NPORT-P false 0000875186 XXXXXXXX S000052236 C000164312 MORGAN STANLEY PATHWAY FUNDS 811-06318 0000875186 549300P3RUTI9W6SLI87 2000 Westchester Avenue NULL Purchase 10577 888-454-3965 Inflation-Linked Fixed Income Fund S000052236 549300Y5STFD97ES4K03 2026-08-31 2026-02-28 N 217029945.78 73236257.66 143793688.12 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 56844.01000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 3938452.05000000 ARS AUD BRL CAD CHF CNY CNY COP DKK EUR GBP HUF IDR ILS INR JPY KRW MXN NOK NZD PEN PLN SEK SGD THB TRY TWD USD ZAR N Securities Portfolio SEC_PORT FNCL 30YR TBA 4.0% MARCH 26 N/A 01F040636 2300000.00000000 PA USD 2236350.56000000 1.555249461390 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 4.00000000 N N N N N N FNMA 30YR TBA 4.5% MAR 26 N/A 01F042632 7800000.00000000 PA USD 7716256.24000000 5.366199546645 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 4.50000000 N N N N N N FNMA 30YR TBA 6.5% APR 26 N/A 01F062648 2000000.00000000 PA USD 2078439.70000000 1.445431803839 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 6.50000000 N N N N N N CWALT 2006-HY11 V/R 06/25/36 N/A 021466AA5 134253.43000000 PA USD 130783.01000000 0.090951843373 Long ABS-CBDO CORP US N 2 2036-06-25 Variable 4.02821000 N N N N N N CWALT 2008-2R 1A V/R 08/25/37 N/A 021482AA2 327204.82000000 PA USD 271385.77000000 0.188732741713 Long ABS-CBDO CORP US N 2 2037-08-25 Variable 6.00000000 N N N N N N CWALT 2007-4CB 1A 6% 04/25/37 N/A 02148FBX2 22882.14000000 PA USD 19646.24000000 0.013662797204 Long ABS-CBDO CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N BSARM 2003-3 3A2 V/R 05/25/33 N/A 07384MUR1 7859.57000000 PA USD 7490.74000000 0.005209366348 Long ABS-CBDO CORP US N 2 2033-05-25 Variable 6.34434000 N N N N N N BSABS 2004-1 M1 V/R 06/25/34 N/A 07384YSY3 64933.44000000 PA USD 77494.75000000 0.053893012282 Long ABS-CBDO CORP US N 2 2034-06-25 Variable 4.76321000 N N N N N N BLUEM 2016-3A A1 V/R 11/15/30 N/A 09628VAW4 32866.13000000 PA USD 32893.31000000 0.022875350392 Long ABS-CBDO CORP KY Y 2 2030-11-15 Variable 4.85253000 N N N N N N BLUEM 2022-34A A V/R 04/20/35 N/A 09631JAL0 700000.00000000 PA USD 700721.00000000 0.487309984994 Long ABS-CBDO CORP KY Y 2 2035-04-20 Variable 4.81763000 N N N N N N CBASS 2005-CB3 M V/R 06/25/35 N/A 12489WLH5 113762.78000000 PA USD 112027.59000000 0.077908558758 Long ABS-CBDO CORP US N 2 2035-06-25 Variable 4.83821000 N N N N N N CBASS 2007-CB6 A V/R 07/25/37 N/A 1248RHAC1 593820.11000000 PA USD 402279.16000000 0.279761347844 Long ABS-CBDO CORP US Y 2 2037-07-25 Variable 4.00821000 N N N N N N CWHL 2005-HYB9 2 V/R 02/20/36 N/A 126670JV1 34108.92000000 PA USD 32546.39000000 0.022634088064 Long ABS-CBDO CORP US N 2 2036-02-20 Variable 6.44851000 N N N N N N CWL 2004-7 MV5 V/R 11/25/34 N/A 126673EG3 149011.04000000 PA USD 138857.29000000 0.096567027256 Long ABS-CBDO CORP US N 2 2034-11-25 Variable 5.51321000 N N N N N N CWHL 2005-HYB6 2 V/R 10/20/35 N/A 126694BH0 370830.22000000 PA USD 352417.61000000 0.245085590756 Long ABS-CBDO CORP US N 2 2035-10-20 Variable 4.65565300 N N N N N N CWHL 2006-6 A4 6% 04/25/36 N/A 126694K64 78146.06000000 PA USD 37860.84000000 0.026329973516 Long ABS-CBDO CORP US N 2 2036-04-25 Fixed 6.00000000 N N N N N N CWL 2007-6 1A V/R 09/25/37 N/A 12669LAA8 42724.45000000 PA USD 40492.63000000 0.028160227704 Long ABS-CBDO CORP US N 2 2037-09-25 Variable 4.18821000 N N N N N N CWL 2007-8 1A1 V/R 11/25/37 N/A 12669WAA4 216177.17000000 PA USD 210103.80000000 0.146114758406 Long ABS-CBDO CORP US N 2 2037-11-25 Variable 3.97821000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2122.24000000 -0.00147589232 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -4794730.32000000 MXN 275854.44000000 USD 2026-03-18 -2122.24000000 N N N N/A N/A N/A 1.00000000 NC N/A 488.46000000 0.000339695021 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -46572.37000000 USD 1474593.00000000 TWD 2026-03-18 488.46000000 N N N N/A N/A N/A 1.00000000 NC N/A -411.81000000 -0.00028638948 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -148262346.00000000 KRW 102589.95000000 USD 2026-03-18 -411.81000000 N N N N/A N/A N/A 1.00000000 NC N/A -478.55000000 -0.00033280320 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -2453.60000000 BRL 0.00000000 N/A 2026-03-03 -478.55000000 N N N N/A N/A N/A 1.00000000 NC N/A 7857.81000000 0.005464641809 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -101698.62000000 USD 1887000.00000000 MXN 2026-03-02 7857.81000000 N N N N/A N/A N/A 1.00000000 NC N/A 1958.13000000 0.001361763527 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -88000.00000000 USD 461228.82000000 BRL 2026-03-03 1958.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 12682.65000000 0.008820032482 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -306762.12000000 USD 5510000.00000000 MXN 2026-03-18 12682.65000000 N N N N/A N/A N/A 1.00000000 NC N/A 0.41000000 0.000000285130 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -5.81000000 USD 107.28000000 MXN 2026-03-18 0.41000000 N N N N/A N/A N/A 1.00000000 NC N/A 2980.46000000 0.002072733538 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -43775.00000000 USD 805748.92000000 MXN 2026-03-09 2980.46000000 N N N N/A N/A N/A 1.00000000 NC N/A -799.57000000 -0.00055605361 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -3130666.13000000 MXN 180702.23000000 USD 2026-03-18 -799.57000000 N N N N/A N/A N/A 1.00000000 NC N/A 6704.35000000 0.004662478643 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -104998.27000000 USD 1925000.00000000 MXN 2026-03-09 6704.35000000 N N N N/A N/A N/A 1.00000000 NC N/A 1959.07000000 0.001362417242 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -30140.00000000 USD 554817.12000000 MXN 2026-04-09 1959.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 10407.21000000 0.007237598629 N/A DFE N/A N 2 MERRILL LYNCH, PIERCE FENNER N/A -151534.83000000 USD 2800000.00000000 MXN 2026-04-13 10407.21000000 N N N N/A N/A N/A 1.00000000 NC N/A -226.22000000 -0.00015732262 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -2492016.00000000 THB 80000.00000000 USD 2026-03-12 -226.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 7141.19000000 0.004966275010 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -108570.75000000 USD 2001000.00000000 MXN 2026-04-15 7141.19000000 N N N N/A N/A N/A 1.00000000 NC N/A 112.91000000 0.000078522222 N/A DFE N/A N 2 MERRILL LYNCH, PIERCE FENNER N/A -137984.63000000 USD 2382000.00000000 MXN 2026-03-18 112.91000000 N N N N/A N/A N/A 1.00000000 NC N/A 228.79000000 0.000159109904 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -30000.00000000 USD 507111000.00000000 IDR 2026-03-25 228.79000000 N N N N/A N/A N/A 1.00000000 NC N/A 18449.60000000 0.012830604904 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -703082.56000000 USD 32345664.71000000 TRY 2026-03-27 18449.60000000 N N N N/A N/A N/A 1.00000000 NC N/A 261.89000000 0.000182128995 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -37345.00000000 USD 134382.99000000 PLN 2026-04-15 261.89000000 N N N N/A N/A N/A 1.00000000 NC N/A 1546.22000000 0.001075304500 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -137602.55000000 USD 497228.79000000 PLN 2026-04-15 1546.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 718.57000000 0.000499722908 N/A DFE N/A N 2 HSBC BANK PLC N/A -59728.72000000 USD 216000.00000000 PLN 2026-04-15 718.57000000 N N N N/A N/A N/A 1.00000000 NC N/A -298.59000000 -0.00020765167 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -281263.70000000 USD 25636989.24000000 INR 2026-04-07 -298.59000000 N N N N/A N/A N/A 1.00000000 NC N/A 1416.29000000 0.000984945875 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -118638.75000000 USD 429000.00000000 PLN 2026-04-15 1416.29000000 N N N N/A N/A N/A 1.00000000 NC N/A -21.07000000 -0.00001465293 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -454855.90000000 USD 337502.00000000 GBP 2026-03-03 -21.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 12048.07000000 0.008378719648 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -726368.35000000 USD 2638612.93000000 PLN 2026-04-22 12048.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 19167.95000000 0.013330174815 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -546805.69000000 USD 9791321.41000000 MXN 2026-04-20 19167.95000000 N N N N/A N/A N/A 1.00000000 NC N/A -812.58000000 -0.00056510129 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -153239.00000000 USD 129000.00000000 EUR 2026-03-03 -812.58000000 N N N N/A N/A N/A 1.00000000 NC N/A 14459.46000000 0.010055698681 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -1320647.15000000 USD 121823360.48000000 INR 2026-04-07 14459.46000000 N N N N/A N/A N/A 1.00000000 NC N/A -9052.50000000 -0.00629547799 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -2575650.71000000 USD 1904498.00000000 GBP 2026-03-03 -9052.50000000 N N N N/A N/A N/A 1.00000000 NC N/A 60460.56000000 0.042046741265 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -4381121.07000000 EUR 5237193.76000000 USD 2026-03-03 60460.56000000 N N N N/A N/A N/A 1.00000000 NC N/A 379.81000000 0.000264135376 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -69864.09000000 USD 54000.00000000 CHF 2026-03-03 379.81000000 N N N N/A N/A N/A 1.00000000 NC N/A 23813.35000000 0.016560775588 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -388692.00000000 USD 64414773.00000000 JPY 2026-03-03 23813.35000000 N N N N/A N/A N/A 1.00000000 NC N/A 116.21000000 0.000080817177 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -106227.80000000 USD 90000.00000000 EUR 2026-03-03 116.21000000 N N N N/A N/A N/A 1.00000000 NC N/A 82.54000000 0.000057401685 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -2761661.90000000 INR 30348.60000000 USD 2026-04-07 82.54000000 N N N N/A N/A N/A 1.00000000 NC N/A 39370.68000000 0.027379977879 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1731034.48000000 USD 9214365.78000000 BRL 2026-05-05 39370.68000000 N N N N/A N/A N/A 1.00000000 NC N/A 280.33000000 0.000194952924 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -70084.22000000 USD 101327765.00000000 KRW 2026-03-05 280.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 446.80000000 0.000310722957 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -139428.00000000 USD 2350624066.00000000 IDR 2026-06-10 446.80000000 N N N N/A N/A N/A 1.00000000 NC N/A 80.49000000 0.000055976031 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -9612.00000000 USD 162884127.00000000 IDR 2026-06-10 80.49000000 N N N N/A N/A N/A 1.00000000 NC N/A 857.56000000 0.000596382227 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -318793.70000000 DKK 51270.49000000 USD 2026-03-03 857.56000000 N N N N/A N/A N/A 1.00000000 NC N/A 34367.74000000 0.023900729197 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -96541932.00000000 JPY 652612.00000000 USD 2026-03-03 34367.74000000 N N N N/A N/A N/A 1.00000000 NC N/A -598.96000000 -0.00041654123 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -490577.49000000 NOK 50990.00000000 USD 2026-03-03 -598.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 10135.41000000 0.007048577814 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2175215.76000000 CAD 1604517.70000000 USD 2026-03-03 10135.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -1497.74000000 -0.00104158952 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -2059002.29000000 SGD 1626236.39000000 USD 2026-03-03 -1497.74000000 N N N N/A N/A N/A 1.00000000 NC N/A -1606.13000000 -0.00111696836 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -79112.14000000 USD 699720.38000000 SEK 2026-03-03 -1606.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 13110.86000000 0.009117827194 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -1857479.74000000 NZD 1127226.81000000 USD 2026-03-03 13110.86000000 N N N N/A N/A N/A 1.00000000 NC N/A 70449.07000000 0.048993158824 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -2242000.00000000 GBP 3091882.11000000 USD 2026-03-03 70449.07000000 N N N N/A N/A N/A 1.00000000 NC N/A -378.67000000 -0.00026334257 N/A DFE N/A N 2 HSBC BANK PLC N/A -242830.65000000 CNY 35016.55000000 USD 2026-03-03 -378.67000000 N N N N/A N/A N/A 1.00000000 NC N/A 934.75000000 0.000650063304 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -180702.23000000 USD 3158169.01000000 MXN 2026-06-17 934.75000000 N N N N/A N/A N/A 1.00000000 NC N/A 3364.76000000 0.002339991444 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -764066.92000000 USD 1279479.74000000 NZD 2026-03-03 3364.76000000 N N N N/A N/A N/A 1.00000000 NC N/A -15305.59000000 -0.01064413202 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -1426000.00000000 AUD 999435.91000000 USD 2026-03-03 -15305.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -711.25000000 -0.00049463228 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -69386.86000000 USD 620000.00000000 SEK 2026-03-03 -711.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 5353.40000000 0.003722972871 N/A DFE N/A N 2 MERRILL LYNCH, PIERCE FENNER N/A -1587748.73000000 USD 2173469.24000000 CAD 2026-03-03 5353.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 943.30000000 0.000656009323 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -75000.00000000 USD 6929535.00000000 INR 2026-04-07 943.30000000 N N N N/A N/A N/A 1.00000000 NC N/A 659.67000000 0.000458761443 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -167884.07000000 USD 281000.00000000 NZD 2026-03-03 659.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -3423.67000000 -0.00238095986 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -290000.00000000 CHF 373812.11000000 USD 2026-03-03 -3423.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -424.09000000 -0.00029492949 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -77228.10000000 USD 65000.00000000 EUR 2026-03-03 -424.09000000 N N N N/A N/A N/A 1.00000000 NC N/A -7.25000000 -0.00000504194 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -5481973.00000000 IDR 318.95000000 USD 2026-06-10 -7.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 1438.63000000 0.001000482023 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -443315.09000000 ILS 142944.00000000 USD 2026-04-06 1438.63000000 N N N N/A N/A N/A 1.00000000 NC N/A 1047.11000000 0.000728203034 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -48721.77000000 USD 473269.64000000 NOK 2026-03-03 1047.11000000 N N N N/A N/A N/A 1.00000000 NC N/A -1.84000000 -0.00000127961 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -1000.00000000 CNY 143.92000000 USD 2026-03-03 -1.84000000 N N N N/A N/A N/A 1.00000000 NC N/A -2639.29000000 -0.00183546999 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -1628570.98000000 USD 2056722.29000000 SGD 2026-03-03 -2639.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 1958.76000000 0.001362201655 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -441633.12000000 ILS 142943.00000000 USD 2026-04-13 1958.76000000 N N N N/A N/A N/A 1.00000000 NC N/A -112.24000000 -0.00007805627 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -825062431.00000000 IDR 49098.00000000 USD 2026-03-05 -112.24000000 N N N N/A N/A N/A 1.00000000 NC N/A 50.60000000 0.000035189305 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 -905664.00000000 INR 10000.00000000 USD 2026-03-05 50.60000000 N N N N/A N/A N/A 1.00000000 NC N/A -384.02000000 -0.00026706318 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 -101355800.00000000 KRW 70000.00000000 USD 2026-03-05 -384.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -1086.41000000 -0.00075553385 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -1528276.84000000 THB 48092.01000000 USD 2026-03-05 -1086.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -23.77000000 -0.00001653062 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -50000.00000000 USD 837905000.00000000 IDR 2026-03-05 -23.77000000 N N N N/A N/A N/A 1.00000000 NC N/A 2046.38000000 0.001423136179 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -438610.34000000 ILS 142050.00000000 USD 2026-04-06 2046.38000000 N N N N/A N/A N/A 1.00000000 NC N/A -846.49000000 -0.00058868369 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -60217.35000000 USD 186000.00000000 ILS 2026-04-06 -846.49000000 N N N N/A N/A N/A 1.00000000 NC N/A -63.16000000 -0.00004392404 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 -178000.00000000 PLN 49749.89000000 USD 2026-04-15 -63.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 2876.45000000 0.002000400739 N/A DFE N/A N 2 MERRILL LYNCH, PIERCE FENNER N/A -619293.15000000 ILS 200798.00000000 USD 2026-06-17 2876.45000000 N N N N/A N/A N/A 1.00000000 NC N/A -5556.15000000 -0.00386397349 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 -277000.00000000 USD 1025022000.00000000 COP 2026-03-18 -5556.15000000 N N N N/A N/A N/A 1.00000000 NC N/A -674.28000000 -0.00046892183 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -178814.82000000 USD 297000.00000000 NZD 2026-03-03 -674.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 1666.09000000 0.001158666991 N/A DFE N/A N 2 MERRILL LYNCH, PIERCE FENNER N/A -329152.05000000 ILS 106845.00000000 USD 2026-06-10 1666.09000000 N N N N/A N/A N/A 1.00000000 NC N/A -41.94000000 -0.00002916678 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -40000.00000000 USD 670084000.00000000 IDR 2026-03-12 -41.94000000 N N N N/A N/A N/A 1.00000000 NC N/A -159.26000000 -0.00011075590 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 -40000.00000000 USD 3628116.00000000 INR 2026-03-12 -159.26000000 N N N N/A N/A N/A 1.00000000 NC N/A -237.21000000 -0.00016496551 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -29136200.00000000 KRW 20000.00000000 USD 2026-03-12 -237.21000000 N N N N/A N/A N/A 1.00000000 NC N/A 5651.75000000 0.003930457639 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -1040875.80000000 ILS 338258.48000000 USD 2026-06-10 5651.75000000 N N N N/A N/A N/A 1.00000000 NC N/A 6361.66000000 0.004424158030 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -516907.62000000 USD 8343865.07000000 ZAR 2026-03-20 6361.66000000 N N N N/A N/A N/A 1.00000000 NC N/A 588.70000000 0.000409406009 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -165685.00000000 USD 2651341.08000000 ZAR 2026-03-20 588.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 2135.90000000 0.001485392041 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -2052391.92000000 SGD 1628570.98000000 USD 2026-04-02 2135.90000000 N N N N/A N/A N/A 1.00000000 NC N/A 883.89000000 0.000614693184 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 -255275.23000000 BRL 50672.80000000 USD 2026-03-03 883.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -126.64000000 -0.00008807062 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -935358.00000000 THB 30000.00000000 USD 2026-03-19 -126.64000000 N N N N/A N/A N/A 1.00000000 NC N/A 79.27000000 0.000055127593 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -20000.00000000 USD 628880.00000000 TWD 2026-03-24 79.27000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.30000000 -0.00000020863 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -2179.70000000 THB 70.02000000 USD 2026-04-20 -0.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -290.67000000 -0.00020214378 N/A DFE N/A N 2 MERRILL LYNCH, PIERCE FENNER N/A -321000.00000000 ZAR 19840.22000000 USD 2026-03-20 -290.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -67.66000000 -0.00004705352 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -155000.00000000 ILS 49461.83000000 USD 2026-06-10 -67.66000000 N N N N/A N/A N/A 1.00000000 NC N/A 332.10000000 0.000230955895 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -93000.00000000 ILS 30049.79000000 USD 2026-06-10 332.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 4263.43000000 0.002964963244 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -1028762940.92000000 COP 276697.94000000 USD 2026-03-18 4263.43000000 N N N N/A N/A N/A 1.00000000 NC N/A -5402.48000000 -0.00375710510 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -276697.94000000 USD 1073117620.70000000 COP 2026-09-16 -5402.48000000 N N N N/A N/A N/A 1.00000000 NC N/A 8960.82000000 0.006231719985 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -1904498.00000000 GBP 2575801.17000000 USD 2026-04-02 8960.82000000 N N N N/A N/A N/A 1.00000000 NC N/A 1663.91000000 0.001157150930 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 -189672.80000000 USD 989124.68000000 BRL 2026-04-02 1663.91000000 N N N N/A N/A N/A 1.00000000 NC N/A 1907.77000000 0.001326741128 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -257154329.00000000 JPY 1653104.00000000 USD 2026-04-02 1907.77000000 N N N N/A N/A N/A 1.00000000 NC N/A -960.04000000 -0.00066765100 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -1322196.72000000 SEK 145495.88000000 USD 2026-03-03 -960.04000000 N N N N/A N/A N/A 1.00000000 NC N/A 1001.50000000 0.000696483978 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -145495.88000000 USD 1320134.32000000 SEK 2026-04-02 1001.50000000 N N N N/A N/A N/A 1.00000000 NC N/A -35.37000000 -0.00002459774 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -627180.00000000 TWD 20000.00000000 USD 2026-03-31 -35.37000000 N N N N/A N/A N/A 1.00000000 NC N/A -22.36000000 -0.00001555005 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -931675.50000000 THB 30000.00000000 USD 2026-03-26 -22.36000000 N N N N/A N/A N/A 1.00000000 NC N/A 709.87000000 0.000493672573 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -572963.49000000 USD 9974606.80000000 MXN 2026-06-17 709.87000000 N N N N/A N/A N/A 1.00000000 NC N/A -1161.12000000 -0.00080749024 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -107794526.00000000 JPY 690991.00000000 USD 2026-04-02 -1161.12000000 N N N N/A N/A N/A 1.00000000 NC N/A -3467.95000000 -0.00241175398 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -1279479.74000000 NZD 764957.43000000 USD 2026-04-02 -3467.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 131.17000000 0.000091220972 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -50306.72000000 USD 318951.57000000 DKK 2026-03-03 131.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -141.59000000 -0.00009846746 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -318304.06000000 DKK 50306.72000000 USD 2026-04-07 -141.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -81.47000000 -0.00005665756 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -93282.79000000 NOK 9726.00000000 USD 2026-04-07 -81.47000000 N N N N/A N/A N/A 1.00000000 NC N/A -5415.17000000 -0.00376593025 N/A DFE N/A N 2 MERRILL LYNCH, PIERCE FENNER N/A -2170714.49000000 CAD 1587748.73000000 USD 2026-04-02 -5415.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -32.98000000 -0.00002293563 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -243297.51000000 CNY 35510.70000000 USD 2026-04-02 -32.98000000 N N N N/A N/A N/A 1.00000000 NC N/A 20.45000000 0.000014221764 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -35510.70000000 USD 243763.20000000 CNY 2026-03-03 20.45000000 N N N CANADIAN GO 0.5% 12/01/50/CAD/ N/A 135087G99 63478.00000000 PA 36096.99000000 0.025103320230 Long DBT UST CA N 2 2050-12-01 Fixed 0.50000000 N N N N N N CANADIAN G 4.25% 12/01/26/CAD/ N/A 135087VS0 563616.00000000 PA 425496.00000000 0.295907286031 Long DBT UST CA N 2 2026-12-01 Fixed 4.25000000 N N N N N N CANYC 2020-1A AR V/R 07/15/34 N/A 13876LAW7 500000.00000000 PA USD 500335.00000000 0.347953381362 Long ABS-CBDO CORP KY Y 2 2034-07-15 Variable 4.75219000 N N N N N N CCMFC 2004-A A1 V/R 03/25/35 N/A 16678RBL0 13834.72000000 PA USD 13950.17000000 0.009701517627 Long ABS-CBDO CORP US Y 2 2035-03-25 Variable 4.14821000 N N N N N N CWHL 2007-1 A1 6% 03/25/37 N/A 170255AA1 116414.38000000 PA USD 50514.55000000 0.035129879941 Long ABS-CBDO CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N CMLTI 2004-HYB2 V/R 03/25/34 N/A 17307GEC8 2509.77000000 PA USD 2346.47000000 0.001631831014 Long ABS-CBDO CORP US N 2 2034-03-25 Variable 6.03485000 N N N N N N CMLTI 2004-NCM2 5.5% 08/25/34 N/A 17307GGX0 11689.65000000 PA USD 11717.24000000 0.008148646963 Long ABS-CBDO CORP US N 2 2034-08-25 Fixed 5.50000000 N N N N N N CMLTI 2007-AR4 1A1A V/R3/25/37 N/A 17311WAA5 95417.04000000 PA USD 83200.26000000 0.057860856820 Long ABS-CBDO CORP US N 2 2037-03-25 Variable 4.53347300 N N N N N N CWL 2007-1 1A V/R 07/25/37 N/A 23245CAA8 199821.92000000 PA USD 187131.17000000 0.130138653821 Long ABS-CBDO CORP US N 2 2037-07-25 Variable 4.06821000 N N N N N N ELAT 2007-1 A1 V/R 05/25/37 N/A 288542AA1 344963.51000000 PA USD 340907.81000000 0.237081206037 Long ABS-CBDO CORP US Y 2 2037-05-25 Variable 4.88821000 N N N N N N UMBS P#SD8225 3% 07/01/52 N/A 3132DWD67 81610.17000000 PA USD 74018.28000000 0.051475333144 Long ABS-MBS USGA US N 2 2052-07-01 Fixed 3.00000000 N N N N N N UMBS P#SD8409 6% 03/01/54 N/A 3132DWKW2 3169134.55000000 PA USD 3259576.96000000 2.266842865369 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 6.00000000 N N N N N N UMBS P#QH2327 6.5% 10/01/53 N/A 3133CESQ6 296808.81000000 PA USD 309448.84000000 0.215203354226 Long ABS-MBS USGA US N 2 2053-10-01 Fixed 6.50000000 N N N N N N UMBS P#QI9438 5% 07/01/54 N/A 3133WGPX7 292568.07000000 PA USD 294523.76000000 0.204823844391 Long ABS-MBS USGA US N 2 2054-07-01 Fixed 5.00000000 N N N N N N FNR 2025-47 FJ V/R 06/25/55 N/A 3136BWNH5 633855.72000000 PA USD 639496.15000000 0.444731725266 Long ABS-CBDO CORP US N 2 2055-06-25 Variable 4.69721000 N N N N N N UMBS P#BK2298 4% 03/01/50 N/A 3140HFRU5 31689.41000000 PA USD 31233.20000000 0.021720842137 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N UMBS P#BV5578 3% 05/01/52 N/A 3140MKFU1 80607.42000000 PA USD 73129.90000000 0.050857517430 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N UMBS P#MA5353 5.5% 05/01/54 N/A 31418E5P1 1556463.51000000 PA USD 1583820.19000000 1.101453207513 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.50000000 N N N N N N UMBS P#MA4599 3% 05/01/52 N/A 31418EDD9 79193.53000000 PA USD 71836.58000000 0.049958089912 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N UMBS P#MA4784 4.5% 10/01/52 N/A 31418EJ68 76152.79000000 PA USD 75736.71000000 0.052670399507 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.50000000 N N N N N N IRO EUR 2Y C 2.44000 L 01/25/27 BRC N/A N/A -6900000.00000000 NC -47360.19000000 -0.03293620924 N/A DIR CORP US N 2 BARCLAYS CAPITAL (TRADING AS B K9WDOH4D2PYBSLSOB484 Call Purchased IRO EUR 2Y C 2.44000 L 01/25/27 BRC 0 1 EUR 2.44000000 EUR 2027-01-25 XXXX -47360.19000000 N N N IRO EUR 2Y P 2.44000 L 01/25/27 BRC N/A N/A -6900000.00000000 NC -14421.91000000 -0.01002958487 N/A DIR CORP US N 2 BARCLAYS CAPITAL (TRADING AS B K9WDOH4D2PYBSLSOB484 Put Purchased IRO EUR 2Y P 2.44000 L 01/25/27 BRC 0 1 EUR 2.44000000 EUR 2027-01-25 XXXX -14421.91000000 N N N DUNEP 1A AR V/R 11/20/34 /EUR/ N/A N/A 700000.00000000 PA 827677.89000000 0.575600988347 Long ABS-CBDO CORP IE Y 2 2034-11-20 Variable 2.98600000 N N N N N N GLGE 5A A1R V/R 12/15/31 /EUR/ N/A N/A 123507.66000000 PA 146046.24000000 0.101566516520 Long ABS-CBDO CORP IE Y 2 2031-12-15 Variable 2.79000000 N N N N N N DRYD 2015-4 V/R 04/15/34 /EUR/ N/A N/A 451955.97000000 PA 534367.03000000 0.371620644123 Long ABS-CBDO CORP IE Y 2 2034-04-15 Variable 2.89600000 N N N N N N SPAUL 4A AR V/R 04/25/30 /EUR/ N/A N/A 405461.62000000 PA 478921.45000000 0.333061524647 Long ABS-CBDO CORP IE Y 2 2030-04-25 Variable 2.86000000 N N N N N N HAYEM 6A AR V/R 10/15/38 /EUR/ N/A N/A 700000.00000000 PA 828556.70000000 0.576212148692 Long ABS-CBDO CORP IE Y 2 2038-10-15 Variable 3.26600000 N N N N N N F/C US 2YR NOTE (CBT) JUN26 N/A N/A -84.00000000 NC USD -17578968.79000000 -12.2251324239 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 2YR NOTE (CBT) JUN26 US 2YR NOTE (CBT) JUN26 2026-06-30 17550750.08000000 USD -28218.71000000 N N N F/C EURO-BOBL FUTURE MAR26 N/A N/A 5.00000000 NC 693953.68000000 0.482603714441 N/A DIR CORP DE N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C EURO-BOBL FUTURE MAR26 EURO-BOBL FUTURE MAR26 /EUR/ 2026-03-06 691176.92000000 EUR 2776.76000000 N N N F/C EURO-BUND FUTURE MAR26 N/A N/A 34.00000000 NC 5231912.07000000 3.638485206411 N/A DIR CORP DE N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C EURO-BUND FUTURE MAR26 EURO-BUND FUTURE MAR26 /EUR/ 2026-03-06 5157164.06000000 EUR 74748.02000000 N N N F/C EURO-BTP FUTURE MAR26 N/A N/A 17.00000000 NC 2467712.50000000 1.716147998054 N/A DIR CORP DE N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C EURO-BTP FUTURE MAR26 EURO-BTP FUTURE MAR26 /EUR/ 2026-03-06 2419231.45000000 EUR 48481.05000000 N N N F/C EURO-OAT FUTURE MAR26 N/A N/A -45.00000000 NC -6589074.19000000 -4.58231114045 N/A DIR CORP DE N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C EURO-OAT FUTURE MAR26 EURO-OAT FUTURE MAR26 /EUR/ 2026-03-06 6436990.46000000 EUR -152083.73000000 N N N F/C JPN 10Y BOND(OSE) MAR26 N/A N/A -2.00000000 NC -1700874.13000000 -1.18285729522 N/A DIR CORP JP N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C JPN 10Y BOND(OSE) MAR26 JPN 10Y BOND(OSE) MAR26 /JPY/ 2026-03-13 1707438.12000000 JPY 6563.99000000 N N N F/C AUST 10Y BOND FUT MAR26 N/A N/A 24.00000000 NC 1888398.18000000 1.313269173834 N/A DIR CORP AU N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C AUST 10Y BOND FUT MAR26 AUST 10Y BOND FUT MAR26 /AUD/ 2026-03-16 1864884.32000000 AUD 23513.85000000 N N N F/C EURO-BUXL 30Y BND MAR26 N/A N/A -12.00000000 NC -1614443.70000000 -1.12275004633 N/A DIR CORP DE N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C EURO-BUXL 30Y BND MAR26 EURO-BUXL 30Y BND MAR26 /EUR/ 2026-03-06 1586203.46000000 EUR -28240.24000000 N N N F/C US 5YR NOTE (CBT) JUN26 N/A N/A 114.00000000 NC USD 12556031.25000000 8.731976635526 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C US 5YR NOTE (CBT) JUN26 US 5YR NOTE (CBT) JUN26 2026-06-30 12520406.26000000 USD 35624.99000000 N N N F/C US LONG BOND(CBT) JUN26 N/A N/A 22.00000000 NC USD 2606312.50000000 1.812536095343 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C US LONG BOND(CBT) JUN26 US LONG BOND(CBT) JUN26 2026-06-18 2585000.00000000 USD 21312.50000000 N N N F/C US 10YR NOTE (CBT)JUN26 N/A N/A -155.00000000 NC USD -17640937.50000000 -12.2682279943 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 10YR NOTE (CBT)JUN26 US 10YR NOTE (CBT)JUN26 2026-06-18 17498812.50000000 USD -142125.00000000 N N N RC R/P NOMURA 3.760% 04/02/26 N/A N/A -54425125.00000000 PA USD -54425125.00000000 -37.8494534159 Short RA CORP US N 2 Reverse repurchase N 3.76000000 2026-04-02 50900000.00000000 USD 54625780.99343420 USD UST N N N F/C US ULTRA BOND CBT JUN26 N/A N/A 16.00000000 NC USD 1945500.00000000 1.352980110209 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C US ULTRA BOND CBT JUN26 US ULTRA BOND CBT JUN26 2026-06-18 1924905.84000000 USD 20594.16000000 N N N F/C US 10YR ULTRA FUT JUN26 N/A N/A 77.00000000 NC USD 8988546.88000000 6.251002389269 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C US 10YR ULTRA FUT JUN26 US 10YR ULTRA FUT JUN26 2026-06-18 8934537.41000000 USD 54009.47000000 N N N RC R/P BNP PA 3.730% 03/02/26 N/A N/A 2000000.00000000 PA USD 2000000.00000000 1.390881634756 Long RA CORP US N 2 Repurchase N 3.73000000 2026-03-02 1975400.00000000 USD 2036088.11377693 USD UST N N N GNMA II P#MA8425 3.5% 11/20/52 N/A 36179XLE4 264040.12000000 PA USD 250209.15000000 0.174005655791 Long ABS-MBS USGSE US N 2 2052-11-20 Fixed 3.50000000 N N N N N N GNMA II P#MA9961 3.5% 10/20/54 N/A 36180AB69 3902937.96000000 PA USD 3672277.14000000 2.553851415880 Long ABS-MBS USGSE US N 2 2054-10-20 Fixed 3.50000000 N N N N N N GSAA 2006-7 AF4A V/R 03/25/46 N/A 362334ND2 16558.29000000 PA USD 8587.37000000 0.005972007611 Long ABS-CBDO CORP US N 2 2046-03-25 Variable 6.72000000 N N N N N N GCBSL 2020-50A A V/R 04/20/35 N/A 38178DAN7 700000.00000000 PA USD 701608.60000000 0.487927258263 Long ABS-CBDO CORP JE Y 2 2035-04-20 Variable 4.77763000 N N N N N N GNR 2018-H15 FG V/R 08/20/68 N/A 38380LJY0 199627.46000000 PA USD 201616.63000000 0.140212433964 Long ABS-CBDO CORP US N 2 2068-08-20 Variable 4.92655000 N N N N N N GNR 2025-159 FJ V/R 09/20/55 N/A 38381U6P2 1372926.19000000 PA USD 1385693.31000000 0.963667688141 Long ABS-CBDO CORP US N 2 2055-09-20 Variable 4.83154000 N N N N N N GNR 2023-H11 FC V/R 05/20/73 N/A 38382Y5C3 470976.66000000 PA USD 482389.84000000 0.335473584624 Long ABS-CBDO CORP US N 2 2073-05-20 Variable 4.76154000 N N N N N N GNR 2023-H19 FA V/R 08/20/73 N/A 38383KCS9 2492082.20000000 PA USD 2528645.78000000 1.758523488103 Long ABS-CBDO CORP US N 2 2073-08-20 Variable 4.56154000 N N N N N N GNR 2025-H22 F V/R 10/20/75 N/A 38384LA58 1392843.30000000 PA USD 1405986.45000000 0.977780366010 Long ABS-CBDO CORP US N 2 2075-10-20 Variable 4.44154000 N N N N N N HVMLT 2005-9 2A1 V/R 06/20/35 N/A 41161PSK0 2498.38000000 PA USD 2378.91000000 0.001654391114 Long ABS-CBDO CORP US N 2 2035-06-20 Variable 4.46172000 N N N N N N INDX 2005-16IP A V/R 07/25/45 N/A 45660LUD9 30362.39000000 PA USD 23005.34000000 0.015998852453 Long ABS-CBDO CORP US N 2 2045-07-25 Variable 4.42821000 N N N N N N JPALT 2006-A1 1A V/R 03/25/36 N/A 46627MCS4 81519.12000000 PA USD 78438.63000000 0.054549424961 Long ABS-CBDO CORP US N 2 2036-03-25 Variable 4.24821000 N N N N N N JPMCC 2019-FL12 V/R 04/15/21 N/A 46651QAA5 55129.89000000 PA USD 55042.55000000 0.038278835962 Long ABS-CBDO CORP US Y 2 2031-12-15 Variable 5.15701000 N N N N N N LXS 2007-20N A1 V/R 12/25/37 N/A 52525AAA2 151687.81000000 PA USD 155779.79000000 0.108335624488 Long ABS-CBDO CORP US N 2 2037-12-25 Variable 6.08821000 N N N N N N LBMLT 2006-7 2A2 V/R 08/25/36 N/A 54251TAC3 141871.81000000 PA USD 56923.20000000 0.039586716735 Long ABS-CBDO CORP US N 2 2036-08-25 Variable 4.02821000 N N N N N N LUX 2023-LION A V/R 08/15/25 N/A 55067LAA5 600000.00000000 PA USD 606267.24000000 0.421622984935 Long ABS-CBDO CORP US Y 2 2040-08-15 Variable 6.34978000 N N N N N N MRFC 2000-TBC2 A V/R 06/15/30 N/A 585525ED6 2129.39000000 PA USD 2103.41000000 0.001462797169 Long ABS-CBDO CORP US N 2 2030-06-15 Variable 4.25413000 N N N N N N NRZT 2018-3A A1 V/R 05/25/58 N/A 64830KAA5 23622.13000000 PA USD 23471.59000000 0.016323101734 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 4.50000000 N N N N N N NRZT 2019-RPL3 A V/R 07/25/59 N/A 64830NAA9 103330.35000000 PA USD 100806.72000000 0.070105107754 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 2.75000000 N N N N N N WOODS 2021-25A A V/R 07/20/34 N/A 668468AL5 700000.00000000 PA USD 699790.70000000 0.486663016401 Long ABS-CBDO CORP KY Y 2 2034-07-20 Variable 4.78763000 N N N N N N OOMLT 2007-1 1A1 V/R 01/25/37 N/A 68400DAA2 76039.20000000 PA USD 50203.95000000 0.034913876023 Long ABS-CBDO CORP US N 2 2037-01-25 Variable 4.06821000 N N N N N N OOMLT 2007-2 1A1 V/R 03/25/37 N/A 68401TAA6 68520.86000000 PA USD 46379.15000000 0.032253953985 Long ABS-CBDO CORP US N 2 2037-03-25 Variable 4.06821000 N N N N N N RASC 2006-KS3 M1 V/R 04/25/36 N/A 76113ABL4 28434.52000000 PA USD 28374.91000000 0.019733070603 Long ABS-CBDO CORP US N 2 2036-04-25 Variable 4.28321000 N N N N N N RAST 2006-A10 A 6.5% 09/25/36 N/A 76113LAE7 506640.75000000 PA USD 147099.54000000 0.102299024333 Long ABS-CBDO CORP US N 2 2036-09-25 Fixed 6.50000000 N N N N N N RCF 2025-4A A 5.423% 07/29/43 N/A 77588RAA6 700000.00000000 PA USD 703827.60000000 0.489470441437 Long ABS-CBDO CORP KY Y 2 2043-07-29 Fixed 5.42300000 N N N N N N SABR 2006-FR3 A3 V/R 05/25/36 N/A 813765AC8 397917.80000000 PA USD 215668.70000000 0.149984817010 Long ABS-CBDO CORP US N 2 2036-05-25 Variable 4.28821000 N N N N N N SABR 2006-HE2 A2 V/R 07/25/36 N/A 81377AAD4 85591.86000000 PA USD 32818.24000000 0.022823143650 Long ABS-CBDO CORP US N 2 2036-07-25 Variable 3.93821000 N N N N N N SEMT 6 A V/R 04/19/27 N/A 81743XAA7 21603.69000000 PA USD 21455.87000000 0.014921287770 Long ABS-CBDO CORP US N 2 2027-04-19 Variable 4.42051000 N N N N N N SVHE 2007-OPT1 1 V/R 06/25/37 N/A 83612TAA0 175527.64000000 PA USD 122961.85000000 0.085512689470 Long ABS-CBDO CORP US N 2 2037-06-25 Variable 3.98821000 N N N N N N SVHE 2007-OPT2 2 V/R 07/25/37 N/A 83613DAD8 39190.09000000 PA USD 36377.71000000 0.025298544376 Long ABS-CBDO CORP US N 2 2037-07-25 Variable 3.96821000 N N N N N N SYMP 2021-29A AR V/R 10/15/35 N/A 87168GAN9 700000.00000000 PA USD 700760.20000000 0.487337246274 Long ABS-CBDO CORP KY Y 2 2035-10-15 Variable 4.82219000 N N N N N N US TIPS 3.625% 04/15/28 N/A 912810FD5 2987293.05000000 PA USD 3158182.49000000 2.196329012275 Long DBT UST US N 2 2028-04-15 Fixed 3.62500000 N N N N N N US TIPS 3.875% 04/15/29 N/A 912810FH6 2458098.87000000 PA USD 2674585.80000000 1.860016134900 Long DBT UST US N 2 2029-04-15 Fixed 3.87500000 N N N N N N US TIPS 3.375% 04/15/32 N/A 912810FQ6 43815.84000000 PA USD 49257.37000000 0.034255585654 Long DBT UST US N 2 2032-04-15 Fixed 3.37500000 N N N N N N US TIPS 1.75% 01/15/28 N/A 912810PV4 2160907.54000000 PA USD 2197226.63000000 1.528041083532 Long DBT UST US N 2 2028-01-15 Fixed 1.75000000 N N N N N N US TIPS 2.5% 01/15/29 N/A 912810PZ5 1648199.28000000 PA USD 1720937.59000000 1.196810244246 Long DBT UST US N 2 2029-01-15 Fixed 2.50000000 N N N N N N US TIPS 2.125% 02/15/40 N/A 912810QF8 869582.40000000 PA USD 885377.13000000 0.615727394975 Long DBT UST US N 2 2040-02-15 Fixed 2.12500000 N N N N N N US TIPS 2.125% 02/15/41 N/A 912810QP6 961844.00000000 PA USD 969954.28000000 0.674545797302 Long DBT UST US N 2 2041-02-15 Fixed 2.12500000 N N N N N N US TIPS 0.75% 02/15/42 N/A 912810QV3 2007768.00000000 PA USD 1620075.87000000 1.126666887247 Long DBT UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N US TIPS 0.625% 02/15/43 N/A 912810RA8 1818229.20000000 PA USD 1405577.36000000 0.977495868126 Long DBT UST US N 2 2043-02-15 Fixed 0.62500000 N N N N N N US TIPS 1.375% 02/15/44 N/A 912810RF7 2322034.80000000 PA USD 2014001.49000000 1.400618842406 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N US TIPS 0.75% 02/15/45 N/A 912810RL4 2642169.60000000 PA USD 2002207.75000000 1.392416994220 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N TSY INFL IX N/B 1.000% 2/15/46 N/A 912810RR1 1627491.60000000 PA USD 1274192.42000000 0.886125418061 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N US TIPS 0.875% 02/15/47 N/A 912810RW0 1865991.60000000 PA USD 1399104.75000000 0.972994550937 Long DBT UST US N 2 2047-02-15 Fixed 0.87500000 N N N N N N US TIPS 1% 02/15/48 N/A 912810SB5 1208981.20000000 PA USD 918764.20000000 0.638946126225 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N US TIPS 1% 02/15/49 N/A 912810SG4 1545348.00000000 PA USD 1158430.01000000 0.805619513029 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N US TIPS 0.25% 02/15/50 N/A 912810SM1 1210022.40000000 PA USD 729620.67000000 0.507407995120 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N US TIPS 0.125% 02/15/51 N/A 912810SV1 1493616.00000000 PA USD 847538.05000000 0.589412554251 Long DBT UST US N 2 2051-02-15 Fixed 0.12500000 N N N N N N US TIPS 0.125% 02/15/52 N/A 912810TE8 1047681.00000000 PA USD 581445.27000000 0.404360773829 Long DBT UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N US TIPS 1.5% 02/15/53 N/A 912810TP3 2180320.00000000 PA USD 1769718.67000000 1.230734598394 Long DBT UST US N 2 2053-02-15 Fixed 1.50000000 N N N N N N US TIPS 2.125% 02/15/54 N/A 912810TY4 1794996.00000000 PA USD 1675797.12000000 1.165417718892 Long DBT UST US N 2 2054-02-15 Fixed 2.12500000 N N N N N N US TIPS 2.375% 02/15/55 N/A 912810UH9 1437730.00000000 PA USD 1417352.22000000 0.985684586389 Long DBT UST US N 2 2055-02-15 Fixed 2.37500000 N N N N N N US TIPS 0.375% 07/15/27 N/A 9128282L3 3987437.30000000 PA USD 3982528.13000000 2.769612617958 Long DBT UST US N 2 2027-07-15 Fixed 0.37500000 N N N N N N US TIPS 0.5% 01/15/28 N/A 9128283R9 5357431.72000000 PA USD 5323189.53000000 3.701963277802 Long DBT UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N US TIPS 0.875% 01/15/29 N/A 9128285W6 3195591.30000000 PA USD 3190757.81000000 2.218983219442 Long DBT UST US N 2 2029-01-15 Fixed 0.87500000 N N N N N N US TIPS 0.25% 07/15/29 N/A 9128287D6 2998657.62000000 PA USD 2937561.44000000 2.042900128932 Long DBT UST US N 2 2029-07-15 Fixed 0.25000000 N N N N N N US TIPS 0.375% 01/15/27 N/A 912828V49 5272134.30000000 PA USD 5258656.09000000 3.657084089540 Long DBT UST US N 2 2027-01-15 Fixed 0.37500000 N N N N N N US TIPS 0.75% 07/15/28 N/A 912828Y38 4660401.70000000 PA USD 4663348.75000000 3.243083066419 Long DBT UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N US TIPS 0.125% 01/15/30 N/A 912828Z37 2443468.80000000 PA USD 2360436.68000000 1.641544014108 Long DBT UST US N 2 2030-01-15 Fixed 0.12500000 N N N N N N US TIPS 0.125% 07/15/30 N/A 912828ZZ6 2742663.00000000 PA USD 2641627.68000000 1.837095712988 Long DBT UST US N 2 2030-07-15 Fixed 0.12500000 N N N N N N US TIPS 0.125% 01/15/31 N/A 91282CBF7 2502148.50000000 PA USD 2384210.33000000 1.658077180696 Long DBT UST US N 2 2031-01-15 Fixed 0.12500000 N N N N N N US TIPS 0.125% 07/15/31 N/A 91282CCM1 5936484.60000000 PA USD 5629601.53000000 3.915054689536 Long DBT UST US N 2 2031-07-15 Fixed 0.12500000 N N N N N N US TIPS 0.125% 10/15/26 N/A 91282CDC2 2016013.00000000 PA USD 2020125.87000000 1.404877986239 Long DBT UST US N 2 2026-10-15 Fixed 0.12500000 N N N N N N US TIPS 0.125% 01/15/32 N/A 91282CDX6 4442238.00000000 PA USD 4159194.05000000 2.892473309766 Long DBT UST US N 2 2032-01-15 Fixed 0.12500000 N N N N N N US TIPS 0.125% 04/15/27 N/A 91282CEJ6 2869300.00000000 PA USD 2846709.86000000 1.979718231877 Long DBT UST US N 2 2027-04-15 Fixed 0.12500000 N N N N N N US TIPS 0.625% 07/15/32 N/A 91282CEZ0 9480220.00000000 PA USD 9115775.22000000 6.339482170032 Long DBT UST US N 2 2032-07-15 Fixed 0.62500000 N N N N N N US TIPS 1.625% 10/15/27 N/A 91282CFR7 6563580.00000000 PA USD 6672767.91000000 4.640515169505 Long DBT UST US N 2 2027-10-15 Fixed 1.62500000 N N N N N N US TIPS 1.125% 01/15/33 N/A 91282CGK1 10987588.00000000 PA USD 10808268.70000000 7.516511219171 Long DBT UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N US TIPS 1.25% 04/15/28 N/A 91282CGW5 1080360.00000000 PA USD 1087520.30000000 0.756306006347 Long DBT UST US N 2 2028-04-15 Fixed 1.25000000 N N N N N N US TIPS 1.375% 07/15/33 N/A 91282CHP9 7148833.00000000 PA USD 7144663.51000000 4.968690631286 Long DBT UST US N 2 2033-07-15 Fixed 1.37500000 N N N N N N US TIPS 2.375% 10/15/28 N/A 91282CJH5 5924688.00000000 PA USD 6169013.72000000 4.290183943854 Long DBT UST US N 2 2028-10-15 Fixed 2.37500000 N N N N N N US TIPS 1.75% 01/15/34 N/A 91282CJY8 2319262.00000000 PA USD 2362790.86000000 1.643181206972 Long DBT UST US N 2 2034-01-15 Fixed 1.75000000 N N N N N N US TIPS 2.125% 04/15/29 N/A 91282CKL4 1152437.00000000 PA USD 1191944.72000000 0.828927010346 Long DBT UST US N 2 2029-04-15 Fixed 2.12500000 N N N N N N US TIPS 1.875% 07/15/34 N/A 91282CLE9 5989834.00000000 PA USD 6162434.96000000 4.285608805622 Long DBT UST US N 2 2034-07-15 Fixed 1.87500000 N N N N N N US TIPS 1.625% 10/15/29 N/A 91282CLV1 4840389.00000000 PA USD 4961183.04000000 3.450209188500 Long DBT UST US N 2 2029-10-15 Fixed 1.62500000 N N N N N N US TIPS 2.125% 01/15/35 N/A 91282CML2 4620735.00000000 PA USD 4816360.84000000 3.349493919357 Long DBT UST US N 2 2035-01-15 Fixed 2.12500000 N N N N N N US TIPS 1.625% 04/15/30 N/A 91282CNB3 2443152.00000000 PA USD 2495979.27000000 1.735805863687 Long DBT UST US N 2 2030-04-15 Fixed 1.62500000 N N N N N N US TIPS 1.875% 07/15/35 N/A 91282CNS6 5651576.00000000 PA USD 5773198.20000000 4.014917675094 Long DBT UST US N 2 2035-07-15 Fixed 1.87500000 N N N N N N US TIPS 1.125% 10/15/30 N/A 91282CPH8 5009050.00000000 PA USD 5027815.30000000 3.496547981858 Long DBT UST US N 2 2030-10-15 Fixed 1.12500000 N N N N N N US TIPS 1.875% 01/15/36 N/A 91282CPU9 1495935.00000000 PA USD 1519741.01000000 1.056889930197 Long DBT UST US N 2 2036-01-15 Fixed 1.87500000 N N N N N N WAMU 2002-AR2 A V/R 02/27/34 N/A 929227LE4 2978.08000000 PA USD 2922.50000000 0.002032425788 Long ABS-CBDO CORP US N 2 2034-02-27 Variable 4.07900000 N N N N N N WAMU 2002-AR17 1 V/R 11/25/42 N/A 929227XB7 1632.62000000 PA USD 1591.57000000 0.001106842741 Long ABS-CBDO CORP US N 2 2042-11-25 Variable 5.11509000 N N N N N N HSBC HOLD 6% 03/29/40 /GBP/ MLU0ZO3ML4LN2LL2TL39 G463DAAD8 100000.00000000 PA 135997.03000000 0.094577885704 Long DBT CORP GB N 2 2040-03-29 Fixed 6.00000000 N N N N N N JAPAN GOVT 0.1% 03/10/28/JPY/ N/A J2S39KJ56 67191560.00000000 PA 430509.84000000 0.299394115018 Long DBT UST JP N 2 2028-03-10 Fixed 0.10000000 N N N N N N BUONI POLIE 0.4% 05/15/30/EUR/ N/A T6052BUG1 373503.00000000 PA 436037.37000000 0.303238185000 Long DBT UST IT Y 2 2030-05-15 Fixed 0.40000000 N N N N N N JAPAN GOVT 0.1% 03/10/29/JPY/ N/A J2S39K4F0 156073860.00000000 PA 1003181.97000000 0.697653689195 Long DBT UST JP N 2 2029-03-10 Fixed 0.10000000 N N N N N N REALKREDIT DA 1% 10/01/50/DKK/ N/A K8094KWV1 2.07000000 PA 0.26000000 0.000000180814 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N NORDEA KRED 1.5% 10/01/53/DKK/ N/A K7S724JZ1 1.44000000 PA 0.19000000 0.000000132133 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N NORDEA KRED 1.5% 10/01/53/DKK/ N/A K7S724JW8 100000.00000000 PA 10873.42000000 0.007561820092 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N NYKREDIT RE 1.5% 10/01/53/DKK/ N/A K741813E4 1.40000000 PA 0.18000000 0.000000125179 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N REALKREDIT 1.5% 10/01/53/DKK/ N/A K8094KZL0 167499.39000000 PA 21653.67000000 0.015058845964 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N FRANCE (GOV 0.1% 03/01/26/EUR/ N/A F43750LD2 735606.00000000 PA 869192.04000000 0.604471622756 Long DBT UST FR Y 2 2026-03-01 Fixed 0.10000000 N N N N N N FRANCE (GOV 0.1% 07/25/31/EUR/ N/A F43750LT7 245582.00000000 PA 281256.38000000 0.195597166800 Long DBT UST FR Y 2 2031-07-25 Fixed 0.10000000 N N N N N N JYSKE REALK 1.5% 10/01/53/DKK/ N/A K5S69JBP7 98530.75000000 PA 12193.00000000 0.008479509886 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N UNITED KINGDO 4% 10/22/31/GBP/ N/A G4527HF89 2100000.00000000 PA 2851913.10000000 1.983336777355 Long DBT NUSS GB N 2 2031-10-22 Fixed 4.00000000 N N N N N N FRANCE (GOV 0.1% 07/25/38/EUR/ N/A F26348BE5 120563.00000000 PA 120360.48000000 0.083703590591 Long DBT UST FR Y 2 2038-07-25 Fixed 0.10000000 N N N N N N JAPAN GOV 0.005% 03/10/34/JPY/ N/A J2S39L2H6 63270600.00000000 PA 396148.79000000 0.275498038320 Long DBT UST JP N 2 2034-03-10 Fixed 0.00500000 N N N N N N JAPAN GOV 0.005% 03/10/35/JPY/ N/A J2S39L8N7 102372000.00000000 PA 634459.08000000 0.441228741188 Long DBT UST JP N 2 2035-03-10 Fixed 0.00500000 N N N N N N CASH COLLATERAL ISDA JPM USD N/A N/A -20000.00000000 PA USD -20000.00000000 -0.01390881634 Short STIV CORP US N 2 2049-12-31 Variable 0.00000000 N N N N N N CASH COLLATERAL WFS USD N/A N/A 86000.00000000 PA USD 86000.00000000 0.059807910294 Long STIV CORP US N 2 2049-12-31 Floating 3.54000000 N N N N N N CASH COLLATERAL LCH FOB WFS N/A N/A 822000.00000000 PA USD 822000.00000000 0.571652351884 Long STIV CORP US N 2 2049-12-31 Variable 0.00000000 N N N N N N CASH COLLATERAL CME WFS N/A N/A 329000.00000000 PA USD 329000.00000000 0.228800028917 Long STIV CORP US N 2 2049-12-31 Floating 3.54000000 N N N N N N ARBR 6A AR V/R 11/15/37 /EUR/ N/A G04464BV7 300000.00000000 PA 355980.51000000 0.247563376845 Long ABS-CBDO CORP IE Y 2 2037-11-15 Variable 3.13400000 N N N N N N PSTET 2023- V/R 05/15/33 /EUR/ N/A G6878ZAG6 185001.99000000 PA 218816.51000000 0.152173932570 Long ABS-CBDO CORP IE Y 2 2033-05-15 Variable 2.95400000 N N N N N N N/A N/A N/A 1.00000000 NC 551.52000000 0.000383549519 N/A DIR JP N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2027-09-20 -50664.66000000 JPY 49526.01000000 JPY 35797.76504115 JPY 1690.17000000 N N N N/A N/A N/A 1.00000000 NC 687856.64000000 0.478363583960 N/A DIR N/A N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2052-11-08 -1088669.96000000 EUR 1088669.96000000 EUR 1299759.99695336 EUR 687856.64000000 N N N N/A N/A N/A 1.00000000 NC USD 251464.55000000 0.174878712193 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2054-02-13 -1372898.13000000 USD 1400000.00000000 USD 1400000.00000000 USD 224362.68000000 N N N N/A N/A N/A 1.00000000 NC 10898.72000000 0.007579414745 N/A DIR JP N 2 NOMURA N/A N/A N/A Y 2028-09-14 -612031.64000000 JPY 610998.56000000 JPY 576350.42105600 JPY 11931.80000000 N N N N/A N/A N/A 1.00000000 NC 29352.86000000 0.020413176950 N/A DIR JP N 2 WELLS FARGO N/A N/A N/A Y 2031-12-15 -535403.29000000 JPY 536845.49000000 JPY 480292.01754667 JPY 27910.66000000 N N N N/A N/A N/A 1.00000000 NC USD -96362.72000000 -0.06701456876 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2028-11-21 -4130000.00000000 USD 4130000.00000000 USD 4130000.00000000 USD -96362.72000000 N N N N/A N/A N/A 1.00000000 NC USD 265207.26000000 0.184435953669 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2053-11-21 -810000.00000000 USD 810000.00000000 USD 810000.00000000 USD 265207.26000000 N N N N/A N/A N/A 1.00000000 NC USD 53160.34000000 0.036969870301 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2054-06-20 -681325.37000000 USD 700000.00000000 USD 700000.00000000 USD 34485.71000000 N N N N/A N/A N/A 1.00000000 NC USD 384235.28000000 0.267212897188 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2055-03-19 -2694186.67000000 USD 3100000.00000000 USD 3100000.00000000 USD -21578.05000000 N N N N/A N/A N/A 1.00000000 NC USD 51811.15000000 0.036031588505 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2034-06-18 -2484366.38000000 USD 2600000.00000000 USD 2600000.00000000 USD -63822.47000000 N N N N/A N/A N/A 1.00000000 NC 10702.28000000 0.007442802351 N/A DIR N/A N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2036-03-18 -1755899.99000000 EUR 1748828.38000000 EUR 1772399.99584549 EUR 17773.89000000 N N N N/A N/A N/A 1.00000000 NC 61594.92000000 0.042835621511 N/A DIR GB N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2030-09-17 -6173719.86000000 GBP 6145538.08000000 GBP 6199190.05695196 GBP 89776.70000000 N N N N/A N/A N/A 1.00000000 NC 9205.35000000 0.006401776128 N/A DIR US N 2 WELLS FARGO N/A 2-Year EUR Inflation Linked N/A Y 2027-06-15 -2398935.00000000 EUR 2398935.00000000 EUR 2490565.33000000 EUR 9205.35000000 N N N N/A N/A N/A 1.00000000 NC USD -4630.49000000 -0.00322023175 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2030-05-31 -1185303.07000000 USD 1185300.00000000 USD 1185300.00000000 USD -4627.42000000 N N N N/A N/A N/A 1.00000000 NC USD -2210.74000000 -0.00153743883 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2035-08-15 -199600.31000000 USD 200000.00000000 USD 200000.00000000 USD -2610.43000000 N N N N/A N/A N/A 1.00000000 NC USD -8394.00000000 -0.00583753022 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2053-11-15 -493014.65000000 USD 500000.00000000 USD 500000.00000000 USD -15379.35000000 N N N N/A N/A N/A 1.00000000 NC USD -4756.86000000 -0.00330811460 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2035-08-15 -300263.91000000 USD 300000.00000000 USD 300000.00000000 USD -4492.95000000 N N N N/A N/A N/A 1.00000000 NC USD -13032.61000000 -0.00906340895 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2030-05-31 -1806223.31000000 USD 1808000.00000000 USD 1808000.00000000 USD -14809.30000000 N N N N/A N/A N/A 1.00000000 NC USD -7283.30000000 -0.00506510410 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2035-08-15 -425949.61000000 USD 427000.00000000 USD 427000.00000000 USD -8333.69000000 N N N N/A N/A N/A 1.00000000 NC USD -14131.57000000 -0.00982767059 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2053-11-15 -504025.70000000 USD 507800.00000000 USD 507800.00000000 USD -17905.87000000 N N N N/A N/A N/A 1.00000000 NC -10940.80000000 -0.00760867889 N/A DIR N/A N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2056-01-13 -674851.20000000 EUR 702870.00000000 EUR 708959.99833820 EUR -38959.60000000 N N N N/A N/A N/A 1.00000000 NC USD -37460.35000000 -0.02605145642 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2035-08-15 -1700000.00000000 USD 1700000.00000000 USD 1700000.00000000 USD -37460.35000000 N N N N/A N/A N/A 1.00000000 NC USD -34124.64000000 -0.02373166753 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2035-08-15 -1600000.00000000 USD 1600000.00000000 USD 1600000.00000000 USD -34124.64000000 N N N N/A N/A N/A 1.00000000 NC USD -45486.95000000 -0.03163348168 N/A DIR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2035-08-15 -1902076.73000000 USD 1900000.00000000 USD 1900000.00000000 USD -43410.22000000 N N N N/A N/A N/A 1.00000000 NC 1318.74000000 0.000917105623 N/A DIR N/A N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2036-09-16 -1293765.00000000 EUR 1284094.27000000 EUR 1299759.99695336 EUR 10989.47000000 N N N N/A N/A N/A 1.00000000 NC -16.71000000 -0.00001162081 N/A DIR N/A N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 N/A N/A Y 2056-09-16 -57925.51000000 EUR 58885.50000000 EUR 59079.99986152 EUR -976.70000000 N N N N/A N/A N/A 1.00000000 NC USD -57017.06000000 -0.03965199081 N/A DIR US N 2 WELLS FARGO N/A 10-Year USD Inflation Linked N/A Y 2028-05-09 -503330.13000000 USD 540000.00000000 USD 540000.00000000 USD -93686.93000000 N N N N/A N/A N/A 1.00000000 NC USD 8819.90000000 0.006133718465 N/A DIR US N 2 WELLS FARGO N/A 1-Year USD Inflation Linked N/A Y 2026-08-27 -1400000.00000000 USD 1400000.00000000 USD 1400000.00000000 USD 8819.90000000 N N N N/A N/A N/A 1.00000000 NC USD -38321.85000000 -0.02665057868 N/A DIR US N 2 WELLS FARGO N/A 10-Year USD Inflation Linked N/A Y 2028-05-09 -335878.04000000 USD 360000.00000000 USD 360000.00000000 USD -62443.81000000 N N N N/A N/A N/A 1.00000000 NC -159379.98000000 -0.11083934356 N/A DIR US N 2 CREDIT SUISSE N/A 10-Year EUR Inflation Linked N/A Y 2031-03-15 -884286.62000000 EUR 875329.98000000 EUR 874383.99000000 EUR -150423.34000000 N N N N/A N/A N/A 1.00000000 NC USD 585.95000000 0.000407493546 N/A DIR US N 2 WELLS FARGO N/A 1-Year USD Inflation Linked N/A Y 2026-08-01 -100000.00000000 USD 100000.00000000 USD 100000.00000000 USD 585.95000000 N N N N/A N/A N/A 1.00000000 NC 8813.74000000 0.006129434549 N/A DIR US N 2 WELLS FARGO N/A 10-Year GBP Inflation Linked N/A Y 2034-09-15 -394334.99000000 GBP 394334.99000000 GBP 404295.00000000 GBP 8813.74000000 N N N N/A N/A N/A 1.00000000 NC -3611.49000000 -0.00251157755 N/A DIR US N 2 WELLS FARGO N/A 2-Year GBP Inflation Linked N/A Y 2027-09-15 -671949.99000000 GBP 671949.99000000 GBP 670213.51000000 GBP -3611.49000000 N N N N/A N/A N/A 1.00000000 NC USD 104231.15000000 0.072486596152 N/A DIR US N 2 WELLS FARGO N/A 7-Year USD Inflation Linked N/A Y 2027-08-25 -600000.00000000 USD 605867.81000000 USD 704231.15000000 USD 98363.34000000 N N N N/A N/A N/A 1.00000000 NC USD 116562.46000000 0.081062292458 N/A DIR US N 2 WELLS FARGO N/A 7-Year USD Inflation Linked N/A Y 2027-08-27 -700000.00000000 USD 701692.63000000 USD 816562.46000000 USD 114869.83000000 N N N N/A N/A N/A 1.00000000 NC 4067.38000000 0.002828622071 N/A DIR US N 2 DEUTSCHE BANK N/A 5-Year EUR Inflation Linked N/A Y 2027-05-15 -207379.99000000 EUR 207480.01000000 EUR 240387.38000000 EUR 3967.36000000 N N N N/A N/A N/A 1.00000000 NC 3.63000000 0.000002524450 N/A DIR US N 2 JP MORGAN N/A 30-Year EUR Inflation Linked N/A Y 2052-05-15 -31975.50000000 EUR 31975.50000000 EUR 35448.00000000 EUR 3.63000000 N N N N/A N/A N/A 1.00000000 NC USD 47094.42000000 0.032751381938 N/A DIR US N 2 CITIBANK E57ODZWZ7FF32TWEFA76 5-Year USD Inflation Linked N/A Y 2026-05-13 -500000.00000000 USD 500000.00000000 USD 547094.42000000 USD 47094.42000000 N N N N/A N/A N/A 1.00000000 NC USD 7663.00000000 0.005329162983 N/A DIR US N 2 CITIBANK E57ODZWZ7FF32TWEFA76 7-Year USD Inflation Linked N/A Y 2028-08-26 -100000.00000000 USD 100000.00000000 USD 107663.00000000 USD 7663.00000000 N N N N/A N/A N/A 1.00000000 NC USD 6819.84000000 0.004742795103 N/A DIR US N 2 DEUTSCHE BANK N/A 7-Year USD Inflation Linked N/A Y 2028-09-10 -100000.00000000 USD 100000.00000000 USD 106819.84000000 USD 6819.84000000 N N N N/A N/A N/A 1.00000000 NC USD -209305.96000000 -0.14555990790 N/A DIR US N 2 WELLS FARGO N/A 10-Year USD Inflation Linked N/A Y 2029-11-04 -1208763.67000000 USD 1200000.00000000 USD 1200000.00000000 USD -200542.29000000 N N N N/A N/A N/A 1.00000000 NC 17355.80000000 0.012069931738 N/A DIR US N 2 CITIGROUP N/A 30-Year EUR Inflation Linked N/A Y 2053-09-15 -105548.80000000 EUR 104575.00000000 EUR 118160.00000000 EUR 18329.60000000 N N N N/A N/A N/A 1.00000000 NC USD -242569.74000000 -0.16869289825 N/A DIR US N 2 WELLS FARGO N/A 10-Year USD Inflation Linked N/A Y 2029-11-20 -1490766.97000000 USD 1500000.00000000 USD 1500000.00000000 USD -251802.77000000 N N N N/A N/A N/A 1.00000000 NC USD 27474.10000000 0.019106610560 N/A DIR US N 2 JP MORGAN N/A 5-Year USD Inflation Linked N/A Y 2026-05-14 -300000.00000000 USD 300000.00000000 USD 327474.10000000 USD 27474.10000000 N N N N/A N/A N/A 1.00000000 NC USD 3714.75000000 0.002583388776 N/A DIR US N 2 WELLS FARGO N/A 1-Year USD Inflation Linked N/A Y 2026-04-23 -400000.00000000 USD 400000.00000000 USD 400000.00000000 USD 3714.75000000 N N N N/A N/A N/A 1.00000000 NC 30111.53000000 0.020940787035 N/A DIR US N 2 CITIBANK E57ODZWZ7FF32TWEFA76 30-Year EUR Inflation Linked N/A Y 2053-04-15 -217723.42000000 EUR 219059.99000000 EUR 236320.00000000 EUR 28774.96000000 N N N N/A N/A N/A 1.00000000 NC -321.01000000 -0.00022324345 N/A DIR US N 2 WELLS FARGO N/A 2-Year EUR Inflation Linked N/A Y 2027-02-15 -311340.00000000 EUR 311309.49000000 EUR 354158.99000000 EUR -290.50000000 N N N N/A N/A N/A 1.00000000 NC -6406.30000000 -0.00445520250 N/A DIR US N 2 WELLS FARGO N/A 10-Year EUR Inflation Linked N/A Y 2034-09-15 -553835.00000000 EUR 551596.35000000 EUR 584393.70000000 EUR -4167.65000000 N N N N/A N/A N/A 1.00000000 NC 16356.25000000 0.011374803869 N/A DIR US N 2 CITIGROUP N/A 30-Year EUR Inflation Linked N/A Y 2053-10-15 -103942.11000000 EUR 105250.00000000 EUR 118160.00000000 EUR 15048.36000000 N N N N/A N/A N/A 1.00000000 NC USD 279126.55000000 0.194115996083 N/A DIR US N 2 CREDIT LYONNAIS SEC ASIA N/A 10-Year USD Inflation Linked N/A Y 2031-02-24 -2300000.00000000 USD 2301034.67000000 USD 2579126.55000000 USD 278091.88000000 N N N N/A N/A N/A 1.00000000 NC 21385.08000000 0.014872057514 N/A DIR US N 2 WELLS FARGO N/A 10-Year GBP Inflation Linked N/A Y 2034-08-15 -784199.85000000 GBP 787590.00000000 GBP 808590.00000000 GBP 17994.93000000 N N N N/A N/A N/A 1.00000000 NC 10424.06000000 0.007249316806 N/A DIR US N 2 JP MORGAN N/A 30-Year EUR Inflation Linked N/A Y 2052-12-15 -105420.00000000 EUR 105420.00000000 EUR 118160.00000000 EUR 10424.06000000 N N N N/A N/A N/A 1.00000000 NC USD -107030.56000000 -0.07443342013 N/A DIR US N 2 WELLS FARGO N/A 10-Year USD Inflation Linked N/A Y 2028-02-05 -900707.55000000 USD 960000.00000000 USD 960000.00000000 USD -166323.01000000 N N N N/A N/A N/A 1.00000000 NC USD -57862.98000000 -0.04024027810 N/A DIR US N 2 WELLS FARGO N/A 10-Year USD Inflation Linked N/A Y 2028-05-10 -512430.58000000 USD 550000.00000000 USD 550000.00000000 USD -95432.40000000 N N N N/A N/A N/A 1.00000000 NC 8327.19000000 0.005791067820 N/A DIR US N 2 BANK OF AMERICA N/A 30-Year EUR Inflation Linked N/A Y 2052-03-15 -224177.73000000 EUR 221700.00000000 EUR 236320.00000000 EUR 10804.92000000 N N N N/A N/A N/A 1.00000000 NC USD 49314.38000000 0.034295232735 N/A DIR US N 2 JP MORGAN N/A 5-Year USD Inflation Linked N/A Y 2026-05-25 -510000.00000000 USD 510080.53000000 USD 559314.38000000 USD 49233.85000000 N N N N/A N/A N/A 1.00000000 NC USD -178990.58000000 -0.12447735525 N/A DIR US N 2 WELLS FARGO N/A 10-Year USD Inflation Linked N/A Y 2030-05-19 -850027.38000000 USD 800000.00000000 USD 800000.00000000 USD -128963.20000000 N N N 2026-03-30 Morgan Stanley Pathway Funds James F. Kirchner James F. Kirchner Chief Financial Officer