0001752724-24-047873.txt : 20240229
0001752724-24-047873.hdr.sgml : 20240229
20240229104847
ACCESSION NUMBER: 0001752724-24-047873
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240229
DATE AS OF CHANGE: 20240229
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Brighthouse Funds Trust I
CENTRAL INDEX KEY: 0001126087
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-10183
FILM NUMBER: 24700127
BUSINESS ADDRESS:
STREET 1: BRIGHTHOUSE INVESTMENT ADVISERS, LLC
STREET 2: 11225 NORTH COMMUNITY HOUSE RD
CITY: CHARLOTTE
STATE: NC
ZIP: 28277
BUSINESS PHONE: 9809495121
MAIL ADDRESS:
STREET 1: BRIGHTHOUSE INVESTMENT ADVISERS, LLC
STREET 2: 11225 NORTH COMMUNITY HOUSE RD
CITY: CHARLOTTE
STATE: NC
ZIP: 28277
FORMER COMPANY:
FORMER CONFORMED NAME: MET INVESTORS SERIES TRUST
DATE OF NAME CHANGE: 20001010
0001126087
S000011099
PIMCO Inflation Protected Bond Portfolio
C000030630
Class A
C000030631
Class B
C000030633
Class E
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001126087
XXXXXXXX
S000011099
C000030630
C000030631
C000030633
Brighthouse Funds Trust I
811-10183
0001126087
549300LQX1AREJYGF247
Brighthouse Investment Advisers, LLC
11225 North Community House Road
Charlotte
28277
980-949-5089
PIMCO Inflation Protected Bond Portfolio
S000011099
FREHSUZCHJI3D2JRSZ18
2023-12-31
2023-12-31
N
4406245926.96
2728817726.52
1677428200.44
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2526210812.14000000
0.00000000
0.00000000
8331124.34000000
DKK
EUR
JPY
USD
N
Bloomberg US TIPS
LBUTTRUU
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EA042 IRS EUR R V 01MCPTFE SWU0EA042 CCPINFLATIONZERO / Short: BWU0EA042 IRS EUR P F 2.72000 SWUVEA044 CCPINFLATIONZERO
000000000
6500000.00000000
OU
Notional Amount
-76673.25000000
-0.00457088118
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2032-06-15
0.00000000
EUR
-29253.51000000
EUR
6500000.00000000
EUR
-46360.42000000
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
57492209.63000000
PA
6644026.97000000
0.396084134525
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341RX9
42386.81000000
PA
USD
39643.66000000
0.002363359575
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.83600000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
1892656.00000000
PA
2059415.03000000
0.122772171676
Long
DBT
NUSS
FR
Y
2
2031-07-25
Fixed
0.10000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-1027.95000000
-0.00006128131
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1698912.00000000
TWD
54839.00000000
USD
2024-03-20
-1027.95000000
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-1
07387AAB1
97071.73000000
PA
USD
87110.17000000
0.005193078903
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
4.32900000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR24
000000000
128.00000000
NC
USD
275071.87000000
0.016398428852
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUH4 Comdty
2024-03-28
26081928.07000000
USD
275071.87000000
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
2100000.00000000
PA
210627.14000000
0.012556551746
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
4299310.95000000
PA
475140.74000000
0.028325548591
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-564062.80000000
-0.03362664344
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
133011196.00000000
EUR
146307527.20000000
USD
2024-01-09
-564062.80000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CFR7
92419380.00000000
PA
USD
91711956.78000000
5.467414745736
Long
DBT
UST
US
N
2
2027-10-15
Fixed
1.62500000
N
N
N
N
N
N
Fidelity Grand Harbour CLO
635400CBUJWOFHRXZT14
Fidelity Grand Harbour CLO 2019-1 DAC
000000000
900000.00000000
PA
983480.49000000
0.058630258495
Long
ABS-CBDO
CORP
IE
N
2
2032-03-15
Floating
5.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0Y9274 IRS USD R F 2.33500 INFLATIONZERO CCP LCH / Short: SWU0Y9274 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH
000000000
13090000.00000000
OU
Notional Amount
USD
-1158509.77000000
-0.06906464131
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-02-05
28401.64000000
USD
0.00000000
USD
13090000.00000000
USD
-1186911.41000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-36213.40000000
-0.00215886438
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4052012.00000000
GBP
5128854.45000000
USD
2024-01-09
-36213.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01E2S3 IRS JPY R V 06MTONA SWUV1E2S5 CCPOIS / Short: BWU01E2S3 IRS JPY P F .30000 SWU01E2S3 CCPOIS
000000000
788000000.00000000
OU
Notional Amount
25035.48000000
0.001492491898
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-09-20
0.00000000
JPY
-473772.00000000
JPY
788000000.00000000
JPY
29612.26000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
4909710.00000000
PA
5379999.07000000
0.320729022475
Long
DBT
NUSS
FR
Y
2
2024-07-25
Fixed
0.25000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
1248RHAC1
1251371.74000000
PA
USD
792427.90000000
0.047240644922
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
5.67700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBJF8
260909.06000000
PA
USD
249759.81000000
0.014889448617
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-16321.80000000
-0.00097302525
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
8775000.00000000
DKK
1283543.51000000
USD
2024-01-09
-16321.80000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TE8
7957800.00000000
PA
USD
4872621.98000000
0.290481701614
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU07KU29 IRS EUR R V 01MCPTFE SWU07KU29 CCPINFLATIONZERO / Short: BWU07KU29 IRS EUR P F 2.60000 SWUV7KU21 CCPINFLATIONZERO
000000000
6600000.00000000
OU
Notional Amount
126440.66000000
0.007537768827
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2032-05-15
26553.75000000
EUR
0.00000000
EUR
6600000.00000000
EUR
97875.70000000
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE2
04541GHW5
1226564.25000000
PA
USD
1192536.90000000
0.071093171063
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
6.29500000
N
N
N
N
N
N
Birch Grove CLO Ltd.
N/A
Birch Grove CLO Ltd
09075JAL3
829391.95000000
PA
USD
829784.25000000
0.049467646351
Long
ABS-CBDO
CORP
KY
N
2
2031-06-15
Floating
6.77600000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-3 Ltd
69702BAA9
1930658.26000000
PA
USD
1927036.35000000
0.114880407369
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.47700000
N
N
N
N
N
N
Sound Point CLO LTD
549300W2FX6HEXN27U70
Sound Point CLO IX Ltd
83609GBN4
1400000.00000000
PA
USD
1396397.80000000
0.083246352936
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.88700000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust
93363QAC2
92653.90000000
PA
USD
81312.47000000
0.004847448610
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
6.51200000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4
251513BD8
148866.58000000
PA
USD
124272.11000000
0.007408490567
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.38600000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040628
47665720.00000000
PA
USD
45120445.39000000
2.689858521405
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
317U3VGA2 PIMCO SWAPTION 2.8 CALL EUR 20250901
000000000
-25800000.00000000
NC
-528932.78000000
-0.03153236483
N/A
DIR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
IRS Swap
N/A
25800000.00000000
OU
Notional Amount
N/A
-528932.78000000
-0.03000000
DIR
US
N/A
N/A
2027-09-03
0.00000000
N/A
0.00000000
N/A
25800000.00000000
EUR
1.00000000
2.80000000
EUR
2025-09-01
XXXX
-203785.80000000
N
N
N
Anchorage Capital CLO LTD
549300NPGT86ACOLIL14
Anchorage Capital Clo 11 Ltd
03330NAJ3
1600000.00000000
PA
USD
1597985.60000000
0.095264023794
Long
ABS-CBDO
CORP
KY
N
2
2032-07-22
Floating
6.81400000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR7
362341XE4
122802.44000000
PA
USD
102098.88000000
0.006086631903
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
4.57900000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust
929227XB7
4564.51000000
PA
USD
4186.02000000
0.000249549876
Long
ABS-MBS
CORP
US
N
2
2042-11-25
Floating
6.21200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
17017642.80000000
PA
USD
11081924.22000000
0.660649690823
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
SLM Student Loan Trust
549300YK6GOQU7FJ5N55
SLM Student Loan Trust 2004-3
78442GLL8
2088889.53000000
PA
USD
2019491.82000000
0.120392146708
Long
ABS-O
CORP
US
N
2
2064-10-25
Floating
6.14600000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-5357.85000000
-0.00031940860
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
855662.00000000
GBP
1085347.78000000
USD
2024-01-09
-5357.85000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE MAR24
000000000
-115.00000000
NC
-471762.50000000
-0.02812415457
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
French Government Bond Futures
OATH4 Comdty
2024-03-07
-14696309.60000000
EUR
-471762.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JD9A8 IRS USD R F 2.50000 SWUVJD9A0 CCPINFLATIONZERO / Short: SWU0JD9A8 IRS USD P V 01MUSCPI SWU0JD9A8 CCPINFLATIONZERO
000000000
7100000.00000000
OU
Notional Amount
USD
6795.27000000
0.000405100498
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-09-07
0.00000000
USD
0.00000000
USD
7100000.00000000
USD
6795.27000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0KH016 IRS EUR R F 2.68200 SWUVKH018 CCPINFLATIONZERO / Short: SWU0KH016 IRS EUR P V 01MCPTFE SWU0KH016 CCPINFLATIONZERO
000000000
1100000.00000000
OU
Notional Amount
91797.36000000
0.005472506064
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2053-10-15
0.00000000
EUR
0.00000000
EUR
1100000.00000000
EUR
91797.36000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A6
466247TZ6
12065.31000000
PA
USD
11154.35000000
0.000664967358
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.39200000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2004-12
36242DLF8
145699.57000000
PA
USD
131507.25000000
0.007839813946
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
5.21600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCM1
17628854.40000000
PA
USD
15670095.99000000
0.934173873188
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01YFI7 TRS USD R F .00000 912828H45 MYC TIPS TRS / Short: SWU01YFI7 TRS USD P F 5.62000 TRS R 5.62/912828H45 MYC
000000000
37460049.30000000
OU
Notional Amount
USD
416988.00000000
0.024858768911
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-16
0.00000000
USD
0.00000000
USD
37460049.30000000
USD
416988.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EN655 IRS USD R V 01MUSCPI SWU0EN655 CCPINFLATIONZERO / Short: BWU0EN655 IRS USD P F 2.31375 SWUVEN657 CCPINFLATIONZERO
000000000
10200000.00000000
OU
Notional Amount
USD
1005351.58000000
0.059934105062
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-02-26
0.00000000
USD
0.00000000
USD
10200000.00000000
USD
1005351.58000000
N
N
N
Carlyle Global Market Strategies
549300R4G5ROMXQ5CG20
Carlyle Global Market Strategies CLO 2012-4 Ltd
14309YBQ6
400000.00000000
PA
USD
399884.40000000
0.023839136595
Long
ABS-CBDO
CORP
KY
N
2
2032-04-22
Floating
6.75400000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 5
81743WAA9
9973.30000000
PA
USD
9646.50000000
0.000575076775
Long
ABS-MBS
CORP
US
N
2
2026-10-19
Floating
6.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EDD9
368398.39000000
PA
USD
325810.38000000
0.019423208690
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
MKS CLO Ltd
549300JCIKT6NT8T1275
MKS CLO 2017-2 Ltd
12662CAA5
3047081.32000000
PA
USD
3047370.79000000
0.181669223708
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.86700000
N
N
N
N
N
N
Mellon Residential Funding Corporation
N/A
Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1
585525FC7
33662.33000000
PA
USD
31768.24000000
0.001893865859
Long
ABS-MBS
CORP
US
N
2
2031-11-15
Floating
6.17600000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF17
32028KAB2
8057827.12000000
PA
USD
6965314.69000000
0.415237724522
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.59000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01YG13 TRS USD R F .00000 912828V49 MYC TIPS TRS / Short: SWU01YG13 TRS USD P F 5.62000 TRS R 5.62/912828V49 MYC
000000000
23590292.44000000
OU
Notional Amount
USD
695469.16000000
0.041460442826
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-16
0.00000000
USD
0.00000000
USD
23590292.44000000
USD
695469.16000000
N
N
N
Catamaran CLO Ltd
549300C8Q7ISEHHDRH76
Catamaran CLO 2014-1 Ltd
14889DAJ7
1350268.25000000
PA
USD
1349701.14000000
0.080462528270
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
6.77400000
N
N
N
N
N
N
Venture CDO Ltd
549300EDZDHKTKE7JV77
Venture XXIV CLO Ltd
92330WBJ5
565354.90000000
PA
USD
564371.18000000
0.033645027539
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
6.57700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128287D6
26496227.45000000
PA
USD
24484475.68000000
1.459643737572
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QO1 Trust
761118EN4
42494.72000000
PA
USD
31703.17000000
0.001889986706
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.77000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
579758.40000000
PA
USD
584877.03000000
0.034867485228
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
Atlas Senior Loan Fund LTD
N/A
Atlas Senior Loan Fund Ltd
04943AAC3
1075327.06000000
PA
USD
1075281.90000000
0.064103006001
Long
ABS-CBDO
CORP
KY
N
2
2030-01-16
Floating
6.80500000
N
N
N
N
N
N
CIFC Funding Ltd
254900JEH56UBUEZJW15
CIFC Funding 2017-IV Ltd
12551JAL0
2109312.67000000
PA
USD
2108262.23000000
0.125684200936
Long
ABS-CBDO
CORP
KY
N
2
2030-10-24
Floating
6.61000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAJ4
38278.17000000
PA
USD
36006.57000000
0.002146534199
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.53800000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AQ1
15214.78000000
PA
USD
14505.23000000
0.000864730305
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
5.30100000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT MAR24
000000000
-3.00000000
NC
-6910.33000000
-0.00041195980
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SFE 10 Year Australian Bond Futures
XMH4 Comdty
2024-03-15
-339856.53000000
AUD
-6910.33000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWHY2
8786631.27000000
PA
USD
8520022.03000000
0.507921711806
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
0020A2CK6
4800000.00000000
PA
USD
4739541.60000000
0.282548105412
Long
STIV
CORP
US
N
2
2024-03-19
None
0.00000000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
4247897.53000000
PA
511417.69000000
0.030488201513
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01P3T5 TRS USD R F .00000 BOND TRS / Short: SWU01P3T5 TRS USD P V 00MCPU TRS R CPURNSA +0.15 BPS
000000000
30162515.00000000
OU
Notional Amount
USD
1195636.50000000
0.071277953934
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-02-23
0.00000000
USD
-4410830.12000000
USD
30162515.00000000
USD
5606466.62000000
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-A Trust
058927AA2
102985.23000000
PA
USD
95527.80000000
0.005694896507
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
5.49000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01Z1L2 TRS USD R F .00000 TRS R 5.57/912828ZJ2 MYC / Short: SWU01Z1L2 TRS USD P F 5.57000 5.57 FIXED
000000000
11371659.40000000
OU
Notional Amount
USD
119235.00000000
0.007108202900
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-09
0.00000000
USD
-1188771.48000000
USD
11371659.40000000
USD
1308006.48000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
6620265.00000000
PA
6849092.33000000
0.408309120366
Long
DBT
NUSS
FR
Y
2
2038-07-25
Fixed
0.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01QDX3 IRS EUR R F 2.87880 SWU01QDX3 CCPVANILLA / Short: SWU01QDX3 IRS EUR P V 06MEURIB SWUV1QDX5 CCPVANILLA
000000000
21800000.00000000
OU
Notional Amount
768948.42000000
0.045840914073
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-08-15
0.00000000
EUR
0.00000000
EUR
21800000.00000000
EUR
768948.42000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EQ781 IRS USD R V 01MUSCPI SWU0EQ781 CCPINFLATIONZERO / Short: BWU0EQ781 IRS USD P F 2.64500 SWUVEQ783 CCPINFLATIONZERO
000000000
2400000.00000000
OU
Notional Amount
USD
123338.47000000
0.007352831552
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-09-10
0.00000000
USD
0.00000000
USD
2400000.00000000
USD
123338.47000000
N
N
N
Crestline Denali CLO XIV, LTD
549300SBJ7CCHEFNE215
Crestline Denali CLO XIV Ltd
22615MAW2
1081816.50000000
PA
USD
1081805.68000000
0.064491921604
Long
ABS-CBDO
CORP
KY
N
2
2031-10-23
Floating
6.81400000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-12R
12651DAG3
2366174.25000000
PA
USD
2134282.55000000
0.127235404140
Long
ABS-MBS
CORP
US
N
2
2037-11-30
Variable
3.19300000
N
N
N
N
N
N
Barings CLO Ltd. 2016-II
549300Z33CTC4YAKLT16
Barings CLO Ltd 2016-II
06761CAL3
1900000.00000000
PA
USD
1897763.70000000
0.113135316283
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
6.74700000
N
N
N
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
9197954.81000000
PA
1046562.77000000
0.062390913049
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Sound Point CLO LTD
549300YVZ0M0XDDYS744
Sound Point Clo XV Ltd
83609RAL5
303293.34000000
PA
USD
303225.71000000
0.018076822001
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
6.57400000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F062622
10990000.00000000
PA
USD
11260886.25000000
0.671318524813
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
6.50000000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4
70069FMT1
97403.68000000
PA
USD
93658.62000000
0.005583465210
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
6.20500000
N
N
N
N
N
N
Vibrant CLO Ltd
5493008IYL3HLPE46G85
Vibrant CLO XI Ltd
92558NAJ1
900000.00000000
PA
USD
898542.90000000
0.053566698101
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.79700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0XL419 IRS EUR R F 2.59000 SWUVXL411 CCPINFLATIONZERO / Short: SWU0XL419 IRS EUR P V 01MCPTFE SWU0XL419 CCPINFLATIONZERO
000000000
2300000.00000000
OU
Notional Amount
80532.04000000
0.004800923221
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2052-12-15
0.00000000
EUR
0.00000000
EUR
2300000.00000000
EUR
80532.04000000
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAF9
4367836.95000000
PA
USD
4317723.45000000
0.257401386769
Long
ABS-O
CORP
US
N
2
2037-10-25
Floating
6.97000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-61
12668AVP7
14708.32000000
PA
USD
12909.72000000
0.000769613864
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWHT3
4750817.16000000
PA
USD
4770023.38000000
0.284365278868
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-80540.04000000
-0.00480140014
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
297469139.00000000
JPY
2030500.53000000
USD
2024-01-09
-80540.04000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-1T1
23246KAA9
3057354.98000000
PA
USD
1151869.19000000
0.068668762674
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
8314.51000000
PA
1130.57000000
0.000067399009
Long
DBT
CORP
DK
Y
2
2047-04-01
Fixed
2.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust
93363PAD2
3322316.11000000
PA
USD
2831023.63000000
0.168771672567
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
4.02000000
N
N
N
N
N
N
LCM Ltd Partnership
549300WD241FFLNM0E69
LCM XIII LP
50184KBL1
503932.10000000
PA
USD
503866.59000000
0.030038042156
Long
ABS-CBDO
CORP
KY
N
2
2027-07-19
Floating
6.52800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EA018 IRS EUR R V 01MCPTFE SWU0EA018 CCPINFLATIONZERO / Short: BWU0EA018 IRS EUR P F 3.00000 SWUVEA010 CCPINFLATIONZERO
000000000
2000000.00000000
OU
Notional Amount
37058.66000000
0.002209254619
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2027-05-15
649.06000000
EUR
0.00000000
EUR
2000000.00000000
EUR
36392.13000000
N
N
N
Dryden Leveraged Loan CDO
635400BB1FXUIKRSHD56
Dryden 35 Euro CLO 2014 DAC
000000000
800000.00000000
PA
870338.40000000
0.051885284852
Long
ABS-CBDO
CORP
IE
N
2
2033-01-17
Floating
4.96500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0PS017 IRS USD R V 01MUSCPI SWU0PS017 CCPINFLATIONZERO / Short: BWU0PS017 IRS USD P F 2.31125 SWUVPS019 CCPINFLATIONZERO
000000000
21200000.00000000
OU
Notional Amount
USD
2216264.96000000
0.132122791271
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-02-24
6992.00000000
USD
0.00000000
USD
21200000.00000000
USD
2209272.96000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-2
41161PLR2
26203.79000000
PA
USD
23652.04000000
0.001410018026
Long
ABS-MBS
CORP
US
N
2
2035-05-19
Floating
5.91000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0DA449 IRS USD R V 01MUSCPI SWU0DA449 CCPINFLATIONZERO / Short: BWU0DA449 IRS USD P F 1.89000 SWUVDA441 CCPINFLATIONZERO
000000000
12300000.00000000
OU
Notional Amount
USD
1700576.47000000
0.101379985715
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-08-27
0.00000000
USD
0.00000000
USD
12300000.00000000
USD
1700576.47000000
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17312EAC0
785644.37000000
PA
USD
641939.88000000
0.038269291039
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.65000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01YFX4 TRS USD R F .00000 912828YL8 MYC TIPS TRS / Short: SWU01YFX4 TRS USD P F 5.62000 TRS R 5.62/912828YL8 MYC
000000000
58065577.40000000
OU
Notional Amount
USD
615653.10000000
0.036702202802
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-16
0.00000000
USD
0.00000000
USD
58065577.40000000
USD
615653.10000000
N
N
N
Palmer Square European Loan Funding
549300EWDSB2XVX0CY09
Palmer Square European Loan Funding
000000000
4428151.31000000
PA
4888546.32000000
0.291431032262
Long
ABS-CBDO
CORP
IE
N
2
2032-04-12
Floating
5.93800000
N
N
N
N
N
N
Toro European CLO
635400CNR8OQZHQBZR28
Toro European CLO 5 DAC
000000000
815960.99000000
PA
891612.12000000
0.053153519165
Long
ABS-CBDO
CORP
IE
N
2
2030-10-15
Floating
4.70500000
N
N
N
N
N
N
Towd Point Mortgage Funding
635400655NWVVZHH1395
Towd Point Mortgage Funding 2019 - Granite4 PLC
000000000
2736948.51000000
PA
3492642.82000000
0.208214147054
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
6.36500000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 64 CLO Ltd
26251LAC8
677861.09000000
PA
USD
676863.28000000
0.040351251983
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
6.62700000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBL0
1501683.28000000
PA
USD
1500189.11000000
0.089433879173
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
6.64400000
N
N
N
N
N
N
Crestline Denali CLO XV, Ltd.
254900I3X14OTGXOC969
Crestline Denali CLO XV Ltd
22616CAJ2
715072.11000000
PA
USD
715243.01000000
0.042639262283
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
6.70700000
N
N
N
N
N
N
Lockwood Grove CLO Ltd
5493002M81H40VJBI051
Lockwood Grove CLO LTD
54008PAW3
264599.77000000
PA
USD
264589.45000000
0.015773518647
Long
ABS-CBDO
CORP
KY
N
2
2030-01-25
Floating
6.81000000
N
N
N
N
N
N
Laurelin BV
5493000IP0JWCUCF6H56
Laurelin 2016-1 DAC
000000000
665042.17000000
PA
725405.91000000
0.043245124280
Long
ABS-CBDO
CORP
IE
N
2
2031-10-20
Floating
4.71300000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-7525.97000000
-0.00044866123
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
198015846.00000000
HUF
563185.00000000
USD
2024-01-04
-7525.97000000
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS
86359B7K1
43465.06000000
PA
USD
42755.02000000
0.002548843520
Long
ABS-O
CORP
US
N
2
2035-04-25
Floating
6.95700000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM XXIV Ltd
67113DAW4
300000.00000000
PA
USD
298369.80000000
0.017787336585
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.83700000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2004-13
576433UM6
32191.57000000
PA
USD
30126.09000000
0.001795968971
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
5.38600000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2004-4
64352VJJ1
307716.44000000
PA
USD
296312.07000000
0.017664664867
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
6.23500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01JA46 IRS EUR R F 2.48750 SWUV1JA48 CCPINFLATIONZERO / Short: SWU01JA46 IRS EUR P V 01MCPTFE SWU01JA46 CCPINFLATIONZERO
000000000
4460000.00000000
OU
Notional Amount
-126603.40000000
-0.00754747058
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2037-05-15
4358.71000000
EUR
0.00000000
EUR
4460000.00000000
EUR
-131284.80000000
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2006-NLC1
83611DAA6
39708.11000000
PA
USD
11711.79000000
0.000698199183
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
5.59000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0KT119 IRS EUR R F 2.58000 SWUVKT111 CCPINFLATIONZERO / Short: SWU0KT119 IRS EUR P V 01MCPTFE SWU0KT119 CCPINFLATIONZERO
000000000
1000000.00000000
OU
Notional Amount
-39838.30000000
-0.00237496305
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2052-03-15
615.57000000
EUR
0.00000000
EUR
1000000.00000000
EUR
-40515.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JD9B6 IRS USD R F 2.51000 SWUVJD9B8 CCPINFLATIONZERO / Short: SWU0JD9B6 IRS USD P V 01MUSCPI SWU0JD9B6 CCPINFLATIONZERO
000000000
500000.00000000
OU
Notional Amount
USD
541.36000000
0.000032273214
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-09-08
0.00000000
USD
0.00000000
USD
500000.00000000
USD
541.36000000
N
N
N
CBAM CLO Management LLC
254900JWJFDB3KD6V066
CBAM 2017-1 Ltd
12480VAC9
528487.55000000
PA
USD
528529.83000000
0.031508342941
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.92700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0Z7004 IRS USD R F 2.37000 SWUVZ7006 CCPINFLATIONZERO / Short: SWU0Z7004 IRS USD P V 12MUSCPI SWU0Z7004 CCPINFLATIONZERO
000000000
6400000.00000000
OU
Notional Amount
USD
-541503.04000000
-0.03228174176
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-06-06
0.00000000
USD
-1136.84000000
USD
6400000.00000000
USD
-540366.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EA125 IRS EUR R V 01MCPTFE SWU0EA125 CCPINFLATIONZERO / Short: BWU0EA125 IRS EUR P F 2.35900 SWUVEA127 CCPINFLATIONZERO
000000000
6200000.00000000
OU
Notional Amount
145333.94000000
0.008664093042
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2030-08-15
26079.73000000
EUR
0.00000000
EUR
6200000.00000000
EUR
118943.20000000
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2014-1 Ltd
14310MAW7
475881.44000000
PA
USD
474637.01000000
0.028295518691
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.63400000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPD5
42723.74000000
PA
USD
38173.56000000
0.002275719460
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
5.97000000
N
N
N
N
N
N
Man GLG Euro CLO
635400WPMITSRLC5LX57
Man GLG Euro CLO V DAC
000000000
3970360.80000000
PA
4323597.63000000
0.257751576423
Long
ABS-CBDO
CORP
IE
N
2
2031-12-15
Floating
4.61500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-398.44000000
-0.00002375302
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
329392.00000000
TWD
10408.00000000
USD
2024-02-29
-398.44000000
N
N
N
Apidos CLO Ltd
549300RV409NJP65MP20
Apidos CLO XXVI
03766GAL6
1292425.95000000
PA
USD
1291297.66000000
0.076980800707
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
6.55700000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-8
437084QA7
1475419.83000000
PA
USD
1420509.87000000
0.084683795683
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
6.14500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
3359290.44000000
PA
USD
3757669.10000000
0.224013707353
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.37500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust
93363CAC3
279422.50000000
PA
USD
228833.28000000
0.013641912061
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
6.06000000
N
N
N
N
N
N
Atlas Senior Loan Fund LTD
N/A
Atlas Senior Loan Fund X Ltd
04942JAC5
436755.55000000
PA
USD
436576.48000000
0.026026537522
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.74500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0K8A23 IRS EUR R F 2.70000 SWU0K8A23 CCPINFLATIONZERO / Short: SWU0K8A23 IRS EUR P V 00MCPTFE SWU0K8A23 CCPINFLATIONZERO
000000000
3100000.00000000
OU
Notional Amount
274109.82000000
0.016341076174
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2053-04-15
18472.23000000
EUR
0.00000000
EUR
3100000.00000000
EUR
253869.30000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-0.06000000
-0.00000000357
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
1409.00000000
HUF
4.00000000
USD
2024-01-04
-0.06000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CAQ4
10908356.00000000
PA
USD
10488778.09000000
0.625289242618
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.12500000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2003-6
576433GC4
15804.72000000
PA
USD
14175.78000000
0.000845090120
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Variable
4.51500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-32186.86000000
-0.00191882191
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
105000000.00000000
JPY
712963.58000000
USD
2024-01-09
-32186.86000000
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
5197.40000000
PA
715.17000000
0.000042634909
Long
DBT
CORP
DK
Y
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
Romark CLO Ltd
N/A
Romark CLO Ltd
77587UAL6
1059504.25000000
PA
USD
1059187.46000000
0.063143534830
Long
ABS-CBDO
CORP
KY
N
2
2030-10-23
Floating
6.70400000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
1.73000000
PA
0.20000000
0.000000011923
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31336CLR2
10609.39000000
PA
USD
10750.21000000
0.000640874524
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Floating
5.93400000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
6591888.99000000
PA
USD
6591888.99000000
0.392975925185
Long
RA
CORP
US
N
2
Repurchase
N
2.50000000
2024-01-02
6575700.00000000
USD
6723791.57000000
USD
UST
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
3957954.00000000
PA
4081939.64000000
0.243345118374
Long
DBT
NUSS
IT
Y
2
2030-05-15
Fixed
0.40000000
N
N
N
N
N
N
Jyske Realkredit A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
3407.43000000
PA
465.87000000
0.000027772872
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-1
170255AA1
790175.00000000
PA
USD
378006.84000000
0.022534904319
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
BlueMountain EUR CLO
635400LB9H2C6ADADO52
BlueMountain EUR CLO 2016-1 DAC
000000000
864204.81000000
PA
943642.87000000
0.056255335981
Long
ABS-CBDO
CORP
IE
N
2
2032-04-25
Floating
4.74600000
N
N
N
N
N
N
Venture CDO Ltd
549300SNYYGJ2M6QEK53
Venture XVII CLO Ltd
92329YAL0
390609.65000000
PA
USD
390140.92000000
0.023258278351
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
6.53500000
N
N
N
N
N
N
Ares Euro CLO
635400IKZCKH2JKELA27
Ares European CLO VI DAC
000000000
671073.03000000
PA
732341.25000000
0.043658575061
Long
ABS-CBDO
CORP
IE
N
2
2030-04-15
Floating
4.57500000
N
N
N
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust Series 2006-AR4
39539FAK0
277006.44000000
PA
USD
243897.61000000
0.014539973152
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
5.83000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR24
000000000
-2141.00000000
NC
USD
-4844340.84000000
-0.28879571946
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year U.S. Treasury Notes
FVH4 Comdty
2024-03-28
-228039589.92000000
USD
-4844340.84000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-64128.11000000
-0.00382300178
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
103189030.47000000
DKK
15221551.77000000
USD
2024-01-09
-64128.11000000
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
16296160.60000000
PA
1955215.17000000
0.116560289703
Long
DBT
CORP
DK
Y
2
2043-10-01
Fixed
0.50000000
N
N
N
N
N
N
Carlyle Global Market Strategies
549300CVBX8ZUYQV3Q10
Carlyle Global Market Strategies CLO 2013-1 Ltd
14310BAU5
1519795.91000000
PA
USD
1519054.25000000
0.090558525819
Long
ABS-CBDO
CORP
KY
N
2
2030-08-14
Floating
6.58900000
N
N
N
N
N
N
Venture CDO Ltd
549300NQPL9XHZ20E278
Venture 33 CLO Ltd
92330YAN3
295425.10000000
PA
USD
295151.24000000
0.017595461905
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.71500000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-3
12669GTQ4
237367.14000000
PA
USD
215988.05000000
0.012876142772
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
6.05000000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2
70069FAZ0
1862861.84000000
PA
USD
1824108.73000000
0.108744370073
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.52000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0ZD712 IRS EUR R F 2.59000 SWUVZD714 CCPINFLATIONZERO / Short: SWU0ZD712 IRS EUR P V 01MCPTFE SWU0ZD712 CCPINFLATIONZERO
000000000
1400000.00000000
OU
Notional Amount
-50675.78000000
-0.00302104018
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2052-03-15
0.00000000
EUR
-30824.40000000
EUR
1400000.00000000
EUR
-16192.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01IVA1 IRS EUR R F 1.00000 SWU01IVA1 CCPVANILLA / Short: SWU01IVA1 IRS EUR P V 06MEURIB SWUV1IVA3 CCPVANILLA
000000000
3000000.00000000
OU
Notional Amount
-162470.77000000
-0.00968570636
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-05-18
0.00000000
EUR
0.00000000
EUR
3000000.00000000
EUR
-162470.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01YPR6 IRS USD R F 4.61100 SWU01YPR6 CCPOIS / Short: SWU01YPR6 IRS USD P V 12MSOFR SWUV1YPR8 CCPOIS
000000000
95400000.00000000
OU
Notional Amount
USD
716320.44000000
0.042703493348
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-10-31
0.00000000
USD
0.00000000
USD
95400000.00000000
USD
716320.44000000
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust 2005-AR5
39538WEA2
49516.04000000
PA
USD
43319.23000000
0.002582478939
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
6.01000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01MK06 IRS EUR R V 06MEURIB SWUV1MK08 CCPVANILLA / Short: BWU01MK06 IRS EUR P F .19500 SWU01MK06 CCPVANILLA
000000000
7000000.00000000
OU
Notional Amount
3401556.68000000
0.202784040420
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2052-11-04
0.00000000
EUR
0.00000000
EUR
7000000.00000000
EUR
3401556.68000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TP3
8176974.00000000
PA
USD
7404307.11000000
0.441408288477
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QH8 Trust
74924EAA5
585748.08000000
PA
USD
491823.61000000
0.029320099058
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
5.79100000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Trust
362334ND2
291485.88000000
PA
USD
155746.97000000
0.009284866556
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Variable
6.72000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
549300QTQ6MX6ER06N64
Alternative Loan Trust 2007-OA7
126680AA5
107777.65000000
PA
USD
91133.48000000
0.005432928811
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.83000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT MAR24
000000000
-2236.00000000
NC
-1525683.36000000
-0.09095372067
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 2 Year Euro SCHATZ Futures
DUH4 Comdty
2024-03-07
-236852598.04000000
EUR
-1525683.36000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCA7
19940490.00000000
PA
USD
18979311.72000000
1.131453001387
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0NM772 IRS EUR R F 3.72000 SWUVNM774 CCPINFLATIONZERO / Short: SWU0NM772 IRS EUR P V 12MCPTFE SWU0NM772 CCPINFLATIONZERO
000000000
6300000.00000000
OU
Notional Amount
-12059.63000000
-0.00071893568
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2024-09-15
0.00000000
EUR
-4851.34000000
EUR
6300000.00000000
EUR
-7827.14000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0GH854 IRS EUR R F 2.76300 SWUVGH856 CCPINFLATIONZERO / Short: SWU0GH854 IRS EUR P V 01MCPTFE SWU0GH854 CCPINFLATIONZERO
000000000
3100000.00000000
OU
Notional Amount
344855.13000000
0.020558562799
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2053-09-15
7967.88000000
EUR
0.00000000
EUR
3100000.00000000
EUR
336483.75000000
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
2686575.45000000
PA
296684.51000000
0.017686867904
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
2.00000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
900000.00000000
PA
967458.42000000
0.057675101667
Long
DBT
CORP
GB
Y
2
2025-06-27
Fixed
4.94700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
26988417.40000000
PA
USD
21084885.15000000
1.256976909322
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2005-7N
525221EM5
60039.02000000
PA
USD
55398.71000000
0.003302597988
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.01000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
317526H53 INF CAP USD MAY24 4.0 CALL
000000000
-1500000.00000000
NC
USD
-0.15000000
-0.00000000894
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
US CPI Urban Consumers NSA
CPURNSA Index
1.00000000
4.00000000
USD
2024-05-16
XXXX
10424.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EHK9
520764.94000000
PA
USD
504963.58000000
0.030103439292
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
18590.55000000
0.001108276944
N/A
DFE
XX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1591339.93000000
USD
1458000.00000000
EUR
2024-01-09
18590.55000000
N
N
N
BDS Ltd
N/A
BDS 2022-FL11 LLC
054980AA5
1900000.00000000
PA
USD
1886033.10000000
0.112435995740
Long
ABS-CBDO
CORP
US
N
2
2039-03-19
Floating
7.15600000
N
N
N
N
N
N
GoldenTree Loan Management US CLO1, LTD
549300UYD6YMBA6XSE43
Goldentree Loan Management US Clo 2 Ltd
38136MAU2
684285.13000000
PA
USD
682746.86000000
0.040702002018
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
6.58700000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-14.95000000
-0.00000089124
N/A
DFE
HU
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2458.40000000
USD
847789.00000000
HUF
2024-01-04
-14.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EQ690 IRS USD R V 01MUSCPI SWU0EQ690 CCPINFLATIONZERO / Short: BWU0EQ690 IRS USD P F 2.57300 SWUVEQ692 CCPINFLATIONZERO
000000000
1900000.00000000
OU
Notional Amount
USD
112204.12000000
0.006689056495
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-08-26
0.00000000
USD
0.00000000
USD
1900000.00000000
USD
112204.12000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
5000000.00000000
PA
4280540.59000000
0.255184727958
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU MAR24
000000000
-307.00000000
NC
-242498.90000000
-0.01445658895
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX Short term Euro-BTP Futures
BTSH4 Comdty
2024-03-07
-32521885.28000000
EUR
-242498.90000000
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-4 Ltd
69702HAA6
2112658.64000000
PA
USD
2106804.46000000
0.125597295875
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.45500000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
7274870.42000000
PA
816294.93000000
0.048663479592
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2.00000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT2
83613DAD8
295110.43000000
PA
USD
253238.27000000
0.015096817254
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
21393147.10000000
PA
USD
21959065.15000000
1.309091211429
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust
93364CAA6
151493.74000000
PA
USD
120425.78000000
0.007179191333
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.78200000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR4
86360QAB1
14375.09000000
PA
USD
13850.70000000
0.000825710453
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.85000000
N
N
N
N
N
N
Segovia European CLO 6 - 2019 DAC
6354006IDDCPIYNLI456
Segovia European CLO 6-2019 DAC
000000000
300000.00000000
PA
326490.50000000
0.019463754091
Long
ABS-CBDO
CORP
IE
N
2
2032-07-20
Floating
4.87300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FR4
67349365.40000000
PA
USD
66820474.20000000
3.983507263230
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01VA64 IRS USD R V 12MSOFR SWUV1VA66 CCPOIS / Short: BWU01VA64 IRS USD P F 4.25000 SWU01VA64 CCPOIS
000000000
147100000.00000000
OU
Notional Amount
USD
-416881.40000000
-0.02485241394
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-20
407215.90000000
USD
0.00000000
USD
147100000.00000000
USD
-824097.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UMR5
114315.57000000
PA
USD
117473.92000000
0.007003215992
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
6.02100000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0KT663 IRS EUR R F 3.85000 SWUVKT665 CCPINFLATIONZERO / Short: SWU0KT663 IRS EUR P V 01MCPTFE SWU0KT663 CCPINFLATIONZERO
000000000
6900000.00000000
OU
Notional Amount
6842.58000000
0.000407920887
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2024-09-15
0.00000000
EUR
0.00000000
EUR
6900000.00000000
EUR
6842.58000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382Y5C3
1017054.66000000
PA
USD
1020097.69000000
0.060813195446
Long
ABS-MBS
USGA
US
N
2
2073-05-20
Floating
6.43800000
N
Y
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2007-3
81744MAA0
175582.13000000
PA
USD
151927.27000000
0.009057154873
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
5.87200000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
5822607.40000000
PA
665236.37000000
0.039658112927
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394ANT9
4099.62000000
PA
USD
4027.98000000
0.000240128310
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Floating
5.59300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396L4T4
11923.11000000
PA
USD
11610.63000000
0.000692168523
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
5.50300000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01P5B2 IRS USD R F 1.88750 SWU01P5B2 CCPOIS / Short: SWU01P5B2 IRS USD P V 03MSOFR SWUV1P5B4 CCPOIS
000000000
5000000.00000000
OU
Notional Amount
USD
-1586821.50000000
-0.09459847518
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-11-21
1751.92000000
USD
0.00000000
USD
5000000.00000000
USD
-1588573.42000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QO2 Trust
761118HU5
40559.44000000
PA
USD
35301.18000000
0.002104482325
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
6.37200000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR1
36242DUL5
32613.82000000
PA
USD
29997.93000000
0.001788328704
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
6.16600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
33315758.52000000
PA
USD
34436591.92000000
2.052939846305
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
549300CA9X1CRUCWUL74
Alternative Loan Trust 2006-HY11
021466AA5
1080453.14000000
PA
USD
952175.37000000
0.056764001568
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.71000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SV1
18092898.70000000
PA
USD
11187207.82000000
0.666926180033
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01OR39 IRS USD R F 3.08500 SWU01OR39 CCPOIS / Short: SWU01OR39 IRS USD P V 12MSOFR SWUV1OR31 CCPOIS
000000000
58000000.00000000
OU
Notional Amount
USD
-1710715.80000000
-0.10198444258
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-02-13
0.00000000
USD
-412766.08000000
USD
58000000.00000000
USD
-1297949.72000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01E1X3 IRS JPY R V 06MTONA SWUV1E1X5 CCPOIS / Short: BWU01E1X3 IRS JPY P F .30000 SWU01E1X3 CCPOIS
000000000
426780000.00000000
OU
Notional Amount
20603.18000000
0.001228260022
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-03-20
0.00000000
JPY
-178305.00000000
JPY
426780000.00000000
JPY
22308.92000000
N
N
N
OZLM Ltd
N/A
OZLM IX Ltd
67109KBC7
500000.00000000
PA
USD
500001.00000000
0.029807594737
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
6.77700000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-7
54251TAC3
846972.87000000
PA
USD
329426.03000000
0.019638755918
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
5.71000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EN705 IRS USD R V 01MUSCPI SWU0EN705 CCPINFLATIONZERO / Short: BWU0EN705 IRS USD P F 2.41875 SWUVEN707 CCPINFLATIONZERO
000000000
13000000.00000000
OU
Notional Amount
USD
1208154.48000000
0.072024214191
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-03-05
0.00000000
USD
0.00000000
USD
13000000.00000000
USD
1208154.48000000
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4
251513AR8
8505.95000000
PA
USD
6753.99000000
0.000402639588
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.57000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
100000.00000000
PA
132644.43000000
0.007907607012
Long
DBT
CORP
CH
Y
2
2027-09-30
Fixed
7.00000000
N
N
N
N
N
N
HSI Asset Securitization Corporation Trust
N/A
HSI Asset Securitization Corp Trust 2006-HE1
44328AAB6
4006.39000000
PA
USD
1569.47000000
0.000093564064
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.57000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2007-20N
52525AAA2
2017634.26000000
PA
USD
1918208.47000000
0.114354132683
Long
ABS-O
CORP
US
N
2
2037-12-25
Floating
7.77000000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
9553.37000000
PA
1027.11000000
0.000061231234
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-11
17307GW53
2014.67000000
PA
USD
1969.73000000
0.000117425592
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.98000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-2538.76000000
-0.00015134835
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
134224286.00000000
KRW
102676.83000000
USD
2024-06-20
-2538.76000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
5649419.40000000
PA
USD
5406067.95000000
0.322283120587
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
ARES CLO Ltd
549300S7Y78W7UJHZZ39
ARES L CLO Ltd
04018LAJ4
700000.00000000
PA
USD
699668.20000000
0.041710768891
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
6.70500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3175RWRC3 INF CAP FWD EU JUN35 3 CALL
000000000
-8700000.00000000
NC
-173541.30000000
-0.01034567678
N/A
DIR
DE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Euro-stat Eurozone HICP ex Tobacco NSA
CPTFEMU Index
1.00000000
3.00000000
EUR
2035-06-22
XXXX
208703.56000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U3ULA8 PIMCO SWAPTION 2.9 PUT EUR 20250829
000000000
-11900000.00000000
NC
-58505.13000000
-0.00348778743
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
11900000.00000000
OU
Notional Amount
N/A
-58505.13000000
0.00000000
DIR
US
N/A
N/A
2027-09-02
0.00000000
N/A
0.00000000
N/A
11900000.00000000
EUR
1.00000000
2.90000000
EUR
2025-08-29
XXXX
96161.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0JL852 IRS USD R V 01MUSCPI SWU0JL852 CCPINFLATIONZERO / Short: BWU0JL852 IRS USD P F 2.81300 SWUVJL854 CCPINFLATIONZERO
000000000
4600000.00000000
OU
Notional Amount
USD
316976.62000000
0.018896583467
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-05-14
0.00000000
USD
0.00000000
USD
4600000.00000000
USD
316976.62000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
100000.00000000
PA
103553.88000000
0.006173371830
Long
DBT
CORP
CH
Y
2
2027-06-24
Fixed
1.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-8420.35000000
-0.00050197975
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
821326.00000000
GBP
1038517.45000000
USD
2024-01-09
-8420.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01HX03 IRS EUR R F .70000 SWU01HX03 CCPVANILLA / Short: SWU01HX03 IRS EUR P V 06MEURIB SWUV1HX05 CCPVANILLA
000000000
3100000.00000000
OU
Notional Amount
-195598.44000000
-0.01166061474
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-04-11
0.00000000
EUR
0.00000000
EUR
3100000.00000000
EUR
-195598.44000000
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U3YNA8 PIMCO FPPSWAPTION 2.95 CALL EUR
000000000
-19000000.00000000
NC
-444794.67000000
-0.02651646549
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
19000000.00000000
OU
Notional Amount
N/A
-444794.67000000
-0.03000000
DIR
US
N/A
N/A
2027-09-17
0.00000000
N/A
0.00000000
N/A
19000000.00000000
EUR
1.00000000
2.95000000
EUR
2025-09-15
XXXX
-215143.33000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
18306740.00000000
PA
20011268.91000000
1.192973201759
Long
DBT
NUSS
FR
Y
2
2026-03-01
Fixed
0.10000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
317U3VHA1 PIMCO SWAPTION 2.8 PUT EUR 20250901
000000000
-25800000.00000000
NC
-140707.78000000
-0.00838830418
N/A
DIR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
IRS Swap
N/A
25800000.00000000
OU
Notional Amount
N/A
-140707.78000000
-0.01000000
DIR
US
N/A
N/A
2027-09-03
0.00000000
N/A
0.00000000
N/A
25800000.00000000
EUR
1.00000000
2.80000000
EUR
2025-09-01
XXXX
184439.20000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
317U4AKA2 PIMCO SWAPTION 4.75 CALL USD 2024011
000000000
-13500000.00000000
NC
USD
-188982.86000000
-0.01126622647
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
13500000.00000000
OU
Notional Amount
N/A
-188982.86000000
-0.01000000
DIR
US
N/A
N/A
2026-01-18
0.00000000
N/A
0.00000000
N/A
13500000.00000000
USD
1.00000000
4.75000000
USD
2024-01-16
XXXX
-126207.86000000
N
N
N
OCP Euro CLO
635400KNK84TMOLEE581
OCP Euro CLO 2017-2 DAC
000000000
675733.88000000
PA
740324.25000000
0.044134482167
Long
ABS-CBDO
CORP
IE
N
2
2032-01-15
Floating
4.78500000
N
N
N
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
EURIBOR 3M OPT APR24C 96.75 EXP 04/12/2024
000000000
-603.00000000
NC
-407730.19000000
-0.02430686391
N/A
DIR
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Call
Written
ICE Futures Europe
549300UF4R84F48NCH34
3 Month Euro Euribor Futures
549300UF4R84F48NCH34
3 Month Euro Euribor Futures
N/A
603.00000000
NC
N/A
-407730.19000000
-0.02000000
DIR
US
Short
3 Month Euro Euribor
ERM4 Comdty
2024-06-17
603.00000000
EUR
2500.00000000
96.75000000
EUR
2024-04-12
XXXX
-1065.58000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-13
41161PWB5
72317.65000000
PA
USD
36025.66000000
0.002147672251
Long
ABS-MBS
CORP
US
N
2
2036-02-19
Floating
6.03000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-3255.29000000
-0.00019406434
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
172000.00000000
AUD
113976.97000000
USD
2024-01-09
-3255.29000000
N
N
N
CIFC Funding Ltd
549300X1SKS4LNS5LQ62
CIFC Funding 2017-I Ltd
12551AAL9
371931.08000000
PA
USD
371915.83000000
0.022171788330
Long
ABS-CBDO
CORP
KY
N
2
2029-04-23
Floating
6.68400000
N
N
N
N
N
N
Man GLG Euro CLO
635400X2U1WG8KFSIE39
Man GLG Euro CLO II DAC
000000000
262257.98000000
PA
288455.75000000
0.017196309798
Long
ABS-CBDO
CORP
IE
N
2
2030-01-15
Floating
4.83500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU04AM49 IRS EUR R V 01MCPTFE SWU04AM49 CCPINFLATIONZERO / Short: BWU04AM49 IRS EUR P F 3.13000 SWUV4AM41 CCPINFLATIONZERO
000000000
1400000.00000000
OU
Notional Amount
15443.18000000
0.000920646260
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2027-05-15
0.00000000
EUR
0.00000000
EUR
1400000.00000000
EUR
15443.18000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBV1
625160.19000000
PA
USD
591075.82000000
0.035237026529
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JE262 IRS EUR R F 1.41000 SWUVJE264 CCPINFLATIONZERO / Short: SWU0JE262 IRS EUR P V 01MFRCPX SWU0JE262 CCPINFLATIONZERO
000000000
600000.00000000
OU
Notional Amount
-146088.51000000
-0.00870907678
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on France CPI Ex Tobacco
2039-11-15
0.00000000
EUR
0.00000000
EUR
600000.00000000
EUR
-146088.51000000
N
N
N
Oak Hill European Credit Partners PLC
5493002IYTC83ODTTK84
OAK Hill European Credit Partners VII DAC
000000000
2094572.78000000
PA
2270349.50000000
0.135347044922
Long
ABS-CBDO
CORP
IE
N
2
2031-10-20
Floating
4.73300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FD5
34367160.70000000
PA
USD
36812761.54000000
2.194595365115
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4SEA0 PIMCO SWAPTION 3.9 CALL USD 20240320
000000000
-68300000.00000000
NC
USD
-382350.91000000
-0.02279387635
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
68300000.00000000
OU
Notional Amount
N/A
-382350.91000000
-0.02000000
DIR
US
N/A
N/A
2026-03-22
0.00000000
N/A
0.00000000
N/A
68300000.00000000
USD
1.00000000
3.90000000
USD
2024-03-20
XXXX
-52803.41000000
N
N
N
NATIONAL BK HUNGARY BILL
SS58IXU92ZSUMORZFG95
National Bank of Hungary Bill
000000000
810000000.00000000
PA
2334876.32000000
0.139193815829
Long
STIV
NUSS
HU
N
2
2024-01-04
None
0.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0YU764 IRS EUR R V 01MCPTFE SWU0YU764 CCPINFLATIONZERO / Short: BWU0YU764 IRS EUR P F 2.62000 SWUVYU766 CCPINFLATIONZERO
000000000
1200000.00000000
OU
Notional Amount
-75106.71000000
-0.00447749179
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2053-11-15
0.00000000
EUR
0.00000000
EUR
1200000.00000000
EUR
-75106.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0DZ774 IRS EUR R F 3.52000 SWUVDZ776 CCPINFLATIONZERO / Short: SWU0DZ774 IRS EUR P V 01MCPTFE SWU0DZ774 CCPINFLATIONZERO
000000000
3300000.00000000
OU
Notional Amount
-21046.55000000
-0.00125469155
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2024-09-15
0.00000000
EUR
-3001.59000000
EUR
3300000.00000000
EUR
-18432.89000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4CZ3
4800000.00000000
PA
USD
4670378.40000000
0.278424936386
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
2.92000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GP85
3700000.00000000
PA
USD
3294563.99000000
0.196405663690
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.16000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZJ2
10243470.00000000
PA
USD
9877519.47000000
0.588849017049
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UZZ6
1616654.22000000
PA
USD
1619700.97000000
0.096558587102
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Floating
6.46400000
N
N
N
N
N
N
LCM Loan Income Fund Ltd
N/A
LCM Loan Income Fund I Ltd
50189XAA3
3766425.28000000
PA
USD
3756451.79000000
0.223941137332
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.70700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU09RF45 IRS EUR R F 1.91000 INFLATIONZERO CCP / Short: SWU09RF45 IRS EUR P V 12MCPI FRCPXTOB INFLATIONZERO LCH
000000000
350000.00000000
OU
Notional Amount
-40197.55000000
-0.00239637976
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on France CPI Ex Tobacco
2038-01-15
2279.06000000
EUR
0.00000000
EUR
350000.00000000
EUR
-43028.05000000
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2005-R2
12669GN64
24779.47000000
PA
USD
23156.89000000
0.001380499624
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
5.81000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAA3
17349.02000000
PA
USD
16910.99000000
0.001008149856
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
5.66900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
34000083.12000000
PA
USD
33732619.77000000
2.010972497132
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01Z1S7 TRS USD R F .00000 TRS R 5.57/9128287D6 MYC / Short: SWU01Z1S7 TRS USD P F 5.57000 5.57 FIXED
000000000
53854909.50000000
OU
Notional Amount
USD
1939872.50000000
0.115645635353
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-09
0.00000000
USD
-3340921.57000000
USD
53854909.50000000
USD
5280794.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01IOA9 IRS EUR R F .65000 SWU01IOA9 CCPVANILLA / Short: SWU01IOA9 IRS EUR P V 06MEURIB SWUV1IOA1 CCPVANILLA
000000000
3400000.00000000
OU
Notional Amount
-224640.19000000
-0.01339194070
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-05-11
0.00000000
EUR
0.00000000
EUR
3400000.00000000
EUR
-224640.19000000
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
437084CE4
235963.96000000
PA
USD
230373.43000000
0.013733728212
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
6.32500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU086584 IRS EUR R V 01MFRCPX SWU086584 CCPINFLATIONZERO / Short: BWU086584 IRS EUR P F 1.03000 SWUV86586 CCPINFLATIONZERO
000000000
9200000.00000000
OU
Notional Amount
865890.47000000
0.051620121193
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on France CPI Ex Tobacco
2024-03-15
0.00000000
EUR
-136.47000000
EUR
9200000.00000000
EUR
866069.53000000
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
7305290.07000000
PA
876045.75000000
0.052225528923
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01P3Q1 TRS USD R F .00000 BOND TRS / Short: SWU01P3Q1 TRS USD P V 00MCPU TRS R CPURNSA +0.15 BPS
000000000
36628302.20000000
OU
Notional Amount
USD
1430603.30000000
0.085285516222
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-02-23
0.00000000
USD
-1391214.24000000
USD
36628302.20000000
USD
2821817.54000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12
46651QAA5
634904.59000000
PA
USD
516149.69000000
0.030770300026
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
6.85900000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR24
000000000
-215.00000000
NC
-984068.23000000
-0.05866529665
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 10 Year Euro BUND Futures
RXH4 Comdty
2024-03-07
-28610893.60000000
EUR
-984068.23000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
14583836.00000000
PA
USD
11384452.73000000
0.678684949198
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.62500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU086FC4 IRS EUR R F 1.38000 SWUV86FC6 CCPINFLATIONZERO / Short: SWU086FC4 IRS EUR P V 01MCPTFE SWU086FC4 CCPINFLATIONZERO
000000000
23400000.00000000
OU
Notional Amount
-4958683.39000000
-0.29561225861
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2031-03-15
0.00000000
EUR
-102209.39000000
EUR
23400000.00000000
EUR
-4834311.91000000
N
N
N
CQS US CLO 2022-2, Ltd.
254900Y49XTJ2135YN79
CQS US CLO 2022-2 Ltd
12664BAN7
2060286.86000000
PA
USD
2064871.00000000
0.123097429711
Long
ABS-CBDO
CORP
JE
N
2
2031-07-20
Floating
7.26600000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-3R
12649WAW1
491029.49000000
PA
USD
472500.00000000
0.028168120690
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
5.62000000
N
N
N
N
N
N
Nomura Home Equity Loan Inc
N/A
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1
65536RAF3
1070975.23000000
PA
USD
1056983.80000000
0.063012163484
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.90500000
N
N
N
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
2579294.21000000
PA
310430.22000000
0.018506319371
Long
DBT
CORP
DK
N
2
2043-10-01
Fixed
0.50000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-W4
040104TG6
223537.88000000
PA
USD
53056.36000000
0.003162958628
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
5.79000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01YS36 IRS USD R F 2.34000 SWU01YS36 CCPOIS / Short: SWU01YS36 IRS USD P V 03MSOFR SWUV1YS38 CCPOIS
000000000
90200000.00000000
OU
Notional Amount
USD
-5929531.52000000
-0.35348943808
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-11-21
0.00000000
USD
0.00000000
USD
90200000.00000000
USD
-5929531.52000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01Z1I9 TRS USD R F .00000 TRS R 5.57/91282CCM1 MYC / Short: SWU01Z1I9 TRS USD P F 5.57000 5.57 FIXED
000000000
48992656.00000000
OU
Notional Amount
USD
2234788.50000000
0.133227073409
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-09
873031.47000000
USD
0.00000000
USD
48992656.00000000
USD
1361757.03000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
49605769.30000000
PA
USD
40547988.97000000
2.417271210735
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0ZN009 IRS USD R V 01MUSCPI SWU0ZN009 CCPINFLATIONZERO / Short: BWU0ZN009 IRS USD P F 2.70300 SWUVZN001 CCPINFLATIONZERO
000000000
7090000.00000000
OU
Notional Amount
USD
520363.67000000
0.031021516739
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-05-25
0.00000000
USD
0.00000000
USD
7090000.00000000
USD
520363.67000000
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
699501.64000000
PA
85117.52000000
0.005074286933
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
2.00000000
N
N
N
N
N
N
Mellon Residential Funding Corporation
N/A
MRFC Mortgage Pass-Through Trust Series 2000-TBC3
585525EN4
5915.79000000
PA
USD
5552.45000000
0.000331009696
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Floating
5.91600000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579JG4
44186.83000000
PA
USD
37514.50000000
0.002236429552
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.41200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0FC880 IRS USD R F 1.76000 SWUVFC882 CCPINFLATIONZERO / Short: SWU0FC880 IRS USD P V 12MUSCPI SWU0FC880 CCPINFLATIONZERO
000000000
24500000.00000000
OU
Notional Amount
USD
-3700407.23000000
-0.22060003695
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-11-04
0.00000000
USD
-9993.97000000
USD
24500000.00000000
USD
-3690413.26000000
N
N
N
Capital Four US CLO
N/A
Capital Four US CLO II Ltd
14016CAN6
900000.00000000
PA
USD
900000.00000000
0.053653563220
Long
ABS-CBDO
CORP
JE
N
2
2037-01-20
Floating
7.49400000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR24
000000000
158.00000000
NC
USD
1809408.18000000
0.107867995752
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNH4 Comdty
2024-03-19
19298404.32000000
USD
1809408.18000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052623
-14000000.00000000
PA
USD
-14062343.82000000
-0.83832761463
Short
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
5.50000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
56769896.00000000
PA
61607731.63000000
3.672749248751
Long
DBT
NUSS
IT
Y
2
2025-05-26
Fixed
1.40000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F062614
13010000.00000000
PA
USD
13331692.55000000
0.794769787851
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2005-HE2
61744CNC6
546226.51000000
PA
USD
524689.95000000
0.031279428226
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
15064734.00000000
PA
USD
13652570.96000000
0.813898976803
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
LCM Ltd Partnership
549300FY8UGGJMQNCO13
LCM XXV Ltd
50189PAY8
561688.24000000
PA
USD
560481.17000000
0.033413124320
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.51600000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR24
000000000
-1361.00000000
NC
USD
-12826194.18000000
-0.76463446701
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT U.S. Long Bond Futures
USH4 Comdty
2024-03-19
-157213743.32000000
USD
-12826194.18000000
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust
93363DAA5
1582859.41000000
PA
USD
1428213.25000000
0.085143033223
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
6.01200000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-FL7 Ltd
55284AAA6
694067.59000000
PA
USD
684169.49000000
0.040786812205
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
6.55300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
27735585.60000000
PA
USD
26355470.35000000
1.571183216252
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.37500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR24
000000000
1135.00000000
NC
USD
4950715.09000000
0.295137227852
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year U.S. Treasury Notes Futures
UXYH4 Comdty
2024-03-19
128997019.29000000
USD
4950715.09000000
N
N
N
CIFC European Funding CLO
5493000EF0244RPYUG32
CIFC European Funding CLO III DAC
000000000
800000.00000000
PA
868413.12000000
0.051770509150
Long
ABS-CBDO
CORP
IE
N
2
2034-01-15
Floating
5.01500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2006-AMC1
17309PAS5
805188.38000000
PA
USD
766670.18000000
0.045705096635
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.76000000
N
N
N
N
N
N
Octagon Investment Partners XXI Ltd
549300XIS9D4AHDX5A35
Octagon Investment Partners XXI Ltd
67590QBK2
1100000.00000000
PA
USD
1097461.20000000
0.065425226529
Long
ABS-CBDO
CORP
KY
N
2
2031-02-14
Floating
6.63900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01OR47 IRS USD R V 12MSOFR SWUV1OR49 CCPOIS / Short: BWU01OR47 IRS USD P F 2.86500 SWU01OR47 CCPOIS
000000000
25800000.00000000
OU
Notional Amount
USD
2053156.26000000
0.122399054663
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-02-13
527905.46000000
USD
0.00000000
USD
25800000.00000000
USD
1525250.80000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01YFV8 TRS USD R F .00000 91282CDC2 MYC TIP TRS / Short: SWU01YFV8 TRS USD P F 5.62000 TRS R 5.62/91282CDC2 MYC
000000000
10426665.72000000
OU
Notional Amount
USD
278199.28000000
0.016584869619
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-16
0.00000000
USD
0.00000000
USD
10426665.72000000
USD
278199.28000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2007-5
41165AAB8
15813.13000000
PA
USD
13363.45000000
0.000796663010
Long
ABS-MBS
CORP
US
N
2
2037-09-19
Floating
5.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WTU0
1800.07000000
PA
USD
1769.87000000
0.000105510924
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
5.80200000
N
N
N
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint MTA Trust 2005-AR1
39538RAB5
94455.78000000
PA
USD
88730.19000000
0.005289656509
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Floating
5.91000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-1180.35000000
-0.00007036664
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
43644653.00000000
HUF
124610.00000000
USD
2024-01-04
-1180.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405PRS1
2595.88000000
PA
USD
2507.11000000
0.000149461538
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Floating
6.12900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU020A20 IRS USD R V 12MSOFR SWUV20A22 CCPOIS / Short: BWU020A20 IRS USD P F 4.86800 SWU020A20 CCPOIS
000000000
34050000.00000000
OU
Notional Amount
USD
-493605.83000000
-0.02942634622
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-22
0.00000000
USD
0.00000000
USD
34050000.00000000
USD
-493605.83000000
N
N
N
Marathon Static CLO Ltd
N/A
Marathon Static CLO 2022-18 Ltd
56586PAN8
3353848.41000000
PA
USD
3354599.67000000
0.199984694970
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
7.16600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
39261409.60000000
PA
USD
31802986.76000000
1.895937289694
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01XDO8 IRS EUR R F 3.00000 SWU01XDO8 CCPVANILLA / Short: SWU01XDO8 IRS EUR P V 06MEURIB SWUV1XDO0 CCPVANILLA
000000000
150090000.00000000
OU
Notional Amount
7923899.28000000
0.472383812190
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-03-20
0.00000000
EUR
-2317764.78000000
EUR
150090000.00000000
EUR
10377066.61000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A1
466247LZ4
42627.69000000
PA
USD
39137.90000000
0.002333208657
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
4.26300000
N
N
N
N
N
N
MP Clo VII, LTD
5493005EOEZ6JX072G15
ACAS CLO 2015-1 Ltd
55320RAQ0
1169923.52000000
PA
USD
1168473.98000000
0.069658658397
Long
ABS-CBDO
CORP
KY
N
2
2028-10-18
Floating
6.54700000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-4188.11000000
-0.00024967447
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
126667026.00000000
HUF
360885.00000000
USD
2024-01-04
-4188.11000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-48924.75000000
-0.00291665240
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
77890155.66000000
DKK
11489162.00000000
USD
2024-01-09
-48924.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0KT325 IRS EUR R V 01MCPTFE SWU0KT325 CCPINFLATIONZERO / Short: BWU0KT325 IRS EUR P F 2.57000 SWUVKT327 CCPINFLATIONZERO
000000000
1700000.00000000
OU
Notional Amount
9405.34000000
0.000560700004
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2032-06-15
0.00000000
EUR
0.00000000
EUR
1700000.00000000
EUR
9405.34000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
317U4J1A4 PIMCO SWAPTION 4.7 CALL USD 20240213
000000000
-61400000.00000000
NC
USD
-912020.86000000
-0.05437018763
N/A
DIR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
IRS Swap
N/A
61400000.00000000
OU
Notional Amount
N/A
-912020.86000000
-0.05000000
DIR
US
N/A
N/A
2026-02-15
0.00000000
N/A
0.00000000
N/A
61400000.00000000
USD
1.00000000
4.70000000
USD
2024-02-13
XXXX
-644009.86000000
N
N
N
Wind River CLO Ltd
549300QKM4OHZM4I5C40
THL Credit Wind River 2019-3 Clo Ltd
97314JAA3
2000000.00000000
PA
USD
1986176.00000000
0.118406021758
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.73500000
N
N
N
N
N
N
WELLFLEET CLO LTD
254900DLL625KV2D0Z30
Wellfleet CLO 2015-1 Ltd
949496BJ1
151593.42000000
PA
USD
151408.48000000
0.009026227170
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.56700000
N
N
N
N
N
N
ARES CLO Ltd
N/A
ARES LII CLO Ltd
04009AAL4
1700000.00000000
PA
USD
1695425.30000000
0.101072898354
Long
ABS-CBDO
CORP
KY
N
2
2031-04-22
Floating
6.72400000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128282L3
28281444.00000000
PA
USD
26871540.20000000
1.601948756611
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
Dryden Euro CLO
635400V5VX7XDQVRNU55
Dryden 52 Euro CLO 2017 DAC
000000000
998202.01000000
PA
1082533.21000000
0.064535293356
Long
ABS-CBDO
CORP
IE
N
2
2034-05-15
Floating
4.86200000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
19100846.10000000
PA
2203948.05000000
0.131388517816
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2007-4R
12639QAA4
38538.02000000
PA
USD
32860.02000000
0.001958952400
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Variable
5.40100000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
21000000.00000000
PA
USD
20775234.48000000
1.238517062879
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
5.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-9
41161PSV6
141774.57000000
PA
USD
126585.98000000
0.007546432089
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Floating
6.37200000
N
N
N
N
N
N
Voya CLO Ltd
N/A
VOYA CLO 2017-2
92915UAG9
211058.40000000
PA
USD
210818.00000000
0.012567929878
Long
ABS-CBDO
CORP
KY
N
2
2030-06-07
Floating
6.63500000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2005-HE5
61744CUU8
1240286.78000000
PA
USD
1156668.75000000
0.068954888781
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
6.14500000
N
N
N
N
N
N
ANCHORAGE CAPITAL CLO LTD
5493009A4SIPWYPZDB35
Anchorage Capital CLO 9 Ltd
03328WAS7
300000.00000000
PA
USD
299665.50000000
0.017864579832
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
6.79500000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
114000.00000000
PA
USD
100985.80000000
0.006020275560
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
Madison Park Funding Ltd
549300FNRP3W5DX0O430
Madison Park Funding XXVI Ltd
55819YAA8
385724.15000000
PA
USD
385718.75000000
0.022994650376
Long
ABS-CBDO
CORP
KY
N
2
2030-07-29
Floating
6.85200000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4
251513BC0
148866.58000000
PA
USD
124273.95000000
0.007408600258
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.36900000
N
N
N
N
N
N
Morgan Stanley Capital Inc
IGJSJL3JD5P30I6NJZ34
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5
61744CRW8
1232000.00000000
PA
USD
1085887.39000000
0.064735253032
Long
ABS-O
CORP
US
N
2
2035-06-25
Floating
6.52000000
N
N
N
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series 2005-3
66987XGY5
394284.03000000
PA
USD
388698.25000000
0.023172273477
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.17500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPJH2
362791.94000000
PA
USD
351783.89000000
0.020971621313
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
522 Funding CLO LTD
N/A
522 Funding CLO 2018-3A Ltd
33835NAA9
1500000.00000000
PA
USD
1498794.00000000
0.089350709592
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
6.71700000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAA4
2600000.00000000
PA
USD
2583819.16000000
0.154034560723
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
6.78800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0EA026 IRS EUR R F 2.42100 SWUVEA028 CCPINFLATIONZERO / Short: SWU0EA026 IRS EUR P V 01MCPTFE SWU0EA026 CCPINFLATIONZERO
000000000
650000.00000000
OU
Notional Amount
-49029.52000000
-0.00292289827
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2052-05-15
0.00000000
EUR
0.00000000
EUR
650000.00000000
EUR
-49029.52000000
N
N
N
Banc of America Mortgage Securities
N/A
Banc of America Mortgage 2005-H Trust
05949CFW1
22788.48000000
PA
USD
19489.13000000
0.001161845853
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.13900000
N
N
N
N
N
N
TBW Mortgage Backed Pass Through Certificates
N/A
TBW Mortgage-Backed Trust 2007-2
872227AK9
138862.27000000
PA
USD
52828.94000000
0.003149400969
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
6.51500000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
23207737.52000000
PA
2685975.22000000
0.160124601416
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
100000.00000000
PA
100845.66000000
0.006011921104
Long
DBT
CORP
CH
Y
2
2028-01-14
Fixed
0.65000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-11333.19000000
-0.00067562891
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
6998969.58000000
MXN
398998.57000000
USD
2024-01-31
-11333.19000000
N
N
N
CIFC Funding Ltd
635400VBVF8AYJQBI411
CIFC Funding 2018-I Ltd
12551RAA6
1865105.77000000
PA
USD
1865141.21000000
0.111190524250
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
6.65700000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF10
32028HAE3
1576104.71000000
PA
USD
1503061.24000000
0.089605101404
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.78000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust Series 2008-R2
46632TAA3
234866.24000000
PA
USD
213514.43000000
0.012728677742
Long
ABS-MBS
CORP
US
N
2
2037-07-27
Variable
3.75000000
N
N
N
N
N
N
OSD CLO 2021-23 Ltd
2549004IE8HHQL34D058
OSD CLO 2021-23 Ltd
671026AA0
2036098.06000000
PA
USD
2029197.72000000
0.120970764618
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.53400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU020DH4 IRS USD R F 3.90000 SWU020DH4 CCPOIS / Short: SWU020DH4 IRS USD P V 12MSOFR SWUV20DH6 CCPOIS
000000000
34150000.00000000
OU
Notional Amount
USD
57057.82000000
0.003401505947
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-22
0.00000000
USD
0.00000000
USD
34150000.00000000
USD
57057.82000000
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-AR4
17311WAA5
1158023.06000000
PA
USD
990282.84000000
0.059035781068
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
4.20300000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
100000.00000000
PA
112852.42000000
0.006727704945
Long
DBT
CORP
CH
Y
2
2029-11-15
Fixed
2.12500000
N
N
N
N
N
N
First NLC Trust
N/A
First NLC Trust 2007-1
32115BAA8
779716.31000000
PA
USD
380661.87000000
0.022693184119
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
5.54000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01Z1T5 TRS USD R F .00000 TRS R 5.57/912828Y38 MYC / Short: SWU01Z1T5 TRS USD P F 5.57000 5.57 FIXED
000000000
45820340.80000000
OU
Notional Amount
USD
1370277.60000000
0.081689195379
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-09
0.00000000
USD
-5044295.36000000
USD
45820340.80000000
USD
6414572.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JB268 IRS USD R F 1.95400 SWUVJB260 CCPINFLATIONZERO / Short: SWU0JB268 IRS USD P V 12MUSCPI SWU0JB268 CCPINFLATIONZERO
000000000
8650000.00000000
OU
Notional Amount
USD
-1136721.33000000
-0.06776572193
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-06-03
0.00000000
USD
0.00000000
USD
8650000.00000000
USD
-1136721.33000000
N
N
N
Oaktree CLO Ltd
549300BJ8TRWJ20BLC43
Oaktree CLO 2019-1 Ltd
67401XAS0
600000.00000000
PA
USD
598008.60000000
0.035650324696
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
6.78400000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-HE1
81376YAD3
3035135.54000000
PA
USD
1027728.46000000
0.061268104335
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.79000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-3
17307GTA6
394.29000000
PA
USD
330.63000000
0.000019710530
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
7.37300000
N
N
N
N
N
N
CSAB Mortgage Backed Trust
N/A
CSAB Mortgage-Backed Trust 2006-2
12627HAK6
385298.29000000
PA
USD
113892.67000000
0.006789719522
Long
ABS-O
CORP
US
N
2
2036-09-25
Variable
6.22000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
317U47OA5 PIMCO SWAPTION 3.15 CALL EUR 2025100
000000000
-22800000.00000000
NC
-594839.33000000
-0.03546138844
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Call
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
22800000.00000000
OU
Notional Amount
N/A
-594839.33000000
-0.04000000
DIR
US
N/A
N/A
2027-10-08
0.00000000
N/A
0.00000000
N/A
22800000.00000000
EUR
1.00000000
3.15000000
EUR
2025-10-06
XXXX
-330821.53000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01P597 IRS USD R V 03MSOFR SWUV1P599 CCPOIS / Short: BWU01P597 IRS USD P F 1.84000 SWU01P597 CCPOIS
000000000
24600000.00000000
OU
Notional Amount
USD
2160753.30000000
0.128813459761
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-11-21
0.00000000
USD
-4531.84000000
USD
24600000.00000000
USD
2165285.14000000
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust
92922F4F2
28228.36000000
PA
USD
25232.75000000
0.001504252163
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
4.72700000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2019-GS2
59981TAC9
459306.45000000
PA
USD
433300.56000000
0.025831243321
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Variable
2.75000000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
1.46000000
PA
0.16000000
0.000000009538
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-1370.69000000
-0.00008171378
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
43710696.00000000
HUF
124610.00000000
USD
2024-01-04
-1370.69000000
N
N
N
Man Euro CLO
6354003VGPHCJJKCVD96
MAN Euro Clo 2023-1 DAC
000000000
7100000.00000000
PA
7857821.49000000
0.468444580098
Long
ABS-CBDO
CORP
IE
N
2
2036-10-15
Floating
5.77900000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-CH2
46629QAW6
36470.38000000
PA
USD
35771.52000000
0.002132521677
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.68000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A10
76113LAE7
269626.90000000
PA
USD
90984.20000000
0.005424029474
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAD0
100000.00000000
PA
USD
97956.35000000
0.005839674686
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.90000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
51019952.80000000
PA
USD
40173724.60000000
2.394959414028
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6P47
416902.88000000
PA
USD
401295.24000000
0.023923243921
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CRK1
219107.49000000
PA
USD
217510.50000000
0.012966903736
Long
ABS-O
USGA
US
N
2
2027-11-01
Fixed
5.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JRZU8
207239.62000000
PA
USD
197860.92000000
0.011795492644
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0YU459 IRS EUR R F 2.39000 SWUVYU451 CCPINFLATIONZERO / Short: SWU0YU459 IRS EUR P V 01MCPTFE SWU0YU459 CCPINFLATIONZERO
000000000
3400000.00000000
OU
Notional Amount
93483.80000000
0.005573043303
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2033-11-15
3080.23000000
EUR
0.00000000
EUR
3400000.00000000
EUR
90193.68000000
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDA7
50876.76000000
PA
USD
44423.59000000
0.002648315438
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
6.01200000
N
N
N
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust 2005-AR1
45660LZK8
24757.48000000
PA
USD
24854.61000000
0.001481709321
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
4.80300000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01Z1O6 TRS USD R F .00000 TRS R 5.57/9128283R9 MYC / Short: SWU01Z1O6 TRS USD P F 5.57000 5.57 FIXED
000000000
69240611.40000000
OU
Notional Amount
USD
1862236.20000000
0.111017341875
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-09
0.00000000
USD
-8008529.88000000
USD
69240611.40000000
USD
9870766.08000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-4478.92000000
-0.00026701113
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
182092983.00000000
HUF
520340.00000000
USD
2024-01-04
-4478.92000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LJY0
2131326.00000000
PA
USD
2089290.71000000
0.124553212438
Long
ABS-MBS
USGA
US
N
2
2068-08-20
Floating
6.24600000
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMware LLC
928563AC9
300000.00000000
PA
USD
291021.00000000
0.017349237357
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VL73
60409.10000000
PA
USD
61307.06000000
0.003654824688
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
5.26000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746804
900.00000000
NS
USD
1076058.00000000
0.064149273257
Long
EP
CORP
US
N
1
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-172064.09000000
-0.01025761281
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
9097012.20000000
CAD
6694123.70000000
USD
2024-01-09
-172064.09000000
N
N
N
Venture CDO Ltd
549300A6M3BR8FZNXO79
Venture Xxv Clo Ltd
92329VAS1
62001.08000000
PA
USD
61953.22000000
0.003693345562
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
6.69700000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300KI3ILQQHC87U86
Dryden 60 CLO Ltd
26251NAB6
690118.98000000
PA
USD
690174.19000000
0.041144782818
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.70500000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2017-2A Ltd
94951MAJ2
276317.82000000
PA
USD
276171.92000000
0.016464008410
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
6.73700000
N
N
N
N
N
N
Toro European CLO
635400CNR8OQZHQBZR28
Toro European CLO 5 DAC
000000000
667604.45000000
PA
729500.83000000
0.043489243224
Long
ABS-CBDO
CORP
IE
N
2
2030-10-15
Floating
4.70500000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae Trust 2003-W8
31393CX40
18585.72000000
PA
USD
18559.54000000
0.001106428280
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
5.80200000
N
N
N
N
N
N
Anchorage Capital CLO LTD
54930064GO7DB3TVDY21
Anchorage Capital CLO 6 Ltd
03328QAY7
868909.27000000
PA
USD
868874.51000000
0.051798014947
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
6.70500000
N
N
N
N
N
N
LoanCore 2022-CRE7 Issuer Ltd.
N/A
LoanCore 2022-CRE7 Issuer Ltd
53946PAA8
2100000.00000000
PA
USD
2081979.90000000
0.124117377986
Long
ABS-CBDO
CORP
KY
N
2
2037-01-17
Floating
6.88800000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-HY3
89177XAA5
717951.52000000
PA
USD
721716.39000000
0.043025173286
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
6.47000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CBF7
50717779.20000000
PA
USD
45264024.38000000
2.698417992980
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U3UMA7 PIMCO SWAPTION 2.9 CALL EUR 20250829
000000000
-11900000.00000000
NC
-262076.72000000
-0.01562372207
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
11900000.00000000
OU
Notional Amount
N/A
-262076.72000000
-0.02000000
DIR
US
N/A
N/A
2027-09-02
0.00000000
N/A
0.00000000
N/A
11900000.00000000
EUR
1.00000000
2.90000000
EUR
2025-08-29
XXXX
-107410.24000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-11CB
12667GJJ3
362445.43000000
PA
USD
279881.38000000
0.016685148128
Long
ABS-MBS
CORP
US
N
2
2025-06-25
Fixed
5.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3132HTBH8
1176603.10000000
PA
USD
1147992.23000000
0.068437637432
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
5.90300000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
1679009860.00000000
PA
12521126.72000000
0.746447848958
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
884.96000000
PA
121.16000000
0.000007222961
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01HY44 IRS EUR R F .65000 SWU01HY44 CCPVANILLA / Short: SWU01HY44 IRS EUR P V 06MEURIB SWUV1HY46 CCPVANILLA
000000000
7500000.00000000
OU
Notional Amount
-485740.00000000
-0.02895742422
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-04-12
0.00000000
EUR
0.00000000
EUR
7500000.00000000
EUR
-485740.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4AMA0 PIMCO SWAPTION 4.7575 CALL USD 20240
000000000
-46800000.00000000
NC
USD
-661816.12000000
-0.03945421448
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
46800000.00000000
OU
Notional Amount
N/A
-661816.12000000
-0.04000000
DIR
US
N/A
N/A
2026-01-18
0.00000000
N/A
0.00000000
N/A
46800000.00000000
USD
1.00000000
4.75750000
USD
2024-01-16
XXXX
-446536.12000000
N
N
N
Carlyle Global Market Strategies Euro
635400AWOJYIRR64GJ58
Carlyle Euro CLO 2017-2 DAC
000000000
881295.01000000
PA
962123.05000000
0.057357033209
Long
ABS-CBDO
CORP
IE
N
2
2030-08-15
Floating
4.63200000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01YFW6 TRS USD R F .00000 9128282L3 MYC TIPS TRS / Short: SWU01YFW6 TRS USD P F 5.62000 TRS R 5.62/9128282L3 MYC
000000000
23190634.14000000
OU
Notional Amount
USD
785471.26000000
0.046825924340
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-16
0.00000000
USD
0.00000000
USD
23190634.14000000
USD
785471.26000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR3
36242D4W0
117575.86000000
PA
USD
95906.56000000
0.005717476311
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.96600000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
549300XF11BHS5IOB463
CWABS Inc Asset-backed Certificates Series 2007-12
126697AA9
20092.86000000
PA
USD
19098.53000000
0.001138560207
Long
ABS-O
CORP
US
N
2
2047-08-25
Floating
6.21000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT1
83612TAA0
1843870.92000000
PA
USD
1286849.68000000
0.076715634067
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.67000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2004-AR5
86359LDX4
20422.33000000
PA
USD
18939.56000000
0.001129083199
Long
ABS-MBS
CORP
US
N
2
2034-10-19
Floating
6.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F4BX9
990604.64000000
PA
USD
965988.81000000
0.057587490763
Long
ABS-MBS
USGSE
US
N
2
2044-07-15
Floating
5.19700000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
1738341.05000000
PA
197209.13000000
0.011756636137
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-855.22000000
-0.00005098400
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
17702150.00000000
HUF
50165.00000000
USD
2024-01-04
-855.22000000
N
N
N
Carlyle Global Market Strategies Euro
6354006SCMVW8LXU4P40
Carlyle Global Market Strategies Euro CLO 2014-2 Ltd
000000000
1597015.04000000
PA
1733060.62000000
0.103316530599
Long
ABS-CBDO
CORP
IE
N
2
2031-11-15
Floating
4.75200000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
498503.63000000
PA
50083.50000000
0.002985731370
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Voya CLO Ltd
54930085W413OSH6FR69
Voya CLO 2015-1 Ltd
92914NAJ0
532347.54000000
PA
USD
531933.91000000
0.031711277410
Long
ABS-CBDO
CORP
KY
N
2
2029-01-18
Floating
6.55700000
N
N
N
N
N
N
Wachovia Mortgage Loan Trust, LLC
N/A
Wachovia Mortgage Loan Trust Series 2006-ALT1
92978GAC3
1498389.16000000
PA
USD
541822.32000000
0.032300775667
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.85000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U3YMA9 PIMCO FPPSWAPTION 2.95 PUT EUR
000000000
-19000000.00000000
NC
-102126.06000000
-0.00608825224
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
19000000.00000000
OU
Notional Amount
N/A
-102126.06000000
-0.01000000
DIR
US
N/A
N/A
2027-09-17
0.00000000
N/A
0.00000000
N/A
19000000.00000000
EUR
1.00000000
2.95000000
EUR
2025-09-15
XXXX
127525.28000000
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
2749420870.00000000
PA
20562158.21000000
1.225814506075
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
Tralee CDO Ltd
N/A
Tralee CLO VII Ltd
89288CAA7
1400000.00000000
PA
USD
1399963.60000000
0.083458928354
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Floating
6.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8S24
188397.37000000
PA
USD
180032.75000000
0.010732665037
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Octagon Investment Partners Ltd
N/A
Octagon Investment Partners 18-R Ltd
67576FAA7
1131495.07000000
PA
USD
1129173.24000000
0.067315742021
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
6.61500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
66559881.90000000
PA
USD
66144399.14000000
3.943203001037
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
American Money Management Corporation
549300YZO1X7UK2OVY35
AMMC CLO XII Ltd
00176CAW1
609337.73000000
PA
USD
608710.72000000
0.036288332331
Long
ABS-CBDO
CORP
KY
N
2
2030-11-10
Floating
6.58100000
N
N
N
N
N
N
Carlyle Global Market Strategies Euro
635400EJNPATTHDUBC67
Carlyle Euro CLO 2018-2 DAC
000000000
6798431.66000000
PA
7424779.76000000
0.442628766945
Long
ABS-CBDO
CORP
IE
N
2
2031-08-28
Floating
4.73500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
68686558.80000000
PA
USD
61352697.79000000
3.657545388464
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01IQW9 IRS EUR R F 1.00000 SWU01IQW9 CCPVANILLA / Short: SWU01IQW9 IRS EUR P V 06MEURIB SWUV1IQW1 CCPVANILLA
000000000
6900000.00000000
OU
Notional Amount
-371784.56000000
-0.02216396266
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-05-13
0.00000000
EUR
0.00000000
EUR
6900000.00000000
EUR
-371784.56000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CHP9
2633956.00000000
PA
USD
2553404.09000000
0.152221364188
Long
DBT
UST
US
N
2
2033-07-15
Fixed
1.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0WR565 IRS EUR R F 2.35600 SWUVWR567 CCPINFLATIONZERO / Short: SWU0WR565 IRS EUR P V 01MCPTFE SWU0WR565 CCPINFLATIONZERO
000000000
5900000.00000000
OU
Notional Amount
140418.54000000
0.008371061125
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2033-11-15
0.00000000
EUR
-8304.46000000
EUR
5900000.00000000
EUR
149301.55000000
N
N
N
Opteum Mortgage Acceptance Corporation
N/A
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-2
68383NBB8
2000000.00000000
PA
USD
1966979.40000000
0.117261615101
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
6.52000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0SG481 IRS USD R F 1.99750 SWUVSG483 CCPINFLATIONZERO / Short: SWU0SG481 IRS USD P V 12MUSCPI SWU0SG481 CCPINFLATIONZERO
000000000
21500000.00000000
OU
Notional Amount
USD
-2695842.00000000
-0.16071281019
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-07-25
2002.87000000
USD
0.00000000
USD
21500000.00000000
USD
-2697844.87000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01Z1Q1 TRS USD R F .00000 TRS R 5.57/912828N71 MYC / Short: SWU01Z1Q1 TRS USD P F 5.57000 5.57 FIXED
000000000
30874409.50000000
OU
Notional Amount
USD
483742.00000000
0.028838313310
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-09
0.00000000
USD
-5091154.90000000
USD
30874409.50000000
USD
5574896.90000000
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31395HHV5
739917.95000000
PA
USD
671859.04000000
0.040052923864
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Floating
6.21200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01XDS9 IRS EUR R V 06MEURIB SWUV1XDS1 CCPVANILLA / Short: BWU01XDS9 IRS EUR P F 2.75000 SWU01XDS9 CCPVANILLA
000000000
40450000.00000000
OU
Notional Amount
-4205426.77000000
-0.25070681230
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-03-20
1308404.95000000
EUR
0.00000000
EUR
40450000.00000000
EUR
-5581794.85000000
N
N
N
LSI OPEN POSITION NET ASSET
N/A
LSI OPEN POSITION NET ASSET
000000000
202291.21000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2060-12-31
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RXT8
137833.11000000
PA
USD
137182.04000000
0.008178116950
Long
ABS-MBS
USGA
US
N
2
2066-08-20
Floating
6.26700000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
1248RHAA5
62788.82000000
PA
USD
39750.45000000
0.002369725869
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
5.57700000
N
N
N
N
N
N
Morgan Stanley IXIS Real Estate Capital Trust
N/A
Morgan Stanley IXIS Real Estate Capital Trust 2006-2
617463AA2
517.41000000
PA
USD
169.68000000
0.000010115485
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
5.52000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2004-AA1
32051D3G5
53761.56000000
PA
USD
50067.47000000
0.002984775741
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
6.98200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01Q355 IRS JPY R V 12MTONAR SWUV1Q357 CCPOIS / Short: BWU01Q355 IRS JPY P F .55000 SWU01Q355 CCPOIS
000000000
1420000000.00000000
OU
Notional Amount
-49498.58000000
-0.00295086132
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-09-14
0.00000000
JPY
-2284713.00000000
JPY
1420000000.00000000
JPY
-34000.79000000
N
N
N
M360 2018-CRE1, Ltd.
N/A
M360 2021-CRE3 Ltd
55379AAA2
577451.13000000
PA
USD
568171.01000000
0.033871554672
Long
ABS-CBDO
CORP
KY
N
2
2038-11-22
Floating
6.97100000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
82.96000000
0.000004945666
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1667.93000000
USD
8518.95000000
BRL
2024-02-02
82.96000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-1197416.35000000
-0.07138405981
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
4334041412.00000000
JPY
29559849.00000000
USD
2024-01-09
-1197416.35000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
12311243.52000000
PA
USD
11648688.34000000
0.694437373650
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
BlackRock European CLO DAC
635400RUFMRMBL1HMT43
Blackrock European CLO IV DAC
000000000
1074597.92000000
PA
1174517.81000000
0.070018961747
Long
ABS-CBDO
CORP
IE
N
2
2030-07-15
Floating
4.81500000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
CARLYLE US CLO 2017-4 Ltd
14315BAA4
434401.17000000
PA
USD
434185.71000000
0.025884011600
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
6.83500000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR24
000000000
117.00000000
NC
570763.62000000
0.034026113299
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-BTP Italian Bond Futures
IKH4 Comdty
2024-03-07
13423530.62000000
EUR
570763.62000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
19997606.95000000
PA
USD
19135902.47000000
1.140788169948
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.87500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-1180.35000000
-0.00007036664
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
43644653.00000000
HUF
124610.00000000
USD
2024-01-04
-1180.35000000
N
N
N
Benefit Street Partners CLO Ltd
549300CIOPBDYOSN3T91
Benefit Street Partners Clo XII Ltd
08179HAE0
783856.82000000
PA
USD
783446.86000000
0.046705239592
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.60500000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-29CB
12667GUG6
123124.48000000
PA
USD
69926.26000000
0.004168658901
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.00000000
N
N
N
N
N
N
Carlyle Global Market Strategies
549300VZ0HS3D307K776
CARLYLE US CLO 2017-1 Ltd
14314BAL1
1455401.79000000
PA
USD
1454982.63000000
0.086738891692
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.67700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BY3C2
1227209.72000000
PA
USD
1186786.29000000
0.070750348044
Long
ABS-MBS
USGSE
US
N
2
2047-01-15
Floating
5.80300000
N
N
N
N
N
N
VMC Finance LLC
549300QK6J0UZ3WZJ014
VMC Finance 2022-FL5 LLC
91835BAA3
400000.00000000
PA
USD
392082.40000000
0.023374019817
Long
ABS-CBDO
CORP
US
N
2
2039-02-18
Floating
7.23800000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-10962.75000000
-0.00065354511
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
7015000.00000000
DKK
1028188.83000000
USD
2024-01-09
-10962.75000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDC2
17223537.00000000
PA
USD
16354527.57000000
0.974976309907
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
317515FG4 INF CAP US APR24 4.0 CALL
000000000
-35000000.00000000
NC
USD
-3.50000000
-0.00000020865
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
US CPI Urban Consumers NSA
CPURNSA Index
1.00000000
4.00000000
USD
2024-04-22
XXXX
254621.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01KR29 IRS EUR R F .55000 SWU01KR29 CCPVANILLA / Short: SWU01KR29 IRS EUR P V 06MEURIB SWUV1KR21 CCPVANILLA
000000000
100000.00000000
OU
Notional Amount
-2165.39000000
-0.00012908987
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-08-10
0.00000000
EUR
0.00000000
EUR
100000.00000000
EUR
-2165.39000000
N
N
N
HSI Asset Securitization Corporation Trust
N/A
HSI Asset Securitization Corp Trust 2007-WF1
40431RAA3
52945.43000000
PA
USD
52793.17000000
0.003147268538
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.79000000
N
N
N
N
N
N
Great Hall Mortgages Plc
213800TM9KICQKGTYR78
Great Hall Mortgages No 1 PLC
000000000
6887.70000000
PA
8762.95000000
0.000522403879
Long
ABS-MBS
CORP
GB
Y
2
2038-06-18
Floating
5.48900000
N
N
N
N
N
N
Eurosail Plc
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
000000000
660094.53000000
PA
836543.19000000
0.049870581034
Long
ABS-MBS
CORP
GB
Y
2
2045-06-13
Floating
6.28900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0DA365 IRS USD R V 01MUSCPI SWU0DA365 CCPINFLATIONZERO / Short: BWU0DA365 IRS USD P F 1.79750 SWUVDA367 CCPINFLATIONZERO
000000000
9300000.00000000
OU
Notional Amount
USD
1347336.85000000
0.080321580956
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-08-25
0.00000000
USD
0.00000000
USD
9300000.00000000
USD
1347336.85000000
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
3133TSQG1
12809.53000000
PA
USD
12920.03000000
0.000770228496
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
5.73000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FL3
1570000.00000000
PA
USD
1503057.08000000
0.089604853406
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.87500000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BGG0
24576.75000000
PA
USD
23120.69000000
0.001378341558
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
6.47800000
N
N
N
N
N
N
Wind River CLO Ltd
549300AMLFWC1VCUN251
Wind River 2014-1 CLO Ltd
88432CBB1
543030.67000000
PA
USD
542167.25000000
0.032321338693
Long
ABS-CBDO
CORP
KY
N
2
2031-07-18
Floating
6.70700000
N
N
N
N
N
N
Contego CLO DAC
635400H7QVHLSOZWVU92
Contego CLO IV DAC
000000000
797272.47000000
PA
864035.30000000
0.051509525103
Long
ABS-CBDO
CORP
IE
N
2
2030-01-23
Floating
4.64200000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust
92925DAB6
27745.70000000
PA
USD
23204.26000000
0.001383323589
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
4.39700000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01Z1R9 TRS USD R F .00000 TRS R 5.57/91282CDX6 MYC / Short: SWU01Z1R9 TRS USD P F 5.57000 5.57 FIXED
000000000
37374651.60000000
OU
Notional Amount
USD
1779932.80000000
0.106110818903
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-01-09
2275301.95000000
USD
0.00000000
USD
37374651.60000000
USD
-495369.15000000
N
N
N
TPG Real Estate Finance
N/A
TRTX 2022-FL5 Issuer Ltd
87277JAA9
800000.00000000
PA
USD
776322.40000000
0.046280514408
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
6.98800000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-53148.25000000
-0.00316843665
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
5026051.41000000
BRL
979851.72000000
USD
2024-02-02
-53148.25000000
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2005-WMC1
362341PU7
85160.46000000
PA
USD
82693.69000000
0.004929790138
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
6.20500000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2006-EMX4 Trust
75406DAD5
2897783.17000000
PA
USD
2782087.73000000
0.165854355451
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ET67
9024440.23000000
PA
USD
9064175.74000000
0.540361473452
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR24
000000000
476.00000000
NC
USD
1823761.70000000
0.108723681855
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYH4 Comdty
2024-03-19
51912175.80000000
USD
1823761.70000000
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust
92922FW87
9409.66000000
PA
USD
8671.79000000
0.000516969369
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.83500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01MJY4 IRS EUR R V 06MEURIB SWUV1MJY6 CCPVANILLA / Short: BWU01MJY4 IRS EUR P F .19000 SWU01MJY4 CCPVANILLA
000000000
6700000.00000000
OU
Notional Amount
3263328.21000000
0.194543540471
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2052-11-04
0.00000000
EUR
0.00000000
EUR
6700000.00000000
EUR
3263328.21000000
N
N
N
Dryden Euro CLO
635400YO6CJ2YJRXF230
Dryden 44 Euro CLO 2015 DAC
000000000
1300000.00000000
PA
1405159.53000000
0.083768684086
Long
ABS-CBDO
CORP
IE
N
2
2034-04-15
Floating
4.84500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
100000.00000000
PA
127155.41000000
0.007580378699
Long
DBT
CORP
CH
Y
2
2029-03-01
Fixed
7.75000000
N
N
N
N
N
N
TCW CLO
N/A
TCW CLO 2018-1 Ltd
87240UAR1
769751.41000000
PA
USD
768980.12000000
0.045842803870
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.61000000
N
N
N
N
N
N
Cedar Funding Ltd
635400NWFWJ92O7QGD64
Cedar Funding V CLO Ltd
15032AAN7
800000.00000000
PA
USD
799576.00000000
0.047666779406
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
6.76400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JD9E0 IRS USD R F 2.56000 SWUVJD9E2 CCPINFLATIONZERO / Short: SWU0JD9E0 IRS USD P V 01MUSCPI SWU0JD9E0 CCPINFLATIONZERO
000000000
6000000.00000000
OU
Notional Amount
USD
10087.68000000
0.000601377751
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-09-12
0.00000000
USD
0.00000000
USD
6000000.00000000
USD
10087.68000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
38022619.20000000
PA
USD
41908622.90000000
2.498385498050
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F060626
37600000.00000000
PA
USD
38177218.66000000
2.275937572170
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
6.00000000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
11646098.01000000
PA
1253644.06000000
0.074736078698
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.00000000
N
N
N
N
N
N
Madison Park Euro Funding
635400IRITPTWQSADZ09
Madison Park Euro Funding IX DAC
000000000
700000.00000000
PA
757389.40000000
0.045151822283
Long
ABS-CBDO
CORP
IE
N
2
2035-07-15
Floating
4.84500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0KT127 IRS EUR R F 2.55000 SWUVKT129 CCPINFLATIONZERO / Short: SWU0KT127 IRS EUR P V 01MCPTFE SWU0KT127 CCPINFLATIONZERO
000000000
400000.00000000
OU
Notional Amount
-14309.40000000
-0.00085305588
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2052-04-15
436.72000000
EUR
0.00000000
EUR
400000.00000000
EUR
-14793.90000000
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2003-OP1
004427BM1
945920.25000000
PA
USD
933926.83000000
0.055676113574
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
6.52000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0YH672 IRS EUR R V 01MCPTFE SWU0YH672 CCPINFLATIONZERO / Short: BWU0YH672 IRS EUR P F 2.54750 SWUVYH674 CCPINFLATIONZERO
000000000
1100000.00000000
OU
Notional Amount
-40669.24000000
-0.00242449959
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2053-11-15
0.00000000
EUR
-3089.80000000
EUR
1100000.00000000
EUR
-37278.62000000
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
1.20000000
PA
0.14000000
0.000000008346
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01MMU8 IRS EUR R V 06MEURIB SWUV1MMU0 CCPVANILLA / Short: BWU01MMU8 IRS EUR P F .19700 SWU01MMU8 CCPVANILLA
000000000
12200000.00000000
OU
Notional Amount
5924335.72000000
0.353179690102
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2052-11-08
0.00000000
EUR
0.00000000
EUR
12200000.00000000
EUR
5924335.72000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CEZ0
161456349.00000000
PA
USD
147477771.53000000
8.791897709321
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.62500000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2007-8
12669WAA4
4511065.46000000
PA
USD
4159306.56000000
0.247957352744
Long
ABS-O
CORP
US
N
2
2037-11-25
Floating
5.66000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-8
07387QAX8
57782.94000000
PA
USD
53404.99000000
0.003183742230
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
5.79000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-104377.11000000
-0.00622244874
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
6154970.00000000
NZD
3786509.23000000
USD
2024-01-09
-104377.11000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0NL451 IRS EUR R F 2.73600 SWUVNL453 CCPINFLATIONZERO / Short: SWU0NL451 IRS EUR P V 01MCPTFE SWU0NL451 CCPINFLATIONZERO
000000000
1600000.00000000
OU
Notional Amount
165201.66000000
0.009848508565
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2053-10-15
13560.68000000
EUR
0.00000000
EUR
1600000.00000000
EUR
150896.21000000
N
N
N
HalseyPoint CLO 3, Ltd.
N/A
HalseyPoint CLO 3 Ltd
40638UAA7
500000.00000000
PA
USD
499952.00000000
0.029804673599
Long
ABS-CBDO
CORP
KY
N
2
2032-11-30
Floating
7.10200000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXII Ltd
09629PAA4
495224.20000000
PA
USD
494630.43000000
0.029487427829
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.73500000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-7
07386HVS7
414418.31000000
PA
USD
243337.77000000
0.014506598251
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.73000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A6
466247UG6
60023.25000000
PA
USD
49451.54000000
0.002948057030
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.04800000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC7
61744CFR2
43147.44000000
PA
USD
43088.28000000
0.002568710838
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
6.44500000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-5861.51000000
-0.00034943433
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
137042412.00000000
HUF
389115.00000000
USD
2024-01-04
-5861.51000000
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
256.56000000
0.000015294842
N/A
DFE
MX
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
7629.23000000
USD
134506.77000000
MXN
2024-01-31
256.56000000
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
1.26000000
PA
0.15000000
0.000000008942
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: SWU01YFY2 TRS USD R F .00000 912828ZJ2 MYC TIPS TRS / Short: SWU01YFY2 TRS USD P F 5.62000 TRS R 5.62/912828ZJ2 MYC
000000000
28353337.28000000
OU
Notional Amount
USD
373898.72000000
0.022289998457
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
U.S. Treasury Inflation-Indexed Notes
U.S. Treasury Inflation-Indexed Notes
Y
equity-performance leg
2024-10-18
0.00000000
USD
-687159.28000000
USD
28353337.28000000
USD
1061058.00000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042624
10900000.00000000
PA
USD
10572574.25000000
0.630284756583
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2006-AR4 Trust
94983PAF5
30587.50000000
PA
USD
28618.23000000
0.001706077791
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
4.77300000
N
N
N
N
N
N
MOUNTAIN VIEW CLO
N/A
Mountain View CLO 2017-1 LLC
62432HAJ9
772608.40000000
PA
USD
772200.46000000
0.046034784666
Long
ABS-CBDO
CORP
KY
N
2
2029-10-16
Floating
6.74500000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
6381719.83000000
PA
766426.62000000
0.045690576788
Long
DBT
CORP
DK
N
2
2043-10-01
Fixed
0.50000000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087VS0
8667888.00000000
PA
7091438.56000000
0.422756607891
Long
DBT
NUSS
CA
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU020A38 IRS USD R V 12MSOFR SWUV20A30 CCPOIS / Short: BWU020A38 IRS USD P F 4.85800 SWU020A38 CCPOIS
000000000
100000.00000000
OU
Notional Amount
USD
-1430.79000000
-0.00008529664
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-22
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-1430.79000000
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAA2
466091.93000000
PA
USD
437714.81000000
0.026094399145
Long
ABS-O
CORP
US
N
2
2037-09-25
Floating
5.78000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-RPL3
64830NAA9
3824024.21000000
PA
USD
3597613.30000000
0.214471969593
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
284803.93000000
PA
32433.58000000
0.001933530149
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-414.62000000
-0.00002471760
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
15565690.00000000
HUF
44448.00000000
USD
2024-01-04
-414.62000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJJ3
1100418.01000000
PA
USD
1067028.47000000
0.063610977192
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
4.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OA19
12668RAA6
387176.01000000
PA
USD
296423.35000000
0.017671298832
Long
ABS-MBS
CORP
US
N
2
2047-02-20
Floating
5.65200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382YB36
2410006.63000000
PA
USD
2361077.95000000
0.140755827842
Long
ABS-MBS
USGA
US
N
2
2072-10-20
Floating
6.23800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01VBR7 IRS JPY R V 12MTONAR SWUV1VBR9 CCPOIS / Short: BWU01VBR7 IRS JPY P F .50000 SWU01VBR7 CCPOIS
000000000
1469000000.00000000
OU
Notional Amount
175874.73000000
0.010484784383
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-12-15
293127.00000000
JPY
0.00000000
JPY
1469000000.00000000
JPY
173770.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EQ088 IRS USD R V 01MUSCPI SWU0EQ088 CCPINFLATIONZERO / Short: BWU0EQ088 IRS USD P F 2.76750 SWUVEQ080 CCPINFLATIONZERO
000000000
11300000.00000000
OU
Notional Amount
USD
806022.33000000
0.048051077821
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-05-13
0.00000000
USD
0.00000000
USD
11300000.00000000
USD
806022.33000000
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAC8
452500.56000000
PA
USD
181523.18000000
0.010821517126
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.87000000
N
N
N
N
N
N
Great Hall Mortgages Plc
213800TM9KICQKGTYR78
Great Hall Mortgages No 1 PLC
000000000
18993.36000000
PA
24147.33000000
0.001439544774
Long
ABS-MBS
CORP
GB
Y
2
2039-03-18
Floating
5.46900000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR24
000000000
-2.00000000
NC
-4274.41000000
-0.00025481925
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX Euro-Bobl Futures
OEH4 Comdty
2024-03-07
-234688.08000000
EUR
-4274.41000000
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2005-FRE1
57643LMA1
93350.82000000
PA
USD
86924.66000000
0.005182019711
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.22000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDX6
8988577.00000000
PA
USD
7893245.10000000
0.470556361096
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405YPX3
7307.11000000
PA
USD
7055.31000000
0.000420602801
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Floating
6.12900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
3159482.80000000
PA
USD
3048308.66000000
0.181725134894
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
Gallatin Loan Management, LLC
N/A
Gallatin CLO VIII 2017-1 Ltd
36361UAL4
397611.55000000
PA
USD
396407.98000000
0.023631889573
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.74500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
23241049.00000000
PA
USD
23858512.31000000
1.422326887299
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JD9F7 IRS USD R F 2.56500 SWUVJD9F9 CCPINFLATIONZERO / Short: SWU0JD9F7 IRS USD P V 01MUSCPI SWU0JD9F7 CCPINFLATIONZERO
000000000
5300000.00000000
OU
Notional Amount
USD
9166.83000000
0.000546481214
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-09-12
0.00000000
USD
0.00000000
USD
5300000.00000000
USD
9166.83000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828H45
36884248.00000000
PA
USD
35801041.73000000
2.134281617574
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
Saranac CLO LTD
5493002U06KAOJIMH261
Saranac Clo VI Ltd
80317LAJ2
1712975.56000000
PA
USD
1711999.16000000
0.102060950182
Long
ABS-CBDO
CORP
JE
N
2
2031-08-13
Floating
6.78100000
N
N
N
N
N
N
Ellington Loan Acquisition Trust
N/A
Ellington Loan Acquisition Trust 2007-1
288542AA1
1035877.05000000
PA
USD
994847.10000000
0.059307879749
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
6.57000000
N
N
N
N
N
N
Apidos CLO Ltd
549300EW146C7Q4UV387
Apidos CLO XXVII
03767JAF2
1453587.92000000
PA
USD
1452310.22000000
0.086579575782
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
6.59400000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2022-FL9 LLC
55285AAA5
1800000.00000000
PA
USD
1799982.00000000
0.107306053369
Long
ABS-CBDO
CORP
US
N
2
2037-06-19
Floating
7.50600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828YL8
3716784.00000000
PA
USD
3635769.71000000
0.216746666655
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.12500000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31395M2F5
225539.01000000
PA
USD
210463.67000000
0.012546806471
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Floating
6.21200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0GK337 IRS EUR R F 2.36250 SWUVGK339 CCPINFLATIONZERO / Short: SWU0GK337 IRS EUR P V 01MCPTFE SWU0GK337 CCPINFLATIONZERO
000000000
3300000.00000000
OU
Notional Amount
80867.77000000
0.004820937789
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2033-11-15
0.00000000
EUR
0.00000000
EUR
3300000.00000000
EUR
80867.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396V4Q8
94370.24000000
PA
USD
91801.06000000
0.005472726640
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
5.69200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0EA166 IRS EUR R V 01MCPTFE SWU0EA166 CCPINFLATIONZERO / Short: BWU0EA166 IRS EUR P F 2.47000 SWUVEA168 CCPINFLATIONZERO
000000000
3400000.00000000
OU
Notional Amount
55328.50000000
0.003298412414
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2032-07-15
0.00000000
EUR
0.00000000
EUR
3400000.00000000
EUR
55328.50000000
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR5
86360JAA9
12919.77000000
PA
USD
8627.79000000
0.000514346306
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.89000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZZ6
63983760.50000000
PA
USD
57796635.79000000
3.445550502539
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.12500000
N
N
N
N
N
N
Residential Mortgage Securities
54930041T52UP3IPLN03
Residential Mortgage Securities 32 PLC
000000000
1766031.13000000
PA
2255342.11000000
0.134452378313
Long
ABS-MBS
CORP
GB
N
2
2070-06-20
Floating
6.47000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-4CB
02148FBX2
497493.82000000
PA
USD
416667.04000000
0.024839634858
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A6
466247TQ6
53458.61000000
PA
USD
50006.31000000
0.002981129683
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.82200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWES8
110504.17000000
PA
USD
107151.19000000
0.006387825718
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WLX2
21293.62000000
PA
USD
20955.02000000
0.001249234989
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
5.83200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828XL9
12256966.27000000
PA
USD
11874861.23000000
0.707920686374
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED DKK / SOLD USD
000000000
1.00000000
NC
43361.92000000
0.002585023906
N/A
DFE
DK
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
5070182.29000000
USD
34520000.00000000
DKK
2024-01-09
43361.92000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CEJ6
10568005.00000000
PA
USD
9929719.80000000
0.591960943389
Long
DBT
UST
US
N
2
2027-04-15
Fixed
0.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01YS44 IRS USD R V 03MSOFR SWUV1YS46 CCPOIS / Short: BWU01YS44 IRS USD P F 2.23650 SWU01YS44 CCPOIS
000000000
18300000.00000000
OU
Notional Amount
USD
4624741.23000000
0.275704273290
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-11-21
0.00000000
USD
0.00000000
USD
18300000.00000000
USD
4624741.23000000
N
N
N
KKR Financial CLO Ltd
549300PJRIGYUE3V5M12
KKR CLO 11 Ltd
48250MAK3
434639.92000000
PA
USD
434646.00000000
0.025911451821
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.83500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
317U47NA6 PIMCO SWAPTION 3.15 PUT EUR 20251006
000000000
-22800000.00000000
NC
-93412.40000000
-0.00556878678
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
22800000.00000000
OU
Notional Amount
N/A
-93412.40000000
-0.01000000
DIR
US
N/A
N/A
2027-10-08
0.00000000
N/A
0.00000000
N/A
22800000.00000000
EUR
1.00000000
3.15000000
EUR
2025-10-06
XXXX
170605.40000000
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-HE2
81377AAD4
278219.42000000
PA
USD
108648.66000000
0.006477097497
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.77000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-491.17000000
-0.00002928113
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
331243.00000000
TWD
10376.00000000
USD
2024-02-29
-491.17000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
67027299.70000000
PA
USD
63863068.90000000
3.807201338528
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0AC349 IRS EUR R V 01MCPTFE SWU0AC349 CCPINFLATIONZERO / Short: BWU0AC349 IRS EUR P F 2.26000 SWUVAC341 CCPINFLATIONZERO
000000000
14600000.00000000
OU
Notional Amount
10167.51000000
0.000606136822
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2028-03-15
0.00000000
EUR
0.00000000
EUR
14600000.00000000
EUR
10167.51000000
N
N
N
Banc of America Mortgage Securities
N/A
Banc of America Mortgage 2005-E Trust
05949A6C9
27170.12000000
PA
USD
23465.98000000
0.001398926046
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
4.57800000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
20802847.64000000
PA
2503182.35000000
0.149227391631
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
2024-02-26
Brighthouse Funds Trust I
Alan Otis
Alan Otis
Treasurer