620000 USD 1300000.000000 USD -15620.100000 N N N N/A N/A 000000000 -3200000.000000 NC USD -3245.120000 -0.000282 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.5% APR 30YR N/A 103.530000 USD 2026-04-06 XXXX 1004.880000 N N N N/A N/A 000000000 1.000000 NC -14145.330000 -0.0012294 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3000000.000000 BRL 553321.780000 USD 2026-07-02 -14145.330000 N N N INVESCO EURO CLO III DAC 3A N/A ACI2Q9953 1500000.000000 PA 1732908.440000 0.150606 Long ABS-CBDO CORP IE N 2 2038-10-30 Floating 3.136 N N N N N N N/A N/A 000000000 1.000000 NC USD -4534.260000 -0.0003941 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -2610.000000 USD 900000.000000 USD -1924.260000 N N N N/A N/A 000000000 1.000000 NC -1089.140000 -0.0000947 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 39710.590000 USD 58077850.000000 KRW 2026-04-15 -1089.140000 N N N N/A N/A 000000000 1.000000 NC 45275.060000 0.0039348 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 16817713.510000 NZD 9719713.430000 USD 2026-05-04 45275.060000 N N N N/A N/A 000000000 1.000000 NC USD -13243.300000 -0.001151 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -3135.000000 USD 1100000.000000 USD -10108.300000 N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 7210.750000 PA USD 7027.660000 0.0006108 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.37303 N N N N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI350557 76600000.000000 PA 1379825.450000 0.11992 Long DBT NUSS EG N 2 2030-10-14 Fixed 19.698 N N N N N N N/A N/A 000000000 1.000000 NC 12111.470000 0.0010526 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -1528.520000 EUR 400000.000000 EUR 13639.990000 N N N N/A N/A 000000000 1.000000 NC 90.360000 0.0000079 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 6600.320000 SGD 5224.000000 USD 2026-04-02 90.360000 N N N ARMOR RE II LTD 549300X573KDIHEJL317 04227FAF2 250000.000000 PA USD 265075.000000 0.0230375 Long DBT CORP BM N 2 2032-01-07 Floating 12.04 N N N N N N GNMA PASS THRU POOLS N/A 36180SNG5 5510.600000 PA USD 5180.790000 0.0004503 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 137700000.000000 NC USD 212484.870000 0.0184669 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08200 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2027-01-04 XXXX 109209.870000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECE3 1500000.000000 PA USD 1677914.390000 0.145827 Long DBT CORP GB N 2 2033-11-02 Floating 7.437 N N N N N N FNMA PASS THRU POOLS N/A 31404RCT2 10797.100000 PA USD 11006.800000 0.0009566 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 6.29 N N N N N N N/A N/A 000000000 1.000000 NC 9231.140000 0.0008023 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 742765.170000 USD 3946927.840000 BRL 2026-06-02 9231.140000 N N N FANNIE MAE 2006-118 N/A 31396L4R8 14634.890000 PA USD 14310.360000 0.0012437 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 3.84169 N N N N N N N/A N/A 000000000 1.000000 NC -900.260000 -0.0000782 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2209000.000000 CNY 319818.710000 USD 2026-04-02 -900.260000 N N N N/A N/A 000000000 1.000000 NC -4814.570000 -0.0004184 N/A DFE CZ N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 571825.960000 USD 12038000.000000 CZK 2026-04-15 -4814.570000 N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 170501.900000 PA USD 134173.830000 0.011661 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.29303 N N N N N N N/A N/A 000000000 13500000.000000 NC USD 79242.300000 0.0068869 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2026-08-03 XXXX -188732.700000 N N N GNMA PASS THRU POOLS N/A 36183QPH2 46595.300000 PA USD 43779.970000 0.0038049 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7ZR0 23948.880000 PA USD 24655.760000 0.0021428 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -41663.110000 -0.0036209 N/A DFE PH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2069915.440000 USD 122963326.710000 PHP 2026-04-17 -41663.110000 N N N N/A N/A 000000000 1.000000 NC -7220.830000 -0.0006276 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 149990.590000 USD 530000.000000 PLN 2026-04-15 -7220.830000 N N N N/A N/A 000000000 1.000000 NC USD 17536.540000 0.0015241 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -1830.000000 USD 400000.000000 USD 19366.540000 N N N N/A N/A 000000000 1.000000 NC 1896.080000 0.0001648 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 284177.990000 USD 5159000.000000 MXN 2026-06-17 1896.080000 N N N FHLMC PASS THRU POOLS N/A 3128M6YJ1 629313.030000 PA USD 637129.580000 0.0553725 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JW8 800000.000000 PA USD 774437.600000 0.0673059 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 129.160000 PA USD 131.640000 0.0000114 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9 N/A 073879R59 420343.980000 PA USD 422217.370000 0.0366947 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.81303 N N N N N N N/A N/A 000000000 -20000000.000000 NC USD -452.000000 -0.0000393 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 96.860000 USD 2026-04-06 XXXX 55798.000000 N N N N/A N/A 000000000 1.000000 NC USD 668.770000 0.0000581 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-12-17 0.000000 USD -1003.260000 USD 210000.000000 USD 1672.030000 N N N N/A N/A 000000000 1.000000 NC 14202.580000 0.0012343 N/A DFE IN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 159725778.000000 INR 1701020.000000 USD 2026-04-07 14202.580000 N N N N/A N/A 000000000 1.000000 NC -6804.240000 -0.0005914 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 286530.780000 USD 26487478.360000 INR 2026-04-07 -6804.240000 N N N UMBS PASS THRU POOLS N/A 01F042657 24660000.000000 PA USD 23776810.730000 2.06643 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -10711.970000 -0.000931 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 2400000.000000 BRL -10711.970000 N N N FNMA PASS THRU POOLS N/A 31418XMR6 171535.470000 PA USD 171234.400000 0.0148819 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N N/A N/A 000000000 3400000.000000 NC USD 174569.600000 0.0151717 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -124970.400000 N N N CITRUS RE LTD 549300VWWT5SE805NK88 177510AT1 500000.000000 PA USD 500000.000000 0.0434547 Long DBT CORP BM N 2 2033-06-07 Floating 9.92572 N N N N N N N/A N/A 000000000 1.000000 NC -5702.190000 -0.0004956 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200000.000000 USD 6401134.000000 THB 2026-04-16 -5702.190000 N N N N/A N/A 000000000 1300000.000000 NC USD 2596.230000 0.0002256 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.07500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.080000 USD 2026-08-14 XXXX -7543.770000 N N N N/A N/A 000000000 1.000000 NC -44313.460000 -0.0038513 N/A DFE PL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1756068.480000 USD 6354579.640000 PLN 2026-04-22 -44313.460000 N N N N/A N/A 000000000 1.000000 NC -1346.680000 -0.000117 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4971961.200000 TRY 108953.000000 USD 2026-04-14 -1346.680000 N N N NELNET STUDENT LOAN TRUST 2025-CA N/A 64035UAA6 3587173.390000 PA USD 3551400.300000 0.30865 Long ABS-O CORP US N 2 2065-06-22 Fixed 4.67 N N N N N N N/A N/A 000000000 1.000000 NC USD 69009674.680000 5.99759 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2026-04-08 0.000000 USD 0.000000 USD 337375506.800000 USD 69009674.680000 N N N N/A N/A 000000000 1.000000 NC 4027.220000 0.00035 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 246000.000000 CHF 311681.050000 USD 2026-04-02 4027.220000 N N N FANNIE MAE REMICS 2025-68 N/A 3136BWL46 4085394.420000 PA USD 4117463.950000 0.357846 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.8119 N N N N N N N/A N/A 000000000 -13000000.000000 NC USD -34377.200000 -0.0029877 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 98.210000 USD 2026-06-04 XXXX 18943.110000 N N N N/A N/A 000000000 1.000000 NC -20151.340000 -0.0017513 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 10100000.000000 BRL 1849163.210000 USD 2026-10-02 -20151.340000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AD3 5765885.260000 PA USD 5517421.730000 0.479516 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1.000000 NC 20577.630000 0.0017884 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1407000.000000 CAD 1032052.830000 USD 2026-04-02 20577.630000 N N N N/A N/A 000000000 1.000000 NC -86072.250000 -0.0074805 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2177394.000000 USD 198028540.820000 INR 2026-04-07 -86072.250000 N N N N/A N/A 000000000 1.000000 NC 471.880000 0.000041 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 166683.770000 USD 5349549.000000 TWD 2026-04-13 471.880000 N N N N/A N/A 000000000 1.000000 NC -5879.980000 -0.000511 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 484254.200000 USD 15755089.260000 THB 2026-04-20 -5879.980000 N N N N/A N/A 000000000 1.000000 NC 2978.110000 0.0002588 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3780915.250000 USD 19600000.000000 BRL 2026-04-02 2978.110000 N N N N/A N/A 000000000 1.000000 NC 1401.150000 0.0001218 N/A DFE KR N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 286938000.000000 KRW 192213.320000 USD 2026-04-15 1401.150000 N N N GNMA PASS THRU POOLS N/A 36182CAQ0 72335.370000 PA USD 68005.960000 0.0059104 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 2738.130000 0.000238 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8742000.000000 MXN 487494.770000 USD 2026-06-17 2738.130000 N N N N/A N/A 000000000 341.000000 NC 157551.960000 0.0136927 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A 90SONIA 2027-06-15 107917248.500000 GBP 157551.960000 N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 3358848.690000 PA USD 3147291.610000 0.273529 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.51803 N N N N N N N/A N/A 000000000 1.000000 NC -1249.590000 -0.0001086 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 120542.690000 USD 2028921158.000000 IDR 2026-06-10 -1249.590000 N N N N/A N/A 000000000 -49.000000 NC 488328.060000 0.0424403 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-06-15 -40233073.940000 JPY 488328.060000 N N N N/A N/A 000000000 1.000000 NC USD 15455.070000 0.0013432 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -1975.000000 USD 500000.000000 USD 17430.070000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI2Q2RG4 1100000.000000 PA 1279821.440000 0.111228 Long DBT CORP US N 2 2032-07-22 Floating 3.9 N N N N N N N/A N/A 000000000 1.000000 NC -597.680000 -0.0000519 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31118.000000 USD 4843728.000000 JPY 2026-04-02 -597.680000 N N N QUERCUS RE DESIGNATED ACTIVITY COMPANY 635400YNKWICCYBDBC76 ACI2Q34M4 250000.000000 PA 298729.490000 0.0259624 Long DBT CORP IE N 2 2031-01-06 Floating 10.02 N N N N N N N/A N/A 000000000 1.000000 NC 5581.850000 0.0004851 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 496363.190000 USD 2600000.000000 BRL 2026-04-02 5581.850000 N N N HOME EQUITY PASS-THRU CERTS 2004-6 N/A 437084EW2 398632.520000 PA USD 398830.960000 0.0346622 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.39303 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 33235.260000 PA USD 30999.490000 0.0026941 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.90637 N N N N N N N/A N/A 000000000 1.000000 NC -580.190000 -0.0000504 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 102184.890000 USD 130633.160000 SGD 2026-04-02 -580.190000 N N N N/A N/A 000000000 1.000000 NC -17314.740000 -0.0015048 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 823000.000000 USD 76290832.580000 INR 2026-04-07 -17314.740000 N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 9534.440000 PA USD 9566.170000 0.0008314 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N N/A N/A 000000000 1.000000 NC -1832.260000 -0.0001592 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 570000.000000 USD 18211935.000000 TWD 2026-04-27 -1832.260000 N N N N/A N/A 000000000 1.000000 NC -1295.360000 -0.0001126 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4982902.240000 TRY 108954.000000 USD 2026-04-16 -1295.360000 N N N N/A N/A 000000000 1.000000 NC -32514.160000 -0.0028258 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 721310.890000 USD 2557000.000000 PLN 2026-04-15 -32514.160000 N N N N/A N/A 000000000 1.000000 NC 1330.230000 0.0001156 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4905330.880000 INR 53134.000000 USD 2026-04-07 1330.230000 N N N N/A N/A 000000000 1.000000 NC 9017.460000 0.0007837 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1460325.990000 MYR 370000.000000 USD 2026-04-27 9017.460000 N N N FREDDIE MAC REMICS 5580 N/A 3137HMXP0 9002375.360000 PA USD 9035085.490000 0.785234 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.7619 N N N N N N N/A N/A 000000000 1.000000 NC 353.820000 0.0000308 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 219533.840000 USD 3731493515.000000 IDR 2026-04-09 353.820000 N N N N/A N/A 000000000 1.000000 NC 3868.370000 0.0003362 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 250093.760000 USD 4555958.000000 MXN 2026-04-17 3868.370000 N N N N/A N/A 000000000 1.000000 NC -7215.070000 -0.0006271 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1029034.620000 USD 772000.000000 GBP 2026-04-02 -7215.070000 N N N HERTZ VEHICLE FINANCING III LLC 2024-1A N/A 42806MCK3 5000000.000000 PA USD 5073991.000000 0.440978 Long ABS-O CORP US N 2 2029-01-25 Fixed 5.44 N N N N N N FNMA PASS THRU POOLS N/A 3140QVK86 1987746.870000 PA USD 2033599.720000 0.176739 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2258.910000 -0.0001963 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 79839.460000 USD 288000.000000 PLN 2026-04-15 -2258.910000 N N N ARGENT SECURITIES INC 2003-W10 N/A 040104EN7 90981.650000 PA USD 87835.340000 0.0076337 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.87303 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 1942311.750000 PA USD 1195854.930000 0.103931 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 -21718.910000 -0.0018876 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-01-06 0.000000 GBP -1370.890000 GBP 500000.000000 GBP -20348.020000 N N N N/A N/A 000000000 1.000000 NC -1906.650000 -0.0001657 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1944204.330000 SEK 203808.900000 USD 2026-05-04 -1906.650000 N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 311969.430000 PA USD 278312.360000 0.024188 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.73874 N N N N N N APS RESECURITIZATION TRUST 2015-1 N/A 00191TAG0 531187.490000 PA USD 530227.530000 0.0460818 Long ABS-MBS CORP US N 2 2054-08-28 Variable 4.07099 N N N N N N N/A N/A 000000000 1.000000 NC -757.700000 -0.0000659 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20774038.560000 INR 220000.000000 USD 2026-04-30 -757.700000 N N N N/A N/A 000000000 1.000000 NC -44715.990000 -0.0038862 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9514484.960000 USD 13172804.430000 CAD 2026-04-02 -44715.990000 N N N UMBS PASS THRU POOLS N/A 01F060675 83000000.000000 PA USD 84451840.980000 7.33966 Long ABS-MBS USGSE US N 2 2056-07-13 Fixed 6 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBC7 1500000.000000 PA USD 1502988.830000 0.130624 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.62924 N N N N N N N/A N/A 000000000 -6200000.000000 NC USD -18314.180000 -0.0015917 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.310000 USD 2026-04-06 XXXX -1845.430000 N N N N/A N/A 000000000 1.000000 NC 43040.810000 0.0037407 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2663487.140000 USD 14308466.000000 BRL 2026-07-02 43040.810000 N N N N/A N/A 000000000 1.000000 NC 2826.160000 0.0002456 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 287600.000000 USD 13074094.680000 TRY 2026-04-13 2826.160000 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 3851.810000 PA USD 3775.110000 0.0003281 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1.000000 NC -222710.440000 -0.0193556 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 87700000.000000 BRL -222710.440000 N N N PAGAYA AI DEBT TRUST 2025-6 N/A 69549BAB4 1099898.630000 PA USD 1096407.550000 0.0952881 Long ABS-O CORP US N 2 2033-04-15 Fixed 4.497 N N N N N N N/A N/A 000000000 1.000000 NC 11349.330000 0.0009864 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20050404.440000 THB 620000.000000 USD 2026-04-17 11349.330000 N N N N/A N/A 000000000 1.000000 NC -19647.700000 -0.0017076 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4237458901.290000 COP 1091214.550000 USD 2026-09-16 -19647.700000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FZ1 800000.000000 PA USD 671617.660000 0.0583699 Long DBT CORP US N 2 2043-10-01 Fixed 4.65 N N N N N N N/A N/A 000000000 136900000.000000 NC USD 261602.210000 0.0227357 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.85700 10/09/26-1Y LCH 2027-10-09 0.000000 USD 0.000000 USD N/A USD N/A 3.860000 USD 2026-10-07 XXXX 155504.710000 N N N N/A N/A 000000000 1.000000 NC 4103.570000 0.0003566 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 481813.000000 USD 1828865785.400000 COP 2026-07-21 4103.570000 N N N FNMA PASS THRU POOLS N/A 31409JBD1 11653.880000 PA USD 12020.410000 0.0010447 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 6.068 N N N N N N ARBOUR CLO VI DAC 6A N/A ACI2RC930 4200000.000000 PA 4855331.640000 0.421974 Long ABS-CBDO CORP IE N 2 2037-11-15 Floating 3.134 N N N N N N N/A N/A 000000000 1.000000 NC USD -12795.020000 -0.001112 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-07 0.000000 USD -6825.000000 USD 1400000.000000 USD -5970.020000 N N N N/A N/A 000000000 800000.000000 NC USD 173.520000 0.0000151 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-04-06 XXXX -1906.480000 N N N N/A N/A 000000000 1.000000 NC -2190.870000 -0.0001904 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -2270.290000 EUR 600000.000000 EUR 79.420000 N N N N/A N/A 000000000 1.000000 NC -159356.940000 -0.0138496 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 48300000.000000 BRL -159356.940000 N N N N/A N/A 000000000 1.000000 NC -118.360000 -0.0000103 N/A DFE KZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4861500.000000 KZT 10000.000000 USD 2026-04-20 -118.360000 N N N N/A N/A 000000000 27600000.000000 NC USD 39688.800000 0.0034493 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 1402.800000 N N N N/A N/A 000000000 1.000000 NC USD 103897.090000 0.0090296 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-04-10 0.000000 USD 0.000000 USD 34000000.000000 USD 103897.090000 N N N HERBIE RE LTD N/A 42703VAN3 500000.000000 PA USD 500750.000000 0.0435199 Long DBT CORP BM N 2 2030-01-07 Floating 7.76 N N N N N N N/A N/A 000000000 1.000000 NC -2518.830000 -0.0002189 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 893621.660000 BRL 170000.000000 USD 2026-04-02 -2518.830000 N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 34434.390000 PA USD 9060.930000 0.0007875 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.51303 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 B1W32LII9 165230000.000000 PA 7849016.980000 0.682153 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 2200000.000000 PA USD 2241444.040000 0.194803 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N CVC CORDATUS LOAN FUND XXXIII DAC 33A N/A ACI388DJ8 5100000.000000 PA 5882274.820000 0.511225 Long ABS-CBDO CORP IE N 2 2038-03-24 Floating 3.401 N N N N N N N/A N/A 000000000 1.000000 NC 1876.210000 0.0001631 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3196216711.000000 IDR 189802.000000 USD 2026-06-10 1876.210000 N N N N/A N/A 000000000 1.000000 NC -6330.780000 -0.0005502 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 470000.000000 USD 1613860.340000 PEN 2026-04-09 -6330.780000 N N N ANCHORAGE CREDIT FUNDING 13 LTD N/A 03290AAA8 300000.000000 PA USD 287590.430000 0.0249943 Long ABS-CBDO CORP KY N 2 2039-07-27 Fixed 2.875 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WZRP4 5050000000.000000 PA 1273260.110000 0.110658 Long DBT NUSS CO N 2 2029-08-22 Fixed 11 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 164477.640000 PA USD 164637.580000 0.0143086 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC 1870.740000 0.0001626 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4565000.000000 INR 50000.000000 USD 2026-04-02 1870.740000 N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4 N/A 16160NAB7 4814869.690000 PA USD 4311783.220000 0.374735 Long ABS-MBS CORP US N 2 2064-12-25 Variable 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 2057.330000 0.0001788 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 355860.000000 MYR 90000.000000 USD 2026-04-09 2057.330000 N N N N/A N/A 000000000 128200000.000000 NC USD 194005.060000 0.0168609 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09300 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2027-01-04 XXXX 102983.060000 N N N N/A N/A 000000000 1.000000 NC -1423.180000 -0.0001237 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 355098476.000000 KRW 234715.330000 USD 2026-04-15 -1423.180000 N N N N/A N/A 000000000 1.000000 NC -43826.380000 -0.0038089 N/A DFE CO N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 24749898072.200000 COP 6488713.020000 USD 2026-08-18 -43826.380000 N N N N/A N/A 000000000 1.000000 NC -94258.130000 -0.0081919 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2406981.000000 USD 218993148.830000 INR 2026-04-07 -94258.130000 N N N UMBS PASS THRU POOLS N/A 01F020653 -24910000.000000 PA USD -20059361.140000 -1.74335 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC -1067.640000 -0.0000928 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 675000.000000 USD 21585110.000000 TWD 2026-04-20 -1067.640000 N N N N/A N/A 000000000 1.000000 NC 1280.950000 0.0001113 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 422009442.000000 KRW 282000.000000 USD 2026-04-27 1280.950000 N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 69434.480000 PA USD 68467.780000 0.0059505 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.72303 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 132213.280000 PA USD 131601.970000 0.0114374 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 4.33671 N N N N N N N/A N/A 000000000 1.000000 NC USD 55.020000 0.0000048 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 DISCOVERY GLOBAL HOLDINGS INC WARNERMEDIA HOLDINGS INC SR UNSEC SMR Y Single Leg Swap 2026-12-20 0.000000 USD -362.130000 USD 100000.000000 USD 417.150000 N N N N/A N/A 000000000 1.000000 NC USD 23571.910000 0.0020486 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-03-18 10035.260000 USD 0.000000 USD 16410000.000000 USD 13536.650000 N N N N/A N/A 000000000 1.000000 NC -77.030000 -0.0000067 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 786062.000000 USD 13367927584.000000 IDR 2026-06-10 -77.030000 N N N N/A N/A 000000000 1.000000 NC 3449.650000 0.0002998 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3271775.640000 THB 102760.000000 USD 2026-04-16 3449.650000 N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 194969.850000 PA USD 181502.480000 0.0157743 Long ABS-MBS CORP US N 2 2046-02-25 Floating 4.85874 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 3406.680000 PA USD 3405.090000 0.0002959 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.76803 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 181.120000 PA USD 178.080000 0.0000155 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.99057 N N N N N N N/A N/A 000000000 1.000000 NC 182581.550000 0.0158681 N/A DFE AU N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 8425189.000000 AUD 5995542.260000 USD 2026-04-02 182581.550000 N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 29376.210000 PA USD 25169.730000 0.0021875 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.35303 N N N N N N UMBS PASS THRU POOLS N/A 01F040644 50810000.000000 PA USD 47952345.000000 4.16751 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 336.690000 0.0000293 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3079642500.000000 COP 825000.000000 USD 2026-06-17 336.690000 N N N N/A N/A 000000000 1.000000 NC -593.680000 -0.0000516 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 20230.000000 USD 79451.300000 MYR 2026-04-15 -593.680000 N N N N/A N/A 000000000 1.000000 NC -1403.420000 -0.000122 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 70260.000000 USD 240528.080000 PEN 2026-06-17 -1403.420000 N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 798673.800000 PA USD 804643.890000 0.0699311 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.45303 N N N N N N FNMA PASS THRU POOLS N/A 3138A2U64 4433.380000 PA USD 4389.970000 0.0003815 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 121303.120000 0.0105424 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 24141352.240000 SGD 18941227.610000 USD 2026-05-04 121303.120000 N N N N/A N/A 000000000 1.000000 NC -5984.210000 -0.0005201 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13145908.400000 TRY 287600.000000 USD 2026-04-09 -5984.210000 N N N N/A N/A 000000000 600000.000000 NC USD 1780.740000 0.0001548 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.24500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-07 XXXX -6019.260000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 68705.780000 PA USD 64179.020000 0.0055778 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.25874 N N N N N N FNMA PASS THRU POOLS N/A 3140XH5X1 2413220.310000 PA USD 2335938.230000 0.203015 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 21300000.000000 PA 1176549.250000 0.102253 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC -47.020000 -0.0000041 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1702100000.000000 IDR 100000.000000 USD 2026-06-17 -47.020000 N N N N/A N/A 000000000 1.000000 NC 528.040000 0.0000459 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 387346.840000 USD 1217000.000000 ILS 2026-06-10 528.040000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H20 N/A 38384LB73 4965221.400000 PA USD 5012009.670000 0.435591 Long ABS-MBS USGSE US N 2 2075-09-20 Floating 4.44294 N N N N N N N/A N/A 000000000 -4900000.000000 NC USD -1979.600000 -0.000172 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 225.400000 N N N RCKT MORTGAGE TRUST 2024-CES4 N/A 74939FAA5 532409.750000 PA USD 536463.200000 0.0466237 Long ABS-MBS CORP US N 2 2044-06-25 Variable 6.147 N N N N N N N/A N/A 000000000 1.000000 NC USD 5806.570000 0.0005046 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -2146.000000 USD 800000.000000 USD 7952.570000 N N N N/A N/A 000000000 1.000000 NC -19153.430000 -0.0016646 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 903520.900000 USD 83741298.630000 INR 2026-04-07 -19153.430000 N N N N/A N/A 000000000 1.000000 NC -21895.350000 -0.0019029 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1284574.000000 USD 200393415.000000 JPY 2026-04-02 -21895.350000 N N N N/A N/A 000000000 -16900000.000000 NC USD -62580.700000 -0.0054389 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.58900 05/04/26-7Y LCH 2033-05-04 0.000000 USD 0.000000 USD N/A USD N/A 3.590000 USD 2026-04-30 XXXX 2816.450000 N N N N/A N/A 000000000 1.000000 NC 64241.320000 0.0055832 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6105626.690000 USD 59748746.940000 NOK 2026-05-04 64241.320000 N N N URSA RE LTD 549300O8X4DWGDJZ6W59 90323WAR1 500000.000000 PA USD 511250.000000 0.0444324 Long DBT CORP BM N 2 2028-02-22 Floating 11.0363 N N N N N N N/A N/A 000000000 1.000000 NC -7269.770000 -0.0006318 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 451811.000000 USD 8081633.720000 MXN 2026-09-17 -7269.770000 N N N FNMA PASS THRU POOLS N/A 31405PVB3 531.840000 PA USD 550.260000 0.0000478 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3 N/A 161927AC2 1911103.410000 PA USD 1714180.260000 0.148978 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -1353.300000 -0.0001176 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 670000.000000 USD 21423039.000000 TWD 2026-04-23 -1353.300000 N N N GNMA PASS THRU POOLS N/A 36296DKZ0 691.550000 PA USD 701.770000 0.000061 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N N/A N/A 000000000 -122.000000 NC USD -124847.740000 -0.0108504 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -14184406.250000 USD -124847.740000 N N N N/A N/A 000000000 1.000000 NC 7219.530000 0.0006274 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 393726595.000000 KRW 269045.520000 USD 2026-04-15 7219.530000 N N N N/A N/A 000000000 1.000000 NC -2840.230000 -0.0002468 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 706902.000000 USD 11949899579.000000 IDR 2026-04-16 -2840.230000 N N N N/A N/A 000000000 1.000000 NC -423.160000 -0.0000368 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 488000.000000 SGD 379136.610000 USD 2026-04-02 -423.160000 N N N N/A N/A 000000000 1.000000 NC 78590.970000 0.0068303 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 18607916.830000 PEN 5381588.000000 USD 2026-09-16 78590.970000 N N N N/A N/A 000000000 1.000000 NC USD -17321.510000 -0.0015054 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-22 0.000000 USD -2275.000000 USD 500000.000000 USD -15046.510000 N N N N/A N/A 000000000 1.000000 NC USD -525697.810000 -0.0456881 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-08-25 0.000000 USD -724468.900000 USD 179560000.000000 USD 198771.090000 N N N FNMA PASS THRU POOLS N/A 31371MFZ5 34794.970000 PA USD 35945.440000 0.003124 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.472 N N N N N N SEQUOIA MORTGAGE TRUST 2007-2 N/A 81744LAA2 80319.720000 PA USD 75670.820000 0.0065765 Long ABS-MBS CORP US N 2 2036-06-20 Floating 4.20952 N N N N N N N/A N/A 000000000 1.000000 NC -12075.830000 -0.0010495 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 277171907.000000 JPY 1734384.000000 USD 2026-04-02 -12075.830000 N N N N/A N/A 000000000 1.000000 NC -22955.290000 -0.001995 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 823578.000000 USD 2972128.290000 PLN 2026-04-15 -22955.290000 N N N GNMA PASS THRU POOLS N/A 36180WGF6 399465.930000 PA USD 375558.960000 0.0326396 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -12373.950000 -0.0010754 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 800000.000000 BRL 142070.680000 USD 2026-04-02 -12373.950000 N N N N/A N/A 000000000 1.000000 NC 263.580000 0.0000229 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2235000.000000 NOK 231082.860000 USD 2026-04-07 263.580000 N N N N/A N/A 000000000 15100000.000000 NC USD 10097.370000 0.0008776 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.260000 USD 2026-04-28 XXXX -133712.150000 N N N N/A N/A 000000000 1.000000 NC -83.300000 -0.0000072 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2192.020000 USD 69449.840000 THB 2026-04-20 -83.300000 N N N N/A N/A 000000000 1.000000 NC USD 3904159.060000 0.339308 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2026-04-22 0.000000 USD 0.000000 USD 282920198.400000 USD 3904159.060000 N N N N/A N/A 000000000 1.000000 NC 1279.210000 0.0001112 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 879000.000000 PLN 238061.510000 USD 2026-04-15 1279.210000 N N N N/A N/A 000000000 1.000000 NC 3229.820000 0.0002807 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-29 0.000000 EUR -752.000000 EUR 400000.000000 EUR 3981.820000 N N N N/A N/A 000000000 1.000000 NC 1801.800000 0.0001566 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 264905597.000000 KRW 177967.000000 USD 2026-04-16 1801.800000 N N N N/A N/A 000000000 1.000000 NC 1061.700000 0.0000923 N/A DFE PH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2555914.050000 PHP 43039.000000 USD 2026-06-17 1061.700000 N N N N/A N/A 000000000 1.000000 NC 3240.220000 0.0002816 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 646777.660000 USD 2446501176.720000 COP 2026-07-21 3240.220000 N N N N/A N/A 000000000 1.000000 NC -8514.290000 -0.00074 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-01 0.000000 CZK -900.340000 CZK 28320000.000000 CZK -7613.950000 N N N LOCKE TAVERN RE LTD N/A 539694AC3 250000.000000 PA USD 250000.000000 0.0217273 Long DBT CORP BM N 2 2033-04-11 Floating 4.05 N N N N N N N/A N/A 000000000 6500000.000000 NC USD 382885.750000 0.0332764 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29600 02/08/28-30Y LCH 2058-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.300000 USD 2028-02-04 XXXX -72114.250000 N N N PALM RE LTD 984500D3C66DA10DAP11 69664FAB4 250000.000000 PA USD 257725.000000 0.0223987 Long DBT CORP BM N 2 2032-06-07 Floating 11.27 N N N N N N N/A N/A 000000000 1.000000 NC 3326.210000 0.0002891 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 202000000.000000 CLP 3326.210000 N N N N/A N/A 000000000 9800000.000000 NC USD 554964.200000 0.0482316 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -235895.800000 N N N N/A N/A 000000000 1.000000 NC -1663.450000 -0.0001446 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4915850.410000 TRY 108953.000000 USD 2026-04-02 -1663.450000 N N N N/A N/A 000000000 1.000000 NC -13482.790000 -0.0011718 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 -13815.310000 EUR 830000.000000 EUR 332.520000 N N N N/A N/A 000000000 1.000000 NC -421.400000 -0.0000366 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50000.000000 USD 74551141.000000 KRW 2026-04-17 -421.400000 N N N N/A N/A 000000000 1.000000 NC USD 9670.750000 0.0008405 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-21 0.000000 USD -1700.000000 USD 500000.000000 USD 11370.750000 N N N WHETSTONE PARK CLO LTD 2021-1A N/A 96329YAN7 3300000.000000 PA USD 3298350.000000 0.286658 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 4.73763 N N N N N N N/A N/A 000000000 1.000000 NC -18443.910000 -0.0016029 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 543582.970000 USD 9470248.150000 MXN 2026-06-17 -18443.910000 N N N N/A N/A 000000000 1.000000 NC -1723.940000 -0.0001498 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1162367.900000 USD 184200000.000000 JPY 2026-04-02 -1723.940000 N N N N/A N/A 000000000 1.000000 NC 31263.820000 0.0027171 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16003088.090000 THB 518322.000000 USD 2026-05-20 31263.820000 N N N N/A N/A 000000000 -27600000.000000 NC USD -11178.000000 -0.0009715 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 1523.600000 N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69 N/A 12668AN27 4795.360000 PA USD 4407.470000 0.0003831 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.85874 N N N N N N GNMA PASS THRU POOLS N/A 36177WD98 42951.410000 PA USD 40476.060000 0.0035178 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -19894.280000 -0.001729 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1235929.700000 USD 918733.000000 GBP 2026-04-02 -19894.280000 N N N N/A N/A 000000000 1.000000 NC 64494.540000 0.0056052 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 2359000.000000 EUR 2791145.210000 USD 2026-04-02 64494.540000 N N N FHLMC PASS THRU POOLS N/A 3132GDVQ2 71287.130000 PA USD 70078.810000 0.0060905 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 01F050650 104650000.000000 PA USD 103087780.610000 8.9593 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5 N N N N N N ANCHORAGE CREDIT FUNDING 12 LTD N/A 03332DAA2 665992.310000 PA USD 645725.300000 0.0561196 Long ABS-CBDO CORP KY N 2 2038-10-25 Fixed 3.177 N N N N N N FNMA PASS THRU POOLS N/A 31418CSG0 1047885.180000 PA USD 1012483.680000 0.0879943 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31427MBC4 1313169.370000 PA USD 1390739.280000 0.120868 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 19500000.000000 PA 5323989.200000 0.462705 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2 N/A 161930AB8 2499270.960000 PA USD 2223073.530000 0.193206 Long ABS-MBS CORP US N 2 2064-08-25 Variable 3.25 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WP1 11599.790000 PA USD 12190.580000 0.0010595 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 9375.720000 0.0008148 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -2665.000000 USD 1300000.000000 USD 12040.720000 N N N N/A N/A 000000000 1.000000 NC USD 23033.300000 0.0020018 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-26 0.000000 USD -81395.350000 USD 17500000.000000 USD 104428.650000 N N N N/A N/A 000000000 1.000000 NC -6030.920000 -0.0005241 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -862.870000 EUR 200000.000000 EUR -5168.050000 N N N N/A N/A 000000000 1.000000 NC 2432.360000 0.0002114 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 200000.000000 CAD 146682.200000 USD 2026-06-17 2432.360000 N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6QQ6 1260000.000000 PA USD 1056195.000000 0.0917933 Long DBT NUSS EC N 2 2030-07-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2057.430000 -0.0001788 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 55374900.530000 TRY 1243988.420000 USD 2026-04-01 -2057.430000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2QBM79 270000000.000000 PA 296846.670000 0.0257988 Long DBT NUSS CL N 2 2029-10-01 Fixed 5.8 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 698197.680000 PA USD 679895.450000 0.0590893 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N N/A N/A 000000000 5100000.000000 NC USD 276425.610000 0.024024 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -162939.390000 N N N ANGEL OAK MORTGAGE TRUST 2024-3 N/A 03466HAA1 1459471.860000 PA USD 1451888.880000 0.126183 Long ABS-MBS CORP US N 2 2068-11-26 Fixed 4.8 N N N N N N N/A N/A 000000000 1.000000 NC -1956.860000 -0.0001701 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 59575.440000 USD 100000.000000 NZD 2026-06-17 -1956.860000 N N N N/A N/A 000000000 1.000000 NC 1369.090000 0.000119 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -1325.390000 EUR 400000.000000 EUR 2694.480000 N N N FNMA PASS THRU POOLS N/A 31418CYL2 1586446.360000 PA USD 1479682.900000 0.128598 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 7389.950000 0.0006423 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4400000.000000 SEK 473961.800000 USD 2026-06-17 7389.950000 N N N N/A N/A 000000000 1.000000 NC -19704.020000 -0.0017125 N/A DFE CA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1050000.000000 USD 1432923.140000 CAD 2026-04-06 -19704.020000 N N N N/A N/A 000000000 1.000000 NC 61716.870000 0.0053638 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1642775.710000 USD 8829015.910000 BRL 2026-04-02 61716.870000 N N N N/A N/A 000000000 1.000000 NC 12148.850000 0.0010558 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-29 0.000000 EUR -1670.890000 EUR 600000.000000 EUR 13819.740000 N N N N/A N/A 000000000 1.000000 NC -3437.600000 -0.0002988 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2100000.000000 BRL 393789.380000 USD 2026-07-02 -3437.600000 N N N N/A N/A 000000000 1.000000 NC 21581.230000 0.0018756 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-01 852.810000 PLN 0.000000 PLN 5100000.000000 PLN 20728.420000 N N N N/A N/A 000000000 1.000000 NC 1429.770000 0.0001243 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 4800000.000000 MXN 267596.770000 USD 2026-06-17 1429.770000 N N N N/A N/A 000000000 1.000000 NC -1595.860000 -0.0001387 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 20900000.000000 BRL 3866589.700000 USD 2026-10-02 -1595.860000 N N N N/A N/A 000000000 1.000000 NC -781.840000 -0.0000679 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 849701.070000 USD 8220000.000000 NOK 2026-04-07 -781.840000 N N N FREDDIE MAC REMICS 5521 N/A 3137HKCY8 4023681.190000 PA USD 4056727.680000 0.352568 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC 6518.450000 0.0005665 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 400000.000000 CHF 510938.750000 USD 2026-06-17 6518.450000 N N N N/A N/A 000000000 -1304352.000000 NC USD -1151.740000 -0.0001001 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 1695.660000 N N N N/A N/A 000000000 1.000000 NC 11210.240000 0.0009743 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 147080600.000000 CLP 170000.000000 USD 2026-04-02 11210.240000 N N N N/A N/A 000000000 1.000000 NC 1699.870000 0.0001477 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 381492.900000 SGD 300000.000000 USD 2026-06-17 1699.870000 N N N N/A N/A 000000000 1.000000 NC 15652.800000 0.0013604 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-09 0.000000 EUR -1746.880000 EUR 500000.000000 EUR 17399.680000 N N N N/A N/A 000000000 1.000000 NC -574.120000 -0.0000499 N/A DFE JP N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 74766.280000 USD 11700000.000000 JPY 2026-06-17 -574.120000 N N N N/A N/A 000000000 15800000.000000 NC USD 122213.000000 0.0106215 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.59900 06/29/26-7Y LCH 2033-06-29 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-06-25 XXXX -8025.610000 N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAA0 2351194.740000 PA USD 2202773.460000 0.191442 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.84874 N N N N N N N/A N/A 000000000 1.000000 NC -43115.800000 -0.0037472 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14019797.260000 BRL 2663487.140000 USD 2026-04-02 -43115.800000 N N N FNMA PASS THRU POOLS N/A 31401YYE9 803.390000 PA USD 789.030000 0.0000686 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV36 270164.700000 PA 308153.810000 0.0267815 Long ABS-CBDO CORP IE N 2 2031-07-15 Fixed 1.04 N N N N N N N/A N/A 000000000 1.000000 NC -2886.570000 -0.0002509 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK -598.770000 CZK 1200000.000000 CZK -2287.800000 N N N N/A N/A 000000000 1.000000 NC -32376.830000 -0.0028139 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3726545.710000 USD 2791000.000000 GBP 2026-04-02 -32376.830000 N N N N/A N/A 000000000 1.000000 NC -3442.680000 -0.0002992 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 717999.350000 USD 2242000.000000 ILS 2026-06-10 -3442.680000 N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 972.830000 PA USD 922.700000 0.0000802 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.45303 N N N N N N N/A N/A 000000000 1.000000 NC USD -742.980000 -0.0000646 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-04-01 0.000000 USD -83520.000000 USD 17400000.000000 USD 82777.020000 N N N N/A N/A 000000000 -2000000.000000 NC USD -7571.800000 -0.0006581 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 94.380000 USD 2026-06-04 XXXX 5553.200000 N N N VERAISON RE LTD 2549007WYB39A966J434 92335TAE9 250000.000000 PA USD 254350.000000 0.0221054 Long DBT CORP BM N 2 2033-03-08 Floating 8.5253 N N N N N N LEHMAN XS TRUST 2007-12N N/A 52524YAC7 3218087.570000 PA USD 3240510.560000 0.281631 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.19303 N N N N N N N/A N/A 000000000 -10200000.000000 NC USD -49068.120000 -0.0042645 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73250 05/11/26-10Y LCH 2036-05-11 0.000000 USD 0.000000 USD N/A USD N/A 3.730000 USD 2026-05-07 XXXX 1931.880000 N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 732883.750000 PA USD 705111.820000 0.0612808 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 54169.020000 PA USD 53099.500000 0.0046148 Long ABS-MBS CORP US N 2 2045-01-25 Floating 4.43303 N N N N N N N/A N/A 000000000 1.000000 NC 5951.290000 0.0005172 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10319357.400000 THB 319279.540000 USD 2026-04-20 5951.290000 N N N N/A N/A 000000000 1.000000 NC 14831.340000 0.001289 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 550336.700000 USD 10135441.000000 MXN 2026-04-13 14831.340000 N N N N/A N/A 000000000 1.000000 NC 167238.850000 0.0145346 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 14589140.190000 PEN 4307265.860000 USD 2026-12-07 167238.850000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI0WBN59 4400000.000000 PA 1322288.570000 0.114919 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N GNMA PASS THRU POOLS N/A 21H060648 15270000.000000 PA USD 15529016.610000 1.34962 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2022.440000 0.0001758 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4687170143.000000 IDR 277827.560000 USD 2026-04-02 2022.440000 N N N FNMA PASS THRU POOLS N/A 3140YWL43 1192450.440000 PA USD 1254873.740000 0.10906 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -22394.700000 -0.0019463 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-12-31 0.000000 EUR -1058.190000 EUR 400000.000000 EUR -21336.510000 N N N N/A N/A 000000000 1.000000 NC -38348.960000 -0.0033329 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1302000.000000 USD 21616393.810000 ZAR 2026-08-19 -38348.960000 N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 400000.010000 PA USD 400780.890000 0.0348316 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N N/A N/A 000000000 1.000000 NC -701.760000 -0.000061 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 155483.000000 USD 2626885285.000000 IDR 2026-04-13 -701.760000 N N N N/A N/A 000000000 1.000000 NC -610.860000 -0.0000531 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1037325.750000 CNY 149995.770000 USD 2026-04-02 -610.860000 N N N N/A N/A 000000000 1.000000 NC 1349.230000 0.0001173 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1734212.440000 PLN 468506.000000 USD 2026-04-15 1349.230000 N N N SANDERS RE III LTD N/A 799925AA0 650000.000000 PA USD 657475.000000 0.0571408 Long DBT CORP BM N 2 2029-06-05 Floating 11.26 N N N N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 3800000.000000 PA USD 3213033.110000 0.279243 Long DBT CORP US N 2 2031-09-15 Fixed 2.691 N N N N N N N/A N/A 000000000 1.000000 NC -66764.460000 -0.0058025 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3400000.000000 BRL 589625.200000 USD 2026-04-02 -66764.460000 N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAQ8 321128.920000 PA USD 228989.740000 0.0199014 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2279.730000 0.0001981 N/A DFE CA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 135866.290000 CAD 100000.000000 USD 2026-04-13 2279.730000 N N N N/A N/A 000000000 1.000000 NC 346.340000 0.0000301 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1797133.200000 MXN 100000.000000 USD 2026-06-17 346.340000 N N N N/A N/A 000000000 1.000000 NC -1544.390000 -0.0001342 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 277827.560000 USD 4698987261.000000 IDR 2026-06-10 -1544.390000 N N N N/A N/A 000000000 1.000000 NC -24000.550000 -0.0020859 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 7726364646.000000 COP 2078097.000000 USD 2026-04-08 -24000.550000 N N N N/A N/A 000000000 -9500000.000000 NC USD -3838.000000 -0.0003336 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 397.150000 N N N FNMA PASS THRU POOLS N/A 31407VMN2 17127.990000 PA USD 17714.080000 0.0015395 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410LAV4 255.040000 PA USD 261.610000 0.0000227 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -1297.080000 -0.0001127 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6111311.710000 TRY 130768.000000 USD 2026-05-04 -1297.080000 N N N N/A N/A 000000000 1.000000 NC -88355.610000 -0.0076789 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2126674.380000 USD 19296050.350000 SEK 2026-04-02 -88355.610000 N N N N/A N/A 000000000 1.000000 NC 13659.730000 0.0011872 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-16 0.000000 EUR -1865.660000 EUR 500000.000000 EUR 15525.390000 N N N N/A N/A 000000000 1.000000 NC 17065.230000 0.0014831 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1816964.710000 USD 9500000.000000 BRL 2026-04-02 17065.230000 N N N N/A N/A 000000000 600000.000000 NC USD 1591.020000 0.0001383 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2026-08-05 XXXX -6208.980000 N N N N/A N/A 000000000 1.000000 NC 6954.240000 0.0006044 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 552907.530000 USD 2900000.000000 BRL 2026-04-02 6954.240000 N N N N/A N/A 000000000 1.000000 NC -22358.220000 -0.0019431 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 5700000.000000 BRL 1055829.290000 USD 2026-07-02 -22358.220000 N N N FNMA PASS THRU POOLS N/A 3140XN5W0 3310220.670000 PA USD 3474574.380000 0.301973 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAD1 2149468.290000 PA USD 1202524.120000 0.104511 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.23303 N N N N N N N/A N/A 000000000 1.000000 NC -2450.860000 -0.000213 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 810714.000000 USD 25907905.000000 TWD 2026-04-27 -2450.860000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 1919339.070000 PA USD 1737434.860000 0.150999 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.65874 N N N N N N N/A N/A 000000000 1.000000 NC USD 58913.050000 0.0051201 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.43 Y Single Leg Swap 2029-12-20 72886.280000 USD 0.000000 USD 990000.000000 USD -13973.230000 N N N N/A N/A 000000000 1.000000 NC 7206.770000 0.0006263 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2980000.000000 SEK 321996.060000 USD 2026-04-02 7206.770000 N N N PRET 2025-NPL8 LLC N/A 69392EAA8 3752725.420000 PA USD 3763460.470000 0.32708 Long ABS-MBS CORP US N 2 2055-08-25 Fixed 5.7319 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 2956992.540000 PA USD 1117613.960000 0.0971312 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.92303 N N N N N N N/A N/A 000000000 24000000.000000 NC USD 201271.200000 0.0174924 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.5% MAY 30YR N/A 96.590000 USD 2026-05-06 XXXX 171271.200000 N N N N/A N/A 000000000 1.000000 NC 1165.520000 0.0001013 N/A DFE PH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2698890.050000 PHP 45491.000000 USD 2026-06-17 1165.520000 N N N GNMA PASS THRU POOLS N/A 36200JSC5 61003.730000 PA USD 57353.900000 0.0049846 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -4283.660000 -0.0003723 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -1035.000000 USD 300000.000000 USD -3248.660000 N N N N/A N/A 000000000 -10840000.000000 NC USD -346869.160000 -0.0301462 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 17.000000 USD 2026-08-19 XXXX -117321.320000 N N N UMBS PASS THRU POOLS N/A 01F040669 23000000.000000 PA USD 21658817.100000 1.88235 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 USD -14395.990000 -0.0012511 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -2943.750000 USD 1500000.000000 USD -11452.240000 N N N PENTA CLO 9 DAC N/A ACI1Y3GV4 2500000.000000 PA 2882223.200000 0.250492 Long ABS-CBDO CORP IE N 2 2036-07-25 Floating 2.88 N N N N N N N/A N/A 000000000 1.000000 NC 3448.840000 0.0002997 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 20068390.170000 THB 615710.000000 USD 2026-06-17 3448.840000 N N N N/A N/A 000000000 1.000000 NC -3924.150000 -0.000341 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 485932.250000 USD 15874770.000000 THB 2026-04-20 -3924.150000 N N N N/A N/A 000000000 1.000000 NC 2520.570000 0.0002191 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 123000.000000 CHF 156347.480000 USD 2026-04-02 2520.570000 N N N N/A N/A 000000000 1.000000 NC -10143.360000 -0.0008816 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1179468.000000 USD 19887717629.000000 IDR 2026-06-10 -10143.360000 N N N FNMA PASS THRU POOLS N/A 31412MTG3 16309.500000 PA USD 16800.470000 0.0014601 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 8147.490000 0.0007081 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 513103.130000 USD 2700000.000000 BRL 2026-04-02 8147.490000 N N N N/A N/A 000000000 1.000000 NC USD 791267.420000 0.0687686 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -154780.610000 USD 6900000.000000 USD 946048.030000 N N N N/A N/A 000000000 1.000000 NC 1986.170000 0.0001726 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2620000.000000 SEK 278747.220000 USD 2026-04-02 1986.170000 N N N N/A N/A 000000000 1.000000 NC -1103.450000 -0.0000959 N/A DFE NO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 104320.450000 USD 1000000.000000 NOK 2026-06-17 -1103.450000 N N N N/A N/A 000000000 -15400000.000000 NC USD -201821.620000 -0.0175402 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2026-04-28 XXXX -58088.290000 N N N N/A N/A 000000000 1.000000 NC USD -130247.140000 -0.0113197 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 7330000.000000 USD -130247.140000 N N N N/A N/A 000000000 1.000000 NC 15324.080000 0.0013318 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-05-05 0.000000 EUR -1365.080000 EUR 400000.000000 EUR 16689.160000 N N N FNMA PASS THRU POOLS N/A 31368HP64 16250485.820000 PA USD 16811780.040000 1.4611 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -11238.680000 -0.0009767 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 945316.130000 USD 30763517.400000 THB 2026-04-20 -11238.680000 N N N N/A N/A 000000000 1.000000 NC -25137.880000 -0.0021847 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8938858.830000 USD 285269377.000000 TWD 2026-04-13 -25137.880000 N N N N/A N/A 000000000 1.000000 NC -4714.260000 -0.0004097 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 390959.850000 USD 6569213521.000000 IDR 2026-06-10 -4714.260000 N N N N/A N/A 000000000 -2000000.000000 NC USD -9655.600000 -0.0008392 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 97.380000 USD 2026-06-04 XXXX 1906.900000 N N N COUNTRYWIDE ASSET BACKED CERT 2007-BC2 N/A 12669QAA7 1892692.840000 PA USD 1938056.140000 0.168435 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.19303 N N N N N N N/A N/A 000000000 -13800000.000000 NC USD -112781.880000 -0.0098018 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -15670.770000 N N N N/A N/A 000000000 1.000000 NC -7752.430000 -0.0006738 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 684000.000000 USD 2362251.110000 PEN 2026-06-17 -7752.430000 N N N N/A N/A 000000000 6900000.000000 NC USD 402719.880000 0.0350001 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -204480.120000 N N N WINDROSE RE LTD N/A 972917AA6 250000.000000 PA USD 249275.000000 0.0216643 Long DBT CORP BM N 2 2033-02-11 Floating 8.7769 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 1473776.250000 PA USD 753866.470000 0.0655181 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.96303 N N N N N N HANDSHAKE RE LTD N/A 410290AA8 250000.000000 PA USD 248550.000000 0.0216013 Long DBT CORP BM N 2 2030-01-08 Floating 8.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 205823.490000 0.017888 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -271797.080000 USD 43600000.000000 USD 477620.570000 N N N GNMA PASS THRU POOLS N/A 36182WBC6 277461.700000 PA USD 260691.340000 0.0226565 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1300000.000000 NC USD 2236.650000 0.0001944 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.03800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.040000 USD 2026-08-11 XXXX -8293.350000 N N N FNMA PASS THRU POOLS N/A 3140XPZ51 2351713.090000 PA USD 2476275.520000 0.215212 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 10310000.000000 PA USD 10169382.120000 0.883815 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 USD 132359.030000 0.0115032 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-17 155953.140000 USD 0.000000 USD 9030000.000000 USD -23594.110000 N N N N/A N/A 000000000 1.000000 NC -112726.680000 -0.009797 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 62410249.930000 EUR 72134078.920000 USD 2026-05-04 -112726.680000 N N N UMBS PASS THRU POOLS N/A 01F052656 -4170000.000000 PA USD -4183831.260000 -0.363614 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 5.5 N N N N N N N/A N/A 000000000 -5200000.000000 NC USD -17823.520000 -0.001549 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 97.280000 USD 2026-06-04 XXXX -3198.520000 N N N N/A N/A 000000000 1.000000 NC 432161.150000 0.0375589 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 18614713.510000 NZD 11129104.310000 USD 2026-04-02 432161.150000 N N N HSI ASSET SEC CORP TRUST 2006-OPT4 N/A 40430KAH4 7607587.650000 PA USD 6986703.510000 0.60721 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.25803 N N N N N N GNMA PASS THRU POOLS N/A 36184CA47 116823.930000 PA USD 109832.610000 0.0095455 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 109123.580000 0.0094839 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3128620.720000 USD 11900491063.700000 COP 2026-04-08 109123.580000 N N N N/A N/A 000000000 1.000000 NC -3553.860000 -0.0003089 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 280000.000000 USD 4698064000.000000 IDR 2026-04-02 -3553.860000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 14775.080000 PA USD 13000.980000 0.0011299 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.11092 N N N N N N N/A N/A 000000000 1.000000 NC -20.710000 -0.0000018 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2036-03-23 0.000000 PLN 0.000000 PLN 210000.000000 PLN -20.710000 N N N N/A N/A 000000000 1.000000 NC -974.100000 -0.0000847 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 377080100.000000 COP 100000.000000 USD 2026-06-17 -974.100000 N N N FNMA PASS THRU POOLS N/A 3138WG6G4 5749.960000 PA USD 5382.150000 0.0004678 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 6934.760000 0.0006027 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 340000.000000 USD 1797070.000000 BRL 2026-04-02 6934.760000 N N N N/A N/A 000000000 1.000000 NC 3047.100000 0.0002648 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7939497.000000 THB 243907.970000 USD 2026-04-09 3047.100000 N N N N/A N/A 000000000 1.000000 NC 1265.950000 0.00011 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 378518.160000 USD 488288.430000 SGD 2026-04-02 1265.950000 N N N N/A N/A 000000000 1.000000 NC 2843.800000 0.0002472 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1780027.360000 ILS 570252.000000 USD 2026-06-17 2843.800000 N N N N/A N/A 000000000 1.000000 NC 1809.360000 0.0001573 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 499000.000000 SGD 389924.780000 USD 2026-04-02 1809.360000 N N N N/A N/A 000000000 6900000.000000 NC USD 361586.910000 0.0314253 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -245613.090000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368TBH0 200000.000000 PA USD 197158.490000 0.0171349 Long DBT CORP FR N 2 2028-01-19 Floating 2.797 N N N N N N GNMA PASS THRU POOLS N/A 36296JEM3 19689.220000 PA USD 20027.590000 0.0017406 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 20581.340000 PA USD 21039.830000 0.0018286 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.465 N N N N N N FNMA PASS THRU POOLS N/A 31407HAS5 13300.640000 PA USD 13727.510000 0.001193 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N N/A N/A 000000000 600000.000000 NC USD 2064.840000 0.0001795 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.28800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2026-08-11 XXXX -5435.160000 N N N N/A N/A 000000000 1.000000 NC -58.800000 -0.0000051 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 165761.970000 USD 10089334.370000 PHP 2026-06-17 -58.800000 N N N BAYOU RE LTD N/A 07304LAA9 250000.000000 PA USD 253875.000000 0.0220641 Long DBT CORP BM N 2 2030-05-26 Floating 15.94 N N N N N N N/A N/A 000000000 1.000000 NC -49.770000 -0.0000043 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 74000.000000 PLN 19884.120000 USD 2026-04-15 -49.770000 N N N N/A N/A 000000000 1.000000 NC 552.560000 0.000048 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 600000.000000 NOK 62482.760000 USD 2026-06-17 552.560000 N N N N/A N/A 000000000 15200000.000000 NC USD 43791.200000 0.0038059 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-03 XXXX -154146.580000 N N N N/A N/A 000000000 1.000000 NC 161.500000 0.000014 N/A DFE PH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 615802.410000 PHP 10275.190000 USD 2026-06-17 161.500000 N N N FHLMC PASS THRU POOLS N/A 3128P7E66 3751.370000 PA USD 3774.840000 0.0003281 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 5.5 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAL7 200000.000000 PA USD 212770.240000 0.0184917 Long DBT CORP US N 2 2033-11-21 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 1999363.310000 PA USD 1863308.140000 0.161939 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRH65 9617.290000 PA USD 8996.080000 0.0007818 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 293665.800000 0.0255223 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.45 Y Single Leg Swap 2030-12-20 412935.930000 USD 0.000000 USD 5405400.000000 USD -119270.130000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 155129.970000 PA USD 156135.240000 0.0135696 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N N/A N/A 000000000 1.000000 NC 747.060000 0.0000649 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 45225.000000 USD 241288.940000 BRL 2026-06-02 747.060000 N N N FHLMC PASS THRU POOLS N/A 3128KDFP5 54147.800000 PA USD 56146.950000 0.0048797 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A9CB N/A 76112HAJ6 907684.020000 PA USD 254628.150000 0.0221296 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 10761.150000 0.0009352 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 611000.000000 CAD 450001.620000 USD 2026-04-02 10761.150000 N N N CC MORTGAGE FUNDING CORP 2005-AA N/A 16678RDC8 84393.230000 PA USD 81535.570000 0.0070862 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.04303 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJFP0 1186.650000 PA USD 1226.720000 0.0001066 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -4298.770000 -0.0003736 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 9956388.450000 TRY 215700.000000 USD 2026-04-17 -4298.770000 N N N N/A N/A 000000000 1.000000 NC 518.430000 0.0000451 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 10038544.900000 PHP 165761.970000 USD 2026-04-06 518.430000 N N N N/A N/A 000000000 1.000000 NC 1591.920000 0.0001384 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 448647000.000000 KRW 300000.000000 USD 2026-04-23 1591.920000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 21600000.000000 PA 6801216.130000 0.59109 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 3898.690000 PA USD 3486.740000 0.000303 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.22417 N N N N N N N/A N/A 000000000 1.000000 NC USD -5463.000000 -0.0004748 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -2370.000000 USD 800000.000000 USD -3093.000000 N N N FNMA PASS THRU POOLS N/A 3140HHHT5 2651.950000 PA USD 2472.430000 0.0002149 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N COMMONWEALTH RE LTD N/A 203235AB2 250000.000000 PA USD 251650.000000 0.0218708 Long DBT CORP BM N 2 2030-07-08 Floating 7.407 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 1800000.000000 PA USD 1802306.930000 0.156637 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 9776.050000 PA USD 4480.210000 0.0003894 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.91303 N N N N N N N/A N/A 000000000 1.000000 NC -3983.240000 -0.0003462 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110387.120000 USD 395000.000000 PLN 2026-04-15 -3983.240000 N N N FHLMC PASS THRU POOLS N/A 3128M5TY6 504.800000 PA USD 519.700000 0.0000452 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BNK0 41319.030000 PA USD 40915.580000 0.0035559 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -5986.650000 -0.0005203 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13216370.400000 TRY 287600.000000 USD 2026-04-13 -5986.650000 N N N N/A N/A 000000000 1.000000 NC -2019.410000 -0.0001755 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 646778.930000 BRL 122845.000000 USD 2026-04-02 -2019.410000 N N N N/A N/A 000000000 1.000000 NC -959697.710000 -0.0834068 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 41000000.000000 BRL 6955589.410000 USD 2026-04-02 -959697.710000 N N N N/A N/A 000000000 1.000000 NC 9098.010000 0.0007907 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4970000.000000 SEK 534098.930000 USD 2026-04-02 9098.010000 N N N N/A N/A 000000000 1.000000 NC 10653.800000 0.0009259 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 36903851.730000 INR 400384.630000 USD 2026-04-07 10653.800000 N N N FNMA PASS THRU POOLS N/A 31410DXD7 8437.050000 PA USD 8643.850000 0.0007512 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 6.206 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 873923AC0 2000000.000000 PA USD 1987509.260000 0.172733 Long DBT CORP US N 2 2029-03-24 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36291UTY1 27029.670000 PA USD 28102.400000 0.0024424 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N N/A N/A 000000000 -6700000.000000 NC USD -27782.220000 -0.0024145 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% APR 30YR N/A 102.330000 USD 2026-04-06 XXXX -15743.160000 N N N N/A N/A 000000000 1.000000 NC 57.280000 0.000005 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50000.000000 USD 1602724.000000 TWD 2026-04-17 57.280000 N N N N/A N/A 000000000 1.000000 NC USD -71345.470000 -0.0062006 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 41934.120000 USD 0.000000 USD 14500000.000000 USD -113279.590000 N N N GNMA PASS THRU POOLS N/A 36296DK23 2244.820000 PA USD 2286.550000 0.0001987 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 4176.610000 0.000363 N/A DFE BR N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 606000.000000 USD 3160623.300000 BRL 2026-04-02 4176.610000 N N N GNMA PASS THRU POOLS N/A 36183X2J8 20199.310000 PA USD 18978.320000 0.0016494 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HMGY4 77935.100000 PA USD 72295.510000 0.0062832 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N ICG EURO CLO 2023-2 DAC 23-2A N/A ACI38GWX8 4000000.000000 PA 4622445.690000 0.401734 Long ABS-CBDO CORP IE N 2 2038-01-26 Floating 3.32 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 1435.140000 PA USD 1425.500000 0.0001239 Long ABS-MBS CORP US N 2 2035-02-19 Floating 4.4912 N N N N N N FNMA PASS THRU POOLS N/A 31371N7L3 113.470000 PA USD 114.370000 0.0000099 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.5 N N N N N N PARK PLACE SECURITIES INC 2005-WCW2 N/A 70069FLK1 3200000.000000 PA USD 2870861.760000 0.249505 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.76803 N N N N N N N/A N/A 000000000 1.000000 NC -2515.610000 -0.0002186 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 84944.940000 USD 306000.000000 PLN 2026-04-15 -2515.610000 N N N N/A N/A 000000000 1.000000 NC USD -12831.270000 -0.0011152 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -4406.500000 USD 1500000.000000 USD -8424.770000 N N N N/A N/A 000000000 1.000000 NC 13742.980000 0.0011944 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 546118.790000 USD 2900000.000000 BRL 2026-04-02 13742.980000 N N N FNMA PASS THRU POOLS N/A 31419J5L8 24797.370000 PA USD 24375.570000 0.0021185 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 1195.710000 0.0001039 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 658000.000000 ILS 210909.490000 USD 2026-06-10 1195.710000 N N N N/A N/A 000000000 1.000000 NC -10104.790000 -0.0008782 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1107125.590000 USD 1590000.000000 AUD 2026-04-02 -10104.790000 N N N N/A N/A 000000000 1.000000 NC -1592.180000 -0.0001384 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 284526.360000 USD 5099253.000000 MXN 2026-06-10 -1592.180000 N N N N/A N/A 000000000 1.000000 NC -469.840000 -0.0000408 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-31 0.000000 CZK 0.000000 CZK 1600000.000000 CZK -469.840000 N N N N/A N/A 000000000 -9700000.000000 NC USD -9528.310000 -0.0008281 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.76750 04/06/26-7Y LCH 2033-04-06 0.000000 USD 0.000000 USD N/A USD N/A 3.770000 USD 2026-04-02 XXXX 35091.690000 N N N N/A N/A 000000000 1.000000 NC 27239.240000 0.0023673 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4999958.090000 ILS 1618332.000000 USD 2026-04-13 27239.240000 N N N N/A N/A 000000000 -117.000000 NC USD 1979757.000000 0.17206 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A S&P 500 TOTAL RETURN INDEX 2026-06-18 -36925551.000000 USD 1979757.000000 N N N N/A N/A 000000000 1.000000 NC 8281.000000 0.0007197 N/A DFE IL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1918166.630000 ILS 619723.000000 USD 2026-06-17 8281.000000 N N N N/A N/A 000000000 1.000000 NC USD 2080.010000 0.0001808 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -2245.000000 USD 500000.000000 USD 4325.010000 N N N GNMA PASS THRU POOLS N/A 36184NEP2 186613.140000 PA USD 171754.570000 0.0149271 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 600000.000000 NC USD 1597.920000 0.0001389 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.220000 USD 2026-08-04 XXXX -6202.080000 N N N N/A N/A 000000000 1.000000 NC -10521.100000 -0.0009144 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 366688.000000 USD 6475013.370000 MXN 2026-09-17 -10521.100000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 83000.000000 PA USD 80213.760000 0.0069713 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N FNMA PASS THRU POOLS N/A 3140QVAZ7 2296924.790000 PA USD 2422578.500000 0.210545 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3129285R1 22268.720000 PA USD 22875.560000 0.0019881 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FANNIE MAE 2006-16 N/A 31394V6K1 26677.950000 PA USD 1893.120000 0.0001645 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 2.92362 N N N N N N N/A N/A 000000000 1.000000 NC 572.220000 0.0000497 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 178038.000000 USD 660699018.000000 COP 2026-04-30 572.220000 N N N N/A N/A 000000000 1500000.000000 NC USD 599.250000 0.0000521 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -9964.130000 N N N N/A N/A 000000000 1.000000 NC 5871.430000 0.0005103 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2688178.000000 USD 253175292.220000 INR 2026-04-24 5871.430000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 887392.150000 PA USD 834772.720000 0.0725496 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.07303 N N N N N N N/A N/A 000000000 1.000000 NC 13087.220000 0.0011374 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2498000.000000 EUR 2900401.070000 USD 2026-04-02 13087.220000 N N N N/A N/A 000000000 1.000000 NC 11445.190000 0.0009947 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 26707170.460000 INR 293491.840000 USD 2026-04-07 11445.190000 N N N N/A N/A 000000000 253000000.000000 NC USD 474671.010000 0.0412534 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-05-20 XXXX 3712.510000 N N N N/A N/A 000000000 1.000000 NC 1357.420000 0.000118 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 132423.450000 USD 201175925.000000 KRW 2026-04-15 1357.420000 N N N FANNIE MAE REMICS 2025-70 N/A 3136BXKF0 6518208.390000 PA USD 6579121.050000 0.571788 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 5.0619 N N N N N N N/A N/A 000000000 -84800000.000000 NC USD -33510.420000 -0.0029124 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2026-06-17 XXXX 87753.580000 N N N N/A N/A 000000000 1.000000 NC -114.830000 -0.00001 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 135460800.000000 KRW 90000.000000 USD 2026-04-30 -114.830000 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAK9 200000.000000 PA USD 210379.260000 0.0182839 Long DBT CORP US N 2 2030-11-21 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 12614.820000 0.0010963 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 43705568.490000 INR 474176.600000 USD 2026-04-07 12614.820000 N N N N/A N/A 000000000 1.000000 NC -286.480000 -0.0000249 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5066590.660000 TRY 108973.000000 USD 2026-05-06 -286.480000 N N N N/A N/A 000000000 1.000000 NC -54481.940000 -0.004735 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2031-03-18 11831.100000 EUR 0.000000 EUR 2730000.000000 EUR -66313.040000 N N N FHLMC PASS THRU POOLS N/A 31427NWA3 763125.330000 PA USD 780295.260000 0.067815 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 5.5 N N N N N N BINOM SECURITIZATION TRUST 2022-RPL1 N/A 05552CAA2 767410.400000 PA USD 715382.740000 0.0621735 Long ABS-MBS CORP US N 2 2061-02-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC 1460.760000 0.000127 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6507620.000000 THB 200000.000000 USD 2026-06-17 1460.760000 N N N N/A N/A 000000000 1.000000 NC 300181.160000 0.0260886 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2055-09-17 228709.020000 GBP 0.000000 GBP 4840000.000000 GBP 71472.140000 N N N N/A N/A 000000000 1.000000 NC 441.270000 0.0000384 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1004000.000000 ILS 320430.080000 USD 2026-06-10 441.270000 N N N N/A N/A 000000000 1.000000 NC -1426.060000 -0.0001239 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 8503533.640000 ZAR 500435.000000 USD 2026-04-20 -1426.060000 N N N N/A N/A 000000000 1.000000 NC 7871.400000 0.0006841 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1044255.000000 USD 3307521.070000 ILS 2026-04-06 7871.400000 N N N N/A N/A 000000000 1.000000 NC 42.160000 0.0000037 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 6620528.760000 PHP 108775.060000 USD 2026-06-17 42.160000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-1 N/A 41161PLD3 666887.350000 PA USD 649866.050000 0.0564795 Long ABS-MBS CORP US N 2 2035-03-19 Floating 4.3312 N N N N N N UMBS PASS THRU POOLS N/A 01F032666 -34510000.000000 PA USD -31568678.880000 -2.74361 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 4707.090000 0.0004091 N/A DFE JP N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 889755.580000 USD 141532975.000000 JPY 2026-05-07 4707.090000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDG3 2400000.000000 PA USD 2395515.840000 0.208193 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 -26740.350000 -0.002324 N/A DFE NO N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 3716607.000000 USD 35728609.800000 NOK 2026-04-07 -26740.350000 N N N N/A N/A 000000000 1.000000 NC -4389.370000 -0.0003815 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 507642.000000 USD 16579638.480000 THB 2026-04-16 -4389.370000 N N N N/A N/A 000000000 1.000000 NC 5465.390000 0.000475 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 300541775.000000 KRW 205324.000000 USD 2026-04-15 5465.390000 N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 34052.030000 PA USD 33431.550000 0.0029055 Long ABS-MBS CORP US N 2 2030-12-15 Floating 4.22699 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 50550.680000 PA USD 34120.440000 0.0029654 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.87303 N N N N N N N/A N/A 000000000 1.000000 NC 6110.240000 0.000531 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 220257.120000 USD 4059559.000000 MXN 2026-04-13 6110.240000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHE8 191141.950000 PA USD 177610.740000 0.015436 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.43303 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 39256.900000 PA USD 23291.720000 0.0020243 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.27303 N N N N N N N/A N/A 000000000 1.000000 NC 80.760000 0.000007 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 720000.000000 USD 12224955024.000000 IDR 2026-04-27 80.760000 N N N FNMA PASS THRU POOLS N/A 31402LPB2 18079.680000 PA USD 18265.700000 0.0015875 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 5.057 N N N N N N GNMA PASS THRU POOLS N/A 36296LSU5 24480.500000 PA USD 25004.880000 0.0021732 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 20460.470000 0.0017782 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 0.000000 USD -2200.000000 USD 500000.000000 USD 22660.470000 N N N N/A N/A 000000000 29800000.000000 NC USD 71067.040000 0.0061764 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 09/09/26-10Y LCH 2036-09-09 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-09-04 XXXX 47972.040000 N N N FNMA PASS THRU POOLS N/A 3138ALKA4 635.190000 PA USD 633.380000 0.000055 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36296QZG7 32581.670000 PA USD 33279.440000 0.0028923 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2W94G7 660000000.000000 PA 3226786.810000 0.280438 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC -2149.430000 -0.0001868 N/A DFE MY N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 79118.560000 USD 311648.000000 MYR 2026-04-02 -2149.430000 N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB76 500000.000000 PA USD 457336.450000 0.0397468 Long DBT MUN US N 2 2046-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 7842.560000 PA USD 7984.160000 0.0006939 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 6.305 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 119021.380000 PA USD 106512.400000 0.0092569 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.13303 N N N N N N N/A N/A 000000000 1.000000 NC -5251.750000 -0.0004564 N/A DFE TH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 615710.000000 USD 20109950.590000 THB 2026-04-17 -5251.750000 N N N N/A N/A 000000000 1200000.000000 NC USD 1768.800000 0.0001537 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-07 XXXX -7951.200000 N N N FHLMC PASS THRU POOLS N/A 312935L98 8141.150000 PA USD 8194.120000 0.0007121 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N ACE SECURITIES CORP 2006-NC1 N/A 004421UU5 2820165.050000 PA USD 2710506.030000 0.235568 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.40803 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 23012.780000 PA USD 22931.670000 0.001993 Long ABS-MBS CORP US N 2 2033-01-25 Floating 5.79229 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 -34430000.000000 PA USD -28938684.240000 -2.51504 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2.5 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 356609.260000 PA USD 313048.940000 0.0272069 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.5335 N N N N N N FREDDIE MAC REMICS 5482 N/A 3137HHLU3 1314243.530000 PA USD 1326082.240000 0.115249 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.1119 N N N N N N CARRINGTON MTGE LOAN TRUST 2007-FRE1 N/A 144527AC2 269462.860000 PA USD 260293.980000 0.022622 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.05303 N N N N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI11JW62 1600000.000000 PA 1597292.540000 0.13882 Long DBT NUSS CI N 2 2048-03-22 Fixed 6.625 N N N N N N N/A N/A 000000000 1.000000 NC -6627.510000 -0.000576 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5694179.000000 PEN 1623459.450000 USD 2026-06-17 -6627.510000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 400000.000000 PA USD 394941.070000 0.0343241 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2 N/A 04541GWF5 9374259.580000 PA USD 8456203.650000 0.734924 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.37303 N N N N N N N/A N/A 000000000 1.000000 NC -2893.000000 -0.0002514 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6747174.700000 TRY 143863.000000 USD 2026-04-29 -2893.000000 N N N N/A N/A 000000000 1.000000 NC -35.360000 -0.0000031 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11676.750000 USD 16170.900000 CAD 2026-05-04 -35.360000 N N N N/A N/A 000000000 1.000000 NC -12181.150000 -0.0010587 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1044827.010000 USD 1797000.000000 NZD 2026-04-02 -12181.150000 N N N N/A N/A 000000000 1.000000 NC -1018.520000 -0.0000885 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 140190.000000 USD 2367010017.000000 IDR 2026-06-10 -1018.520000 N N N FANNIE MAE 2007-14 N/A 31396PZU8 2765.030000 PA USD 2734.910000 0.0002377 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.12638 N N N N N N FREDDIE MAC REMICS 5549 N/A 3137HLS52 658904.090000 PA USD 665316.540000 0.0578223 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 4.8619 N N N N N N FHLMC PASS THRU POOLS N/A 31427PW67 5037815.840000 PA USD 5153200.460000 0.447862 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 5.5 N N N N N N LENDBUZZ SECURITIZATION TRUST 2023-3A N/A 525931AB7 2717585.170000 PA USD 2762437.280000 0.240082 Long ABS-O CORP US N 2 2028-12-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC 1127.650000 0.000098 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 90360.000000 USD 480182.080000 BRL 2026-06-02 1127.650000 N N N N/A N/A 000000000 1600000.000000 NC USD 2277.600000 0.0001979 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.98900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2026-08-06 XXXX -10922.400000 N N N N/A N/A 000000000 1.000000 NC -9198.800000 -0.0007995 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3895060.550000 BRL 742765.170000 USD 2026-04-02 -9198.800000 N N N N/A N/A 000000000 1.000000 NC USD -2413086.200000 -0.20972 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2026-12-09 0.000000 USD 0.000000 USD 376572328.000000 USD -2413086.200000 N N N N/A N/A 000000000 2085648.000000 NC USD 6217.320000 0.0005403 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 -14936.120000 N N N N/A N/A 000000000 1.000000 NC -472178.670000 -0.0410368 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2036-09-16 0.000000 JPY -221530.680000 JPY 3233700000.000000 JPY -250647.990000 N N N FNMA PASS THRU POOLS N/A 3140QT3X5 6643708.610000 PA USD 6978647.990000 0.60651 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 17545.400000 PA USD 18064.030000 0.0015699 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.376 N N N N N N N/A N/A 000000000 1.000000 NC -7093.410000 -0.0006165 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 516457.690000 USD 471732450.000000 CLP 2026-04-09 -7093.410000 N N N N/A N/A 000000000 1.000000 NC -39449.050000 -0.0034285 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3447422000.000000 COP 898000.000000 USD 2026-04-10 -39449.050000 N N N N/A N/A 000000000 -9700000.000000 NC USD -76141.120000 -0.0066174 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-04-15 XXXX -1774.450000 N N N N/A N/A 000000000 1.000000 NC -6814.550000 -0.0005922 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 298141097.510000 INR 3141766.750000 USD 2026-04-07 -6814.550000 N N N FHLMC PASS THRU POOLS N/A 3128M5R93 15818.180000 PA USD 16301.860000 0.0014168 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -9575.870000 -0.0008322 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 357880.200000 USD 1293000.000000 PLN 2026-04-15 -9575.870000 N N N N/A N/A 000000000 1.000000 NC -7888.120000 -0.0006856 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3303866.180000 ILS 1044255.000000 USD 2026-05-05 -7888.120000 N N N FHLMC PASS THRU POOLS N/A 3132LAY63 229310.290000 PA USD 219987.320000 0.019119 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAD8 2439214.500000 PA USD 986554.940000 0.0857409 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.04303 N N N N N N N/A N/A 000000000 1.000000 NC 377.970000 0.0000328 N/A DFE TR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 39916.870000 USD 1823606.200000 TRY 2026-04-17 377.970000 N N N N/A N/A 000000000 1.000000 NC 12235.510000 0.0010634 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 30763517.400000 THB 945028.640000 USD 2026-04-02 12235.510000 N N N N/A N/A 000000000 1.000000 NC -75162.510000 -0.0065323 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2360111.000000 USD 216363175.930000 INR 2026-04-07 -75162.510000 N N N N/A N/A 000000000 1.000000 NC USD 8977.830000 0.0007803 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-21 0.000000 USD -1120.000000 USD 400000.000000 USD 10097.830000 N N N N/A N/A 000000000 1.000000 NC 479.200000 0.0000416 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 45318.000000 USD 240371.200000 BRL 2026-06-02 479.200000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 92064.410000 PA USD 86042.190000 0.0074779 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.15303 N N N N N N N/A N/A 000000000 1.000000 NC 189804.840000 0.0164958 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 16966250.050000 PEN 5038801.720000 USD 2026-07-20 189804.840000 N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 548079.320000 PA USD 536556.010000 0.0466318 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.11303 N N N N N N GNMA PASS THRU POOLS N/A 36176W5N7 24190.880000 PA USD 22835.480000 0.0019846 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -3003601.860000 -0.261041 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-17 0.000000 USD -2312073.530000 USD 26970000.000000 USD -691528.330000 N N N N/A N/A 000000000 -1300000.000000 NC USD -6790.940000 -0.0005902 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 -2598.440000 N N N FANNIE MAE 2009-47 N/A 31396QFA2 3202.060000 PA USD 3231.390000 0.0002808 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 4.67638 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 7102784.570000 PA USD 6918727.270000 0.601302 Long ABS-MBS CORP US N 2 2046-11-25 Floating 4.19303 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 848651.050000 PA USD 853706.290000 0.0741951 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N FNMA PASS THRU POOLS N/A 31407NGX5 24882.310000 PA USD 25382.610000 0.002206 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.455 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 321775.370000 PA USD 119745.810000 0.010407 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.09303 N N N N N N N/A N/A 000000000 1.000000 NC -4986.100000 -0.0004333 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 540261.000000 USD 9103884085.000000 IDR 2026-06-10 -4986.100000 N N N N/A N/A 000000000 1.000000 NC -308439.120000 -0.0268063 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 68256408.300000 BRL 12868855.260000 USD 2026-04-02 -308439.120000 N N N N/A N/A 000000000 1.000000 NC -168.340000 -0.0000146 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 101275.000000 USD 152022153.000000 KRW 2026-04-20 -168.340000 N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 318738.350000 PA USD 203848.090000 0.0177163 Long ABS-MBS CORP US N 2 2036-01-19 Floating 4.2912 N N N N N N GNMA PASS THRU POOLS N/A 36183XRC6 17077.060000 PA USD 16055.060000 0.0013953 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 29352.180000 0.002551 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15397749.070000 THB 497986.710000 USD 2026-05-20 29352.180000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1065821.560000 PA USD 1042461.840000 0.0905997 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.04303 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20I N/A 83162CSA2 78787.990000 PA USD 79734.010000 0.0069296 Long ABS-O CORP US N 2 2028-09-01 Fixed 5.6 N N N N N N N/A N/A 000000000 1.000000 NC 97987.970000 0.0085161 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 5224405.000000 AUD 3702567.170000 USD 2026-04-02 97987.970000 N N N N/A N/A 000000000 1300000.000000 NC USD 2257.580000 0.0001962 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.04750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2026-08-10 XXXX -8142.420000 N N N N/A N/A 000000000 1.000000 NC 26840.700000 0.0023327 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 118356857.100000 INR 1276773.000000 USD 2026-04-07 26840.700000 N N N N/A N/A 000000000 1.000000 NC 3356.760000 0.0002917 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 330000.000000 USD 1726738.000000 BRL 2026-04-02 3356.760000 N N N FREDDIE MAC 3898 N/A 3137ADX44 120162.170000 PA USD 119882.990000 0.010419 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 4.35671 N N N N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 1214207.580000 PA USD 1148972.090000 0.0998565 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.57812 N N N N N N FNMA PASS THRU POOLS N/A 31418VWP3 2464.550000 PA USD 2470.120000 0.0002147 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 236564.330000 PA USD 237844.760000 0.0206709 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 18.890000 PA USD 19.130000 0.0000017 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.975 N N N N N N GNMA PASS THRU POOLS N/A 36178UBY8 9634.640000 PA USD 9058.230000 0.0007872 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -83568.880000 -0.0072629 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 648.350000 BRL 0.000000 BRL 46600000.000000 BRL -84217.230000 N N N FNMA PASS THRU POOLS N/A 3138EKW35 39712.690000 PA USD 41679.660000 0.0036224 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMY6 44271863.320000 PA USD 44523913.660000 3.86955 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371K3A7 451.440000 PA USD 460.960000 0.0000401 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -544.820000 -0.0000473 N/A DFE KZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5654000.000000 KZT 11000.000000 USD 2026-06-10 -544.820000 N N N FNMA PASS THRU POOLS N/A 31406L2T4 1372.780000 PA USD 1405.380000 0.0001221 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 5.675 N N N N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 749442.150000 PA 867144.110000 0.075363 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 2.964 N N N N N N N/A N/A 000000000 1.000000 NC 4676.150000 0.0004064 N/A DFE HU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 257459.360000 USD 87252000.000000 HUF 2026-04-15 4676.150000 N N N JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN 213800LCDPGJ1BI7KX98 48129VAF3 205000000.000000 PA 440757.310000 0.038306 Long DBT CORP KZ N 2 2028-10-16 Fixed 18.4 N N N N N N N/A N/A 000000000 -11600000.000000 NC USD -3724.760000 -0.0003237 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.04900 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2026-04-06 XXXX 21463.810000 N N N N/A N/A 000000000 1.000000 NC 1998.380000 0.0001737 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 166000.000000 CHF 209602.180000 USD 2026-04-02 1998.380000 N N N N/A N/A 000000000 1.000000 NC 700420.790000 0.0608731 N/A DCR N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 786052.410000 EUR 0.000000 EUR 3500000.000000 EUR -85631.620000 N N N N/A N/A 000000000 1.000000 NC 3448.130000 0.0002997 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-09 0.000000 EUR -1429.170000 EUR 700000.000000 EUR 4877.300000 N N N N/A N/A 000000000 1.000000 NC USD 2054.250000 0.0001785 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-03 0.000000 USD -1830.000000 USD 400000.000000 USD 3884.250000 N N N FANNIE MAE 2006-5 N/A 31394VL73 2437.010000 PA USD 2483.040000 0.0002158 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 6.12455 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 60131.630000 PA USD 59782.040000 0.0051956 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.23303 N N N N N N N/A N/A 000000000 1.000000 NC 4.980000 0.0000004 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 15991.000000 ZAR 948.740000 USD 2026-04-20 4.980000 N N N N/A N/A 000000000 1.000000 NC 4161.610000 0.0003617 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 200000.000000 AUD 141998.440000 USD 2026-06-17 4161.610000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 227447.360000 PA USD 104549.860000 0.0090864 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.92303 N N N N N N FNMA PASS THRU POOLS N/A 31416BK72 3168.840000 PA USD 3271.910000 0.0002844 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -7600000.000000 NC USD -23904.280000 -0.0020775 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.270000 USD 2026-04-06 XXXX -3716.780000 N N N N/A N/A 000000000 1.000000 NC 37941.810000 0.0032975 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 166454092.350000 INR 1795815.000000 USD 2026-04-07 37941.810000 N N N N/A N/A 000000000 1.000000 NC -138587.660000 -0.0120446 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 -434.030000 BRL 29700000.000000 BRL -138153.630000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EV3 300000.000000 PA USD 294150.000000 0.0255644 Long DBT NUSS CO N 2 2033-01-21 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407JY89 1306.760000 PA USD 1355.570000 0.0001178 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 55248.530000 PA USD 39536.700000 0.0034361 Long ABS-MBS CORP US N 2 2036-01-26 Floating 4.78769 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WQVJ3 1594500000.000000 PA 422621.820000 0.0367298 Long DBT NUSS CO N 2 2040-11-28 Fixed 12.75 N N N N N N N/A N/A 000000000 4900000.000000 NC USD 7457.800000 0.0006482 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 989.800000 N N N GNMA PASS THRU POOLS N/A 36296A6T6 117980.350000 PA USD 120506.390000 0.0104731 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 798.540000 0.0000694 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 158628.690000 MYR 40000.000000 USD 2026-04-09 798.540000 N N N N/A N/A 000000000 -21100000.000000 NC USD -69634.220000 -0.0060519 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08400 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-05-06 XXXX -48006.720000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 18.470000 PA USD 18.810000 0.0000016 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.12518 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5DD9 49477.260000 PA USD 50419.500000 0.0043819 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 2831.360000 0.0002461 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4558612299.000000 IDR 270861.000000 USD 2026-06-10 2831.360000 N N N N/A N/A 000000000 1.000000 NC 2518.170000 0.0002189 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 601000.000000 SGD 469967.810000 USD 2026-04-02 2518.170000 N N N FNMA PASS THRU POOLS N/A 31408JTK7 2828.620000 PA USD 2858.810000 0.0002485 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 3270.380000 0.0002842 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-04-03 0.000000 EUR -1264.410000 EUR 400000.000000 EUR 4534.790000 N N N N/A N/A 000000000 1.000000 NC -1476.550000 -0.0001283 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 681028.790000 BRL 130000.000000 USD 2026-04-02 -1476.550000 N N N GNMA PASS THRU POOLS N/A 21H050656 32540000.000000 PA USD 32164696.660000 2.79541 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 32079.890000 PA USD 28535.060000 0.00248 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.5713 N N N N N N FHLMC PASS THRU POOLS N/A 3128M84A9 22634.720000 PA USD 23318.720000 0.0020266 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1590.170000 0.0001382 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 29088172.030000 PHP 481393.000000 USD 2026-04-17 1590.170000 N N N N/A N/A 000000000 1.000000 NC 2278.870000 0.0001981 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10239272.710000 THB 313175.490000 USD 2026-04-20 2278.870000 N N N N/A N/A 000000000 5300000.000000 PA USD 5300000.000000 0.46062 Long RA US N 2 Repurchase N 3.720000 2026-04-01 5423200.000000 USD 5408453.610000 USD UST N N N N/A N/A 000000000 1.000000 NC 24.940000 0.0000022 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2888.000000 USD 10755946.830000 COP 2026-04-24 24.940000 N N N N/A N/A 000000000 -5200000.000000 NC USD -4612.400000 -0.0004009 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 100.280000 USD 2026-06-04 XXXX 6762.600000 N N N N/A N/A 000000000 1.000000 NC -3030.450000 -0.0002634 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6696384.640000 TRY 143576.000000 USD 2026-04-24 -3030.450000 N N N N/A N/A 000000000 1.000000 NC -30714.220000 -0.0026694 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 7763594.000000 AUD 5323768.130000 USD 2026-05-04 -30714.220000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNN7 18700000.000000 PA USD 18671146.460000 1.6227 Long DBT UST US N 2 2030-07-31 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -44568.710000 -0.0038734 N/A DFE NZ N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 9708866.010000 USD 16817713.510000 NZD 2026-04-02 -44568.710000 N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAD6 396337.320000 PA USD 359131.390000 0.0312119 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.03303 N N N N N N FNMA PASS THRU POOLS N/A 3140XNQT4 1644795.640000 PA USD 1735707.950000 0.150849 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QVQ98 2693379.630000 PA USD 2759729.340000 0.239846 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 101410.650000 PA USD 100831.120000 0.0087632 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -1632.650000 -0.0001419 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 USD 1674099.600000 ZAR 2026-06-17 -1632.650000 N N N N/A N/A 000000000 1.000000 NC -122277.500000 -0.0106271 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 18941227.610000 USD 24195524.150000 SGD 2026-04-02 -122277.500000 N N N ISHARES CORE S&P 500 ETF 5493007M4YMN8XL48C14 464287200 65142.000000 NS USD 42551405.820000 3.69812 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 372223.640000 0.0323497 N/A DCR N/A N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 432478.220000 EUR 0.000000 EUR 1860000.000000 EUR -60254.580000 N N N N/A N/A 000000000 1.000000 NC -1842.320000 -0.0001601 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 73967.240000 USD 100000.000000 CAD 2026-06-17 -1842.320000 N N N N/A N/A 000000000 1.000000 NC 492.240000 0.0000428 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 55877.000000 USD 208141825.000000 COP 2026-04-24 492.240000 N N N N/A N/A 000000000 1.000000 NC -12392.610000 -0.001077 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 445233.630000 USD 40985981.810000 INR 2026-04-07 -12392.610000 N N N N/A N/A 000000000 1.000000 NC 3972.160000 0.0003452 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 32459350.000000 INR 350000.000000 USD 2026-04-16 3972.160000 N N N FNMA PASS THRU POOLS N/A 31403SD78 63191.500000 PA USD 63865.840000 0.0055505 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -22763.600000 -0.0019784 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 613058.750000 USD 472000.000000 CHF 2026-04-02 -22763.600000 N N N N/A N/A 000000000 1.000000 NC 1536922.060000 0.133573 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 1756333.160000 EUR 0.000000 EUR 7680000.000000 EUR -219411.100000 N N N N/A N/A 000000000 5420000.000000 NC USD 387345.720000 0.033664 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 18.000000 USD 2026-08-19 XXXX 149510.700000 N N N GNMA PASS THRU POOLS N/A 36291US71 8560.150000 PA USD 9003.970000 0.0007825 Long ABS-MBS USGSE US N 2 2037-05-15 Fixed 6 N N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAF2 706514.010000 PA USD 564372.510000 0.0490493 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -50996.610000 -0.0044321 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1877230.000000 USD 6779559.830000 PLN 2026-04-22 -50996.610000 N N N FHLMC PASS THRU POOLS N/A 3128M6MZ8 52094.770000 PA USD 54716.610000 0.0047554 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1606.230000 0.0001396 N/A DFE PH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 12079800.000000 PHP 200000.000000 USD 2026-06-17 1606.230000 N N N MDPK-2021-39A N/A 55821LAJ3 3000000.000000 PA USD 3004108.020000 0.261085 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 -19754.730000 -0.0017169 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1644034.000000 USD 27625525319.000000 IDR 2026-06-10 -19754.730000 N N N N/A N/A 000000000 1.000000 NC -791.530000 -0.0000688 N/A DFE CN N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3310000.000000 CNY 479778.770000 USD 2026-04-02 -791.530000 N N N N/A N/A 000000000 1.000000 NC 96.340000 0.0000084 N/A DFE GB N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 1269236.500000 USD 959000.000000 GBP 2026-04-02 96.340000 N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 419982.140000 PA 486040.230000 0.0422415 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 2.666 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 29655.080000 PA USD 27821.680000 0.002418 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N N/A N/A 000000000 8600000.000000 NC USD 441577.320000 0.0383772 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -315652.680000 N N N N/A N/A 000000000 16200000.000000 NC USD 50548.860000 0.0043932 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.88900 05/04/26-7Y LCH 2033-05-04 0.000000 USD 0.000000 USD N/A USD N/A 3.890000 USD 2026-04-30 XXXX -14940.500000 N N N N/A N/A 000000000 1.000000 NC -2094872.040000 -0.182064 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2030-09-17 0.000000 GBP -390537.520000 GBP 80400000.000000 GBP -1704334.520000 N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 25918.060000 PA USD 15012.530000 0.0013047 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.5 N N N N N N N/A N/A 000000000 8600000.000000 NC USD 509426.160000 0.0442739 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -247803.840000 N N N N/A N/A 000000000 1.000000 NC -224.500000 -0.0000195 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 116785.000000 USD 431170220.000000 COP 2026-04-30 -224.500000 N N N N/A N/A 000000000 -15.000000 NC USD 17047.800000 0.0014816 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2027-06-15 -3614625.000000 USD 17047.800000 N N N N/A N/A 000000000 1.000000 NC 452.440000 0.0000393 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 72264.730000 ILS 23484.220000 USD 2026-06-10 452.440000 N N N N/A N/A 000000000 1.000000 NC 55931.410000 0.004861 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 8549120.340000 PEN 2506044.540000 USD 2026-05-26 55931.410000 N N N N/A N/A 000000000 494.000000 NC -1788418.110000 -0.15543 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-06-08 71596437.210000 EUR -1788418.110000 N N N N/A N/A 000000000 88400000.000000 PA USD 88400000.000000 7.68279 Long RA US N 2 Repurchase N 3.710000 2026-04-01 89519000.000000 USD 90277813.170000 USD UST N N N N/A N/A 000000000 1.000000 NC -2477.750000 -0.0002153 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 256425.360000 USD 1027599.000000 MYR 2026-04-09 -2477.750000 N N N FAIR OAKS LOAN FUNDING V DAC 5A N/A ACI384R29 800000.000000 PA 924160.600000 0.0803182 Long ABS-CBDO CORP IE N 2 2036-10-15 Floating 3.268 N N N N N N N/A N/A 000000000 1.000000 NC 21382.900000 0.0018584 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 2078097.000000 USD 7840348266.450000 COP 2026-06-17 21382.900000 N N N N/A N/A 000000000 1.000000 NC -478.130000 -0.0000416 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 237217.070000 BRL 45318.000000 USD 2026-04-02 -478.130000 N N N N/A N/A 000000000 1.000000 NC 31582.590000 0.0027448 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 3182369.210000 PEN 941111.700000 USD 2026-07-20 31582.590000 N N N N/A N/A 000000000 1.000000 NC 10948.970000 0.0009516 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1493210.000000 MYR 380000.000000 USD 2026-04-16 10948.970000 N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AU2 16842.910000 PA USD 16959.380000 0.0014739 Long ABS-MBS CORP US N 2 2037-02-25 Floating 6.87008 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 1176510.490000 PA USD 1179664.950000 0.102524 Long ABS-MBS CORP US N 2 2055-05-25 Floating 4.9119 N N N N N N N/A N/A 000000000 1.000000 NC 3030.870000 0.0002634 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 311648.000000 MYR 80000.000000 USD 2026-04-02 3030.870000 N N N N/A N/A 000000000 -3470000.000000 NC USD -3938.450000 -0.0003423 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.700000 USD 2026-04-23 XXXX 24401.040000 N N N GOLDEN BEAR RE LTD SERIES 2026-1 N/A 38090EAB6 300000.000000 PA USD 300000.000000 0.0260728 Long DBT CORP BM N 2 2032-03-08 Floating 9.5 N N N N N N N/A N/A 000000000 1.000000 NC -3745.880000 -0.0003256 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 751705.000000 USD 12694063007.000000 IDR 2026-04-13 -3745.880000 N N N N/A N/A 000000000 1.000000 NC 12109.680000 0.0010524 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 388000.000000 CHF 497352.300000 USD 2026-04-02 12109.680000 N N N N/A N/A 000000000 1.000000 NC 34256.550000 0.0029772 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6121397.000000 USD 974023835.000000 JPY 2026-05-07 34256.550000 N N N CITRUS RE LTD 549300VWWT5SE805NK88 177510AS3 250000.000000 PA USD 250000.000000 0.0217273 Long DBT CORP BM N 2 2033-06-07 Floating 8.93428 N N N N N N N/A N/A 000000000 1.000000 NC USD -310847.570000 -0.0270156 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-17 0.000000 USD -857448.990000 USD 51650000.000000 USD 546601.420000 N N N ROMARK CREDIT FUNDING II LTD N/A 77588JAA4 300000.000000 PA USD 285625.800000 0.0248236 Long ABS-CBDO CORP KY N 2 2039-10-25 Fixed 2.625 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 3644.410000 PA USD 3652.700000 0.0003175 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 5.058 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4AX1 56230.020000 PA USD 59079.110000 0.0051345 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -936.760000 -0.0000814 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 116923.430000 USD 100000.000000 EUR 2026-06-17 -936.760000 N N N N/A N/A 000000000 1.000000 NC 120353.310000 0.0104598 N/A DFE CA N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 10797629.800000 CAD 7882638.110000 USD 2026-04-02 120353.310000 N N N N/A N/A 000000000 1.000000 NC 5171.510000 0.0004495 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 807296871.000000 KRW 542033.000000 USD 2026-04-16 5171.510000 N N N N/A N/A 000000000 1.000000 NC USD 1364.860000 0.0001186 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -1050.000000 USD 400000.000000 USD 2414.860000 N N N GNMA PASS THRU POOLS N/A 36184BZL4 7029.240000 PA USD 6608.590000 0.0005743 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N N/A N/A 000000000 -13100000.000000 NC USD -21846.870000 -0.0018987 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 96.100000 USD 2026-06-04 XXXX 42117.970000 N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 4003209.610000 PA USD 2628184.370000 0.228414 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.05303 N N N N N N N/A N/A 000000000 1.000000 NC USD 14196.070000 0.0012338 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2036-03-03 0.000000 USD -3000.000000 USD 1500000.000000 USD 17196.070000 N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 13774.480000 PA USD 13702.450000 0.0011909 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.85882 N N N N N N N/A N/A 000000000 10400000.000000 NC USD 14955.200000 0.0012997 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 -332.800000 N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 1061.790000 PA USD 1027.180000 0.0000893 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.15807 N N N N N N N/A N/A 000000000 1.000000 NC -6838.570000 -0.0005943 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 500000.000000 BRL 89689.320000 USD 2026-04-02 -6838.570000 N N N FHLMC PASS THRU POOLS N/A 3128M8AV6 3358.720000 PA USD 3459.020000 0.0003006 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36178WDR7 2872.790000 PA USD 2703.660000 0.000235 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -1285.080000 -0.0001117 N/A DFE SG N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 487194.510000 SGD 378518.160000 USD 2026-05-04 -1285.080000 N N N FNMA PASS THRU POOLS N/A 3140JJHA0 22556.460000 PA USD 20944.240000 0.0018203 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 14919.450000 0.0012966 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1883898.850000 PEN 550284.460000 USD 2026-11-10 14919.450000 N N N N/A N/A 000000000 1.000000 NC -411717.900000 -0.0357822 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 313391.040000 AUD 0.000000 AUD 15800000.000000 AUD -725108.940000 N N N N/A N/A 000000000 1.000000 NC 24947.020000 0.0021681 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1056165.370000 USD 5600000.000000 BRL 2026-04-02 24947.020000 N N N POST CLO 2021-1 LTD N/A 73742FAJ5 2700000.000000 PA USD 2702742.690000 0.234894 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 4.75219 N N N N N N CENTERBRIDGE CREDIT FUNDING 1 LTD N/A 15186PAA6 300000.000000 PA USD 290793.460000 0.0252727 Long ABS-CBDO CORP KY N 2 2039-07-25 Fixed 3.164 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 5431.670000 PA USD 5560.900000 0.0004833 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.48 N N N N N N N/A N/A 000000000 1300000.000000 NC USD 2464.020000 0.0002141 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.06700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.070000 USD 2026-08-12 XXXX -7350.980000 N N N N/A N/A 000000000 1.000000 NC USD 274.800000 0.0000239 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -2162.500000 USD 500000.000000 USD 2437.300000 N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 789143.230000 PA USD 711176.750000 0.0618079 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.28541 N N N N N N N/A N/A 000000000 1.000000 NC 1923.550000 0.0001672 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 9472120000.000000 IDR 560000.000000 USD 2026-04-16 1923.550000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 1263677.910000 PA USD 1229268.850000 0.106835 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.84303 N N N N N N N/A N/A 000000000 1.000000 NC -6503.900000 -0.0005653 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3100000.000000 BRL 567246.110000 USD 2026-10-02 -6503.900000 N N N FHLMC PASS THRU POOLS N/A 3128M7P75 4029.350000 PA USD 4149.680000 0.0003606 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 5102.770000 0.0004435 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 325789.190000 USD 5936042.000000 MXN 2026-04-17 5102.770000 N N N N/A N/A 000000000 1.000000 NC -21.840000 -0.0000019 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2761597.570000 THB 84231.000000 USD 2026-06-17 -21.840000 N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 38770.360000 PA USD 38341.440000 0.0033322 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.29303 N N N N N N FHLMC PASS THRU POOLS N/A 31427MKV2 6380381.630000 PA USD 6516260.530000 0.566324 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 14100000.000000 NC USD 723981.420000 0.0629208 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -517876.080000 N N N N/A N/A 000000000 1.000000 NC USD -73249.980000 -0.0063661 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2055-10-30 0.000000 USD 0.000000 USD 4100000.000000 USD -73249.980000 N N N OZLM XXIV LTD 2019-24A N/A 67113DBA1 2500000.000000 PA USD 2503039.280000 0.217538 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.37924 N N N N N N N/A N/A 000000000 1.000000 NC -1579.570000 -0.0001373 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6114509.680000 USD 22479994850.000000 COP 2026-04-10 -1579.570000 N N N N/A N/A 000000000 1.000000 NC -2325.030000 -0.0002021 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1783842.750000 PLN 478201.000000 USD 2026-04-15 -2325.030000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 50022.670000 PA USD 42096.670000 0.0036586 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.2012 N N N N N N N/A N/A 000000000 1.000000 NC USD 5033.020000 0.0004374 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -4290.000000 USD 1100000.000000 USD 9323.020000 N N N N/A N/A 000000000 1.000000 NC 12161.610000 0.001057 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1727700.790000 ILS 562890.000000 USD 2026-06-17 12161.610000 N N N N/A N/A 000000000 1.000000 NC 15357.620000 0.0013347 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 528726.750000 USD 9758974.000000 MXN 2026-04-15 15357.620000 N N N ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY 635400PXTZAPQFEPH515 ACI2S2B04 250000.000000 PA 303641.850000 0.0263893 Long DBT CORP IE N 2 2029-01-17 Floating 8.026 N N N N N N N/A N/A 000000000 1.000000 NC USD 4863.320000 0.0004227 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-30 0.000000 USD -960.000000 USD 300000.000000 USD 5823.320000 N N N N/A N/A 000000000 1.000000 NC USD 1675.400000 0.0001456 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 305890.000000 USD 1675.400000 N N N GNMA PASS THRU POOLS N/A 36184HY81 61378.780000 PA USD 57668.470000 0.0050119 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 26809.620000 0.00233 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 13174234.150000 MXN 757340.110000 USD 2026-06-17 26809.620000 N N N STRUCTURED ASSET MTGE INVEST 2007-AR7 N/A 86364KAE4 1915111.470000 PA USD 1540551.290000 0.133888 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.46878 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-69 N/A 38385FGR6 2919693.760000 PA USD 2937137.760000 0.255265 Long ABS-MBS USGSE US N 2 2055-04-20 Floating 4.92294 N N N N N N N/A N/A 000000000 1.000000 NC 520.710000 0.0000453 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 39646.000000 USD 147958872.000000 COP 2026-04-16 520.710000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 16600000.000000 PA 957961.140000 0.0832558 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N N/A N/A 000000000 -16400000.000000 NC USD -154209.200000 -0.0134022 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.78250 06/23/26-7Y LCH 2033-06-23 0.000000 USD 0.000000 USD N/A USD N/A 3.780000 USD 2026-06-18 XXXX -53554.540000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 517401.980000 PA USD 434252.950000 0.0377407 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.35303 N N N N N N N/A N/A 000000000 1.000000 NC -4573.960000 -0.0003975 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -1209.830000 EUR 300000.000000 EUR -3364.130000 N N N N/A N/A 000000000 1.000000 NC 309023.900000 0.0268571 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12868855.260000 USD 69666834.840000 BRL 2026-07-02 309023.900000 N N N N/A N/A 000000000 1.000000 NC USD -35292.430000 -0.0030672 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND SR UNSEC REGS Y Single Leg Swap 2035-06-20 21676.760000 USD 0.000000 USD 3300000.000000 USD -56969.190000 N N N N/A N/A 000000000 1.000000 NC USD 11006.430000 0.0009566 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2026-12-20 26930.860000 USD 0.000000 USD 2100000.000000 USD -15924.430000 N N N N/A N/A 000000000 1.000000 NC 594.000000 0.0000516 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -1618.250000 GBP 300000.000000 GBP 2212.250000 N N N N/A N/A 000000000 1.000000 NC -8832.020000 -0.0007676 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 375610.730000 USD 1484038.000000 MYR 2026-04-15 -8832.020000 N N N N/A N/A 000000000 1.000000 NC USD 32910.880000 0.0028603 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-04-11 0.000000 USD 0.000000 USD 3650000.000000 USD 32910.880000 N N N N/A N/A 000000000 1.000000 NC -4599.380000 -0.0003997 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 531619620.000000 COP 140000.000000 USD 2026-04-09 -4599.380000 N N N N/A N/A 000000000 1.000000 NC 836.160000 0.0000727 N/A DFE CZ N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 198734.140000 USD 4237000.000000 CZK 2026-04-15 836.160000 N N N GNMA PASS THRU POOLS N/A 3620ASLC1 23077.080000 PA USD 23109.210000 0.0020084 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 3164976.690000 PA USD 3058540.110000 0.265816 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.31303 N N N N N N N/A N/A 000000000 1.000000 NC -87218.600000 -0.0075801 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2174443.000000 USD 197640560.380000 INR 2026-04-07 -87218.600000 N N N N/A N/A 000000000 1.000000 NC 28615.280000 0.0024869 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4965708.230000 ILS 1608213.000000 USD 2026-04-06 28615.280000 N N N FREDDIE MAC 3404 N/A 31397PST8 23527.220000 PA USD 23694.590000 0.0020593 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 4.64171 N N N N N N N/A N/A 000000000 1.000000 NC -1443.350000 -0.0001254 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5445720.280000 TRY 116850.920000 USD 2026-04-30 -1443.350000 N N N N/A N/A 000000000 1.000000 NC 1270.090000 0.0001104 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-31 0.000000 PLN 0.000000 PLN 300000.000000 PLN 1270.090000 N N N FNMA PASS THRU POOLS N/A 31400GV44 2878.440000 PA USD 2968.690000 0.000258 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 41361.330000 PA USD 39786.900000 0.0034579 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.35874 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 66568.170000 PA USD 63870.710000 0.005551 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2PNWZ1 1000000.000000 PA 298278.690000 0.0259232 Long DBT NUSS PE N 2 2039-08-12 Fixed 7.6 N N N N N N N/A N/A 000000000 1.000000 NC 95.770000 0.0000083 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6854.360000 SGD 5427.000000 USD 2026-04-02 95.770000 N N N N/A N/A 000000000 1.000000 NC -6971.030000 -0.0006058 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 870548620.000000 COP 230000.000000 USD 2026-04-06 -6971.030000 N N N N/A N/A 000000000 1.000000 NC 5344.730000 0.0004645 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 342270.960000 USD 5890000.000000 ZAR 2026-04-20 5344.730000 N N N N/A N/A 000000000 1.000000 NC 32959.740000 0.0028645 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 381198400.000000 CLP 444783.410000 USD 2026-06-17 32959.740000 N N N GNMA PASS THRU POOLS N/A 36179JXF9 3312.800000 PA USD 3114.590000 0.0002707 Long ABS-MBS USGSE US N 2 2043-06-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 6351.100000 0.000552 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 12398060.710000 CZK 590322.000000 USD 2026-04-15 6351.100000 N N N FNMA PASS THRU POOLS N/A 3140H4B45 7877.030000 PA USD 7327.540000 0.0006368 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -16200000.000000 NC USD -231823.620000 -0.0201477 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 06/04/26-7Y LCH 2033-06-04 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2026-06-02 XXXX -150823.620000 N N N FNMA PASS THRU POOLS N/A 3140HATD2 8427.620000 PA USD 7828.390000 0.0006804 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 608.760000 0.0000529 N/A DFE HU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 288416.000000 USD 96202109.000000 HUF 2026-04-15 608.760000 N N N N/A N/A 000000000 1.000000 NC -32176.860000 -0.0027965 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9600000.000000 BRL 1783717.890000 USD 2026-07-02 -32176.860000 N N N N/A N/A 000000000 11300000.000000 NC USD 630003.250000 0.0547532 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62750 08/23/35-10Y LCH 2045-08-23 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-21 XXXX -347164.250000 N N N GNMA PASS THRU POOLS N/A 36198N2C8 64828.880000 PA USD 60949.350000 0.0052971 Long ABS-MBS USGSE US N 2 2044-06-15 Fixed 3.5 N N N N N N CARVAL CLO LTD 2018-1A N/A 146865AJ9 2374077.490000 PA USD 2376543.110000 0.206544 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 4.90113 N N N N N N FNMA PASS THRU POOLS N/A 3140GYJX8 9389.820000 PA USD 8750.350000 0.0007605 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 35622.270000 PA USD 34095.560000 0.0029632 Long ABS-MBS CORP US N 2 2035-12-20 Floating 4.42952 N N N N N N FHLMC PASS THRU POOLS N/A 3142GTWC6 1030819.720000 PA USD 1091466.120000 0.0948587 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 1420.890000 0.0001235 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 13785725.040000 THB 419999.000000 USD 2026-04-20 1420.890000 N N N N/A N/A 000000000 1.000000 NC 21637.360000 0.0018805 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 1040169.450000 USD 5500000.000000 BRL 2026-04-02 21637.360000 N N N N/A N/A 000000000 1.000000 NC USD 1697.170000 0.0001475 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-13 0.000000 USD -624.750000 USD 170000.000000 USD 2321.920000 N N N N/A N/A 000000000 1.000000 NC -57206.870000 -0.0049718 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 990000.000000 USD 30763517.400000 THB 2026-04-02 -57206.870000 N N N N/A N/A 000000000 1.000000 NC -65975.240000 -0.0057339 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3700000.000000 BRL 648331.160000 USD 2026-04-02 -65975.240000 N N N N/A N/A 000000000 1.000000 NC USD -122.220000 -0.0000106 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -850.200000 USD 100000.000000 USD 727.980000 N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 921216.760000 PA USD 891286.150000 0.0774611 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC -40449.560000 -0.0035154 N/A DFE CL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 556131.230000 USD 477333000.000000 CLP 2026-06-17 -40449.560000 N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 8225.380000 PA USD 8123.970000 0.000706 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 USD 3601922.250000 0.313041 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 502224.330000 USD 0.000000 USD 32450000.000000 USD 3099697.920000 N N N N/A N/A 000000000 136.000000 NC USD 10200.000000 0.0008865 N/A DCO US N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Call Purchased ICE FUTURES EUROPE 549300UF4R84F48NCH34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT EMFUT - CCA 2026 GE IFE 12/24/26 2026-12-25 N/A USD N/A 45.000000 USD 2026-12-15 XXXX -48187.840000 N N N N/A N/A 000000000 1.000000 NC 16837.240000 0.0014633 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3180752.000000 USD 505962220.000000 JPY 2026-05-07 16837.240000 N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 3389.990000 PA USD 2404.920000 0.000209 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.18208 N N N N N N N/A N/A 000000000 1.000000 NC 1421.710000 0.0001236 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 234715.330000 USD 355150113.000000 KRW 2026-04-09 1421.710000 N N N FREDDIE MAC 3360 N/A 31397KE23 35388.560000 PA USD 35410.350000 0.0030775 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.45671 N N N N N N FHLMC PASS THRU POOLS N/A 3142GUDG5 926282.900000 PA USD 980778.130000 0.0852388 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 7782.000000 0.0006763 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 857098.250000 USD 4572319.180000 BRL 2026-07-02 7782.000000 N N N N/A N/A 000000000 1.000000 NC 12343.600000 0.0010728 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1619827.820000 ILS 528686.000000 USD 2026-06-17 12343.600000 N N N N/A N/A 000000000 1.000000 NC 6308.980000 0.0005483 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 400000.000000 GBP 535629.960000 USD 2026-06-17 6308.980000 N N N N/A N/A 000000000 3400000.000000 NC USD 168659.720000 0.0146581 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -130540.280000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QDE8 8900000.000000 PA USD 8885452.950000 0.772229 Long DBT CORP US N 2 2026-04-14 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 11736.350000 0.00102 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1756997.610000 ILS 571716.000000 USD 2026-06-10 11736.350000 N N N N/A N/A 000000000 1.000000 NC 25833.890000 0.0022452 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 10328390.310000 USD 8279237.670000 CHF 2026-04-02 25833.890000 N N N CAPITAL FOUR US CLO I LTD 2021-1A N/A 14016TAL3 1800000.000000 PA USD 1797300.130000 0.156202 Long ABS-CBDO CORP KY N 2 2035-01-18 Floating 4.80763 N N N N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 7763076.740000 PA 8980608.790000 0.780499 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 2.951 N N N N N N N/A N/A 000000000 1.000000 NC -6196.880000 -0.0005386 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 950000.000000 USD 16023134245.000000 IDR 2026-04-27 -6196.880000 N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 10382.950000 PA USD 4500.460000 0.0003911 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 1585.730000 0.0001378 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -1575.000000 USD 600000.000000 USD 3160.730000 N N N N/A N/A 000000000 1.000000 NC 2463477.230000 0.214099 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 2815735.990000 EUR 0.000000 EUR 12310000.000000 EUR -352258.760000 N N N N/A N/A 000000000 1.000000 NC -3576.910000 -0.0003109 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2776803.140000 BRL 532501.000000 USD 2026-04-02 -3576.910000 N N N N/A N/A 000000000 1.000000 NC -21403.920000 -0.0018602 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 3748160.170000 USD 2815733.000000 GBP 2026-05-05 -21403.920000 N N N CVC CORDATUS LOAN FUND XXX DAC 30A N/A ACI354435 1980000.000000 PA 2287223.340000 0.198781 Long ABS-CBDO CORP IE N 2 2037-05-15 Floating 3.229 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 2889059.010000 PA USD 2806950.800000 0.24395 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.93698 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MXB3 1354.360000 PA USD 1341.820000 0.0001166 Long ABS-MBS CORP US N 2 2033-08-25 Floating 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 27239.830000 0.0023674 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24901158.260000 THB 783081.000000 USD 2026-04-16 27239.830000 N N N N/A N/A 000000000 1.000000 NC 207.420000 0.000018 N/A DFE ID N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 3729880000.000000 IDR 220000.000000 USD 2026-04-09 207.420000 N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 35.640000 PA USD 36.660000 0.0000032 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -49752.850000 -0.004324 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3800000.000000 BRL 683859.130000 USD 2026-04-02 -49752.850000 N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 75015.700000 PA USD 24267.540000 0.0021091 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.90303 N N N N N N N/A N/A 000000000 1.000000 NC -124774.200000 -0.0108441 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2036-09-16 0.000000 CAD -132821.650000 CAD 7000000.000000 CAD 8047.450000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-A N/A 831943AB1 2596842.660000 PA USD 2622650.340000 0.227933 Long ABS-O CORP US N 2 2056-03-15 Floating 5.12223 N N N N N N N/A N/A 000000000 1.000000 NC USD 11133.400000 0.0009676 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 0.000000 USD -1200.000000 USD 250000.000000 USD 12333.400000 N N N FNMA PASS THRU POOLS N/A 31407DSV8 6010.020000 PA USD 6160.270000 0.0005354 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UB2 13000000.000000 PA USD 12611777.360000 1.09608 Long DBT UST US N 2 2044-05-15 Fixed 4.625 N N N N N N N/A N/A 000000000 1.000000 NC 3749.990000 0.0003259 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 42400000.000000 JPY 270912.340000 USD 2026-04-02 3749.990000 N N N N/A N/A 000000000 1.000000 NC -567.270000 -0.0000493 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 90000.000000 USD 124267.580000 CAD 2026-04-27 -567.270000 N N N N/A N/A 000000000 1.000000 NC USD 3738187.280000 0.324884 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 4419155.050000 USD 0.000000 USD 67600000.000000 USD -680967.770000 N N N N/A N/A 000000000 1.000000 NC 26596.940000 0.0023115 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -1339.680000 EUR 500000.000000 EUR 27936.620000 N N N OBX 2025-NQM13 TRUST N/A 67121UAA4 1713329.950000 PA USD 1719952.140000 0.14948 Long ABS-MBS CORP US N 2 2065-05-25 Fixed 5.441 N N N N N N N/A N/A 000000000 1.000000 NC 35.570000 0.0000031 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 16193.320000 CAD 11676.750000 USD 2026-04-02 35.570000 N N N N/A N/A 000000000 -3470000.000000 NC USD -21680.560000 -0.0018842 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.120000 USD 2026-04-23 XXXX -12242.160000 N N N N/A N/A 000000000 1.000000 NC USD 2310444.530000 0.200799 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 514199.590000 USD 0.000000 USD 9540000.000000 USD 1796244.940000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 280664.520000 PA USD 277990.910000 0.02416 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.17303 N N N N N N N/A N/A 000000000 1.000000 NC 5113.470000 0.0004444 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12699831.350000 INR 139232.690000 USD 2026-04-07 5113.470000 N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 119095.710000 PA USD 87500.710000 0.0076046 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.11303 N N N N N N INTEGRITY RE LTD N/A 45833UAJ0 250000.000000 PA USD 254125.000000 0.0220859 Long DBT CORP BM N 2 2026-06-06 Floating 14.064 N N N N N N FNMA PASS THRU POOLS N/A 3140HPUD7 49443.830000 PA USD 45899.490000 0.0039891 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 600000.000000 PA USD 606908.610000 0.0527461 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N HPS CORPORATE LENDING FUND 549300ZS7IHUA6FKFV61 40440VAK1 800000.000000 PA USD 773422.260000 0.0672177 Long DBT CORP US N 2 2032-04-14 Fixed 5.95 N N N N N N GNMA PASS THRU POOLS N/A 36178LMH3 64982.440000 PA USD 61257.570000 0.0053239 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -4678.780000 -0.0004066 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1370996.380000 BRL 260000.000000 USD 2026-04-02 -4678.780000 N N N N/A N/A 000000000 1.000000 NC 1600.340000 0.0001391 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1393440.770000 USD 221400000.000000 JPY 2026-04-02 1600.340000 N N N GNMA PASS THRU POOLS N/A 36295QA34 114181.600000 PA USD 115715.340000 0.0100568 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 207530.760000 PA USD 192909.510000 0.0167656 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.87092 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 872255.430000 PA USD 208852.140000 0.0181512 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.01303 N N N N N N N/A N/A 000000000 1.000000 NC 27297.720000 0.0023724 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 665000.000000 USD 11842652.500000 ZAR 2026-08-19 27297.720000 N N N N/A N/A 000000000 1.000000 NC -1276.300000 -0.0001109 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 64357.000000 USD 220351.930000 PEN 2026-06-17 -1276.300000 N N N N/A N/A 000000000 1.000000 NC 37619.290000 0.0032695 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3141766.750000 USD 298785159.690000 INR 2026-04-24 37619.290000 N N N N/A N/A 000000000 1.000000 NC -1715.650000 -0.0001491 N/A DFE PH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 481393.000000 USD 29206594.700000 PHP 2026-06-17 -1715.650000 N N N N/A N/A 000000000 1.000000 NC -5905.970000 -0.0005133 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2700000.000000 BRL 504814.430000 USD 2026-07-02 -5905.970000 N N N GNMA PASS THRU POOLS N/A 36180HHA9 81679.360000 PA USD 76792.650000 0.006674 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.5 N N N N N N N/A N/A 000000000 -700000.000000 NC USD -874.720000 -0.000076 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62000 04/22/26-10Y LCH 2036-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2026-04-20 XXXX 1435.280000 N N N FREDDIE MAC REMICS 5473 N/A 3137HHFU0 3415238.850000 PA USD 3426805.580000 0.297822 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.7619 N N N N N N N/A N/A 000000000 1.000000 NC 16801.280000 0.0014602 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 127098356.000000 INR 1359050.000000 USD 2026-04-07 16801.280000 N N N ANCHORAGE CREDIT FUNDING 14 LTD N/A 033295AA4 300000.000000 PA USD 286675.300000 0.0249148 Long ABS-CBDO CORP KY N 2 2040-01-21 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -126376.880000 -0.0109833 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 7620000.000000 USD -126376.880000 N N N GNMA PASS THRU POOLS N/A 36295NCQ8 121086.490000 PA USD 123678.750000 0.0107488 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJK1 6767000.000000 PA USD 5978665.480000 0.519602 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.52803 N N N N N N N/A N/A 000000000 1.000000 NC USD -741.270000 -0.0000644 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -4895.000000 USD 1100000.000000 USD 4153.730000 N N N N/A N/A 000000000 1.000000 NC USD -1954898.060000 -0.169899 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 0.000000 USD -1690871.310000 USD 111110000.000000 USD -264026.750000 N N N N/A N/A 000000000 1.000000 NC -32036.030000 -0.0027842 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2400000.000000 BRL 431297.850000 USD 2026-04-02 -32036.030000 N N N N/A N/A 000000000 3470000.000000 NC USD 102507.270000 0.0089088 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-04-27 N/A 5.320000 USD 2026-04-23 XXXX 50585.660000 N N N N/A N/A 000000000 1.000000 NC USD 17334.200000 0.0015065 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -2180.000000 USD 800000.000000 USD 19514.200000 N N N GNMA PASS THRU POOLS N/A 21H052652 15470000.000000 PA USD 15539518.160000 1.35053 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5.5 N N N N N N N/A N/A 000000000 -168000000.000000 NC USD -103420.800000 -0.0089882 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-05-20 XXXX 209481.700000 N N N N/A N/A 000000000 1.000000 NC -30224.660000 -0.0026268 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-13 0.000000 EUR -1556.170000 EUR 600000.000000 EUR -28668.490000 N N N N/A N/A 000000000 1.000000 NC -46848.520000 -0.0040716 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4298382000.000000 COP 1122000.000000 USD 2026-04-10 -46848.520000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1246229.000000 PA USD 659351.600000 0.0573039 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.05303 N N N N N N N/A N/A 000000000 1.000000 NC -7735.050000 -0.0006722 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1741579.870000 USD 2513000.000000 AUD 2026-04-02 -7735.050000 N N N N/A N/A 000000000 1.000000 NC USD -61087.450000 -0.0053091 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-17 0.000000 USD -632959.390000 USD 27920000.000000 USD 571871.940000 N N N N/A N/A 000000000 1.000000 NC -14314.350000 -0.0012441 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2800000.000000 BRL 515321.620000 USD 2026-07-02 -14314.350000 N N N FNMA PASS THRU POOLS N/A 3140GUMA2 1312208.290000 PA USD 1224464.600000 0.106418 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKC3 61471.820000 PA USD 62787.130000 0.0054568 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -449.540000 -0.0000391 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 160000.000000 USD 5250627.680000 THB 2026-04-30 -449.540000 N N N N/A N/A 000000000 1.000000 NC -25051.300000 -0.0021772 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6000000.000000 BRL 1085432.590000 USD 2026-10-02 -25051.300000 N N N N/A N/A 000000000 1.000000 NC 12001.180000 0.001043 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1734384.000000 USD 276334719.000000 JPY 2026-05-07 12001.180000 N N N N/A N/A 000000000 1.000000 NC -790.180000 -0.0000687 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 100000.000000 USD 126878.400000 SGD 2026-06-17 -790.180000 N N N POLESTAR RE LTD 254900VQQ6V3O4PG3408 73110JAC6 250000.000000 PA USD 262050.000000 0.0227746 Long DBT CORP BM N 2 2028-01-07 Floating 14.13 N N N N N N N/A N/A 000000000 1.000000 NC -8395.420000 -0.0007296 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2800000.000000 BRL 521240.550000 USD 2026-07-02 -8395.420000 N N N N/A N/A 000000000 1.000000 NC 959.180000 0.0000834 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 461322.500000 MYR 115000.000000 USD 2026-04-30 959.180000 N N N N/A N/A 000000000 1.000000 NC -97363.520000 -0.0084618 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2258766.000000 USD 204664528.490000 INR 2026-04-07 -97363.520000 N N N N/A N/A 000000000 137400000.000000 NC USD 189034.920000 0.0164289 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14100 01/04/27-1Y LCH 2028-01-04 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2026-12-30 XXXX 86671.920000 N N N N/A N/A 000000000 8000000.000000 NC USD 955.200000 0.000083 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2026-04-15 XXXX -63044.800000 N N N FNMA PASS THRU POOLS N/A 31403DJ75 307.590000 PA USD 317.580000 0.0000276 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 36460.650000 0.0031688 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1314929.830000 USD 7000000.000000 BRL 2026-04-02 36460.650000 N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 1091762.390000 PA USD 1056754.480000 0.0918419 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.95303 N N N N N N N/A N/A 000000000 1.000000 NC -2238.090000 -0.0001945 N/A DFE GB N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 134568.330000 USD 100000.000000 GBP 2026-06-17 -2238.090000 N N N BEIGNET INVESTOR LLC N/A 076912AA2 5060000.000000 PA USD 5206388.080000 0.452484 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N NATURE COAST RE LTD N/A 63901CAE1 250000.000000 PA USD 258800.000000 0.0224922 Long DBT CORP BM N 2 2033-04-10 Floating 13.2753 N N N N N N N/A N/A 000000000 1.000000 NC -1516.660000 -0.0001318 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 640000.000000 USD 10837105472.000000 IDR 2026-04-17 -1516.660000 N N N N/A N/A 000000000 1.000000 NC -5340.380000 -0.0004641 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 170000.000000 USD 10003072.000000 PHP 2026-04-06 -5340.380000 N N N PAGAYA AI DEBT TRUST 2025-6 N/A 69549BAA6 1024004.380000 PA USD 1023941.710000 0.0889902 Long ABS-O CORP US N 2 2026-09-15 Fixed 4.248 N N N N N N N/A N/A 000000000 1.000000 NC USD -23960.030000 -0.0020824 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2057-08-25 0.000000 USD -23560.710000 USD 3180000.000000 USD -399.320000 N N N N/A N/A 000000000 1.000000 NC -75531.250000 -0.0065644 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2387523.940000 USD 218924007.680000 INR 2026-04-07 -75531.250000 N N N N/A N/A 000000000 1.000000 NC 21398.280000 0.0018597 N/A DFE GB N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 2815733.000000 GBP 3748303.770000 USD 2026-04-02 21398.280000 N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 7058261.540000 PA USD 3787965.690000 0.32921 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.29303 N N N N N N N/A N/A 000000000 1.000000 NC 449.550000 0.0000391 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 137720.000000 PEN 40000.000000 USD 2026-04-16 449.550000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156 N/A 38383BBP6 6837601.890000 PA USD 6857213.500000 0.595956 Long ABS-MBS USGSE US N 2 2055-09-20 Floating 4.52294 N N N N N N FNMA PASS THRU POOLS N/A 31410DJE1 15362.990000 PA USD 15829.140000 0.0013757 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 6.036 N N N N N N N/A N/A 000000000 1.000000 NC -1835.240000 -0.0001595 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 88035.850000 USD 320000.000000 PLN 2026-04-15 -1835.240000 N N N N/A N/A 000000000 -10400000.000000 NC USD -56464.720000 -0.0049073 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX -36964.720000 N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 5300000.000000 PA USD 5334450.000000 0.463614 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 115472.710000 0.0100357 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 72021428.420000 USD 62410249.930000 EUR 2026-04-02 115472.710000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AT6 200000.000000 PA USD 197065.080000 0.0171268 Long DBT CORP US N 2 2034-09-15 Fixed 5.625 N N N N N N N/A N/A 000000000 -13000000.000000 NC USD -74088.300000 -0.006439 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 95.210000 USD 2026-06-04 XXXX -13150.800000 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AW9 200000.000000 PA USD 199081.240000 0.017302 Long DBT CORP IT N 2 2027-06-03 Floating 1.982 N N N N N N CC MORTGAGE FUNDING CORP 2005-BA N/A 16678REC7 132536.660000 PA USD 130472.430000 0.0113393 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.04303 N N N N N N N/A N/A 000000000 1.000000 NC USD 4031.740000 0.0003504 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -3174.000000 USD 800000.000000 USD 7205.740000 N N N N/A N/A 000000000 1.000000 NC -1421.930000 -0.0001236 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 3900000.000000 CZK -1421.930000 N N N GLOBAL SPORTS GROUP (GSG BIDCO LIMITED) 984500F49D98F3GDZ668 ACI38RGS3 1400000.000000 PA 1607073.340000 0.13967 Long DBT CORP JE N 2 2036-06-15 Fixed 5.375 N N N N N N N/A N/A 000000000 13100000.000000 NC USD 5233.450000 0.0004548 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -92145.270000 N N N N/A N/A 000000000 14500000.000000 NC USD 128745.500000 0.0111892 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65100 06/26/26-7Y LCH 2033-06-26 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-06-24 XXXX 5632.290000 N N N N/A N/A 000000000 1.000000 NC USD 3097.600000 0.0002692 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -29200.460000 USD 1500000.000000 USD 32298.060000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 19645.970000 PA USD 17658.980000 0.0015347 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.67581 N N N N N N BARINGS EURO CLO 2025-1 DAC 25-1A N/A ACI379GS4 3100000.000000 PA 3576266.810000 0.310811 Long ABS-CBDO CORP IE N 2 2039-08-15 Floating 3.426 N N N N N N N/A N/A 000000000 1.000000 NC 869.580000 0.0000756 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 193607843.000000 CLP 210000.000000 USD 2026-04-30 869.580000 N N N GNMA PASS THRU POOLS N/A 36295QGF1 22927.930000 PA USD 23224.420000 0.0020184 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -2600.940000 -0.000226 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -1728.000000 USD 450000.000000 USD -872.940000 N N N N/A N/A 000000000 1.000000 NC -11724.400000 -0.001019 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1386375.000000 USD 129183808.880000 INR 2026-04-24 -11724.400000 N N N N/A N/A 000000000 1.000000 NC 30667.640000 0.0026653 N/A DFE AU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5325825.480000 USD 7763594.000000 AUD 2026-04-02 30667.640000 N N N N/A N/A 000000000 1.000000 NC -4204.620000 -0.0003654 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1359050.000000 USD 127322599.250000 INR 2026-04-24 -4204.620000 N N N N/A N/A 000000000 1.000000 NC -431.300000 -0.0000375 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 307806.470000 USD 5539747.000000 MXN 2026-06-10 -431.300000 N N N GNMA PASS THRU POOLS N/A 21H032647 25000000.000000 PA USD 22934195.750000 1.9932 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 3209.420000 0.0002789 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 700000.000000 PLN 3209.420000 N N N N/A N/A 000000000 1.000000 NC -2062.420000 -0.0001792 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 59978.450000 USD 215000.000000 PLN 2026-04-15 -2062.420000 N N N N/A N/A 000000000 1.000000 NC 267.770000 0.0000233 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 725132.000000 USD 12315256988.000000 IDR 2026-04-27 267.770000 N N N N/A N/A 000000000 1.000000 NC 3607.900000 0.0003136 N/A DFE SG N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 793000.000000 SGD 620392.530000 USD 2026-04-02 3607.900000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 2160000.000000 PA 673200.720000 0.0585075 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N GNMA PASS THRU POOLS N/A 36183BCF3 36510.300000 PA USD 34325.780000 0.0029832 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 69683.500000 0.0060562 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6475505.150000 PEN 1920033.550000 USD 2026-07-24 69683.500000 N N N N/A N/A 000000000 1.000000 NC 2122.560000 0.0001845 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-08-07 0.000000 EUR -559.980000 EUR 200000.000000 EUR 2682.540000 N N N N/A N/A 000000000 1.000000 NC USD -679163.440000 -0.0590257 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -2330176.770000 USD 8473801.690000 USD 1651013.330000 N N N N/A N/A 000000000 1.000000 NC 12950.460000 0.0011255 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2693980.000000 USD 254385796.450000 INR 2026-04-24 12950.460000 N N N N/A N/A 000000000 1.000000 NC 4253.600000 0.0003697 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8226405786.000000 IDR 487936.000000 USD 2026-06-10 4253.600000 N N N PURPLE RE LTD N/A 74639NAB9 300000.000000 PA USD 304950.000000 0.026503 Long DBT CORP BM N 2 2026-06-05 Floating 14.14 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 2700000.000000 PA USD 2707647.350000 0.23532 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.5838 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 738.670000 PA USD 746.770000 0.0000649 Long ABS-MBS CORP US N 2 2033-04-25 Floating 5.91005 N N N N N N N/A N/A 000000000 1.000000 NC 300.710000 0.0000261 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 18936200.000000 INR 200000.000000 USD 2026-06-17 300.710000 N N N N/A N/A 000000000 1.000000 NC -22743.170000 -0.0019766 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 741574.000000 USD 2668494.710000 PLN 2026-04-15 -22743.170000 N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 4150.800000 PA USD 3941.540000 0.0003426 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.81864 N N N N N N N/A N/A 000000000 1.000000 NC 314776.050000 0.027357 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6985646.570000 CHF 9051202.480000 USD 2026-04-02 314776.050000 N N N FNMA PASS THRU POOLS N/A 31403VDD8 7121.370000 PA USD 7294.170000 0.0006339 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.06 N N N N N N N/A N/A 000000000 1.000000 NC USD 4865.420000 0.0004229 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -2030.000000 USD 700000.000000 USD 6895.420000 N N N N/A N/A 000000000 1.000000 NC USD 3244.540000 0.000282 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -1375.000000 USD 500000.000000 USD 4619.540000 N N N N/A N/A 000000000 159.000000 NC USD -639945.900000 -0.0556173 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 18058921.880000 USD -639945.900000 N N N FNMA PASS THRU POOLS N/A 31403NVY0 27040.310000 PA USD 27673.440000 0.0024051 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 5.842 N N N N N N GNMA PASS THRU POOLS N/A 36183XZ86 1005.320000 PA USD 945.140000 0.0000821 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N TREMONT RE LTD N/A 89479VAA4 500000.000000 PA USD 500000.000000 0.0434547 Long DBT CORP BM N 2 2033-03-22 Floating 7.66293 N N N N N N N/A N/A 000000000 14100000.000000 NC USD 835221.960000 0.0725886 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -406635.540000 N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 2303049.270000 PA USD 1783269.700000 0.154983 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.11303 N N N N N N N/A N/A 000000000 1.000000 NC -500272.180000 -0.0434784 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -102188.890000 AUD 23800000.000000 AUD -398083.290000 N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 637999.050000 PA USD 577616.910000 0.0502003 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.92303 N N N N N N N/A N/A 000000000 1.000000 NC -15458.570000 -0.0013435 N/A DFE PL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 608740.000000 USD 2202421.320000 PLN 2026-04-15 -15458.570000 N N N N/A N/A 000000000 1.000000 NC -4320.900000 -0.0003755 N/A DFE KR N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 192144.430000 USD 286938000.000000 KRW 2026-04-03 -4320.900000 N N N N/A N/A 000000000 1.000000 NC 123931.120000 0.0107708 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 59314704.900000 ZAR 3624563.000000 USD 2026-04-20 123931.120000 N N N UMBS PASS THRU POOLS N/A 01F032641 5030000.000000 PA USD 4611898.400000 0.400817 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -13094.800000 -0.0011381 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-06 0.000000 EUR -2354.470000 EUR 500000.000000 EUR -10740.330000 N N N N/A N/A 000000000 1.000000 NC 718.610000 0.0000625 N/A DFE CO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100000.000000 USD 376126000.000000 COP 2026-06-17 718.610000 N N N GNMA PASS THRU POOLS N/A 36183FTW9 23104.480000 PA USD 21722.090000 0.0018879 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F062655 57440000.000000 PA USD 59379265.730000 5.16062 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 6.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 21400000.000000 PA 6431130.780000 0.558926 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -32.070000 -0.0000028 N/A DFE CZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 252921.600000 USD 5369000.000000 CZK 2026-04-15 -32.070000 N N N N/A N/A 000000000 1.000000 NC -695612.910000 -0.0604553 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 28600000.000000 BRL 4825782.500000 USD 2026-04-02 -695612.910000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Z7LJ3 79155600000.000000 PA 19625520.980000 1.70564 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 -140.470000 -0.0000122 N/A DFE JP N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 185303.810000 USD 29200000.000000 JPY 2026-06-17 -140.470000 N N N N/A N/A 000000000 1.000000 NC 1901.230000 0.0001652 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 203808.900000 USD 1947385.760000 SEK 2026-04-02 1901.230000 N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 1789018.800000 PA USD 1757433.140000 0.152738 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.85803 N N N N N N MAYFLOWER RE LTD N/A 57839MAB4 250000.000000 PA USD 253250.000000 0.0220098 Long DBT CORP BM N 2 2030-07-08 Floating 10.023 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 672171.370000 PA USD 215899.830000 0.0187637 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.465 N N N N N N N/A N/A 000000000 1.000000 NC USD -8121.280000 -0.0007058 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-19 0.000000 USD -2520.000000 USD 600000.000000 USD -5601.280000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 547733.390000 PA USD 5334375.510000 0.463607 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31416YDH8 10.070000 PA USD 10.040000 0.0000009 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4 N N N N N N N/A N/A 000000000 51.000000 NC -19193.050000 -0.0016681 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A 90CORRA 2027-06-15 8901444.900000 CAD -19193.050000 N N N N/A N/A 000000000 1.000000 NC -238.050000 -0.0000207 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 13900000.000000 BRL 2572382.970000 USD 2026-10-02 -238.050000 N N N N/A N/A 000000000 1.000000 NC 1066.340000 0.0000927 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 553000.000000 EUR 640251.510000 USD 2026-04-02 1066.340000 N N N VIPER ENERGY PARTNERS LLC 54930010ZZ02MRGRI973 92764MAB0 800000.000000 PA USD 806724.000000 0.0701119 Long DBT CORP US N 2 2035-08-01 Fixed 5.7 N N N N N N GNMA PASS THRU POOLS N/A 36296DNG9 13183.820000 PA USD 13466.020000 0.0011703 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 32315.710000 0.0028085 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 392017925.000000 CLP 455828.140000 USD 2026-06-17 32315.710000 N N N UMBS PASS THRU POOLS N/A 01F052649 14410000.000000 PA USD 14478622.730000 1.25833 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2507.500000 0.0002179 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -540.000000 USD 200000.000000 USD 3047.500000 N N N N/A N/A 000000000 1.000000 NC -4190.080000 -0.0003642 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 130295.150000 USD 100000.000000 CHF 2026-06-17 -4190.080000 N N N N/A N/A 000000000 1.000000 NC 5651.170000 0.0004911 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 217000.000000 EUR 256470.670000 USD 2026-04-02 5651.170000 N N N N/A N/A 000000000 1.000000 NC 7476.830000 0.0006498 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 567000.000000 PLN 160213.530000 USD 2026-04-15 7476.830000 N N N N/A N/A 000000000 1.000000 NC -405658.180000 -0.0352555 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-09-17 0.000000 GBP -278798.840000 GBP 9500000.000000 GBP -126859.340000 N N N N/A N/A 000000000 1.000000 NC USD 7469.140000 0.0006491 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 2600000.000000 USD 7469.140000 N N N N/A N/A 000000000 1.000000 NC 24118.550000 0.0020961 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2351999.860000 PEN 700000.000000 USD 2026-04-06 24118.550000 N N N N/A N/A 000000000 1.000000 NC -252006.420000 -0.0219017 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4048024.450000 USD 3514292426.000000 CLP 2026-09-16 -252006.420000 N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 156856.070000 PA USD 28046.430000 0.0024375 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.45303 N N N N N N N/A N/A 000000000 1.000000 NC -2280.830000 -0.0001982 N/A DFE PH N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 213500.350000 USD 12805238.590000 PHP 2026-04-17 -2280.830000 N N N N/A N/A 000000000 1.000000 NC 8819.360000 0.0007665 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 309740.010000 USD 5711451.000000 MXN 2026-04-10 8819.360000 N N N FNMA PASS THRU POOLS N/A 31405UV97 938.290000 PA USD 950.710000 0.0000826 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.864 N N N N N N N/A N/A 000000000 1.000000 NC 3196.590000 0.0002778 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 513110.000000 MYR 130000.000000 USD 2026-04-09 3196.590000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 4084.710000 PA USD 2259.120000 0.0001963 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 5580 N/A 3137HMXM7 5569456.920000 PA USD 5614684.250000 0.487969 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.6119 N N N N N N N/A N/A 000000000 1.000000 NC -8605.450000 -0.0007479 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 848040000.000000 COP 222000.000000 USD 2026-04-10 -8605.450000 N N N N/A N/A 000000000 733800000.000000 NC USD 2482298.640000 0.215735 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX -1203211.860000 N N N N/A N/A 000000000 1.000000 NC 49261.090000 0.0042813 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 15171819.340000 PEN 4392536.000000 USD 2026-06-17 49261.090000 N N N N/A N/A 000000000 1.000000 NC -125208.670000 -0.0108818 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2031-01-02 0.000000 BRL 0.000000 BRL 36100000.000000 BRL -125208.670000 N N N FNMA PASS THRU POOLS N/A 31410KQX5 10046.360000 PA USD 10373.120000 0.0009015 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRCM5 12119.610000 PA USD 11294.090000 0.0009816 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -22855.440000 -0.0019864 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1770346.000000 USD 164221720.830000 INR 2026-04-24 -22855.440000 N N N N/A N/A 000000000 1.000000 NC -11301.250000 -0.0009822 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 26648394.470000 TRY 575199.000000 USD 2026-04-20 -11301.250000 N N N N/A N/A 000000000 1.000000 NC 19386.200000 0.0016848 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 154674732.380000 INR 1652861.000000 USD 2026-04-07 19386.200000 N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 63894.160000 PA USD 11427.930000 0.0009932 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.03303 N N N N N N N/A N/A 000000000 1.000000 NC USD -4096.380000 -0.000356 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -3132.000000 USD 900000.000000 USD -964.380000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 300000.000000 PA USD 277322.820000 0.024102 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUK7 102992.440000 PA USD 91956.320000 0.0079919 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.12239 N N N N N N N/A N/A 000000000 1.000000 NC 21097.530000 0.0018336 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 25347111.280000 THB 790475.000000 USD 2026-04-16 21097.530000 N N N N/A N/A 000000000 1.000000 NC -416.080000 -0.0000362 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 542000.000000 AUD 373536.920000 USD 2026-04-02 -416.080000 N N N N/A N/A 000000000 1.000000 NC 6837.820000 0.0005943 N/A DFE CL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 471732450.000000 CLP 516468.990000 USD 2026-06-17 6837.820000 N N N N/A N/A 000000000 1.000000 NC USD 987.580000 0.0000858 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-20 0.000000 USD -827.500000 USD 200000.000000 USD 1815.080000 N N N N/A N/A 000000000 1.000000 NC -68183.700000 -0.0059258 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 2119685.570000 USD 36996356.030000 MXN 2026-06-17 -68183.700000 N N N N/A N/A 000000000 1.000000 NC 11778.210000 0.0010236 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 256077679.200000 INR 2716140.000000 USD 2026-04-07 11778.210000 N N N N/A N/A 000000000 1.000000 NC -1127.790000 -0.000098 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 473893.020000 BRL 90360.000000 USD 2026-04-02 -1127.790000 N N N N/A N/A 000000000 1.000000 NC -15440.090000 -0.0013419 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5100000.000000 BRL 949254.000000 USD 2026-07-02 -15440.090000 N N N FNMA PASS THRU POOLS N/A 31409WLC3 70462.560000 PA USD 72752.380000 0.0063229 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -0.560000 0 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10.160000 USD 316.290000 THB 2026-04-20 -0.560000 N N N N/A N/A 000000000 1.000000 NC -4565.890000 -0.0003968 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10038783.400000 TRY 215795.000000 USD 2026-04-22 -4565.890000 N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 304000.000000 PA USD 271786.090000 0.0236208 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.51303 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 897593.320000 PA USD 885125.030000 0.0769257 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.21303 N N N N N N CONTEGO CLO III BV 3A N/A ACI2ZDDH3 1700000.000000 PA 1963803.740000 0.170673 Long ABS-CBDO CORP NL N 2 2038-04-15 Floating 3.297 N N N N N N N/A N/A 000000000 1.000000 NC 572.760000 0.0000498 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 130343.470000 SGD 102184.890000 USD 2026-05-04 572.760000 N N N RCKT MORTGAGE TRUST 2024-CES7 N/A 749414AA6 1346020.470000 PA USD 1345353.790000 0.116924 Long ABS-MBS CORP US N 2 2044-10-25 Variable 5.158 N N N N N N N/A N/A 000000000 -700000.000000 NC USD -3964.660000 -0.0003446 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.90000 04/22/26-10Y LCH 2036-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-04-20 XXXX -1654.660000 N N N FHLMC PASS THRU POOLS N/A 31292KYV3 57382.880000 PA USD 60591.580000 0.005266 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -9269.080000 -0.0008056 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 219383.060000 USD 780000.000000 PLN 2026-04-15 -9269.080000 N N N N/A N/A 000000000 1.000000 NC -19387.960000 -0.001685 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 501774.990000 USD 15887250.000000 THB 2026-04-20 -19387.960000 N N N NELNET STUDENT LOAN TRUST 2025-CA N/A 64035UAB4 2690380.040000 PA USD 2713130.970000 0.235797 Long ABS-O CORP US N 2 2065-06-22 Floating 5.02294 N N N N N N N/A N/A 000000000 1.000000 NC -3568.340000 -0.0003101 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1013014.660000 BRL 192000.000000 USD 2026-04-02 -3568.340000 N N N N/A N/A 000000000 1.000000 NC -1497.630000 -0.0001302 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 133138.960000 USD 1274669.860000 NOK 2026-04-07 -1497.630000 N N N N/A N/A 000000000 1.000000 NC -3464.670000 -0.0003011 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 88295.920000 USD 800000.000000 SEK 2026-06-17 -3464.670000 N N N N/A N/A 000000000 1.000000 NC -28720.030000 -0.002496 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 989216.090000 USD 3565621.480000 PLN 2026-04-15 -28720.030000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 549000.000000 PA USD 547027.030000 0.0475418 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N EAST LANE RE VII LTD N/A 27332EAC5 300000.000000 PA USD 300510.000000 0.0261171 Long DBT CORP KY N 2 2032-03-31 Floating 12.1021 N N N N N N MF1 2021-FL7 LTD N/A 55284AAC2 4600000.000000 PA USD 4599663.970000 0.399754 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.24404 N N N N N N N/A N/A 000000000 1.000000 NC 127.830000 0.0000111 N/A DFE SG N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 10580.250000 SGD 8357.000000 USD 2026-04-02 127.830000 N N N N/A N/A 000000000 -21900000.000000 NC USD -118923.570000 -0.0103356 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% JUN 30YR N/A 102.170000 USD 2026-06-04 XXXX -78716.540000 N N N N/A N/A 000000000 1.000000 NC -5639.170000 -0.0004901 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13375809.770000 TRY 295017.750000 USD 2026-04-03 -5639.170000 N N N N/A N/A 000000000 8800000.000000 NC USD 39081.680000 0.0033966 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.03250 05/11/26-10Y LCH 2036-05-11 0.000000 USD 0.000000 USD N/A USD N/A 4.030000 USD 2026-05-07 XXXX -11687.550000 N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2R3GV0 43800000.000000 PA 981684.540000 0.0853176 Long DBT NUSS TR N 2 2028-09-06 Fixed 39.28 N N N N N N N/A N/A 000000000 1.000000 NC USD 1058454.920000 0.0919897 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 1177598.190000 USD 0.000000 USD 8400000.000000 USD -119143.270000 N N N N/A N/A 000000000 1.000000 NC -15382.120000 -0.0013369 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 720078.880000 USD 66728168.840000 INR 2026-04-07 -15382.120000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 1991.690000 PA USD 1950.110000 0.0001695 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.44865 N N N N N N N/A N/A 000000000 1.000000 NC -17853.350000 -0.0015516 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 690211.350000 USD 63665992.200000 INR 2026-04-07 -17853.350000 N N N N/A N/A 000000000 1.000000 NC -2179.050000 -0.0001894 N/A DFE AU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 71097.460000 USD 100000.000000 AUD 2026-06-17 -2179.050000 N N N FANNIE MAE REMICS 2025-78 N/A 3136BW7K6 6991064.310000 PA USD 7050028.340000 0.612714 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.8119 N N N N N N N/A N/A 000000000 1.000000 NC -35478.500000 -0.0030834 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-01-08 0.000000 EUR -1192.020000 EUR 500000.000000 EUR -34286.480000 N N N N/A N/A 000000000 99600000.000000 NC USD 86333.280000 0.0075032 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% MAY 30YR N/A 99.100000 USD 2026-05-06 XXXX 55208.280000 N N N FNMA PASS THRU POOLS N/A 3140XQMD6 973419.480000 PA USD 992964.990000 0.086298 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412YFP2 30078.320000 PA USD 30815.860000 0.0026782 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -785.300000 -0.0000682 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 500000.000000 USD -785.300000 N N N UMBS PASS THRU POOLS N/A 01F062663 162500000.000000 PA USD 167973562.250000 14.5985 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -87218.610000 -0.0075801 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2176162.000000 USD 197803333.070000 INR 2026-04-07 -87218.610000 N N N GNMA PASS THRU POOLS N/A 36183QYH2 19597.300000 PA USD 18412.790000 0.0016002 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 89939.730000 PA USD 89602.410000 0.0077873 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.13169 N N N N N N FNMA PASS THRU POOLS N/A 3138WET25 2007.890000 PA USD 1886.510000 0.000164 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 579029.910000 PA USD 537985.200000 0.046756 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.16303 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2XSL83 48800000.000000 PA 14319004.570000 1.24446 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 USD 59535.930000 0.0051742 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2036-06-17 86910.740000 USD 0.000000 USD 5162000.000000 USD -27374.810000 N N N N/A N/A 000000000 1.000000 NC -34520.970000 -0.0030002 N/A DFE JP N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 976974961.000000 JPY 6121397.000000 USD 2026-04-02 -34520.970000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 5130.970000 PA USD 5079.100000 0.0004414 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.12638 N N N N N N GSR MORTGAGE LOAN TRUST 2007-3F N/A 3622MWAR4 163661.110000 PA USD 115200.420000 0.010012 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 7865.470000 0.0006836 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 796000.000000 GBP 1061451.430000 USD 2026-04-02 7865.470000 N N N N/A N/A 000000000 1.000000 NC -2506.530000 -0.0002178 N/A DFE AU N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 577000.000000 AUD 395445.280000 USD 2026-05-04 -2506.530000 N N N FNMA PASS THRU POOLS N/A 3138YR5Y0 9876.420000 PA USD 9279.380000 0.0008065 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.5 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 108500000.000000 PA 6301768.490000 0.547683 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 USD -1774.320000 -0.0001542 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -1275.000000 USD 300000.000000 USD -499.320000 N N N N/A N/A 000000000 1.000000 NC 3993.780000 0.0003471 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 341000.000000 CAD 249134.530000 USD 2026-04-02 3993.780000 N N N N/A N/A 000000000 1.000000 NC USD -10608.590000 -0.000922 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2052-07-20 37501.340000 USD 0.000000 USD 2500000.000000 USD -48109.930000 N N N N/A N/A 000000000 1.000000 NC USD -30925.870000 -0.0026877 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2026-12-09 0.000000 USD 0.000000 USD 4826113.600000 USD -30925.870000 N N N N/A N/A 000000000 1.000000 NC -1050142.560000 -0.0912673 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-12-17 0.000000 JPY -1034597.870000 JPY 1640000000.000000 JPY -15544.690000 N N N N/A N/A 000000000 1.000000 NC 13922.550000 0.00121 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 507328.070000 USD 2700000.000000 BRL 2026-04-02 13922.550000 N N N FNMA PASS THRU POOLS N/A 3138EJKA5 275.750000 PA USD 275.010000 0.0000239 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 2654.290000 0.0002307 N/A DFE CZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10127081.710000 CZK 479658.000000 USD 2026-04-15 2654.290000 N N N N/A N/A 000000000 1.000000 NC USD -385058.010000 -0.0334652 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2026-08-05 0.000000 USD 0.000000 USD 60325284.800000 USD -385058.010000 N N N N/A N/A 000000000 1.000000 NC 49832.650000 0.0043309 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 4166414.200000 PEN 1231282.640000 USD 2026-12-21 49832.650000 N N N FHLMC PASS THRU POOLS N/A 3142GSKD9 3172032.910000 PA USD 3193564.540000 0.277551 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A7CB N/A 76113NAC7 307957.790000 PA USD 225269.460000 0.019578 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -68693.260000 -0.0059701 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3400000.000000 BRL 587696.400000 USD 2026-04-02 -68693.260000 N N N N/A N/A 000000000 14900000.000000 NC USD 12161.380000 0.0010569 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.46250 04/16/26-7Y LCH 2033-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2026-04-14 XXXX -54654.760000 N N N N/A N/A 000000000 1.000000 NC 288.330000 0.0000251 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 508738.700000 USD 3506000.000000 CNY 2026-04-02 288.330000 N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer