NPORT-P false 0000875186 XXXXXXXX S000008439 C000023147 MORGAN STANLEY PATHWAY FUNDS 811-06318 0000875186 549300P3RUTI9W6SLI87 2000 Westchester Avenue NULL Purchase 10577 888-454-3965 International Fixed Income Fund S000008439 Q50Z4ID12W7DFFPENU57 2025-08-31 2024-11-30 N 266918109.43 87727100.06 179191009.37 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 7094.71000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1929106.97000000 ARS AUD BRL CAD CHF CNY CNY CZK DKK EUR GBP HKD HUF IDR ILS INR JPY KRW MXN MYR NOK NZD PEN PLN RON RUB SEK SGD THB TRY TWD USD ZAR N Securities Portfolio SEC_PORT N/A N/A N/A 1.00000000 NC N/A -1536.51000000 -0.00085747047 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -57557.00000000 USD 227571.74000000 PLN 2024-12-16 -1536.51000000 N N N N/A N/A N/A 1.00000000 NC N/A -2240.02000000 -0.00125007387 N/A DFE N/A N 1 HSBC BANK PLC N/A -1108000.00000000 USD 7953224.00000000 CNY 2025-05-15 -2240.02000000 N N N N/A N/A N/A 1.00000000 NC N/A 543.73000000 0.000303435982 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -315859.92000000 EUR 1574864.75000000 RON 2024-12-04 543.73000000 N N N CASSA DEPOSITI 5.75% 05/05/26 N/A 147918AB2 400000.00000000 NS USD 402488.89000000 0.224614444337 Long DBT USGA IT Y 2 2026-05-05 Fixed 5.75000000 N N N N N N AMMC 2017-21A A V/R 11/02/30 N/A 00178LAB5 47094.45000000 NS USD 47154.78000000 0.026315371605 Long ABS-CBDO CORP KY Y 2 2030-11-02 Variable 6.07085000 N N N N N N GNR 2024-H07 JF V/R 04/20/74 N/A 38383KVX7 500561.40000000 NS USD 501064.06000000 0.279625669703 Long ABS-CBDO CORP US N 2 2074-04-20 Variable 5.55078000 N N N N N N N/A N/A N/A 1.00000000 NC 6437.54000000 0.003592557474 N/A DIR CA N 2 BARCLAYS N/A N/A N/A Y 2053-06-21 -148033.01000000 CAD 137447.36000000 CAD 142872.45061971 CAD 17023.19000000 N N N CARVL 2018-1A AR V/R 07/16/31 N/A 146865AJ9 573809.58000000 NS USD 574589.39000000 0.320657488352 Long ABS-CBDO CORP KY Y 2 2031-07-16 Variable 5.87730000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -238.76000000 -0.00013324329 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -19150951.79000000 CNY 2642000.00000000 USD 2024-12-10 -238.76000000 N N N US CAPITAL FUNDIN V/R 08/01/34 N/A 90390KAB0 2388.05000000 NS USD 2388.05000000 0.001332684049 Long ABS-CBDO CORP KY N 2 2034-08-01 Variable 6.25929000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2613.00000000 0.001458220481 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2015780.97000000 MYR 456420.46000000 USD 2024-12-18 2613.00000000 N N N N/A N/A N/A 1.00000000 NC N/A 1053.20000000 0.000587752702 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -695652670.00000000 KRW 500000.00000000 USD 2024-12-12 1053.20000000 N N N N/A N/A N/A 1.00000000 NC 3045.43000000 0.001699543973 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-06-19 -72215.20000000 CAD 75008.22000000 CAD 71436.22530985 CAD 252.41000000 N N N MP10 2017-1A AR V/R 10/15/30 N/A 566061AL1 26407.65000000 NS USD 26466.33000000 0.014769898385 Long ABS-CBDO CORP KY Y 2 2030-10-15 Variable 5.95751000 N N N N N N CANADIAN G 3.25% 12/01/33/CAD/ N/A 135087Q72 1700000.00000000 NS 1228998.54000000 0.685859488330 Long DBT USGA CA N 2 2033-12-01 Fixed 3.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 88264.52000000 0.049257225744 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -8201363.95000000 USD 6514189.00000000 GBP 2024-12-03 88264.52000000 N N N JAPAN (40 Y 2.2% 03/20/64/JPY/ N/A J2S39L2J2 120000000.00000000 NS 733290.39000000 0.409222757647 Long DBT USGA JP N 2 2064-03-20 Fixed 2.20000000 N N N N N N UBS GROUP AG 4.282% 01/09/28 549300SZJ9VS8SGXAN81 225401AC2 250000.00000000 NS USD 246613.17000000 0.137625861290 Long DBT CORP CH Y 2 2028-01-09 Fixed 4.28200000 N N N N N N F/C EURO-OAT FUTURE DEC24 N/A N/A 41.00000000 NC 5491231.22000000 3.064456882801 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-OAT FUTURE DEC24 EURO-OAT FUTURE DEC24 /EUR/ 2024-12-06 5459151.27000000 EUR 32079.95000000 N N N N/A N/A N/A 1.00000000 NC -17870.10000000 -0.00997265435 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-04-12 -544949.98000000 EUR 544949.98000000 EUR 528499.99651190 EUR -17870.10000000 N N N GENERALITA 4.22% 04/26/35/EUR/ 95980020140005848404 E5645NBY9 100000.00000000 NS 110913.04000000 0.061896542906 Long DBT USGA ES N 2 2035-04-26 Fixed 4.22000000 N N N N N N F/C US ULTRA BOND CBT MAR25 N/A N/A -8.00000000 NC USD -1017500.00000000 -0.56782982783 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US ULTRA BOND CBT MAR25 US ULTRA BOND CBT MAR25 2025-03-20 978235.16000000 USD -39264.84000000 N N N CANADIAN GOVE 4% 03/01/29/CAD/ N/A 135087Q98 2100000.00000000 NS 1562801.44000000 0.872142774068 Long DBT USGA CA N 2 2029-03-01 Fixed 4.00000000 N N N N N N NYKREDIT REAL 1% 10/01/53/DKK/ N/A K741813A2 1.12000000 NS 0.13000000 0.000000072548 Long DBT CORP DK N 2 2053-10-01 Fixed 1.00000000 N N N N N N UMBS P#CA6106 4% 06/01/50 N/A 3140QDYC2 80964.63000000 NS USD 76568.11000000 0.042729883753 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4.00000000 N N N N N N UMBS P#FM7441 3% 05/01/51 N/A 3140XBHT0 143661.51000000 NS USD 126093.54000000 0.070368229099 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3.00000000 N N N N N N JYSKE REALKRE 1% 10/01/50/DKK/ N/A K5S69JAF0 8.70000000 NS 0.99000000 0.000000552483 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N ATHENE GLOBAL 5.516% 03/25/27 549300LM1QSI4MSIL320 04685A3T6 300000.00000000 NS USD 304389.83000000 0.169868918686 Long DBT CORP US Y 2 2027-03-25 Fixed 5.51600000 N N N N N N BSARM 2003-7 6A V/R 10/25/33 N/A 07384MYW6 1662.30000000 NS USD 1599.05000000 0.000892371780 Long ABS-CBDO CORP US N 2 2033-10-25 Variable 6.54051900 N N N N N N UMBS P#CA4346 3% 10/01/49 N/A 3140QBZL5 258846.52000000 NS USD 226290.30000000 0.126284405002 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N KOREA NATIONAL 4.25% 09/30/29 N/A 50065LAL4 400000.00000000 NS USD 391921.92000000 0.218717401826 Long DBT USGA KR Y 2 2029-09-30 Fixed 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC -44905.74000000 -0.02506026399 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2033-08-15 -867519.97000000 EUR 867519.97000000 EUR 845599.99441904 EUR -44905.74000000 N N N JPMMT 2021-INV8 V/R 09/25/43 N/A 46654RAG7 785062.22000000 NS USD 675122.81000000 0.376761541984 Long ABS-CBDO CORP US Y 2 2052-05-25 Variable 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 22296.06000000 0.012442622025 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -234660.00000000 USD 10368488.06000000 TRY 2025-05-06 22296.06000000 N N N BONOS Y OB 3.45% 07/30/66/EUR/ N/A E8922ABZ2 850000.00000000 NS 893438.22000000 0.498595450263 Long DBT USGA ES Y 2 2066-07-30 Fixed 3.45000000 N N N N N N FHR 4579 SD V/R 01/15/38 N/A 3137BPS83 57339.48000000 NS USD 3917.41000000 0.002186164369 Long ABS-CBDO CORP US N 2 2038-01-15 Variable 1.21755400 N N N N N N RALI 2007-QO2 A1 V/R 02/25/47 N/A 75116AAA8 40569.74000000 NS USD 12846.74000000 0.007169299422 Long ABS-CBDO CORP US N 2 2047-02-25 Variable 4.85219000 N N N N N N REPUBLIC O 1.65% 03/03/33/EUR/ N/A X77765CC1 100000.00000000 NS 85315.79000000 0.047611646532 Long DBT USGA RS Y 2 2033-03-03 Fixed 1.65000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 452.56000000 0.000252557313 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -138903.00000000 USD 5285827.76000000 TRY 2025-02-28 452.56000000 N N N N/A N/A N/A 1.00000000 NC USD 145513.29000000 0.081205686887 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2038-12-20 -3149821.66000000 USD 3200000.00000000 USD 3200000.00000000 USD 95334.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 1515.99000000 0.000846019008 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -7958431.60000000 CNY 1108000.00000000 USD 2025-05-15 1515.99000000 N N N BONOS Y OB 1.45% 10/31/71/EUR/ N/A E8922AKN9 800000.00000000 NS 466279.69000000 0.260213775032 Long DBT USGA ES Y 2 2071-10-31 Fixed 1.45000000 N N N N N N MF1 2021-FL5 A V/R 07/15/36 N/A 55282XAA8 33918.92000000 NS USD 33839.25000000 0.018884457495 Long ABS-CBDO CORP KY Y 2 2036-07-15 Variable 5.57377000 N N N N N N JAPAN (5 YE 0.4% 06/20/29/JPY/ N/A J2S39L3Z5 50000000.00000000 NS 329673.04000000 0.183978560731 Long DBT USGA JP N 2 2029-06-20 Fixed 0.40000000 N N N N N N CWHL 2005-HYB9 3 V/R 02/20/36 N/A 126670JY5 5736.49000000 NS USD 4918.75000000 0.002744975887 Long ABS-CBDO CORP US N 2 2036-02-20 Variable 6.66218000 N N N N N N ROYAL BANK OF 4.851% 12/14/26 ES7IP3U3RHIGC71XBU11 780082AQ6 500000.00000000 NS USD 503917.18000000 0.281217892444 Long DBT CORP CA Y 2 2026-12-14 Fixed 4.85100000 N N N N N N RMACS 06-NS1X A2A V/R 6/12/44 N/A G7604CAA9 134126.87000000 NS 167844.67000000 0.093668019723 Long ABS-CBDO CORP GB N 2 2044-06-12 Variable 5.19637000 N N N N N N CWALT 2005-21C 5.25% 06/25/35 N/A 12667GKC6 3138.12000000 NS USD 2367.67000000 0.001321310711 Long ABS-CBDO CORP US N 2 2035-06-25 Fixed 5.25000000 N N N N N N UMBS P#MA5389 6% 06/01/54 N/A 31418E7B0 11499431.28000000 NS USD 11639390.86000000 6.495521678750 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 46595.38000000 0.026003190764 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -6271782.55000000 USD 8844781.34000000 CAD 2024-12-03 46595.38000000 N N N N/A N/A N/A 1.00000000 NC 11696.00000000 0.006527113185 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2037-09-21 -5730899.80000000 EUR 5872368.76000000 EUR 5972049.96058447 EUR -129772.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 379.15000000 0.000211589856 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -82000.00000000 NZD 48943.65000000 USD 2024-12-03 379.15000000 N N N WELLS FARGO & COM V/R 04/25/26 PBLD0EJDB5FWOLXP3B76 95000U2X0 200000.00000000 NS USD 199245.70000000 0.111191795113 Long DBT CORP US N 2 2026-04-25 Variable 3.90800000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 116890.07000000 0.065232106460 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -7000000.00000000 BRL 1260441.19000000 USD 2025-04-02 116890.07000000 N N N BONOS Y OB 1.45% 04/30/29/EUR/ N/A E8922AHG8 450000.00000000 NS 458508.05000000 0.255876704758 Long DBT USGA ES N 2 2029-04-30 Fixed 1.45000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5567.00000000 0.003106740689 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -17677550.00000000 TWD 550000.00000000 USD 2024-12-12 5567.00000000 N N N OZLM 2014-9A A1A V/R 10/20/31 N/A 67109KBG8 404049.54000000 NS USD 404487.93000000 0.225730036022 Long ABS-CBDO CORP KY Y 2 2031-10-20 Variable 5.81740000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4.03000000 0.000002248996 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -3624.00000000 EUR 18131.22000000 RON 2025-01-17 4.03000000 N N N N/A N/A N/A 1.00000000 NC N/A -10467.18000000 -0.00584135333 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -60000000.00000000 JPY 400173.41000000 USD 2025-06-20 -10467.18000000 N N N N/A N/A N/A 1.00000000 NC -83808.35000000 -0.04677039896 N/A DIR SG N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-09-18 -7967743.78000000 SGD 7978663.46000000 SGD 7930107.52688172 SGD -94728.03000000 N N N UNITED KI 4.375% 07/31/54/GBP/ N/A G4527HF22 500000.00000000 NS 597907.57000000 0.333670518460 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.37500000 N N N N N N UMBS P#DB5507 5% 06/01/54 N/A 3140AFDM5 894617.66000000 NS USD 878403.59000000 0.490205168824 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -28483.56000000 -0.01589564124 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-06-21 -600000.00000000 USD 574897.00000000 USD 600000.00000000 USD -3380.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -47043.15000000 -0.02625307495 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -8830293.52000000 CAD 6271782.55000000 USD 2025-01-15 -47043.15000000 N N N FAIRFAX FI 2.75% 03/29/28/EUR/ GLS7OQD0WOEDI8YAP031 C33461AA9 100000.00000000 NS 104808.65000000 0.058489904358 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75000000 N N N N N N N/A N/A N/A 1.00000000 NC 6711.05000000 0.003745193480 N/A DIR IN N 2 BARCLAYS BANK N/A N/A N/A Y 2030-03-19 -1288607.43000000 INR 1286810.53000000 INR 1286085.82574772 INR 8507.95000000 N N N UMBS P#SD8410 6.5% 03/01/54 N/A 3132DWKX0 660349.46000000 NS USD 676491.57000000 0.377525397272 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 6.50000000 N N N N N N SINGAPORE 3.25% 06/01/54/SGD/ N/A Y280CEYG6 1649000.00000000 NS 1363133.93000000 0.760715582100 Long DBT USGA SG N 2 2054-06-01 Fixed 3.25000000 N N N N N N F/C US 5YR NOTE (CBT) MAR25 N/A N/A -134.00000000 NC USD -14418609.44000000 -8.04650271835 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US 5YR NOTE (CBT) MAR25 US 5YR NOTE (CBT) MAR25 2025-03-31 14304845.17000000 USD -113764.27000000 N N N N/A N/A N/A 1.00000000 NC N/A -9.38000000 -0.00000523463 N/A DFE N/A N 1 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -241.10000000 USD 4715.00000000 MXN 2024-12-18 -9.38000000 N N N FNMA TBA 30YR 3% JAN 24 N/A 01F030611 3600000.00000000 NS USD 3140681.18000000 1.752700200217 Long ABS-MBS USGA US N 2 2055-01-01 Fixed 3.00000000 N N N N N N UNITED KIN 1.25% 07/31/51/GBP/ N/A G4527HUU3 1300000.00000000 NS 792021.16000000 0.441998269212 Long DBT NUSS GB N 2 2051-07-31 Fixed 1.25000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 1842.27000000 0.001028104036 N/A DIR US N 2 JP MORGAN N/A N/A N/A Y 2030-03-31 -3500000.00000000 USD 3500000.00000000 USD 3500000.00000000 USD 1842.27000000 N N N JAPAN (20 Y 0.4% 03/20/36/JPY/ N/A J2S39KMW3 20000000.00000000 NS 122545.70000000 0.068388308336 Long DBT USGA JP N 2 2036-03-20 Fixed 0.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -5655.19000000 -0.00315595632 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -1069460734.00000000 KRW 762838.00000000 USD 2025-01-22 -5655.19000000 N N N BFAT 2007-SR1A V/R 03/25/37 N/A 07325QAA3 131321.32000000 NS USD 131211.67000000 0.073224471730 Long ABS-CBDO CORP US Y 2 2037-03-25 Variable 5.15219000 N N N N N N N/A N/A N/A 1.00000000 NC USD -24985.76000000 -0.01394364599 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2054-12-18 -1900000.00000000 USD 1828633.46000000 USD 1900000.00000000 USD 46380.78000000 N N N BIG 2022-BIG A V/R 02/15/27 N/A 05551UAA3 365087.66000000 NS USD 363777.21000000 0.203010860466 Long ABS-CBDO CORP US Y 2 2039-02-15 Variable 5.95119000 N N N N N N GROSV 2024- V/R 01/15/39 /EUR/ N/A G4R829AF4 500000.00000000 NS 528764.25000000 0.295084140582 Long ABS-CBDO CORP IE Y 2 2039-01-15 Variable 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 913.92000000 0.000510025588 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -953000.00000000 CAD 681701.15000000 USD 2024-12-03 913.92000000 N N N ORO USD 30Y P 4.06500 L 06/24/25 DUB N/A N/A 600000.00000000 NC USD 10839.18000000 0.006048953035 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written ORO USD 30Y P 4.06500 L 06/24/25 DUB 0 1.00000000 USD 4.06500000 USD 2025-06-24 XXXX 10839.18000000 N N N FNMA 30YR TBA 5% DEC 24 N/A 01F0506C5 -4400000.00000000 NS USD -4317919.67000000 -2.40967428286 Short ABS-MBS USGA US N 2 2054-12-01 Fixed 5.00000000 N N N N N N UMBS P#QD8207 2% 03/01/52 N/A 3133B6DL1 85894.46000000 NS USD 69090.55000000 0.038556928856 Long ABS-MBS USGA US N 2 2052-03-01 Fixed 2.00000000 N N N N N N ARSI 2005-W1 A1 V/R 05/25/35 N/A 040104MX6 334646.42000000 NS USD 297816.84000000 0.166200771482 Long ABS-CBDO CORP US N 2 2035-05-25 Variable 5.18219000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1034.36000000 -0.00057723878 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -994093.32000000 PEN 264485.00000000 USD 2025-04-11 -1034.36000000 N N N ABN AMRO BANK NV V/R 10/13/26 BFXS5XCH7N0Y05NIXW11 00084DBC3 400000.00000000 NS USD 405015.72000000 0.226024576469 Long DBT CORP NL Y 2 2026-10-13 Variable 6.57500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 80.58000000 0.000044968773 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -339168.09000000 CNY 46895.00000000 USD 2024-12-19 80.58000000 N N N CWHL 2005-2 1A1 V/R 03/25/35 N/A 12669GPN5 34776.53000000 NS USD 31633.63000000 0.017653581009 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 5.34219000 N N N N N N GNMA II P#MA7882 3% 02/20/52 N/A 36179WXK9 97525.37000000 NS USD 86496.23000000 0.048270407262 Long ABS-MBS USGSE US N 2 2052-02-20 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 7831.17000000 0.004370291806 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -114702.81000000 USD 4322575.39000000 TRY 2024-12-19 7831.17000000 N N N UBS GROUP AG V/R 08/12/33 549300SZJ9VS8SGXAN81 225401AZ1 600000.00000000 NS USD 649510.43000000 0.362468202106 Long DBT CORP CH Y 2 2033-08-12 Variable 6.53700000 N N N N N N BANK OF AMERICA C V/R 04/25/29 9DJT3UXIJIZJI4WXO774 06051GLG2 500000.00000000 NS USD 506159.04000000 0.282468993159 Long DBT CORP US N 2 2029-04-25 Variable 5.20200000 N N N N N N MALAYSIA 3.519% 04/20/28/MYR/ N/A Y2R35QFA4 12523000.00000000 NS 2818391.50000000 1.572842024780 Long DBT USGA MY N 2 2028-04-20 Fixed 3.51900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -293.85000000 -0.00016398702 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -389102.58000000 PEN 103603.21000000 USD 2025-05-12 -293.85000000 N N N N/A N/A N/A 1.00000000 NC 339.21000000 0.000189300792 N/A DIR IL N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-09-19 -211338.30000000 ILS 211338.30000000 ILS 220191.56666300 ILS 339.21000000 N N N N/A N/A N/A 1.00000000 NC N/A -467.36000000 -0.00026081665 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -55118.00000000 USD 1110688.33000000 MXN 2024-12-11 -467.36000000 N N N N/A N/A N/A 1.00000000 NC USD 24438.42000000 0.013638195401 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2026-06-20 -3610341.47000000 USD 3600000.00000000 USD 3600000.00000000 USD 34779.89000000 N N N BONOS Y OB 1.85% 07/30/35/EUR/ N/A E8922AHJ2 400000.00000000 NS 384574.86000000 0.214617274243 Long DBT USGA ES Y 2 2035-07-30 Fixed 1.85000000 N N N N N N STANDARD CHARTERE V/R 02/08/28 U4LOSYZ7YG4W3S5F2G91 853254CW8 900000.00000000 NS USD 932408.43000000 0.520343310346 Long DBT CORP GB Y 2 2028-02-08 Variable 6.75000000 N N N N N N ACE 2005-HE5 M4 V/R 08/25/35 N/A 004421RH8 288988.53000000 NS USD 284491.38000000 0.158764315799 Long ABS-CBDO CORP US N 2 2035-08-25 Variable 5.60219000 N N N N N N SARM 2004-4 3A2 V/R 04/25/34 N/A 86359BNU1 500.02000000 NS USD 495.66000000 0.000276609859 Long ABS-CBDO CORP US N 2 2034-04-25 Variable 6.81387100 N N N N N N N/A N/A N/A 1.00000000 NC N/A 89058.69000000 0.049700423203 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -3543399.00000000 USD 543415670.00000000 JPY 2024-12-03 89058.69000000 N N N N/A N/A N/A 1.00000000 NC N/A -9432.52000000 -0.00526394713 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2491956.10000000 AUD 1616095.83000000 USD 2025-01-15 -9432.52000000 N N N N/A N/A N/A 1.00000000 NC USD -10322.78000000 -0.00576076893 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 REPUBLIC OF KOR 2.75% 01/19/27 REPUBLIC OF KOR 2.75% 01/19/27 2.75000000 Y 2029-12-20 -320000.00000000 USD 309429.36000000 USD 320000.00000000 USD 247.86000000 N N N N/A N/A N/A 1.00000000 NC N/A 2826.53000000 0.001577383826 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -433000.00000000 USD 16285563.00000000 TRY 2025-02-12 2826.53000000 N N N N/A N/A N/A 1.00000000 NC N/A -2561.61000000 -0.00142954158 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -522069131.00000000 KRW 372348.00000000 USD 2025-01-08 -2561.61000000 N N N F/C EURO-BUND FUTURE DEC24 N/A N/A 18.00000000 NC 2564324.26000000 1.431056317510 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BUND FUTURE DEC24 EURO-BUND FUTURE DEC24 /EUR/ 2024-12-06 2524750.18000000 EUR 39574.08000000 N N N JPMMT 2005-A1 6T V/R 02/25/35 N/A 466247LZ4 412.93000000 NS USD 390.02000000 0.000217656009 Long ABS-CBDO CORP US N 2 2035-02-01 Variable 5.74594700 N N N N N N MARICOPA CNTY 7.375% 10/01/29 N/A 56681NJD0 200000.00000000 NS USD 204973.02000000 0.114388004577 Long DBT MUN US Y 2 2029-10-01 Fixed 7.37500000 N N N N N N RALI 2006-QS6 1A1 6% 06/25/36 N/A 74922EAA7 68158.78000000 NS USD 53237.66000000 0.029710006203 Long ABS-CBDO CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N REPUBLIC 8.875% 02/28/35/ZAR/ N/A S69124WF8 18200000.00000000 NS 929981.79000000 0.518989090618 Long DBT USGA ZA N 2 2035-02-28 Fixed 8.87500000 N N N N N N UMBS P#QF6516 6.5% 01/01/53 N/A 3133BUGZ4 129803.43000000 NS USD 133941.98000000 0.074748158666 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -48953.08000000 -0.02731893758 N/A DIR JP N 2 BARCLAYS N/A N/A N/A Y 2031-03-17 -1151767.52000000 JPY 1147116.64000000 JPY 868983.95721925 JPY -44302.20000000 N N N N/A N/A N/A 1.00000000 NC N/A 1404.82000000 0.000783979065 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -237162.70000000 BRL 40835.00000000 USD 2024-12-03 1404.82000000 N N N F/C EURO-BTP FUTURE MAR25 N/A N/A 31.00000000 NC 4005765.71000000 2.235472484966 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BTP FUTURE MAR25 EURO-BTP FUTURE MAR25 /EUR/ 2025-03-06 3971751.45000000 EUR 34014.26000000 N N N UMBS P#MA4980 6% 04/01/53 N/A 31418ERA0 899414.96000000 NS USD 910497.16000000 0.508115425657 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N RFTE 2018-1 V/R 04/24/37 /EUR/ N/A N/A 600000.00000000 NS 634979.11000000 0.354358799714 Long ABS-CBDO CORP IE Y 2 2037-04-24 Variable 4.46800000 N N N N N N CASH COLLATERAL V/R 12/31/49 N/A N/A 139000.00000000 NS USD 139000.00000000 0.077570856087 Long STIV CORP US N 2 2049-12-31 Floating 4.48000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -155761.06000000 -0.08692459546 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1291332220.00000000 JPY 8476138.80000000 USD 2024-12-03 -155761.06000000 N N N AUSTRALIAN 2.5% 05/21/30/AUD/ N/A Q2R04NBD5 100000.00000000 NS 60404.67000000 0.033709654414 Long DBT USGA AU N 2 2030-05-21 Fixed 2.50000000 N N N N N N ESAIL 2007- V/R 06/13/45 /GBP/ N/A G3299TAL7 162690.00000000 NS 206544.42000000 0.115264945895 Long ABS-CBDO CORP GB N 2 2045-06-13 Variable 5.99541000 N N N N N N GOLDMAN SACHS GRO V/R 10/24/29 784F5XWPLTWKTBV3E584 38141GA46 400000.00000000 NS USD 423306.60000000 0.236232052873 Long DBT CORP US N 2 2029-10-24 Variable 6.48400000 N N N N N N N/A N/A N/A 1.00000000 NC -10341.63000000 -0.00577128843 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-05-11 -317159.99000000 EUR 317159.99000000 EUR 317099.99790714 EUR -10341.63000000 N N N LETRA TESOUR ZCP 10/01/25/BRL/ N/A P8T60NPD7 12700000.00000000 NS 1900614.19000000 1.060663811584 Long DBT USGA BR N 2 2025-10-01 Fixed 0.00000000 N N N N N N WAMU 2003-AR5 A7 V/R 06/25/33 N/A 929227R65 922.41000000 NS USD 924.31000000 0.000515823870 Long ABS-CBDO CORP US N 2 2033-06-25 Variable 6.25231200 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2842.02000000 -0.00158602823 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -152152.00000000 USD 1081344.26000000 CNY 2024-12-04 -2842.02000000 N N N CRNCL 2018- V/R 10/15/31 /EUR/ N/A N/A 237293.68000000 NS 250430.66000000 0.139756263933 Long ABS-CBDO CORP IE Y 2 2031-10-15 Variable 3.96400000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -17785215.04000000 -9.92528313922 N/A DFE N/A N 2 GOLDMAN SACHS INTERNATIONAL N/A 2662200000.00000000 JPY 0.00000000 N/A 2025-06-18 -819341.80000000 N N N REPUBLIC O 4.25% 02/14/43/EUR/ N/A X7327PAU3 100000.00000000 NS 110818.84000000 0.061843973305 Long DBT USGA PL N 2 2043-02-14 Fixed 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 7263.32000000 0.004053395326 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -114945.14000000 USD 4315615.28000000 TRY 2024-12-20 7263.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -1013.88000000 -0.00056580963 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -550000.00000000 USD 46457950.00000000 INR 2024-12-12 -1013.88000000 N N N CWHL 2007-19 2A 6.5% 11/25/47 N/A 12544PAF9 92009.01000000 NS USD 47737.49000000 0.026640560911 Long ABS-CBDO CORP US N 2 2047-11-25 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 31242.85000000 0.017435500871 N/A DIR CA N 2 BARCLAYS BANK N/A N/A N/A Y 2026-06-19 -3145854.48000000 CAD 3145483.22000000 CAD 3071757.68832375 CAD 31614.11000000 N N N N/A N/A N/A 1.00000000 NC N/A -5321.13000000 -0.00296952956 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -235816.00000000 USD 1667203.27000000 CNY 2024-12-20 -5321.13000000 N N N JPMORGAN CHASE & V/R 10/22/30 8I5DZWZKVSZI1NUHU748 46647PEQ5 600000.00000000 NS USD 594843.46000000 0.331960549857 Long DBT CORP US N 2 2030-10-22 Variable 4.60300000 N N N N N N SOCIETE GENERALE V/R 06/09/32 O2RNE8IBXP4R0TD8PU41 83368RBD3 300000.00000000 NS USD 256253.28000000 0.143005656869 Long DBT CORP FR Y 2 2032-06-09 Variable 2.88900000 N N N N N N ORO USD 1Y P 4.57000 L 08/13/25 BPS N/A N/A 10400000.00000000 NC USD 11037.52000000 0.006159639391 N/A DIR CORP US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written ORO USD 1Y P 4.57000 L 08/13/25 BPS 0 1.00000000 USD 4.57000000 USD 2025-08-13 XXXX 11037.52000000 N N N N/A N/A N/A 1.00000000 NC 8122.83000000 0.004533056668 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2029-10-11 -1047599.99000000 EUR 1050902.40000000 EUR 1056999.99302380 EUR 4820.42000000 N N N IRO FWD GBP 1Y C 0.82000 L 12/16/24 JPM N/A N/A -1500000.00000000 NC -0.19000000 -0.00000010603 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Call Purchased IRO FWD GBP 1Y C 0.82000 L 12/16/24 JPM 0 1.00000000 GBP 0.82000000 GBP 2024-12-16 XXXX -0.19000000 N N N FNGT 2004-T3 1A1 6% 2/25/44 N/A 31393YU52 3430.75000000 NS USD 3420.38000000 0.001908789962 Long ABS-CBDO CORP US N 2 2044-02-25 Fixed 6.00000000 N N N N N N US TREAS BDS 4.125% 08/15/44 N/A 912810UD8 975000.00000000 NS USD 928382.81000000 0.518096757903 Long DBT UST US N 2 2044-08-15 Fixed 4.12500000 N N N N N N CWL 2007-13 1A V/R 06/25/36 N/A 126698AA7 256076.65000000 NS USD 250561.25000000 0.139829141473 Long ABS-CBDO CORP US N 2 2047-10-25 Variable 5.54219000 N N N N N N JPMMT 2021-10 A3 V/R 10/25/44 N/A 46654AAC3 317804.25000000 NS USD 260502.08000000 0.145376757972 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -119.49000000 -0.00006668303 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -38910.38000000 SGD 28994.00000000 USD 2025-01-15 -119.49000000 N N N N/A N/A N/A 1.00000000 NC -7329.04000000 -0.00409007127 N/A DIR KR N 2 STANDARD CHARTER BANK RILFO74KP1CM8P6PCT96 N/A N/A Y 2035-03-19 -243966.27000000 KRW 238603.67000000 KRW 227463.07184856 KRW -1966.44000000 N N N N/A N/A N/A 1.00000000 NC N/A 1752.51000000 0.000978012237 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -5853340.00000000 TWD 182737.00000000 USD 2025-01-22 1752.51000000 N N N ABU DHABI DEVE 4.375% 10/02/31 N/A 00402D2C8 500000.00000000 NS USD 486320.00000000 0.271397544837 Long DBT CORP AE Y 2 2031-10-02 Fixed 4.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1575.36000000 -0.00087915125 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -670528.37000000 PEN 177614.00000000 USD 2025-02-13 -1575.36000000 N N N N/A N/A N/A 1.00000000 NC N/A 3419.97000000 0.001908561156 N/A DFE N/A N 1 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -833134.00000000 AUD 546706.70000000 USD 2024-12-03 3419.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -1172.10000000 -0.00065410647 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -371744.06000000 USD 2672876.97000000 CNY 2025-01-23 -1172.10000000 N N N UNITED KIN 1.75% 01/22/49/GBP/ N/A G4527HEG2 500000.00000000 NS 367453.35000000 0.205062380803 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -76987.93000000 -0.04296417006 N/A DCR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 CDX.NA.IG.43 2I65BYEG6 Y 2034-12-20 -6638715.92000000 USD 6600000.00000000 USD 6600000.00000000 USD -38272.01000000 N N N N/A N/A N/A 1.00000000 NC N/A 3365.43000000 0.001878124361 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -362743.17000000 SGD 274231.00000000 USD 2024-12-03 3365.43000000 N N N N/A N/A N/A 1.00000000 NC N/A -634.89000000 -0.00035430907 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -94095.60000000 USD 1686000.00000000 ZAR 2024-12-17 -634.89000000 N N N ESA 2021-ESH A V/R 07/15/26 N/A 30227FAA8 354650.06000000 NS USD 355123.59000000 0.198181589159 Long ABS-CBDO CORP US Y 2 2038-07-15 Variable 5.80348000 N N N N N N NRZT 2019-RPL3 A V/R 07/25/59 N/A 64830NAA9 139521.62000000 NS USD 133123.52000000 0.074291405840 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 2.75000000 N N N N N N LGATE 2007- V/R 01/01/61 /GBP/ 213800LADM2GPWI3P269 G571A3AW5 270435.42000000 NS 336358.75000000 0.187709612877 Long ABS-CBDO CORP GB N 2 2061-01-01 Variable 5.18449000 N N N N N N JPMMT 2022-INV1 V/R 12/25/43 N/A 465973AC9 579343.36000000 NS USD 494320.38000000 0.275862266604 Long ABS-CBDO CORP US Y 2 2052-03-25 Variable 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -966.94000000 -0.00053961412 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -103000.00000000 ILS 27389.48000000 USD 2024-12-16 -966.94000000 N N N N/A N/A N/A 1.00000000 NC N/A -771.83000000 -0.00043073031 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -137921.00000000 USD 989403.88000000 CNY 2025-01-21 -771.83000000 N N N GSMBS 2021-GR3 A V/R 04/25/52 N/A 36263TAB8 78011.69000000 NS USD 64469.34000000 0.035977999245 Long ABS-CBDO CORP US Y 2 2052-04-25 Variable 2.50000000 N N N N N N FNR 2009-104 FA V/R 12/25/39 N/A 31398GBB4 42372.76000000 NS USD 42525.07000000 0.023731698453 Long ABS-CBDO CORP US N 2 2039-12-25 Variable 5.64851000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 496.95000000 0.000277329762 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -151863.49000000 USD 1075078.09000000 DKK 2024-12-03 496.95000000 N N N PACIFICORP 5.3% 02/15/31 N/A 695114DC9 200000.00000000 NS USD 205149.49000000 0.114486486080 Long DBT CORP US N 2 2031-02-15 Fixed 5.30000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 38618.22000000 0.021551427237 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -5664006.00000000 USD 853112583.00000000 JPY 2024-12-03 38618.22000000 N N N FNMA TBA 15YR 2% DEC 24 N/A 01F0204C0 -2100000.00000000 NS USD -1883692.61000000 -1.05122049182 Short ABS-MBS USGA US N 2 2039-12-01 Fixed 2.00000000 N N N N N N MEFA 2008-1 A1 V/R 04/25/38 5493007K5OP7V6CL0Y88 57563NAA6 18461.80000000 NS USD 18471.43000000 0.010308234807 Long ABS-CBDO CORP US N 2 2038-04-25 Variable 6.39529000 N N N N N N CWHL 2005-11 3A1 V/R 04/25/35 N/A 12669GUM1 11526.25000000 NS USD 8636.93000000 0.004819957223 Long ABS-CBDO CORP US N 2 2035-04-25 Variable 3.79551700 N N N N N N JYSKE REALK 1.5% 10/01/53/DKK/ N/A K5S69JBQ5 460851.84000000 NS 54813.16000000 0.030589235583 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N TPMT 2019-4 A1 V/R 07/25/29 N/A 89178BAA2 458626.82000000 NS USD 435848.52000000 0.243231243315 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 2.90000000 N N N N N N DRYD 2017-2 V/R 04/15/33 /EUR/ N/A N/A 265401.65000000 NS 279064.21000000 0.155735609158 Long ABS-CBDO CORP IE Y 2 2033-04-15 Variable 3.83900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2949.12000000 -0.00164579685 N/A DFE N/A N 1 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -232586.00000000 USD 932460.53000000 PLN 2024-12-09 -2949.12000000 N N N ORO USD 30Y P 3.96000 L 06/25/25 DUB N/A N/A 200000.00000000 NC USD 4450.32000000 0.002483562102 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written ORO USD 30Y P 3.96000 L 06/25/25 DUB 0 1.00000000 USD 3.96000000 USD 2025-06-25 XXXX 4450.32000000 N N N N/A N/A N/A 1.00000000 NC -188350.11000000 -0.10511136170 N/A DIR JP N 2 BARCLAY N/A N/A N/A Y 2031-12-15 -3740692.90000000 JPY 3575839.58000000 JPY 3275401.06951872 JPY -23496.79000000 N N N N/A N/A N/A 1.00000000 NC N/A -461.41000000 -0.00025749617 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -278897.29000000 USD 23611362.59000000 INR 2025-01-17 -461.41000000 N N N N/A N/A N/A 1.00000000 NC N/A 37031.64000000 0.020666014511 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -6311349.28000000 CAD 4545621.33000000 USD 2024-12-03 37031.64000000 N N N CASH COLLATERAL 0.5% 12/31/60 N/A N/A 1619000.00000000 NS USD 1619000.00000000 0.903505151118 Long STIV CORP US N 2 2060-12-31 Variable 0.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1145.54000000 -0.00063928430 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -45655.00000000 USD 322324.30000000 CNY 2024-12-05 -1145.54000000 N N N N/A N/A N/A 1.00000000 NC N/A -3525.82000000 -0.00196763220 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -455352.00000000 USD 1834679.51000000 PLN 2024-12-09 -3525.82000000 N N N UMBS P#BJ8703 3.5% 05/01/49 N/A 3140HAU57 29056.15000000 NS USD 26793.73000000 0.014952608445 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N WAMMS 2002-AR3 1 V/R 12/25/32 N/A 939336KZ5 37773.56000000 NS USD 37531.20000000 0.020944800820 Long ABS-CBDO CORP US N 2 2032-12-25 Variable 6.70555600 N N N N N N N/A N/A N/A 1.00000000 NC N/A 116.91000000 0.000065243228 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -28994.00000000 USD 38985.33000000 SGD 2024-12-03 116.91000000 N N N UMBS P#SD8364 6.5% 09/01/53 N/A 3132DWJH7 715773.52000000 NS USD 734325.78000000 0.409800571234 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 6.50000000 N N N N N N FRANCE (GO 0.75% 05/25/52/EUR/ N/A F26348CC8 1650000.00000000 NS 946554.36000000 0.528237640564 Long DBT USGA FR Y 2 2052-05-25 Fixed 0.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2278.69000000 -0.00127165420 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -181708.18000000 USD 141000.00000000 GBP 2024-12-03 -2278.69000000 N N N FNW 2004-W12 1A1 6% 7/25/44 N/A 31394A6Y7 20679.90000000 NS USD 21298.58000000 0.011885964633 Long ABS-CBDO CORP US N 2 2044-07-25 Fixed 6.00000000 N N N N N N DEUTSCHE BANK NY V/R 01/07/28 N/A 25160PAH0 400000.00000000 NS USD 380124.19000000 0.212133516818 Long DBT CORP US Y 2 2028-01-07 Variable 2.55200000 N N N N N N FHR 4579 FD V/R 01/15/38 N/A 3137BPPH6 57339.48000000 NS USD 56561.19000000 0.031564747695 Long ABS-CBDO CORP US N 2 2038-01-15 Variable 5.67735000 N N N N N N ROMANIA 2% 04/14/33/EUR/ N/A X7360WBV3 100000.00000000 NS 81302.73000000 0.045372103369 Long DBT USGA RO Y 2 2033-04-14 Fixed 2.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 22625.83000000 0.012626654696 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -1361513.98000000 SGD 1039288.00000000 USD 2024-12-03 22625.83000000 N N N N/A N/A N/A 1.00000000 NC -134807.70000000 -0.07523128558 N/A DIR JP N 2 CREDIT SUISSE N/A N/A N/A Y 2051-12-15 -591998.91000000 JPY 563476.53000000 JPY 447860.96256684 JPY -106285.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -2202.66000000 -0.00122922461 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -149221.99000000 USD 3018984.69000000 MXN 2025-02-13 -2202.66000000 N N N HVMLT 2005-2 2A1 V/R 05/19/35 N/A 41161PLR2 8959.21000000 NS USD 8580.07000000 0.004788225720 Long ABS-CBDO CORP US N 2 2035-05-19 Variable 5.16493000 N N N N N N NGATE 07-1X A3 V/R 12/1/50 N/A G6484AAR3 333304.30000000 NS 414595.86000000 0.231370904967 Long ABS-CBDO CORP GB N 2 2050-12-01 Variable 5.20929000 N N N N N N N/A N/A N/A 1.00000000 NC USD -4659.84000000 -0.00260048761 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2029-02-28 -1600000.00000000 USD 1600000.00000000 USD 1600000.00000000 USD -4659.84000000 N N N BSSP 2007-R6 V/R 1/26/36 N/A 07402FAA3 28247.70000000 NS USD 20688.11000000 0.011545283478 Long ABS-CBDO CORP US N 2 2036-01-26 Variable 5.52821000 N N N N N N CWHL 2005-9 1A3 V/R 05/25/35 N/A 12669GZQ7 35209.64000000 NS USD 29800.97000000 0.016630839965 Long ABS-CBDO CORP US N 2 2035-05-25 Variable 5.16219000 N N N N N N AWPT 2017-8A A1R V/R 10/25/30 N/A 28622VAN0 53797.89000000 NS USD 53841.41000000 0.030046937170 Long ABS-CBDO CORP KY Y 2 2030-10-25 Variable 5.83748000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 317.21000000 0.000177023390 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -10970.30000000 USD 41000.00000000 ILS 2024-12-16 317.21000000 N N N GNMA TBA 30 UR 2.5% DEC 24 N/A 21H0226C0 700000.00000000 NS USD 598152.27000000 0.333807076651 Long ABS-MBS USGA US N 2 2054-12-01 Fixed 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -3152.19000000 -0.00175912285 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2034-05-15 -300000.00000000 USD 300000.00000000 USD 300000.00000000 USD -3152.19000000 N N N ORO USD 5Y P 4.25000 L 06/23/25 BOA N/A N/A -2700000.00000000 NC USD -13826.16000000 -0.00771587818 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 Put Purchased ORO USD 5Y P 4.25000 L 06/23/25 BOA 0 1.00000000 USD 4.25000000 USD 2025-06-23 XXXX -13826.16000000 N N N US TREAS BDS 2.25% 08/15/49 N/A 912810SJ8 400000.00000000 NS USD 265164.06000000 0.147978439840 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N CASH COLLATERAL V/R 12/31/49 N/A N/A -290000.00000000 NS USD -290000.00000000 -0.16183847672 Short STIV CORP US N 2 2049-12-31 Floating 4.48000000 N N N N N N N/A N/A N/A 1.00000000 NC -29483.40000000 -0.01645361567 N/A DIR TH N 2 BARCLAYS BANK N/A N/A N/A Y 2034-09-18 -517982.07000000 THB 517675.72000000 THB 553563.62046349 THB -29177.05000000 N N N BONOS Y OB 2.55% 10/31/32/EUR/ N/A E8922AMM9 2100000.00000000 NS 2210250.72000000 1.233460723152 Long DBT USGA ES Y 2 2032-10-31 Fixed 2.55000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2997.46000000 -0.00167277365 N/A DFE N/A N 1 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -215811.08000000 USD 285000.00000000 SGD 2024-12-03 -2997.46000000 N N N N/A N/A N/A 1.00000000 NC -913.99000000 -0.00051006465 N/A DIR SG N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-03-19 -1039195.24000000 SGD 1041279.28000000 SGD 1045400.23894863 SGD -2998.03000000 N N N UMBS P#SD8403 6.5% 02/01/54 N/A 3132DWKQ5 889417.39000000 NS USD 911068.31000000 0.508434163746 Long ABS-MBS USGA US N 2 2054-02-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -85198.41000000 -0.04754614101 N/A DCR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 iTRAXX Europe S42 iTRAXX Europe S42 Y 2029-12-20 -3874496.35000000 EUR 3799249.96000000 EUR 3699499.97558330 EUR -9952.02000000 N N N UMBS P#SD8307 5% 03/01/53 N/A 3132DWGQ0 80867.27000000 NS USD 79585.75000000 0.044413919135 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 5.00000000 N N N N N N CASH COLL ISDA V/R 12/31/49 N/A N/A 733000.00000000 NS USD 733000.00000000 0.409060701525 Long STIV CORP US N 2 2049-12-31 Floating 4.48000000 N N N N N N SAUDI INTERNATI 4.75% 01/18/28 N/A 80413TBC2 400000.00000000 NS USD 400279.00000000 0.223381184919 Long DBT USGA SA Y 2 2028-01-18 Fixed 4.75000000 N N N N N N DBALT 2007-3 2A1 V/R 11/25/15 N/A 25151KAC3 351104.56000000 NS USD 276454.89000000 0.154279442351 Long ABS-CBDO CORP US N 2 2047-10-25 Variable 6.20219000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 579245.39000000 0.323255832999 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -22093754.00000000 EUR 23932338.27000000 USD 2024-12-03 579245.39000000 N N N BONOS DE TE 7.6% 08/12/39/PEN/ N/A P6S32DFJ7 900000.00000000 NS 253992.21000000 0.141743835749 Long DBT USGA PE Y 2 2039-08-12 Variable 9.33100000 N N N N N N REPUBLIC OF POLA 5.5% 04/04/53 N/A 731011AW2 100000.00000000 NS USD 97160.70000000 0.054221860985 Long DBT USGA PL N 2 2053-04-04 Fixed 5.50000000 N N N N N N ORO USD 30Y P 4.00500 L 09/25/25 DUB N/A N/A 200000.00000000 NC USD 5657.76000000 0.003157390552 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written ORO USD 30Y P 4.00500 L 09/25/25 DUB 0 1.00000000 USD 4.00500000 USD 2025-09-25 XXXX 5657.76000000 N N N N/A N/A N/A 1.00000000 NC N/A 854.17000000 0.000476681281 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2081435.38000000 USD 1970000.00000000 EUR 2024-12-03 854.17000000 N N N REPUBLIC OF CHI 4.85% 01/22/29 N/A 168863EB0 200000.00000000 NS USD 200599.08000000 0.111947067380 Long DBT USGA CL N 2 2029-01-22 Fixed 4.85000000 N N N N N N ROYAL BANK OF CAN V/R 08/02/30 ES7IP3U3RHIGC71XBU11 78016HZZ6 400000.00000000 NS USD 403405.57000000 0.225126010182 Long DBT CORP CA N 2 2030-08-02 Variable 4.96900000 N N N N N N US TREAS BDS 3% 08/15/48 N/A 912810SD1 175000.00000000 NS USD 136018.07000000 0.075906749160 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -6502.30000000 -0.00362869768 N/A DIR KR N 2 STANDARD CHARTER BANK RILFO74KP1CM8P6PCT96 N/A N/A Y 2030-03-19 -336997.43000000 KRW 332720.25000000 KRW 333364.40556432 KRW -2225.12000000 N N N SVHE 2006-3 A4 V/R 11/25/36 N/A 83612HAD0 888008.53000000 NS USD 833618.63000000 0.465212307766 Long ABS-CBDO CORP US N 2 2036-11-25 Variable 5.20219000 N N N N N N OTC EPUT USD VS CNH 7.2 MBC N/A N/A -538000.00000000 NC USD -2798.68000000 -0.00156184175 N/A DFE CORP US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 Put Purchased OTC EPUT USD VS CNH 7.2 MBC 0 1.00000000 USD 7.20000000 USD 2025-01-17 XXXX 910.83000000 N N N F/C EURO-BOBL FUTURE MAR25 N/A N/A 22.00000000 NC 2770481.54000000 1.546105214620 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BOBL FUTURE MAR25 EURO-BOBL FUTURE MAR25 /EUR/ 2025-03-06 2759900.97000000 EUR 10580.57000000 N N N UMBS P#FM4086 3.5% 06/01/50 N/A 3140X7RG6 197292.40000000 NS USD 181930.41000000 0.101528760086 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3968.18000000 0.002214497264 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -3955000.00000000 CNY 549840.20000000 USD 2024-12-18 3968.18000000 N N N N/A N/A N/A 1.00000000 NC N/A -445.15000000 -0.00024842206 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -50000.00000000 USD 69091468.00000000 KRW 2024-12-12 -445.15000000 N N N GSMBS 2021-INV1 V/R 12/25/43 N/A 36263KAB7 78607.06000000 NS USD 64488.63000000 0.035988764294 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2036.66000000 -0.00113658604 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -252669.69000000 USD 1809317.12000000 CNY 2025-01-13 -2036.66000000 N N N N/A N/A N/A 1.00000000 NC N/A -512.91000000 -0.00028623645 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -1072546.42000000 DKK 151863.49000000 USD 2025-01-15 -512.91000000 N N N HAYEM 12A A V/R 01/25/37 /EUR/ N/A G43374AA8 500000.00000000 NS 528558.66000000 0.294969408263 Long ABS-CBDO CORP IE Y 2 2037-01-25 Variable 4.82600000 N N N N N N BUONI POLI 3.85% 09/15/26/EUR/ N/A T6052B5P9 200000.00000000 NS 217021.65000000 0.121111907769 Long DBT USGA IT N 2 2026-09-15 Fixed 3.85000000 N N N N N N FRANCE (GOV 0.5% 05/25/72/EUR/ N/A F26348BW5 500000.00000000 NS 200501.54000000 0.111892633846 Long DBT USGA FR Y 2 2072-05-25 Fixed 0.50000000 N N N N N N UMBS P#BT8263 4.5% 06/01/52 N/A 3140LXFD2 291960.30000000 NS USD 280902.52000000 0.156761503262 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N SASC 2006-RF1 1A V/R 01/25/36 N/A 86359DXP7 42491.29000000 NS USD 35390.89000000 0.019750371474 Long ABS-CBDO CORP US Y 2 2036-01-25 Variable 4.98219000 N N N N N N BNPAM 2019- V/R 07/22/32 /EUR/ N/A N/A 299802.27000000 NS 315533.86000000 0.176087997444 Long ABS-CBDO CORP IE Y 2 2032-07-22 Variable 4.02100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -7598.53000000 -0.00424046386 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -389363.40000000 USD 300000.00000000 GBP 2024-12-03 -7598.53000000 N N N FSPC T-62 1A1 V/R 10/25/44 N/A 31395HHV5 15066.14000000 NS USD 13734.59000000 0.007664776289 Long ABS-CBDO CORP US N 2 2044-10-25 Variable 6.12728000 N N N N N N ORO USD 5Y P 4.30000 L 06/25/25 DUB N/A N/A -2700000.00000000 NC USD -12787.47000000 -0.00713622298 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased ORO USD 5Y P 4.30000 L 06/25/25 DUB 0 1.00000000 USD 4.30000000 USD 2025-06-25 XXXX -12787.47000000 N N N N/A N/A N/A 1.00000000 NC USD 137169.08000000 0.076549086074 N/A DE US N 2 BNP N/A iBoxx US Dollar Liquid Investment Grade Index GB00B4K4X773 Y 2025-03-20 -5200000.00000000 USD 5266691.25000000 USD 5200000.00000000 USD 70477.83000000 N N N GNR 2016-H15 FA V/R 07/20/66 N/A 38376RWY8 114979.41000000 NS USD 115005.19000000 0.064180223329 Long ABS-CBDO CORP US N 2 2066-07-20 Variable 5.77103000 N N N N N N UMBS P#MA5109 6.5% 08/01/53 N/A 31418EVB3 2419788.66000000 NS USD 2482875.82000000 1.385602898677 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -234.81000000 -0.00013103894 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -53721.00000000 USD 386017.62000000 CNY 2025-01-16 -234.81000000 N N N N/A N/A N/A 1.00000000 NC USD -5458.87000000 -0.00304639726 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-06-20 -700000.00000000 USD 705269.81000000 USD 700000.00000000 USD -10728.68000000 N N N BSARM 2004-2 23A V/R 05/25/34 N/A 07384MN57 1452.93000000 NS USD 1307.13000000 0.000729461820 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 3.99999500 N N N N N N JAPAN (20 Y 1.5% 09/20/43/JPY/ N/A J2S39LQ49 130000000.00000000 NS 829724.42000000 0.463039090475 Long DBT USGA JP N 2 2043-09-20 Fixed 1.50000000 N N N N N N EHMU 2007-1 V/R 06/15/44 /GBP/ N/A G3224PAB7 39002.87000000 NS 49377.14000000 0.027555590078 Long ABS-CBDO CORP GB N 2 2044-06-15 Variable 5.19244000 N N N N N N NEXI SPA 2.125% 04/30/29/EUR/ 5493000P70CQRQG8SN85 T6S18JAD6 100000.00000000 NS 99801.94000000 0.055695841186 Long DBT CORP IT N 2 2029-04-30 Fixed 2.12500000 N N N N N N US TIPS 0.125% 04/15/25 N/A 912828ZJ2 1342792.00000000 NS USD 1328337.15000000 0.741296761857 Long DBT UST US N 2 2025-04-15 Fixed 0.12500000 N N N N N N SAMI 2006-AR5 1A V/R 05/25/36 N/A 86360JAA9 16168.39000000 NS USD 10992.69000000 0.006134621395 Long ABS-CBDO CORP US N 2 2036-05-25 Variable 5.12219000 N N N N N N REPUBLIC OF 5.4% 08/12/34/PEN/ N/A P78024AG4 1400000.00000000 NS 343854.24000000 0.191892573856 Long DBT USGA PE N 2 2034-08-12 Variable 5.40000000 N N N N N N BSARM 2004-2 22A V/R 05/25/34 N/A 07384MN32 7102.32000000 NS USD 6790.48000000 0.003789520480 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 7.08164000 N N N N N N KBC GROUP NV V/R 01/19/29 213800X3Q9LSAKRUWY91 48241FAB0 200000.00000000 NS USD 204988.37000000 0.114396570855 Long DBT CORP BE Y 2 2029-01-19 Variable 5.79600000 N N N N N N N/A N/A N/A 1.00000000 NC -11713.09000000 -0.00653665049 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-05-13 -526399.98000000 EUR 526399.98000000 EUR 528499.99651190 EUR -11713.09000000 N N N PRPM 2023-NQM3 A V/R 11/25/68 N/A 69380TAA9 425548.07000000 NS USD 429056.93000000 0.239441103383 Long ABS-CBDO CORP US Y 2 2068-11-25 Variable 6.22100000 N N N N N N CASH COLLATE 0.08% 12/31/2060 N/A N/A -20000.00000000 NS USD -20000.00000000 -0.01116127425 Short STIV CORP US N 2 2060-12-31 Fixed 0.08000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -7177.17000000 -0.00400531813 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -347972.29000000 USD 2468132.66000000 CNY 2024-12-04 -7177.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -2085.28000000 -0.00116371909 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -73320.00000000 USD 289376.44000000 PLN 2024-12-16 -2085.28000000 N N N RC R/P DEUTSC 4.720% 12/05/24 N/A N/A -132375.00000000 PA USD -132375.00000000 -0.07387368398 Short RA CORP US N 2 Reverse repurchase N 4.72000000 2024-12-05 1400000.00000000 USD 1395304.70613408 USD UST N N N WAMU 2003-AR9 2A V/R 09/25/33 N/A 92922FBX5 36802.30000000 NS USD 35786.86000000 0.019971347963 Long ABS-CBDO CORP US N 2 2033-09-25 Variable 6.80076100 N N N N N N JAPAN (30 Y 0.5% 09/20/46/JPY/ N/A J2S39KQK5 152000000.00000000 NS 754379.15000000 0.420991629352 Long DBT USGA JP N 2 2046-09-20 Fixed 0.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -62089.05000000 -0.03464964577 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -507875850.00000000 JPY 3332803.00000000 USD 2024-12-03 -62089.05000000 N N N N/A N/A N/A 1.00000000 NC N/A 4184.62000000 0.002335284574 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -497555.85000000 BRL 86236.00000000 USD 2025-02-04 4184.62000000 N N N RC R/P BOFA S 4.700% 12/05/24 N/A N/A -1176000.00000000 PA USD -1176000.00000000 -0.65628292632 Short RA CORP US N 2 Reverse repurchase N 4.70000000 2024-12-05 1200000.00000000 USD 1182187.50000000 USD UST N N N CWALT 2007-11T V/R 05/25/37 N/A 02150GAN8 33199.63000000 NS USD 10527.79000000 0.005875177575 Long ABS-CBDO CORP US N 2 2037-05-25 Variable 5.05219000 N N N N N N CSMC 2021-INV1 A V/R 07/25/56 N/A 12661XAC6 74156.87000000 NS USD 60882.15000000 0.033976118675 Long ABS-CBDO CORP US Y 2 2056-07-25 Variable 2.50000000 N N N N N N WINDR 2019-3A AR V/R 07/15/31 N/A 97314JAA3 283430.72000000 NS USD 283444.89000000 0.158180307704 Long ABS-CBDO CORP KY Y 2 2031-07-15 Variable 5.99751000 N N N N N N UMBS P#BU8670 4.5% 05/01/52 N/A 3140MAT46 488104.33000000 NS USD 469618.84000000 0.262077233479 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5227.01000000 0.002917004607 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -435651.02000000 USD 590423.86000000 SGD 2024-12-03 5227.01000000 N N N N/A N/A N/A 1.00000000 NC -21928.67000000 -0.01223759499 N/A DIR CA N 2 BARCLAYS BANK N/A N/A N/A Y 2033-06-01 -1073413.86000000 CAD 1072103.02000000 CAD 1071543.37964782 CAD -20617.83000000 N N N N/A N/A N/A 1.00000000 NC N/A 22323.55000000 0.012457963197 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -50000000.00000000 JPY 371443.43000000 USD 2026-01-05 22323.55000000 N N N ORO USD 1Y P 4.48000 L 05/13/25 JPM N/A N/A 15000000.00000000 NC USD 12132.00000000 0.006770428964 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written ORO USD 1Y P 4.48000 L 05/13/25 JPM 0 1.00000000 USD 4.48000000 USD 2025-05-13 XXXX 12132.00000000 N N N UMBS P#DB3354 5% 06/01/54 N/A 3140ACWQ2 54423.44000000 NS USD 53428.99000000 0.029816780533 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.00000000 N N N N N N BONOS Y OBL 1.9% 10/31/52/EUR/ N/A E8922AMF4 500000.00000000 NS 389305.52000000 0.217257283927 Long DBT USGA ES Y 2 2052-10-31 Fixed 1.90000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 136.11000000 0.000075958051 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -1197438.96000000 RON 239190.00000000 EUR 2025-02-04 136.11000000 N N N HVMLT 2006-SB1 A V/R 12/19/36 N/A 41162BAA1 40283.80000000 NS USD 35094.53000000 0.019584983712 Long ABS-CBDO CORP US N 2 2036-12-19 Variable 5.77728000 N N N N N N NORDEA KRED 1.5% 10/01/53/DKK/ N/A K7S724JZ1 183878.40000000 NS 21846.82000000 0.012191917483 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N OMW 2020-1MW A 2.13% 09/10/27 N/A 563136AA8 300000.00000000 NS USD 276113.55000000 0.154088952883 Long ABS-CBDO CORP US Y 2 2039-09-10 Fixed 2.13000000 N N N N N N LETRA TESOUR ZCP 04/01/25/BRL/ N/A P8T60NLN9 9700000.00000000 NS 1552730.07000000 0.866522307932 Long DBT USGA BR N 2 2025-04-01 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -256043.97000000 -0.14288884855 N/A DE US N 2 BNP N/A iBoxx US Dollar Liquid Investment Grade Index GB00B4K4X773 Y 2024-12-20 -7800000.00000000 USD 7899714.39000000 USD 7800000.00000000 USD -355758.36000000 N N N N/A N/A N/A 1.00000000 NC N/A -2821.27000000 -0.00157444841 N/A DFE N/A N 1 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -152363.00000000 USD 607638.88000000 PLN 2024-12-20 -2821.27000000 N N N UMBS P#QF8822 6.5% 03/01/53 N/A 3133BWYT4 797086.34000000 NS USD 818455.75000000 0.456750454655 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 6.50000000 N N N N N N GALXY 2013-15A A V/R 10/15/30 N/A 36318WAK6 115428.81000000 NS USD 115583.83000000 0.064503141316 Long ABS-CBDO CORP KY Y 2 2030-10-15 Variable 5.88751000 N N N N N N GSMBS 2022-PJ4 A V/R 04/25/43 N/A 36264RAE5 764535.12000000 NS USD 626722.62000000 0.349751152250 Long ABS-CBDO CORP US Y 2 2052-09-25 Variable 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 18857.36000000 0.010523608336 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -60000000.00000000 JPY 437801.22000000 USD 2026-01-05 18857.36000000 N N N RIPON 1RA A V/R 02/28/25 /GBP/ N/A N/A 669807.76000000 NS 852552.60000000 0.475778669363 Long ABS-CBDO CORP GB Y 2 2056-08-28 Variable 5.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2216.49000000 -0.00123694263 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -485497.51000000 SGD 361042.00000000 USD 2025-01-15 -2216.49000000 N N N N/A N/A N/A 1.00000000 NC 56300.08000000 0.031419031679 N/A DIR CN N 2 BARCLAYS BANK N/A N/A N/A Y 2029-09-18 -3008015.41000000 CNY 3019549.00000000 CNY 3018148.93308573 CNY 44766.49000000 N N N US TIPS 0.125% 01/15/32 N/A 91282CDX6 796236.00000000 NS USD 704812.94000000 0.393330526167 Long DBT UST US N 2 2032-01-15 Fixed 0.12500000 N N N N N N N/A N/A N/A 1.00000000 NC USD 7472.71000000 0.004170248287 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-28 -600000.00000000 USD 600000.00000000 USD 600000.00000000 USD 7472.71000000 N N N TREASURY C 2.25% 09/15/33/AUD/ N/A Q9194YMT8 1000000.00000000 NS 524301.39000000 0.292593580360 Long DBT USGA AU N 2 2033-09-15 Fixed 2.25000000 N N N N N N ITALY GOV'T I 6% 08/04/28/GBP/ N/A T6R88QAL8 400000.00000000 NS 521098.56000000 0.290806197159 Long DBT USGA IT N 2 2028-08-04 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 195583.61000000 0.109148115570 N/A DIR US N 2 BARCLAYS N/A N/A N/A Y 2053-12-20 -2102257.69000000 USD 2400000.00000000 USD 2400000.00000000 USD -102158.70000000 N N N N/A N/A N/A 1.00000000 NC USD -20326.54000000 -0.01134350438 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-02-23 -580000.00000000 USD 580000.00000000 USD 580000.00000000 USD -20326.54000000 N N N SANTANDER UK GROU V/R 01/10/29 N/A 80281LAT2 500000.00000000 NS USD 521237.19000000 0.290883561531 Long DBT CORP GB N 2 2029-01-10 Variable 6.53400000 N N N N N N N/A N/A N/A 1.00000000 NC -284581.05000000 -0.15881435737 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-03-19 -4483668.52000000 EUR 4437181.25000000 EUR 4254424.97192080 EUR -238093.78000000 N N N BDS 2021-FL10 A V/R 12/16/36 N/A 07335YAA4 268345.34000000 NS USD 268422.57000000 0.149796896029 Long ABS-CBDO CORP KY Y 2 2036-12-16 Variable 6.07493000 N N N N N N MFRA 2023-NQM4 A V/R 12/25/27 N/A 55286LAA0 407626.60000000 NS USD 410700.31000000 0.229196939871 Long ABS-CBDO CORP US Y 2 2068-12-25 Variable 6.10500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2696.80000000 0.001504986220 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -2100951.09000000 USD 1986298.00000000 EUR 2025-01-15 2696.80000000 N N N BANK OF AMERICA C V/R 07/23/31 9DJT3UXIJIZJI4WXO774 06051GJF7 700000.00000000 NS USD 597499.76000000 0.333442934498 Long DBT CORP US N 2 2031-07-23 Variable 1.89800000 N N N N N N US TREAS BDS 3.375% 11/15/48 N/A 912810SE9 800000.00000000 NS USD 664531.25000000 0.370850776685 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N FNMA 30YR TBA 4.5% JAN 25 N/A 01F042616 8437000.00000000 NS USD 8102958.50000000 4.521967105653 Long ABS-MBS USGA US N 2 2055-01-01 Fixed 4.50000000 N N N N N N AWPT 2018-3A A1R V/R 01/25/35 N/A 28623VAN9 500000.00000000 NS USD 501459.50000000 0.279846350418 Long ABS-CBDO CORP KY Y 2 2035-01-25 Variable 5.92587000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 19530.84000000 0.010899453085 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -4100000.00000000 DKK 604776.59000000 USD 2025-04-01 19530.84000000 N N N N/A N/A N/A 1.00000000 NC N/A -29.85000000 -0.00001665820 N/A DFE N/A N 1 HSBC BANK PLC N/A -27288.00000000 USD 431981399.00000000 IDR 2024-12-09 -29.85000000 N N N NYKREDIT REAL 1% 10/01/53/DKK/ N/A K741812Z8 2.65000000 NS 0.29000000 0.000000161838 Long DBT CORP DK N 2 2053-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 62063.03000000 0.034635124953 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2054-09-18 -2296593.68000000 GBP 2357379.97000000 GBP 2290589.85348357 GBP 1276.74000000 N N N WAMU 2004-AR1 A V/R 03/25/34 N/A 92922FLD8 89119.63000000 NS USD 89352.10000000 0.049864164677 Long ABS-CBDO CORP US N 2 2034-03-25 Variable 6.01461900 N N N N N N RLOC 2007-1 V/R 12/15/43 /GBP/ N/A G7521KAD5 131514.00000000 NS 164221.67000000 0.091646154892 Long ABS-CBDO CORP GB N 2 2043-12-15 Variable 5.20244000 N N N N N N UBS GROUP AG V/R 03/01/29/EUR/ 549300SZJ9VS8SGXAN81 H3698DDX9 250000.00000000 NS 302699.50000000 0.168925606850 Long DBT CORP CH N 2 2029-03-01 Variable 7.75000000 N N N N N N ARCLO 2022-FL1 A V/R 12/15/26 N/A 03880XAA4 310308.91000000 NS USD 310451.28000000 0.173251593978 Long ABS-CBDO CORP KY Y 2 2037-01-15 Variable 6.25563000 N N N N N N FHR 2614 SJ V/R 05/15/33 N/A 31393QNV0 16432.85000000 NS USD 17946.54000000 0.010015312745 Long ABS-MBS USGA US N 2 2033-05-15 Variable 6.13219800 N N N N N N FSPC T-35 A V/R 9/25/31 N/A 313398VT3 7766.71000000 NS USD 7713.49000000 0.004304618868 Long ABS-CBDO CORP US N 2 2031-09-25 Variable 5.12851000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4655.51000000 -0.00259807119 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -596499.38000000 ILS 159563.80000000 USD 2024-12-16 -4655.51000000 N N N UMBS P#RB5012 3.5% 10/01/39 N/A 3133KYR92 27022.64000000 NS USD 25447.33000000 0.014201231462 Long ABS-MBS USGA US N 2 2039-10-01 Fixed 3.50000000 N N N N N N F/C US 10YR ULTRA FUT MAR25 N/A N/A -23.00000000 NC USD -2640328.13000000 -1.47347131939 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US 10YR ULTRA FUT MAR25 US 10YR ULTRA FUT MAR25 2025-03-20 2598898.51000000 USD -41429.61000000 N N N N/A N/A N/A 1.00000000 NC N/A -282.98000000 -0.00015792086 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -383000.00000000 AUD 249471.34000000 USD 2024-12-03 -282.98000000 N N N JYSKE REALKRE 1% 10/01/50/DKK/ N/A K5S69JAN3 31816.38000000 NS 3529.44000000 0.001969652390 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N MP7 2015-1A AR3 V/R 10/18/28 N/A 55320RAQ0 34374.23000000 NS USD 34417.20000000 0.019206990418 Long ABS-CBDO CORP KY Y 2 2028-10-18 Variable 5.78396000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3027.67000000 0.001689632761 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -296259427.00000000 KRW 215846.00000000 USD 2025-01-15 3027.67000000 N N N FNR 2003-34 A1 6% 04/25/43 N/A 31393CEY5 3369.72000000 NS USD 3387.48000000 0.001890429666 Long ABS-CBDO CORP US N 2 2043-04-25 Fixed 6.00000000 N N N N N N UMBS P#889649 6.5% 08/01/37 N/A 31410KL69 1525.52000000 NS USD 1537.25000000 0.000857883442 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1478.66000000 -0.00082518648 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -79825.93000000 USD 566786.45000000 CNY 2024-12-18 -1478.66000000 N N N N/A N/A N/A 1.00000000 NC N/A -4039.86000000 -0.00225449927 N/A DFE N/A N 1 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -208776.00000000 USD 1481119.58000000 CNY 2024-12-18 -4039.86000000 N N N N/A N/A N/A 1.00000000 NC 85680.23000000 0.047815027272 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-06-17 -1374981.59000000 GBP 1393424.90000000 GBP 1399804.91046218 GBP 67236.92000000 N N N N/A N/A N/A 1.00000000 NC N/A -4.06000000 -0.00000226573 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -22531.68000000 USD 163000.00000000 CNY 2025-01-15 -4.06000000 N N N JPMMT 2003-A2 3A V/R 11/25/33 N/A 466247AZ6 1793.44000000 NS USD 1709.31000000 0.000953903885 Long ABS-CBDO CORP US N 2 2033-11-25 Variable 6.17258700 N N N N N N KOREA TREA 3.25% 06/10/33/KRW/ N/A Y7277FZ94 1554650000.00000000 NS 1158663.82000000 0.646608233344 Long DBT USGA KR N 2 2033-06-10 Fixed 3.25000000 N N N N N N N/A N/A N/A 1.00000000 NC -77383.13000000 -0.04318471684 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2051-12-15 -304827.69000000 JPY 242955.76000000 JPY 267379.67914439 JPY -15511.20000000 N N N OTC EPUT USD VS CNH 7.078 GLM N/A N/A -200000.00000000 NC USD -2058.40000000 -0.00114871834 N/A DFE CORP US N 2 GOLDMAN SACHS AND CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased OTC EPUT USD VS CNH 7.078 GLM 0 1.00000000 USD 7.07800000 USD 2025-05-15 XXXX 219.60000000 N N N N/A N/A N/A 1.00000000 NC N/A 3481.79000000 0.001943060654 N/A DFE N/A N 1 HSBC BANK PLC N/A -912640184.00000000 KRW 659078.00000000 USD 2025-01-15 3481.79000000 N N N N/A N/A N/A 1.00000000 NC N/A -1444.19000000 -0.00080595003 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -524184.00000000 USD 44328336.18000000 INR 2025-01-17 -1444.19000000 N N N NYO 2021-1290 A V/R 11/15/28 N/A 62955HAA5 400000.00000000 NS USD 392196.48000000 0.218870623799 Long ABS-CBDO CORP US Y 2 2038-11-15 Variable 5.81948000 N N N N N N UMBS P#FS5955 6.5% 10/01/53 N/A 3140XMTM8 100000.19000000 NS USD 103258.56000000 0.057624855378 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1076.99000000 -0.00060102903 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -47497.10000000 USD 336160.73000000 CNY 2024-12-05 -1076.99000000 N N N US TIPS 0.125% 07/15/31 N/A 91282CCM1 1058805.00000000 NS USD 948858.68000000 0.529523597939 Long DBT UST US N 2 2031-07-15 Fixed 0.12500000 N N N N N N JAPAN GOVT 0.1% 03/10/29/JPY/ N/A J2S39K4F0 51269950.00000000 NS 357041.48000000 0.199251893973 Long DBT UST JP N 2 2029-03-10 Fixed 0.10000000 N N N N N N F/C AUST 10Y BOND FUT DEC24 N/A N/A -42.00000000 NC -3102120.46000000 -1.73118086164 N/A DIR CORP AU N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C AUST 10Y BOND FUT DEC24 AUST 10Y BOND FUT DEC24 /AUD/ 2024-12-16 3063905.62000000 AUD -38214.84000000 N N N N/A N/A N/A 1.00000000 NC N/A -73340.34000000 -0.04092858244 N/A DFE N/A N 1 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -556383096.00000000 JPY 3645798.00000000 USD 2024-12-03 -73340.34000000 N N N REPUBLIC OF PO 4.875% 10/04/33 N/A 731011AV4 100000.00000000 NS USD 98549.50000000 0.054996899870 Long DBT USGA PL N 2 2033-10-04 Fixed 4.87500000 N N N N N N BONOS Y OB 1.45% 10/31/27/EUR/ N/A E8922AEY2 400000.00000000 NS 413738.76000000 0.230892588559 Long DBT USGA ES N 2 2027-10-31 Fixed 1.45000000 N N N N N N HUNGARY 6.25% 09/22/32 N/A 445545AS5 200000.00000000 NS USD 207014.80000000 0.115527447904 Long DBT USGA HU Y 2 2032-09-22 Fixed 6.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1458.00000000 0.000813656893 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -641000.00000000 MYR 145764.64000000 USD 2024-12-18 1458.00000000 N N N PRINCIPAL LFE 1.375% 01/10/25 635400WSLKBQWSOIIT41 74256LET2 100000.00000000 NS USD 99620.85000000 0.055594781429 Long DBT CORP US Y 2 2025-01-10 Fixed 1.37500000 N N N N N N CASH COLLATERAL ISDA JPM USD N/A N/A -1276000.00000000 NS USD -1276000.00000000 -0.71208929760 Short STIV CORP US N 2 2049-12-31 Variable 0.00000000 N N N N N N ORO USD 5Y P 4.40000 L 06/24/25 DUB N/A N/A -2300000.00000000 NC USD -8961.72000000 -0.00500121073 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased ORO USD 5Y P 4.40000 L 06/24/25 DUB 0 1.00000000 USD 4.40000000 USD 2025-06-24 XXXX -8961.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 36171.86000000 0.020186202492 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -1663639.04000000 CHF 1924846.48000000 USD 2024-12-03 36171.86000000 N N N SAMI 2007-AR4 A3 V/R 09/25/47 N/A 86364MAC4 88820.82000000 NS USD 78718.19000000 0.043929765380 Long ABS-CBDO CORP US N 2 2047-09-25 Variable 5.14219000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2986.29000000 -0.00166654008 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -1957692.57000000 CHF 2230996.31000000 USD 2025-01-15 -2986.29000000 N N N N/A N/A N/A 1.00000000 NC USD -2743.73000000 -0.00153117615 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2029-02-28 -1100000.00000000 USD 1100000.00000000 USD 1100000.00000000 USD -2743.73000000 N N N N/A N/A N/A 1.00000000 NC N/A -4737.17000000 -0.00264364267 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -1196524.72000000 PEN 314709.29000000 USD 2025-05-27 -4737.17000000 N N N JAPAN (30 Y 0.7% 12/20/48/JPY/ N/A J2S39KS98 98000000.00000000 NS 487908.40000000 0.272283973239 Long DBT USGA JP N 2 2048-12-20 Fixed 0.70000000 N N N N N N PHILIP MORRIS I 5.25% 02/13/34 HL3H1H2BGXWVG3BSWR90 718172DJ5 200000.00000000 NS USD 203084.90000000 0.113334313319 Long DBT CORP US N 2 2034-02-13 Fixed 5.25000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -51147.92000000 -0.02854379814 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2054-03-20 -892817.48000000 USD 800000.00000000 USD 800000.00000000 USD 41669.56000000 N N N EXPORT DEV 7.13% 03/11/29/INR/ N/A C32148PP4 27900000.00000000 NS 331168.61000000 0.184813184079 Long DBT USGA CA Y 2 2029-03-11 Fixed 7.13000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 7422.34000000 0.004142138618 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-07 -700000.00000000 USD 700000.00000000 USD 700000.00000000 USD 7422.34000000 N N N N/A N/A N/A 1.00000000 NC N/A -881.48000000 -0.00049192200 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -138028.00000000 USD 989384.70000000 CNY 2025-01-21 -881.48000000 N N N NORDEA KREDIT 1% 10/01/50/DKK/ N/A K7S724GR2 15.00000000 NS 1.67000000 0.000000931966 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 285153.42000000 0.159133776299 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2025-12-20 -27565433.15000000 USD 27709000.00000000 USD 27709000.00000000 USD 141586.57000000 N N N UNITED KI 1.125% 10/22/73/GBP/ N/A G4527HXA4 500000.00000000 NS 232075.41000000 0.129512864967 Long DBT NUSS GB N 2 2073-10-22 Fixed 1.12500000 N N N N N N REPUBLIC 3.875% 02/14/33/EUR/ N/A X7327PAT6 200000.00000000 NS 221286.41000000 0.123491915569 Long DBT USGA PL N 2 2033-02-14 Fixed 3.87500000 N N N N N N ELAT 2007-2 A1 V/R 05/25/37 N/A 288547AA0 294635.45000000 NS USD 290645.73000000 0.162198835210 Long ABS-CBDO CORP US Y 2 2037-05-25 Variable 5.75219000 N N N N N N UMBS P#BY0545 5% 05/01/53 N/A 3140NGTB6 289958.47000000 NS USD 284871.99000000 0.158976720428 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.00000000 N N N N N N CWALT 2007-16C 6.25% 08/25/37 N/A 02152AAY5 16613.03000000 NS USD 8039.90000000 0.004486776445 Long ABS-CBDO CORP US N 2 2037-08-25 Fixed 6.25000000 N N N N N N DEUTSCHE BAN V/R 11/19/30/EUR/ 7LTWFZYICNSX8D621K86 D1T7F65H7 200000.00000000 NS 196137.87000000 0.109457427964 Long DBT CORP DE N 2 2030-11-19 Variable 1.75000000 N N N N N N OTC ECAL USD VS CNH 7.3 GLM N/A N/A 200000.00000000 NC USD 2253.60000000 0.001257652383 N/A DFE CORP US N 2 GOLDMAN SACHS AND CO. LLC FOR8UP27PHTHYVLBNG30 Call Written OTC ECAL USD VS CNH 7.3 GLM 0 1.00000000 USD 7.30000000 USD 2025-05-15 XXXX -24.40000000 N N N REPUBLIC OF S 1% 09/23/28/EUR/ N/A N/A 100000.00000000 NS 95293.09000000 0.053179615615 Long DBT USGA RS Y 2 2028-09-23 Fixed 1.00000000 N N N N N N OBX 2024-HYB1 A1 V/R 03/25/53 N/A 67448MAA8 950425.62000000 NS USD 935537.20000000 0.522089363349 Long ABS-CBDO CORP US Y 2 2053-03-25 Variable 3.62263000 N N N N N N N/A N/A N/A 1.00000000 NC -3293.22000000 -0.00183782658 N/A DIR AU N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-06-21 -137420.00000000 AUD 125039.83000000 AUD 130419.98816217 AUD 9086.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 1077.14000000 0.000601112747 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -487000.00000000 CAD 348971.56000000 USD 2024-12-03 1077.14000000 N N N N/A N/A N/A 1.00000000 NC N/A -553.88000000 -0.00030910032 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -67216.00000000 USD 1368511.04000000 MXN 2025-02-11 -553.88000000 N N N N/A N/A N/A 1.00000000 NC -866.30000000 -0.00048345059 N/A DIR JP N 2 BARCLAYS BANK N/A N/A N/A Y 2034-09-18 -573765.83000000 JPY 570808.02000000 JPY 601604.27807487 JPY 2091.51000000 N N N N/A N/A N/A 1.00000000 NC N/A -1194.21000000 -0.00066644526 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -388597.00000000 USD 32851756.35000000 INR 2025-01-17 -1194.21000000 N N N US TIPS 0.375% 07/15/25 N/A 912828XL9 265926.00000000 NS USD 263289.03000000 0.146932053636 Long DBT UST US N 2 2025-07-15 Fixed 0.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2838.42000000 0.001584019203 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -592085.00000000 USD 796721.44000000 SGD 2024-12-03 2838.42000000 N N N N/A N/A N/A 1.00000000 NC N/A 165.59000000 0.000092409770 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -890486.16000000 CNY 124000.00000000 USD 2025-05-19 165.59000000 N N N STATE OF ISRAEL 5.75% 03/12/54 N/A 46514BRM1 300000.00000000 NS USD 290499.30000000 0.162117117940 Long DBT USGA IL N 2 2054-03-12 Fixed 5.75000000 N N N N N N N/A N/A N/A 1.00000000 NC -106924.77000000 -0.05967083414 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-06-17 -6460424.50000000 GBP 6448539.07000000 GBP 6490004.58487010 GBP -95039.34000000 N N N OTC ECAL USD/CNH VKO DIGI @ 7.4/6 BPS N/A N/A 40000.00000000 NC USD 0.00000000 0.000000 N/A DFE CORP US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written OTC ECAL USD/CNH VKO DIGI @ 7.4/6 BPS 0 1.00000000 USD 7.40000000 USD 2024-12-06 XXXX -3640.00000000 N N N ONYP 2020-1NYP A V/R 01/15/23 N/A 68249DAA7 300000.00000000 NS USD 286151.01000000 0.159690495078 Long ABS-CBDO CORP US Y 2 2036-01-15 Variable 5.67448000 N N N N N N PRVD 2A ARR V/R 10/15/38 /EUR/ N/A N/A 500000.00000000 NS 528965.64000000 0.295196529033 Long ABS-CBDO CORP IE Y 2 2038-10-15 Variable 4.34400000 N N N N N N IRO EUR 25Y P 0.45100 L 05/23/25 BPS N/A N/A -200000.00000000 NC -63679.20000000 -0.03553705078 N/A DIR CORP US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased IRO EUR 25Y P 0.45100 L 05/23/25 BPS 0 1.00000000 EUR 0.45100000 EUR 2025-05-23 XXXX -63679.20000000 N N N N/A N/A N/A 1.00000000 NC N/A -3867.00000000 -0.00215803237 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -1022731.62000000 PEN 269349.00000000 USD 2025-03-24 -3867.00000000 N N N N/A N/A N/A 1.00000000 NC N/A 1094.84000000 0.000610990475 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -1090550.44000000 CNY 151676.00000000 USD 2024-12-04 1094.84000000 N N N N/A N/A N/A 1.00000000 NC 125368.52000000 0.069963621746 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-06-19 -2399624.84000000 NZD 2429734.30000000 NZD 2309774.86357892 NZD 95259.06000000 N N N BARCLAYS PLC V/R 09/13/27 213800LBQA1Y9L22JB70 06738ECJ2 800000.00000000 NS USD 820333.48000000 0.457798347631 Long DBT CORP GB N 2 2027-09-13 Variable 6.49600000 N N N N N N N/A N/A N/A 1.00000000 NC 11380.18000000 0.006350865503 N/A DIR CN N 2 BNP N/A N/A N/A Y 2029-09-18 -372838.06000000 CNY 376248.89000000 CNY 372781.43272331 CNY 7969.35000000 N N N US TIPS 1.125% 01/15/33 N/A 91282CGK1 1481956.00000000 NS USD 1395515.64000000 0.778786639411 Long DBT UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2578.28000000 -0.00143884450 N/A DFE N/A N 1 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -80314.00000000 USD 315785.41000000 PLN 2024-12-16 -2578.28000000 N N N N/A N/A N/A 1.00000000 NC -7743.45000000 -0.00432133845 N/A DIR CA N 2 BARCLAYS BANK N/A N/A N/A Y 2029-12-18 -147765.05000000 CAD 134531.99000000 CAD 142872.45061971 CAD 5489.61000000 N N N N/A N/A N/A 1.00000000 NC -63283.53000000 -0.03531624171 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2033-08-15 -1192839.96000000 EUR 1192839.96000000 EUR 1162699.99232618 EUR -63283.53000000 N N N OTC ECAL USD VS CNH 7.3 MBC N/A N/A 1600000.00000000 NC USD 18043.20000000 0.010069255183 N/A DFE CORP US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 Call Written OTC ECAL USD VS CNH 7.3 MBC 0 1.00000000 USD 7.30000000 USD 2025-05-13 XXXX 355.20000000 N N N JAPAN (30 Y 1.7% 09/20/44/JPY/ N/A J2615QTH8 210000000.00000000 NS 1369325.38000000 0.764170805675 Long DBT USGA JP N 2 2044-09-20 Fixed 1.70000000 N N N N N N WMALT 2006-AR5 3 V/R 07/25/46 N/A 93935AAC6 14511.81000000 NS USD 8960.95000000 0.005000781027 Long ABS-CBDO CORP US N 2 2046-07-25 Variable 5.86728000 N N N N N N N/A N/A N/A 1.00000000 NC -190092.36000000 -0.10608364820 N/A DIR AU N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-03-19 -12427353.73000000 AUD 12454804.49000000 AUD 11933428.91683846 AUD -217543.12000000 N N N JAPAN (20 Y 1.2% 09/20/35/JPY/ N/A J2S39KKT2 131000000.00000000 NS 880405.01000000 0.491322088700 Long DBT USGA JP N 2 2035-09-20 Fixed 1.20000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1930.19000000 -0.00107716899 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -103634.00000000 USD 413257.16000000 PLN 2024-12-20 -1930.19000000 N N N BANCA MON 2.625% 04/28/25/EUR/ J4CP7MHCXR8DAQMKIL78 T1188BJD9 100000.00000000 NS 105373.91000000 0.058805355453 Long DBT CORP IT N 2 2025-04-28 Fixed 2.62500000 N N N N N N UK TSY 3.25% 01/22/44 /GBP/ N/A G4527HCQ2 1350000.00000000 NS 1407338.39000000 0.785384487172 Long DBT NUSS GB N 2 2044-01-22 Fixed 3.25000000 N N N N N N ORO USD 30Y P 3.93000 L 06/23/25 BOA N/A N/A 700000.00000000 NC USD 16293.90000000 0.009093034330 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 Put Written ORO USD 30Y P 3.93000 L 06/23/25 BOA 0 1.00000000 USD 3.93000000 USD 2025-06-23 XXXX 16293.90000000 N N N N/A N/A N/A 1.00000000 NC N/A 308.71000000 0.000172279848 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -129000.00000000 CAD 92461.44000000 USD 2024-12-03 308.71000000 N N N US TREAS NTS 2.875% 04/30/25 N/A 9128284M9 600000.00000000 NS USD 596254.16000000 0.332747810337 Long DBT UST US N 2 2025-04-30 Fixed 2.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -931.24000000 -0.00051969125 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -11065.71000000 USD 857311.32000000 INR 2024-12-04 -931.24000000 N N N BARCLAYS PLC V/R 08/08/30/EUR/ 213800LBQA1Y9L22JB70 G0809LJD2 400000.00000000 NS 455739.08000000 0.254331443079 Long DBT CORP GB N 2 2030-08-08 Variable 4.91800000 N N N N N N RC R/P DEUTSC 4.720% 12/05/24 N/A N/A -3239250.00000000 PA USD -3239250.00000000 -1.80770788187 Short RA CORP US N 2 Reverse repurchase N 4.72000000 2024-12-05 1500000.00000000 USD 1987098.67035570 USD UST N N N N/A N/A N/A 1.00000000 NC N/A -3097.74000000 -0.00172873628 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -294902.00000000 USD 4629224145.00000000 IDR 2025-01-15 -3097.74000000 N N N N/A N/A N/A 1.00000000 NC N/A 864.13000000 0.000482239596 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -236000.00000000 NZD 140635.14000000 USD 2024-12-03 864.13000000 N N N UMBS P#BU4106 6.5% 07/01/53 N/A 3140M5R49 137734.33000000 NS USD 142748.05000000 0.079662506786 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 100953.70000000 0.056338596648 N/A DIR US N 2 CREDIT SUISSE N/A N/A N/A Y 2026-12-15 -996281.28000000 USD 1000000.00000000 USD 1000000.00000000 USD 97234.98000000 N N N STATE OF ISRAE 5.375% 03/12/29 N/A 46514BRN9 300000.00000000 NS USD 303672.15000000 0.169468407520 Long DBT USGA IL N 2 2029-03-12 Fixed 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -178.27000000 -0.00009948601 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -586390877.00000000 IDR 36777.00000000 USD 2025-01-22 -178.27000000 N N N N/A N/A N/A 1.00000000 NC N/A -338.51000000 -0.00018891014 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -46895.00000000 USD 336776.44000000 CNY 2024-12-19 -338.51000000 N N N N/A N/A N/A 1.00000000 NC N/A 1309.13000000 0.000730577948 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -6604172.38000000 CNY 914047.00000000 USD 2025-01-15 1309.13000000 N N N UMBS P#QF0819 4.5% 10/01/52 N/A 3133BM4C6 236132.87000000 NS USD 227423.56000000 0.126916836285 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -22346.92000000 -0.01247100514 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-02-22 -800000.00000000 USD 800000.00000000 USD 800000.00000000 USD -22346.92000000 N N N US TREAS NTS SE 0.25% 1/15/25 N/A 912828H45 1996875.00000000 NS USD 1987382.32000000 1.109085956369 Long DBT UST US N 2 2025-01-15 Fixed 0.25000000 N N N N N N CWL 2007-12 1A1 V/R 06/25/37 N/A 126697AA9 35849.37000000 NS USD 34787.50000000 0.019413641411 Long ABS-CBDO CORP US N 2 2047-08-25 Variable 5.44219000 N N N N N N BCC 2020-2A ARR V/R 07/19/34 N/A 05683EAW2 500000.00000000 NS USD 500395.50000000 0.279252570628 Long ABS-CBDO CORP KY Y 2 2034-07-19 Variable 5.85740000 N N N N N N CIFC 2017-4A A1R V/R 10/24/30 N/A 12551JAL0 192594.80000000 NS USD 192733.47000000 0.107557555860 Long ABS-CBDO CORP KY Y 2 2030-10-24 Variable 5.84637000 N N N N N N CASH COLLATERAL BCY USD N/A N/A 968000.00000000 NS USD 968000.00000000 0.540205674047 Long STIV CORP US N 2 2049-12-31 Floating 4.48000000 N N N N N N JTWN 2021-16A AR V/R 07/25/34 N/A 47048RAL9 700000.00000000 NS USD 700525.00000000 0.390937582450 Long ABS-CBDO CORP KY Y 2 2034-07-25 Variable 0.00000000 N N N N N N JAPAN (30 Y 1.4% 09/20/45/JPY/ N/A J2S39KKP0 280000000.00000000 NS 1710556.99000000 0.954599784896 Long DBT USGA JP N 2 2045-09-20 Fixed 1.40000000 N N N N N N GCAT 2023-NQM4 A V/R 05/25/67 N/A 36171FAA1 823647.57000000 NS USD 775435.36000000 0.432742336083 Long ABS-CBDO CORP US Y 2 2067-05-25 Variable 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4518.32000000 -0.00252151043 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -390064.38000000 USD 650985.27000000 NZD 2024-12-03 -4518.32000000 N N N ROMANIA 2.875% 04/13/42/EUR/ N/A X7360WBY7 200000.00000000 NS 140868.45000000 0.078613570231 Long DBT USGA RO Y 2 2042-04-13 Fixed 2.87500000 N N N N N N JAPAN TREASU ZCP 06/20/25/JPY/ N/A J2S39L2U7 60000000.00000000 PA 400770.18000000 0.223655294654 Long STIV USGA JP N 2 2025-06-20 Fixed 0.00000000 N N N N N N JAPAN (30 Y 0.5% 03/20/49/JPY/ N/A J2S39K3W4 360000000.00000000 NS 1691863.05000000 0.944167375332 Long DBT USGA JP N 2 2049-03-20 Fixed 0.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -230.86000000 -0.00012883458 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -139000.00000000 USD 997881.00000000 CNY 2025-05-19 -230.86000000 N N N N/A N/A N/A 1.00000000 NC N/A 3810.34000000 0.002126412487 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -2707000.00000000 MXN 136846.99000000 USD 2024-12-18 3810.34000000 N N N N/A N/A N/A 1.00000000 NC N/A 62605.49000000 0.034937852194 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -12747881.00000000 MYR 2932502.36000000 USD 2024-12-18 62605.49000000 N N N N/A N/A N/A 1.00000000 NC N/A -982.51000000 -0.00054830317 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -42264.00000000 USD 298806.48000000 CNY 2024-12-11 -982.51000000 N N N GNR 2017-121 PE 3% 07/20/46 N/A 38380TV37 3250.19000000 NS USD 3159.64000000 0.001763280429 Long ABS-CBDO CORP US N 2 2046-07-20 Fixed 3.00000000 N N N N N N NYKREDIT RE 1.5% 10/01/52/DKK/ N/A K741813K0 1.08000000 NS 0.12000000 0.000000066967 Long DBT CORP DK N 2 2052-10-01 Fixed 1.50000000 N N N N N N CRNCL 2016- V/R 01/31/30 /EUR/ N/A N/A 204820.61000000 NS 215822.82000000 0.120442884248 Long ABS-CBDO CORP IE Y 2 2030-01-31 Variable 3.72600000 N N N N N N N/A N/A N/A 1.00000000 NC USD 10900.80000000 0.006083340921 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-09-10 -250000.00000000 USD 250000.00000000 USD 250000.00000000 USD 10900.80000000 N N N N/A N/A N/A 1.00000000 NC N/A -15194.54000000 -0.00847952140 N/A DFE N/A N 1 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -1684191.75000000 ILS 448472.00000000 USD 2024-12-16 -15194.54000000 N N N N/A N/A N/A 1.00000000 NC N/A 218.85000000 0.000122132243 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -221332.00000000 THB 6678.62000000 USD 2024-12-16 218.85000000 N N N CSAB 2006-4 A6A S/UP 12/25/36 N/A 12628LAJ9 124082.98000000 NS USD 20835.12000000 0.011627324425 Long ABS-CBDO CORP US N 2 2036-12-01 Variable 6.18370000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -234.76000000 -0.00013101103 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -268712.70000000 USD 254000.00000000 EUR 2024-12-03 -234.76000000 N N N N/A N/A N/A 1.00000000 NC 69570.61000000 0.038824832922 N/A DIR JP N 2 BARCLAYS N/A N/A N/A Y 2039-06-19 -729236.61000000 JPY 708780.01000000 JPY 534759.35828877 JPY 90027.21000000 N N N CGMS 2016-3A ARR V/R 07/20/34 N/A 14311UBA5 600000.00000000 NS USD 600450.00000000 0.335089356386 Long ABS-CBDO CORP KY Y 2 2034-07-20 Variable 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 24849.82000000 0.013867782813 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -4200000.00000000 BRL 687365.77000000 USD 2025-10-02 24849.82000000 N N N N/A N/A N/A 1.00000000 NC -131187.84000000 -0.07321117307 N/A DIR TH N 2 BARCLAYS BANK N/A N/A N/A Y 2029-09-18 -4167346.11000000 THB 4150109.06000000 THB 4425010.93135111 THB -113950.79000000 N N N GNMA II P#MA7706 3% 11/20/51 N/A 36179WR34 457411.16000000 NS USD 405856.27000000 0.226493656923 Long ABS-MBS USGSE US N 2 2051-11-20 Fixed 3.00000000 N N N N N N SARM 2004-19 2A1 V/R 01/25/35 N/A 863579JG4 18826.26000000 NS USD 17192.33000000 0.009594415512 Long ABS-CBDO CORP US N 2 2035-01-25 Variable 6.32728000 N N N N N N ORO USD 5Y P 4.33000 L 09/25/25 DUB N/A N/A -800000.00000000 NC USD -5253.36000000 -0.00293170958 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased ORO USD 5Y P 4.33000 L 09/25/25 DUB 0 1.00000000 USD 4.33000000 USD 2025-09-25 XXXX -5253.36000000 N N N N/A N/A N/A 1.00000000 NC N/A -1969.24000000 -0.00109896138 N/A DFE N/A N 1 HSBC BANK PLC N/A -689073150.00000000 KRW 493185.00000000 USD 2025-01-22 -1969.24000000 N N N N/A N/A N/A 1.00000000 NC N/A -1167.46000000 -0.00065151706 N/A DFE N/A N 1 HSBC BANK PLC N/A -53697.00000000 USD 380013.67000000 CNY 2024-12-18 -1167.46000000 N N N N/A N/A N/A 1.00000000 NC N/A 46881.04000000 0.026162607245 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -8500000.00000000 BRL 1387687.13000000 USD 2025-10-02 46881.04000000 N N N N/A N/A N/A 1.00000000 NC N/A 305.14000000 0.000170287561 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -18056551.00000000 TWD 558611.27000000 USD 2025-01-22 305.14000000 N N N GALL 2017-1A A1R V/R 07/15/31 N/A 36361UAL4 438439.96000000 NS USD 439373.84000000 0.245198596483 Long ABS-CBDO CORP KY Y 2 2031-07-15 Variable 6.00751000 N N N N N N SAMI 2007-AR6 V/R 11/25/37 N/A 86364RAA7 49920.49000000 NS USD 41793.57000000 0.023323474847 Long ABS-CBDO CORP US N 2 2047-08-25 Variable 6.42728000 N N N N N N UMBS P#QF0820 4.5% 09/01/52 N/A 3133BM4D4 614887.00000000 NS USD 591732.73000000 0.330224564324 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.50000000 N N N N N N ORO USD 5Y P 4.35000 L 09/25/25 BRC N/A N/A -400000.00000000 NC USD -2551.20000000 -0.00142373214 N/A DIR CORP US N 2 BARCLAYS CAPITAL (TRADING AS B K9WDOH4D2PYBSLSOB484 Put Purchased ORO USD 5Y P 4.35000 L 09/25/25 BRC 0 1.00000000 USD 4.35000000 USD 2025-09-25 XXXX -2551.20000000 N N N OTC ECAL USD VS CNH DIGI 7.4 BPS N/A N/A 30000.00000000 NC USD 2468.10000000 0.001377357049 N/A DFE CORP US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written OTC ECAL USD VS CNH DIGI 7.4 BPS 0 1.00000000 USD 7.40000000 USD 2025-01-14 XXXX -606.90000000 N N N F/C CAN 5YR BOND FUT MAR25 N/A N/A 60.00000000 NC 4860520.77000000 2.712480267335 N/A DIR CORP CA N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C CAN 5YR BOND FUT MAR25 CAN 5YR BOND FUT MAR25 /CAD/ 2025-03-20 4792227.74000000 CAD 68293.03000000 N N N TPMT 2020-1 A1 V/R 01/25/60 N/A 89178WAU2 112792.41000000 NS USD 107037.34000000 0.059733655374 Long ABS-CBDO CORP US Y 2 2060-01-25 Variable 2.71000000 N N N N N N N/A N/A N/A 1.00000000 NC 15166.85000000 0.008464068623 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-06-19 -782339.91000000 NZD 764857.63000000 NZD 769924.95452631 NZD 32649.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 7377.28000000 0.004116992267 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -9649212.00000000 TWD 304728.00000000 USD 2024-12-18 7377.28000000 N N N N/A N/A N/A 1.00000000 NC -7370.71000000 -0.00411332578 N/A DIR CA N 2 BARCLAYS BANK N/A N/A N/A Y 2028-03-15 -718229.25000000 CAD 731437.02000000 CAD 707218.63056756 CAD -20578.48000000 N N N N/A N/A N/A 1.00000000 NC USD -4826.10000000 -0.00269327128 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2034-05-15 -500000.00000000 USD 500000.00000000 USD 500000.00000000 USD -4826.10000000 N N N FNMA 30YR TBA 2.5% DEC 24 N/A 01F0226C4 -700000.00000000 NS USD -585484.34000000 -0.32673756460 Short ABS-MBS USGA US N 2 2054-12-01 Fixed 2.50000000 N N N N N N UMBS P#841068 V/R 11/01/34 N/A 31407UMR5 9981.70000000 NS USD 10351.18000000 0.005776617943 Long ABS-MBS USGSE US N 2 2034-11-01 Variable 7.01900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -112.78000000 -0.00006293842 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -17950.83000000 USD 128739.76000000 CNY 2025-01-16 -112.78000000 N N N N/A N/A N/A 1.00000000 NC N/A -201.21000000 -0.00011228799 N/A DFE N/A N 1 HSBC BANK PLC N/A -86262.00000000 USD 7297954.98000000 INR 2025-01-17 -201.21000000 N N N SMB 2022-B A1B V/R 02/16/55 N/A 83206NAB3 238365.91000000 NS USD 240008.01000000 0.133939761176 Long ABS-CBDO CORP US Y 2 2055-02-16 Variable 6.25563000 N N N N N N CHINA GOVE 3.19% 04/15/53/CNY/ N/A Y6S39BZ94 4090000.00000000 NS 675265.66000000 0.376841261385 Long DBT USGA CN N 2 2053-04-15 Fixed 3.19000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 14041.53000000 0.007836068366 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -5267262.56000000 CNY 741033.00000000 USD 2024-12-18 14041.53000000 N N N GSR 2003-1 A2 V/R 03/25/33 N/A 36229RJJ9 1401.80000000 NS USD 1405.43000000 0.000784319483 Long ABS-CBDO CORP US N 2 2033-03-01 Variable 6.75000000 N N N N N N RMACS 2006- V/R 06/12/44 /GBP/ N/A G7604CBD2 256546.64000000 NS 320161.68000000 0.178670615856 Long ABS-CBDO CORP GB N 2 2044-06-12 Variable 5.19637000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5384.15000000 0.003004698739 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2336000.00000000 PLN 580428.55000000 USD 2024-12-16 5384.15000000 N N N F/C CAN 10YR BOND FUT MAR25 N/A N/A 42.00000000 NC 3702996.75000000 2.066508115010 N/A DIR CORP CA N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C CAN 10YR BOND FUT MAR25 CAN 10YR BOND FUT MAR25 /CAD/ 2025-03-20 3618855.03000000 CAD 84141.72000000 N N N N/A N/A N/A 1.00000000 NC 8953.03000000 0.004996361163 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2042-09-21 -2352041.91000000 EUR 2528940.14000000 EUR 2441669.98388498 EUR -167945.20000000 N N N N/A N/A N/A 1.00000000 NC 151046.77000000 0.084293721281 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-03-19 -7577021.88000000 EUR 7624436.55000000 EUR 7451849.95081779 EUR 103632.10000000 N N N US TIPS 0.5% 01/15/28 N/A 9128283R9 1278300.00000000 NS USD 1228436.94000000 0.685546079749 Long DBT UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N FNMA 30YR TBA 6% DEC 24 N/A 01F0606C4 -17800000.00000000 NS USD -18011092.69000000 -10.0513372592 Short ABS-MBS USGA US N 2 2054-12-01 Fixed 6.00000000 N N N N N N WAMU 2005-AR13 A V/R 10/25/45 N/A 92922F4M7 11185.94000000 NS USD 10999.47000000 0.006138405067 Long ABS-CBDO CORP US N 2 2045-10-25 Variable 5.28219000 N N N N N N SARM 2004-1 4A1 V/R 02/25/34 N/A 86359BGF2 1504.81000000 NS USD 1453.54000000 0.000811167929 Long ABS-CBDO CORP US N 2 2034-02-25 Variable 7.28668400 N N N N N N NYKREDIT REAL 1% 10/01/50/DKK/ N/A K74181W69 4.45000000 NS 0.51000000 0.000000284612 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N US TREAS NTS 4% 02/29/28 N/A 91282CGP0 200000.00000000 NS USD 199277.34000000 0.111209452249 Long DBT UST US N 2 2028-02-29 Fixed 4.00000000 N N N N N N ROMANIA 6.625% 09/27/29/EUR/ N/A X7360WCL4 600000.00000000 NS 687122.40000000 0.383458077732 Long DBT USGA RO N 2 2029-09-27 Fixed 6.62500000 N N N N N N UMBS P#DA7883 6.5% 02/01/54 N/A 3140A8XM9 28819.59000000 NS USD 29535.88000000 0.016482902855 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5401.24000000 0.003014236048 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -5748000.00000000 ZAR 324032.42000000 USD 2024-12-17 5401.24000000 N N N JAPAN (30 Y 0.7% 06/20/51/JPY/ N/A J2S39LQP2 125000000.00000000 NS 589404.31000000 0.328925157613 Long DBT USGA JP N 2 2051-06-20 Fixed 0.70000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -618.12000000 -0.00034495034 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -310000.00000000 USD 2237890.00000000 CNY 2025-01-21 -618.12000000 N N N NRZT 2020-RPL1 A V/R 11/25/59 N/A 64828XAA1 150786.93000000 NS USD 143392.04000000 0.080021894236 Long ABS-CBDO CORP US Y 2 2059-11-25 Variable 2.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -40485.24000000 -0.02259334335 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -848210386.00000000 JPY 5664006.00000000 USD 2025-01-15 -40485.24000000 N N N PSTET 2023- V/R 05/15/33 /EUR/ N/A N/A 374031.14000000 NS 395351.11000000 0.220631108329 Long ABS-CBDO CORP IE Y 2 2033-05-15 Variable 4.52300000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -691.39000000 -0.00038583967 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -43333.00000000 USD 675830135.00000000 IDR 2024-12-12 -691.39000000 N N N N/A N/A N/A 1.00000000 NC N/A -4773.52000000 -0.00266392829 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -426295.00000000 USD 6687076518.00000000 IDR 2025-01-15 -4773.52000000 N N N UMBS P#SD8348 5% 08/01/53 N/A 3132DWHZ9 898171.43000000 NS USD 882780.55000000 0.492647791372 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3284.38000000 0.001832893297 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -1074100.12000000 DKK 155506.22000000 USD 2024-12-03 3284.38000000 N N N UMBS P#QI1549 5% 03/01/54 N/A 3133W7WJ0 813023.18000000 NS USD 800084.54000000 0.446498148993 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 23230.82000000 0.012964277661 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -4000000.00000000 DKK 591091.36000000 USD 2025-01-02 23230.82000000 N N N N/A N/A N/A 1.00000000 NC -486.39000000 -0.00027143660 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2026-09-18 -17029344.97000000 GBP 17126191.06000000 GBP 16670403.93368595 GBP -97332.48000000 N N N N/A N/A N/A 1.00000000 NC -63095.96000000 -0.03521156570 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2052-03-15 -329258.76000000 JPY 325034.19000000 JPY 267379.67914439 JPY -58871.39000000 N N N US TREAS BDS 3% 02/15/48 N/A 912810SA7 300000.00000000 NS USD 233830.08000000 0.130492082622 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N F/C EURO-BTP FUTURE DEC24 N/A N/A 110.00000000 NC 14281443.97000000 7.969955646888 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BTP FUTURE DEC24 EURO-BTP FUTURE DEC24 /EUR/ 2024-12-06 13862502.03000000 EUR 418941.95000000 N N N BSARM 2003-5 1A2 V/R 08/25/33 N/A 07384MWG3 1473.02000000 NS USD 1417.52000000 0.000791066474 Long ABS-CBDO CORP US N 2 2033-08-25 Variable 5.34675400 N N N N N N QATAR ENERGY 2.25% 07/12/31 N/A 74730DAC7 200000.00000000 NS USD 171731.70000000 0.095837230117 Long DBT CORP QA Y 2 2031-07-12 Fixed 2.25000000 N N N N N N JAPAN GOVT 0.1% 03/10/28/JPY/ N/A J2S39KJ56 161469210.00000000 NS 1121362.39000000 0.625791658824 Long DBT UST JP N 2 2028-03-10 Fixed 0.10000000 N N N N N N WELLS FARGO & COM V/R 07/25/28 PBLD0EJDB5FWOLXP3B76 95000U3A9 600000.00000000 NS USD 599867.16000000 0.334764094531 Long DBT CORP US N 2 2028-07-25 Variable 4.80800000 N N N N N N N/A N/A N/A 1.00000000 NC 20044.66000000 0.011186197382 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2050-05-27 -52515.33000000 EUR 59035.00000000 EUR 52849.99965119 EUR 13524.99000000 N N N CORDA 11A A V/R 10/15/31 /EUR/ N/A N/A 248433.01000000 NS 261934.09000000 0.146175910789 Long ABS-CBDO CORP IE Y 2 2031-10-15 Variable 3.83400000 N N N N N N UWM 2021-INV5 A1 V/R 01/25/52 N/A 90355DAV5 83352.85000000 NS USD 71222.13000000 0.039746486305 Long ABS-CBDO CORP US Y 2 2052-01-25 Variable 3.00000000 N N N N N N CSMC 2007-5R A5 6.5% 07/26/36 N/A 12640QAE3 34334.20000000 NS USD 8124.95000000 0.004534239763 Long ABS-CBDO CORP US N 2 2036-07-26 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -118992.63000000 -0.06640546890 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -21854754.00000000 EUR 23026933.73000000 USD 2025-01-15 -118992.63000000 N N N UMBS P#SD4998 5% 09/01/53 N/A 3132DSRT1 870695.03000000 NS USD 856178.65000000 0.477802236289 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -317.01000000 -0.00017691177 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -6487121.90000000 INR 76368.75000000 USD 2024-12-04 -317.01000000 N N N N/A N/A N/A 1.00000000 NC USD 3771.88000000 0.002104949357 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-22 -300000.00000000 USD 300000.00000000 USD 300000.00000000 USD 3771.88000000 N N N PHILIP MORRIS 4.875% 02/13/29 HL3H1H2BGXWVG3BSWR90 718172DG1 200000.00000000 NS USD 201792.86000000 0.112613272680 Long DBT CORP US N 2 2029-02-13 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -432.90000000 -0.00024158578 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -310633421.00000000 KRW 222711.00000000 USD 2025-01-15 -432.90000000 N N N N/A N/A N/A 1.00000000 NC 76895.94000000 0.042912833780 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-09-18 -18657617.22000000 GBP 18815084.86000000 GBP 18468516.96867055 GBP -80571.70000000 N N N CWL 2007-9 2A4 V/R 02/25/36 N/A 12670FAE0 219514.76000000 NS USD 209943.50000000 0.117161849100 Long ABS-CBDO CORP US N 2 2036-02-25 Variable 4.95219000 N N N N N N N/A N/A N/A 1.00000000 NC -4950.03000000 -0.00276243212 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-09-20 -553250.73000000 JPY 554026.72000000 JPY 534759.35828877 JPY -5726.02000000 N N N N/A N/A N/A 1.00000000 NC -37512.15000000 -0.02093416970 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-06 -863080.00000000 EUR 863080.00000000 EUR 845599.99441904 EUR -37512.15000000 N N N P/O OTC EPUT FRTR 0.75 05-52 N/A N/A 200000.00000000 NC 87818.43000000 0.049008279103 N/A DO CORP US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written P/O OTC EPUT FRTR 0.75 05-52 0 1.00000000 97.00000000 EUR 2025-05-23 XXXX 72704.79000000 N N N N/A N/A N/A 1.00000000 NC N/A -1.61000000 -0.00000089848 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -560000.00000000 SEK 51396.23000000 USD 2024-12-03 -1.61000000 N N N N/A N/A N/A 1.00000000 NC USD -3760.79000000 -0.00209876043 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-06-22 -190000.00000000 USD 190000.00000000 USD 190000.00000000 USD -3760.79000000 N N N FORT 2022-FL3 A V/R 02/23/39 N/A 34706CAA7 112279.61000000 NS USD 110895.18000000 0.061886575888 Long ABS-CBDO CORP US Y 2 2039-02-23 Variable 6.58403000 N N N N N N F/C LONG GILT FUTURE MAR25 N/A N/A 26.00000000 NC 3172645.07000000 1.770538087348 N/A DIR CORP GB N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C LONG GILT FUTURE MAR25 LONG GILT FUTURE MAR25 /GBP/ 2025-03-27 3130129.17000000 GBP 42515.89000000 N N N ESC LEHMAN BR 0.0% 12/30/16 N/A 525ESC0B6 1300000.00000000 NS USD 1235.00000000 0.000689208685 Long DBT CORP US N 2 2049-05-25 Fixed 0.00000000 N N N N N N REALKREDIT DA 1% 01/01/25/DKK/ N/A K8094KE58 4000000.00000000 NS 565622.90000000 0.315653615652 Long DBT CORP DK N 2 2025-01-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 8402.21000000 0.004688968508 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1385106.98000000 USD 2136956.10000000 AUD 2024-12-03 8402.21000000 N N N US TREAS BDS 2.375% 11/15/49 N/A 912810SK5 350000.00000000 NS USD 238129.88000000 0.132891644975 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N REALKREDIT DA 1% 04/01/25/DKK/ N/A K8094KE82 4100000.00000000 NS 577607.76000000 0.322341931121 Long DBT CORP DK N 2 2025-04-01 Fixed 1.00000000 N N N N N N NHEL 2006-1 A2D V/R 05/25/36 N/A 669884AE8 400000.00000000 NS USD 384701.48000000 0.214687936271 Long ABS-CBDO CORP US N 2 2036-05-25 Variable 5.24219000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -307.29000000 -0.00017148739 N/A DFE N/A N 1 HSBC BANK PLC N/A -224000.00000000 USD 1618064.00000000 CNY 2025-01-21 -307.29000000 N N N F/C EURO-SCHATZ FUT DEC24 N/A N/A 53.00000000 NC 5998168.42000000 3.347360138819 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-SCHATZ FUT DEC24 EURO-SCHATZ FUT DEC24 /EUR/ 2024-12-06 5976769.45000000 EUR 21398.96000000 N N N RAST 2006-R1 A2 V/R 01/25/46 N/A 76113MAB1 36676.67000000 NS USD 9899.37000000 0.005524479177 Long ABS-CBDO CORP US N 2 2046-01-25 Variable 5.10219000 N N N N N N DEUTSCHE 1.625% 01/20/27/EUR/ 7LTWFZYICNSX8D621K86 D1T7F6TS7 200000.00000000 NS 205816.08000000 0.114858485770 Long DBT CORP DE N 2 2027-01-20 Fixed 1.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2726.16000000 -0.00152137097 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -154646.00000000 USD 617301.98000000 PLN 2024-12-20 -2726.16000000 N N N REALKREDIT DA 1% 10/01/50/DKK/ N/A K8094KWV1 1.11000000 NS 0.13000000 0.000000072548 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -1624.25000000 -0.00090643498 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2026-05-15 -2500000.00000000 USD 2500000.00000000 USD 2500000.00000000 USD -1624.25000000 N N N N/A N/A N/A 1.00000000 NC -9788.63000000 -0.00546267920 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-11-22 -108800.00000000 EUR 108800.00000000 EUR 105699.99930238 EUR -9788.63000000 N N N UMBS P#CB7220 5.5% 09/01/53 N/A 3140QTAW9 561386.99000000 NS USD 561426.20000000 0.313311589668 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -1551.79000000 -0.00086599768 N/A DIR MY N 2 BNP N/A N/A N/A Y 2034-09-18 -233463.04000000 MYR 230565.10000000 MYR 236220.47244094 MYR 1346.15000000 N N N DRSLF 2018-55A A V/R 04/15/31 N/A 26245MAC5 262347.80000000 NS USD 262702.86000000 0.146604933430 Long ABS-CBDO CORP KY Y 2 2031-04-15 Variable 5.93751000 N N N N N N N/A N/A N/A 1.00000000 NC 457015.63000000 0.255043839312 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-03-19 -20887344.98000000 EUR 21044529.45000000 EUR 20188699.86675458 EUR 299831.16000000 N N N N/A N/A N/A 1.00000000 NC N/A -88381.07000000 -0.04932226807 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -6514189.00000000 GBP 8200530.13000000 USD 2025-01-15 -88381.07000000 N N N N/A N/A N/A 1.00000000 NC N/A -2627.58000000 -0.00146635705 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -98206.08000000 USD 1724204.15000000 ZAR 2024-12-17 -2627.58000000 N N N N/A N/A N/A 1.00000000 NC 43316.94000000 0.024173612366 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2052-11-17 -106073.94000000 EUR 118070.00000000 EUR 105699.99930238 EUR 31320.88000000 N N N OTC EPUT USD VS CNH 7.2 SCX N/A N/A -712000.00000000 NC USD -3703.82000000 -0.00206696754 N/A DFE CORP US N 2 STANDARD CHARTERED BANK NIGERI 549300P08UORMR8IFS20 Put Purchased OTC EPUT USD VS CNH 7.2 SCX 0 1.00000000 USD 7.20000000 USD 2025-01-17 XXXX 1899.62000000 N N N GOLDMAN SACHS GRO V/R 04/25/35 784F5XWPLTWKTBV3E584 38141GA95 500000.00000000 NS USD 524280.98000000 0.292582190280 Long DBT CORP US N 2 2035-04-25 Variable 5.85100000 N N N N N N N/A N/A N/A 1.00000000 NC USD 49984.04000000 0.027894278946 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2025-06-21 -4875711.77000000 USD 4900000.00000000 USD 4900000.00000000 USD 25695.81000000 N N N N/A N/A N/A 1.00000000 NC N/A 1757.50000000 0.000980796975 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -100000000.00000000 JPY 683840.87000000 USD 2025-05-20 1757.50000000 N N N BONOS Y OBL 1.4% 07/30/28/EUR/ N/A E8922AFW5 1500000.00000000 NS 1538012.28000000 0.858308843399 Long DBT USGA ES Y 2 2028-07-30 Fixed 1.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3733.78000000 -0.00208368712 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -158077.00000000 USD 1117177.58000000 CNY 2024-12-11 -3733.78000000 N N N OTC EPUT USD VS CNH 7.0779 MBC N/A N/A -1600000.00000000 NC USD -16276.80000000 -0.00908349144 N/A DFE CORP US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 Put Purchased OTC EPUT USD VS CNH 7.0779 MBC 0 1.00000000 USD 7.07790000 USD 2025-05-13 XXXX 1411.20000000 N N N DEUTSCHE BANK NY V/R 09/11/30 N/A 251526CX5 700000.00000000 NS USD 691602.15000000 0.385958063650 Long DBT CORP US N 2 2030-09-11 Variable 4.99900000 N N N N N N N/A N/A N/A 1.00000000 NC USD 7119.10000000 0.003972911378 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-19 -500000.00000000 USD 500000.00000000 USD 500000.00000000 USD 7119.10000000 N N N N/A N/A N/A 1.00000000 NC 4371.97000000 0.002439837810 N/A DIR IL N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-09-27 -427870.41000000 ILS 427870.41000000 ILS 440383.13332599 ILS 4371.97000000 N N N STATE OF ISRAEL 5.5% 03/12/34 N/A 46514BRL3 300000.00000000 NS USD 300651.00000000 0.167782413334 Long DBT USGA IL N 2 2034-03-12 Fixed 5.50000000 N N N N N N WOODS 2018-12BA V/R 06/15/31 N/A 66858CAN7 500000.00000000 NS USD 500174.50000000 0.279129238547 Long ABS-CBDO CORP KY Y 2 2031-06-15 Variable 6.13664000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 253.55000000 0.000141497054 N/A DFE N/A N 1 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -177376.00000000 EUR 887695.93000000 RON 2025-01-17 253.55000000 N N N NORDEA KRED 1.5% 10/01/50/DKK/ N/A K7S724GM3 1.24000000 NS 0.15000000 0.000000083709 Long DBT CORP DK N 2 2050-10-01 Fixed 1.50000000 N N N N N N FNMA 30YR TBA 4.0% JAN 25 N/A 01F040610 744000.00000000 NS USD 696026.55000000 0.388427160741 Long ABS-MBS USGA US N 2 2055-01-01 Fixed 4.00000000 N N N N N N F/C US LONG BOND(CBT) MAR25 N/A N/A -42.00000000 NC USD -5019000.00000000 -2.80092177484 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US LONG BOND(CBT) MAR25 US LONG BOND(CBT) MAR25 2025-03-20 4912687.50000000 USD -106312.50000000 N N N UMBS P#MA5297 6.5% 03/01/54 N/A 31418E3F5 815061.89000000 NS USD 834861.48000000 0.465905897251 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.50000000 N N N N N N ORO USD 5Y P 4.28000 L 06/25/25 DUB N/A N/A -800000.00000000 NC USD -3932.00000000 -0.00219430651 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased ORO USD 5Y P 4.28000 L 06/25/25 DUB 0 1.00000000 USD 4.28000000 USD 2025-06-25 XXXX -3932.00000000 N N N N/A N/A N/A 1.00000000 NC N/A -42.06000000 -0.00002347215 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -846628.71000000 RON 169358.70000000 EUR 2025-01-17 -42.06000000 N N N F/C AUST 3YR BOND FUT DEC24 N/A N/A 54.00000000 NC 3727774.51000000 2.080335683752 N/A DIR CORP AU N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C AUST 3YR BOND FUT DEC24 AUST 3YR BOND FUT DEC24 /AUD/ 2024-12-16 3779497.64000000 AUD -51723.13000000 N N N N/A N/A N/A 1.00000000 NC USD 2103.42000000 0.001173842374 N/A DCR US N 2 BARCLAYS BANK PLC WHOLESALE N/A ITALY GOV'T IN 6.875% 09/27/23 ITALY GOV'T IN 6.875% 09/27/23 Y 2025-06-20 -300000.00000000 USD 292652.05000000 USD 300000.00000000 USD 9451.37000000 N N N N/A N/A N/A 1.00000000 NC N/A -498.35000000 -0.00027811105 N/A DFE N/A N 1 HSBC BANK PLC N/A -36111.00000000 USD 564427569.00000000 IDR 2024-12-12 -498.35000000 N N N UMBS P#SD8463 6% 09/01/54 N/A 3132DWML4 2907149.66000000 NS USD 2942521.30000000 1.642114361845 Long ABS-MBS USGA US N 2 2054-09-01 Fixed 6.00000000 N N N N N N JAPAN (2 YE 0.1% 01/01/26/JPY/ N/A J2S39LT38 110000000.00000000 NS 732202.55000000 0.408615673617 Long DBT USGA JP N 2 2026-01-01 Fixed 0.10000000 N N N N N N GNMA II P#4239 6% 09/20/38 N/A 36202EV89 1399.17000000 NS USD 1421.33000000 0.000793192696 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 184948.36000000 0.103212968468 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -6955189.00000000 GBP 9035771.19000000 USD 2024-12-03 184948.36000000 N N N F/C US 2YR NOTE (CBT) MAR25 N/A N/A 26.00000000 NC USD 5358843.78000000 2.990576256498 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C US 2YR NOTE (CBT) MAR25 US 2YR NOTE (CBT) MAR25 2025-03-31 5346911.15000000 USD 11932.63000000 N N N OTC ECAL USD VS CNH DIGI 7.325 BPS N/A N/A 40000.00000000 NC USD 8535.20000000 0.004763185401 N/A DFE CORP US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written OTC ECAL USD VS CNH DIGI 7.325 BPS 0 1.00000000 USD 7.32500000 USD 2025-01-14 XXXX 35.20000000 N N N MFRA 2020-NQM2 A V/R 04/25/65 N/A 552751AA7 90136.11000000 NS USD 86460.71000000 0.048250584839 Long ABS-CBDO CORP US Y 2 2065-04-25 Variable 1.38100000 N N N N N N US TREAS BDS 1.875% 02/15/41 N/A 912810SW9 1100000.00000000 NS USD 777003.91000000 0.433617686920 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N BONOS Y OBL 0.7% 04/30/32/EUR/ N/A E8922AMC1 400000.00000000 NS 370336.86000000 0.206671563100 Long DBT USGA ES Y 2 2032-04-30 Fixed 0.70000000 N N N N N N UMBS P#DB6905 6% 07/01/54 N/A 3140AGU77 204413.56000000 NS USD 206903.98000000 0.115465603284 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 106325.78000000 0.059336559559 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2054-09-18 -1466445.13000000 JPY 1501037.66000000 JPY 1474598.93048128 JPY 71733.25000000 N N N N/A N/A N/A 1.00000000 NC N/A -24.20000000 -0.00001350514 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -84634183.00000000 IDR 5310.74000000 USD 2025-01-15 -24.20000000 N N N REPUBLIC O 6.95% 08/12/31/PEN/ N/A 715638BE1 2900000.00000000 NS 817381.92000000 0.456151189099 Long DBT USGA PE N 2 2031-08-12 Fixed 6.95000000 N N N N N N FRANCE (GO 3.25% 05/25/45/EUR/ N/A F26348BX3 900000.00000000 NS 950158.43000000 0.530248941250 Long DBT USGA FR N 2 2045-05-25 Fixed 3.25000000 N N N N N N GOLDMAN SACHS GRO V/R 04/25/30 784F5XWPLTWKTBV3E584 38141GA87 600000.00000000 NS USD 619443.26000000 0.345688805581 Long DBT CORP US N 2 2030-04-25 Variable 5.72700000 N N N N N N N/A N/A N/A 1.00000000 NC USD -8878.87000000 -0.00495497515 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2031-06-30 -1300000.00000000 USD 1300000.00000000 USD 1300000.00000000 USD -8878.87000000 N N N N/A N/A N/A 1.00000000 NC USD 1194952.30000000 0.666859517227 N/A DCR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 CDX.NA.IG.43 2I65BYEG6 Y 2029-12-20 -46200000.00000000 USD 47232670.52000000 USD 46200000.00000000 USD 162281.78000000 N N N UNITED KI 0.625% 10/22/50/GBP/ N/A G4527HSJ1 1400000.00000000 NS 711861.60000000 0.397264127537 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.62500000 N N N N N N NORDEA KREDIT 1% 10/01/50/DKK/ N/A K7S724GQ4 3.13000000 NS 0.37000000 0.000000206483 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -23612.32000000 -0.01317717896 N/A DCR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 iTRAXX Europe S42 iTRAXX Europe S42 Y 2034-12-20 -4442080.67000000 EUR 4432649.99000000 EUR 4227999.97209520 EUR -14181.64000000 N N N BAFC 2006 A 1A1 V/R 2/20/36 N/A 058927AA2 4685.41000000 NS USD 4453.50000000 0.002485336745 Long ABS-CBDO CORP US N 2 2036-02-20 Variable 6.49946100 N N N N N N UMBS P#SD8369 6.5% 10/01/53 N/A 3132DWJN4 3351129.39000000 NS USD 3432531.94000000 1.915571518944 Long ABS-MBS USGA US N 2 2053-10-01 Fixed 6.50000000 N N N N N N PRKCM 2023-AFC4 S/UP 11/25/58 N/A 69380GAA7 415807.37000000 NS USD 423556.69000000 0.236371619027 Long ABS-CBDO CORP US Y 2 2058-11-25 Variable 7.22500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1085.16000000 -0.00060558841 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1017314.08000000 USD 7352988.35000000 CNY 2025-01-15 -1085.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 3947.67000000 0.002203051377 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -6869122.00000000 TWD 216340.00000000 USD 2025-01-22 3947.67000000 N N N N/A N/A N/A 1.00000000 NC N/A 3902.15000000 0.002177648317 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -966000.00000000 CAD 693976.09000000 USD 2024-12-03 3902.15000000 N N N GSR 2005-AR7 2A1 V/R 11/25/35 N/A 362341WZ8 29306.18000000 NS USD 28302.16000000 0.015794408491 Long ABS-CBDO CORP US N 2 2035-11-01 Variable 5.04786200 N N N N N N N/A N/A N/A 1.00000000 NC 1671.97000000 0.000933065785 N/A DIR IL N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-09-18 -347472.80000000 ILS 347472.80000000 ILS 357811.29582737 ILS 1671.97000000 N N N N/A N/A N/A 1.00000000 NC USD -23839.05000000 -0.01330370875 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2029-09-30 -900000.00000000 USD 903139.55000000 USD 900000.00000000 USD -26978.60000000 N N N N/A N/A N/A 1.00000000 NC -26692.54000000 -0.01489613797 N/A DIR CA N 2 BARCLAYS BANK N/A N/A N/A Y 2029-10-02 -518518.52000000 CAD 466199.45000000 CAD 500053.57716898 CAD 25626.53000000 N N N N/A N/A N/A 1.00000000 NC -162849.65000000 -0.09088048031 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2033-08-15 -3005239.90000000 EUR 3005239.90000000 EUR 2959599.98046664 EUR -162849.65000000 N N N N/A N/A N/A 1.00000000 NC USD 7277.97000000 0.004061570960 N/A DCR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT COMPANY LLC Y 2025-06-20 -200000.00000000 USD 207946.59000000 USD 200000.00000000 USD -668.62000000 N N N N/A N/A N/A 1.00000000 NC N/A 523.13000000 0.000291939870 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -13312791.04000000 CNY 1840434.00000000 USD 2025-01-15 523.13000000 N N N UMBS P#QH5912 6.5% 11/01/53 N/A 3133CJR94 99340.25000000 NS USD 101829.22000000 0.056827192590 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 6.50000000 N N N N N N HVMLT 2005-3 2A1 V/R 06/19/35 N/A 41161PMG5 12501.94000000 NS USD 12198.44000000 0.006807506717 Long ABS-CBDO CORP US N 2 2035-06-19 Variable 5.20493000 N N N N N N N/A N/A N/A 1.00000000 NC -59604.23000000 -0.03326295789 N/A DIR TH N 2 BARCLAYS N/A N/A N/A Y 2029-09-18 -3314370.10000000 THB 3227469.93000000 THB 3368022.15420493 THB 27295.94000000 N N N N/A N/A N/A 1.00000000 NC N/A 2392.31000000 0.001335061400 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -11110323.00000000 TWD 345922.00000000 USD 2025-01-22 2392.31000000 N N N WINDR 2014-1A AR V/R 07/18/31 N/A 88432CBB1 135281.69000000 NS USD 135551.01000000 0.075646099922 Long ABS-CBDO CORP KY Y 2 2031-07-18 Variable 5.94396000 N N N N N N GOLDMAN SACHS BAN V/R 03/18/27 N/A 38151LAF7 100000.00000000 NS USD 100678.86000000 0.056185218418 Long DBT CORP US Y 2 2027-03-18 Variable 5.28300000 N N N N N N JPMMT 2021-INV4 V/R 08/25/44 N/A 46654DAD5 930647.27000000 NS USD 795740.18000000 0.444073719322 Long ABS-CBDO CORP US Y 2 2052-01-25 Variable 3.00000000 N N N N N N JAPAN (30 Y 1.8% 03/20/54/JPY/ N/A J2S39LY81 152000000.00000000 NS 921874.88000000 0.514464918324 Long DBT USGA JP N 2 2054-03-20 Fixed 1.80000000 N N N N N N UMBS TBA 30YR 2% DEC 24 N/A 01F0206C8 -18850000.00000000 NS USD -15103471.45000000 -8.42869935444 Short ABS-MBS USGA US N 2 2054-12-01 Fixed 2.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1864.71000000 0.001040626986 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -411822.10000000 AUD 270413.92000000 USD 2024-12-03 1864.71000000 N N N N/A N/A N/A 1.00000000 NC 17695.47000000 0.009875199688 N/A DIR CA N 2 BARCLAYS BANK N/A N/A N/A Y 2026-06-19 -1832886.93000000 CAD 1829022.93000000 CAD 1785905.63274637 CAD 21559.47000000 N N N HVMLT 2007-1 2A1 V/R 03/19/37 N/A 41164MAC1 57746.32000000 NS USD 53087.54000000 0.029626229678 Long ABS-CBDO CORP US N 2 2037-03-19 Variable 4.98493000 N N N N N N ROMANIA 2.75% 04/14/41/EUR/ N/A X7360WBU5 50000.00000000 NS 35351.77000000 0.019728540022 Long DBT USGA RO Y 2 2041-04-14 Fixed 2.75000000 N N N N N N SAUDI INTERNAT 4.875% 07/18/33 N/A 80413TBD0 700000.00000000 NS USD 696062.85000000 0.388447418454 Long DBT USGA SA Y 2 2033-07-18 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -889.70000000 -0.00049650928 N/A DFE N/A N 1 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -14798.50000000 USD 5438146.00000000 HUF 2024-12-16 -889.70000000 N N N UNITED KING 3.5% 01/22/45/GBP/ N/A G4527HDA6 700000.00000000 NS 751644.33000000 0.419465425549 Long DBT NUSS GB N 2 2045-01-22 Fixed 3.50000000 N N N N N N OOMLT 2007-CP1 1 V/R 03/25/37 N/A 68402YAA4 49749.86000000 NS USD 45127.11000000 0.025183802557 Long ABS-CBDO CORP US N 2 2037-03-25 Variable 4.84219000 N N N N N N N/A N/A N/A 1.00000000 NC 427877.80000000 0.238783073718 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-03-19 -13709152.94000000 EUR 13788213.90000000 EUR 13318199.91209988 EUR 348816.84000000 N N N UMBS P#AC1317 4.5% 09/01/34 N/A 31417KPB7 49675.43000000 NS USD 48703.82000000 0.027179834619 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 669374.97000000 0.373553881053 N/A DIR CN N 2 BARCLAYS BANK N/A N/A N/A Y 2029-09-18 -22074933.29000000 CNY 22254893.92000000 CNY 21943019.66767226 CNY 489414.34000000 N N N N/A N/A N/A 1.00000000 NC N/A -1014.59000000 -0.00056620586 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -996233.85000000 MXN 47587.00000000 USD 2025-01-31 -1014.59000000 N N N UBS GROUP AG V/R 01/12/29 549300SZJ9VS8SGXAN81 225401AF5 250000.00000000 NS USD 242487.00000000 0.135323195540 Long DBT CORP CH Y 2 2029-01-12 Variable 3.86900000 N N N N N N CWHL 2007-4 1A47 6% 05/25/37 N/A 12544RBY3 491470.07000000 NS USD 219826.94000000 0.122677438322 Long ABS-CBDO CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N RC R/P CITIGR 4.650% 12/02/24 N/A N/A 3700000.00000000 PA USD 3700000.00000000 2.064835737578 Long RA CORP US N 2 Repurchase N 4.65000000 2024-12-02 3748000.00000000 USD 3776110.00000000 USD UST N N N N/A N/A N/A 1.00000000 NC N/A -6554.85000000 -0.00365802392 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -571666.00000000 USD 8956489600.00000000 IDR 2024-12-12 -6554.85000000 N N N AUSTRALIAN 1.75% 06/21/51/AUD/ N/A Q08184NC5 50000.00000000 NS 17777.87000000 0.009921184138 Long DBT USGA AU N 2 2051-06-21 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2688.29000000 0.001500237098 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -2230996.31000000 USD 1967541.08000000 CHF 2024-12-03 2688.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 86.53000000 0.000048289253 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -200605.23000000 MYR 45248.26000000 USD 2024-12-18 86.53000000 N N N JAPAN TREASU ZCP 05/20/25/JPY/ N/A J2S39L2B9 100000000.00000000 PA 667835.58000000 0.372694803354 Long STIV USGA JP N 2 2025-05-20 Fixed 0.00000000 N N N N N N WI TREASURY SE 4.375% 05/15/34 N/A 91282CKQ3 400000.00000000 NS USD 405531.25000000 0.226312275055 Long DBT UST US N 2 2034-05-15 Fixed 4.37500000 N N N N N N MALAYSIA 4.054% 04/18/39/MYR/ N/A Y2R35QGD7 2000000.00000000 NS 456011.54000000 0.254483493119 Long DBT USGA MY N 2 2039-04-18 Fixed 4.05400000 N N N N N N FHR 2391 FJ V/R 04/15/28 N/A 31339LU24 4727.04000000 NS USD 4721.80000000 0.002635065239 Long ABS-CBDO CORP US N 2 2028-04-15 Variable 5.42011000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1098.37000000 0.000612960440 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -990000.00000000 SEK 91962.40000000 USD 2024-12-03 1098.37000000 N N N N/A N/A N/A 1.00000000 NC USD -14516.40000000 -0.00810107608 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 REPUBLIC OF KOR 2.75% 01/19/27 REPUBLIC OF KOR 2.75% 01/19/27 2.75000000 Y 2029-12-20 -450000.00000000 USD 435135.04000000 USD 450000.00000000 USD 348.56000000 N N N N/A N/A N/A 1.00000000 NC N/A 28442.71000000 0.015872844346 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -9866966.54000000 CNY 1390288.72000000 USD 2024-12-18 28442.71000000 N N N N/A N/A N/A 1.00000000 NC N/A -784.60000000 -0.00043785678 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -151676.00000000 USD 1088912.34000000 CNY 2025-01-17 -784.60000000 N N N REALKREDIT 1.5% 10/01/53/DKK/ N/A K8094KZJ5 1.97000000 NS 0.23000000 0.000000128354 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N UMBS P#MA5217 6.5% 12/01/53 N/A 31418EYP9 4724244.07000000 NS USD 4840397.59000000 2.701250250789 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1398.62000000 -0.00078051907 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -66386.00000000 USD 5497514.64000000 INR 2024-12-04 -1398.62000000 N N N BPCE SA V/R 10/19/27 N/A 05571AAQ8 400000.00000000 NS USD 411130.35000000 0.229436929590 Long DBT CORP FR Y 2 2027-10-19 Variable 6.61200000 N N N N N N UMBS P#BV4128 2% 03/01/52 N/A 3140MHSS9 423484.17000000 NS USD 340815.67000000 0.190196858200 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N GNMA II P#MA8098 3% 06/20/52 N/A 36179W7K8 2537266.96000000 NS USD 2250316.81000000 1.255820154097 Long ABS-MBS USGSE US N 2 2052-06-20 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -37069.40000000 -0.02068708699 N/A DIR CA N 2 BARCLAYS N/A N/A N/A Y 2033-12-20 -1675234.73000000 CAD 1819637.53000000 CAD 1785905.63274637 CAD -181472.20000000 N N N US TIPS 0.625% 07/15/32 N/A 91282CEZ0 108523.00000000 NS USD 99224.86000000 0.055373793779 Long DBT UST US N 2 2032-07-15 Fixed 0.62500000 N N N N N N WAMU 02-AR9 1A V/R 8/25/42 N/A 9393357P4 3593.65000000 NS USD 3452.22000000 0.001926558710 Long ABS-CBDO CORP US N 2 2042-08-25 Variable 6.32728000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2668.50000000 -0.00148919301 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -1675298.00000000 EUR 1768121.10000000 USD 2024-12-03 -2668.50000000 N N N UMBS P#FM3243 3.5% 02/01/50 N/A 3140X6S93 52269.58000000 NS USD 48156.23000000 0.026874244511 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 1940.32000000 0.001082822183 N/A DIR IL N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-10-02 -322346.68000000 ILS 322346.68000000 ILS 330287.34999450 ILS 1940.32000000 N N N N/A N/A N/A 1.00000000 NC -22374.86000000 -0.01248659744 N/A DIR CA N 2 BANK OF AMERICA N/A N/A N/A Y 2033-12-20 -369208.40000000 CAD 366743.68000000 CAD 357181.12654927 CAD -19910.14000000 N N N F/C EURO-BUXL 30Y BND DEC24 N/A N/A 10.00000000 NC 1477685.99000000 0.824642930019 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BUXL 30Y BND DEC24 EURO-BUXL 30Y BND DEC24 /EUR/ 2024-12-06 1426632.89000000 EUR 51053.10000000 N N N NORDEA KRED 1.5% 10/01/53/DKK/ N/A K7S724JW8 10.00000000 NS 1.03000000 0.000000574805 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 14.40000000 0.000008036117 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -288292.00000000 EUR 1444097.87000000 RON 2025-02-04 14.40000000 N N N N/A N/A N/A 1.00000000 NC N/A -1465.77000000 -0.00081799304 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -756008.67000000 PEN 200442.42000000 USD 2025-04-21 -1465.77000000 N N N GOLDMAN SACHS GRO V/R 07/23/35 784F5XWPLTWKTBV3E584 38141GB37 400000.00000000 NS USD 404083.36000000 0.225504260186 Long DBT CORP US N 2 2035-07-23 Variable 5.33000000 N N N N N N ISRAEL FIXED 1% 03/31/30/ILS/ N/A M57494CT7 2000000.00000000 NS 469058.21000000 0.261764366219 Long DBT USGA IL N 2 2030-03-31 Fixed 1.00000000 N N N N N N LLOYDS BANKING GR V/R 06/05/30 549300PPXHEU2JF0AM85 53944YBA0 300000.00000000 NS USD 308299.09000000 0.172050534836 Long DBT CORP GB N 2 2030-06-05 Variable 5.72100000 N N N N N N N/A N/A N/A 1.00000000 NC 9704.30000000 0.005415617688 N/A DIR TH N 2 BARCLAYS BANK N/A N/A N/A Y 2030-03-19 -1582025.19000000 THB 1579810.45000000 THB 1595394.25739688 THB 11919.04000000 N N N PRET 2021-RN3 A1 V/R 09/25/51 N/A 74143JAA9 244429.81000000 NS USD 242738.48000000 0.135463537402 Long ABS-CBDO CORP US Y 2 2051-09-25 Fixed 4.84290000 N N N N N N US TREAS BDS 1.375% 11/15/40 N/A 912810ST6 200000.00000000 NS USD 130664.06000000 0.072918870460 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N JOHN LEWI 6.125% 01/21/25/GBP/ N/A G51464AG3 100000.00000000 NS 127326.93000000 0.071056539302 Long DBT CORP GB N 2 2025-01-21 Fixed 6.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3250.80000000 0.001814153517 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -509000.00000000 AUD 335169.73000000 USD 2024-12-03 3250.80000000 N N N PACIFIC GAS & EL 4.4% 03/01/32 N/A 694308KC0 200000.00000000 NS USD 190431.17000000 0.106272725774 Long DBT CORP US N 2 2032-03-01 Fixed 4.40000000 N N N N N N NOMURA HOLDING 2.329% 01/22/27 549300B3CEAHYG7K8164 65535HAZ2 200000.00000000 NS USD 189608.16000000 0.105813433757 Long DBT CORP JP N 2 2027-01-22 Fixed 2.32900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1300.66000000 0.000725851148 N/A DFE N/A N 1 JPMORGAN CHASE BANK NA N/A -307000.00000000 CHF 349827.65000000 USD 2024-12-03 1300.66000000 N N N N/A N/A N/A 1.00000000 NC USD -10646.64000000 -0.00594150344 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-12-18 -3567581.91000000 USD 3600000.00000000 USD 3600000.00000000 USD -43064.73000000 N N N N/A N/A N/A 1.00000000 NC N/A 2602.99000000 0.001452634263 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -170887.42000000 USD 6440063.31000000 TRY 2025-02-05 2602.99000000 N N N N/A N/A N/A 1.00000000 NC N/A -2143.16000000 -0.00119601982 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -249953.51000000 USD 1006937.72000000 PLN 2024-12-20 -2143.16000000 N N N WAMU 2006-AR13 2 V/R 10/25/46 N/A 93363RAB2 30978.94000000 NS USD 28617.48000000 0.015970377141 Long ABS-CBDO CORP US N 2 2046-10-25 Variable 6.42728000 N N N N N N CWHL 2005-3 2A1 V/R 4/25/35 N/A 12669GTV3 1468.62000000 NS USD 1400.43000000 0.000781529165 Long ABS-CBDO CORP US N 2 2035-04-25 Variable 5.28219000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 18333796.51000000 10.23142655117 N/A DFE N/A N 2 GOLDMAN SACHS INTERNATIONAL N/A 0.00000000 N/A 18342922.11000000 USD 2025-06-18 -9125.60000000 N N N NYKREDIT RE 1.5% 10/01/50/DKK/ N/A K74181V86 1.21000000 NS 0.14000000 0.000000078128 Long DBT CORP DK N 2 2050-10-01 Fixed 1.50000000 N N N N N N SAMI 2005-AR8 A1 V/R 02/25/36 N/A 86359LRW1 20214.11000000 NS USD 16912.74000000 0.009438386479 Long ABS-CBDO CORP US N 2 2036-02-25 Variable 5.26219000 N N N N N N N/A N/A N/A 1.00000000 NC 8310.79000000 0.004637950324 N/A DIR IL N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-10-01 -1475030.12000000 ILS 1461684.81000000 ILS 1513817.02080810 ILS 21656.10000000 N N N GMACM 2005-AR6 3 V/R 11/19/35 N/A 36185MBL5 8004.16000000 NS USD 6742.24000000 0.003762599487 Long ABS-CBDO CORP US N 2 2035-11-19 Variable 4.25595500 N N N N N N N/A N/A N/A 1.00000000 NC N/A -108.13000000 -0.00006034342 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -40000.00000000 ILS 10904.07000000 USD 2024-12-16 -108.13000000 N N N N/A N/A N/A 1.00000000 NC N/A -90158.45000000 -0.05031415935 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -540279762.00000000 JPY 3543399.00000000 USD 2025-01-15 -90158.45000000 N N N N/A N/A N/A 1.00000000 NC -23119.44000000 -0.01290212052 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-09-18 -3551587.39000000 GBP 3453674.97000000 GBP 3499512.27615545 GBP 74792.98000000 N N N COLFR 1A A V/R 08/15/33 /EUR/ 635400C8SJP8XE4FXA57 N/A 484512.01000000 NS 513977.64000000 0.286832270104 Long ABS-CBDO CORP IE Y 2 2033-08-15 Variable 4.40300000 N N N N N N SUMITOMO MITSUI 5.2% 03/07/29 N/A 86563VBQ1 200000.00000000 NS USD 203885.17000000 0.113780914967 Long DBT CORP JP Y 2 2029-03-07 Fixed 5.20000000 N N N N N N N/A N/A N/A 1.00000000 NC 426.24000000 0.000237869076 N/A DIR MY N 2 JP MORGAN N/A N/A N/A Y 2029-09-18 -367370.22000000 MYR 366732.17000000 MYR 362204.72440945 MYR 1064.29000000 N N N BUONI POLIENN 0% 04/01/26/EUR/ N/A T6052BZB7 500000.00000000 NS 512983.76000000 0.286277621742 Long DBT USGA IT N 2 2026-04-01 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 354.15000000 0.000197638263 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -50000.00000000 USD 70193000.00000000 KRW 2024-12-16 354.15000000 N N N SNDPT 2017-3A A1 V/R 10/20/30 N/A 83611GAL5 134969.01000000 NS USD 135075.70000000 0.075380846659 Long ABS-CBDO CORP KY Y 2 2030-10-20 Variable 5.85901000 N N N N N N N/A N/A N/A 1.00000000 NC -174306.90000000 -0.09727435579 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2052-06-15 -850988.02000000 JPY 776762.14000000 JPY 802139.03743316 JPY -100081.02000000 N N N N/A N/A N/A 1.00000000 NC 2462.71000000 0.001374349086 N/A DIR CA N 2 BARCLAYS BANK N/A N/A N/A Y 2029-09-01 -1224777.75000000 CAD 1222315.52000000 CAD 1214415.83026753 CAD 4924.94000000 N N N N/A N/A N/A 1.00000000 NC N/A 111.61000000 0.000062285490 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -65258070.00000000 KRW 46989.83000000 USD 2025-01-15 111.61000000 N N N N/A N/A N/A 1.00000000 NC 35867.78000000 0.020016506478 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-10-09 -746635.94000000 EUR 746635.94000000 EUR 750469.99504690 EUR 35867.78000000 N N N NYKREDIT REAL 1% 10/01/50/DKK/ N/A K74181Y26 2.58000000 NS 0.29000000 0.000000161838 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N DANSKE BANK A/S V/R 10/02/30 MAES062Z21O4RZ2U7M96 23636ABJ9 600000.00000000 NS USD 590106.04000000 0.329316767663 Long DBT CORP DK Y 2 2030-10-02 Variable 4.61300000 N N N N N N WAMU 2006-AR10 2 V/R 09/25/36 N/A 93363EAF2 20129.40000000 NS USD 17023.99000000 0.009500471067 Long ABS-CBDO CORP US N 2 2036-09-25 Variable 4.47905400 N N N N N N VOYA 2017-1A A1R V/R 04/17/30 N/A 92916MAF8 88797.20000000 NS USD 88872.68000000 0.049596617772 Long ABS-CBDO CORP KY Y 2 2030-04-17 Variable 5.85906000 N N N N N N CWALT 2007-7T2 A9 6% 04/25/37 N/A 02147BAJ4 25503.77000000 NS USD 11725.74000000 0.006543710000 Long ABS-CBDO CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4105.63000000 -0.00229120312 N/A DFE N/A N 1 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -702672.07000000 SGD 521647.00000000 USD 2025-01-15 -4105.63000000 N N N N/A N/A N/A 1.00000000 NC N/A -257.23000000 -0.00014355072 N/A DFE N/A N 1 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -263364.15000000 PEN 70079.07000000 USD 2025-04-22 -257.23000000 N N N UMBS P#FM1796 3.5% 10/01/34 N/A 3140X47J9 17625.35000000 NS USD 16890.78000000 0.009426131399 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 290906.99000000 0.162344634936 N/A DIR US N 2 BARCLAYS N/A N/A N/A Y 2026-11-30 -6603696.53000000 USD 6600000.00000000 USD 6600000.00000000 USD 294603.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -106.39000000 -0.00005937239 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -50000.00000000 USD 790850000.00000000 IDR 2024-12-16 -106.39000000 N N N N/A N/A N/A 1.00000000 NC 4315.61000000 0.002408385339 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-06-15 -586829.94000000 NZD 558605.79000000 NZD 533024.96851821 NZD 32539.76000000 N N N N/A N/A N/A 1.00000000 NC -14994.70000000 -0.00836799795 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2032-03-15 -411573.44000000 JPY 410094.74000000 JPY 334224.59893048 JPY -13516.00000000 N N N ALBA 2007-1 V/R 03/17/39 /GBP/ N/A G021A3AA9 171240.00000000 NS 213868.53000000 0.119352265915 Long ABS-CBDO CORP GB N 2 2039-03-17 Variable 5.21140000 N N N N N N SANDS CHINA LTD 5.4% 08/08/28 N/A 80007RAE5 200000.00000000 NS USD 198203.52000000 0.110610192272 Long DBT CORP MO N 2 2028-08-08 Variable 5.40000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 2112.43000000 0.001178870528 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-06-20 -402001.40000000 USD 400000.00000000 USD 400000.00000000 USD 4113.83000000 N N N N/A N/A N/A 1.00000000 NC N/A 8724.86000000 0.004869027765 N/A DFE N/A N 1 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -3679000.00000000 MXN 189530.86000000 USD 2024-12-18 8724.86000000 N N N FRANCE (GOVT 2% 05/25/48/EUR/ N/A F26348BT2 3300000.00000000 NS 2751851.89000000 1.535708682971 Long DBT USGA FR Y 2 2048-05-25 Fixed 2.00000000 N N N N N N UMBS P#MA5071 5% 07/01/53 N/A 31418ET59 97493.25000000 NS USD 95820.43000000 0.053473904933 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N REPUBLIC OF PO 4.625% 03/18/29 N/A 731011AX0 200000.00000000 NS USD 199112.60000000 0.111117516833 Long DBT USGA PL N 2 2029-03-18 Fixed 4.62500000 N N N N N N N/A N/A N/A 1.00000000 NC -40598.11000000 -0.02265633200 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-03-18 -2286432.17000000 NZD 2286839.75000000 NZD 2250549.86707690 NZD -41005.69000000 N N N BLUEM 2016-3A A1 V/R 11/15/30 N/A 09628VAW4 440691.95000000 NS USD 441130.88000000 0.246179136749 Long ABS-CBDO CORP KY Y 2 2030-11-15 Variable 5.72346000 N N N N N N N/A N/A N/A 1.00000000 NC -122113.78000000 -0.06814726945 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-03-15 -3429196.22000000 EUR 3395732.45000000 EUR 3340119.97795521 EUR -88650.01000000 N N N ORO USD 30Y P 3.96000 L 06/25/25 DUB N/A N/A 700000.00000000 NC USD 15576.12000000 0.008692467359 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written ORO USD 30Y P 3.96000 L 06/25/25 DUB 0 1.00000000 USD 3.96000000 USD 2025-06-25 XXXX 15576.12000000 N N N CASH COLLATERAL ISDA BRC N/A N/A -110000.00000000 NS USD -110000.00000000 -0.06138700841 Short STIV CORP US N 2 2049-12-31 Floating 4.48000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -310.64000000 -0.00017335691 N/A DFE N/A N 1 HSBC BANK PLC N/A -26793.87000000 USD 107537.47000000 PLN 2024-12-09 -310.64000000 N N N TORONTO-DOMINI 4.814% 07/16/27 PT3QB789TSUIDF371261 891160TE3 700000.00000000 NS USD 706252.05000000 0.394133641237 Long DBT CORP CA Y 2 2027-07-16 Fixed 4.81400000 N N N N N N DRSLF 2017-47A A V/R 04/15/28 N/A 26245EAJ8 30461.55000000 NS USD 30474.22000000 0.017006556359 Long ABS-CBDO CORP KY Y 2 2028-04-15 Variable 5.89751000 N N N N N N SOCIETE GENERALE V/R 01/21/33 O2RNE8IBXP4R0TD8PU41 83368RBJ0 400000.00000000 NS USD 347353.16000000 0.193845194142 Long DBT CORP FR Y 2 2033-01-21 Variable 3.33700000 N N N N N N NATIONWIDE BLDG S V/R 02/16/28 549300XFX12G42QIKN82 63861VAF4 300000.00000000 NS USD 287424.11000000 0.160400965991 Long DBT CORP GB Y 2 2028-02-16 Variable 2.97200000 N N N N N N MALAYSIA 2.632% 04/15/31/MYR/ N/A N/A 900000.00000000 NS 189642.08000000 0.105832363279 Long DBT USGA MY N 2 2031-04-15 Fixed 2.63200000 N N N N N N FNR 2006-48 TF V/R 06/25/36 N/A 31395NLE5 3706.48000000 NS USD 3663.57000000 0.002044505476 Long ABS-CBDO CORP US N 2 2036-06-25 Variable 5.24851000 N N N N N N JPMMT 2022-LTV2 V/R 09/25/52 N/A 46655LAE4 752786.42000000 NS USD 669963.43000000 0.373882279225 Long ABS-CBDO CORP US Y 2 2052-09-25 Variable 3.50000000 N N N N N N RAST 2005-A15 5.75% 02/25/36 N/A 45660L4G1 13321.20000000 NS USD 5009.84000000 0.002795809911 Long ABS-CBDO CORP US N 2 2036-02-25 Fixed 5.75000000 N N N N N N N/A N/A N/A 1.00000000 NC -6866.25000000 -0.00383180496 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-04-11 -217979.99000000 EUR 217979.99000000 EUR 211399.99860476 EUR -6866.25000000 N N N F/C US 10YR NOTE (CBT)MAR25 N/A N/A -43.00000000 NC USD -4781062.50000000 -2.66813749016 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US 10YR NOTE (CBT)MAR25 US 10YR NOTE (CBT)MAR25 2025-03-20 4725661.32000000 USD -55401.18000000 N N N REPUBLIC OF PO 5.125% 09/18/34 N/A 731011AY8 100000.00000000 NS USD 99413.15000000 0.055478871596 Long DBT USGA PL N 2 2034-09-18 Fixed 5.12500000 N N N N N N GNMA II P#MA8043 3% 05/20/52 N/A 36179W5C8 517897.25000000 NS USD 459325.93000000 0.256333133908 Long ABS-MBS USGSE US N 2 2052-05-20 Fixed 3.00000000 N N N N N N JAPAN (30 Y 0.7% 12/20/51/JPY/ N/A J2S39LSJ4 210000000.00000000 NS 981045.31000000 0.547485788181 Long DBT USGA JP N 2 2051-12-20 Fixed 0.70000000 N N N N N N RC R/P SCOTIA 4.710% 12/05/24 N/A N/A -411000.00000000 PA USD -411000.00000000 -0.22936418598 Short RA CORP US N 2 Reverse repurchase N 4.71000000 2024-12-05 400000.00000000 USD 409265.62400000 USD UST N N N N/A N/A N/A 1.00000000 NC N/A 116482.67000000 0.065004751303 N/A DFE N/A N 1 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -22641519.34000000 USD 21530754.00000000 EUR 2024-12-03 116482.67000000 N N N JAPAN (30 Y 2.2% 06/20/54/JPY/ N/A J2S39L3F9 172000000.00000000 NS 1139406.84000000 0.635861611587 Long DBT USGA JP N 2 2054-06-20 Fixed 2.20000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -40689.17000000 -0.02270714928 N/A DIR US N 2 JP MORGAN N/A N/A N/A Y 2027-11-30 -3700000.00000000 USD 3700000.00000000 USD 3700000.00000000 USD -40689.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 2375.71000000 0.001325797543 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -161310.55000000 USD 6081891.67000000 TRY 2025-02-06 2375.71000000 N N N N/A N/A N/A 1.00000000 NC N/A -2.02000000 -0.00000112728 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -449.00000000 USD 7083611.00000000 IDR 2024-12-09 -2.02000000 N N N N/A N/A N/A 1.00000000 NC USD -1082.70000000 -0.00060421558 N/A DIR US N 2 BARCLAYS BANK N/A N/A N/A Y 2026-08-15 -1800000.00000000 USD 1800000.00000000 USD 1800000.00000000 USD -1082.70000000 N N N GA GLOBAL FUNDI 2.25% 01/06/27 54930029I8ROQ4OROZ88 36143L2G9 150000.00000000 NS USD 142206.85000000 0.079360482705 Long DBT CORP US Y 2 2027-01-06 Fixed 2.25000000 N N N N N N UMBS P#QF1922 4.5% 10/01/52 N/A 3133BPD39 339090.63000000 NS USD 326584.08000000 0.182254724245 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 4.50000000 N N N N N N US TIPS 2.375% 01/15/25 N/A 912810FR4 334556.00000000 NS USD 333852.55000000 0.186310993600 Long DBT UST US N 2 2025-01-15 Fixed 2.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3167.39000000 -0.00176760542 N/A DFE N/A N 1 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -121245.00000000 USD 2130080.66000000 ZAR 2024-12-17 -3167.39000000 N N N US TREAS NTS 4% 02/15/34 N/A 91282CJZ5 1200000.00000000 NS USD 1182090.00000000 0.659681534333 Long DBT UST US N 2 2034-02-15 Fixed 4.00000000 N N N N N N TPMF 2024-G V/R 10/20/29 /GBP/ N/A N/A 443531.96000000 NS 566690.19000000 0.316249231472 Long ABS-CBDO CORP GB Y 2 2053-07-20 Variable 5.79088000 N N N N N N BONOS Y OBL 2.5% 05/31/27/EUR/ N/A E8922APD6 900000.00000000 NS 957670.14000000 0.534440954022 Long DBT USGA ES N 2 2027-05-31 Fixed 2.50000000 N N N N N N UMBS P#QI1359 5% 03/01/54 N/A 3133W7QL2 72315.78000000 NS USD 71020.04000000 0.039633707209 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 140.34000000 0.000078318661 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -333821.52000000 USD 12643823.89000000 TRY 2025-02-26 140.34000000 N N N JAPAN (20 YEA 1% 12/20/35/JPY/ N/A J2S39KLV6 200000000.00000000 NS 1313550.03000000 0.733044606768 Long DBT USGA JP N 2 2035-12-20 Fixed 1.00000000 N N N N N N FNMA 30YR TBA 5.5% JAN 25 N/A 01F052615 -700000.00000000 NS USD -698949.43000000 -0.39005831400 Short ABS-MBS USGA US N 2 2055-01-01 Fixed 5.50000000 N N N N N N CASH COLLATERAL V/R 12/31/49 N/A N/A -520000.00000000 NS USD -520000.00000000 -0.29019313068 Short STIV CORP US N 2 2049-12-31 Floating 4.48000000 N N N N N N UMBS P#RA6433 2.5% 12/01/51 N/A 3133KNEE9 371335.17000000 NS USD 311167.88000000 0.173651502435 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -76.04000000 -0.00004243516 N/A DFE N/A N 1 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -1864476.36000000 RON 374482.40000000 EUR 2024-12-04 -76.04000000 N N N ROMANIA 1.75% 07/13/30/EUR/ N/A X7360WBW1 200000.00000000 NS 178969.65000000 0.099876467368 Long DBT USGA RO Y 2 2030-07-13 Fixed 1.75000000 N N N N N N OTC EC USD/CNH VKO DIGI 7.375/5.75 MBC N/A N/A 180000.00000000 NC USD 34392.96000000 0.019193462953 N/A DFE CORP US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 Call Written OTC EC USD/CNH VKO DIGI 7.375/5.75 MBC 0 1.00000000 USD 7.37500000 USD 2025-02-14 XXXX 16752.96000000 N N N N/A N/A N/A 1.00000000 NC -146114.64000000 -0.08154127850 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2044-06-19 -1535451.01000000 JPY 1442538.50000000 JPY 1537433.15508021 JPY -53202.13000000 N N N N/A N/A N/A 1.00000000 NC USD -7.07000000 -0.00000394551 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-12-18 -446108.39000000 USD 450000.00000000 USD 450000.00000000 USD -3898.68000000 N N N N/A N/A N/A 1.00000000 NC N/A -260.82000000 -0.00014555417 N/A DFE N/A N 1 HSBC BANK PLC N/A -1761.00000000 USD 126905.58000000 INR 2024-12-04 -260.82000000 N N N N/A N/A N/A 1.00000000 NC 52642.27000000 0.029377740649 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-01-10 -3944504.98000000 EUR 3948537.49000000 EUR 3805199.97488568 EUR 48609.76000000 N N N N/A N/A N/A 1.00000000 NC N/A 168.21000000 0.000093871897 N/A DFE N/A N 1 BARCLAYS BANK PLC WHOLESALE N/A -61587.72000000 USD 2320686.88000000 TRY 2025-02-18 168.21000000 N N N F/C JPN 10Y BOND(OSE) DEC24 N/A N/A -3.00000000 NC -2868850.27000000 -1.60100123331 N/A DIR CORP JP N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C JPN 10Y BOND(OSE) DEC24 JPN 10Y BOND(OSE) DEC24 /JPY/ 2024-12-13 2894786.10000000 JPY 25935.83000000 N N N UMBS P#RJ1757 5% 06/01/54 N/A 3142GR5T3 73190.24000000 NS USD 72231.48000000 0.040309767914 Long ABS-MBS USGA US N 2 2054-06-01 Fixed 5.00000000 N N N N N N UMBS P#QI5805 5% 05/01/54 N/A 3133WCNW0 24670.67000000 NS USD 24223.54000000 0.013518278670 Long ABS-MBS USGA US N 2 2054-05-01 Fixed 5.00000000 N N N N N N ORO USD 1Y P 4.57000 L 08/13/25 JPM N/A N/A 200000.00000000 NC USD 212.26000000 0.000118454603 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written ORO USD 1Y P 4.57000 L 08/13/25 JPM 0 1.00000000 USD 4.57000000 USD 2025-08-13 XXXX 212.26000000 N N N BANCA MON 0.875% 10/08/26/EUR/ J4CP7MHCXR8DAQMKIL78 T1188BJA5 100000.00000000 NS 102447.43000000 0.057172193158 Long DBT CORP IT N 2 2026-10-08 Fixed 0.87500000 N N N N N N GNMA II P#MA7937 3% 03/20/52 N/A 36179WZA9 1123240.07000000 NS USD 996551.25000000 0.556139090629 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -50554.27000000 -0.02821250361 N/A DIR SE N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-01-10 -4037628.23000000 SEK 4037513.74000000 SEK 3845659.63617674 SEK -50439.78000000 N N N UMBS P#MA5073 6% 07/01/53 N/A 31418ET75 6349357.74000000 NS USD 6430893.53000000 3.588848320353 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6.00000000 N N N N N N ONTARIO (P 3.65% 06/02/33/CAD/ C7PVKCRGLG18EBQGZV36 68333ZAY3 1500000.00000000 NS 1073776.48000000 0.599235689209 Long DBT USGA CA N 2 2033-06-02 Fixed 3.65000000 N N N N N N ORO USD 30Y P 4.00500 L 09/25/25 BRC N/A N/A 100000.00000000 NC USD 2828.88000000 0.001578695276 N/A DIR CORP US N 2 BARCLAYS CAPITAL (TRADING AS B K9WDOH4D2PYBSLSOB484 Put Written ORO USD 30Y P 4.00500 L 09/25/25 BRC 0 1.00000000 USD 4.00500000 USD 2025-09-25 XXXX 2828.88000000 N N N UMBS P#SD8384 6% 12/01/53 N/A 3132DWJ53 920344.56000000 NS USD 931873.68000000 0.520044885776 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 6.00000000 N N N N N N MLMI 2003-A2 1A1 V/R 02/25/33 N/A 589929M70 1662.35000000 NS USD 1544.36000000 0.000861851275 Long ABS-CBDO CORP US N 2 2033-02-25 Variable 6.68323800 N N N N N N N/A N/A N/A 1.00000000 NC N/A -543.79000000 -0.00030346946 N/A DFE N/A N 1 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -128742.70000000 USD 924836.06000000 CNY 2025-01-21 -543.79000000 N N N N/A N/A N/A 1.00000000 NC -988.00000000 -0.00055136694 N/A DIR CH N 2 JPMORGAN N/A N/A N/A Y 2027-02-15 -216111.08000000 CHF 216111.08000000 CHF 227053.41431572 CHF -988.00000000 N N N SAMI 2005-AR2 2A V/R 05/25/45 N/A 86359LJA8 18811.77000000 NS USD 16733.71000000 0.009338476332 Long ABS-CBDO CORP US N 2 2045-05-25 Variable 5.16219000 N N N N N N US TREAS NTS 4.5% 11/15/33 N/A 91282CJJ1 1700000.00000000 NS USD 1739378.90000000 0.970684247002 Long DBT UST US N 2 2033-11-15 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 42613.60000000 0.023781103834 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2700000.00000000 BRL 483697.60000000 USD 2025-04-02 42613.60000000 N N N N/A N/A N/A 1.00000000 NC N/A 1105.63000000 0.000617011982 N/A DFE N/A N 1 HSBC BANK PLC N/A -424239.86000000 USD 1727878.85000000 PLN 2024-12-16 1105.63000000 N N N N/A N/A N/A 1.00000000 NC 56073.32000000 0.031292485151 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-03-19 -5550069.99000000 EUR 5542119.32000000 EUR 5284999.96511900 EUR 64023.99000000 N N N N/A N/A N/A 1.00000000 NC USD 6917.41000000 0.003860355507 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2054-06-20 -285084.82000000 USD 300000.00000000 USD 300000.00000000 USD -7997.77000000 N N N N/A N/A N/A 1.00000000 NC 6874.57000000 0.003836448058 N/A DIR AU N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-03-19 -649999.88000000 AUD 653388.60000000 AUD 652099.94081084 AUD 3485.85000000 N N N N/A N/A N/A 1.00000000 NC -2795.86000000 -0.00156026801 N/A DIR MY N 2 GOLDMAN SACHS N/A N/A N/A Y 2033-09-20 -321550.26000000 MYR 331114.81000000 MYR 339707.53655793 MYR -12360.41000000 N N N VENTR 2019-38A A V/R 07/30/32 N/A 92332NAS4 400000.00000000 NS USD 400532.80000000 0.223522821489 Long ABS-CBDO CORP KY Y 2 2032-07-30 Variable 6.01078000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2930.03000000 -0.00163514342 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -795241.75000000 SGD 592085.00000000 USD 2025-01-15 -2930.03000000 N N N HSBC HOLDINGS PLC V/R 03/13/28 MLU0ZO3ML4LN2LL2TL39 404280BK4 200000.00000000 NS USD 196232.98000000 0.109510505404 Long DBT CORP GB N 2 2028-03-13 Fixed 4.04100000 N N N N N N REPUBLIC OF S 8% 01/31/30/ZAR/ N/A S69124VP7 8800000.00000000 NS 470332.70000000 0.262475612841 Long DBT USGA ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N SINGAPORE 2.375% 07/01/39/SGD/ N/A Y280CEAP2 47000.00000000 NS 33258.86000000 0.018560562897 Long DBT USGA SG N 2 2039-07-01 Fixed 2.37500000 N N N N N N 2024-12-30 Morgan Stanley Pathway Funds Francis Smith Francis Smith Chief Financial Officer XXXX