0001752724-22-096091.txt : 20220428
0001752724-22-096091.hdr.sgml : 20220428
20220428095909
ACCESSION NUMBER: 0001752724-22-096091
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220228
FILED AS OF DATE: 20220428
PERIOD START: 20220831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MORGAN STANLEY PATHWAY FUNDS
CENTRAL INDEX KEY: 0000875186
IRS NUMBER: 000000000
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06318
FILM NUMBER: 22862733
BUSINESS ADDRESS:
STREET 1: 2000 WESTCHESTER AVENUE
CITY: PURCHASE
STATE: NY
ZIP: 10577
BUSINESS PHONE: 8883749999
MAIL ADDRESS:
STREET 1: 2000 WESTCHESTER AVENUE
CITY: PURCHASE
STATE: NY
ZIP: 10577
FORMER COMPANY:
FORMER CONFORMED NAME: CONSULTING GROUP CAPITAL MARKETS FUNDS
DATE OF NAME CHANGE: 19950125
FORMER COMPANY:
FORMER CONFORMED NAME: TRUST FOR TRAK INVESTMENTS
DATE OF NAME CHANGE: 19920929
FORMER COMPANY:
FORMER CONFORMED NAME: INSTITUTIONAL ADVISORS PORTFOLIOS
DATE OF NAME CHANGE: 19600201
0000875186
S000008439
International Fixed Income Fund
C000023147
International Fixed Income Fund
TIFUX
NPORT-P
1
primary_doc.xml
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
2022-08-31
2022-02-28
N
638558657.83
472329733.12
166228924.71
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1.65000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
7848584.51000000
ARS
AUD
BRL
CAD
CHF
CNY
CNY
DKK
EUR
GBP
HKD
HUF
IDR
ILS
INR
JPY
MXN
MYR
NOK
NZD
PEN
PLN
RON
RUB
SEK
SGD
USD
ZAR
N
N/A
N/A
ILS/USD FWD 20220316 000003534 USD
N/A
1.00000000
NC
N/A
2026.15000000
0.001218891359
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-2046215.17000000
ILS
640538.16000000
USD
2022-03-16
2026.15000000
N
N
N
N/A
N/A
IRS R01.50PCD03 06/17/30 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-92708.14000000
-0.05577136479
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-06-17
-1750477.40000000
CAD
1723084.31000000
CAD
1735426.36270411
CAD
-54511.46000000
N
N
N
N/A
N/A
IRS R00.25PER6M 03/16/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-870600.82000000
-0.52373605948
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-03-16
-22848404.91000000
EUR
22809732.37000000
EUR
21753219.32508462
EUR
-831928.28000000
N
N
N
MALAYSIA 3.906% 07/15/26/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0119 3.90600000
Y2R35QBU4
1100000.00000000
NS
268836.60000000
0.161726727444
Long
DBT
USGA
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
LLOYDS BANKING V/R /PERP//GBP/
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC /GBP/ REGD V/R /PERP/ 5.12500000
G55365FZ1
200000.00000000
NS
263224.09000000
0.158350353561
Long
DBT
CORP
GB
N
2
2170-03-27
Variable
5.12500000
N
N
N
N
N
N
FNMA 30YR TBA 4.0% APR 22
N/A
FNMA 30YR TBA 4.0% APR 22 TO BE ANNOUNCED 4.00000000
01F040644
6100000.00000000
NS
USD
6363539.09000000
3.828177978713
Long
ABS-MBS
USGA
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
VM CASH FUT FOR BCY AUD
N/A
VM CASH FUT FOR BCY AUD 0.00000000
N/A
12302.78000000
NS
8934.89000000
0.005375051312
Long
CORP
AU
N
2
N
N
N
N/A
N/A
IRS RSO/NP00.75 03/16/52 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
18197.86000000
0.010947468999
N/A
DIR
GB
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2052-03-16
-140187.06000000
GBP
138430.00000000
GBP
134169.99776111
GBP
19954.92000000
N
N
N
US CAPITAL FUNDIN V/R 08/01/34
N/A
US CAPITAL FUNDING II REGD V/R 144A P/P 1.06657000
90390KAB0
394347.71000000
NS
USD
390404.23000000
0.234859384839
Long
ABS-CBDO
CORP
KY
N
2
2034-08-01
Variable
1.06657000
N
N
N
N
N
N
REPUBLIC O 5.94% 02/12/29/PEN/
N/A
REPUBLIC OF PERU /PEN/ REGD 144A P/P 5.94000000
715638BX9
400000.00000000
NS
106315.61000000
0.063957346885
Long
DBT
USGA
PE
Y
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
ONTARIO ( 3.15% 06/02/22 /CAD/
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) /CAD/ REGD 3.15000000
68323AAW4
3100000.00000000
NS
2461050.80000000
1.480518991681
Long
DBT
CORP
CA
N
2
2022-06-02
Fixed
3.15000000
N
N
N
N
N
N
BONOS Y OB 1.25% 10/31/30/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.25000000
E8922AJR2
2700000.00000000
NS
3113321.64000000
1.872912097236
Long
DBT
USGA
ES
N
2
2030-10-31
Fixed
1.25000000
N
N
N
N
N
N
TALNT 2019-1A 2.56% 05/27/24
N/A
TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1 SER 2019-1A CL A REGD 144A P/P 2.56000000
89231XAA9
400000.00000000
NS
USD
406105.52000000
0.244304967206
Long
ABS-CBDO
CORP
US
Y
2
2031-11-25
Fixed
2.56000000
N
N
N
N
N
N
MP10 2017-1A AR V/R 10/15/30
N/A
MARBLE POINT CLO X LTD SER 2017-1A CL AR V/R REGD 144A P/P 1.28129000
566061AL1
250000.00000000
NS
USD
248983.50000000
0.149783499131
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Variable
1.28129000
N
N
N
N
N
N
CREDIT SUISSE 4.282% 01/09/28
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD 144A P/P 4.28200000
225401AC2
250000.00000000
NS
USD
260422.40000000
0.156664912832
Long
DBT
CORP
CH
Y
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
GENERALITA 4.22% 04/26/35/EUR/
95980020140005848404
GENERALITAT DE CATALUNYA /EUR/ REGD 4.22000000
E5645NBY9
100000.00000000
NS
139705.82000000
0.084044230114
Long
DBT
USGA
ES
N
2
2035-04-26
Fixed
4.22000000
N
N
N
N
N
N
NYKREDIT REAL 1% 10/01/53/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E* 1.00000000
K741813A2
3671307.99000000
NS
485835.45000000
0.292268900161
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
FANNIE MAE POOL UMBS P#CA6106 4.00000000
3140QDYC2
129171.10000000
NS
USD
135272.26000000
0.081377088996
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
LLOYDS BANKING 4.582% 12/10/25
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD SER WI 4.58200000
539439AM1
300000.00000000
NS
USD
315685.21000000
0.189909915227
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
ITRAXX.O P 1.00 EU36 5Y I 05/18/22 BRC
N/A
ITRAXX.O P 1.00 EU36 5Y I 05/18/22 BRC 0.00000000
N/A
-800000.00000000
NC
-1586.86000000
-0.00095462327
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 1.00 EU36 5Y I 05/18/22 BRC
0
-800000.00000000
EUR
1.00000000
EUR
2022-05-18
XXXX
-1586.86000000
N
N
N
UMBS P#FM7441 3% 05/01/51
N/A
FANNIE MAE POOL UMBS P#FM7441 3.00000000
3140XBHT0
176551.22000000
NS
USD
178878.55000000
0.107609761846
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
JYSKE REALKREDIT A/S /DKK/ REGD REG S SER CCE 1.00000000
K5S69JAF0
4064944.34000000
NS
545254.81000000
0.328014399991
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
BSARM 2003-7 6A V/R 10/25/33
N/A
BEAR STEARNS ARM TRUST 2003-7 SER 2003-7 CL 6A V/R REGD 2.32369300
07384MYW6
3343.56000000
NS
USD
3433.99000000
0.002065819775
Long
ABS-CBDO
CORP
US
N
2
2033-10-25
Variable
2.32369300
N
N
N
N
N
N
CWL 2006-18 2A2 V/R 03/25/37
N/A
CWABS ASSET-BACKED CERTIFICATES TRUST 2006-18 SER 2006-18 CL 2A2 V/R REGD 0.34686000
23243WAC2
2839.88000000
NS
USD
2840.73000000
0.001708926412
Long
ABS-CBDO
CORP
US
N
2
2037-03-25
Variable
0.34686000
N
N
N
N
N
N
ING GROEP NV V/R /PERP/
549300NYKK9MWM7GGW15
ING GROEP NV REGD V/R /PERP/ 3.87500000
456837AY9
500000.00000000
NS
USD
444375.00000000
0.267327121784
Long
DBT
CORP
NL
N
2
2170-11-16
Variable
3.87500000
N
N
N
N
N
N
MALAYSIA 4.119% 11/30/34/MYR/
N/A
MALAYSIA INVESTMNT ISSUE /MYR/ REGD SER 0619 4.11900000
Y2R35QAC5
200000.00000000
NS
48100.43000000
0.028936257684
Long
DBT
USGA
MY
N
2
2034-11-30
Fixed
4.11900000
N
N
N
N
N
N
TESCO PRO 5.8% 10/13/40 /GBP/
213800UCE6O94DGHWT77
TESCO PROPERTY FIN 4 PLC /GBP/REGD 5.80060000
G8765YAA4
94868.89000000
NS
154386.13000000
0.092875611310
Long
DBT
CORP
GB
N
2
2040-10-13
Fixed
5.80060000
N
N
N
N
N
N
ITRAXX.O P 5.00 XOV36 5Y I 06/15/22 BPS
N/A
ITRAXX.O P 5.00 XOV36 5Y I 06/15/22 BPS 0.00000000
N/A
-100000.00000000
NC
-1075.41000000
-0.00064694517
N/A
DCR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
ITRAXX.O P 5.00 XOV36 5Y I 06/15/22 BPS
0
-100000.00000000
EUR
5.00000000
EUR
2022-06-15
XXXX
-1075.41000000
N
N
N
DEUTSCHE BANK NY 3.3% 11/16/22
N/A
DEUTSCHE BANK NY REGD SER * 3.30000000
251526BL2
200000.00000000
NS
USD
202204.65000000
0.121642277571
Long
DBT
CORP
US
N
2
2022-11-16
Fixed
3.30000000
N
N
N
N
N
N
JAPAN (20 Y 1.3% 06/20/35/JPY/
N/A
JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 153 1.30000000
J2S39KJF4
120000000.00000000
NS
1171847.24000000
0.704959887122
Long
DBT
USGA
JP
N
2
2035-06-20
Fixed
1.30000000
N
N
N
N
N
N
UMBS P#CA4346 3% 10/01/49
N/A
FANNIE MAE POOL UMBS P#CA4346 3.00000000
3140QBZL5
304605.79000000
NS
USD
309541.97000000
0.186214264779
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
CDX.O P 0.85 IG37 5Y V1 I 04/20/22 GST
N/A
CDX.O P 0.85 IG37 5Y V1 I 04/20/22 GST 0.00000000
N/A
-300000.00000000
NC
USD
-420.12000000
-0.00025273579
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
CDX.O P 0.85 IG37 5Y V1 I 04/20/22 GST
0
-300000.00000000
USD
0.85000000
USD
2022-04-20
XXXX
-420.12000000
N
N
N
JPMMT 2021-INV8 V/R 05/25/52
N/A
J.P. MORGAN MORTGAGE TRUST 2021-INV8 SER 2021-INV8 CL A2 V/R REGD 144A P/P 3.00000000
46654RAG7
1176275.68000000
NS
USD
1158769.40000000
0.697092519861
Long
ABS-CBDO
CORP
US
Y
2
2052-05-25
Variable
3.00000000
N
N
N
N
N
N
BONOS Y OB 3.45% 07/30/66/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 3.45000000
E8922ABZ2
650000.00000000
NS
992612.52000000
0.597135860519
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
FREDDIE MAC REMICS SER 4579 CL SD V/R 1.86942900
3137BPS83
109208.58000000
NS
USD
6665.12000000
0.004009603028
Long
ABS-CBDO
CORP
US
N
2
2038-01-15
Variable
1.86942900
N
N
N
N
N
N
RALI 2007-QO2 A1 V/R 02/25/47
N/A
RALI SERIES 2007-QO2 TRUST SER 2007-QO2 CL A1 V/R REGD 0.33686000
75116AAA8
43312.28000000
NS
USD
20554.76000000
0.012365332950
Long
ABS-CBDO
CORP
US
N
2
2047-02-25
Variable
0.33686000
N
N
N
N
N
N
REPUBLIC O 1.65% 03/03/33/EUR/
N/A
REPUBLIC OF SERBIA /EUR/ REGD 144A P/P 1.65000000
X77765CC1
100000.00000000
NS
86963.43000000
0.052315462036
Long
DBT
USGA
RS
Y
2
2033-03-03
Fixed
1.65000000
N
N
N
N
N
N
BONOS Y OB 1.45% 10/31/71/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000
E8922AKN9
800000.00000000
NS
692366.85000000
0.416514064088
Long
DBT
USGA
ES
Y
2
2071-10-31
Fixed
1.45000000
N
N
N
N
N
N
CDX.O P 0.95 IG37 5Y V1 I 05/18/22 DUB
N/A
CDX.O P 0.95 IG37 5Y V1 I 05/18/22 DUB 0.00000000
N/A
-300000.00000000
NC
USD
-468.12000000
-0.00028161163
N/A
DCR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
CDX.O P 0.95 IG37 5Y V1 I 05/18/22 DUB
0
-300000.00000000
USD
0.95000000
USD
2022-05-18
XXXX
-468.12000000
N
N
N
CREDIT SUISSE GROUP V/R /PERP/
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R /PERP/ 7.50000000
22546DAB2
200000.00000000
NS
USD
210105.00000000
0.126394970289
Long
DBT
CORP
CH
Y
2
2170-06-11
Variable
7.50000000
N
N
N
N
N
N
FNMA TBA 15YR 2% MAR22
N/A
FNMA TBA 15YR 2% MAR22 TO BE ANNOUNCED 2.00000000
01F020430
-2100000.00000000
NS
USD
-2084906.27000000
-1.25423795746
Short
ABS-MBS
USGA
US
N
2
2037-03-01
Fixed
2.00000000
N
N
N
N
N
N
MF1 2021-FL5 A V/R 07/15/36
N/A
MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST SER 2021-FL5 CL A V/R REGD 1.03540000
55282XAA8
181845.50000000
NS
USD
180468.88000000
0.108566472600
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Variable
1.03540000
N
N
N
N
N
N
FORD MOTOR CRED 4.14% 02/15/23
N/A
FORD MOTOR CREDIT CO LLC REGD 4.14000000
345397ZB2
200000.00000000
NS
USD
202423.00000000
0.121773632569
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
4.14000000
N
N
N
N
N
N
ORO USD 1Y P 2.31000 L 01/11/24 BOA
N/A
ORO USD 1Y P 2.31000 L 01/11/24 BOA 0.00000000
N/A
-5400000.00000000
NC
USD
-18539.82000000
-0.01115318530
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
ORO USD 1Y P 2.31000 L 01/11/24 BOA
0
-5400000.00000000
USD
2.31000000
USD
2024-01-11
XXXX
-18539.82000000
N
N
N
CWHL 2005-HYB9 3 V/R 02/20/36
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB9 SER 2005-HYB9 CL 3A2A V/R REGD 1.98513000
126670JY5
11497.43000000
NS
USD
10125.56000000
0.006091334596
Long
ABS-CBDO
CORP
US
N
2
2036-02-20
Variable
1.98513000
N
N
N
N
N
N
N/A
N/A
IRS R01.27PCD03 03/03/22 BARCUS3BXXX FIXED
N/A
1.00000000
NC
4014.81000000
0.002415229483
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2022-03-03
-794375.82000000
CAD
797562.10000000
CAD
788830.16486550
CAD
-43.46000000
N
N
N
RMACS 06-NS1X A2A V/R 6/12/44
N/A
RMACS 06-NS1X A2A V/R 6/12/44 0.24463000
G7604CAA9
192107.63000000
NS
252672.60000000
0.152002787986
Long
ABS-CBDO
CORP
GB
N
2
2044-06-12
Variable
0.24463000
N
N
N
N
N
N
CWALT 2005-21C 5.25% 06/25/35
N/A
ALTERNATIVE LOAN TRUST 2005-21CB SER 2005-21CB CL A3 REGD 5.25000000
12667GKC6
4333.59000000
NS
USD
3991.03000000
0.002400923910
Long
ABS-CBDO
CORP
US
N
2
2035-06-25
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
MYR/USD FWD 20220323 000006219 USD
N/A
1.00000000
NC
N/A
-3680.99000000
-0.00221441004
N/A
DFE
N/A
N
2
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
-1667072.50000000
MYR
393036.63000000
USD
2022-03-23
-3680.99000000
N
N
N
REALKREDIT DA 2% 10/01/47/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER 23S 2.00000000
K8094KSA2
0.24000000
NS
0.03000000
0.000000018047
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.00000000
N
N
N
N
N
N
QATAR ENERGY 3.125% 07/12/41
N/A
QATAR ENERGY REGD 144A P/P 3.12500000
74730DAE3
200000.00000000
NS
USD
188512.80000000
0.113405534162
Long
DBT
CORP
QA
Y
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
NEW JERSEY ST 4.131% 06/15/42
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST REGD N/C B/E 4.13100000
6461366S5
100000.00000000
NS
USD
103700.28000000
0.062384016608
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
4.13100000
N
N
N
N
N
N
BONOS Y OB 1.45% 04/30/29/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000
E8922AHG8
450000.00000000
NS
530245.41000000
0.318985044826
Long
DBT
USGA
ES
N
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
CDX.O P 101.00 HY37 5Y V1 I 05/18/22 GST
N/A
CDX.O P 101.00 HY37 5Y V1 I 05/18/22 GST 0.00000000
N/A
-100000.00000000
NC
USD
-792.98000000
-0.00047704092
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
CDX.O P 101.00 HY37 5Y V1 I 05/18/22 GST
0
-100000.00000000
USD
101.00000000
USD
2022-05-18
XXXX
-792.98000000
N
N
N
N/A
N/A
MXN/USD FWD 20220304 000006038 USD
N/A
1.00000000
NC
N/A
8748.44000000
0.005262886717
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-336710.17000000
USD
7076805.95000000
MXN
2022-03-04
8748.44000000
N
N
N
ISRAEL MAKAM ZCP 11/02/22/ILS/
N/A
ISRAEL MAKAM BILL /ILS/ REGD ZCP SER 1112 0.00000000
M1R796FR3
3200000.00000000
PA
998103.44000000
0.600439088288
Long
STIV
USGA
IL
N
2
2022-11-02
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
CDS US50064FAJ30 01.000 BP 06/20/2023 MRMDUS33XXX LONG
N/A
1.00000000
NC
USD
-9624.30000000
-0.00578978659
N/A
DCR
US
N
2
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
Korea, 7.125% 16apr2019
Korea, 7.125% 16apr2019
Y
2023-06-20
-200000.00000000
USD
195011.03000000
USD
200000.00000000
USD
2453.57000000
N
N
N
ROLLS-ROYC 5.75% 10/15/27/GBP/
N/A
ROLLS-ROYCE PLC /GBP/ REGD REG S 5.75000000
G76311AN2
100000.00000000
NS
140962.35000000
0.084800133458
Long
DBT
CORP
GB
N
2
2027-10-15
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
SGD/USD FWD 20220316 000006219 USD
N/A
1.00000000
NC
N/A
-5680.03000000
-0.00341699256
N/A
DFE
N/A
N
2
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
-747060.75000000
SGD
545340.75000000
USD
2022-03-16
-5680.03000000
N
N
N
N/A
N/A
AUD/USD FWD 20220302 000006038 USD
N/A
1.00000000
NC
N/A
-11314.57000000
-0.00680661925
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-727000.00000000
AUD
516669.30000000
USD
2022-03-02
-11314.57000000
N
N
N
MILEAGE PLUS HLD 6.5% 06/20/27
N/A
MILEAGE PLUS HLDINGS LLC REGD 144A P/P 6.50000000
599191AA1
300000.00000000
NS
USD
316839.00000000
0.190604012239
Long
DBT
CORP
US
Y
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
IRS R00.50PER6M 03/16/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-31599.08000000
-0.01900937520
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-03-16
-2698739.97000000
EUR
2691709.94000000
EUR
2578989.91998426
EUR
-24569.05000000
N
N
N
N/A
N/A
IRS RUS3MPUS1M 03/07/24 BARC FLOAT
N/A
1.00000000
NC
USD
285.57000000
0.000171793206
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2024-03-07
-1100000.00000000
USD
1100018.13000000
USD
1100000.00000000
USD
267.44000000
N
N
N
IRO EUR 5Y C 0.50000 L 04/07/22 BPS
N/A
IRO EUR 5Y C 0.50000 L 04/07/22 BPS 0.00000000
N/A
-200000.00000000
NC
-1297.68000000
-0.00078065836
N/A
DIR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Call
Purchased
IRO EUR 5Y C 0.50000 L 04/07/22 BPS
0
-200000.00000000
EUR
0.50000000
EUR
2022-04-07
XXXX
-1297.68000000
N
N
N
FORD MOTOR CREDIT 4% 11/13/30
N/A
FORD MOTOR CREDIT CO LLC REGD 4.00000000
345397B36
200000.00000000
NS
USD
198736.00000000
0.119555607032
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4.00000000
N
N
N
N
N
N
F/C US 10YR ULTRA FUT JUN22
N/A
FUTURE CONTRACT ON US 10YR ULTRA FUT JUN22 0.00000000
N/A
-1.00000000
NC
USD
-141328.13000000
-0.08502017939
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US 10YR ULTRA FUT JUN22
US 10YR ULTRA FUT JUN22
2022-06-21
140097.65000000
USD
-1230.47000000
N
N
N
JAPAN (20 Y 0.4% 03/20/36/JPY/
N/A
JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 156 0.40000000
J2S39KMW3
40000000.00000000
NS
348158.04000000
0.209444920977
Long
DBT
USGA
JP
N
2
2036-03-20
Fixed
0.40000000
N
N
N
N
N
N
BFAT 2007-SR1A V/R 03/25/37
N/A
BFAT 2007-SR1A V/R 03/25/37 0.63686000
07325QAA3
179741.36000000
NS
USD
177856.99000000
0.106995211760
Long
ABS-CBDO
CORP
US
Y
2
2037-03-25
Variable
0.63686000
N
N
N
N
N
N
BIG 2022-BIG A V/R 02/15/27
N/A
BIG COMMERCIAL MORTGAGE TRUST 2022-BIG SER 2022-BIG CL A V/R REGD 144A P/P 0.00000000
05551UAA3
400000.00000000
NS
USD
398873.80000000
0.239954508937
Long
ABS-CBDO
CORP
US
Y
2
2039-02-15
Variable
0.00000000
N
N
N
N
N
N
UWM 2021-INV3 A3 V/R 11/25/51
N/A
UWM MORTGAGE TRUST 2021-INV3 SER 2021-INV3 CL A3 V/R REGD 144A P/P 2.50000000
90355RAC6
490342.12000000
NS
USD
471322.88000000
0.283538427997
Long
ABS-CBDO
CORP
US
Y
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS RCN07P02.75 09/15/26 BARC FLOAT
N/A
1.00000000
NC
-34579.17000000
-0.02080213781
N/A
DIR
CN
N
2
CREDIT AGIRICOLE INDOSUEZ SEC.
N/A
N/A
N/A
Y
2026-09-15
-2124933.69000000
CNY
2114065.58000000
CNY
2139715.49708761
CNY
-27478.21000000
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000004334 USD
N/A
1.00000000
NC
N/A
15564.48000000
0.009363280203
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-623000.00000000
EUR
714134.37000000
USD
2022-03-02
15564.48000000
N
N
N
ITRAXX.O P 1.00 EU36 5Y I 06/15/22 BRC
N/A
ITRAXX.O P 1.00 EU36 5Y I 06/15/22 BRC 0.00000000
N/A
-1100000.00000000
NC
-3000.81000000
-0.00180522734
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 1.00 EU36 5Y I 06/15/22 BRC
0
-1100000.00000000
EUR
1.00000000
EUR
2022-06-15
XXXX
-3000.81000000
N
N
N
REALT 20 3.072% 06/12/23 /CAD/
N/A
REAL ESTATE ASSET LIQUIDITY TRUST SER 2018-1A CL A1 REGD 144A P/P /CAD/ 3.07200000
75585RQL2
58009.64000000
NS
46253.59000000
0.027825235638
Long
ABS-CBDO
CORP
CA
Y
2
2053-08-12
Fixed
3.07200000
N
N
N
N
N
N
UMBS P#QD8207 2% 03/01/52
N/A
FREDDIE MAC POOL UMBS P#QD8207 2.00000000
3133B6DL1
100000.00000000
NS
USD
96033.02000000
0.057771546177
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
ARGENT MORTGAGE LOAN TRUST 2005-W1 SER 2005-W1 CL A1 V/R REGD 0.66686000
040104MX6
437982.44000000
NS
USD
412039.12000000
0.247874502418
Long
ABS-CBDO
CORP
US
N
2
2035-05-25
Variable
0.66686000
N
N
N
N
N
N
SINGAPORE 1.875% 10/01/51/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 1.87500000
Y280CEGA9
200000.00000000
NS
139150.22000000
0.083709992254
Long
DBT
USGA
SG
N
2
2051-10-01
Fixed
1.87500000
N
N
N
N
N
N
C/O OTC ECAL FN 2.5 5-52 98 12+ JPM
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 5-52 98 12+ JPM 0.00000000
N/A
-100000.00000000
NC
USD
-828.39000000
-0.00049834287
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
C/O OTC ECAL FN 2.5 5-52 98 12+ JPM
0
-100000.00000000
USD
98.39062500
USD
2022-05-05
XXXX
-367.45000000
N
N
N
N/A
N/A
PEN/USD FWD 20220808 000000902 USD
N/A
1.00000000
NC
N/A
13642.89000000
0.008207290051
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-4745998.50000000
PEN
1247732.08000000
USD
2022-08-08
13642.89000000
N
N
N
CWHL 2005-2 1A1 V/R 03/25/35
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-2 SER 2005-2 CL 1A1 V/R REGD 0.82686000
12669GPN5
48586.00000000
NS
USD
43047.23000000
0.025896353522
Long
ABS-CBDO
CORP
US
N
2
2035-03-25
Variable
0.82686000
N
N
N
N
N
N
CREDIT SUISSE GRO V/R 12/14/23
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R 2.99700000
225401AD0
300000.00000000
NS
USD
302702.81000000
0.182099962764
Long
DBT
CORP
CH
Y
2
2023-12-14
Variable
2.99700000
N
N
N
N
N
N
JPMMT 2021-1 A3 V/R 05/25/44
N/A
JP MORGAN MORTGAGE TRUST 2021-1 SER 2021-1 CL A3 V/R REGD 144A P/P 2.50000000
46592EAC0
281365.84000000
NS
USD
270913.72000000
0.162976281337
Long
ABS-CBDO
CORP
US
Y
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS R01.65PUS3M 01/24/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-4854.26000000
-0.00292022583
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-01-24
-200000.00000000
USD
200000.00000000
USD
200000.00000000
USD
-4854.26000000
N
N
N
N/A
N/A
IRS RKL3MP03.25 03/16/32 BOA LONG
N/A
1.00000000
NC
30593.61000000
0.018404504542
N/A
DIR
MY
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2032-03-16
-1240957.59000000
MYR
1257439.24000000
MYR
1238537.57294272
MYR
14111.96000000
N
N
N
N/A
N/A
IRS RKL3MP03.25 03/16/27 BOA LONG
N/A
1.00000000
NC
-1631.08000000
-0.00098122514
N/A
DIR
MY
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2027-03-16
-334089.01000000
MYR
333480.45000000
MYR
333452.42348458
MYR
-1022.52000000
N
N
N
FNCI 15Y TBA 3.5% MARCH 22
N/A
FNCI 15Y TBA 3.5% MARCH 22 TO BE ANNOUNCED 3.50000000
01F032435
-100000.00000000
NS
USD
-103214.03000000
-0.06209149832
Short
ABS-MBS
USGA
US
N
2
2037-03-01
Fixed
3.50000000
N
N
N
N
N
N
NYKREDIT REAL 2% 07/01/37/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD SER 01E 2.00000000
K74181XB7
0.29000000
NS
0.05000000
0.000000030079
Long
DBT
CORP
DK
N
2
2037-07-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CDS US50064FAJ30 01.000 BP 06/20/2023 BARCGB5GXXX LONG
N/A
1.00000000
NC
USD
-28556.21000000
-0.01717884540
N/A
DCR
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
Korea, 7.125% 16apr2019
Korea, 7.125% 16apr2019
Y
2023-06-20
-600000.00000000
USD
584944.30000000
USD
600000.00000000
USD
7449.49000000
N
N
N
NORDEA KRED 2.5% 10/01/47/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 2.50000000
K7S724BH9
0.64000000
NS
0.10000000
0.000000060158
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 3.7 04/15/21-10Y LCH /FLOAT/
N/A
1.00000000
NC
-96626.12000000
-0.05812834328
N/A
DIR
US
N
2
DIRECT PLACEMENT
N/A
GB 10Y
GB 10Y
Y
2031-04-15
-629705.96000000
GBP
620189.99000000
GBP
603764.99000000
GBP
-87110.15000000
N
N
N
DEUTSCHE 2.625% 02/12/26/EUR/
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG /EUR/ REGD REG S EMTN 2.62500000
D1T7F4E25
300000.00000000
NS
349688.51000000
0.210365621151
Long
DBT
CORP
DE
N
2
2026-02-12
Fixed
2.62500000
N
N
N
N
N
N
F/C US 10YR NOTE (CBT)JUN22
N/A
FUTURE CONTRACT ON US 10YR NOTE (CBT)JUN22 0.00000000
N/A
15.00000000
NC
USD
1911562.50000000
1.149957808687
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C US 10YR NOTE (CBT)JUN22
US 10YR NOTE (CBT)JUN22
2022-06-21
1886015.25000000
USD
25547.25000000
N
N
N
N/A
N/A
CDX 2I666VCU7 01.000 BP 06/20/2029 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-110505.72000000
-0.06647803334
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
iTRAXX Europe S31
iTRAXX Europe S31
Y
2029-06-20
-11553294.63000000
EUR
11334719.67000000
EUR
10764479.66602125
EUR
100646.45000000
N
N
N
N/A
N/A
IRS R00.50PSO/N 09/21/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-326035.67000000
-0.19613654517
N/A
DIR
GB
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-09-21
-12870239.98000000
GBP
12517664.45000000
GBP
12880319.78506610
GBP
26539.86000000
N
N
N
VM CASH CCP LCH BCY USD
N/A
VM CASH CCP LCH BCY USD 0.00000000
N/A
5160.17000000
NS
USD
5160.17000000
0.003104255176
Long
CORP
US
N
2
N
N
N
N/A
N/A
SGD/USD FWD 20220316 000000642 USD
N/A
1.00000000
NC
N/A
-672.90000000
-0.00040480319
N/A
DFE
N/A
N
2
UBS AG STAMFORD BRANCH
254900R882POXXVAK772
-92000.00000000
SGD
67184.92000000
USD
2022-03-16
-672.90000000
N
N
N
STANDARD CHARTERED V/R /PERP/
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC REGD V/R /PERP/ 144A P/P 7.50000000
853254BA7
200000.00000000
NS
USD
200944.00000000
0.120883895718
Long
DBT
CORP
GB
Y
2
2170-04-02
Variable
7.50000000
N
N
N
N
N
N
BONOS Y OB 1.85% 07/30/35/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.85000000
E8922AHJ2
400000.00000000
NS
476405.98000000
0.286596319401
Long
DBT
USGA
ES
Y
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
N/A
N/A
IRS PJY6MR00.00 06/19/22 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-80.11000000
-0.00004819257
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-06-19
-265792.22000000
JPY
265792.50000000
JPY
260971.68457222
JPY
-236.63000000
N
N
N
US T BILL ZCP 03/08/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796S75
403000.00000000
PA
USD
402996.79000000
0.242434817347
Long
STIV
UST
US
N
2
2022-03-08
Fixed
0.00000000
N
N
N
N
N
N
ACE 2005-HE5 M4 V/R 08/25/35
N/A
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2005-HE5 CL M4 V/R REGD 1.08686000
004421RH8
400000.00000000
NS
USD
398044.92000000
0.239455871289
Long
ABS-CBDO
CORP
US
N
2
2035-08-25
Variable
1.08686000
N
N
N
N
N
N
ARES 2016-40A A1 V/R 01/15/29
N/A
ARES XL CLO LTD SER 2016-40A CL A1RR V/R REGD 144A P/P 1.11129000
04016GBB3
378746.97000000
NS
USD
378010.31000000
0.227403450187
Long
ABS-CBDO
CORP
KY
Y
2
2029-01-15
Variable
1.11129000
N
N
N
N
N
N
N/A
N/A
IRS RER6MP00.50 09/21/52 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
5096.39000000
0.003065886402
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2052-09-21
-59837.51000000
EUR
58665.00000000
EUR
56064.99826053
EUR
6268.90000000
N
N
N
NATIONWIDE BLDG S V/R 03/08/24
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 3.76600000
63861VAA5
200000.00000000
NS
USD
203342.27000000
0.122326647034
Long
DBT
CORP
GB
Y
2
2024-03-08
Variable
3.76600000
N
N
N
N
N
N
SARM 2004-4 3A2 V/R 04/25/34
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SERIES SER 2004-4 CL 3A2 V/R REGD 2.27777500
86359BNU1
7880.16000000
NS
USD
7998.80000000
0.004811918271
Long
ABS-CBDO
CORP
US
N
2
2034-04-25
Variable
2.27777500
N
N
N
N
N
N
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 JPM
N/A
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 JPM 0.00000000
N/A
-1200000.00000000
NC
-488.17000000
-0.00029367331
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 JPM
0
-1200000.00000000
EUR
0.90000000
EUR
2022-03-16
XXXX
-488.17000000
N
N
N
F/C EURO-BTP FUTURE MAR22
N/A
FUTURE CONTRACT ON EURO-BTP FUTURE MAR22 /EUR/ 0.00000000
N/A
112.00000000
NC
17726406.88000000
10.66385222122
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-BTP FUTURE MAR22
EURO-BTP FUTURE MAR22 /EUR/
2022-03-08
18759045.65000000
EUR
-1032638.78000000
N
N
N
MALAYSIA 4.254% 05/31/35/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0415 4.25400000
Y55745VM5
3700000.00000000
NS
898609.13000000
0.540585299199
Long
DBT
USGA
MY
N
2
2035-05-31
Fixed
4.25400000
N
N
N
N
N
N
SINGAPORE 1.625% 07/01/31/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 1.62500000
Y280CEFZ5
1600000.00000000
NS
1153572.56000000
0.693966204745
Long
DBT
USGA
SG
N
2
2031-07-01
Fixed
1.62500000
N
N
N
N
N
N
IRO EUR 5Y P 0.65000 L 05/09/22 BRC
N/A
IRO EUR 5Y P 0.65000 L 05/09/22 BRC 0.00000000
N/A
-300000.00000000
NC
-1660.35000000
-0.00099883338
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
IRO EUR 5Y P 0.65000 L 05/09/22 BRC
0
-300000.00000000
EUR
0.65000000
EUR
2022-05-09
XXXX
-1660.35000000
N
N
N
JPMMT 2005-A1 6T V/R 02/25/35
N/A
JP MORGAN MORTGAGE TRUST 2005-A1 SER 2005-A1 CL 6T1 V/R REGD 2.28998500
466247LZ4
631.78000000
NS
USD
635.23000000
0.000382141676
Long
ABS-CBDO
CORP
US
N
2
2035-02-01
Variable
2.28998500
N
N
N
N
N
N
RALI 2006-QS6 1A1 6% 06/25/36
N/A
RALI SERIES 2006-QS6 TRUST SER 2006-QS6 CL 1A1 REGD 6.00000000
74922EAA7
91810.56000000
NS
USD
89163.62000000
0.053639052382
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
ILS/USD FWD 20221207 000004334 USD
N/A
1.00000000
NC
N/A
3707.70000000
0.002230478243
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-400080.00000000
ILS
129727.63000000
USD
2022-12-07
3707.70000000
N
N
N
C/O OTC ECAL FN 2.5 4-52 100 14+ JPM
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 4-52 100 14+ JPM 0.00000000
N/A
200000.00000000
NC
USD
123.18000000
0.000074102626
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Written
C/O OTC ECAL FN 2.5 4-52 100 14+ JPM
0
200000.00000000
USD
100.45312500
USD
2022-04-06
XXXX
76.30000000
N
N
N
GSMBS 2021-HP1 A V/R 01/25/52
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1 SER 2021-HP1 CL A2 V/R REGD 144A P/P 2.50000000
36262RAB3
379186.26000000
NS
USD
365100.32000000
0.219637058133
Long
ABS-CBDO
CORP
US
Y
2
2052-01-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP00.40 03/30/26 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
148456.19000000
0.089308277881
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2026-03-30
-2693038.33000000
USD
2750000.00000000
USD
2750000.00000000
USD
93795.57000000
N
N
N
N/A
N/A
JPY/USD FWD 20220516 000009049 USD
N/A
1.00000000
NC
N/A
-298.96000000
-0.00017984836
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-250000000.00000000
JPY
2178231.62000000
USD
2022-05-16
-298.96000000
N
N
N
CDX.O P 1.10 IG37 5Y V1 I 06/15/22 DUB
N/A
CDX.O P 1.10 IG37 5Y V1 I 06/15/22 DUB 0.00000000
N/A
-500000.00000000
NC
USD
-735.55000000
-0.00044249218
N/A
DCR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
CDX.O P 1.10 IG37 5Y V1 I 06/15/22 DUB
0
-500000.00000000
USD
1.10000000
USD
2022-06-15
XXXX
-735.55000000
N
N
N
N/A
N/A
IRS R00.00PMUTK 03/17/31 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-110840.44000000
-0.06667939421
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2031-03-17
-5138655.09000000
JPY
5117905.01000000
JPY
5045452.56839633
JPY
-90374.92000000
N
N
N
CDX.O P 0.95 IG37 5Y V1 I 04/20/22 JPM
N/A
CDX.O P 0.95 IG37 5Y V1 I 04/20/22 JPM 0.00000000
N/A
-500000.00000000
NC
USD
-442.35000000
-0.00026610892
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
CDX.O P 0.95 IG37 5Y V1 I 04/20/22 JPM
0
-500000.00000000
USD
0.95000000
USD
2022-04-20
XXXX
-442.35000000
N
N
N
CASH COLLATERAL V/R 12/31/49
N/A
CASH COLLATERAL V/R 12/31/49 -0.02000000
N/A
201000.00000000
NS
USD
201000.00000000
0.120917584199
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
AUSTRALIAN 2.5% 05/21/30/AUD/
N/A
AUSTRALIAN GOVERNMENT /AUD/ REGD REG S SER 155 2.50000000
Q2R04NBD5
100000.00000000
NS
75016.87000000
0.045128650221
Long
DBT
USGA
AU
N
2
2030-05-21
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS R00.25PER6M 09/21/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-169175.28000000
-0.10177246847
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-09-21
-3618929.89000000
EUR
3568792.76000000
EUR
3588159.88867375
EUR
-119038.15000000
N
N
N
ESAIL 2007- V/R 06/13/45 /GBP/
N/A
EUROSAIL-UK 2007-4BL PLC SER 2007-4X CL A3 V/R REGD /GBP/ 1.04463000
G3299TAL7
306910.00000000
NS
411409.72000000
0.247495867953
Long
ABS-CBDO
CORP
GB
N
2
2045-06-13
Variable
1.04463000
N
N
N
N
N
N
N/A
N/A
BRL/USD FWD 20220303 000004066 USD
N/A
1.00000000
NC
N/A
9555.21000000
0.005748223431
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
0.00000000
N/A
9555.21000000
USD
2022-03-03
9555.21000000
N
N
N
ITRAXX.O P 0.80 EU36 5Y I 03/16/22 BRC
N/A
ITRAXX.O P 0.80 EU36 5Y I 03/16/22 BRC 0.00000000
N/A
-300000.00000000
NC
-299.52000000
-0.00018018524
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 0.80 EU36 5Y I 03/16/22 BRC
0
-300000.00000000
EUR
0.80000000
EUR
2022-03-16
XXXX
-299.52000000
N
N
N
JAPAN (10 Y 0.1% 06/20/31/JPY/
N/A
JAPAN (10 YEAR ISSUE) /JPY/ REGD SER 363 0.10000000
J2S39LNK6
920000000.00000000
NS
7962158.18000000
4.789875284274
Long
DBT
USGA
JP
N
2
2031-06-20
Fixed
0.10000000
N
N
N
N
N
N
WAMU 2003-AR5 A7 V/R 06/25/33
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR5 SER 2003-AR5 CL A7 V/R REGD 2.57987100
929227R65
1533.36000000
NS
USD
1557.17000000
0.000936762361
Long
ABS-CBDO
CORP
US
N
2
2033-06-25
Variable
2.57987100
N
N
N
N
N
N
N/A
N/A
IRS PJY6MR00.00 06/19/22 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-213.66000000
-0.00012853358
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-06-19
-708779.26000000
JPY
708780.01000000
JPY
695924.49219260
JPY
-631.09000000
N
N
N
CRNCL 2018- V/R 10/15/31 /EUR/
N/A
CAIRN CLO X DAC SER 2018-10A CL AR V/R REGD 144A P/P /EUR/ 0.78000000
N/A
250000.00000000
NS
279305.73000000
0.168024746888
Long
ABS-CBDO
CORP
IE
Y
2
2031-10-15
Variable
0.78000000
N
N
N
N
N
N
N/A
N/A
IRS R00.50PSRFX 09/15/26 BARC FIXED
N/A
1.00000000
NC
-68783.87000000
-0.04137900195
N/A
DIR
CH
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2026-09-15
-2611523.29000000
CHF
2608436.68000000
CHF
2617230.09814613
CHF
-65668.48000000
N
N
N
N/A
N/A
MXN/USD FWD 20220615 000006038 USD
N/A
1.00000000
NC
N/A
188.10000000
0.000113157201
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-68126.30000000
USD
1426837.30000000
MXN
2022-06-15
188.10000000
N
N
N
CWHL 2007-19 2A 6.5% 11/25/47
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2007-19 SER 2007-19 CL 2A1 REGD 6.50000000
12544PAF9
92349.74000000
NS
USD
62194.64000000
0.037415052830
Long
ABS-CBDO
CORP
US
N
2
2047-11-25
Fixed
6.50000000
N
N
N
N
N
N
APID 2017-26A A1 V/R 07/18/29
N/A
APIDOS CLO XXVI SER 2017-26A CL A1AR V/R REGD 144A P/P 1.14129000
03766GAL6
400000.00000000
NS
USD
398966.80000000
0.240010455879
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-18
Variable
1.14129000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20220302 000011091 USD
N/A
1.00000000
NC
N/A
1406.25000000
0.000845971904
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-751926.56000000
USD
955000.00000000
CAD
2022-03-02
1406.25000000
N
N
N
NISSAN MOTOR C 4.345% 09/17/27
353800DRBDH1LUTNAY26
NISSAN MOTOR CO REGD 144A P/P 4.34500000
654744AC5
200000.00000000
NS
USD
206237.90000000
0.124068600190
Long
DBT
CORP
JP
Y
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
IRO FWD GBP 1Y C 0.82000 L 12/16/24 JPM
N/A
IRO FWD GBP 1Y C 0.82000 L 12/16/24 JPM 0.00000000
N/A
-1500000.00000000
NC
-7163.87000000
-0.00430964106
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
-1500000.00000000
GBP
0.82000000
GBP
2024-12-16
XXXX
-7163.87000000
N
N
N
FNGT 2004-T3 1A1 6% 2/25/44
N/A
FNGT 2004-T3 1A1 6% 2/25/44 6.00000000
31393YU52
4689.66000000
NS
USD
5175.64000000
0.003113561619
Long
ABS-CBDO
CORP
US
N
2
2044-02-25
Fixed
6.00000000
N
N
N
N
N
N
CWL 2007-13 1A V/R 06/25/36
N/A
CWABS ASSET-BACKED CERTIFICATES TRUST 2007-13 SER 2007-13 CL 1A V/R REGD 1.02686000
126698AA7
412444.38000000
NS
USD
403795.50000000
0.242915305326
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
1.02686000
N
N
N
N
N
N
RMS 32A A V/R 06/20/70 /GBP/
N/A
RESIDENTIAL MORTGAGE SECURITIES 32 PLC SER 32A CL A V/R REGD 144A P/P /GBP/ 1.50221000
N/A
161557.88000000
NS
218713.28000000
0.131573539551
Long
ABS-CBDO
CORP
GB
Y
2
2070-06-20
Variable
1.50221000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MPUS1M 04/27/23 BARC FLOAT
N/A
1.00000000
NC
USD
-906.25000000
-0.00054518189
N/A
DIR
US
N
2
DIRECT PLACEMENT
N/A
N/A
N/A
Y
2023-04-27
-4600000.00000000
USD
4598865.21000000
USD
4600000.00000000
USD
228.54000000
N
N
N
JPMMT 2021-10 A3 V/R 10/25/44
N/A
JP MORGAN MORTGAGE TRUST 2021-10 SER 2021-10 CL A3 V/R REGD 144A P/P 2.50000000
46654AAC3
375895.98000000
NS
USD
359416.40000000
0.216217725421
Long
ABS-CBDO
CORP
US
Y
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
IRO EUR 5Y C 0.45000 L 04/08/22 JPM
N/A
IRO EUR 5Y C 0.45000 L 04/08/22 JPM 0.00000000
N/A
-500000.00000000
NC
-2548.83000000
-0.00153332520
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
IRO EUR 5Y C 0.45000 L 04/08/22 JPM
0
-500000.00000000
EUR
0.45000000
EUR
2022-04-08
XXXX
-2548.83000000
N
N
N
ZIMMER BIOMET H 3.15% 04/01/22
2P2YLDVPES3BXQ1FRB91
ZIMMER BIOMET HOLDINGS REGD 3.15000000
98956PAL6
300000.00000000
NS
USD
300296.18000000
0.180652182238
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.15000000
N
N
N
N
N
N
N/A
N/A
IRS R00.75PSO/N 03/16/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-146823.17000000
-0.08832588567
N/A
DIR
GB
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-03-16
-2330464.98000000
GBP
2292435.38000000
GBP
2280889.96193879
GBP
-108793.57000000
N
N
N
IRO EUR 5Y C 0.45000 L 05/09/22 BRC
N/A
IRO EUR 5Y C 0.45000 L 05/09/22 BRC 0.00000000
N/A
-300000.00000000
NC
-1871.07000000
-0.00112559832
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Call
Purchased
IRO EUR 5Y C 0.45000 L 05/09/22 BRC
0
-300000.00000000
EUR
0.45000000
EUR
2022-05-09
XXXX
-1871.07000000
N
N
N
UNITED KIN 1.75% 01/22/49/GBP/
N/A
UNITED KINGDOM GILT /GBP/ REGD REG S 1.75000000
G4527HEG2
500000.00000000
NS
691012.25000000
0.415699163792
Long
DBT
NUSS
GB
N
2
2049-01-22
Fixed
1.75000000
N
N
N
N
N
N
JYSKE REALKRE 3% 10/01/47/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 3.00000000
K1R19DCF2
0.89000000
NS
0.14000000
0.000000084221
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
BRL/USD FWD 20220303 000011091 USD
N/A
1.00000000
NC
N/A
-5715.26000000
-0.00343818623
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-5715.26000000
USD
0.00000000
N/A
2022-03-03
-5715.26000000
N
N
N
VM CASH FUT FOR BCY EUR
N/A
VM CASH FUT FOR BCY EUR 0.00000000
N/A
10259.22000000
NS
11503.66000000
0.006920372023
Long
CORP
N/A
N
2
N
N
N
ESA 2021-ESH A V/R 07/15/26
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH SER 2021-ESH CL A V/R REGD 144A P/P 1.27200000
30227FAA8
397553.25000000
NS
USD
394261.67000000
0.237179943675
Long
ABS-CBDO
CORP
US
Y
2
2038-07-15
Variable
1.27200000
N
N
N
N
N
N
VM CASH FUT DOM BCY USD
N/A
VM CASH FUT DOM BCY USD 0.00000000
N/A
6832.00000000
NS
USD
6832.00000000
0.004109994702
Long
CORP
US
N
2
N
N
N
NRZT 2019-RPL3 A V/R 07/25/59
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL A1 V/R REGD 144A P/P 2.75000000
64830NAA9
250609.98000000
NS
USD
251294.07000000
0.151173491880
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
LUDGATE FUNDING PLC SER 2007-1 CL A2A V/R REGD /GBP/ 0.63820000
G571A3AW5
437822.82000000
NS
566378.77000000
0.340722152289
Long
ABS-CBDO
CORP
GB
N
2
2061-01-01
Variable
0.63820000
N
N
N
N
N
N
JPMMT 2022-INV1 V/R 03/25/52
N/A
JP MORGAN MORTGAGE TRUST SER 2022-INV1 CL A3 V/R REGD 144A P/P 3.00000000
465973AC9
693146.85000000
NS
USD
689104.35000000
0.414551409270
Long
ABS-CBDO
CORP
US
Y
2
2052-03-25
Variable
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS R00.34PSS1D 05/16/27 BARC FIXED
N/A
1.00000000
NC
3277.86000000
0.001971895087
N/A
DIR
CH
N
2
UBS AG STAMFORD BRANCH
254900R882POXXVAK772
N/A
N/A
Y
2027-05-16
-431685.73000000
CHF
431685.73000000
CHF
436205.01635769
CHF
3277.86000000
N
N
N
P/O EURO-SCHATZ OP APR22 109.6
N/A
PUT OPTION ON EURO-SCHATZ OPT APR22 109.6 /EUR/ 0.00000000
N/A
166.00000000
NC
930.68000000
0.000559878493
N/A
DO
CORP
DE
N
1
SOCIETE GENERALE INTERNATIONAL
0IKLU6X1B10WK7X42C15
Put
Written
P/O EURO-SCHATZ OP APR22 109.6
0
166000.00000000
EUR
109.60000000
EUR
2022-03-25
XXXX
-174.62000000
N
N
N
GSMBS 2021-GR3 A V/R 04/25/52
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 SER 2021-GR3 CL A2 V/R REGD 144A P/P 2.50000000
36263TAB8
97432.04000000
NS
USD
93443.42000000
0.056213694555
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
FANNIE MAE REMICS SER 2009-104 CL FA V/R 0.98686000
31398GBB4
64079.48000000
NS
USD
63879.42000000
0.038428582818
Long
ABS-CBDO
CORP
US
N
2
2039-12-25
Variable
0.98686000
N
N
N
N
N
N
N/A
N/A
IRS R04.87PMXIE 07/07/25 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-139754.16000000
-0.08407331049
N/A
DIR
MX
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-07-07
-1570319.46000000
MXN
1480122.95000000
MXN
1528428.52643376
MXN
-52670.06000000
N
N
N
N/A
N/A
GBP/USD FWD 20220302 000004334 USD
N/A
1.00000000
NC
N/A
-3605.20000000
-0.00216881629
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-614078.78000000
USD
455000.00000000
GBP
2022-03-02
-3605.20000000
N
N
N
OZLM 2014-9A A1A V/R 10/20/31
N/A
OZLM IX LTD SER 2014-9A CL A1A3 V/R REGD 144A P/P 1.35400000
67109KBC7
500000.00000000
NS
USD
498274.50000000
0.299751984120
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-20
Variable
1.35400000
N
N
N
N
N
N
VIBR 2017-7A A1R V/R 09/15/30
N/A
VIBRANT CLO VII LTD SER 2017-7A CL A1R V/R REGD 144A P/P 1.29400000
92558BAJ7
300000.00000000
NS
USD
298319.40000000
0.179462990884
Long
ABS-CBDO
CORP
KY
Y
2
2030-09-15
Variable
1.29400000
N
N
N
N
N
N
MEFA 2008-1 A1 V/R 04/25/38
5493007K5OP7V6CL0Y88
MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY SER 2008-1 CL A1 V/R 1.20771000
57563NAA6
49667.01000000
NS
USD
49724.38000000
0.029913193559
Long
ABS-CBDO
CORP
US
N
2
2038-04-25
Variable
1.20771000
N
N
N
N
N
N
N/A
N/A
IRS R01.58PCD03 07/19/31 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-9711.72000000
-0.00584237672
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2031-07-19
-156128.02000000
CAD
150148.58000000
CAD
157766.03297310
CAD
-1832.20000000
N
N
N
N/A
N/A
IRS R00.50PER6M 09/21/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-230590.02000000
-0.13871834904
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-09-21
-12497489.60000000
EUR
12248461.75000000
EUR
12446429.61383707
EUR
18437.83000000
N
N
N
CWHL 2005-11 3A1 V/R 04/25/35
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 3A1 V/R REGD 2.49983200
12669GUM1
15351.86000000
NS
USD
13441.90000000
0.008086378482
Long
ABS-CBDO
CORP
US
N
2
2035-04-25
Variable
2.49983200
N
N
N
N
N
N
JYSKE REALK 1.5% 10/01/53/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER CCE 1.50000000
K5S69JBQ5
497926.94000000
NS
68809.13000000
0.041394197863
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
TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL A1 V/R REGD 144A P/P 2.90000000
89178BAA2
771427.03000000
NS
USD
778427.34000000
0.468286335460
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
2.90000000
N
N
N
N
N
N
N/A
N/A
IRS R01.00PUS3M 12/16/25 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-24296.04000000
-0.01461601225
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-12-16
-1000000.00000000
USD
1008175.61000000
USD
1000000.00000000
USD
-26708.87000000
N
N
N
DRYD 2017-2 V/R 04/15/33 /EUR/
N/A
DRYDEN 27 R EURO CLO 2017 DAC SER 2017-27A CL AR V/R REGD 144A P/P /EUR/ 0.66000000
N/A
300000.00000000
NS
333114.90000000
0.200395268501
Long
ABS-CBDO
CORP
IE
Y
2
2033-04-15
Variable
0.66000000
N
N
N
N
N
N
N/A
N/A
IRS PMUTKR00.05 12/15/31 BARC FLOAT
N/A
1.00000000
NC
34402.79000000
0.020696031126
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2031-12-15
-2264342.03000000
JPY
2266073.31000000
JPY
2261754.59962594
JPY
32617.80000000
N
N
N
A10 2020-C A 2.021% 08/15/40
N/A
A10 BRIDGE ASSET FINANCING 2020-C LLC SER 2020-C CL A REGD 144A P/P 2.02100000
66981EAA1
127606.64000000
NS
USD
127727.41000000
0.076838257976
Long
ABS-CBDO
CORP
US
Y
2
2040-08-15
Fixed
2.02100000
N
N
N
N
N
N
CASH COLLATERAL 0.5% 12/31/60
N/A
CASH COLLATERAL LCH BCY USD REGD 0.50000000
N/A
569000.00000000
NS
USD
569000.00000000
0.342299031887
Long
STIV
CORP
US
N
2
2060-12-31
Variable
0.50000000
N
N
N
N
N
N
N/A
N/A
IRS R01.63PUS3M 01/26/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-2949.52000000
-0.00177437230
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-01-26
-200000.00000000
USD
200000.00000000
USD
200000.00000000
USD
-2949.52000000
N
N
N
C/O OTC ECAL FN 2.5 4-52 100
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 4-52 100 14+ JPM 0.00000000
N/A
-200000.00000000
NC
USD
-123.18000000
-0.00007410262
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
C/O OTC ECAL FN 2.5 4-52 100
0
-200000.00000000
USD
100.45312500
USD
2022-04-06
XXXX
501.82000000
N
N
N
UMBS P#BJ8703 3.5% 05/01/49
N/A
FANNIE MAE POOL UMBS P#BJ8703 3.50000000
3140HAU57
41187.71000000
NS
USD
43205.13000000
0.025991343008
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
WASHINGTON MUTUAL MSC MORTGAGE PASS-THROUG SER 2002-AR3 CL 1A7 V/R REGD 2.08232400
939336KZ5
50154.65000000
NS
USD
51268.33000000
0.030842003032
Long
ABS-CBDO
CORP
US
N
2
2032-12-25
Variable
2.08232400
N
N
N
N
N
N
FRANCE (GO 0.75% 05/25/52/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD REG S 0.75000000
F43750KX9
1150000.00000000
NS
1144854.89000000
0.688721828645
Long
DBT
USGA
FR
N
2
2052-05-25
Fixed
0.75000000
N
N
N
N
N
N
JAPAN TREASU ZCP 05/09/22/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1055 0.00000000
J2S39LSN5
130000000.00000000
PA
1131157.76000000
0.680481908893
Long
STIV
USGA
JP
N
2
2022-05-09
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
CDS JP1200551248 01.000 BP 06/20/2022 BARCGB33XXX LONG
N/A
1.00000000
NC
USD
-20291.30000000
-0.01220684067
N/A
DCR
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
JAPAN (20 YEA 2% 03/21/22/JPY/
JAPAN (20 YEA 2% 03/21/22/JPY/
Y
2022-06-20
-400000.00000000
USD
385878.65000000
USD
400000.00000000
USD
12130.03000000
N
N
N
VM CASH CCP LCH BCY CAD
N/A
VM CASH CCP LCH BCY CAD 0.00000000
N/A
1211.02000000
NS
955.29000000
0.000574683378
Long
CORP
CA
N
2
N
N
N
FNW 2004-W12 1A1 6% 7/25/44
N/A
FNW 2004-W12 1A1 6% 7/25/44 6.00000000
31394A6Y7
31702.94000000
NS
USD
35292.37000000
0.021231184681
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
DEUTSCHE BANK NY REGD V/R 144A 2.55200000
25160PAH0
400000.00000000
NS
USD
385912.67000000
0.232157352081
Long
DBT
CORP
US
Y
2
2028-01-07
Variable
2.55200000
N
N
N
N
N
N
BOC AVIATION LT 2.75% 09/18/22
N/A
BOC AVIATION LTD REGD 144A P/P MTN 2.75000000
09681LAD2
200000.00000000
NS
USD
200781.70000000
0.120786259280
Long
DBT
CORP
SG
Y
2
2022-09-18
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
IRS R01.25PCD03 06/16/31 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-34787.63000000
-0.02092754318
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2031-06-16
-392480.09000000
CAD
373721.63000000
CAD
394415.08243275
CAD
-12743.86000000
N
N
N
FHR 4579 FD V/R 01/15/38
N/A
FREDDIE MAC REMICS SER 4579 CL FD V/R 0.45188000
3137BPPH6
109208.58000000
NS
USD
109252.29000000
0.065723994900
Long
ABS-CBDO
CORP
US
N
2
2038-01-15
Variable
0.45188000
N
N
N
N
N
N
HLSY 2020-3A A1A V/R 11/30/32
N/A
HALSEYPOINT CLO 3 LTD SER 2020-3A CL A1A V/R REGD 144A P/P 1.74900000
40638UAA7
400000.00000000
NS
USD
400447.40000000
0.240901155258
Long
ABS-CBDO
CORP
KY
Y
2
2032-11-30
Variable
1.74900000
N
N
N
N
N
N
ROMANIA 2% 04/14/33/EUR/
N/A
ROMANIA /EUR/ REGD 144A P/P 2.00000000
X7360WBV3
100000.00000000
NS
86870.02000000
0.052259268446
Long
DBT
USGA
RO
Y
2
2033-04-14
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS P01.25RSO1D 09/15/31 BARC FIXED
N/A
1.00000000
NC
-6666.91000000
-0.00401067985
N/A
DIR
SG
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2031-09-15
-146439.69000000
SGD
141047.24000000
SGD
147530.70482794
SGD
-977.07000000
N
N
N
N/A
N/A
USD/ZAR FWD 20220615 000011091 USD
N/A
1.00000000
NC
N/A
-2131.40000000
-0.00128220765
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-126357.00000000
USD
1936294.67000000
ZAR
2022-06-15
-2131.40000000
N
N
N
N/A
N/A
IRS P00.40RMUTK 12/15/51 BARC FIXED
N/A
1.00000000
NC
-69140.92000000
-0.04159379609
N/A
DIR
JP
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2051-12-15
-835975.73000000
JPY
806656.99000000
JPY
826410.33447871
JPY
-39623.89000000
N
N
N
HVMLT 2005-2 2A1 V/R 05/19/35
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2005-2 SER 2005-2 CL 2A1A V/R REGD 0.61071000
41161PLR2
11477.93000000
NS
USD
11067.99000000
0.006658281655
Long
ABS-CBDO
CORP
US
N
2
2035-05-19
Variable
0.61071000
N
N
N
N
N
N
NGATE 07-1X A3 V/R 12/1/50
N/A
NGATE 07-1X A3 V/R 12/1/50 0.26663000
G6484AAR3
523177.34000000
NS
679067.76000000
0.408513597248
Long
ABS-CBDO
CORP
GB
N
2
2050-12-01
Variable
0.26663000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20220411 000011091 USD
N/A
1.00000000
NC
N/A
-5867.31000000
-0.00352965647
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-80000000.00000000
JPY
690715.06000000
USD
2022-04-11
-5867.31000000
N
N
N
DELL INT LLC / E 4.9% 10/01/26
N/A
DELL INT LLC / EMC CORP REGD 4.90000000
24703TAE6
200000.00000000
NS
USD
216942.33000000
0.130508171413
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.90000000
N
N
N
N
N
N
BSSP 2007-R6 V/R 1/26/36
N/A
BSSP 2007-R6 V/R 1/26/36 2.72412000
07402FAA3
48734.59000000
NS
USD
40632.77000000
0.024443862625
Long
ABS-CBDO
CORP
US
N
2
2036-01-26
Variable
2.72412000
N
N
N
N
N
N
VM CASH CCP LCH BCY EUR
N/A
VM CASH CCP LCH BCY EUR 0.00000000
N/A
8219.29000000
NS
9216.29000000
0.005544335930
Long
CORP
N/A
N
2
N
N
N
CWHL 2005-9 1A3 V/R 05/25/35
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-9 SER 2005-9 CL 1A3 V/R REGD 0.64686000
12669GZQ7
53475.34000000
NS
USD
47215.25000000
0.028403751081
Long
ABS-CBDO
CORP
US
N
2
2035-05-25
Variable
0.64686000
N
N
N
N
N
N
AWPT 2017-8A A1R V/R 10/25/30
N/A
ELEVATION CLO 2017-8 LTD SER 2017-8A CL A1R2 V/R REGD 144A P/P 1.20771000
28622VAN0
400000.00000000
NS
USD
398004.40000000
0.239431495267
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-25
Variable
1.20771000
N
N
N
N
N
N
F/C LONG GILT FUTURE JUN22
N/A
FUTURE CONTRACT ON LONG GILT FUTURE JUN22 /GBP/ 0.00000000
N/A
-33.00000000
NC
-5449502.27000000
-3.27831168944
N/A
DIR
CORP
GB
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C LONG GILT FUTURE JUN22
LONG GILT FUTURE JUN22 /GBP/
2022-06-28
5448549.66000000
GBP
-952.61000000
N
N
N
N/A
N/A
IRS R01.50PUS3M 12/15/28 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-66763.96000000
-0.04016386445
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2028-12-15
-3100000.00000000
USD
3155638.43000000
USD
3100000.00000000
USD
-122402.39000000
N
N
N
F/C EURO-BOBL FUTURE JUN22
N/A
FUTURE CONTRACT ON EURO-BOBL FUTURE JUN22 /EUR/ 0.00000000
N/A
-81.00000000
NC
-11982581.45000000
-7.20848159903
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C EURO-BOBL FUTURE JUN22
EURO-BOBL FUTURE JUN22 /EUR/
2022-06-08
11951700.85000000
EUR
-30880.60000000
N
N
N
N/A
N/A
CDS JP1200551248 01.000 BP 06/20/2022 GSILGB2XXXX LONG
N/A
1.00000000
NC
USD
-25341.94000000
-0.01524520479
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
JAPAN (20 YEA 2% 03/21/22/JPY/
JAPAN (20 YEA 2% 03/21/22/JPY/
Y
2022-06-20
-500000.00000000
USD
482346.64000000
USD
500000.00000000
USD
15164.21000000
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000009049 USD
N/A
1.00000000
NC
N/A
-2398.01000000
-0.00144259490
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-132213.60000000
USD
860000.00000000
DKK
2022-04-01
-2398.01000000
N
N
N
N/A
N/A
CHF/USD FWD 20220302 000003534 USD
N/A
1.00000000
NC
N/A
6004.18000000
0.003611994729
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-546779.93000000
USD
506903.03000000
CHF
2022-03-02
6004.18000000
N
N
N
N/A
N/A
CHF/USD FWD 20220302 000000642 USD
N/A
1.00000000
NC
N/A
-2724.39000000
-0.00163893859
N/A
DFE
N/A
N
2
UBS AG STAMFORD BRANCH
254900R882POXXVAK772
-375000.00000000
CHF
406217.81000000
USD
2022-03-02
-2724.39000000
N
N
N
CASH COLLATERAL V/R 12/31/49
N/A
CASH COLLATERAL USD -0.02000000
N/A
-20000.00000000
NS
USD
-20000.00000000
-0.01203160041
Short
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
CAMPBELL SOUP C 3.65% 03/15/23
5493007JDSMX8Z5Z1902
CAMPBELL SOUP CO REGD SER 5Y 3.65000000
134429BE8
58000.00000000
NS
USD
59111.51000000
0.035560303420
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.65000000
N
N
N
N
N
N
CAIXABANK SA V/R /PERP//EUR/
7CUNS533WID6K7DGFI87
CAIXABANK SA /EUR/ REGD V/R /PERP/ REG S SER ... 6.75000000
E2R1AJ297
200000.00000000
NS
238063.87000000
0.143214467888
Long
DBT
CORP
ES
N
2
2168-09-13
Variable
6.75000000
N
N
N
N
N
N
CASH COLL ISDA V/R 12/31/49
N/A
CASH COLATERAL ISDA BPS USD -0.02000000
N/A
371000.00000000
NS
USD
371000.00000000
0.223186187751
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
DBALT 2007-3 2A1 V/R 11/25/15
N/A
DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES SER 2007-3 CL 2A1 V/R REGD 0.93686000
25151KAC3
464191.81000000
NS
USD
433322.36000000
0.260678074382
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.93686000
N
N
N
N
N
N
N/A
N/A
IRS P00.25RSO/N 03/16/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-40413.60000000
-0.02431201433
N/A
DIR
GB
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2024-03-16
-1522729.97000000
GBP
1517217.24000000
GBP
1475869.97537216
GBP
-34900.87000000
N
N
N
ORO USD 5Y C 1.17100 L 04/13/22 BOA
N/A
ORO USD 5Y C 1.17100 L 04/13/22 BOA 0.00000000
N/A
-1400000.00000000
NC
USD
-1283.66000000
-0.00077222420
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Call
Purchased
ORO USD 5Y C 1.17100 L 04/13/22 BOA
0
-1400000.00000000
USD
1.17100000
USD
2022-04-13
XXXX
-1283.66000000
N
N
N
N/A
N/A
IRS R00.20PMUTK 06/19/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
3721.13000000
0.002238557463
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2029-06-19
-3632497.56000000
JPY
3688037.38000000
JPY
3566613.02248706
JPY
-45783.43000000
N
N
N
JYSKE REALK 1.5% 10/01/50/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 1.50000000
K1R19DHJ9
0.98000000
NS
0.14000000
0.000000084221
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
REPUBLIC O 5.35% 08/12/40/PEN/
N/A
REPUBLIC OF PERU /PEN/ REGD 144A P/P 5.35000000
715638DB5
200000.00000000
NS
44612.52000000
0.026838000713
Long
DBT
USGA
PE
Y
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 02/24/33
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 3.10200000
38141GZM9
600000.00000000
NS
USD
590596.67000000
0.355291157077
Long
DBT
CORP
US
N
2
2033-02-24
Variable
3.10200000
N
N
N
N
N
N
N/A
N/A
CDS US50064FAJ30 01.000 BP 06/20/2023 CHASUS33XXX LONG
N/A
1.00000000
NC
USD
-19193.01000000
-0.01154613135
N/A
DCR
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Korea, 7.125% 16apr2019
Korea, 7.125% 16apr2019
Y
2023-06-20
-400000.00000000
USD
390419.80000000
USD
400000.00000000
USD
4509.39000000
N
N
N
BNP PARIBAS V/R 09/15/29
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R 144A P/P 2.15900000
09659W2R4
200000.00000000
NS
USD
185544.43000000
0.111619822075
Long
DBT
CORP
FR
Y
2
2029-09-15
Variable
2.15900000
N
N
N
N
N
N
NATWEST GROUP PLC V/R /PERP/
N/A
NATWEST GROUP PLC REGD V/R /PERP/ 6.00000000
780097BQ3
200000.00000000
NS
USD
207000.00000000
0.124527064324
Long
DBT
CORP
GB
N
2
2170-09-30
Variable
6.00000000
N
N
N
N
N
N
SVHE 2006-3 A4 V/R 11/25/36
N/A
SOUNDVIEW HOME LOAN TRUST 2006-3 SER 2006-3 CL A4 V/R REGD 0.68686000
83612HAD0
1213385.24000000
NS
USD
1185311.75000000
0.713059867329
Long
ABS-CBDO
CORP
US
N
2
2036-11-25
Variable
0.68686000
N
N
N
N
N
N
VM CASH FUT FOR BCY JPY
N/A
VM CASH FUT FOR BCY JPY 0.00000000
N/A
1115088.00000000
NS
9700.21000000
0.005835452534
Long
CORP
JP
N
2
N
N
N
UMBS P#FM4086 3.5% 06/01/50
N/A
FANNIE MAE POOL UMBS P#FM4086 3.50000000
3140X7RG6
273951.72000000
NS
USD
284303.80000000
0.171031485943
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
CASH COLLATERAL CME FOB
N/A
CASH COLLATERAL CME FOB /CCFOBHUS0 -0.02000000
N/A
88000.00000000
NS
USD
88000.00000000
0.052939041838
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
TREASURY C 4.25% 12/20/32/AUD/
N/A
TREASURY CORP VICTORIA /AUD/ REGD 4.25000000
Q9194YCC6
150000.00000000
NS
126168.03000000
0.075900166123
Long
DBT
USGA
AU
N
2
2032-12-20
Fixed
4.25000000
N
N
N
N
N
N
GSMBS 2021-INV1 V/R 12/25/43
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 SER 2021-INV1 CL A2 V/R REGD 144A P/P 2.50000000
36263KAB7
94711.10000000
NS
USD
91192.79000000
0.054859760513
Long
ABS-CBDO
CORP
US
Y
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
FRANCE (GOV 0.5% 05/25/72/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD 0.50000000
F43750LU4
500000.00000000
NS
387899.15000000
0.233352378761
Long
DBT
USGA
FR
Y
2
2072-05-25
Fixed
0.50000000
N
N
N
N
N
N
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 BOA
N/A
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 BOA 0.00000000
N/A
-800000.00000000
NC
-325.45000000
-0.00019578421
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 BOA
0
-800000.00000000
EUR
0.90000000
EUR
2022-03-16
XXXX
-325.45000000
N
N
N
SASC 2006-RF1 1A V/R 01/25/36
N/A
STRUCTURED ASSET SECURITIES CORP SER 2006-RF1 CL 1A V/R REGD 144A P/P 0.46686000
86359DXP7
51966.74000000
NS
USD
49809.10000000
0.029964159418
Long
ABS-CBDO
CORP
US
Y
2
2036-01-25
Variable
0.46686000
N
N
N
N
N
N
BNPAM 2019- V/R 07/22/32 /EUR/
N/A
BNPP AM EURO CLO 2019 DAC SER 2019-1A CL AR V/R REGD 144A P/P /EUR/ 0.82000000
N/A
300000.00000000
NS
335003.45000000
0.201531382450
Long
ABS-CBDO
CORP
IE
Y
2
2032-07-22
Variable
0.82000000
N
N
N
N
N
N
FSPC T-62 1A1 V/R 10/25/44
N/A
FSPC T-62 1A1 V/R 10/25/44 1.30372000
31395HHV5
22556.86000000
NS
USD
23088.50000000
0.013889580312
Long
ABS-CBDO
CORP
US
N
2
2044-10-25
Variable
1.30372000
N
N
N
N
N
N
N/A
N/A
BRL/USD FWD 20220404 000011091 USD
N/A
1.00000000
NC
N/A
-1053.81000000
-0.00063395104
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-344873.82000000
USD
1791309.13000000
BRL
2022-04-04
-1053.81000000
N
N
N
BNP PARIBAS V/R 01/10/30
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R 144A P/P 5.19800000
09659W2H6
300000.00000000
NS
USD
333450.08000000
0.200596906093
Long
DBT
CORP
FR
Y
2
2030-01-10
Variable
5.19800000
N
N
N
N
N
N
DEUTSCHE BANK NY V/R 01/14/32
N/A
DEUTSCHE BANK NY REGD V/R 3.72900000
251526CF4
200000.00000000
NS
USD
187636.56000000
0.112878405685
Long
DBT
CORP
US
N
2
2032-01-14
Variable
3.72900000
N
N
N
N
N
N
GNR 2016-H15 FA V/R 07/20/66
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-H15 CL FA V/R 0.90125000
38376RWY8
297056.64000000
NS
USD
299794.20000000
0.180350201099
Long
ABS-CBDO
CORP
US
N
2
2066-07-20
Variable
0.90125000
N
N
N
N
N
N
N/A
N/A
IRS R01.50PCD03 06/17/22 BARCUS3BXXX FIXED
N/A
1.00000000
NC
1958.23000000
0.001178032044
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2022-06-17
-238312.75000000
CAD
240509.13000000
CAD
236649.04945965
CAD
1234.32000000
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000018337 USD
N/A
1.00000000
NC
N/A
-1056.27000000
-0.00063543092
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-121814.96000000
USD
800000.00000000
DKK
2022-04-01
-1056.27000000
N
N
N
BANCO ESPIRIT 4% 01/21/19/EUR/
635400JV7IJL16OWIT96
BANCO ESPIRITO SANTO SA /EUR/ REGD REG S EMTN 0.00000000
X0346XAT1
200000.00000000
NS
39245.50000000
0.023609308709
Long
DBT
CORP
PT
N
2
2049-01-21
Fixed
0.00000000
Y
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20220404 000006038 USD
N/A
1.00000000
NC
N/A
-32274.51000000
-0.01941570040
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-4192021.76000000
CAD
3275017.00000000
USD
2022-04-04
-32274.51000000
N
N
N
MALAYSIA 3.828% 07/05/34/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0419 3.82800000
Y2R35QCD1
800000.00000000
NS
187185.67000000
0.112607159269
Long
DBT
USGA
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
NORDEA KREDIT 2% 10/01/47/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 2.00000000
K7S724CD7
0.26000000
NS
0.04000000
0.000000024063
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20220316 000004066 USD
N/A
1.00000000
NC
N/A
485.55000000
0.000292097179
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-58560.00000000
USD
373333.18000000
CNY
2022-03-16
485.55000000
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000006038 USD
N/A
1.00000000
NC
N/A
112275.50000000
0.067542697635
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-15567449.74000000
DKK
2462156.56000000
USD
2022-04-01
112275.50000000
N
N
N
BSARM 2004-2 23A V/R 05/25/34
N/A
BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 23A V/R REGD 2.96645300
07384MN57
5192.44000000
NS
USD
5003.92000000
0.003010258298
Long
ABS-CBDO
CORP
US
N
2
2034-05-25
Variable
2.96645300
N
N
N
N
N
N
EHMU 2007-1 V/R 06/15/44 /GBP/
N/A
EUROHOME UK MORTGAGES 2007 -1 PLC SER 2007-1 CL A V/R REGD /GBP/ 0.24838000
G3224PAB7
133222.05000000
NS
175488.37000000
0.105570297291
Long
ABS-CBDO
CORP
GB
N
2
2044-06-15
Variable
0.24838000
N
N
N
N
N
N
SAMI 2006-AR5 1A V/R 05/25/36
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR5 SER 2006-AR5 CL 1A1 V/R REGD 0.60686000
86360JAA9
19228.69000000
NS
USD
18841.92000000
0.011334922627
Long
ABS-CBDO
CORP
US
N
2
2036-05-25
Variable
0.60686000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MPUS1M 03/18/22 BARC FLOAT
N/A
1.00000000
NC
USD
-3338.53000000
-0.00200839294
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-03-18
-32200000.00000000
USD
32184586.28000000
USD
32200000.00000000
USD
6828.66000000
N
N
N
PSTAT 2021-3A A1 V/R 07/20/29
N/A
PALMER SQUARE LOAN FUNDING 2021-3 LTD SER 2021-3A CL A1 V/R REGD 144A P/P 1.05400000
69702BAA9
350696.28000000
NS
USD
350058.01000000
0.210587904969
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-20
Variable
1.05400000
N
N
N
N
N
N
BSARM 2004-2 22A V/R 05/25/34
N/A
BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 22A V/R REGD 2.40932200
07384MN32
8687.28000000
NS
USD
8629.32000000
0.005191226505
Long
ABS-CBDO
CORP
US
N
2
2034-05-25
Variable
2.40932200
N
N
N
N
N
N
ORO USD 10Y P 1.76500 L 03/14/22 GLM
N/A
ORO USD 10Y P 1.76500 L 03/14/22 GLM 0.00000000
N/A
-300000.00000000
NC
USD
-987.63000000
-0.00059413847
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
ORO USD 10Y P 1.76500 L 03/14/22 GLM
0
-300000.00000000
USD
1.76500000
USD
2022-03-14
XXXX
-987.63000000
N
N
N
N/A
N/A
PLN/USD FWD 20220316 000011091 USD
N/A
1.00000000
NC
N/A
300.27000000
0.000180636432
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-31988.85000000
PLN
7912.00000000
USD
2022-03-16
300.27000000
N
N
N
N/A
N/A
CDS NA 01.000 NA 06/20/2022 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
861.97000000
0.000518543930
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
BARCLAYS CAPITAL
BARCLAYS CAPITAL
Y
2022-06-20
-100000.00000000
USD
100725.17000000
USD
100000.00000000
USD
-296.54000000
N
N
N
JAPAN TREASU ZCP 04/11/22/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1050 0.00000000
J2S39LSA3
80000000.00000000
PA
696105.43000000
0.418763119122
Long
STIV
USGA
JP
N
2
2022-04-11
Fixed
0.00000000
N
N
N
N
N
N
APID 2016-24A A1 V/R 10/20/30
N/A
APIDOS CLO XXIV SER 2016-24A CL A1AL V/R REGD 144A P/P 1.20400000
03759CAS9
400000.00000000
NS
USD
398242.72000000
0.239574863817
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-20
Variable
1.20400000
N
N
N
N
N
N
F/C JPN 10Y BOND(OSE) MAR22
N/A
FUTURE CONTRACT ON JPN 10Y BOND(OSE) MAR22 /JPY/ 0.00000000
N/A
-3.00000000
NC
-3927623.85000000
-2.36278003774
N/A
DIR
CORP
JP
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C JPN 10Y BOND(OSE) MAR22
JPN 10Y BOND(OSE) MAR22 /JPY/
2022-03-14
3963985.91000000
JPY
36362.05000000
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000006038 USD
N/A
1.00000000
NC
N/A
-1147.96000000
-0.00069058980
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-128976.16000000
USD
114000.00000000
EUR
2022-03-02
-1147.96000000
N
N
N
WAMU 2003-AR9 2A V/R 09/25/33
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR9 SER 2003-AR9 CL 2A V/R REGD 2.37322500
92922FBX5
67359.74000000
NS
USD
66830.46000000
0.040203869523
Long
ABS-CBDO
CORP
US
N
2
2033-09-25
Variable
2.37322500
N
N
N
N
N
N
JAPAN (30 Y 0.5% 09/20/46/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 52 0.50000000
J2S39KQK5
152000000.00000000
NS
1243318.05000000
0.747955298495
Long
DBT
USGA
JP
N
2
2046-09-20
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
CDS JP1200551248 01.000 BP 06/20/2022 BOFAUS6NGFX LONG
N/A
1.00000000
NC
USD
-10012.34000000
-0.00602322370
N/A
DCR
US
N
2
BANK OF AMERICA, N.A.
N/A
JAPAN (20 YEA 2% 03/21/22/JPY/
JAPAN (20 YEA 2% 03/21/22/JPY/
Y
2022-06-20
-200000.00000000
USD
193086.52000000
USD
200000.00000000
USD
5917.82000000
N
N
N
N/A
N/A
IRS PUS3MR00.25 03/30/23 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
11701.93000000
0.007039647293
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2023-03-30
-1199878.35000000
USD
1200000.00000000
USD
1200000.00000000
USD
17670.78000000
N
N
N
NORDEA KREDIT 2% 10/01/50/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD REG S SER CC2 2.00000000
K7S724EP8
0.70000000
NS
0.10000000
0.000000060158
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
CWALT 2007-11T V/R 05/25/37
N/A
CWALT 2007-11T V/R 05/25/37 0.53686000
02150GAN8
34574.27000000
NS
USD
10407.74000000
0.006261088446
Long
ABS-CBDO
CORP
US
N
2
2037-05-25
Variable
0.53686000
N
N
N
N
N
N
CSMC 2021-INV1 A V/R 07/25/56
N/A
CSMC 2021-INV1TRUST SER 2021-INV1 CL A3 V/R REGD 144A P/P 2.50000000
12661XAC6
92702.46000000
NS
USD
89258.77000000
0.053696292721
Long
ABS-CBDO
CORP
US
Y
2
2056-07-25
Variable
2.50000000
N
N
N
N
N
N
C/O OTC ECAL FN 2.5 5-52 98 26+ JPM
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 5-52 98 26+ JPM 0.00000000
N/A
-200000.00000000
NC
USD
-1224.72000000
-0.00073676708
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
C/O OTC ECAL FN 2.5 5-52 98 26+ JPM
0
-200000.00000000
USD
98.82812500
USD
2022-05-05
XXXX
-349.72000000
N
N
N
WINDR 2019-3A AR V/R 04/15/31
N/A
THL CREDIT WIND RIVER 2019-3 CLO LTD SER 2019-3A CL AR V/R REGD 144A P/P 1.32129000
97314JAA3
400000.00000000
NS
USD
398039.20000000
0.239452430252
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Variable
1.32129000
N
N
N
N
N
N
JAPAN FIN ORG 2.625% 04/20/22
5493007YYYNZ4NMEOD64
JAPAN FIN ORG MUNICIPAL REGD 144A P/P MTN 2.62500000
471068AK2
200000.00000000
NS
USD
200536.03000000
0.120638469117
Long
DBT
USGA
JP
Y
2
2022-04-20
Fixed
2.62500000
N
N
N
N
N
N
VM CASH CCP LCH BCY /SEK/
N/A
VM CASH CCP LCH BCY /SEK/ 0.00000000
N/A
64145.15000000
NS
6778.92000000
0.004078062835
Long
CORP
SE
N
2
N
N
N
MARKS & SP 4.25% 12/08/23/GBP/
N/A
MARKS & SPENCER PLC /GBP/ REGD REG S EMTN 4.25000000
G5825LAC2
200000.00000000
NS
272960.00000000
0.164207282502
Long
DBT
CORP
GB
N
2
2023-12-08
Variable
4.25000000
N
N
N
N
N
N
ITRAXX.O P 1.00 EU36 5Y I 05/18/22 BRC
N/A
ITRAXX.O P 1.00 EU36 5Y I 05/18/22 BRC 0.00000000
N/A
-400000.00000000
NC
-793.43000000
-0.00047731163
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 1.00 EU36 5Y I 05/18/22 BRC
0
-400000.00000000
EUR
1.00000000
EUR
2022-05-18
XXXX
-793.43000000
N
N
N
SINGAPORE 2.875% 09/01/30/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 2.87500000
Y7996FSU5
1800000.00000000
NS
1429484.01000000
0.859949020601
Long
DBT
USGA
SG
N
2
2030-09-01
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
CHF/USD FWD 20220302 000006038 USD
N/A
1.00000000
NC
N/A
-782.97000000
-0.00047101910
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-101000.00000000
CHF
109358.80000000
USD
2022-03-02
-782.97000000
N
N
N
N/A
N/A
TRS 3ML/IBOXIG INDX 06/20/22 GST /LONG/
N/A
1.00000000
NC
USD
291726.86000000
0.175497050533
N/A
DE
US
N
2
GOLDMAN SACHS
N/A
TRS 3ML-IBOXIG INDX
TRS 3ML-IBOXIG INDX
Y
2022-06-20
-4500000.00000000
USD
4501296.25000000
USD
4500000.00000000
USD
290430.61000000
N
N
N
BONOS Y OBL 1.9% 10/31/52/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.90000000
E8922AMF4
300000.00000000
NS
336003.14000000
0.202132775981
Long
DBT
USGA
ES
Y
2
2052-10-31
Fixed
1.90000000
N
N
N
N
N
N
JPMMT 2021-INV5 V/R 12/25/51
N/A
J.P. MORGAN MORTGAGE TRUST 2021-INV5 SER 2021-INV5 CL A2 V/R REGD 144A P/P 3.00000000
46653XAD2
380057.58000000
NS
USD
374401.26000000
0.225232317813
Long
ABS-CBDO
CORP
US
Y
2
2051-12-25
Variable
3.00000000
N
N
N
N
N
N
HVMLT 2006-SB1 A V/R 12/19/36
N/A
HARBORVIEW MORTGAGE LOAN TRUST SER 2006-SB1 CL A1A V/R REGD 0.95372000
41162BAA1
50588.48000000
NS
USD
48599.68000000
0.029236596509
Long
ABS-CBDO
CORP
US
N
2
2036-12-19
Variable
0.95372000
N
N
N
N
N
N
NORDEA KRED 1.5% 10/01/53/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000
K7S724JZ1
199204.11000000
NS
27472.40000000
0.016526846965
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS R01.51PUS3M 01/20/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-2195.24000000
-0.00132061252
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-01-20
-100000.00000000
USD
100000.00000000
USD
100000.00000000
USD
-2195.24000000
N
N
N
DEVELOPMENT BK O 2.5% 10/18/22
N/A
DEVELOPMENT BK OF JAPAN REGD REG S 2.50000000
J1R67PBR3
1200000.00000000
NS
USD
1210759.01000000
0.728368430531
Long
DBT
USGA
JP
N
2
2022-10-18
Fixed
2.50000000
N
N
N
N
N
N
OMW 2020-1MW A 2.13% 09/10/27
N/A
MANHATTAN WEST 2020-1MW MORTGAGE TRUST SER 2020-1MW CL A REGD 144A P/P 2.13000000
563136AA8
300000.00000000
NS
USD
288699.03000000
0.173675568499
Long
ABS-CBDO
CORP
US
Y
2
2039-09-10
Fixed
2.13000000
N
N
N
N
N
N
CWL 2007-SEA2 V/R 09/25/37
N/A
CWL 2007-SEA2 V/R 09/25/37 2.18686000
12671CAA4
144733.50000000
NS
USD
145240.41000000
0.087373728882
Long
ABS-CBDO
CORP
US
Y
2
2047-08-25
Variable
2.18686000
N
N
N
N
N
N
F/C US 2YR NOTE (CBT) JUN22
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) JUN22 0.00000000
N/A
-107.00000000
NC
USD
-23029242.13000000
-13.8539319617
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US 2YR NOTE (CBT) JUN22
US 2YR NOTE (CBT) JUN22
2022-06-30
22964875.00000000
USD
-64367.13000000
N
N
N
CREDIT SUISSE GROUP V/R /PERP/
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R /PERP/ 6.25000000
225436AA2
200000.00000000
NS
USD
205294.40000000
0.123501009441
Long
DBT
CORP
CH
Y
2
2170-12-18
Variable
6.25000000
N
N
N
N
N
N
STATE OF QATAR 4.4% 04/16/50
N/A
STATE OF QATAR REGD 144A P/P 4.40000000
74727PBE0
200000.00000000
NS
USD
231254.20000000
0.139117906467
Long
DBT
USGA
QA
Y
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
CDX.O P 1.00 IG37 5Y V1 I 06/15/22 BRC
N/A
CDX.O P 1.00 IG37 5Y V1 I 06/15/22 BRC 0.00000000
N/A
-400000.00000000
NC
USD
-759.36000000
-0.00045681580
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
CDX.O P 1.00 IG37 5Y V1 I 06/15/22 BRC
0
-400000.00000000
USD
1.00000000
USD
2022-06-15
XXXX
-759.36000000
N
N
N
BRITISH TEL 8.625% 12/15/30
N/A
BRITISH TELECOMMUNICATIO REGD 9.62500000
111021AE1
100000.00000000
NS
USD
141094.43000000
0.084879590147
Long
DBT
CORP
GB
N
2
2030-12-15
Variable
9.62500000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20220318 000004334 USD
N/A
1.00000000
NC
N/A
-9167.36000000
-0.00551490062
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-6776000.00000000
MXN
320768.03000000
USD
2022-03-18
-9167.36000000
N
N
N
GALXY 2013-15A A V/R 10/15/30
N/A
GALAXY XV CLO LTD SER 2013-15A CL ARR V/R REGD 144A P/P 1.21129000
36318WAK6
400000.00000000
NS
USD
398330.80000000
0.239627850986
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Variable
1.21129000
N
N
N
N
N
N
N/A
N/A
CDS US712219AG90 01.000 BP 06/20/2023 GSILGB2XXXX LONG
N/A
1.00000000
NC
USD
-23797.90000000
-0.01431634117
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
China, 7.5% 28oct2027
China, 7.5% 28oct2027
Y
2023-06-20
-500000.00000000
USD
490346.50000000
USD
500000.00000000
USD
3577.84000000
N
N
N
N/A
N/A
IRS R00.50PUS3M 06/16/28 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-39783.28000000
-0.02393282641
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2028-06-16
-500000.00000000
USD
478628.88000000
USD
500000.00000000
USD
-16996.05000000
N
N
N
N/A
N/A
CNH/USD FWD 20220316 000000902 USD
N/A
1.00000000
NC
N/A
1177.57000000
0.000708402585
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-127448.00000000
USD
813273.73000000
CNY
2022-03-16
1177.57000000
N
N
N
N/A
N/A
INF SWAP GB NI 3.74 03/15/21-10Y LCH /FLOAT/
N/A
1.00000000
NC
-60698.62000000
-0.03651507708
N/A
DIR
US
N
2
DIRECT PLACEMENT
N/A
GB 10Y
GB 10Y
Y
2031-03-15
-416089.54000000
GBP
413459.99000000
GBP
402509.99000000
GBP
-58069.07000000
N
N
N
TRINI 2021- V/R 07/15/59 /GBP/
N/A
TRINITY SQUARE 2021-1 PLC SER 2021-1A CL A V/R REGD 144A P/P /GBP/ 1.15273000
N/A
168405.16000000
NS
226684.44000000
0.136368830151
Long
ABS-CBDO
CORP
GB
Y
2
2059-07-15
Variable
1.15273000
N
N
N
N
N
N
MALAYSIA 3.757% 05/22/40/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0519 3.75700000
Y2R35QCG4
300000.00000000
NS
67272.93000000
0.040470050634
Long
DBT
USGA
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
RIPON 1RA A V/R 02/28/25 /GBP/
N/A
RIPON MORTGAGES PLC SER 1RA CL A V/R REGD 144A P/P /GBP/ 0.00000000
N/A
1200000.00000000
NS
1607403.52000000
0.966981843144
Long
ABS-CBDO
CORP
GB
Y
2
2056-08-28
Variable
0.00000000
N
N
N
N
N
N
CDX.O P 0.90 IG37 5Y V1 I 05/18/22 BRC
N/A
CDX.O P 0.90 IG37 5Y V1 I 05/18/22 BRC 0.00000000
N/A
-300000.00000000
NC
USD
-555.60000000
-0.00033423785
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
CDX.O P 0.90 IG37 5Y V1 I 05/18/22 BRC
0
-300000.00000000
USD
0.90000000
USD
2022-05-18
XXXX
-555.60000000
N
N
N
ITALY GOV'T I 6% 08/04/28/GBP/
N/A
ITALY GOV'T INT BOND /GBP/ REGD EMTN 6.00000000
T6247AEM4
400000.00000000
NS
644805.71000000
0.387902232493
Long
DBT
USGA
IT
N
2
2028-08-04
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
IRS R01.22PSOFR 08/15/31 BARC FIXED
N/A
1.00000000
NC
USD
-145183.74000000
-0.08733963734
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2031-08-15
-3900000.00000000
USD
3893480.97000000
USD
3900000.00000000
USD
-138664.71000000
N
N
N
BDS 2021-FL10 A V/R 12/16/36
N/A
BDS 2021-FL10 LTD SER 2021-FL10 CL A V/R REGD 144A P/P 1.48671000
07335YAA4
400000.00000000
NS
USD
399139.60000000
0.240114408907
Long
ABS-CBDO
CORP
KY
Y
2
2036-12-16
Variable
1.48671000
N
N
N
N
N
N
N/A
N/A
IRS R01.25PSOFR 06/15/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-26086.56000000
-0.01569315330
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-06-15
-600000.00000000
USD
594711.43000000
USD
600000.00000000
USD
-20797.99000000
N
N
N
BARCLAYS PLC V/R /PERP/
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R /PERP/ REG S SER . 7.87500000
G0809LDY2
200000.00000000
NS
USD
200425.00000000
0.120571675687
Long
DBT
CORP
GB
N
2
2170-12-15
Variable
7.87500000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 05/18/24
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 1.48814000
404280BR9
300000.00000000
NS
USD
302331.89000000
0.181876824702
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
1.48814000
N
N
N
N
N
N
N/A
N/A
IRS RKL3MP03.50 03/16/32 JPM LONG
N/A
1.00000000
NC
305.15000000
0.000183572143
N/A
DIR
MY
N
2
JP MORGAN
N/A
N/A
N/A
Y
2032-03-16
-141559.51000000
MYR
140290.28000000
MYR
142908.18149339
MYR
1574.38000000
N
N
N
N/A
N/A
IRS RUS3MPUS1M 06/12/22 BARC FLOAT
N/A
1.00000000
NC
USD
1214.38000000
0.000730546745
N/A
DIR
US
N
2
DIRECT PLACEMENT
N/A
N/A
N/A
Y
2022-06-12
-1900000.00000000
USD
1899187.60000000
USD
1900000.00000000
USD
81.90000000
N
N
N
NYKREDIT REAL 1% 10/01/53/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 1.00000000
K741812Z8
299659.12000000
NS
38839.31000000
0.023364952921
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.00000000
N
N
N
N
N
N
STATE OF ISRAEL 3.8% 05/13/60
213800T8ZHTFZIBYPE21
STATE OF ISRAEL REGD REG S 3.80000000
M87068AT5
200000.00000000
NS
USD
208464.80000000
0.125408258739
Long
DBT
USGA
IL
N
2
2060-05-13
Fixed
3.80000000
N
N
N
N
N
N
WAMU 2004-AR1 A V/R 03/25/34
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR1 SER 2004-AR1 CL A V/R REGD 2.44079200
92922FLD8
142924.28000000
NS
USD
147213.65000000
0.088560790642
Long
ABS-CBDO
CORP
US
N
2
2034-03-25
Variable
2.44079200
N
N
N
N
N
N
FORD MOTO 2.748% 06/14/24/GBP/
N/A
FORD MOTOR CREDIT CO LLC /GBP/ REGD EMTN 2.74800000
345397B44
100000.00000000
NS
131342.23000000
0.079012861467
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
2.74800000
N
N
N
N
N
N
NORDEA KRED 2.5% 10/01/37/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 2.50000000
K7S724BE6
0.73000000
NS
0.11000000
0.000000066173
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
2.50000000
N
N
N
N
N
N
SMBC AVIATION CAPI 3% 07/15/22
N/A
SMBC AVIATION CAPITAL FI REGD 144A P/P 3.00000000
78448TAB8
200000.00000000
NS
USD
200998.18000000
0.120916489323
Long
DBT
CORP
IE
Y
2
2022-07-15
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20220316 000004066 USD
N/A
1.00000000
NC
N/A
-68.90000000
-0.00004144886
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-369000.00000000
USD
5305487478.00000000
IDR
2022-03-16
-68.90000000
N
N
N
N/A
N/A
IRS R00.00PMUTK 06/19/22 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-55.41000000
-0.00003333354
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-06-19
-265792.50000000
JPY
265792.38000000
JPY
260971.68457222
JPY
-124.76000000
N
N
N
REPUBLIC OF V/R 04/03/22/ARS/
N/A
REPUBLIC OF ARGENTINA /ARS/ REGD V/R 39.23092200
P8S090XH4
4960000.00000000
NS
49533.03000000
0.029798081222
Long
DBT
USGA
AR
N
2
2022-04-03
Variable
39.23092200
N
N
N
N
N
N
SYMP 2014-14A AR V/R 07/14/26
N/A
SYMPHONY CLO XIV LTD SER 2014-14A CL AR V/R REGD 144A P/P 1.18843000
87159QBV9
82763.13000000
NS
USD
82743.85000000
0.049777047011
Long
ABS-CBDO
CORP
KY
Y
2
2026-07-14
Variable
1.18843000
N
N
N
N
N
N
N/A
N/A
NOK/USD FWD 20220302 000004334 USD
N/A
1.00000000
NC
N/A
2099.73000000
0.001263155617
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-432011.79000000
USD
3825000.00000000
NOK
2022-03-02
2099.73000000
N
N
N
RLOC 2007-1 V/R 12/15/43 /GBP/
N/A
RESLOC UK 2007-1 PLC SER 2007-1X CL A3B V/R REGD /GBP/ 0.25838000
G7521KAD5
198018.84000000
NS
259338.45000000
0.156012830169
Long
ABS-CBDO
CORP
GB
N
2
2043-12-15
Variable
0.25838000
N
N
N
N
N
N
MALAYSIA 3.502% 05/31/27/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0307 3.50200000
Y55777TC3
700000.00000000
NS
167371.65000000
0.100687440703
Long
DBT
USGA
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
ARCLO 2022-FL1 A V/R 12/15/26
N/A
ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 20 SER 2022-FL1 CL A V/R REGD 144A P/P 1.50000000
03880XAA4
400000.00000000
NS
USD
400688.00000000
0.241045895411
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Variable
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP01.32 12/21/23 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
243569.20000000
0.146526364424
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2023-12-21
-57642916.30000000
USD
57800000.00000000
USD
57800000.00000000
USD
86485.50000000
N
N
N
FHR 2614 SJ V/R 05/15/33
N/A
FREDDIE MAC REMICS SER 2614 CL SJ V/R 19.13686500
31393QNV0
27931.77000000
NS
USD
35215.43000000
0.021184899115
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Variable
19.13686500
N
N
N
N
N
N
FSPC T-35 A V/R 9/25/31
N/A
FSPC T-35 A V/R 9/25/31 0.46686000
313398VT3
17450.53000000
NS
USD
17339.51000000
0.010431102788
Long
ABS-CBDO
CORP
US
N
2
2031-09-25
Variable
0.46686000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.29 08/25/24 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
6075.08000000
0.003654646753
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-08-25
-1430010.99000000
USD
1400000.00000000
USD
1400000.00000000
USD
27174.48000000
N
N
N
SINGAPORE 2.25% 08/01/36/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 2.25000000
Y6132HMX8
600000.00000000
NS
451092.10000000
0.271367994942
Long
DBT
USGA
SG
N
2
2036-08-01
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20220302 000011553 USD
N/A
1.00000000
NC
N/A
-65820.33000000
-0.03959619549
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-3587873669.00000000
JPY
31145294.18000000
USD
2022-03-02
-65820.33000000
N
N
N
N/A
N/A
IDR/USD FWD 20220316 000011091 USD
N/A
1.00000000
NC
N/A
-37.90000000
-0.00002279988
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-23000.00000000
USD
330211000.00000000
IDR
2022-03-16
-37.90000000
N
N
N
UMBS P#RB5012 3.5% 10/01/39
N/A
FREDDIE MAC POOL UMBS P#RB5012 3.50000000
3133KYR92
41730.33000000
NS
USD
43273.49000000
0.026032467018
Long
ABS-MBS
USGA
US
N
2
2039-10-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS R00.50PSO/N 03/16/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-61046.92000000
-0.03672460740
N/A
DIR
GB
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2027-03-16
-1244009.97000000
GBP
1238005.02000000
GBP
1207529.97984995
GBP
-55041.97000000
N
N
N
JYSKE REALKRE 1% 10/01/50/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER CCE. 1.00000000
K5S69JAN3
2197331.19000000
NS
291179.84000000
0.175167974230
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF CHI 2.75% 01/31/27
N/A
REPUBLIC OF CHILE REGD 2.75000000
168863DX3
300000.00000000
NS
USD
301170.00000000
0.181177854892
Long
DBT
USGA
CL
N
2
2027-01-31
Fixed
2.75000000
N
N
N
N
N
N
SANTANDER HOLDIN 3.4% 01/18/23
N/A
SANTANDER HOLDINGS USA REGD SER WI 3.40000000
80282KAS5
100000.00000000
NS
USD
101517.87000000
0.061071122355
Long
DBT
CORP
US
N
2
2023-01-18
Fixed
3.40000000
N
N
N
N
N
N
MP7 2015-1A AR3 V/R 10/18/28
N/A
MP CLO VII LTD SER 2015-1A CL AR3 V/R REGD 144A P/P 1.13129000
55320RAQ0
393812.03000000
NS
USD
392268.68000000
0.235981000709
Long
ABS-CBDO
CORP
KY
Y
2
2028-10-18
Variable
1.13129000
N
N
N
N
N
N
N/A
N/A
IRS R00.29PSS1D 02/10/27 BARC FIXED
N/A
1.00000000
NC
7540.37000000
0.004536135942
N/A
DIR
CH
N
2
UBS
N/A
N/A
N/A
Y
2027-02-10
-865426.22000000
CHF
865426.22000000
CHF
872410.03271538
CHF
7540.37000000
N
N
N
FNR 2003-34 A1 6% 04/25/43
N/A
FANNIE MAE REMICS SER 2003-34 CL A1 6.00000000
31393CEY5
4640.65000000
NS
USD
5088.85000000
0.003061350489
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
FANNIE MAE POOL UMBS P#889649 6.50000000
31410KL69
1706.90000000
NS
USD
1761.49000000
0.001059677191
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
JPMMT 2003-A2 3A V/R 11/25/33
N/A
JP MORGAN MORTGAGE TRUST 2003-A2 SER 2003-A2 CL 3A1 V/R REGD 1.82160200
466247AZ6
2286.68000000
NS
USD
2316.61000000
0.001393626292
Long
ABS-CBDO
CORP
US
N
2
2033-11-25
Variable
1.82160200
N
N
N
N
N
N
STATE OF QATAR 3.875% 04/23/23
N/A
STATE OF QATAR REGD 3.87500000
M8489SAF4
1000000.00000000
NS
USD
1027536.78000000
0.618145597580
Long
DBT
USGA
QA
N
2
2023-04-23
Fixed
3.87500000
N
N
N
N
N
N
UBS AG 5.125% 05/15/24
N/A
UBS AG REGD REG S 5.12500000
H72108HG3
400000.00000000
NS
USD
416498.80000000
0.250557356805
Long
DBT
CORP
CH
N
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
CDS JP1200551248 01.000 BP 06/20/2022 BNPAFRPPXXX LONG
N/A
1.00000000
NC
USD
-35734.81000000
-0.02149734774
N/A
DCR
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
JAPAN (20 YEA 2% 03/21/22/JPY/
JAPAN (20 YEA 2% 03/21/22/JPY/
Y
2022-06-20
-700000.00000000
USD
674943.06000000
USD
700000.00000000
USD
21572.11000000
N
N
N
NYO 2021-1290 A V/R 11/15/28
N/A
NYO COMMERCIAL MORTGAGE TRUST 2021-1290 SER 2021-1290 CL A V/R REGD 144A P/P 1.28700000
62955HAA5
400000.00000000
NS
USD
393245.56000000
0.236568672200
Long
ABS-CBDO
CORP
US
Y
2
2038-11-15
Variable
1.28700000
N
N
N
N
N
N
N/A
N/A
CNY/USD FWD 20220316 000000902 USD
N/A
1.00000000
NC
N/A
-2134.48000000
-0.00128406052
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-1310014.56000000
CNY
205272.00000000
USD
2022-03-16
-2134.48000000
N
N
N
CHARTER COMM O 4.464% 07/23/22
N/A
CHARTER COMM OPT LLC/CAP REGD SER WI 4.46400000
161175BB9
700000.00000000
NS
USD
705205.07000000
0.424237280744
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46400000
N
N
N
N
N
N
REALKREDIT 1.5% 10/01/53/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER 27S 1.50000000
K8094KZJ5
799263.53000000
NS
108782.35000000
0.065441288385
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
US TIPS 0.125% 07/15/31
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CCM1
312066.00000000
NS
USD
342492.27000000
0.206036506942
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYDZ5 01.000 BP 12/20/2031 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
1120.55000000
0.000674100492
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.IG
CDX.NA.IG
Y
2031-12-20
-502646.50000000
USD
500000.00000000
USD
500000.00000000
USD
2169.83000000
N
N
N
BONOS Y OB 1.45% 10/31/27/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000
E8922AEY2
2000000.00000000
NS
2352765.41000000
1.415376664503
Long
DBT
USGA
ES
N
2
2027-10-31
Fixed
1.45000000
N
N
N
N
N
N
CASH COLL ISDA V/R 12/31/49
N/A
CASH COLLATERAL ISDA BPS USD -0.02000000
N/A
-300000.00000000
NS
USD
-300000.00000000
-0.18047400626
Short
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
MALAYSIA GO 3.9% 11/30/26/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0316 3.90000000
Y55745WS1
900000.00000000
NS
219966.28000000
0.132327319318
Long
DBT
USGA
MY
N
2
2026-11-30
Fixed
3.90000000
N
N
N
N
N
N
BONOS Y OB 0.25% 07/30/24/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD SER 5YR 0.25000000
E8922AHN3
300000.00000000
NS
338816.03000000
0.203824954406
Long
DBT
USGA
ES
Y
2
2024-07-30
Fixed
0.25000000
N
N
N
N
N
N
CDX.O P 101.00 HY37 5Y V1 I 04/20/22 DUB
N/A
CDX.O P 101.00 HY37 5Y V1 I 04/20/22 DUB 0.00000000
N/A
-300000.00000000
NC
USD
-1363.29000000
-0.00082012802
N/A
DCR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
CDX.O P 101.00 HY37 5Y V1 I 04/20/22 DUB
0
-300000.00000000
USD
101.00000000
USD
2022-04-20
XXXX
-1363.29000000
N
N
N
N/A
N/A
IRS RKL3MP03.50 03/16/32 SCX LONG
N/A
1.00000000
NC
203.44000000
0.000122385439
N/A
DIR
MY
N
2
STANDARD CHARTER BANK
N/A
N/A
N/A
Y
2032-03-16
-95181.44000000
MYR
93941.77000000
MYR
95272.12099559
MYR
1443.11000000
N
N
N
PRINCIPAL LFE 1.375% 01/10/25
635400WSLKBQWSOIIT41
PRINCIPAL LFE GLB FND II REGD 144A P/P 1.37500000
74256LET2
100000.00000000
NS
USD
97477.11000000
0.058640281870
Long
DBT
CORP
US
Y
2
2025-01-10
Fixed
1.37500000
N
N
N
N
N
N
SAMI 2007-AR4 A3 V/R 09/25/47
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR4 SER 2007-AR4 CL A3 V/R REGD 0.40686000
86364MAC4
121162.08000000
NS
USD
111456.33000000
0.067049901330
Long
ABS-CBDO
CORP
US
N
2
2047-09-25
Variable
0.40686000
N
N
N
N
N
N
FORD MOTOR CRED 4.25% 09/20/22
N/A
FORD MOTOR CREDIT CO LLC REGD 4.25000000
345397WF6
200000.00000000
NS
USD
202099.00000000
0.121578720642
Long
DBT
CORP
US
N
2
2022-09-20
Fixed
4.25000000
N
N
N
N
N
N
GSMBS 2022-MM1 A V/R 07/25/52
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2022-MM1 SER 2022-MM1 CL A2 V/R REGD 144A P/P 2.50000000
36266PAB3
300000.00000000
NS
USD
287405.19000000
0.172897220204
Long
ABS-CBDO
CORP
US
Y
2
2052-07-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYDZ5 01.000 SP 12/20/2026 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
43164.52000000
0.025966912843
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.IG
CDX.NA.IG
Y
2026-12-20
-2400000.00000000
USD
2455440.32000000
USD
2400000.00000000
USD
1090.87000000
N
N
N
N/A
N/A
IRS RER6MP00.50 03/16/52 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
228076.91000000
0.137206512282
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2052-03-16
-2836207.94000000
EUR
2715239.94000000
EUR
2635054.91824479
EUR
349044.91000000
N
N
N
US T BILL ZCP 03/31/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796N39
600000.00000000
PA
USD
599975.00000000
0.360932973035
Long
STIV
UST
US
N
2
2022-03-31
Fixed
0.00000000
N
N
N
N
N
N
JAPAN (30 Y 0.7% 12/20/48/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 61 0.70000000
J2S39KS98
168000000.00000000
NS
1416880.74000000
0.852367145171
Long
DBT
USGA
JP
N
2
2048-12-20
Fixed
0.70000000
N
N
N
N
N
N
F/C AUST 10Y BOND FUT MAR22
N/A
FUTURE CONTRACT ON AUST 10Y BOND FUT MAR22 /AUD/ 0.00000000
N/A
-7.00000000
NC
-683917.93000000
-0.41143136261
N/A
DIR
CORP
AU
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C AUST 10Y BOND FUT MAR22
AUST 10Y BOND FUT MAR22 /AUD/
2022-03-15
708505.24000000
AUD
24587.31000000
N
N
N
N/A
N/A
IRS RUS3MP00.75 06/16/31 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
410625.97000000
0.247024379611
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2031-06-16
-3951476.28000000
USD
4200000.00000000
USD
4200000.00000000
USD
133007.24000000
N
N
N
N/A
N/A
IRS R05.75PIN00 03/15/24 CSFB FIXED
N/A
1.00000000
NC
7640.52000000
0.004596384181
N/A
DIR
IN
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2024-03-15
-6020390.80000000
INR
6029031.03000000
INR
6014261.02846247
INR
-999.71000000
N
N
N
F/C EURO-BUXL 30Y BND MAR22
N/A
FUTURE CONTRACT ON EURO-BUXL 30Y BND MAR22 /EUR/ 0.00000000
N/A
9.00000000
NC
1995936.36000000
1.200715437149
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-BUXL 30Y BND MAR22
EURO-BUXL 30Y BND MAR22 /EUR/
2022-03-08
2172451.40000000
EUR
-176515.04000000
N
N
N
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 BOA
N/A
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 BOA 0.00000000
N/A
-1000000.00000000
NC
USD
-1121.30000000
-0.00067455167
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 BOA
0
-1000000.00000000
USD
0.90000000
USD
2022-04-20
XXXX
-1121.30000000
N
N
N
NORDEA KREDIT 1% 10/01/50/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.00000000
K7S724GR2
9114492.72000000
NS
1207301.21000000
0.726288287135
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
LCM 13A AR3 V/R 07/19/27
N/A
LCM XIII LP SER 13A CL AR3 V/R REGD 144A P/P 1.11800000
50184KBL1
446238.62000000
NS
USD
444692.85000000
0.267518333993
Long
ABS-CBDO
CORP
KY
Y
2
2027-07-19
Variable
1.11800000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20220302 000004334 USD
N/A
1.00000000
NC
N/A
13827.29000000
0.008318221407
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-779964.14000000
USD
1093000.00000000
AUD
2022-03-02
13827.29000000
N
N
N
F/C EURO-BUND FUTURE MAR22
N/A
FUTURE CONTRACT ON EURO-BUND FUTURE MAR22 /EUR/ 0.00000000
N/A
-33.00000000
NC
-6180964.22000000
-3.71834458460
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C EURO-BUND FUTURE MAR22
EURO-BUND FUTURE MAR22 /EUR/
2022-03-08
6414306.74000000
EUR
233342.52000000
N
N
N
HOF 2020-2 A1 V/R 05/25/65
N/A
HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 SER 2020-2 CL A1 V/R REGD 144A P/P 1.65700000
43789XAA2
70349.09000000
NS
USD
70215.39000000
0.042240175783
Long
ABS-CBDO
CORP
US
Y
2
2065-05-25
Variable
1.65700000
N
N
N
N
N
N
ORO USD 7Y C 1.52750 L 03/18/22 DUB
N/A
ORO USD 7Y C 1.52750 L 03/18/22 DUB 0.00000000
N/A
-800000.00000000
NC
USD
-2992.56000000
-0.00180026430
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Purchased
ORO USD 7Y C 1.52750 L 03/18/22 DUB
0
-800000.00000000
USD
1.52750000
USD
2022-03-18
XXXX
-2992.56000000
N
N
N
UWM 2021-INV4 A3 V/R 12/25/51
N/A
UWM MORTGAGE TRUST 2021-INV4 SER 2021-INV4 CL A3 V/R REGD 144A P/P 2.50000000
918307AC3
295878.56000000
NS
USD
284887.32000000
0.171382519917
Long
ABS-CBDO
CORP
US
Y
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
SGD/USD FWD 20220316 000004334 USD
N/A
1.00000000
NC
N/A
-7233.23000000
-0.00435136665
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-898906.91000000
SGD
655787.00000000
USD
2022-03-16
-7233.23000000
N
N
N
ELAT 2007-2 A1 V/R 05/25/37
N/A
ELLINGTON LOAN ACQUISITION TRUST 2007-2 SER 2007-2 CL A1 V/R REGD 144A P/P 1.23686000
288547AA0
428935.58000000
NS
USD
428532.77000000
0.257796752729
Long
ABS-CBDO
CORP
US
Y
2
2037-05-25
Variable
1.23686000
N
N
N
N
N
N
DEUTSCHE BANK NY V/R 11/26/25
N/A
DEUTSCHE BANK NY REGD V/R 3.96100000
251526CB3
350000.00000000
NS
USD
358394.79000000
0.215603145256
Long
DBT
CORP
US
N
2
2025-11-26
Variable
3.96100000
N
N
N
N
N
N
C/O EURO-BOBL OPTI APR22 139.5
N/A
CALL OPTION ON EURO-BOBL OPTION APR22 139.5 /EUR/ 0.00000000
N/A
19.00000000
NC
106.52000000
0.000064080303
N/A
DO
CORP
DE
N
1
SOCIETE GENERALE
N/A
Call
Written
C/O EURO-BOBL OPTI APR22 139.5
0
19000.00000000
EUR
139.50000000
EUR
2022-03-25
XXXX
-20.48000000
N
N
N
CWALT 2007-16C 6.25% 08/25/37
N/A
ALTERNATIVE LOAN TRUST 2007-16CB SER 2007-16CB CL 5A1 REGD 6.25000000
02152AAY5
19692.65000000
NS
USD
14129.90000000
0.008500265537
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
DEUTSCHE BANK AG /EUR/ REGD V/R REG S EMTN 1.75000000
D1T7F65H7
200000.00000000
NS
214587.95000000
0.129091823444
Long
DBT
CORP
DE
N
2
2030-11-19
Variable
1.75000000
N
N
N
N
N
N
REPUBLIC OF S 1% 09/23/28/EUR/
N/A
REPUBLIC OF SERBIA /EUR/ REGD 144A P/P MTN 1.00000000
N/A
100000.00000000
NS
95420.16000000
0.057402861846
Long
DBT
USGA
RS
Y
2
2028-09-23
Fixed
1.00000000
N
N
N
N
N
N
VM CASH FUT FOR BCY CAD
N/A
VM CASH FUT FOR BCY CAD 0.00000000
N/A
6750.48000000
NS
5324.98000000
0.003203401579
Long
CORP
CA
N
2
N
N
N
REPUBLIC O 15.5% 10/17/26/ARS/
N/A
REPUBLIC OF ARGENTINA /ARS/ REGD 15.50000000
P8S090XK7
360000.00000000
NS
1560.41000000
0.000938711480
Long
DBT
USGA
AR
N
2
2026-10-17
Fixed
15.50000000
N
N
N
N
N
N
REPUBLIC O 6.95% 08/12/31/PEN/
N/A
REPUBLIC OF PERU /PEN/ REGD P/P 6.95000000
715638BD3
700000.00000000
NS
195258.65000000
0.117463702746
Long
DBT
USGA
PE
Y
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
SANTANDER UK GROU V/R 11/15/24
N/A
SANTANDER UK GROUP HLDGS REGD V/R 4.79600000
80281LAJ4
400000.00000000
NS
USD
416801.06000000
0.250739190382
Long
DBT
CORP
GB
N
2
2024-11-15
Variable
4.79600000
N
N
N
N
N
N
IRO USD 1Y C 0.87000 L 11/02/22 GLM
N/A
IRO USD 1Y C 0.87000 L 11/02/22 GLM 0.00000000
N/A
-15900000.00000000
NC
USD
-5067.33000000
-0.00304840448
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
IRO USD 1Y C 0.87000 L 11/02/22 GLM
0
-15900000.00000000
USD
0.87000000
USD
2022-11-02
XXXX
-5067.33000000
N
N
N
VM CASH CCP LCH BCY GBP
N/A
VM CASH CCP LCH BCY GBP 0.00000000
N/A
5091.86000000
NS
6831.75000000
0.004109844307
Long
CORP
GB
N
2
N
N
N
NYKREDIT RE 2.5% 10/01/47/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 2.50000000
K74181WX0
0.63000000
NS
0.10000000
0.000000060158
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20220302 000004066 USD
N/A
1.00000000
NC
N/A
18120.55000000
0.010900960847
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-1296000.00000000
GBP
1756963.98000000
USD
2022-03-02
18120.55000000
N
N
N
C/O SOFR 1YR MIDC APR22 98.375
N/A
CALL OPTION ON SOFR 1YR MIDCURVE APR22 98.375 0.00000000
N/A
-8.00000000
NC
USD
-2350.00000000
-0.00141371304
N/A
DO
CORP
US
N
1
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Call
Purchased
C/O SOFR 1YR MIDC APR22 98.375
0
-20000.00000000
USD
98.37500000
USD
2022-04-14
XXXX
1461.96000000
N
N
N
N/A
N/A
IRS RUS3MPUS1M 06/19/22 BARC FLOAT
N/A
1.00000000
NC
USD
12730.65000000
0.007658504692
N/A
DIR
US
N
2
DIRECT PLACEMENT
N/A
N/A
N/A
Y
2022-06-19
-7400000.00000000
USD
7395990.21000000
USD
7400000.00000000
USD
891.61000000
N
N
N
ONYP 2020-1NYP A V/R 01/15/23
N/A
ONE NEW YORK PLAZA TRUST 2020-1NYP SER 2020-1NYP CL A V/R REGD 144A P/P 1.14100000
68249DAA7
300000.00000000
NS
USD
296595.03000000
0.178425644344
Long
ABS-CBDO
CORP
US
Y
2
2036-01-15
Variable
1.14100000
N
N
N
N
N
N
IRO EUR 25Y P 0.45100 L 05/23/25 BPS
N/A
IRO EUR 25Y P 0.45100 L 05/23/25 BPS 0.00000000
N/A
-200000.00000000
NC
-36946.41000000
-0.02222622209
N/A
DIR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
IRO EUR 25Y P 0.45100 L 05/23/25 BPS
0
-200000.00000000
EUR
0.45100000
EUR
2025-05-23
XXXX
-36946.41000000
N
N
N
N/A
N/A
CDS NA 01.000 NA 12/20/2026 BARCUS3BXXX FIXED
N/A
1.00000000
NC
7689.61000000
0.004625915744
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
BARCLAYS CAPITAL
BARCLAYS CAPITAL
Y
2026-12-20
-236139.99000000
EUR
243102.74000000
EUR
224259.99304211
EUR
881.40000000
N
N
N
CPI PROPERT 1.5% 01/27/31/EUR/
222100CO2ZOTEPGJO223
CPI PROPERTY GROUP SA /EUR/ REGD EMTN 1.50000000
L36807AW2
100000.00000000
NS
96598.06000000
0.058111462952
Long
DBT
CORP
LU
N
2
2031-01-27
Fixed
1.50000000
N
N
N
N
N
N
CDX.O P 1.00 IG37 5Y V1 I 06/15/22 JPM
N/A
CDX.O P 1.00 IG37 5Y V1 I 06/15/22 JPM 0.00000000
N/A
-200000.00000000
NC
USD
-379.68000000
-0.00022840790
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
CDX.O P 1.00 IG37 5Y V1 I 06/15/22 JPM
0
-200000.00000000
USD
1.00000000
USD
2022-06-15
XXXX
-379.68000000
N
N
N
DUKE ENERGY CORP V/R 03/11/22
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP REGD V/R 0.85088000
26441CBD6
400000.00000000
NS
USD
400032.74000000
0.240651704086
Long
DBT
CORP
US
N
2
2022-03-11
Variable
0.85088000
N
N
N
N
N
N
JAPAN (30 Y 1.7% 09/20/44/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 44 1.70000000
J2615QTH8
190000000.00000000
NS
1991820.52000000
1.198239430035
Long
DBT
USGA
JP
N
2
2044-09-20
Fixed
1.70000000
N
N
N
N
N
N
HARVT 11A A V/R 06/26/30 /EUR/
N/A
HARVEST CLO XI DAC SER 11A CL ARR V/R REGD 144A P/P /EUR/ 0.65000000
N/A
299755.45000000
NS
335454.15000000
0.201802514565
Long
ABS-CBDO
CORP
IE
Y
2
2030-06-26
Variable
0.65000000
N
N
N
N
N
N
WMALT 2006-AR5 3 V/R 07/25/46
N/A
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATE SER 2006-AR5 CL 3A V/R REGD 1.04372000
93935AAC6
16700.54000000
NS
USD
11373.99000000
0.006842365141
Long
ABS-CBDO
CORP
US
N
2
2046-07-25
Variable
1.04372000
N
N
N
N
N
N
FIDELITY NA 1.7% 06/30/22/GBP/
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORM /GBP/ REGD SER .. 1.70000000
31620MAX4
100000.00000000
NS
134244.46000000
0.080758785051
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
1.70000000
N
N
N
N
N
N
IRO USD 1Y P 1.27000 L 11/02/22 GLM
N/A
IRO USD 1Y P 1.27000 L 11/02/22 GLM 0.00000000
N/A
-15900000.00000000
NC
USD
-119800.14000000
-0.07206937072
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
IRO USD 1Y P 1.27000 L 11/02/22 GLM
0
-15900000.00000000
USD
1.27000000
USD
2022-11-02
XXXX
-119800.14000000
N
N
N
N/A
N/A
CCS USD P US3ML/AUD3ML+42.25 GLM /SHORT/
N/A
1.00000000
NC
N/A
-1449000.00000000
-0.87168945027
N/A
DFE
N/A
N
2
GOLDMAN SACHS
N/A
1449000.00000000
USD
0.00000000
N/A
2024-08-01
0.00000000
N
N
N
N/A
N/A
IRS RUS3MP01.25 12/15/26 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
176902.10000000
0.106420769013
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2026-12-15
-7286689.25000000
USD
7200000.00000000
USD
7200000.00000000
USD
263591.35000000
N
N
N
JAPAN (20 Y 1.2% 09/20/35/JPY/
N/A
JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 154 1.20000000
J2S39KKT2
181000000.00000000
NS
1746558.95000000
1.050694969631
Long
DBT
USGA
JP
N
2
2035-09-20
Fixed
1.20000000
N
N
N
N
N
N
N/A
N/A
SGD/USD FWD 20220316 000006038 USD
N/A
1.00000000
NC
N/A
-1667.05000000
-0.00100286397
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-218662.33000000
SGD
159615.00000000
USD
2022-03-16
-1667.05000000
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000011553 USD
N/A
1.00000000
NC
N/A
3358.98000000
0.002020695258
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-91000.00000000
EUR
105397.28000000
USD
2022-03-02
3358.98000000
N
N
N
MALAYSIA 4.724% 06/15/33/MYR/
N/A
MALAYSIA INVESTMNT ISSUE /MYR/ REGD SER 0617 4.72400000
Y2R35QAB7
200000.00000000
NS
51033.55000000
0.030700764075
Long
DBT
USGA
MY
N
2
2033-06-15
Fixed
4.72400000
N
N
N
N
N
N
N/A
N/A
ILS/USD FWD 20221102 000011091 USD
N/A
1.00000000
NC
N/A
29327.20000000
0.017642657588
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-3199740.00000000
ILS
1035801.87000000
USD
2022-11-02
29327.20000000
N
N
N
BANCA MON 2.625% 04/28/25/EUR/
N/A
BANCA MONTE DEI PASCHI S /EUR/ REGD REG S EMTN 2.62500000
T1188BJD9
100000.00000000
NS
106059.28000000
0.063803143878
Long
DBT
CORP
IT
N
2
2025-04-28
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
IRS RCN07P02.50 09/15/26 BARC FLOAT
N/A
1.00000000
NC
-11587.33000000
-0.00697070622
N/A
DIR
CN
N
2
BARCLAYS
N/A
N/A
N/A
Y
2026-09-15
-2397211.77000000
CNY
2411921.78000000
CNY
2440860.64112216
CNY
-28364.93000000
N
N
N
EUROPEAN IN 0.5% 06/21/23/AUD/
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK /AUD/ REGD EMTN 0.50000000
L32482DG0
500000.00000000
NS
360829.53000000
0.217067836196
Long
DBT
CORP
LU
N
2
2023-06-21
Fixed
0.50000000
N
N
N
N
N
N
UK TSY 3.25% 01/22/44 /GBP/
N/A
UK TSY 3 1/4% 2044 /GBP/ REGD 3.25000000
G4527HCQ2
1350000.00000000
NS
2341685.23000000
1.408711049587
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
P/O SOFR 1YR MIDC APR22 98.375
N/A
PUT OPTION ON SOFR 1YR MIDCURVE APR22 98.375 0.00000000
N/A
-8.00000000
NC
USD
-6250.00000000
-0.00375987513
N/A
DO
CORP
US
N
1
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
P/O SOFR 1YR MIDC APR22 98.375
0
-20000.00000000
USD
98.37500000
USD
2022-04-14
XXXX
-2888.04000000
N
N
N
ISRAEL MAKAM ZCP 12/07/22/ILS/
N/A
ISRAEL MAKAM BILL /ILS/ REGD ZCP SER 1212 0.00000000
M1R796FS1
2900000.00000000
PA
904607.13000000
0.544193576165
Long
STIV
USGA
IL
N
2
2022-12-07
Fixed
0.00000000
N
N
N
N
N
N
ORO USD 5Y P 1.62100 L 04/13/22 BOA
N/A
ORO USD 5Y P 1.62100 L 04/13/22 BOA 0.00000000
N/A
-1400000.00000000
NC
USD
-8995.42000000
-0.00541146495
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
ORO USD 5Y P 1.62100 L 04/13/22 BOA
0
-1400000.00000000
USD
1.62100000
USD
2022-04-13
XXXX
-8995.42000000
N
N
N
US TREAS NTS 2.875% 04/30/25
N/A
UNITED STATES TREASURY NOTE 2.87500000
9128284M9
800000.00000000
NS
USD
830312.50000000
0.499499411097
Long
DBT
UST
US
N
2
2025-04-30
Fixed
2.87500000
N
N
N
N
N
N
F/C AUST 3YR BOND FUT MAR22
N/A
FUTURE CONTRACT ON AUST 3YR BOND FUT MAR22 /AUD/ 0.00000000
N/A
54.00000000
NC
4428309.01000000
2.663982226754
N/A
DIR
CORP
AU
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C AUST 3YR BOND FUT MAR22
AUST 3YR BOND FUT MAR22 /AUD/
2022-03-15
4472962.52000000
AUD
-44653.51000000
N
N
N
IRO EUR 5Y P 0.70000 L 04/07/22 BPS
N/A
IRO EUR 5Y P 0.70000 L 04/07/22 BPS 0.00000000
N/A
-200000.00000000
NC
-576.64000000
-0.00034689510
N/A
DIR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
IRO EUR 5Y P 0.70000 L 04/07/22 BPS
0
-200000.00000000
EUR
0.70000000
EUR
2022-04-07
XXXX
-576.64000000
N
N
N
N/A
N/A
IRS RKL3MP03.50 03/16/32 BOA LONG
N/A
1.00000000
NC
50.86000000
0.000030596359
N/A
DIR
MY
N
2
MERRILL LYNCH
N/A
N/A
N/A
Y
2032-03-16
-23846.43000000
MYR
23829.76000000
MYR
23818.03024890
MYR
67.53000000
N
N
N
OTC EPUT EUR VS CHF 1.015 BPS
N/A
OTC EPUT EUR VS CHF 1.015 BPS 0.00000000
N/A
716000.00000000
NC
5570.98000000
0.003351390264
N/A
DFE
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Written
OTC EPUT EUR VS CHF 1.015 BPS
0
716000.00000000
EUR
1.01500000
EUR
2022-05-24
XXXX
2029.30000000
N
N
N
N/A
N/A
IRS RSOFRP01.00 12/15/26 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
24354.57000000
0.014651222729
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
20635.85000000
N
N
N
ITRAXX.O P 0.95 EU36 5Y I 05/18/22 GST
N/A
ITRAXX.O P 0.95 EU36 5Y I 05/18/22 GST 0.00000000
N/A
-600000.00000000
NC
-1388.82000000
-0.00083548636
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
ITRAXX.O P 0.95 EU36 5Y I 05/18/22 GST
0
-600000.00000000
EUR
0.95000000
EUR
2022-05-18
XXXX
-1388.82000000
N
N
N
ORO USD 10Y P 2.18000 L 01/11/24 BOA
N/A
ORO USD 10Y P 2.18000 L 01/11/24 BOA 0.00000000
N/A
600000.00000000
NC
USD
16452.06000000
0.009897230598
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Written
ORO USD 10Y P 2.18000 L 01/11/24 BOA
0
600000.00000000
USD
2.18000000
USD
2024-01-11
XXXX
16452.06000000
N
N
N
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 GST
N/A
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 GST 0.00000000
N/A
-800000.00000000
NC
USD
-897.04000000
-0.00053964134
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 GST
0
-800000.00000000
USD
0.90000000
USD
2022-04-20
XXXX
-897.04000000
N
N
N
CWL 2007-12 1A1 V/R 06/25/37
N/A
CWABS INC ASSET-BACKED CERTIFICATES SERIES 2007-12 SER 2007-12 CL 1A1 V/R REGD 0.92686000
126697AA9
56092.52000000
NS
USD
55113.32000000
0.033155072197
Long
ABS-CBDO
CORP
US
N
2
2047-08-25
Variable
0.92686000
N
N
N
N
N
N
N/A
N/A
CDS XS1791937441 01.000 SP 12/20/2026 GSILGB2XXXX LONG
N/A
1.00000000
NC
USD
14199.45000000
0.008542105427
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SAUDI INTERNATIONA 4% 04/17/25
SAUDI INTERNATIONA 4% 04/17/25 4.00000000
Y
2026-12-20
-600000.00000000
USD
614304.61000000
USD
600000.00000000
USD
-1588.50000000
N
N
N
ITRAXX.O P 0.95 EU36 5Y I 06/15/22 GST
N/A
ITRAXX.O P 0.95 EU36 5Y I 06/15/22 GST 0.00000000
N/A
-400000.00000000
NC
-1266.22000000
-0.00076173265
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
ITRAXX.O P 0.95 EU36 5Y I 06/15/22 GST
0
-400000.00000000
EUR
0.95000000
EUR
2022-06-15
XXXX
-1266.22000000
N
N
N
CASH COLLATERAL BCY USD
N/A
CASH COLLATERAL BCY USD /CCBCYXUS0/ -0.02000000
N/A
161000.00000000
NS
USD
161000.00000000
0.096854383363
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
N/A
N/A
PEN/USD FWD 20220303 000011091 USD
N/A
1.00000000
NC
N/A
-989.00000000
-0.00059496264
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-118757.10000000
PEN
30370.74000000
USD
2022-03-03
-989.00000000
N
N
N
HSBC HOLDINGS PLC V/R /PERP/
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R /PERP/ 6.50000000
404280BP3
400000.00000000
NS
USD
415750.00000000
0.250106893686
Long
DBT
CORP
GB
N
2
2170-09-23
Variable
6.50000000
N
N
N
N
N
N
JAPAN (30 Y 1.4% 09/20/45/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 48 1.40000000
J2S39KKP0
310000000.00000000
NS
3080964.32000000
1.853446579995
Long
DBT
USGA
JP
N
2
2045-09-20
Fixed
1.40000000
N
N
N
N
N
N
N/A
N/A
CDS XS1025866119 05.000 SP 06/20/2026 BARCUS3BXXX FIXED
N/A
1.00000000
NC
13093.73000000
0.007876926366
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
JAGUAR LAND R 5% 02/15/22/GBP/
JAGUAR LAND R 5% 02/15/22/GBP/
Y
2026-06-20
-236050.00000000
EUR
248923.20000000
EUR
224259.99304211
EUR
1075.44000000
N
N
N
ROMANIA 2.875% 04/13/42/EUR/
N/A
ROMANIA /EUR/ REGD 144A P/P MTN 2.87500000
X7360WBY7
200000.00000000
NS
166645.36000000
0.100250519150
Long
DBT
USGA
RO
Y
2
2042-04-13
Fixed
2.87500000
N
N
N
N
N
N
LUXE 2021-TRIP A V/R 10/15/24
N/A
LUXE TRUST 2021-TRIP SER 2021-TRIP CL A V/R REGD 144A P/P 1.24100000
55066WAA2
400000.00000000
NS
USD
394906.96000000
0.237568137247
Long
ABS-CBDO
CORP
US
Y
2
2038-10-15
Variable
1.24100000
N
N
N
N
N
N
DEUTSCHE 2.625% 12/16/24/GBP/
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG /GBP/ REGD EMTN 2.62500000
D1T7F6VS4
100000.00000000
NS
133933.72000000
0.080571850075
Long
DBT
CORP
DE
N
2
2024-12-16
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
IRS R00.02PMUTK 12/15/28 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-31300.03000000
-0.01882947270
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2028-12-15
-3933987.81000000
JPY
3934161.57000000
JPY
3914575.26858336
JPY
-31489.85000000
N
N
N
SINGAPORE 3.375% 09/01/33/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 3.37500000
V81778CZ9
200000.00000000
NS
168037.47000000
0.101087984713
Long
DBT
USGA
SG
N
2
2033-09-01
Fixed
3.37500000
N
N
N
N
N
N
CWHL 2004-12 11A V/R 08/25/34
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2004-12 SER 2004-12 CL 11A1 V/R REGD 3.00957100
12669FN58
325.50000000
NS
USD
330.39000000
0.000198756023
Long
ABS-CBDO
CORP
US
N
2
2034-08-25
Variable
3.00957100
N
N
N
N
N
N
JAPAN (30 Y 0.5% 03/20/49/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 62 0.50000000
J2S39K3W4
380000000.00000000
NS
3037699.47000000
1.827419310628
Long
DBT
USGA
JP
N
2
2049-03-20
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
IRS RKL3MP03.00 03/16/27 SCX LONG
N/A
1.00000000
NC
852.31000000
0.000512732667
N/A
DIR
MY
N
2
STANDARD CHARTER BANK
N/A
N/A
N/A
Y
2027-03-16
-118147.45000000
MYR
117819.58000000
MYR
119090.15124449
MYR
1180.18000000
N
N
N
N/A
N/A
IRS RUS3MP01.75 12/15/31 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
2303.60000000
0.001385799736
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2031-12-15
-207578.20000000
USD
200000.00000000
USD
200000.00000000
USD
9881.80000000
N
N
N
N/A
N/A
CDX 2I65BRYO2 05.000 BP 12/20/2025 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
-18402.89000000
-0.01107081095
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.HY.35
CDX.NA.HY.35
Y
2025-12-20
-219498.06000000
USD
200000.00000000
USD
200000.00000000
USD
372.95000000
N
N
N
GNR 2017-121 PE 3% 07/20/46
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-121 CL PE 3.00000000
38380TV37
7857.81000000
NS
USD
7875.18000000
0.004737550948
Long
ABS-CBDO
CORP
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
NYKREDIT RE 1.5% 10/01/53/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01EE 1.50000000
K741813K0
3191009.96000000
NS
434062.26000000
0.261123183439
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
CRNCL 2016- V/R 01/31/30 /EUR/
N/A
CAIRN CLO VII DAC SER 2016-7A CL A1R V/R REGD 144A P/P /EUR/ 0.67000000
N/A
228220.35000000
NS
254694.85000000
0.153219333184
Long
ABS-CBDO
CORP
IE
Y
2
2030-01-31
Variable
0.67000000
N
N
N
N
N
N
N/A
N/A
CDS XS1819575066 01.000 SP 06/20/2026 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-10132.74000000
-0.00609565394
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
ROLLS-ROY 0.875% 05/09/24/EUR/
ROLLS-ROY 0.875% 05/09/24/EUR/ 0.87500000
Y
2026-06-20
-236139.99000000
EUR
221138.41000000
EUR
224259.99304211
EUR
5023.38000000
N
N
N
ITRAXX.O P 0.95 EU36 5Y I 03/16/22 BRC
N/A
ITRAXX.O P 0.95 EU36 5Y I 03/16/22 BRC 0.00000000
N/A
-400000.00000000
NC
-102.85000000
-0.00006187250
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 0.95 EU36 5Y I 03/16/22 BRC
0
-400000.00000000
EUR
0.95000000
EUR
2022-03-16
XXXX
-102.85000000
N
N
N
DEUTSCHE BAN V/R 11/19/25/EUR/
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG /EUR/ REGD V/R REG S EMTN 1.00000000
D1T7F65J3
100000.00000000
NS
111226.48000000
0.066911628162
Long
DBT
CORP
DE
N
2
2025-11-19
Variable
1.00000000
N
N
N
N
N
N
CSAB 2006-4 A6A S/UP 12/25/36
N/A
CSAB MORTGAGE-BACKED TRUST 2006-4 SER 2006-4 CL A6A S/UP REGD 5.68370000
12628LAJ9
137917.14000000
NS
USD
41443.45000000
0.024931551516
Long
ABS-CBDO
CORP
US
N
2
2036-12-01
Variable
5.68370000
N
N
N
N
N
N
N/A
N/A
IRS PMUTKR00.40 06/19/39 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
12389.02000000
0.007452986910
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2039-06-19
-729236.61000000
JPY
708780.01000000
JPY
695924.49219260
JPY
30305.15000000
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000011091 USD
N/A
1.00000000
NC
N/A
123698.93000000
0.074414804893
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-24105000.00000000
DKK
3762309.23000000
USD
2022-04-01
123698.93000000
N
N
N
SARM 2004-19 2A1 V/R 01/25/35
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER 2004-19 CL 2A1 V/R REGD 1.50372000
863579JG4
25356.44000000
NS
USD
23735.37000000
0.014278724380
Long
ABS-CBDO
CORP
US
N
2
2035-01-25
Variable
1.50372000
N
N
N
N
N
N
CDX.O P 1.05 IG37 5Y V1 I 05/18/22 GST
N/A
CDX.O P 1.05 IG37 5Y V1 I 05/18/22 GST 0.00000000
N/A
-100000.00000000
NC
USD
-115.01000000
-0.00006918771
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
CDX.O P 1.05 IG37 5Y V1 I 05/18/22 GST
0
-100000.00000000
USD
1.05000000
USD
2022-05-18
XXXX
-115.01000000
N
N
N
SOCIETE GENERALE V/R /PERP/
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE REGD V/R /PERP/ 144A P/P 6.75000000
83367TBU2
200000.00000000
NS
USD
203750.00000000
0.122571929256
Long
DBT
CORP
FR
Y
2
2170-10-06
Variable
6.75000000
N
N
N
N
N
N
N/A
N/A
IRS R02.00PUS3M 12/15/51 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
4189.08000000
0.002520066833
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2051-12-15
-400000.00000000
USD
426360.49000000
USD
400000.00000000
USD
-22171.41000000
N
N
N
N/A
N/A
ILS/USD FWD 20221207 000003534 USD
N/A
1.00000000
NC
N/A
2073.12000000
0.001247147572
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-2500000.00000000
ILS
789540.17000000
USD
2022-12-07
2073.12000000
N
N
N
JYSKE REALK 1.5% 10/01/37/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 1.50000000
K1R19DET0
0.81000000
NS
0.12000000
0.000000072189
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
1.50000000
N
N
N
N
N
N
ITRAXX.O P 4.25 XOV36 5Y I 03/16/22 BRC
N/A
ITRAXX.O P 4.25 XOV36 5Y I 03/16/22 BRC 0.00000000
N/A
-300000.00000000
NC
-661.07000000
-0.00039768650
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 4.25 XOV36 5Y I 03/16/22 BRC
0
-300000.00000000
EUR
4.25000000
EUR
2022-03-16
XXXX
-661.07000000
N
N
N
N/A
N/A
CHF/USD FWD 20220404 000018337 USD
N/A
1.00000000
NC
N/A
994.32000000
0.000598163046
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-97311.65000000
USD
90000.00000000
CHF
2022-04-04
994.32000000
N
N
N
N/A
N/A
IRS P01.50RSOFR 12/15/31 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-17330.32000000
-0.01042557426
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2031-12-15
-1700000.00000000
USD
1754737.63000000
USD
1700000.00000000
USD
-72067.95000000
N
N
N
GALL 2017-1A A1R V/R 07/15/31
N/A
GALLATIN CLO VIII 2017-1 LTD SER 2017-1A CL A1R V/R REGD 144A P/P 1.17739000
36361UAL4
500000.00000000
NS
USD
498192.50000000
0.299702654558
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-15
Variable
1.17739000
N
N
N
N
N
N
ORO USD 10Y C 1.36500 L 03/14/22 GLM
N/A
ORO USD 10Y C 1.36500 L 03/14/22 GLM 0.00000000
N/A
-300000.00000000
NC
USD
-144.45000000
-0.00008689823
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
ORO USD 10Y C 1.36500 L 03/14/22 GLM
0
-300000.00000000
USD
1.36500000
USD
2022-03-14
XXXX
-144.45000000
N
N
N
BNP PARIBAS V/R 01/20/33
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R P/P 3.13200000
09659W2U7
200000.00000000
NS
USD
193588.16000000
0.116458769337
Long
DBT
CORP
FR
Y
2
2033-01-20
Variable
3.13200000
N
N
N
N
N
N
SAMI 2007-AR6 V/R 11/25/37
N/A
SAMI 2007-AR6 V/R 11/25/37 1.60372000
86364RAA7
65601.31000000
NS
USD
64228.70000000
0.038638702687
Long
ABS-CBDO
CORP
US
N
2
2047-08-25
Variable
1.60372000
N
N
N
N
N
N
HWKSM 2019- V/R 05/25/53 /GBP/
N/A
HAWKSMOOR MORTGAGES SER 2019-1A CL A V/R REGD 144A P/P /GBP/ 1.49530000
N/A
341082.05000000
NS
458891.46000000
0.276059934094
Long
ABS-CBDO
CORP
GB
Y
2
2053-05-25
Variable
1.49530000
N
N
N
N
N
N
ITRAXX.O P 5.00 XOV36 5Y I 06/15/22 JPM
N/A
ITRAXX.O P 5.00 XOV36 5Y I 06/15/22 JPM 0.00000000
N/A
-100000.00000000
NC
-1075.41000000
-0.00064694517
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
ITRAXX.O P 5.00 XOV36 5Y I 06/15/22 JPM
0
-100000.00000000
EUR
5.00000000
EUR
2022-06-15
XXXX
-1075.41000000
N
N
N
NYKREDIT RE 2.5% 10/01/36/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD SER 01E 2.50000000
K74181WM4
0.64000000
NS
0.10000000
0.000000060158
Long
DBT
CORP
DK
N
2
2036-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
SGD/USD FWD 20220316 000009049 USD
N/A
1.00000000
NC
N/A
-1444.88000000
-0.00086921094
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-112820.21000000
USD
151000.00000000
SGD
2022-03-16
-1444.88000000
N
N
N
N/A
N/A
IRS PMUTKR00.00 03/17/22 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
572.07000000
0.000344145882
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-03-17
-5138645.35000000
JPY
5138655.09000000
JPY
5045452.56839633
JPY
846.89000000
N
N
N
TPMT 2020-1 A1 V/R 01/25/60
N/A
TOWD POINT MORTGAGE TRUST 2020-1 SER 2020-1 CL A1 V/R REGD 144A P/P 2.71000000
89178WAU2
211422.84000000
NS
USD
212502.03000000
0.127836975647
Long
ABS-CBDO
CORP
US
Y
2
2060-01-25
Variable
2.71000000
N
N
N
N
N
N
N/A
N/A
IRS R02.00PCD03 11/14/23 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-3888.30000000
-0.00233912359
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2023-11-14
-1595956.73000000
CAD
1595999.25000000
CAD
1577660.32973101
CAD
-3930.82000000
N
N
N
N/A
N/A
IRS R00.00PJY6M 06/19/22 BARCUS3BXXX FIXED
N/A
1.00000000
NC
1095.04000000
0.000658754186
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-06-19
-3632497.56000000
JPY
3632493.67000000
JPY
3566613.02248706
JPY
3234.38000000
N
N
N
CASH COLLATERAL CME FOB BOS
N/A
CASH COLLATERAL CME FOB BOS -0.02000000
N/A
-290000.00000000
NS
USD
-290000.00000000
-0.17445820605
Short
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
UMBS P#841068 V/R 11/01/34
N/A
FANNIE MAE POOL UMBS P#841068 V/R 2.42300000
31407UMR5
19400.11000000
NS
USD
20343.45000000
0.012238213076
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
2.42300000
N
N
N
N
N
N
IRO EUR 5Y P 0.65000 L 04/08/22 JPM
N/A
IRO EUR 5Y P 0.65000 L 04/08/22 JPM 0.00000000
N/A
-500000.00000000
NC
-1790.72000000
-0.00107726137
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
IRO EUR 5Y P 0.65000 L 04/08/22 JPM
0
-500000.00000000
EUR
0.65000000
EUR
2022-04-08
XXXX
-1790.72000000
N
N
N
N/A
N/A
IRS R00.25PER6M 09/21/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-82381.69000000
-0.04955917879
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-09-21
-1229356.50000000
EUR
1198634.57000000
EUR
1222216.96207950
EUR
-51659.76000000
N
N
N
GSR 2003-1 A2 V/R 03/25/33
N/A
GSR MORTGAGE LOAN TRUST 2003-1 SER 2003-1 CL A2 V/R REGD 1.84000000
36229RJJ9
3047.11000000
NS
USD
3116.34000000
0.001874727882
Long
ABS-CBDO
CORP
US
N
2
2033-03-01
Variable
1.84000000
N
N
N
N
N
N
RMACS 2006- V/R 06/12/44 /GBP/
N/A
RMAC SECURITIES NO 1 PLC SER 2006-NS3X CL A2A V/R REGD /GBP/ 0.24463000
G7604CBD2
370658.52000000
NS
480919.61000000
0.289311629031
Long
ABS-CBDO
CORP
GB
N
2
2044-06-12
Variable
0.24463000
N
N
N
N
N
N
N/A
N/A
IRS R00.00PMUTK 06/19/22 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-147.77000000
-0.00008889547
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-06-19
-708780.01000000
JPY
708779.68000000
JPY
695924.49219260
JPY
-332.73000000
N
N
N
CDX.O P 0.95 IG37 5Y V1 I 03/16/22 JPM
N/A
CDX.O P 0.95 IG37 5Y V1 I 03/16/22 JPM 0.00000000
N/A
-800000.00000000
NC
USD
-75.36000000
-0.00004533507
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
CDX.O P 0.95 IG37 5Y V1 I 03/16/22 JPM
0
-800000.00000000
USD
0.95000000
USD
2022-03-16
XXXX
-75.36000000
N
N
N
N/A
N/A
IRS RUS3MPUS1M 10/04/24 BARC FLOAT
N/A
1.00000000
NC
USD
184.55000000
0.000111021592
N/A
DIR
US
N
2
DIRECT PLACEMENT
N/A
N/A
N/A
Y
2024-10-04
-2600000.00000000
USD
2600114.88000000
USD
2600000.00000000
USD
69.67000000
N
N
N
N/A
N/A
CCS AUD R US3ML/AUD3ML+42.25 GLM /LONG/
N/A
1.00000000
NC
N/A
1524599.28000000
0.917168466715
N/A
DFE
N/A
N
2
GOLDMAN SACHS
N/A
0.00000000
N/A
2100000.00000000
AUD
2024-08-01
79519.30000000
N
N
N
FFML 2005-FF9 A4 V/R 10/25/35
N/A
FIRST FRANKLIN MORTGAGE LOAN A SSET BACKED CERTIFICATES SER 2005-FF9 CL A4 V/R REGD 0.90686000
32027NVV0
57716.02000000
NS
USD
57689.63000000
0.034704928820
Long
ABS-CBDO
CORP
US
N
2
2035-10-25
Variable
0.90686000
N
N
N
N
N
N
US TIPS 0.5% 01/15/28
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000
9128283R9
1130280.00000000
NS
USD
1243120.95000000
0.747836727073
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MPUS1M 04/12/23 BARC FLOAT
N/A
1.00000000
NC
USD
-1899.70000000
-0.00114282156
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2023-04-12
-3100000.00000000
USD
3097555.26000000
USD
3100000.00000000
USD
1259.05000000
N
N
N
UBS GROUP AG V/R 08/15/23
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R 144A P/P 1.45643000
90352JAD5
400000.00000000
NS
USD
401328.94000000
0.241431472110
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
1.45643000
N
N
N
N
N
N
CGMS 2017-1A A1R V/R 04/20/31
N/A
CARLYLE US CLO 2017-1 LTD SER 2017-1A CL A1R V/R REGD 144A P/P 1.25400000
14314BAL1
400000.00000000
NS
USD
397536.40000000
0.239149955817
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Variable
1.25400000
N
N
N
N
N
N
WAMU 2005-AR13 A V/R 10/25/45
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005- SER 2005-AR13 CL A1A1 V/R REGD 0.76686000
92922F4M7
18847.92000000
NS
USD
18839.70000000
0.011333587119
Long
ABS-CBDO
CORP
US
N
2
2045-10-25
Variable
0.76686000
N
N
N
N
N
N
SARM 2004-1 4A1 V/R 02/25/34
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER 2004-1 CL 4A1 V/R REGD 2.45851400
86359BGF2
2942.94000000
NS
USD
2940.64000000
0.001769030272
Long
ABS-CBDO
CORP
US
N
2
2034-02-25
Variable
2.45851400
N
N
N
N
N
N
NYKREDIT REAL 1% 10/01/50/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER CCE 1.00000000
K74181W69
3292851.27000000
NS
441399.88000000
0.265537349032
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
REALKREDIT DA 2% 10/01/37/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD SER 22S 2.00000000
K8094KQN6
0.26000000
NS
0.04000000
0.000000024063
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
2.00000000
N
N
N
N
N
N
C/O OTC ECAL FN 2.5 5-52 98 15
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 5-52 98 15 JPM 0.00000000
N/A
-100000.00000000
NC
USD
-787.06000000
-0.00047347957
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
C/O OTC ECAL FN 2.5 5-52 98 15
0
-100000.00000000
USD
98.46875000
USD
2022-05-05
XXXX
-326.12000000
N
N
N
JAPAN (30 Y 0.7% 06/20/51/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 71 0.70000000
J2S39LQP2
265000000.00000000
NS
2206909.14000000
1.327632446549
Long
DBT
USGA
JP
N
2
2051-06-20
Fixed
0.70000000
N
N
N
N
N
N
ORO USD 7Y P 1.88750 L 03/18/22 DUB
N/A
ORO USD 7Y P 1.88750 L 03/18/22 DUB 0.00000000
N/A
-800000.00000000
NC
USD
-942.00000000
-0.00056668837
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
ORO USD 7Y P 1.88750 L 03/18/22 DUB
0
-800000.00000000
USD
1.88750000
USD
2022-03-18
XXXX
-942.00000000
N
N
N
BANCO ESPI 4.75% 01/15/18/EUR/
UBGVXZLX4SCS302CM391
BANCO ESPIRITO SANTO SA /EUR/ REGD REG S EMTN 0.00000000
X0346XAR5
200000.00000000
NS
39245.50000000
0.023609308709
Long
DBT
CORP
PT
N
2
2049-01-15
Fixed
0.00000000
Y
N
N
N
N
N
NRZT 2020-RPL1 A V/R 11/25/59
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 SER 2020-RPL1 CL A1 V/R REGD 144A P/P 2.75000000
64828XAA1
251634.73000000
NS
USD
253525.64000000
0.152515959808
Long
ABS-CBDO
CORP
US
Y
2
2059-11-25
Variable
2.75000000
N
N
N
N
N
N
ITRAXX.O P 5.25 XOV36 5Y I 06/15/22 JPM
N/A
ITRAXX.O P 5.25 XOV36 5Y I 06/15/22 JPM 0.00000000
N/A
-100000.00000000
NC
-934.67000000
-0.00056227879
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
ITRAXX.O P 5.25 XOV36 5Y I 06/15/22 JPM
0
-100000.00000000
EUR
5.25000000
EUR
2022-06-15
XXXX
-934.67000000
N
N
N
DEUTSCHE BANK N 3.95% 02/27/23
N/A
DEUTSCHE BANK NY REGD 3.95000000
251526BR9
300000.00000000
NS
USD
304790.72000000
0.183356007705
Long
DBT
CORP
US
N
2
2023-02-27
Fixed
3.95000000
N
N
N
N
N
N
VM CASH CCP CME BCY USD
N/A
VM CASH CCP CME BCY USD 0.00000000
N/A
14310.37000000
NS
USD
14310.37000000
0.008608832683
Long
CORP
US
N
2
N
N
N
BSARM 2003-5 1A2 V/R 08/25/33
N/A
BEAR STEARNS ARM TRUST 2003-5 SER 2003-5 CL 1A2 V/R REGD 2.47951800
07384MWG3
2159.75000000
NS
USD
2244.11000000
0.001350011740
Long
ABS-CBDO
CORP
US
N
2
2033-08-25
Variable
2.47951800
N
N
N
N
N
N
QATAR ENERGY 2.25% 07/12/31
N/A
QATAR ENERGY REGD 144A P/P 2.25000000
74730DAC7
200000.00000000
NS
USD
188751.60000000
0.113549191471
Long
DBT
CORP
QA
Y
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
VM CASH CCP ICE BCY EUR
N/A
VM CASH CCP ICE BCY EUR 0.00000000
N/A
6075.32000000
NS
6812.26000000
0.004098119513
Long
CORP
N/A
N
2
N
N
N
JAPAN GOVT 0.1% 03/10/28/JPY/
N/A
JAPAN GOVT CPI LINKED /JPY/ REGD SER 23 0.10000000
J2S39KJ56
111651100.00000000
NS
1010983.69000000
0.608187589352
Long
DBT
UST
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
CDX.O P 0.90 IG37 5Y V1 I 05/18/22 BOA
N/A
CDX.O P 0.90 IG37 5Y V1 I 05/18/22 BOA 0.00000000
N/A
-500000.00000000
NC
USD
-926.00000000
-0.00055706309
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
CDX.O P 0.90 IG37 5Y V1 I 05/18/22 BOA
0
-500000.00000000
USD
0.90000000
USD
2022-05-18
XXXX
-926.00000000
N
N
N
CASH COLLATERAL ISDA V/R 12/31/49
N/A
CASH COLLATERAL ISDA BPS USD -0.02000000
N/A
-260000.00000000
NS
USD
-260000.00000000
-0.15641080543
Short
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
N/A
N/A
IRS RER6MP00.05 05/27/50 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
10782.15000000
0.006486326022
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2050-05-27
-52515.33000000
EUR
59035.00000000
EUR
56064.99826053
EUR
4262.48000000
N
N
N
CORDA 11A A V/R 10/15/31 /EUR/
N/A
CVC CORDATUS LOAN FUND XI DAC SER 11A CL AR V/R REGD 144A P/P /EUR/ 0.65000000
N/A
300000.00000000
NS
336014.60000000
0.202139670088
Long
ABS-CBDO
CORP
IE
Y
2
2031-10-15
Variable
0.65000000
N
N
N
N
N
N
REPUBLIC O 5.94% 02/12/29/PEN/
N/A
REPUBLIC OF PERU /PEN/ REGD REG S 5.94000000
P78024AE9
700000.00000000
NS
186052.32000000
0.111925358552
Long
DBT
USGA
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
UWM 2021-INV5 A1 V/R 01/25/52
N/A
UWM MORTGAGE TRUST 2021-INV5 SER 2021-INV5 CL A12 V/R REGD 144A P/P 3.00000000
90355DAV5
98980.80000000
NS
USD
97962.35000000
0.058932192559
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
CSMC TRUST 2007-5R SER 2007-5R CL A5 REGD 6.50000000
12640QAE3
34317.26000000
NS
USD
11976.69000000
0.007204937420
Long
ABS-CBDO
CORP
US
N
2
2036-07-26
Fixed
6.50000000
N
N
N
N
N
N
PROVINCIA DE V/R 04/12/25/ARS/
N/A
PROVINCIA DE BUENOS AIRE /ARS/ REGD V/R 39.69680000
P1910WXQ7
460000.00000000
NS
4332.51000000
0.002606351456
Long
DBT
USGA
AR
Y
2
2025-04-12
Variable
39.69680000
N
N
N
N
N
N
CASH COLLATERAL ISDA GST
N/A
CASH COLLATERAL ISDA GST -0.02000000
N/A
-260000.00000000
NS
USD
-260000.00000000
-0.15641080543
Short
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
CWL 2007-9 2A4 V/R 02/25/36
N/A
COUNTRYWIDE ASSET-BACKED CERTIFICATES SER 2007-9 CL 2A4 V/R REGD 0.43686000
12670FAE0
365585.60000000
NS
USD
359120.95000000
0.216039988603
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Variable
0.43686000
N
N
N
N
N
N
NYKREDIT RE 1.5% 10/01/37/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD SER 01E 1.50000000
K74181ZL3
0.76000000
NS
0.11000000
0.000000066173
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
1.50000000
N
N
N
N
N
N
KSA SUKUK LTD 2.894% 04/20/22
N/A
KSA SUKUK LTD REGD 144A P/P MTN 2.89400000
48266XAA3
200000.00000000
NS
USD
200604.00000000
0.120679358511
Long
DBT
CORP
SA
Y
2
2022-04-20
Fixed
2.89400000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP00.50 06/15/24 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
108781.00000000
0.065440476252
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-06-15
-4951625.28000000
USD
5000000.00000000
USD
5000000.00000000
USD
60406.28000000
N
N
N
ITRAXX.O P 4.50 XOV36 5Y I 05/18/22 BRC
N/A
ITRAXX.O P 4.50 XOV36 5Y I 05/18/22 BRC 0.00000000
N/A
-100000.00000000
NC
-1092.00000000
-0.00065692538
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 4.50 XOV36 5Y I 05/18/22 BRC
0
-100000.00000000
EUR
4.50000000
EUR
2022-05-18
XXXX
-1092.00000000
N
N
N
P/O OTC EPUT FRTR 0.75 05-52
N/A
PUT OPTION ON 100SHS OTC EPUT FRTR 0.75 05-52 97 BPS 0.00000000
N/A
200000.00000000
NC
37350.82000000
0.022469507075
N/A
DO
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Written
P/O OTC EPUT FRTR 0.75 05-52
0
200000.00000000
EUR
97.00000000
EUR
2025-05-23
XXXX
22237.18000000
N
N
N
TPMF 2020-A V/R 05/20/45 /GBP/
N/A
TOWD POINT MORTGAGE FUNDING 2020-AUBURN SER 2020-A14X CL A V/R REGD REG S /GBP/ 1.34509000
G8961JAB7
261606.00000000
NS
351865.12000000
0.211675026240
Long
ABS-CBDO
CORP
GB
N
2
2045-05-20
Variable
1.34509000
N
N
N
N
N
N
FORT 2022-FL3 A V/R 12/17/26
N/A
FORT CRE 2022-FL3 ISSUER LLC SER 2022-FL3 CL A V/R REGD 144A P/P 1.90000000
34706CAA7
400000.00000000
NS
USD
400999.84000000
0.241233492125
Long
ABS-CBDO
CORP
US
Y
2
2026-12-17
Variable
1.90000000
N
N
N
N
N
N
N/A
N/A
IRS RIN00P05.75 03/16/27 CSFB FLOAT
N/A
1.00000000
NC
4012.68000000
0.002413948118
N/A
DIR
IN
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2027-03-16
-2136264.90000000
INR
2135443.81000000
INR
2118630.04084984
INR
4833.77000000
N
N
N
ESC LEHMAN BR 0.0% 12/30/16
N/A
ESC LEHMAN BRTH HLD 0.00000000
525ESC0B6
1300000.00000000
NS
USD
7085.00000000
0.004262194448
Long
DBT
CORP
US
N
2
2049-05-25
Fixed
0.00000000
N
N
N
N
N
N
NHEL 2006-1 A2D V/R 05/25/36
N/A
NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-1 SER 2006-1 CL A2D V/R REGD 0.72686000
669884AE8
400000.00000000
NS
USD
387820.64000000
0.233305148713
Long
ABS-CBDO
CORP
US
N
2
2036-05-25
Variable
0.72686000
N
N
N
N
N
N
N/A
N/A
IRS R01.71PCD03 10/02/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-16466.89000000
-0.00990615203
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-10-02
-556970.08000000
CAD
559473.61000000
CAD
552181.11540585
CAD
-20499.72000000
N
N
N
RAST 2006-R1 A2 V/R 01/25/46
N/A
RESIDENTIAL ASSET SECURITIZATION TRUST 2006-R1 SER 2006-R1 CL A2 V/R REGD 0.58686000
76113MAB1
38512.17000000
NS
USD
13694.94000000
0.008238602291
Long
ABS-CBDO
CORP
US
N
2
2046-01-25
Variable
0.58686000
N
N
N
N
N
N
DEUTSCHE 1.625% 01/20/27/EUR/
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG /EUR/ REGD REG S EMTN 1.62500000
D1T7F6TS7
200000.00000000
NS
221927.02000000
0.133506861328
Long
DBT
CORP
DE
N
2
2027-01-20
Fixed
1.62500000
N
N
N
N
N
N
ABU DHABI GOVT 3.875% 04/16/50
N/A
ABU DHABI GOVT INT'L REGD 144A P/P MTN 3.87500000
29135LAJ9
200000.00000000
NS
USD
214796.80000000
0.129217463431
Long
DBT
USGA
AE
Y
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
IRO EUR 5Y C 0.50000 L 05/11/22 GLM
N/A
IRO EUR 5Y C 0.50000 L 05/11/22 GLM 0.00000000
N/A
-500000.00000000
NC
-3877.23000000
-0.00233246410
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
IRO EUR 5Y C 0.50000 L 05/11/22 GLM
0
-500000.00000000
EUR
0.50000000
EUR
2022-05-11
XXXX
-3877.23000000
N
N
N
REALKREDIT 2.5% 04/01/36/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD MTN SER 22S 2.50000000
K8094KQH9
0.85000000
NS
0.13000000
0.000000078205
Long
DBT
CORP
DK
N
2
2036-04-01
Fixed
2.50000000
N
N
N
N
N
N
REALKREDIT DA 1% 10/01/50/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER CCS 1.00000000
K8094KWV1
1289543.95000000
NS
172779.68000000
0.103940803504
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
IRS R01.50PSOFR 12/15/31 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-14882.65000000
-0.00895310489
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2031-12-15
-1200000.00000000
USD
1217690.36000000
USD
1200000.00000000
USD
-32573.01000000
N
N
N
N/A
N/A
NOK/USD FWD 20220302 000006038 USD
N/A
1.00000000
NC
N/A
15737.05000000
0.009467094867
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-762647.20000000
USD
6858421.44000000
NOK
2022-03-02
15737.05000000
N
N
N
N/A
N/A
CDS US712219AG90 01.000 BP 06/20/2023 BARCGB5GXXX LONG
N/A
1.00000000
NC
USD
-9519.16000000
-0.00572653647
N/A
DCR
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
China, 7.5% 28oct2027
China, 7.5% 28oct2027
Y
2023-06-20
-200000.00000000
USD
196185.35000000
USD
200000.00000000
USD
1384.39000000
N
N
N
DRSLF 2018-55A A V/R 04/15/31
N/A
DRYDEN 55 CLO LTD SER 2018-55A CL A1 V/R REGD 144A P/P 1.26129000
26245MAC5
400000.00000000
NS
USD
399731.00000000
0.240470183331
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Variable
1.26129000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 03/11/25
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 3.80300000
404280BZ1
400000.00000000
NS
USD
410080.87000000
0.246696458342
Long
DBT
CORP
GB
N
2
2025-03-11
Variable
3.80300000
N
N
N
N
N
N
N/A
N/A
IRS RER6MP00.06 11/17/52 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
23418.43000000
0.014088059608
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2052-11-17
-106073.94000000
EUR
118070.00000000
EUR
112129.99652105
EUR
11422.37000000
N
N
N
NYKREDIT RE 1.5% 10/01/50/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01/E 1.50000000
K74181P42
0.72000000
NS
0.10000000
0.000000060158
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
GSMBS 2022-PJ2 A V/R 12/31/49
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 202 SER 2022-PJ2 CL A4 V/R REGD 144A P/P 2.50000000
36267EAD3
400000.00000000
NS
USD
378500.00000000
0.227698037907
Long
ABS-CBDO
CORP
US
Y
2
2049-12-31
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
PEN/USD FWD 20220726 000006038 USD
N/A
1.00000000
NC
N/A
-5607.91000000
-0.00337360661
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-432956.00000000
PEN
107124.90000000
USD
2022-07-26
-5607.91000000
N
N
N
BONOS Y OBL 1.4% 07/30/28/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.40000000
E8922AFW5
1500000.00000000
NS
1761960.31000000
1.059960120101
Long
DBT
USGA
ES
Y
2
2028-07-30
Fixed
1.40000000
N
N
N
N
N
N
BROADCOM INC 3.187% 11/15/36
549300WV6GIDOZJTV909
BROADCOM INC REGD 144A P/P 3.18700000
11135FBQ3
10000.00000000
NS
USD
9293.25000000
0.005590633529
Long
DBT
CORP
US
Y
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
FAIRFAX FI 2.75% 03/29/28/EUR/
GLS7OQD0WOEDI8YAP031
FAIRFAX FINL HLDGS LTD /EUR/ REGD 144A 2.75000000
N/A
100000.00000000
NS
115713.67000000
0.069611032016
Long
DBT
CORP
CA
Y
2
2028-03-29
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS BANK 7.625% 11/21/22
N/A
BARCLAYS BANK PLC REGD 7.62500000
06740L8C2
600000.00000000
NS
USD
622189.44000000
0.374296736314
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.62500000
N
N
N
N
N
N
N/A
N/A
CNY/USD FWD 20220316 000015298 USD
N/A
1.00000000
NC
N/A
-2672.14000000
-0.00160750603
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-1739540.86000000
CNY
272738.57000000
USD
2022-03-16
-2672.14000000
N
N
N
BUONI POLI 2.15% 03/01/72/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD 2.15000000
T6052BZK7
900000.00000000
NS
878500.45000000
0.528488319065
Long
DBT
USGA
IT
Y
2
2072-03-01
Fixed
2.15000000
N
N
N
N
N
N
N/A
N/A
IRS R00.28PSS1D 02/14/27 BARC FIXED
N/A
1.00000000
NC
5196.04000000
0.003125833851
N/A
DIR
CH
N
2
JP MORGAN
N/A
N/A
N/A
Y
2027-02-14
-649913.34000000
CHF
649913.34000000
CHF
654307.52453653
CHF
5196.04000000
N
N
N
OTC ECAL EUR VS CHF 1.05 BPS
N/A
OTC ECAL EUR VS CHF 1.05 BPS 0.00000000
N/A
-716000.00000000
NC
-3919.52000000
-0.00235790492
N/A
DFE
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Call
Purchased
OTC ECAL EUR VS CHF 1.05 BPS
0
-716000.00000000
EUR
1.05000000
EUR
2022-05-24
XXXX
-126.78000000
N
N
N
FORD MOTOR CRE 5.125% 06/16/25
N/A
FORD MOTOR CREDIT CO LLC REGD 5.12500000
345397A60
400000.00000000
NS
USD
415944.00000000
0.250223600210
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
5.12500000
N
N
N
N
N
N
CSMC 2007-NC1 2A V/R 07/25/09
N/A
CSMC ASSET-BACKED TRUST 2007-NC1 OSI SER 2007-NC1 CL 2A1 V/R REGD 0.78686000
12638LAB4
62640.29000000
NS
USD
62574.38000000
0.037643496827
Long
ABS-CBDO
CORP
US
N
2
2037-09-25
Variable
0.78686000
N
N
N
N
N
N
IRO EUR 2Y P 0.55000 L 08/08/22 DUB
N/A
IRO EUR 2Y P 0.55000 L 08/08/22 DUB 0.00000000
N/A
-200000.00000000
NC
-580.61000000
-0.00034928337
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
IRO EUR 2Y P 0.55000 L 08/08/22 DUB
0
-200000.00000000
EUR
0.55000000
EUR
2022-08-08
XXXX
-580.61000000
N
N
N
JPMRR 2009-7 17A V/R 07/27/37
N/A
JP MORGAN RESECURITIZATION TRUST SERIES 2009-7 SER 2009-7 CL 17A1 V/R REGD 6.00851000
46633PBG6
7309.60000000
NS
USD
7326.26000000
0.004407331643
Long
ABS-CBDO
CORP
US
Y
2
2037-07-27
Variable
6.00851000
N
N
N
N
N
N
NORDEA KRED 1.5% 10/01/50/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000
K7S724GM3
1.24000000
NS
0.17000000
0.000000102268
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
IRO EUR 2Y C 0.35000 L 08/08/22 DUB
N/A
IRO EUR 2Y C 0.35000 L 08/08/22 DUB 0.00000000
N/A
-200000.00000000
NC
-1136.19000000
-0.00068350920
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Purchased
IRO EUR 2Y C 0.35000 L 08/08/22 DUB
0
-200000.00000000
EUR
0.35000000
EUR
2022-08-08
XXXX
-1136.19000000
N
N
N
N/A
N/A
IRS R01.22PCD03 03/03/25 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-33709.10000000
-0.02027872108
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-03-03
-1591343.09000000
CAD
1590962.97000000
CAD
1577660.32973101
CAD
-34968.58000000
N
N
N
N/A
N/A
IRS RKL3MP03.50 03/16/32 BPS LONG
N/A
1.00000000
NC
152.58000000
0.000091789079
N/A
DIR
MY
N
2
BNP
N/A
N/A
N/A
Y
2032-03-16
-71386.08000000
MYR
70494.83000000
MYR
71454.09074670
MYR
1043.83000000
N
N
N
MALAYSIA 4.065% 06/15/50/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0120 4.06500000
Y2R35QCH2
1700000.00000000
NS
383056.37000000
0.230439059067
Long
DBT
USGA
MY
N
2
2050-06-15
Fixed
4.06500000
N
N
N
N
N
N
AT&T INC V/R /PERP//EUR/
549300Z40J86GGSTL398
AT&T INC /EUR/ REGD V/R /PERP/ SER B 2.87500000
U04644CR6
100000.00000000
NS
108286.40000000
0.065142934774
Long
DBT
CORP
US
N
2
2170-05-01
Variable
2.87500000
N
N
N
N
N
N
FNMA 30YR TBA 3% MAR 22
N/A
FNMA 30YR TBA 3% MAR 22 TO BE ANNOUNCED 3.00000000
01F030637
-2400000.00000000
NS
USD
-2422699.34000000
-1.45744751957
Short
ABS-MBS
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CDS US465410AH18 01.000 SP 06/20/2025 BARCGB5GXXX LONG
N/A
1.00000000
NC
USD
7421.78000000
0.004464794567
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 6.87500000
Y
2025-06-20
-300000.00000000
USD
292652.05000000
USD
300000.00000000
USD
10511.39000000
N
N
N
N/A
N/A
IRS R00.29PSS1D 02/17/27 BARC FIXED
N/A
1.00000000
NC
2759.86000000
0.001660276636
N/A
DIR
CH
N
2
BNP
N/A
N/A
N/A
Y
2027-02-17
-323991.58000000
CHF
323991.58000000
CHF
327153.76226827
CHF
2759.86000000
N
N
N
GNMA II P#4239 6% 09/20/38
N/A
GINNIE MAE II POOL P#4239 6.00000000
36202EV89
1561.08000000
NS
USD
1663.67000000
0.001000830633
Long
ABS-MBS
USGSE
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
IRS R01.25PSOFR 06/15/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-106864.42000000
-0.06428750001
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-06-15
-2600000.00000000
USD
2496799.84000000
USD
2600000.00000000
USD
-3664.26000000
N
N
N
VM CASH CCP CME BCY MXN
N/A
VM CASH CCP CME BCY MXN 0.00000000
N/A
67370.54000000
NS
3289.81000000
0.001979083968
Long
CORP
MX
N
2
N
N
N
MFRA 2020-NQM2 A V/R 04/25/65
N/A
MFA 2020-NQM2 TRUST SER 2020-NQM2 CL A1 V/R REGD 144A P/P 1.38100000
552751AA7
285539.76000000
NS
USD
283671.47000000
0.170651088849
Long
ABS-CBDO
CORP
US
Y
2
2065-04-25
Variable
1.38100000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20220302 000004066 USD
N/A
1.00000000
NC
N/A
6916.32000000
0.004160719930
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-688831.34000000
USD
958000.00000000
AUD
2022-03-02
6916.32000000
N
N
N
US TREAS BDS 1.875% 02/15/41
N/A
UNITED STATES TREASURY BOND 1.87500000
912810SW9
1300000.00000000
NS
USD
1219816.40000000
0.733817175397
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
N/A
N/A
IRS R01.25PSOFR 12/15/28 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-59476.16000000
-0.03577966957
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2028-12-15
-3000000.00000000
USD
3011604.47000000
USD
3000000.00000000
USD
-71080.63000000
N
N
N
N/A
N/A
IRS RSO1DP01.25 03/16/24 CSFB FLOAT
N/A
1.00000000
NC
10211.62000000
0.006143106572
N/A
DIR
SG
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2024-03-16
-5228702.06000000
SGD
5241497.55000000
SGD
5200457.34518497
SGD
-2583.87000000
N
N
N
N/A
N/A
IRS R02.06PCD03 10/28/23 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-5362.89000000
-0.00322620747
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2023-10-28
-3391858.86000000
CAD
3392104.88000000
CAD
3313086.69243512
CAD
-5608.91000000
N
N
N
N/A
N/A
IRS RUS3MP02.00 01/15/30 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
-32485.37000000
-0.01954254956
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-01-15
-1713535.19000000
USD
1600000.00000000
USD
1600000.00000000
USD
44954.70000000
N
N
N
FRANCE (GO 3.25% 05/25/45/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD 3.25000000
F43750AW2
900000.00000000
NS
1461518.30000000
0.879220209448
Long
DBT
USGA
FR
N
2
2045-05-25
Fixed
3.25000000
N
N
N
N
N
N
REPUBLIC O 6.35% 08/12/28/PEN/
N/A
REPUBLIC OF PERU /PEN/ REGD 144A P/P 6.35000000
715638BV3
1300000.00000000
NS
354911.94000000
0.213507932280
Long
DBT
USGA
PE
Y
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
C/O EURO-BOBL OPTION JUN22 150
N/A
CALL OPTION ON EURO-BOBL OPTION JUN22 150 /EUR/ 0.00000000
N/A
83.00000000
NC
465.34000000
0.000279939246
N/A
DO
CORP
DE
N
1
SOCIETE GENERALE
N/A
Call
Written
C/O EURO-BOBL OPTION JUN22 150
0
83000.00000000
EUR
150.00000000
EUR
2022-05-20
XXXX
-555.43000000
N
N
N
N/A
N/A
CAD/USD FWD 20220302 000006038 USD
N/A
1.00000000
NC
N/A
30051.24000000
0.018078225587
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-2934389.69000000
USD
3758021.76000000
CAD
2022-03-02
30051.24000000
N
N
N
UNITED KI 0.625% 10/22/50/GBP/
N/A
UNITED KINGDOM GILT /GBP/ REGD REG S 0.62500000
G4527HSJ1
1100000.00000000
NS
1151675.06000000
0.692824706656
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
NORDEA KREDIT REALKREDIT /DKK/ REGD REG S 1.00000000
K7S724GQ4
694305.56000000
NS
93305.73000000
0.056130863002
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
BAFC 2006 A 1A1 V/R 2/20/36
N/A
BANC OF AMERICA FUNDING CORPORATION SEREIS 2006 A CLASS 1A1 2.60582900
058927AA2
8719.43000000
NS
USD
8762.87000000
0.005271567517
Long
ABS-CBDO
CORP
US
N
2
2036-02-20
Variable
2.60582900
N
N
N
N
N
N
ITRAXX.O P 4.50 XOV36 5Y I 5/18/22 GST
N/A
ITRAXX.O P 4.50 XOV36 5Y I 5/18/22 GST 0.00000000
N/A
-100000.00000000
NC
-1092.00000000
-0.00065692538
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
ITRAXX.O P 4.50 XOV36 5Y I 5/18/22 GST
0
-100000.00000000
EUR
4.50000000
EUR
2022-05-18
XXXX
-1092.00000000
N
N
N
US T BILL ZCP 03/24/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796F38
2700000.00000000
PA
USD
2699926.69000000
1.624221954578
Long
STIV
UST
US
N
2
2022-03-24
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MPUS1M 09/27/24 BARC FLOAT
N/A
1.00000000
NC
USD
18.84000000
0.000011333767
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2024-09-27
-1700000.00000000
USD
1699923.46000000
USD
1700000.00000000
USD
95.38000000
N
N
N
F/C EURO-OAT FUTURE MAR22
N/A
FUTURE CONTRACT ON EURO-OAT FUTURE MAR22 /EUR/ 0.00000000
N/A
30.00000000
NC
5324380.75000000
3.203041082825
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-OAT FUTURE MAR22
EURO-OAT FUTURE MAR22 /EUR/
2022-03-08
5595006.50000000
EUR
-270625.75000000
N
N
N
GSR 2005-AR7 2A1 V/R 11/25/35
N/A
GSR MORTGAGE LOAN TRUST 2005-AR7 SER 2005-AR7 CL 2A1 V/R REGD 2.83653800
362341WZ8
66076.14000000
NS
USD
67305.43000000
0.040489601985
Long
ABS-CBDO
CORP
US
N
2
2035-11-01
Variable
2.83653800
N
N
N
N
N
N
N/A
N/A
IRS PSOFRR01.00 06/15/27 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
40076.40000000
0.024109161549
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-06-15
-1252587.46000000
USD
1300000.00000000
USD
1300000.00000000
USD
-7336.14000000
N
N
N
N/A
N/A
CDS US50064FAJ30 01.000 BP 06/20/2023 BNPAFRPPXXX LONG
N/A
1.00000000
NC
USD
-19248.57000000
-0.01157955514
N/A
DCR
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Korea, 7.125% 16apr2019
Korea, 7.125% 16apr2019
Y
2023-06-20
-400000.00000000
USD
390116.47000000
USD
400000.00000000
USD
4812.72000000
N
N
N
ITRAXX.O P 1.10 EU36 5Y I 06/15/22 BOA
N/A
ITRAXX.O P 1.10 EU36 5Y I 06/15/22 BOA 0.00000000
N/A
-1300000.00000000
NC
-2744.98000000
-0.00165132512
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
ITRAXX.O P 1.10 EU36 5Y I 06/15/22 BOA
0
-1300000.00000000
EUR
1.10000000
EUR
2022-06-15
XXXX
-2744.98000000
N
N
N
FORD MOTOR C V/R 12/01/24/EUR/
N/A
FORD MOTOR CREDIT CO LLC /EUR/ REGD V/R EMTN 0.13000000
N/A
100000.00000000
NS
108406.16000000
0.065214979997
Long
DBT
CORP
US
N
2
2024-12-01
Variable
0.13000000
N
N
N
N
N
N
VM CASH CCP LCH BCY JPY
N/A
VM CASH CCP LCH BCY JPY 0.00000000
N/A
789642.00000000
NS
6869.14000000
0.004132337384
Long
CORP
JP
N
2
N
N
N
NORDEA KRED 1.5% 10/01/37/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000
K7S724CE5
1.07000000
NS
0.16000000
0.000000096252
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
1.50000000
N
N
N
N
N
N
HVMLT 2005-3 2A1 V/R 06/19/35
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2005-3 SER 2005-3 CL 2A1A V/R REGD 0.65071000
41161PMG5
24579.27000000
NS
USD
24630.31000000
0.014817102404
Long
ABS-CBDO
CORP
US
N
2
2035-06-19
Variable
0.65071000
N
N
N
N
N
N
NYKREDIT REAL 2% 10/01/47/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 2.00000000
K74181ZK5
0.41000000
NS
0.06000000
0.000000036094
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000018337 USD
N/A
1.00000000
NC
N/A
5786.80000000
0.003481223264
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-30427764.00000000
EUR
34124438.28000000
USD
2022-03-02
5786.80000000
N
N
N
HSBC HOLDI 6.75% 09/11/28/GBP/
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC /GBP/ REGD REG S 6.75000000
G463NHAK6
100000.00000000
NS
159536.54000000
0.095973995066
Long
DBT
CORP
GB
N
2
2028-09-11
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
IRS R01.51PUS3M 01/25/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-24466.97000000
-0.01471884032
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-01-25
-1900000.00000000
USD
1900000.00000000
USD
1900000.00000000
USD
-24466.97000000
N
N
N
N/A
N/A
IRS R01.90PCD03 12/18/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-10671.57000000
-0.00641980330
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-12-18
-636537.24000000
CAD
649110.41000000
CAD
631064.13189240
CAD
-17808.20000000
N
N
N
ITRAXX.O P 1.20 EU36 5Y I 06/15/22 BOA
N/A
ITRAXX.O P 1.20 EU36 5Y I 06/15/22 BOA 0.00000000
N/A
-400000.00000000
NC
-655.60000000
-0.00039439586
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
ITRAXX.O P 1.20 EU36 5Y I 06/15/22 BOA
0
-400000.00000000
EUR
1.20000000
EUR
2022-06-15
XXXX
-655.60000000
N
N
N
N/A
N/A
IDR/USD FWD 20220314 000015298 USD
N/A
1.00000000
NC
N/A
-1424.02000000
-0.00085666198
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-419000.00000000
USD
6004158000.00000000
IDR
2022-03-14
-1424.02000000
N
N
N
FIDELITY N 0.75% 05/21/23/EUR/
6WQI0GK1PRFVBA061U48
FIDELITY NATL INFO SERV /EUR/ REGD 0.75000000
31620MBC9
100000.00000000
NS
112870.28000000
0.067900505400
Long
DBT
CORP
US
N
2
2023-05-21
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20220316 000003534 USD
N/A
1.00000000
NC
N/A
2304.83000000
0.001386539679
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-291659.62000000
USD
1858678.41000000
CNY
2022-03-16
2304.83000000
N
N
N
JPMMT 2021-INV4 V/R 08/25/44
N/A
JP MORGAN MORTGAGE TRUST 2021-INV4 SER 2021-INV4 CL A2 V/R REGD 144A P/P 3.00000000
46654DAD5
1133872.92000000
NS
USD
1116997.72000000
0.671963511734
Long
ABS-CBDO
CORP
US
Y
2
2052-01-25
Variable
3.00000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20220701 000004066 USD
N/A
1.00000000
NC
N/A
-571.10000000
-0.00034356234
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-338321.49000000
USD
7076805.95000000
MXN
2022-07-01
-571.10000000
N
N
N
F/C EURO-SCHATZ FUT MAR22
N/A
FUTURE CONTRACT ON EURO-SCHATZ FUT MAR22 /EUR/ 0.00000000
N/A
166.00000000
NC
20845347.58000000
12.54014463269
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-SCHATZ FUT MAR22
EURO-SCHATZ FUT MAR22 /EUR/
2022-03-08
20881453.44000000
EUR
-36105.86000000
N
N
N
JYSKE REALKRE 2% 10/01/47/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 2.00000000
K1R19DES2
0.32000000
NS
0.05000000
0.000000030079
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.00000000
N
N
N
N
N
N
HVMLT 2007-1 2A1 V/R 03/19/37
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 2A1A V/R REGD 0.43071000
41164MAC1
74591.77000000
NS
USD
70767.35000000
0.042572223891
Long
ABS-CBDO
CORP
US
N
2
2037-03-19
Variable
0.43071000
N
N
N
N
N
N
ROMANIA 2.75% 04/14/41/EUR/
N/A
ROMANIA /EUR/ REGD 144A P/P 2.75000000
X7360WBU5
50000.00000000
NS
41523.14000000
0.024979491428
Long
DBT
USGA
RO
Y
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
PEN/USD FWD 20221005 000004066 USD
N/A
1.00000000
NC
N/A
4499.06000000
0.002706544608
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-82081.28000000
USD
335064.00000000
PEN
2022-10-05
4499.06000000
N
N
N
BARCLAYS PLC V/R /PERP//GBP/
213800LBQA1Y9L22JB70
BARCLAYS PLC /GBP/ REGD V/R /PERP/ 7.12500000
G0809LGN3
600000.00000000
NS
837859.16000000
0.504039330977
Long
DBT
CORP
GB
N
2
2170-09-15
Variable
7.12500000
N
N
N
N
N
N
UNITED KING 3.5% 01/22/45/GBP/
N/A
UNITED KINGDOM GILT /GBP/ REGD REG S 3.50000000
G4527HDA6
700000.00000000
NS
1269935.12000000
0.763967596021
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
OPTION ONE MORTGAGE LOAN TRUST 2007-CP1 SER 2007-CP1 CL 1A1 V/R REGD 0.32686000
68402YAA4
67740.49000000
NS
USD
64505.83000000
0.038805418559
Long
ABS-CBDO
CORP
US
N
2
2037-03-25
Variable
0.32686000
N
N
N
N
N
N
VM CASH FUT FOR BCY GBP
N/A
VM CASH FUT FOR BCY GBP 0.00000000
N/A
5466.14000000
NS
7333.92000000
0.004411939746
Long
CORP
GB
N
2
N
N
N
CREDIT SUISSE GRO V/R 01/12/29
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R 3.86900000
225401AF5
250000.00000000
NS
USD
253654.77000000
0.152593641836
Long
DBT
CORP
CH
Y
2
2029-01-12
Variable
3.86900000
N
N
N
N
N
N
BUONI POLI 1.85% 07/01/25/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD 1.85000000
T6052BWF1
3000000.00000000
NS
3511625.56000000
2.112523777751
Long
DBT
USGA
IT
Y
2
2025-07-01
Fixed
1.85000000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000006219 USD
N/A
1.00000000
NC
N/A
16120.62000000
0.009697842916
N/A
DFE
N/A
N
2
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
-3260000.00000000
DKK
508212.28000000
USD
2022-04-01
16120.62000000
N
N
N
F/C CAN 10YR BOND FUT JUN22
N/A
FUTURE CONTRACT ON CAN 10YR BOND FUT JUN22 /CAD/ 0.00000000
N/A
-11.00000000
NC
-1185903.60000000
-0.71341591246
N/A
DIR
CORP
CA
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C CAN 10YR BOND FUT JUN22
CAN 10YR BOND FUT JUN22 /CAD/
2022-06-21
1176003.79000000
CAD
-9899.82000000
N
N
N
CWHL 2007-4 1A47 6% 05/25/37
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2007-4 SER 2007-4 CL 1A47 REGD 6.00000000
12544RBY3
529977.80000000
NS
USD
321744.75000000
0.193555213427
Long
ABS-CBDO
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
AVON 2A A V/R 09/20/23 /GBP/
N/A
AVON FINANCE NO 2 PLC SER 2A CL A V/R REGD 144A P/P /GBP/ 1.15221000
N/A
248404.87000000
NS
333983.04000000
0.200917524180
Long
ABS-CBDO
CORP
GB
Y
2
2048-09-20
Variable
1.15221000
N
N
N
N
N
N
AUSTRALIAN 1.75% 06/21/51/AUD/
N/A
AUSTRALIAN GOVERNMENT /AUD/ REGD SER 162 1.75000000
Q08184NC5
500000.00000000
NS
298596.33000000
0.179629586439
Long
DBT
USGA
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
UNICREDIT SPA V/R /PERP//EUR/
549300TRUWO2CD2G5692
UNICREDIT SPA /EUR/ REGD V/R /PERP/ 9.25000000
T9T20LTL2
200000.00000000
NS
228595.84000000
0.137518690203
Long
DBT
CORP
IT
N
2
2169-06-03
Variable
9.25000000
N
N
N
N
N
N
PACIFIC GAS & E 3.45% 07/01/25
N/A
PACIFIC GAS & ELECTRIC REGD 3.45000000
694308JL2
100000.00000000
NS
USD
101093.79000000
0.060816004300
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.45000000
N
N
N
N
N
N
BLUME 2017- V/R 07/15/30 /EUR/
N/A
BLUEMOUNTAIN FUJI EUR CLO II DAC SER 2017-2A CL AR V/R REGD 144A P/P /EUR/ 0.65000000
N/A
270838.68000000
NS
302208.16000000
0.181802391206
Long
ABS-CBDO
CORP
IE
Y
2
2030-07-15
Variable
0.65000000
N
N
N
N
N
N
BUONI POLI 0.35% 02/01/25/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD 0.35000000
T6052BUF3
900000.00000000
NS
1008291.99000000
0.606568316410
Long
DBT
USGA
IT
N
2
2025-02-01
Fixed
0.35000000
N
N
N
N
N
N
BANCO BILBAO V V/R /PERP//EUR/
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZCAYA ARG /EUR/ REGD V/R /PERP/ REG S SER . 5.87500000
E11805YY3
200000.00000000
NS
230005.53000000
0.138366731542
Long
DBT
CORP
ES
N
2
2170-12-24
Variable
5.87500000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20220318 000006038 USD
N/A
1.00000000
NC
N/A
-580.59000000
-0.00034927134
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-1082000.00000000
MXN
52103.90000000
USD
2022-03-18
-580.59000000
N
N
N
FHR 2391 FJ V/R 04/15/28
N/A
FREDDIE MAC REMICS SER 2391 CL FJ V/R 0.69114000
31339LU24
15022.08000000
NS
USD
15086.44000000
0.009075700890
Long
ABS-CBDO
CORP
US
N
2
2028-04-15
Variable
0.69114000
N
N
N
N
N
N
F/C US 5YR NOTE (CBT) JUN22
N/A
FUTURE CONTRACT ON US 5YR NOTE (CBT) JUN22 0.00000000
N/A
-13.00000000
NC
USD
-1537656.25000000
-0.92502327900
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US 5YR NOTE (CBT) JUN22
US 5YR NOTE (CBT) JUN22
2022-06-30
1524250.04000000
USD
-13406.21000000
N
N
N
SWEDBANK AB V/R /PERP/
M312WZV08Y7LYUC71685
SWEDBANK AB REGD V/R /PERP/ REG S 4.00000000
W9423YY87
200000.00000000
NS
USD
179200.00000000
0.107803139743
Long
DBT
CORP
SE
N
2
2170-03-17
Variable
4.00000000
N
N
N
N
N
N
MALAYSIA 4.232% 06/30/31/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0411 4.23200000
Y5577BCT5
200000.00000000
NS
49389.79000000
0.029711910900
Long
DBT
USGA
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
STICHTING AK S/UP /PERP//EUR/
DG3RU1DBUFHT4ZF9WN62
STICHTING AK RABOBANK /EUR/ REGD S/UP /PERP/ SER * 6.50000000
N22634XZ2
52525.00000000
NS
71173.45000000
0.042816525538
Long
DBT
CORP
NL
N
2
2170-03-29
Variable
6.50000000
N
N
N
N
N
N
FORD MOTOR CRED 3.55% 10/07/22
N/A
FORD MOTOR CREDIT CO LLC REGD MTN 3.55000000
34540XAB9
200000.00000000
NS
USD
201370.00000000
0.121140168807
Long
DBT
CORP
US
N
2
2022-10-07
Fixed
3.55000000
N
N
N
N
N
N
UMBS P#BV4128 2% 03/01/52
N/A
FANNIE MAE POOL UMBS P#BV4128 2.00000000
3140MHSS9
500000.00000000
NS
USD
480158.81000000
0.288853946951
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
VENTR 2014-17A A V/R 04/15/27
N/A
VENTURE XVII CLO LTD SER 2014-17A CL ARR V/R REGD 144A P/P 1.12129000
92329YAL0
74325.60000000
NS
USD
74312.12000000
0.044704686702
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-15
Variable
1.12129000
N
N
N
N
N
N
STRA 2021-2 V/R 07/20/60 /GBP/
N/A
STRATTON MORTGAGE FUNDING SER 2021-2A CL A V/R REGD 144A P/P /GBP/ 1.21099000
N/A
422428.70000000
NS
568176.48000000
0.341803618709
Long
ABS-CBDO
CORP
GB
Y
2
2060-07-20
Variable
1.21099000
N
N
N
N
N
N
MALAYSIA I 4.13% 07/09/29/MYR/
N/A
MALAYSIA INVESTMNT ISSUE /MYR/ REGD SER 0119 4.13000000
Y2R35QBC4
100000.00000000
NS
24579.95000000
0.014786806834
Long
DBT
USGA
MY
N
2
2029-07-09
Fixed
4.13000000
N
N
N
N
N
N
WAMU 02-AR9 1A V/R 8/25/42
N/A
WAMU 02-AR9 1A V/R 8/25/42 1.50372000
9393357P4
5484.52000000
NS
USD
5430.95000000
0.003267151014
Long
ABS-CBDO
CORP
US
N
2
2042-08-25
Variable
1.50372000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MPUS1M 06/12/22 BARC FLOAT
N/A
1.00000000
NC
USD
1300.81000000
0.000782541306
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-06-12
-1400000.00000000
USD
1399405.49000000
USD
1400000.00000000
USD
251.41000000
N
N
N
MALAYSIA 4.369% 10/31/28/MYR/
N/A
MALAYSIA INVESTMNT ISSUE /MYR/ REGD SER 0218 4.36900000
Y2R35QBF7
4600000.00000000
NS
1144441.50000000
0.688473141480
Long
DBT
USGA
MY
N
2
2028-10-31
Fixed
4.36900000
N
N
N
N
N
N
UMBS P#FM3243 3.5% 02/01/50
N/A
FANNIE MAE POOL UMBS P#FM3243 3.50000000
3140X6S93
75706.95000000
NS
USD
78449.37000000
0.047193573643
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20220302 000018337 USD
N/A
1.00000000
NC
N/A
5673.11000000
0.003412829632
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-751603.85000000
USD
960000.00000000
CAD
2022-03-02
5673.11000000
N
N
N
F/C US ULTRA BOND CBT JUN22
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT JUN22 0.00000000
N/A
2.00000000
NC
USD
371875.00000000
0.223712570269
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C US ULTRA BOND CBT JUN22
US ULTRA BOND CBT JUN22
2022-06-21
368880.03000000
USD
2994.97000000
N
N
N
N/A
N/A
MXN/USD FWD 20220615 000011091 USD
N/A
1.00000000
NC
N/A
-102.51000000
-0.00006166796
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-101460.66000000
USD
2117000.00000000
MXN
2022-06-15
-102.51000000
N
N
N
NORDEA KRED 1.5% 10/01/53/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD 1.50000000
K7S724JW8
200000.00000000
NS
26414.48000000
0.015890423430
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS PMUTKR00.00 06/19/22 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
757.17000000
0.000455498344
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-06-19
-3632495.91000000
JPY
3632497.56000000
JPY
3566613.02248706
JPY
1705.06000000
N
N
N
VM CASH CCP ICE BCY USD
N/A
VM CASH CCP ICE BCY USD 0.00000000
N/A
2907.34000000
NS
USD
2907.34000000
0.001748997657
Long
CORP
US
N
2
N
N
N
N/A
N/A
MYR/USD FWD 20220323 000006038 USD
N/A
1.00000000
NC
N/A
-1426208.46000000
-0.85797851516
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-5993161.86000000
MYR
0.00000000
N/A
2022-03-23
6537.63000000
N
N
N
N/A
N/A
IRS R01.54PUS3M 01/20/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-18144.30000000
-0.01091524837
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-01-20
-900000.00000000
USD
900000.00000000
USD
900000.00000000
USD
-18144.30000000
N
N
N
ISRAEL FIXED 1% 03/31/30/ILS/
N/A
ISRAEL FIXED BOND /ILS/ REGD SER 0330 1.00000000
M57494CT7
2000000.00000000
NS
593655.45000000
0.357131258014
Long
DBT
USGA
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
FNCL 30YR TBA 3.5% APR 22
N/A
FNCL 30YR TBA 3.5% APR 22 TO BE ANNOUNCED 3.50000000
01F032641
9050000.00000000
NS
USD
9300996.14000000
5.595293452223
Long
ABS-MBS
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS P00.25RER6M 03/16/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-387952.30000000
-0.23338435273
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-03-16
-6869738.37000000
EUR
6689374.28000000
EUR
6626882.79439433
EUR
-207588.21000000
N
N
N
N/A
N/A
IRS RUS3MP01.30 08/21/23 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
-10676.39000000
-0.00642270291
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2023-08-21
-2040805.66000000
USD
2000000.00000000
USD
2000000.00000000
USD
19627.70000000
N
N
N
N/A
N/A
PEN/USD FWD 20220303 000000902 USD
N/A
1.00000000
NC
N/A
-15725.71000000
-0.00946027295
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-1268983.56000000
USD
4745998.50000000
PEN
2022-03-03
-15725.71000000
N
N
N
N/A
N/A
IRS R00.76PSOFR 12/31/23 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-194801.40000000
-0.11718863028
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2023-12-31
-18000000.00000000
USD
17997402.43000000
USD
18000000.00000000
USD
-192203.83000000
N
N
N
NATWEST GROUP V/R /PERP//GBP/
N/A
NATWEST GROUP PLC /GBP/ REGD V/R /PERP/ 5.12500000
G6422BAA3
200000.00000000
NS
262302.34000000
0.157795847177
Long
DBT
CORP
GB
N
2
2170-12-31
Variable
5.12500000
N
N
N
N
N
N
PRET 2021-RN3 A1 V/R 09/25/51
N/A
PRET 2021-RN3 LLC SER 2021-RN3 CL A1 V/R REGD 144A P/P 1.84290000
74143JAA9
380749.09000000
NS
USD
370948.61000000
0.223155272553
Long
ABS-CBDO
CORP
US
Y
2
2051-09-25
Fixed
1.84290000
N
N
N
N
N
N
GSMBS 2021-GR2 A V/R 02/25/52
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2 SER 2021-GR2 CL A2 V/R REGD 144A P/P 2.50000000
36262JAB1
189048.66000000
NS
USD
182025.92000000
0.109503156756
Long
ABS-CBDO
CORP
US
Y
2
2052-02-25
Variable
2.50000000
N
N
N
N
N
N
US TREAS BDS 1.375% 11/15/40
N/A
UNITED STATES TREASURY BOND 1.37500000
912810ST6
1200000.00000000
NS
USD
1035468.74000000
0.622917306242
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
JOHN LEWIS PLC /GBP/ REGD 6.12500000
G51464AG3
100000.00000000
NS
144212.62000000
0.086755430952
Long
DBT
CORP
GB
N
2
2025-01-21
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
IRS P00.01RSO/N 02/07/23 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-78873.66000000
-0.04744881803
N/A
DIR
GB
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2023-02-07
-6494879.86000000
GBP
6494879.86000000
GBP
6440159.89253305
GBP
-78873.66000000
N
N
N
PACIFIC GAS & EL 4.4% 03/01/32
N/A
PACIFIC GAS & ELECTRIC REGD 4.40000000
694308KC0
200000.00000000
NS
USD
204523.18000000
0.123037058897
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
4.40000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20220518 000011091 USD
N/A
1.00000000
NC
N/A
9.22000000
0.000005546567
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
N/A
-192906.50000000
USD
4007000.00000000
MXN
2022-05-18
9.22000000
N
N
N
NOMURA HOLDING 2.329% 01/22/27
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC REGD 2.32900000
65535HAZ2
200000.00000000
NS
USD
193466.80000000
0.116385761586
Long
DBT
CORP
JP
N
2
2027-01-22
Fixed
2.32900000
N
N
N
N
N
N
BANCA CARIGE V/R 05/25/22/EUR/
F1T87K3OQ2OV1UORLH26
BANCA CARIGE SPA /EUR/ REGD V/R REG S 0.97100000
T0R05RED3
400000.00000000
NS
449047.00000000
0.270137703641
Long
DBT
CORP
IT
N
2
2022-05-25
Variable
0.97100000
N
N
N
N
N
N
ITRAXX.O P 4.25 XOV36 5Y I 05/18/22 BPS
N/A
ITRAXX.O P 4.25 XOV36 5Y I 05/18/22 BPS 0.00000000
N/A
-100000.00000000
NC
-1304.37000000
-0.00078468293
N/A
DCR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
ITRAXX.O P 4.25 XOV36 5Y I 05/18/22 BPS
0
-100000.00000000
EUR
4.25000000
EUR
2022-05-18
XXXX
-1304.37000000
N
N
N
N/A
N/A
NZD/USD FWD 20220302 000009049 USD
N/A
1.00000000
NC
N/A
-23510.96000000
-0.01414372380
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-1533000.00000000
NZD
1013869.94000000
USD
2022-03-02
-23510.96000000
N
N
N
N/A
N/A
CAD/USD FWD 20220302 000009049 USD
N/A
1.00000000
NC
N/A
992.22000000
0.000596899728
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-1253322.73000000
CAD
989651.00000000
USD
2022-03-02
992.22000000
N
N
N
BANK OF AMERICA COR V/R /PERP/
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R /PERP/ SER FF 5.87500000
060505FL3
200000.00000000
NS
USD
206000.00000000
0.123925484303
Long
DBT
CORP
US
N
2
2170-09-15
Variable
5.87500000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP00.75 06/16/31 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
19169.61000000
0.011532054384
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2031-06-16
-188670.87000000
USD
200000.00000000
USD
200000.00000000
USD
6980.98000000
N
N
N
WAMU 2006-AR13 2 V/R 10/25/46
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR13 SER 2006-AR13 CL 2A V/R REGD 1.72300000
93363RAB2
42259.53000000
NS
USD
41366.48000000
0.024885247902
Long
ABS-CBDO
CORP
US
N
2
2046-10-25
Variable
1.72300000
N
N
N
N
N
N
CWHL 2005-3 2A1 V/R 4/25/35
N/A
CWHL 2005-3 2A1 V/R 4/25/35 0.76686000
12669GTV3
3436.05000000
NS
USD
3331.30000000
0.002004043523
Long
ABS-CBDO
CORP
US
N
2
2035-04-25
Variable
0.76686000
N
N
N
N
N
N
CANADIAN GOVE 2% 12/01/51/CAD/
N/A
CANADIAN GOVERNMENT /CAD/ REGD 2.00000000
135087H72
600000.00000000
NS
461128.18000000
0.277405500158
Long
DBT
USGA
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
IRO EUR 5Y P 1.00000 L 05/11/22 GLM
N/A
IRO EUR 5Y P 1.00000 L 05/11/22 GLM 0.00000000
N/A
-500000.00000000
NC
-1092.03000000
-0.00065694343
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
IRO EUR 5Y P 1.00000 L 05/11/22 GLM
0
-500000.00000000
EUR
1.00000000
EUR
2022-05-11
XXXX
-1092.03000000
N
N
N
ITRAXX.O P 0.85 EU36 5Y I 04/20/22 BOA
N/A
ITRAXX.O P 0.85 EU36 5Y I 04/20/22 BOA 0.00000000
N/A
-700000.00000000
NC
-1566.52000000
-0.00094238713
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
ITRAXX.O P 0.85 EU36 5Y I 04/20/22 BOA
0
-700000.00000000
EUR
0.85000000
EUR
2022-04-20
XXXX
-1566.52000000
N
N
N
NYKREDIT RE 1.5% 10/01/50/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 1.50000000
K74181V86
1.21000000
NS
0.17000000
0.000000102268
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
CDX 2I666VCZ6 01.000 SP 12/20/2026 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-82693.06000000
-0.04974649276
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
iTRAXX Europe S36
iTRAXX Europe S36
Y
2026-12-20
-6079859.81000000
EUR
6171511.31000000
EUR
6055019.81213696
EUR
-162860.38000000
N
N
N
N/A
N/A
IRS R03.00PNF3F 12/15/23 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-3561.36000000
-0.00214244302
N/A
DIR
NZ
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2023-12-15
-3076199.86000000
NZD
3075420.48000000
NZD
2977479.75070158
NZD
-2781.98000000
N
N
N
SAMI 2005-AR8 A1 V/R 02/25/36
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR8 SER 2005-AR8 CL A1A V/R REGD 0.74686000
86359LRW1
42213.02000000
NS
USD
40532.08000000
0.024383289533
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Variable
0.74686000
N
N
N
N
N
N
CDX.O P 100.00 HY37 5Y V1 I 04/20/22 BRC
N/A
CDX.O P 100.00 HY37 5Y V1 I 04/20/22 BRC 0.00000000
N/A
-200000.00000000
NC
USD
-701.38000000
-0.00042193619
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
CDX.O P 100.00 HY37 5Y V1 I 04/20/22 BRC
0
-200000.00000000
USD
100.00000000
USD
2022-04-20
XXXX
-701.38000000
N
N
N
GMACM 2005-AR6 3 V/R 11/19/35
N/A
GMACM MORTGAGE LOAN TRUST 2005-AR6 SER 2005-AR6 CL 3A1 V/R REGD 2.85457400
36185MBL5
19784.10000000
NS
USD
19876.01000000
0.011957010511
Long
ABS-CBDO
CORP
US
N
2
2035-11-19
Variable
2.85457400
N
N
N
N
N
N
N/A
N/A
TRS 3ML/IBOXIG INDX 09/20/22 BPS /LONG/
N/A
1.00000000
NC
USD
274423.36000000
0.165087610642
N/A
DE
US
N
2
BNP
N/A
TRS 3ML-IBOXIG INDX
TRS 3ML-IBOXIG INDX
Y
2022-09-20
-4000000.00000000
USD
4001070.89000000
USD
4000000.00000000
USD
273352.47000000
N
N
N
N/A
N/A
MYR/USD FWD 20220323 000004066 USD
N/A
1.00000000
NC
N/A
-16865.89000000
-0.01014618245
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-7421083.88000000
MYR
1749148.93000000
USD
2022-03-23
-16865.89000000
N
N
N
SNDPT 2017-3A A1 V/R 10/20/30
N/A
SOUND POINT CLO XVII SER 2017-3A CL A1R V/R REGD 144A P/P 1.23400000
83611GAL5
400000.00000000
NS
USD
399527.56000000
0.240347797891
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-20
Variable
1.23400000
N
N
N
N
N
N
IHO VERWALTUNGS GM 6% 05/15/27
N/A
IHO VERWALTUNGS GMBH REGD 144A P/P 6.00000000
44963BAE8
300000.00000000
NS
USD
305646.00000000
0.183870527065
Long
DBT
CORP
DE
Y
2
2027-05-15
Fixed
6.00000000
N
N
Y
N
N
N
REALKREDIT 2.5% 07/01/47/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD MTN SER 23S 2.50000000
K8094KQM8
0.99000000
NS
0.15000000
0.000000090237
Long
DBT
CORP
DK
N
2
2047-07-01
Fixed
2.50000000
N
N
N
N
N
N
NYKREDIT REAL 1% 10/01/50/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01EE 1.00000000
K74181Y26
16751034.75000000
NS
2217873.16000000
1.334228181929
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
JAPAN TREASU ZCP 05/16/22/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1056 0.00000000
N/A
250000000.00000000
PA
2175329.48000000
1.308634754026
Long
STIV
USGA
JP
N
2
2022-05-16
Fixed
0.00000000
N
N
N
N
N
N
PSTAT 2021-4A A1 V/R 10/15/29
N/A
PALMER SQUARE LOAN FUNDING 2021-4 LTD SER 2021-4A CL A1 V/R REGD 144A P/P 0.92788000
69702HAA6
400000.00000000
NS
USD
399305.20000000
0.240214030558
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-15
Variable
0.92788000
N
N
N
N
N
N
ITRAXX.O P 1.10 EU36 5Y I 06/15/22 BRC
N/A
ITRAXX.O P 1.10 EU36 5Y I 06/15/22 BRC 0.00000000
N/A
-200000.00000000
NC
-422.30000000
-0.00025404724
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 1.10 EU36 5Y I 06/15/22 BRC
0
-200000.00000000
EUR
1.10000000
EUR
2022-06-15
XXXX
-422.30000000
N
N
N
UBS AG STAMFOR 7.625% 08/17/22
N/A
UBS AG STAMFORD CT REGD 7.62500000
90261AAB8
250000.00000000
NS
USD
256024.31000000
0.154019109758
Long
DBT
CORP
US
N
2
2022-08-17
Fixed
7.62500000
N
N
N
N
N
N
WAMU 2006-AR10 2 V/R 09/25/36
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006- SER 2006-AR10 CL 2A1 V/R REGD 2.73825600
93363EAF2
25035.59000000
NS
USD
24148.82000000
0.014527447640
Long
ABS-CBDO
CORP
US
N
2
2036-09-25
Variable
2.73825600
N
N
N
N
N
N
VOYA 2017-1A A1R V/R 04/17/30
N/A
VOYA CLO 2017-1 LTD SER 2017-1A CL A1R V/R REGD 144A P/P 1.19129000
92916MAF8
400000.00000000
NS
USD
398949.20000000
0.239999868071
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Variable
1.19129000
N
N
N
N
N
N
CWALT 2007-7T2 A9 6% 04/25/37
N/A
ALTERNATIVE LOAN TRUST 2007-7T2 SER 2007-7T2 CL A9 REGD 6.00000000
02147BAJ4
27509.20000000
NS
USD
16192.81000000
0.009741270978
Long
ABS-CBDO
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
UMBS TBA 30YR 2% MAR 21
N/A
UMBS TBA 30YR 2% MAR 21 TO BE ANNOUNCED 2.00000000
01F020638
-15650000.00000000
NS
USD
-15003320.25000000
-9.02569770945
Short
ABS-MBS
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
JAPAN (10 Y 0.1% 09/20/31/JPY/
N/A
JAPAN (10 YEAR ISSUE) /JPY/ REGD SER 364 0.10000000
J2S39LQK3
390000000.00000000
NS
3369533.77000000
2.027044195754
Long
DBT
USGA
JP
N
2
2031-09-20
Fixed
0.10000000
N
N
N
N
N
N
NORTHERN TERR 2% 04/21/31/AUD/
N/A
NORTHERN TERRITORY TREAS /AUD/ REGD REG S 2.00000000
Q6S62NDB6
300000.00000000
NS
206258.84000000
0.124081197276
Long
DBT
USGA
AU
N
2
2031-04-21
Fixed
2.00000000
N
N
N
N
N
N
BABSN 2013-IA AR V/R 01/20/28
N/A
BARINGS CLO LTD 2013-I SER 2013-IA CL AR V/R REGD 144A P/P 1.05400000
06760EAA4
458281.15000000
NS
USD
458149.07000000
0.275613327102
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-20
Variable
1.05400000
N
N
N
N
N
N
N/A
N/A
IRS R03.00PNF3F 11/01/23 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-1027.68000000
-0.00061823175
N/A
DIR
NZ
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2023-11-01
-2779269.96000000
NZD
2780592.57000000
NZD
2639129.77903094
NZD
-2350.29000000
N
N
N
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 BRC
N/A
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 BRC 0.00000000
N/A
-1200000.00000000
NC
-488.17000000
-0.00029367331
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 0.90 EU36 5Y I 03/16/22 BRC
0
-1200000.00000000
EUR
0.90000000
EUR
2022-03-16
XXXX
-488.17000000
N
N
N
UMBS P#FM1796 3.5% 10/01/34
N/A
FANNIE MAE POOL UMBS P#FM1796 3.50000000
3140X47J9
34324.29000000
NS
USD
35730.42000000
0.021494706810
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000000642 USD
N/A
1.00000000
NC
N/A
-2052.20000000
-0.00123456251
N/A
DFE
N/A
N
2
UBS AG STAMFORD BRANCH
254900R882POXXVAK772
-373202.50000000
USD
331000.00000000
EUR
2022-03-02
-2052.20000000
N
N
N
ALBA 2007-1 V/R 03/17/39 /GBP/
N/A
ALBA 2007-1 PLC SER 2007-1 CL A3 V/R REGD REG S /GBP/ 0.39175000
G021A3AA9
298488.00000000
NS
388556.61000000
0.233747893561
Long
ABS-CBDO
CORP
GB
N
2
2039-03-17
Variable
0.39175000
N
N
N
N
N
N
CK HUTCHISON I 2.875% 04/05/22
N/A
CK HUTCHISON INTL 17 LTD REGD 144A P/P 2.87500000
12563UAA5
300000.00000000
NS
USD
300374.22000000
0.180699129543
Long
DBT
CORP
HK
Y
2
2022-04-05
Fixed
2.87500000
N
N
N
N
N
N
LLOYDS BANKING G 3.9% 03/12/24
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD 3.90000000
53944YAH6
200000.00000000
NS
USD
206459.62000000
0.124201982513
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
VIBR 2017-6A AR V/R 06/20/29
N/A
VIBRANT CLO VI LTD SER 2017-6A CL AR V/R REGD 144A P/P 1.16363000
92558EAJ1
235676.37000000
NS
USD
235024.72000000
0.141386175967
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Variable
1.16363000
N
N
N
N
N
N
SANDS CHINA LTD 5.4% 08/08/28
N/A
SANDS CHINA LTD REGD SER WI 5.40000000
80007RAE5
200000.00000000
NS
USD
196918.00000000
0.118461934554
Long
DBT
CORP
MO
N
2
2028-08-08
Fixed
5.40000000
N
N
N
N
N
N
VM CASH CCP LCH BCY /NZD/
N/A
VM CASH CCP LCH BCY /NZD/ 0.00000000
N/A
1055.80000000
NS
714.46000000
0.000429804861
Long
CORP
NZ
N
2
N
N
N
EUROPEAN IN 0.5% 08/10/23/AUD/
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK /AUD/ REGD EMTN 0.50000000
L32482DM7
800000.00000000
NS
575876.87000000
0.346436019486
Long
DBT
CORP
LU
N
2
2023-08-10
Fixed
0.50000000
N
N
N
N
N
N
FRANCE (GOVT 2% 05/25/48/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD 2.00000000
F43750JK9
3300000.00000000
NS
4463711.49000000
2.685279651412
Long
DBT
USGA
FR
Y
2
2048-05-25
Fixed
2.00000000
N
N
N
N
N
N
HSBC HOLDING V/R 07/24/27/GBP/
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC /GBP/ REGD V/R 1.75000000
404280CR8
100000.00000000
NS
128583.16000000
0.077353060079
Long
DBT
CORP
GB
N
2
2027-07-24
Variable
1.75000000
N
N
N
N
N
N
N/A
N/A
SGD/USD FWD 20220316 000004608 USD
N/A
1.00000000
NC
N/A
6685.12000000
0.004021634629
N/A
DFE
N/A
N
2
SOCIETE GENERALE
N/A
-1211000.00000000
SGD
899900.52000000
USD
2022-03-16
6685.12000000
N
N
N
BLACK 2015- V/R 10/03/29 /EUR/
N/A
BLACK DIAMOND CLO 2015-1 DESIGNATED A SER 2015-1A CL A1R V/R REGD 144A P/P /EUR/ 0.65000000
N/A
50756.95000000
NS
56931.19000000
0.034248666469
Long
ABS-CBDO
CORP
IE
Y
2
2029-10-03
Variable
0.65000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20220302 000003534 USD
N/A
1.00000000
NC
N/A
-1022.40000000
-0.00061505541
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-307229.18000000
USD
35200000.00000000
JPY
2022-03-02
-1022.40000000
N
N
N
REPUBLIC O 5.94% 02/12/29/PEN/
N/A
REPUBLIC OF PERU /PEN/ REGD REG S 5.94000000
715638CE0
100000.00000000
NS
26578.90000000
0.015989335217
Long
DBT
USGA
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
N/A
N/A
IRS PMUTKR00.50 06/19/49 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
14930.02000000
0.008981601743
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2049-06-19
-270920.46000000
JPY
265792.50000000
JPY
260971.68457222
JPY
18849.72000000
N
N
N
DRSLF 2017-47A A V/R 04/15/28
N/A
DRYDEN SENIOR LOAN FUND SER 2017-47A CL A1R V/R REGD 144A P/P 1.22129000
26245EAJ8
300000.00000000
NS
USD
299247.90000000
0.180021557934
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Variable
1.22129000
N
N
N
N
N
N
N/A
N/A
IRS RSO1DP01.25 09/15/31 CSFB FLOAT
N/A
1.00000000
NC
10506.23000000
0.006320338062
N/A
DIR
SG
N
2
HSBC
N/A
N/A
N/A
Y
2031-09-15
-246535.96000000
SGD
243515.47000000
SGD
243425.66296610
SGD
13525.13000000
N
N
N
SOCIETE GENERALE V/R 01/21/33
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE REGD V/R 144A P/P 3.33700000
83368RBJ0
400000.00000000
NS
USD
385061.40000000
0.231645245056
Long
DBT
CORP
FR
Y
2
2033-01-21
Variable
3.33700000
N
N
N
N
N
N
N/A
N/A
IRS R00.00PJY6M 03/17/22 BARCUS3BXXX FIXED
N/A
1.00000000
NC
938.54000000
0.000564606912
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2022-03-17
-5138655.09000000
JPY
5138655.74000000
JPY
5045452.56839633
JPY
1651.67000000
N
N
N
FNR 2006-48 TF V/R 06/25/36
N/A
FANNIE MAE REMICS SER 2006-48 CL TF V/R 0.58686000
31395NLE5
6921.01000000
NS
USD
6994.48000000
0.004207739424
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Variable
0.58686000
N
N
N
N
N
N
RAST 2005-A15 5.75% 02/25/36
N/A
RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A15 SER 2005-A15 CL 5A1 REGD 5.75000000
45660L4G1
13662.49000000
NS
USD
7648.03000000
0.004600902047
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
IRS R01.00PUS3M 12/16/25 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-48277.87000000
-0.02904300204
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-12-16
-2000000.00000000
USD
2017425.10000000
USD
2000000.00000000
USD
-54177.42000000
N
N
N
N/A
N/A
CDS JP1200551248 01.000 BP 06/20/2022 MRMDUS33XXX LONG
N/A
1.00000000
NC
USD
-14768.51000000
-0.00888444055
N/A
DCR
US
N
2
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
JAPAN (20 YEA 2% 03/21/22/JPY/
JAPAN (20 YEA 2% 03/21/22/JPY/
Y
2022-06-20
-300000.00000000
USD
289840.67000000
USD
300000.00000000
USD
8665.83000000
N
N
N
AUSTRALIAN GO 1% 11/21/31/AUD/
N/A
AUSTRALIAN GOVERNMENT /AUD/ REGD SER 163 1.00000000
Q2R04NCP7
200000.00000000
NS
130952.63000000
0.078778485891
Long
DBT
USGA
AU
N
2
2031-11-21
Fixed
1.00000000
N
N
N
N
N
N
ARES 2018-50A AR V/R 01/15/32
N/A
ARES L CLO LTD SER 2018-50A CL AR V/R REGD 144A P/P 1.29129000
04018LAJ4
400000.00000000
NS
USD
398827.20000000
0.239926475308
Long
ABS-CBDO
CORP
KY
Y
2
2032-01-15
Variable
1.29129000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.25 06/09/41 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
106218.01000000
0.063898632674
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2041-06-09
-834657.99000000
USD
900000.00000000
USD
900000.00000000
USD
30587.11000000
N
N
N
SCUL 25A A1 V/R 01/15/31
N/A
SCULPTOR CLO XXV LTD SER 25A CL A1 V/R REGD 1.51129000
811244AC6
300000.00000000
NS
USD
299033.10000000
0.179892338545
Long
ABS-CBDO
CORP
KY
Y
2
2031-01-15
Variable
1.51129000
N
N
N
N
N
N
BNP PARIBAS 3.8% 01/10/24
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD 144A P/P MTN 3.80000000
05581KAB7
200000.00000000
NS
USD
205995.55000000
0.123922807272
Long
DBT
CORP
FR
Y
2
2024-01-10
Fixed
3.80000000
N
N
N
N
N
N
TPMF 2019-A V/R 07/20/45 /GBP/
N/A
TOWD POINT MORTGAGE FUNDING SER 2019-A13A CL A1 V/R REGD 144A P/P /GBP/ 1.09590000
N/A
467286.00000000
NS
628232.84000000
0.377932325012
Long
ABS-CBDO
CORP
GB
Y
2
2045-07-20
Variable
1.09590000
N
N
N
N
N
N
OTC ECAL FN 2.5 5-52 98 196 JPM
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 5-52 98 196 JPM 0.00000000
N/A
-200000.00000000
NC
USD
-1423.58000000
-0.00085639728
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
OTC ECAL FN 2.5 5-52 98 196 JPM
0
-200000.00000000
USD
98.61710000
USD
2022-05-05
XXXX
-517.33000000
N
N
N
N/A
N/A
USD/MYR FWD 20220323 000006038 USD
N/A
1.00000000
NC
N/A
1432746.09000000
0.861911422756
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
0.00000000
N/A
1432746.09000000
USD
2022-03-23
0.00000000
N
N
N
F/C US LONG BOND(CBT) JUN22
N/A
FUTURE CONTRACT ON US LONG BOND(CBT) JUN22 0.00000000
N/A
-11.00000000
NC
USD
-1723562.50000000
-1.03686076475
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US LONG BOND(CBT) JUN22
US LONG BOND(CBT) JUN22
2022-06-21
1701218.75000000
USD
-22343.75000000
N
N
N
N/A
N/A
CDX 2I65BRYP9 05.000 BP 06/20/2026 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
-26980.95000000
-0.01623120046
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.HY.36
CDX.NA.HY.36
Y
2026-06-20
-329462.20000000
USD
300000.00000000
USD
300000.00000000
USD
1397.91000000
N
N
N
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 JPM
N/A
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 JPM 0.00000000
N/A
-800000.00000000
NC
USD
-897.04000000
-0.00053964134
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 JPM
0
-800000.00000000
USD
0.90000000
USD
2022-04-20
XXXX
-897.04000000
N
N
N
GA GLOBAL FUNDI 2.25% 01/06/27
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST REGD 144A P/P 2.25000000
36143L2G9
150000.00000000
NS
USD
145481.78000000
0.087518932251
Long
DBT
CORP
US
Y
2
2027-01-06
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
IRS R00.50PST3M 06/19/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-381.04000000
-0.00022922605
N/A
DIR
SE
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-06-19
-553291.79000000
SEK
559552.82000000
SEK
507268.20220979
SEK
-6444.23000000
N
N
N
VM CASH CCP LCH BCY /CHF/
N/A
VM CASH CCP LCH BCY /CHF/ 0.00000000
N/A
6340.44000000
NS
6914.33000000
0.004159522785
Long
CORP
CH
N
2
N
N
N
JAPAN (20 YEA 1% 12/20/35/JPY/
N/A
JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 155 1.00000000
J2S39KLV6
190000000.00000000
NS
1789791.14000000
1.076702591394
Long
DBT
USGA
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
C/O OTC ECAL FN 2.5 4-52 99 17 + JPM
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 4-52 99 17+ JPM 0.00000000
N/A
-200000.00000000
NC
USD
-447.26000000
-0.00026906268
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
C/O OTC ECAL FN 2.5 4-52 99 17 + JPM
0
-200000.00000000
USD
99.54687500
USD
2022-04-06
XXXX
83.99000000
N
N
N
FNMA 30YR TBA 2.5% MAR 22
N/A
FNMA 30YR TBA 2.5% MAR 22 TO BE ANNOUNCED 2.50000000
01F022634
-10800000.00000000
NS
USD
-10655791.49000000
-6.41031126718
Short
ABS-MBS
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000004066 USD
N/A
1.00000000
NC
N/A
-23162.62000000
-0.01393416942
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-1668109.71000000
USD
1467000.00000000
EUR
2022-03-02
-23162.62000000
N
N
N
ROMANIA 1.75% 07/13/30/EUR/
N/A
ROMANIA /EUR/ REGD 144A P/P MTN 1.75000000
X7360WBW1
200000.00000000
NS
187927.18000000
0.113053236870
Long
DBT
USGA
RO
Y
2
2030-07-13
Fixed
1.75000000
N
N
N
N
N
N
BROADCOM INC 4.15% 11/15/30
549300WV6GIDOZJTV909
BROADCOM INC REGD SER WI 4.15000000
11135FAQ4
190000.00000000
NS
USD
199472.61000000
0.119998736891
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20220304 000004066 USD
N/A
1.00000000
NC
N/A
537.95000000
0.000323619972
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-7076805.95000000
MXN
345996.56000000
USD
2022-03-04
537.95000000
N
N
N
ITRAXX.O P 0.85 EU36 5Y I 05/18/22 BRC
N/A
ITRAXX.O P 0.85 EU36 5Y I 05/18/22 BRC 0.00000000
N/A
-800000.00000000
NC
-2552.17000000
-0.00153533448
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 0.85 EU36 5Y I 05/18/22 BRC
0
-800000.00000000
EUR
0.85000000
EUR
2022-05-18
XXXX
-2552.17000000
N
N
N
N/A
N/A
CAD/USD FWD 20220302 000003534 USD
N/A
1.00000000
NC
N/A
-30846.62000000
-0.01855671030
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-4416751.45000000
CAD
3453220.15000000
USD
2022-03-02
-30846.62000000
N
N
N
BANCA MON 0.875% 10/08/26/EUR/
N/A
BANCA MONTE DEI PASCHI S /EUR/ REGD REG S 0.87500000
T1188BJA5
100000.00000000
NS
112530.08000000
0.067695847877
Long
DBT
CORP
IT
N
2
2026-10-08
Fixed
0.87500000
N
N
N
N
N
N
CDX.O P 0.85 IG37 5Y V1 I 05/18/22 JPM
N/A
CDX.O P 0.85 IG37 5Y V1 I 05/18/22 JPM 0.00000000
N/A
-500000.00000000
NC
USD
-1085.40000000
-0.00065295495
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
CDX.O P 0.85 IG37 5Y V1 I 05/18/22 JPM
0
-500000.00000000
USD
0.85000000
USD
2022-05-18
XXXX
-1085.40000000
N
N
N
C/O OTC ECAL FN 2.5 4-52 100 041 JPM
N/A
CALL OPTION ON 100SHS OTC ECAL FN 2.5 4-52 100 041 JPM 0.00000000
N/A
-100000.00000000
NC
USD
-102.12000000
-0.00006143335
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
C/O OTC ECAL FN 2.5 4-52 100 041 JPM
0
-100000.00000000
USD
100.12800000
USD
2022-04-06
XXXX
210.38000000
N
N
N
N/A
N/A
USD/ZAR FWD 20220615 000006038 USD
N/A
1.00000000
NC
N/A
-3131.58000000
-0.00188389596
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-183603.39000000
USD
2813000.00000000
ZAR
2022-06-15
-3131.58000000
N
N
N
ITRAXX.O P 4.25 XOV36 5Y I 04/20/22 BOA
N/A
ITRAXX.O P 4.25 XOV36 5Y I 04/20/22 BOA 0.00000000
N/A
-200000.00000000
NC
-1764.12000000
-0.00106125934
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Purchased
ITRAXX.O P 4.25 XOV36 5Y I 04/20/22 BOA
0
-200000.00000000
EUR
4.25000000
EUR
2022-04-20
XXXX
-1764.12000000
N
N
N
N/A
N/A
PEN/USD FWD 20220303 000006038 USD
N/A
1.00000000
NC
N/A
-53845.25000000
-0.03239222661
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-4627241.40000000
PEN
1168052.86000000
USD
2022-03-03
-53845.25000000
N
N
N
MLMI 2003-A2 1A1 V/R 02/25/33
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST MLMI SERI SER 2003-A2 CL 1A1 V/R REGD 1.79907900
589929M70
3107.55000000
NS
USD
2983.68000000
0.001794922276
Long
ABS-CBDO
CORP
US
N
2
2033-02-25
Variable
1.79907900
N
N
N
N
N
N
HYATT HOTELS COR 1.3% 10/01/23
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP REGD 1.30000000
448579AL6
100000.00000000
NS
USD
98506.83000000
0.059259740849
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
1.30000000
N
N
N
N
N
N
REPUBLIC O 6.35% 08/12/28/PEN/
N/A
REPUBLIC OF PERU /PEN/ REGD REG S 6.35000000
P78024AC3
1300000.00000000
NS
354911.94000000
0.213507932280
Long
DBT
USGA
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
SNDPT 2016-3A AR V/R 01/23/29
N/A
SOUND POINT CLO XIV LTD SER 2016-3A CL AR2 V/R REGD 144A P/P 1.24886000
83609NAN0
225820.21000000
NS
USD
225496.16000000
0.135653984644
Long
ABS-CBDO
CORP
KY
Y
2
2029-01-23
Variable
1.24886000
N
N
N
N
N
N
N/A
N/A
IRS R00.30PSS1D 02/15/27 BARC FIXED
N/A
1.00000000
NC
5760.08000000
0.003465149046
N/A
DIR
CH
N
2
JPMORGAN
N/A
N/A
N/A
Y
2027-02-15
-648333.24000000
CHF
648333.24000000
CHF
654307.52453653
CHF
5760.08000000
N
N
N
SAMI 2005-AR2 2A V/R 05/25/45
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR2 SER 2005-AR2 CL 2A1 V/R REGD 0.64686000
86359LJA8
30601.21000000
NS
USD
29591.47000000
0.017801637140
Long
ABS-CBDO
CORP
US
N
2
2045-05-25
Variable
0.64686000
N
N
N
N
N
N
BUONI POLIE 1.7% 09/01/51/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD 1.70000000
T6052BYD4
950000.00000000
NS
917940.67000000
0.552214767436
Long
DBT
USGA
IT
Y
2
2051-09-01
Fixed
1.70000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20220509 000011553 USD
N/A
1.00000000
NC
N/A
-4924.74000000
-0.00296262519
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-130000000.00000000
JPY
1127694.00000000
USD
2022-05-09
-4924.74000000
N
N
N
N/A
N/A
GBP/USD FWD 20220302 000006038 USD
N/A
1.00000000
NC
N/A
634.56000000
0.000381738618
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
N/A
-30000.00000000
GBP
40885.57000000
USD
2022-03-02
634.56000000
N
N
N
C/O EURO-BUND OPTION JUN22 200
N/A
CALL OPTION ON EURO-BUND OPTION JUN22 200 /EUR/ 0.00000000
N/A
33.00000000
NC
370.03000000
0.000222602655
N/A
DO
CORP
DE
N
1
SOCIETE GENERALE INTERNATIONAL
0IKLU6X1B10WK7X42C15
Call
Written
C/O EURO-BUND OPTION JUN22 200
0
33000.00000000
EUR
200.00000000
EUR
2022-05-20
XXXX
-37.18000000
N
N
N
VENTR 2019-38A A V/R 07/30/32
N/A
VENTURE 38 CLO LTD SER 2019-38A CL A1R V/R REGD 144A P/P 1.45900000
92332NAS4
400000.00000000
NS
USD
398885.20000000
0.239961366949
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-30
Variable
1.45900000
N
N
N
N
N
N
N/A
N/A
PLN/USD FWD 20220316 000003534 USD
N/A
1.00000000
NC
N/A
803.38000000
0.000483297357
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-54467.93000000
PLN
13764.00000000
USD
2022-03-16
803.38000000
N
N
N
VM CASH CCP LCH BCY /SGD/
N/A
VM CASH CCP LCH BCY /SGD/ 0.00000000
N/A
7809.87000000
NS
5760.98000000
0.003465690468
Long
CORP
SG
N
2
N
N
N
HSBC HOLDINGS PLC V/R 03/13/28
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 4.04100000
404280BK4
200000.00000000
NS
USD
207591.78000000
0.124883067349
Long
DBT
CORP
GB
N
2
2028-03-13
Fixed
4.04100000
N
N
N
N
N
N
N/A
N/A
CDX 2I667KJO7 05.000 SP 12/20/2026 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-14595.99000000
-0.00878065596
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
iTRAXX Europe Crossover S36
iTRAXX Europe Crossover S36
Y
2026-12-20
-225179.99000000
EUR
240887.47000000
EUR
224259.99304211
EUR
-28176.77000000
N
N
N
N/A
N/A
GBP/USD FWD 20220302 000018337 USD
N/A
1.00000000
NC
N/A
-3685.34000000
-0.00221702691
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-11778189.00000000
GBP
15799112.91000000
USD
2022-03-02
-3685.34000000
N
N
N
SINGAPORE 2.375% 07/01/39/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 2.37500000
Y280CEAP2
100000.00000000
NS
76715.97000000
0.046150794835
Long
DBT
USGA
SG
N
2
2039-07-01
Fixed
2.37500000
N
N
N
N
N
N
2022-03-30
Morgan Stanley Pathway Funds
Francis Smith
Francis Smith
Chief Financial Officer