0001752724-22-096092.txt : 20220428
0001752724-22-096092.hdr.sgml : 20220428
20220428095908
ACCESSION NUMBER: 0001752724-22-096092
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: 22862730
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
S000052236
Inflation-Linked Fixed Income Fund
C000164312
Inflation-Linked Fixed Income Fund
TILUX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000875186
XXXXXXXX
S000052236
C000164312
MORGAN STANLEY PATHWAY FUNDS
811-06318
0000875186
549300P3RUTI9W6SLI87
2000 Westchester Avenue
NULL
Purchase
10577
888-454-3965
Inflation-Linked Fixed Income Fund
S000052236
549300Y5STFD97ES4K03
2022-08-31
2022-02-28
N
250140374.95
106855773.95
143284601.00
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
504.96000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2546012.28000000
ARS
AUD
BRL
CAD
CNY
DKK
EUR
GBP
JPY
MXN
NOK
NZD
PEN
SEK
SGD
TRY
USD
ZAR
N
CASH COLLATERAL LCH FOB WFS
N/A
CASH COLLATERAL LCH FOB WFS -0.02000000
N/A
321000.00000000
NS
USD
321000.00000000
0.224029656892
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
CBASS 2007-CB6 A V/R 07/25/37
N/A
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC SER 2007-CB6 CL A3 V/R REGD 0.40686000
1248RHAC1
814146.43000000
NS
USD
649494.19000000
0.453289596695
Long
ABS-CBDO
CORP
US
Y
2
2037-07-25
Variable
0.40686000
N
N
N
N
N
N
IRO EUR 30Y P 0.19700 L 11/04/22 BRC
N/A
IRO EUR 30Y P 0.19700 L 11/04/22 BRC 0.00000000
N/A
300000.00000000
NC
60856.65000000
0.042472568283
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Written
IRO EUR 30Y P 0.19700 L 11/04/22 BRC
0
300000.00000000
EUR
0.19700000
EUR
2022-11-04
XXXX
60856.65000000
N
N
N
US TREAS NTS 1.75% 12/31/24
N/A
UNITED STATES TREASURY NOTE 1.75000000
912828YY0
130000.00000000
NS
USD
130563.67000000
0.091121913372
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
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
595434.72000000
NS
78795.70000000
0.054992441232
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.00000000
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
-300000.00000000
NC
-595.07000000
-0.00041530631
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
-300000.00000000
EUR
1.00000000
EUR
2022-05-18
XXXX
-595.07000000
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
16763761.98000000
NS
2248621.66000000
1.569339373740
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
US TIPS 0.125% 10/15/25
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CAQ4
429804.00000000
NS
USD
459856.59000000
0.320939296191
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.12500000
N
N
N
N
N
N
ITRAXX.O P 5.50 XOV36 5Y I 06/15/22 BPS
N/A
ITRAXX.O P 5.50 XOV36 5Y I 06/15/22 BPS 0.00000000
N/A
-100000.00000000
NC
-812.94000000
-0.00056736034
N/A
DCR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
ITRAXX.O P 5.50 XOV36 5Y I 06/15/22 BPS
0
-100000.00000000
EUR
5.50000000
EUR
2022-06-15
XXXX
-812.94000000
N
N
N
VM CASH CCP LCH WFS /GBP/
N/A
VM CASH CCP LCH WFS /GBP/ 0.00000000
N/A
7019.61000000
NS
9418.21000000
0.006573078987
Long
CORP
GB
N
2
N
N
N
US TIPS 0.125% 01/15/23
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912828UH1
5929433.83000000
NS
USD
6154885.55000000
4.295566660369
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
CASH COLLATERAL CME WFS
N/A
CASH COLLATERAL CME WFS -0.02000000
N/A
108000.00000000
NS
USD
108000.00000000
0.075374464001
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 3.85 12/20/21-1Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-10315.88000000
-0.00719957338
N/A
DIR
US
N
2
CITIBANK
N/A
US 1Y
US 1Y
Y
2022-12-20
-600000.00000000
USD
600000.00000000
USD
600000.00000000
USD
-10315.88000000
N
N
N
N/A
N/A
IRS PJY6MR00.00 03/20/22 WFSLUS33XXX FLOAT
N/A
1.00000000
NC
-9.35000000
-0.00000652547
N/A
DIR
JP
N
2
WELLS FARGO
N/A
N/A
N/A
Y
2022-03-20
-49525.87000000
JPY
49526.00000000
JPY
48627.72389196
JPY
-15.86000000
N
N
N
US TIPS 0.125% 10/15/24
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912828YL8
2499341.00000000
NS
USD
2660159.97000000
1.856556776816
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.12500000
N
N
N
N
N
N
REALKREDIT DA 1% 10/01/53/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S 1.00000000
K8094KYD9
199727.92000000
NS
25943.97000000
0.018106600303
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.00000000
N
N
N
N
N
N
IRO EUR 30Y P 0.19700 L 11/04/22 BPS
N/A
IRO EUR 30Y P 0.19700 L 11/04/22 BPS 0.00000000
N/A
1500000.00000000
NC
304283.25000000
0.212362841419
N/A
DIR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Written
IRO EUR 30Y P 0.19700 L 11/04/22 BPS
0
1500000.00000000
EUR
0.19700000
EUR
2022-11-04
XXXX
304283.25000000
N
N
N
US TIPS 0.25% 02/15/50
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25000000
912810SM1
498837.80000000
NS
USD
544832.23000000
0.380244789878
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
NRZT 2018-3A A1 V/R 05/25/58
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3 SER 2018-3A CL A1 V/R REGD 144A P/P 4.50000000
64830KAA5
47323.11000000
NS
USD
49528.31000000
0.034566387214
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
4.50000000
N
N
N
N
N
N
N/A
N/A
IRS PMUTKR00.30 09/20/27 WFSLUS33XXX FLOAT
N/A
1.00000000
NC
-457.69000000
-0.00031942720
N/A
DIR
JP
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
N/A
N/A
Y
2027-09-20
-50664.66000000
JPY
49526.01000000
JPY
48627.72389196
JPY
653.03000000
N
N
N
N/A
N/A
IRS RNF3FP03.25 03/21/28 WFSLUS33XXX FLOAT
N/A
1.00000000
NC
-26251.79000000
-0.01832143148
N/A
DIR
NZ
N
2
WELLS FARGO
N/A
N/A
N/A
Y
2028-03-21
-577673.60000000
NZD
474495.00000000
NZD
473689.96033889
NZD
91492.45000000
N
N
N
N/A
N/A
INF SWAP US IT 2.3525 05/09/18-10Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-31254.05000000
-0.02181256728
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 10Y
US 10Y
Y
2028-05-09
-335878.04000000
USD
360000.00000000
USD
360000.00000000
USD
-55376.01000000
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
-0.00090566605
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
US TIPS 3.375% 04/15/32
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.37500000
912810FQ6
37697.28000000
NS
USD
54793.30000000
0.038240885355
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.37500000
N
N
N
N
N
N
CASH COLLATERAL WFS USD
N/A
CASH COLLATERAL WFS USD -0.02000000
N/A
28000.00000000
NS
USD
28000.00000000
0.019541527704
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
US TIPS 0.875% 01/15/29
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000
9128285W6
2970190.40000000
NS
USD
3375412.70000000
2.355740028197
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.87500000
N
N
N
N
N
N
REALKREDIT DA 1% 10/01/53/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER . 1.00000000
K8094KYE7
396980.00000000
NS
52504.15000000
0.036643260778
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.00000000
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
-55.00000000
NC
USD
-7773046.88000000
-5.42490039107
N/A
DIR
CORP
US
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C US 10YR ULTRA FUT JUN22
US 10YR ULTRA FUT JUN22
2022-06-21
7705370.76000000
USD
-67676.12000000
N
N
N
N/A
N/A
IRS RUS3MP01.84 11/21/28 WFSLUS33XXX FLOAT
N/A
1.00000000
NC
USD
9697.65000000
0.006768103433
N/A
DIR
US
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
N/A
N/A
Y
2028-11-21
-1500000.00000000
USD
1500000.00000000
USD
1500000.00000000
USD
9697.65000000
N
N
N
UMBS P#BK2298 4% 03/01/50
N/A
FANNIE MAE POOL UMBS P#BK2298 4.00000000
3140HFRU5
36879.06000000
NS
USD
38668.26000000
0.026987031216
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
C/O OTC ECAL FN 3.0 4-52 102
N/A
CALL OPTION ON 100SHS OTC ECAL FN 3.0 4-52 102 132 JPM 0.00000000
N/A
-100000.00000000
NC
USD
-83.26000000
-0.00005810812
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
C/O OTC ECAL FN 3.0 4-52 102
0
-100000.00000000
USD
102.41406000
USD
2022-04-06
XXXX
135.49000000
N
N
N
VM CASH CCP CME BCY
N/A
VM CASH CCP CME BCY 0.00000000
N/A
14114.10000000
NS
USD
14114.10000000
0.009850395577
Long
CORP
US
N
2
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000004334 USD
N/A
1.00000000
NC
N/A
-4326.10000000
-0.00301923582
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-1177205.89000000
USD
1046000.00000000
EUR
2022-03-02
-4326.10000000
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
-600000.00000000
NC
-1636.81000000
-0.00114234885
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
-600000.00000000
EUR
1.00000000
EUR
2022-06-15
XXXX
-1636.81000000
N
N
N
LXS 2007-20N A1 V/R 12/25/37
N/A
LEHMAN XS TRUST SERIES 2007-20N SER 2007-20N CL A1 V/R REGD 1.33686000
52525AAA2
282180.60000000
NS
USD
300769.47000000
0.209910533233
Long
ABS-CBDO
CORP
US
N
2
2037-12-25
Variable
1.33686000
N
N
N
N
N
N
PETROBRAS GLOB 5.093% 01/15/30
N/A
PETROBRAS GLOBAL FINANCE REGD 5.09300000
71647NBE8
305000.00000000
NS
USD
303135.54000000
0.211561841177
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.09300000
N
N
N
N
N
N
N/A
N/A
PEN/USD FWD 20220808 000000902 USD
N/A
1.00000000
NC
N/A
5425.46000000
0.003786492032
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-1887374.00000000
PEN
496194.23000000
USD
2022-08-08
5425.46000000
N
N
N
BSABS 2004-1 M1 V/R 06/25/34
N/A
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-1 SER 2004-1 CL M1 V/R REGD 1.16186000
07384YSY3
181352.36000000
NS
USD
184838.17000000
0.129000722136
Long
ABS-CBDO
CORP
US
N
2
2034-06-25
Variable
1.16186000
N
N
N
N
N
N
RC R/P NOMURA 0.080% 03/09/22
N/A
RC R/P NOMURA 0.080% 03/09/22 0.08000000
N/A
-23769487.50000000
PA
USD
-23769487.50000000
-16.5890035175
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.08000000
2022-03-09
19020000.00000000
USD
21018499.99260000
USD
UST
N
N
N
F/C US 10YR NOTE (CBT)JUN22
N/A
FUTURE CONTRACT ON US 10YR NOTE (CBT)JUN22 0.00000000
N/A
10.00000000
NC
USD
1274375.00000000
0.889401227421
N/A
DIR
CORP
US
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Long
F/C US 10YR NOTE (CBT)JUN22
US 10YR NOTE (CBT)JUN22
2022-06-21
1257343.50000000
USD
17031.50000000
N
N
N
FRANCE (GOV 0.1% 03/01/26/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD SER OATE 0.10000000
F43750LD2
627624.00000000
NS
781340.22000000
0.545306484121
Long
DBT
UST
FR
Y
2
2026-03-01
Fixed
0.10000000
N
N
N
N
N
N
IRO USD 30Y P 2.23650 L 11/17/23 DUB
N/A
IRO USD 30Y P 2.23650 L 11/17/23 DUB 0.00000000
N/A
1100000.00000000
NC
USD
74539.63000000
0.052022080167
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
IRO USD 30Y P 2.23650 L 11/17/23 DUB
0
1100000.00000000
USD
2.23650000
USD
2023-11-17
XXXX
74539.63000000
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
-200000.00000000
NC
-81.36000000
-0.00005678209
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
-200000.00000000
EUR
0.90000000
EUR
2022-03-16
XXXX
-81.36000000
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
-0.00115877769
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
US TIPS 0.125% 04/15/26
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CCA7
1488354.00000000
NS
USD
1589593.09000000
1.109395621655
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.12500000
N
N
N
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
100000.00000000
NC
USD
61.59000000
0.000042984381
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
100000.00000000
USD
100.45312500
USD
2022-04-06
XXXX
38.15000000
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
-200000.00000000
NC
USD
-294.22000000
-0.00020533958
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
-200000.00000000
USD
1.10000000
USD
2022-06-15
XXXX
-294.22000000
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
-1400000.00000000
NC
USD
-1238.58000000
-0.00086441947
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
-1400000.00000000
USD
0.95000000
USD
2022-04-20
XXXX
-1238.58000000
N
N
N
N/A
N/A
INF SWAP GB NI 3.7175 12/15/18-10Y LCH /FLOAT/
N/A
1.00000000
NC
-116064.35000000
-0.08100266824
N/A
DIR
US
N
2
WELLS FARGO
N/A
GB 10Y
GB 10Y
Y
2028-12-15
-1121853.13000000
GBP
1191445.96000000
GBP
1234363.97000000
GBP
-185657.18000000
N
N
N
ELAT 2007-1 A1 V/R 05/25/37
N/A
ELLINGTON LOAN ACQUISITION TRUST 2007-1 SER 2007-1 CL A1 V/R REGD 144A P/P 1.28686000
288542AA1
753844.15000000
NS
USD
750654.33000000
0.523890442351
Long
ABS-CBDO
CORP
US
Y
2
2037-05-25
Variable
1.28686000
N
N
N
N
N
N
BSARM 2003-3 3A2 V/R 05/25/33
N/A
BEAR STEARNS ARM TRUST 2003-3 SER 2003-3 CL 3A2 V/R REGD 2.90546300
07384MUR1
18437.99000000
NS
USD
18498.91000000
0.012910605794
Long
ABS-CBDO
CORP
US
N
2
2033-05-25
Variable
2.90546300
N
N
N
N
N
N
F/C EURO-BUND FUTURE MAR22
N/A
FUTURE CONTRACT ON EURO-BUND FUTURE MAR22 /EUR/ 0.00000000
N/A
7.00000000
NC
1311113.62000000
0.915041540297
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Long
F/C EURO-BUND FUTURE MAR22
EURO-BUND FUTURE MAR22 /EUR/
2022-03-08
1297960.77000000
EUR
13152.85000000
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
-100000.00000000
NC
-99.84000000
-0.00006967950
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
-100000.00000000
EUR
0.80000000
EUR
2022-03-16
XXXX
-99.84000000
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
300000.00000000
NS
335166.88000000
0.233916888249
Long
ABS-CBDO
CORP
IE
Y
2
2031-10-15
Variable
0.78000000
N
N
N
N
N
N
RC R/P BOFA S 0.080% 03/03/22
N/A
RC R/P BOFA S 0.080% 03/03/22 0.08000000
N/A
-8032500.00000000
PA
USD
-8032500.00000000
-5.60597576008
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.08000000
2022-03-03
6800000.00000000
USD
7116774.94000000
USD
UST
N
N
N
US TIPS 1.75% 01/15/28
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000
912810PV4
2125319.54000000
NS
USD
2501657.14000000
1.745935796687
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
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
-300000.00000000
NC
-1529.30000000
-0.00106731636
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
-300000.00000000
EUR
0.45000000
EUR
2022-04-08
XXXX
-1529.30000000
N
N
N
N/A
N/A
INF SWAP EM NI 0.09 05/15/20-2Y LCH /FIXED/
N/A
1.00000000
NC
7378.08000000
0.005149248382
N/A
DIR
US
N
2
WELLS FARGO
N/A
EM 2Y
EM 2Y
Y
2022-05-15
-118580.00000000
EUR
119003.41000000
EUR
119508.08000000
EUR
6954.67000000
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
-0.00130584165
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
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
0.175381072527
Long
ABS-CBDO
CORP
US
Y
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
CWL 2007-8 1A1 V/R 11/25/37
N/A
COUNTRYWIDE ASSET-BACKED CERTIFICATES SER 2007-8 CL 1A1 V/R REGD 0.37686000
12669WAA4
360706.38000000
NS
USD
348477.21000000
0.243206323336
Long
ABS-CBDO
CORP
US
N
2
2037-11-25
Variable
0.37686000
N
N
N
N
N
N
BUONI POLIE 0.1% 05/15/33/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD SER CPI 0.10000000
T6052BK56
918261.00000000
NS
1046573.41000000
0.730415831635
Long
DBT
UST
IT
Y
2
2033-05-15
Fixed
0.10000000
N
N
N
N
N
N
SEMT 6 A V/R 04/19/27
N/A
SEQUOIA MORTGAGE TRUST 6 SER 6 CL A V/R REGD 0.80171000
81743XAA7
141513.92000000
NS
USD
139126.16000000
0.097097775356
Long
ABS-CBDO
CORP
US
N
2
2027-04-19
Variable
0.80171000
N
N
N
N
N
N
US TIPS 0.625% 02/15/43
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000
912810RA8
836728.50000000
NS
USD
970872.17000000
0.677583050253
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.62500000
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
398341.39000000
NS
55047.28000000
0.038418140969
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
CCMFC 2004-A A1 V/R 03/25/35
N/A
CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SER 2004-A CL A1 V/R REGD 0.54686000
16678RBL0
38243.75000000
NS
USD
39414.27000000
0.027507680326
Long
ABS-CBDO
CORP
US
Y
2
2035-03-25
Variable
0.54686000
N
N
N
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
-100000.00000000
NC
USD
-61.59000000
-0.00004298438
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
-100000.00000000
USD
100.45312500
USD
2022-04-06
XXXX
250.91000000
N
N
N
CWL 2004-7 MV5 V/R 11/25/34
N/A
CWABS ASSET-BACKED CERTIFICATES TRUST 2004-7 SER 2004-7 CL MV5 V/R REGD 1.91186000
126673EG3
149011.04000000
NS
USD
149673.04000000
0.104458566346
Long
ABS-CBDO
CORP
US
N
2
2034-11-25
Variable
1.91186000
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 1.38 03/15/21-10Y LCH /FLOAT/
N/A
1.00000000
NC
-189252.27000000
-0.13208137418
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
EM 10Y
EM 10Y
Y
2031-03-15
-1550818.76000000
EUR
1541249.97000000
EUR
1457689.95000000
EUR
-179683.48000000
N
N
N
F/C LONG GILT FUTURE JUN22
N/A
FUTURE CONTRACT ON LONG GILT FUTURE JUN22 /GBP/ 0.00000000
N/A
-12.00000000
NC
-1981637.19000000
-1.38300778741
N/A
DIR
CORP
GB
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C LONG GILT FUTURE JUN22
LONG GILT FUTURE JUN22 /GBP/
2022-06-28
1974137.09000000
GBP
-7500.10000000
N
N
N
F/C EURO-BOBL FUTURE JUN22
N/A
FUTURE CONTRACT ON EURO-BOBL FUTURE JUN22 /EUR/ 0.00000000
N/A
-23.00000000
NC
-3402461.40000000
-2.37461763249
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C EURO-BOBL FUTURE JUN22
EURO-BOBL FUTURE JUN22 /EUR/
2022-06-08
3393692.83000000
EUR
-8768.57000000
N
N
N
N/A
N/A
INF SWAP GB NI 4.626 02/15/22-5Y LCH /FIXED/
N/A
1.00000000
NC
33534.89000000
0.023404392213
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
GB 5Y
GB 5Y
Y
2027-02-15
-1358499.97000000
GBP
1358499.97000000
GBP
1375234.86000000
GBP
33534.89000000
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000005198 USD
N/A
1.00000000
NC
N/A
103550.00000000
0.072268756919
N/A
DFE
N/A
N
2
MERRILL LYNCH INTERNATIONAL
N/A
-18125245.98000000
DKK
2839526.22000000
USD
2022-04-01
103550.00000000
N
N
N
US TIPS 2.125% 02/15/41
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000
912810QP6
2609896.00000000
NS
USD
3810577.98000000
2.659446970159
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
US TIPS 0.625% 01/15/24
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000
912828B25
2031296.00000000
NS
USD
2160089.19000000
1.507551526768
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
US TIPS 0.125% 02/15/51
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912810SV1
1392131.00000000
NS
USD
1480874.20000000
1.033519435909
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
US TIPS 0.75% 07/15/28
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000
912828Y38
6675246.90000000
NS
USD
7507155.49000000
5.239331678077
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
F/C EURO-BTP FUTURE MAR22
N/A
FUTURE CONTRACT ON EURO-BTP FUTURE MAR22 /EUR/ 0.00000000
N/A
-24.00000000
NC
-3798515.76000000
-2.65102860564
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C EURO-BTP FUTURE MAR22
EURO-BTP FUTURE MAR22 /EUR/
2022-03-08
3867341.15000000
EUR
68825.39000000
N
N
N
US TIPS 0.5% 04/15/24
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000
9128286N5
4532304.00000000
NS
USD
4823953.37000000
3.366693515097
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.22 04/13/18-5Y LCH /FIXED/
N/A
1.00000000
NC
USD
421149.64000000
0.293925262771
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 5Y
US 5Y
Y
2023-04-13
-6296000.00000000
USD
6081533.68000000
USD
6717149.64000000
USD
635615.96000000
N
N
N
IRO EUR 10Y P 0.00000 L 11/04/22 BPS
N/A
IRO EUR 10Y P 0.00000 L 11/04/22 BPS 0.00000000
N/A
-4440000.00000000
NC
-452635.82000000
-0.31589983629
N/A
DIR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
IRO EUR 10Y P 0.00000 L 11/04/22 BPS
0
-4440000.00000000
EUR
0.00001000
EUR
2022-11-04
XXXX
-452635.82000000
N
N
N
N/A
N/A
INF SWAP GB NI 3.85 09/15/19-5Y LCH /FLOAT/
N/A
1.00000000
NC
-92764.69000000
-0.06474156284
N/A
DIR
US
N
2
WELLS FARGO
N/A
GB 5Y
GB 5Y
Y
2024-09-15
-1607203.00000000
GBP
1683564.94000000
GBP
1744209.96000000
GBP
-169126.63000000
N
N
N
US TIPS 0.125% 04/15/25
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912828ZJ2
5828598.00000000
NS
USD
6202920.71000000
4.329090960723
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
SABR 2006-FR3 A3 V/R 05/25/36
N/A
SECURITIZED ASSET BACKED RECEIVABLES LLC TRUS SER 2006-FR3 CL A3 V/R REGD 0.68686000
813765AC8
497637.82000000
NS
USD
334115.97000000
0.233183445861
Long
ABS-CBDO
CORP
US
N
2
2036-05-25
Variable
0.68686000
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
-2.00000000
NC
-2618415.90000000
-1.82742310180
N/A
DIR
CORP
JP
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C JPN 10Y BOND(OSE) MAR22
JPN 10Y BOND(OSE) MAR22 /JPY/
2022-03-14
2644752.29000000
JPY
26336.39000000
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000004066 USD
N/A
1.00000000
NC
N/A
5399.70000000
0.003768513826
N/A
DFE
N/A
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
-2980000.00000000
DKK
455225.82000000
USD
2022-04-01
5399.70000000
N
N
N
HSBC HOLD 6% 03/29/40 /GBP/
MLU0ZO3ML4LN2LL2TL39
HSBC HOLD 6% 03/29/40 /GBP/ 6.00000000
G463DAAD8
100000.00000000
NS
163442.54000000
0.114068461550
Long
DBT
CORP
GB
N
2
2040-03-29
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.573 08/26/21-7Y LCH /FIXED/
N/A
1.00000000
NC
USD
5997.06000000
0.004185418361
N/A
DIR
US
N
2
CITIBANK
N/A
US 7Y
US 7Y
Y
2028-08-26
-100000.00000000
USD
100000.00000000
USD
105997.06000000
USD
5997.06000000
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
-100000.00000000
NC
USD
-612.36000000
-0.00042737321
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
-100000.00000000
USD
98.82812500
USD
2022-05-05
XXXX
-174.86000000
N
N
N
SABR 2006-HE2 A2 V/R 07/25/36
N/A
SECURITIZED ASSET BACKED RECEIVABLES LLC TRUS SER 2006-HE2 CL A2C V/R REGD 0.48686000
81377AAD4
100671.51000000
NS
USD
54842.84000000
0.038275459900
Long
ABS-CBDO
CORP
US
N
2
2036-07-25
Variable
0.48686000
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
-300000.00000000
NC
-595.07000000
-0.00041530631
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
-300000.00000000
EUR
1.00000000
EUR
2022-05-18
XXXX
-595.07000000
N
N
N
US TIPS 0.125% 01/15/30
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912828Z37
910257.60000000
NS
USD
988953.80000000
0.690202431453
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
OOMLT 2007-2 1A1 V/R 03/25/37
N/A
OPTION ONE MORTGAGE LOAN TRUST 2007-2 SER 2007-2 CL 1A1 V/R REGD 0.32686000
68401TAA6
98125.37000000
NS
USD
74175.93000000
0.051768249680
Long
ABS-CBDO
CORP
US
N
2
2037-03-25
Variable
0.32686000
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
398408.22000000
NS
54944.80000000
0.038346618978
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
US TIPS 3.875% 04/15/29
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.87500000
912810FH6
2114837.18000000
NS
USD
2879665.78000000
2.009752450648
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
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
-100000.00000000
NC
USD
-189.84000000
-0.00013249155
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
-100000.00000000
USD
1.00000000
USD
2022-06-15
XXXX
-189.84000000
N
N
N
N/A
N/A
INF SWAP US IT 2.21 02/05/18-5Y LCH /FIXED/
N/A
1.00000000
NC
USD
139726.47000000
0.097516738731
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 5Y
US 5Y
Y
2023-02-05
-2090000.00000000
USD
2027688.97000000
USD
2229726.47000000
USD
202037.50000000
N
N
N
N/A
N/A
INF SWAP US IT 1.76 11/04/19-10Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-192630.59000000
-0.13443914325
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 10Y
US 10Y
Y
2029-11-04
-1208763.67000000
USD
1200000.00000000
USD
1200000.00000000
USD
-183866.92000000
N
N
N
US TIPS 0.125% 01/15/32
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CDX6
3419618.00000000
NS
USD
3747843.57000000
2.615663891195
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
F/C EURO-SCHATZ FUT JUN22
N/A
FUTURE CONTRACT ON EURO-SCHATZ FUT JUN22 /EUR/ 0.00000000
N/A
-79.00000000
NC
-9888486.49000000
-6.90129045339
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C EURO-SCHATZ FUT JUN22
EURO-SCHATZ FUT JUN22 /EUR/
2022-06-08
9864339.29000000
EUR
-24147.19000000
N
N
N
CANADIAN G 4.25% 12/01/26/CAD/
N/A
CANADIAN GOVERNMENT RRB /CAD/ REGD SER CPI 4.25000000
135087VS0
491883.00000000
NS
485830.79000000
0.339066994365
Long
DBT
UST
CA
N
2
2026-12-01
Fixed
4.25000000
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
K741812Z8
99886.37000000
NS
12946.44000000
0.009035471997
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.00000000
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
51726.96000000
NS
USD
51714.91000000
0.036092440945
Long
ABS-CBDO
CORP
KY
Y
2
2026-07-14
Variable
1.18843000
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
-8.00000000
NC
-656045.78000000
-0.45786202803
N/A
DIR
CORP
AU
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C AUST 3YR BOND FUT MAR22
AUST 3YR BOND FUT MAR22 /AUD/
2022-03-15
662371.26000000
AUD
6325.48000000
N
N
N
N/A
N/A
PEN/USD FWD 20220303 000005286 USD
N/A
1.00000000
NC
N/A
-21962.57000000
-0.01532793464
N/A
DFE
N/A
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
-1887374.00000000
PEN
476429.13000000
USD
2022-03-03
-21962.57000000
N
N
N
MVW 2015-10A AR V/R 10/13/27
N/A
MOUNTAIN VIEW CLO X LTD SER 2015-10A CL AR V/R REGD 144A P/P 1.06443000
62432CAQ4
250202.52000000
NS
USD
250264.90000000
0.174662802739
Long
ABS-CBDO
CORP
KY
Y
2
2027-10-13
Variable
1.06443000
N
N
N
N
N
N
TSY INFL IX N/B 1.000% 2/15/46
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810RR1
3871211.40000000
NS
USD
4879102.08000000
3.405182445251
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
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
-100000.00000000
NC
-40.68000000
-0.00002839104
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
-100000.00000000
EUR
0.90000000
EUR
2022-03-16
XXXX
-40.68000000
N
N
N
STATE OF QATAR 3.875% 04/23/23
N/A
STATE OF QATAR REGD 3.87500000
M8489SAF4
200000.00000000
NS
USD
205507.36000000
0.143425991743
Long
DBT
USGA
QA
N
2
2023-04-23
Fixed
3.87500000
N
N
N
N
N
N
US TIPS 1% 02/15/48
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810SB5
1153212.00000000
NS
USD
1481060.44000000
1.033649414984
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
IRO USD 5Y P 2.34000 L 11/17/23 DUB
N/A
IRO USD 5Y P 2.34000 L 11/17/23 DUB 0.00000000
N/A
-5600000.00000000
NC
USD
-90186.88000000
-0.06294247907
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
IRO USD 5Y P 2.34000 L 11/17/23 DUB
0
-5600000.00000000
USD
2.34000000
USD
2023-11-17
XXXX
-90186.88000000
N
N
N
CMLTI 2004-HYB2 V/R 03/25/34
N/A
CITIGROUP MORTGAGE LOAN TRUST 2004-HYB2 SER 2004-HYB2 CL 2A V/R REGD 2.37083100
17307GEC8
4860.90000000
NS
USD
5014.95000000
0.003499992298
Long
ABS-CBDO
CORP
US
N
2
2034-03-25
Variable
2.37083100
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20220404 000011553 USD
N/A
1.00000000
NC
N/A
-1030.80000000
-0.00071940738
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-235000.00000000
EUR
262861.74000000
USD
2022-04-04
-1030.80000000
N
N
N
CWHL 2005-HYB6 2 V/R 10/20/35
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB6 SER 2005-HYB6 CL 2A1 V/R REGD 2.69984600
126694BH0
655695.56000000
NS
USD
669179.02000000
0.467027869938
Long
ABS-CBDO
CORP
US
N
2
2035-10-20
Variable
2.69984600
N
N
N
N
N
N
US TIPS 0.125% 07/15/31
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CCM1
9684448.20000000
NS
USD
10628676.67000000
7.417877842993
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
JAPAN GOVT 0.1% 03/10/29/JPY/
N/A
JAPAN GOVT CPI LINKED /JPY/ REGD SER 24 0.10000000
J2S39K4F0
182448000.00000000
NS
1656006.64000000
1.155746415485
Long
DBT
UST
JP
N
2
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
CWL 2007-1 1A V/R 07/25/37
N/A
COUNTRYWIDE ASSET-BACKED CERTIFICATES SER 2007-1 CL 1A V/R REGD 0.32686000
23245CAA8
318122.69000000
NS
USD
305315.26000000
0.213083093276
Long
ABS-CBDO
CORP
US
N
2
2037-07-25
Variable
0.32686000
N
N
N
N
N
N
BOMFT 2019-SBR1 V/R 06/28/34
N/A
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST SER 2019-SBR1 CL A1 V/R REGD 144A P/P 3.47480000
07333YAA6
18651.98000000
NS
USD
18765.58000000
0.013096717908
Long
ABS-CBDO
CORP
US
Y
2
2034-06-28
Variable
3.47480000
N
N
N
N
N
N
ORO USD 30Y P 1.93700 L 03/08/22 BPS
N/A
ORO USD 30Y P 1.93700 L 03/08/22 BPS 0.00000000
N/A
-600000.00000000
NC
USD
-286.56000000
-0.00019999357
N/A
DIR
CORP
US
N
2
BNP-PARIBAS SA (FORMERLY BANQU
R0MUWSFPU8MPRO8K5P83
Put
Purchased
ORO USD 30Y P 1.93700 L 03/08/22 BPS
0
-600000.00000000
USD
1.93700000
USD
2022-03-08
XXXX
-286.56000000
N
N
N
GNR 2018-H15 FG V/R 08/20/68
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H15 CL FG V/R 0.38238000
38380LJY0
283551.46000000
NS
USD
277437.98000000
0.193627213296
Long
ABS-CBDO
CORP
US
N
2
2068-08-20
Variable
0.38238000
N
N
N
N
N
N
N/A
N/A
IRS R01.88PUS3M 11/21/53 WFSLUS33XXX FIXED
N/A
1.00000000
NC
USD
-5240.70000000
-0.00365754586
N/A
DIR
US
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
N/A
N/A
Y
2053-11-21
-300000.00000000
USD
300000.00000000
USD
300000.00000000
USD
-5240.70000000
N
N
N
NYKREDIT RE 1.5% 10/01/53/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01EE 1.50000000
K741813E4
994644.58000000
NS
137302.44000000
0.095824979824
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.645 09/10/21-7Y LCH /FIXED/
N/A
1.00000000
NC
USD
5186.44000000
0.003619677176
N/A
DIR
US
N
2
DEUTSCHE BANK
N/A
US 7Y
US 7Y
Y
2028-09-10
-100000.00000000
USD
100000.00000000
USD
105186.44000000
USD
5186.44000000
N
N
N
N/A
N/A
AUD/USD FWD 20220302 000004334 USD
N/A
1.00000000
NC
N/A
5946.52000000
0.004150145904
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-751532.40000000
USD
1043000.00000000
AUD
2022-03-02
5946.52000000
N
N
N
JPMCC 2019-FL12 V/R 04/15/21
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2019-FL12 CL A V/R REGD 144A P/P 2.45000000
46651QAA5
141980.58000000
NS
USD
140757.18000000
0.098236083303
Long
ABS-CBDO
CORP
US
Y
2
2031-12-15
Variable
2.45000000
N
N
N
N
N
N
CWHL 2007-1 A1 6% 03/25/37
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2007-1 SER 2007-1 CL A1 REGD 6.00000000
170255AA1
131924.50000000
NS
USD
90720.61000000
0.063314975487
Long
ABS-CBDO
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20220404 000011553 USD
N/A
1.00000000
NC
N/A
-393.18000000
-0.00027440492
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-85000.00000000
GBP
113684.70000000
USD
2022-04-04
-393.18000000
N
N
N
N/A
N/A
INF SWAP US IT 1.8825 11/20/19-10Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-222450.27000000
-0.15525064692
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 10Y
US 10Y
Y
2029-11-20
-1490766.97000000
USD
1500000.00000000
USD
1500000.00000000
USD
-231683.30000000
N
N
N
US TIPS 0.125% 07/15/26
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912828S50
3762693.20000000
NS
USD
4044665.78000000
2.822819585476
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
HVMLT 2005-9 2A1 V/R 06/20/35
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2005-9 SER 2005-9 CL 2A1A V/R REGD 0.85071000
41161PSK0
3953.81000000
NS
USD
3881.48000000
0.002708930319
Long
ABS-CBDO
CORP
US
N
2
2035-06-20
Variable
0.85071000
N
N
N
N
N
N
N/A
N/A
IRS P00.50RER6M 03/16/52 WFSLUS33XXX FIXED
N/A
1.00000000
NC
-33968.90000000
-0.02370729287
N/A
DIR
N/A
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
N/A
N/A
Y
2052-03-16
-400207.50000000
EUR
374650.25000000
EUR
392454.98782369
EUR
-8411.65000000
N
N
N
US TIPS 2.125% 02/15/40
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000
912810QF8
1264121.60000000
NS
USD
1834991.28000000
1.280661890526
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.12500000
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
-100000.00000000
NC
USD
-189.84000000
-0.00013249155
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
-100000.00000000
USD
1.00000000
USD
2022-06-15
XXXX
-189.84000000
N
N
N
CASH COLLATERAL CME WFS
N/A
CASH COLLATERAL CME WFS /CCWFSXUS7 -0.02000000
N/A
565000.00000000
NS
USD
565000.00000000
0.394320112598
Long
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
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
K5S69JBP7
99835.74000000
NS
13591.73000000
0.009485827440
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
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
0.234117377344
Long
ABS-CBDO
CORP
IE
Y
2
2030-06-26
Variable
0.65000000
N
N
N
N
N
N
RASC 2006-KS3 M1 V/R 04/25/36
N/A
RASC SERIES 2006-KS3 TRUST SER 2006-KS3 CL M1 V/R REGD 0.68186000
76113ABL4
354483.03000000
NS
USD
353615.40000000
0.246792326273
Long
ABS-CBDO
CORP
US
N
2
2036-04-25
Variable
0.68186000
N
N
N
N
N
N
JPALT 2006-A1 1A V/R 03/25/36
N/A
JP MORGAN ALTERNATIVE LOAN TRUST SER 2006-A1 CL 1A1 V/R REGD 0.64686000
46627MCS4
303518.18000000
NS
USD
297038.95000000
0.207306959664
Long
ABS-CBDO
CORP
US
N
2
2036-03-25
Variable
0.64686000
N
N
N
N
N
N
RC R/P NATWES 0.080% 03/01/22
N/A
RC R/P NATWES 0.080% 03/01/22 0.08000000
N/A
-6350477.50000000
PA
USD
-6350477.50000000
-4.43207257142
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.08000000
2022-03-01
5109000.00000000
USD
5297347.91101000
USD
UST
N
N
N
TSY 1 7/8% 1.875% 11/22/22 /GBP/
N/A
TSY I/L GILT STOCK 1.87500000
G92450M39
2780640.00000000
NS
3999102.64000000
2.791020536812
Long
DBT
NUSS
GB
N
2
2022-11-22
Fixed
1.87500000
N
N
N
N
N
N
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 BRC
N/A
CDX.O P 0.90 IG37 5Y V1 I 04/20/22 BRC 0.00000000
N/A
-800000.00000000
NC
USD
-897.04000000
-0.00062605471
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 04/20/22 BRC
0
-800000.00000000
USD
0.90000000
USD
2022-04-20
XXXX
-897.04000000
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000011553 USD
N/A
1.00000000
NC
N/A
-3479.62000000
-0.00242846752
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-195221.92000000
USD
171000.00000000
EUR
2022-03-02
-3479.62000000
N
N
N
CWHL 2005-HYB9 2 V/R 02/20/36
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB9 SER 2005-HYB9 CL 2A1 V/R REGD 1.98700000
126670JV1
65752.60000000
NS
USD
63500.91000000
0.044318028285
Long
ABS-CBDO
CORP
US
N
2
2036-02-20
Variable
1.98700000
N
N
N
N
N
N
ORO USD 10Y C 1.55750 L 02/02/23 BRC
N/A
ORO USD 10Y C 1.55750 L 02/02/23 BRC 0.00000000
N/A
-600000.00000000
NC
USD
-13696.38000000
-0.00955886390
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Call
Purchased
ORO USD 10Y C 1.55750 L 02/02/23 BRC
0
-600000.00000000
USD
1.55750000
USD
2023-02-02
XXXX
-13696.38000000
N
N
N
US TIPS 0.75% 02/15/42
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000
912810QV3
2220930.00000000
NS
USD
2629643.02000000
1.835258640249
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
JUBIL 2015- V/R 12/15/29 /EUR/
N/A
JUBILEE CLO 2015-XVI DAC SER 2015-16A CL A1R V/R REGD 144A P/P /EUR/ 0.19700000
N/A
252619.58000000
NS
282101.76000000
0.196882119942
Long
ABS-CBDO
CORP
IE
Y
2
2029-12-15
Variable
0.19700000
N
N
N
N
N
N
WAMU 2002-AR17 1 V/R 11/25/42
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR17 SER 2002-AR17 CL 1A V/R REGD 1.30372000
929227XB7
3794.62000000
NS
USD
3752.70000000
0.002619053250
Long
ABS-CBDO
CORP
US
N
2
2042-11-25
Variable
1.30372000
N
N
N
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
-0.00040244380
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
F/C SHORT EURO-BTP FU MAR22
N/A
FUTURE CONTRACT ON SHORT EURO-BTP FU MAR22 /EUR/ 0.00000000
N/A
-13.00000000
NC
-1642233.50000000
-1.14613397988
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C SHORT EURO-BTP FU MAR22
SHORT EURO-BTP FU MAR22 /EUR/
2022-03-08
1638107.12000000
EUR
-4126.38000000
N
N
N
US TIPS 0.375% 07/15/27
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.37500000
9128282L3
4456383.40000000
NS
USD
4874869.71000000
3.402228624693
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
VM CASH FUT FOR WFS AUD /AUD/
N/A
VM CASH FUT FOR WFS AUD /XXWFS2AU3/ /AUD/ 0.00000000
N/A
25755.77000000
NS
18705.13000000
0.013054529146
Long
CORP
AU
N
2
N
N
N
N/A
N/A
AUD/USD FWD 20220302 000009049 USD
N/A
1.00000000
NC
N/A
1752.02000000
0.001222755263
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-148581.76000000
USD
207000.00000000
AUD
2022-03-02
1752.02000000
N
N
N
CANADIAN GO 0.5% 12/01/50/CAD/
N/A
CANADIAN GOVERNMENT RRB /CAD/ REGD SER CPI 0.50000000
135087G99
55399.00000000
NS
44755.16000000
0.031235149965
Long
DBT
UST
CA
N
2
2050-12-01
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.7675 05/13/21-5Y LCH /FIXED/
N/A
1.00000000
NC
USD
33889.26000000
0.023651711184
N/A
DIR
US
N
2
CITIBANK
N/A
US 5Y
US 5Y
Y
2026-05-13
-500000.00000000
USD
500000.00000000
USD
533889.26000000
USD
33889.26000000
N
N
N
CWALT 2007-4CB 1A 6% 04/25/37
N/A
ALTERNATIVE LOAN TRUST 2007-4CB SER 2007-4CB CL 1A35 REGD 6.00000000
02148FBX2
34511.33000000
NS
USD
34316.99000000
0.023950228957
Long
ABS-CBDO
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
OOMLT 2007-1 1A1 V/R 01/25/37
N/A
OPTION ONE MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 1A1 V/R REGD 0.32686000
68400DAA2
102037.84000000
NS
USD
79527.21000000
0.055502970622
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Variable
0.32686000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.703 05/25/21-5Y LCH /FIXED/
N/A
1.00000000
NC
USD
35797.56000000
0.024983536088
N/A
DIR
US
N
2
JP MORGAN
N/A
US 5Y
US 5Y
Y
2026-05-25
-510000.00000000
USD
510080.53000000
USD
545797.56000000
USD
35717.03000000
N
N
N
AUSTRALIAN GO 3% 09/20/25/AUD/
N/A
AUSTRALIAN GOVERNMENT /AUD/ REGD SER 25CI 2.18400000
Q0819ADX5
290000.00000000
NS
314659.29000000
0.219604401173
Long
DBT
USGA
AU
N
2
2025-09-20
Variable
2.18400000
N
N
N
N
N
N
US TIPS 2.5% 01/15/29
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.50000000
912810PZ5
1807609.44000000
NS
USD
2264599.57000000
1.580490544130
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
CWL 2007-6 1A V/R 09/25/37
N/A
COUNTRYWIDE ASSET-BACKED CERTIFICATES SER 2007-6 CL 1A V/R REGD 0.38686000
12669LAA8
65065.00000000
NS
USD
60922.92000000
0.042518818892
Long
ABS-CBDO
CORP
US
N
2
2037-09-25
Variable
0.38686000
N
N
N
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
-100000.00000000
NC
-25.71000000
-0.00001794330
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
-100000.00000000
EUR
0.95000000
EUR
2022-03-16
XXXX
-25.71000000
N
N
N
NATWEST GROUP PLC V/R 06/25/24
N/A
NATWEST GROUP PLC REGD V/R 4.51900000
780097BJ9
200000.00000000
NS
USD
206213.87000000
0.143919073341
Long
DBT
CORP
GB
N
2
2024-06-25
Variable
4.51900000
N
N
N
N
N
N
P/O OTC EPUT FN 3.0 4-52 100
N/A
PUT OPTION ON 100SHS OTC EPUT FN 3.0 4-52 100 132 JPM 0.00000000
N/A
-100000.00000000
NC
USD
-517.06000000
-0.00036086222
N/A
DO
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Purchased
P/O OTC EPUT FN 3.0 4-52 100
0
-100000.00000000
USD
100.41406000
USD
2022-04-06
XXXX
-204.56000000
N
N
N
GSAA 2006-7 AF4A V/R 03/25/46
N/A
GSAA TRUST SER 2006-7 CL AF4A V/R REGD 6.22000000
362334ND2
22368.56000000
NS
USD
15969.73000000
0.011145461472
Long
ABS-CBDO
CORP
US
N
2
2046-03-25
Variable
6.22000000
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
-100000.00000000
NC
-220.36000000
-0.00015379182
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
-100000.00000000
EUR
4.25000000
EUR
2022-03-16
XXXX
-220.36000000
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
613947.68000000
NS
826004.61000000
0.576478284641
Long
ABS-CBDO
CORP
GB
Y
2
2053-05-25
Variable
1.49530000
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 4.735 12/15/21-5Y LCH /LONG/
N/A
1.00000000
NC
40077.81000000
0.027970772658
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
GB 5Y
GB 5Y
Y
2026-12-15
-1345319.99000000
GBP
1332805.04000000
GBP
1381777.78000000
GBP
52592.76000000
N
N
N
US TIPS 0.625% 01/15/26
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000
912828N71
4998471.00000000
NS
USD
5437354.40000000
3.794793273004
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
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
-300000.00000000
NC
-1074.43000000
-0.00074985727
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
-300000.00000000
EUR
0.65000000
EUR
2022-04-08
XXXX
-1074.43000000
N
N
N
US TIPS 0.125% 10/15/26
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CDC2
1938551.00000000
NS
USD
2085264.51000000
1.455330506870
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 3.75 04/15/21-10Y LCH /FLOAT/
N/A
1.00000000
NC
-107400.89000000
-0.07495633812
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
GB 10Y
GB 10Y
Y
2031-04-15
-737308.42000000
GBP
737304.00000000
GBP
697683.98000000
GBP
-107396.47000000
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
-100000.00000000
NC
USD
-9.42000000
-0.00000657432
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
-100000.00000000
USD
0.95000000
USD
2022-03-16
XXXX
-9.42000000
N
N
N
US TIPS 0.5% 01/15/28
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000
9128283R9
5174421.84000000
NS
USD
5691007.71000000
3.971820886739
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
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
18672719.21000000
NS
2503039.28000000
1.746900408369
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
IRS RSO/NP00.75 09/21/32 WFSLUS33XXX FLOAT
N/A
1.00000000
NC
104131.91000000
0.072674878719
N/A
DIR
GB
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
N/A
N/A
Y
2032-09-21
-1578453.44000000
GBP
1616460.00000000
GBP
1610039.97313326
GBP
66125.35000000
N
N
N
NATWEST GROUP PLC V/R 06/25/24
N/A
NATWEST GROUP PLC REGD V/R 1.76975000
780097BH3
200000.00000000
NS
USD
202812.84000000
0.141545454699
Long
DBT
CORP
GB
N
2
2024-06-25
Variable
1.76975000
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 3.566 03/15/21-15Y LCH /FLOAT/
N/A
1.00000000
NC
-26131.72000000
-0.01823763322
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
GB 15Y
GB 15Y
Y
2036-03-15
-139315.00000000
GBP
139315.00000000
GBP
134170.00000000
GBP
-26131.72000000
N
N
N
IRO EUR 10Y P 0.00000 L 11/04/22 BRC
N/A
IRO EUR 10Y P 0.00000 L 11/04/22 BRC 0.00000000
N/A
-860000.00000000
NC
-87672.71000000
-0.06118781040
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
IRO EUR 10Y P 0.00000 L 11/04/22 BRC
0
-860000.00000000
EUR
0.00000100
EUR
2022-11-04
XXXX
-87672.71000000
N
N
N
US TIPS 3.625% 04/15/28
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 3.62500000
912810FD5
5328173.07000000
NS
USD
6939401.63000000
4.843089614354
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 3.58 03/15/21-15Y LCH /FLOAT/
N/A
1.00000000
NC
-77258.09000000
-0.05391932521
N/A
DIR
US
N
2
BARCLAYS
N/A
GB 15Y
GB 15Y
Y
2036-03-15
-420070.58000000
GBP
418065.00000000
GBP
402509.99000000
GBP
-75252.51000000
N
N
N
JAPAN GOVT 0.1% 03/10/28/JPY/
N/A
JAPAN GOVT CPI LINKED /JPY/ REGD SER 23 0.10000000
J2S39KJ56
39585390.00000000
NS
358439.67000000
0.250159240768
Long
DBT
UST
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
BUONI POLIE 1.4% 05/26/25/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD SER ICPI 1.40000000
T6052BWL8
3209368.00000000
NS
3916491.05000000
2.733364941289
Long
DBT
UST
IT
N
2
2025-05-26
Fixed
1.40000000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20220302 000011553 USD
N/A
1.00000000
NC
N/A
717.27000000
0.000500591127
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-52000.00000000
GBP
70485.68000000
USD
2022-03-02
717.27000000
N
N
N
LMAT 2019-GS3 A1 V/R 04/25/59
N/A
LEGACY MORTGAGE ASSET TRUST 2019-GS3 SER 2019-GS3 CL A1 V/R REGD 144A P/P 3.75000000
52474WAA5
62978.04000000
NS
USD
63196.84000000
0.044105814273
Long
ABS-CBDO
CORP
US
Y
2
2059-04-25
Variable
3.75000000
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 1.71 03/15/18-15Y LCH /FIXED/
N/A
1.00000000
NC
7599.51000000
0.005303786971
N/A
DIR
US
N
2
WELLS FARGO
N/A
EM 15Y
EM 15Y
Y
2033-03-15
-118580.00000000
EUR
103465.79000000
EUR
119729.51000000
EUR
22713.72000000
N
N
N
F/C US 2YR NOTE (CBT) JUN22
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) JUN22 0.00000000
N/A
21.00000000
NC
USD
4519757.80000000
3.154391866576
N/A
DIR
CORP
US
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Long
F/C US 2YR NOTE (CBT) JUN22
US 2YR NOTE (CBT) JUN22
2022-06-30
4509355.24000000
USD
10402.56000000
N
N
N
US TIPS 0.25% 07/15/29
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.25000000
9128287D6
3015891.65000000
NS
USD
3307818.26000000
2.308565077415
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 1.89 08/27/20-7Y LCH /FIXED/
N/A
1.00000000
NC
USD
98878.41000000
0.069008399583
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 7Y
US 7Y
Y
2027-08-27
-700000.00000000
USD
701692.63000000
USD
798878.41000000
USD
97185.78000000
N
N
N
ITRAXX.O P 4.25 XOV36 5Y I 05/18/22 BRC
N/A
ITRAXX.O P 4.25 XOV36 5Y I 05/18/22 BRC 0.00000000
N/A
-200000.00000000
NC
-2608.75000000
-0.00182067715
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 4.25 XOV36 5Y I 05/18/22 BRC
0
-200000.00000000
EUR
4.25000000
EUR
2022-05-18
XXXX
-2608.75000000
N
N
N
NEW ZEALAND 2.5% 09/20/35/NZD/
549300237GPHG2AI7C34
NEW ZEALAND INDEX LINKED /NZD/ REGD 2.50000000
Q67383HC8
270000.00000000
NS
250950.79000000
0.175141493397
Long
DBT
UST
NZ
N
2
2035-09-20
Fixed
2.50000000
N
N
N
N
N
N
UNITED KI 0.125% 03/22/24/GBP/
N/A
UNITED KINGDOM I/L GILT /GBP/ REGD REG S SER 3MO 0.12500000
G4527HCR0
1048432.00000000
NS
1545661.28000000
1.078735097290
Long
DBT
UST
GB
N
2
2024-03-22
Fixed
0.12500000
N
N
N
N
N
N
TICP 2018-3R A V/R 04/20/28
N/A
TICP CLO III-2 LTD SER 2018-3R CL A V/R REGD 144A P/P 1.09400000
87249FAC8
171601.78000000
NS
USD
171525.33000000
0.119709535290
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-20
Variable
1.09400000
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
4067021.97000000
NS
544920.37000000
0.380306303815
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
US TIPS 0.75% 02/15/45
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000
912810RL4
1089252.40000000
NS
USD
1298143.40000000
0.905989471960
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
BUONI POLIE 0.4% 05/15/30/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD SER CPI 0.40000000
T6052BUG1
1168475.00000000
NS
1402490.44000000
0.978814492424
Long
DBT
UST
IT
Y
2
2030-05-15
Fixed
0.40000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20220302 000018337 USD
N/A
1.00000000
NC
N/A
-5787.12000000
-0.00403889877
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-310157800.00000000
JPY
2692293.00000000
USD
2022-03-02
-5787.12000000
N
N
N
RAST 2006-A10 A 6.5% 09/25/36
N/A
RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A10 SER 2006-A10 CL A5 REGD 6.50000000
76113LAE7
517497.54000000
NS
USD
274837.35000000
0.191812203182
Long
ABS-CBDO
CORP
US
N
2
2036-09-25
Fixed
6.50000000
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
36.00000000
NC
USD
4258125.00000000
2.971795273380
N/A
DIR
CORP
US
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Long
F/C US 5YR NOTE (CBT) JUN22
US 5YR NOTE (CBT) JUN22
2022-06-30
4233466.16000000
USD
24658.84000000
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
-21.00000000
NC
-4657184.85000000
-3.25030381317
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C EURO-BUXL 30Y BND MAR22
EURO-BUXL 30Y BND MAR22 /EUR/
2022-03-08
5037529.79000000
EUR
380344.95000000
N
N
N
CDX.O P 0.95 IG37 5Y V1 I 03/16/22 BRC
N/A
CDX.O P 0.95 IG37 5Y V1 I 03/16/22 BRC 0.00000000
N/A
-300000.00000000
NC
USD
-28.26000000
-0.00001972298
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
CDX.O P 0.95 IG37 5Y V1 I 03/16/22 BRC
0
-300000.00000000
USD
0.95000000
USD
2022-03-16
XXXX
-28.26000000
N
N
N
N/A
N/A
INF SWAP GB NI 3.475 08/15/20-10Y LCH /FLOAT/
N/A
1.00000000
NC
-211293.22000000
-0.14746401115
N/A
DIR
US
N
2
CREDIT SUISSE
N/A
GB 10Y
GB 10Y
Y
2030-08-15
-1187289.78000000
GBP
1196685.00000000
GBP
1207529.97000000
GBP
-220688.44000000
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
-100000.00000000
NC
-290.30000000
-0.00020260376
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
-100000.00000000
EUR
0.55000000
EUR
2022-08-08
XXXX
-290.30000000
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
-100000.00000000
NC
-568.10000000
-0.00039648363
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
-100000.00000000
EUR
0.35000000
EUR
2022-08-08
XXXX
-568.10000000
N
N
N
CGMSE 2014- V/R 11/15/31 /EUR/
N/A
CARLYLE GLOBAL MARKET STRATEGIES SER 2014-2A CL AR1 V/R REGD 144A P/P /EUR/ 0.75000000
N/A
300000.00000000
NS
334578.53000000
0.233506271898
Long
ABS-CBDO
CORP
IE
Y
2
2031-11-15
Variable
0.75000000
N
N
N
N
N
N
REALKREDIT 1.5% 10/01/53/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER 23S 1.50000000
K8094KZL0
597291.00000000
NS
82508.86000000
0.057583899054
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 4.3 01/15/22-10Y LCH /FIXED/
N/A
1.00000000
NC
19446.03000000
0.013571611927
N/A
DIR
GB
N
2
CITIBANK
N/A
GB 10Y
GB 10Y
Y
2032-01-15
-535419.99000000
GBP
536813.40000000
GBP
556126.02000000
GBP
18052.62000000
N
N
N
F/C 3MO EURO EURIBOR MAR23
N/A
FUTURE CONTRACT ON 3MO EURO EURIBOR MAR23 /EUR/ 0.00000000
N/A
51.00000000
NC
14267266.57000000
9.957292319221
N/A
DIR
CORP
GB
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Long
F/C 3MO EURO EURIBOR MAR23
3MO EURO EURIBOR MAR23 /EUR/
2023-03-13
14335469.64000000
EUR
-68203.07000000
N
N
N
ORO USD 2Y C 1.41000 L 02/02/23 BRC
N/A
ORO USD 2Y C 1.41000 L 02/02/23 BRC 0.00000000
N/A
2700000.00000000
NC
USD
11905.65000000
0.008309092475
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Call
Written
ORO USD 2Y C 1.41000 L 02/02/23 BRC
0
2700000.00000000
USD
1.41000000
USD
2023-02-02
XXXX
11905.65000000
N
N
N
N/A
N/A
CDS US369604BD45 01.000 NA 12/20/2023 WFSLUS33XXX FIXED
N/A
1.00000000
NC
USD
2589.60000000
0.001807312147
N/A
DCR
US
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
GENERAL ELECTRIC 2.7% 10/09/22
GENERAL ELECTRIC 2.7% 10/09/22 2.70000000
Y
2023-12-20
-100000.00000000
USD
99824.16000000
USD
100000.00000000
USD
1748.76000000
N
N
N
N/A
N/A
IRS PER6MR00.25 03/16/32 WFSLUS33XXX FLOAT
N/A
1.00000000
NC
88618.54000000
0.061847916232
N/A
DIR
N/A
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
N/A
N/A
Y
2032-03-16
-1458526.50000000
EUR
1543657.50000000
EUR
1513754.95303424
EUR
3487.54000000
N
N
N
SYMP 2016-17A AR V/R 04/15/28
N/A
SYMPHONY CLO XVII LTD SER 2016-17A CL AR V/R REGD 144A P/P 1.12129000
87165UAN1
138328.42000000
NS
USD
137937.99000000
0.096268537607
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Variable
1.12129000
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
2400158.79000000
NS
322550.45000000
0.225111734093
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
LBMLT 2006-7 2A2 V/R 08/25/36
N/A
LONG BEACH MORTGAGE LOAN TRUST 2006-7 SER 2006-7 CL 2A2 V/R REGD 0.30686000
54251TAC3
165461.79000000
NS
USD
81270.40000000
0.056719563325
Long
ABS-CBDO
CORP
US
N
2
2036-08-25
Variable
0.30686000
N
N
N
N
N
N
US TIPS 0.375% 01/15/27
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.37500000
912828V49
3497165.40000000
NS
USD
3802150.61000000
2.653565410005
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 3.33 01/15/20-5Y LCH /FLOAT/
N/A
1.00000000
NC
-490980.13000000
-0.34266077901
N/A
DIR
US
N
2
WELLS FARGO
N/A
GB 5Y
GB 5Y
Y
2025-01-15
-5139102.54000000
GBP
5180199.81000000
GBP
5366799.88000000
GBP
-532077.40000000
N
N
N
US TIPS 0.875% 02/15/47
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000
912810RW0
1951899.30000000
NS
USD
2421556.29000000
1.690032475995
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20220302 000018337 USD
N/A
1.00000000
NC
N/A
1566.51000000
0.001093285662
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-8494000.00000000
EUR
9525888.63000000
USD
2022-03-02
1566.51000000
N
N
N
SVHE 2007-OPT2 2 V/R 07/25/37
N/A
SOUNDVIEW HOME LOAN TRUST 2007-OPT2 SER 2007-OPT2 CL 2A3 V/R REGD 0.36686000
83613DAD8
60176.27000000
NS
USD
57367.31000000
0.040037317059
Long
ABS-CBDO
CORP
US
N
2
2037-07-25
Variable
0.36686000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.364 05/10/18-10Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-47092.05000000
-0.03286609284
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 10Y
US 10Y
Y
2028-05-10
-512430.58000000
USD
550000.00000000
USD
550000.00000000
USD
-84661.47000000
N
N
N
N/A
N/A
CNH/USD FWD 20220316 000003534 USD
N/A
1.00000000
NC
N/A
12.33000000
0.000008605251
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-1915.92000000
USD
12191.95000000
CNY
2022-03-16
12.33000000
N
N
N
N/A
N/A
INF SWAP US IT 1.7975 08/25/20-7Y LCH /FIXED/
N/A
1.00000000
NC
USD
88892.13000000
0.062038857895
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 7Y
US 7Y
Y
2027-08-25
-600000.00000000
USD
605867.81000000
USD
688892.13000000
USD
83024.32000000
N
N
N
VM CASH FUT FOR WFS EUR
N/A
VM CASH FUT FOR WFS EUR 0.00000000
N/A
46591.11000000
NS
52242.61000000
0.036460728951
Long
CORP
N/A
N
2
N
N
N
SVHE 2007-OPT1 1 V/R 06/25/37
N/A
SOUNDVIEW HOME LOAN TRUST 2007-OPT1 SER 2007-OPT1 CL 1A1 V/R REGD 0.38686000
83612TAA0
230712.96000000
NS
USD
199324.12000000
0.139110636180
Long
ABS-CBDO
CORP
US
N
2
2037-06-25
Variable
0.38686000
N
N
N
N
N
N
WAMU 2002-AR2 A V/R 02/27/34
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR2 SER 2002-AR2 CL A V/R REGD 1.47300000
929227LE4
8247.42000000
NS
USD
8418.29000000
0.005875223116
Long
ABS-CBDO
CORP
US
N
2
2034-02-27
Variable
1.47300000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000006219 USD
N/A
1.00000000
NC
N/A
108755.53000000
0.075901757230
N/A
DFE
N/A
N
2
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
-20550000.00000000
DKK
3210744.40000000
USD
2022-04-01
108755.53000000
N
N
N
US TIPS 0.625% 04/15/23
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000
9128284H0
9114131.60000000
NS
USD
9569151.52000000
6.678422840427
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
CWHL 2006-6 A4 6% 04/25/36
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2006-6 SER 2006-6 CL A4 REGD 6.00000000
126694K64
92576.89000000
NS
USD
63928.93000000
0.044616748452
Long
ABS-CBDO
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 0.33 07/15/20-2Y LCH /FIXED/
N/A
1.00000000
NC
48307.66000000
0.033714481293
N/A
DIR
US
N
2
WELLS FARGO
N/A
EM 2Y
EM 2Y
Y
2022-07-15
-711479.98000000
EUR
714328.57000000
EUR
721087.64000000
EUR
45459.07000000
N
N
N
VM CASH FUT FOR SAL JPY
N/A
VM CASH FUT FOR SAL JPY /XXWFS2JP5/ 0.00000000
N/A
475235.00000000
NS
4134.10000000
0.002885236774
Long
CORP
JP
N
2
N
N
N
ITRAXX.O P 0.90 EU36 5Y I 05/18/22 BRC
N/A
ITRAXX.O P 0.90 EU36 5Y I 05/18/22 BRC 0.00000000
N/A
-200000.00000000
NC
-546.34000000
-0.00038129708
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
N/A
Put
Purchased
ITRAXX.O P 0.90 EU36 5Y I 05/18/22 BRC
0
-200000.00000000
EUR
0.90000000
EUR
2022-05-18
XXXX
-546.34000000
N
N
N
CDX.O P 0.90 IG37 5Y V1 I 03/16/22 DUB
N/A
CDX.O P 0.90 IG37 5Y V1 I 03/16/22 DUB 0.00000000
N/A
-200000.00000000
NC
USD
-31.58000000
-0.00002204005
N/A
DCR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
CDX.O P 0.90 IG37 5Y V1 I 03/16/22 DUB
0
-200000.00000000
USD
0.90000000
USD
2022-03-16
XXXX
-31.58000000
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
245274.46000000
NS
USD
245229.97000000
0.171148866164
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-15
Variable
1.12129000
N
N
N
N
N
N
CMLTI 2007-AR4 1A1A V/R3/25/37
N/A
CITIGROUP MORTGAGE LOAN TRUST_ INC SERIES 2007-AR4 CLASS 1A1A V/R REGD 3.16510700
17311WAA5
139827.49000000
NS
USD
139070.37000000
0.097058838862
Long
ABS-CBDO
CORP
US
N
2
2037-03-25
Variable
3.16510700
N
N
N
N
N
N
INDX 2005-16IP A V/R 07/25/45
N/A
INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR16IP SER 2005-16IP CL A1 V/R REGD 0.82686000
45660LUD9
50002.11000000
NS
USD
43975.85000000
0.030691260395
Long
ABS-CBDO
CORP
US
N
2
2045-07-25
Variable
0.82686000
N
N
N
N
N
N
NORDEA KRED 1.5% 10/01/53/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD 1.50000000
K7S724JW8
100000.00000000
NS
13207.24000000
0.009217487369
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
ORO USD 2Y C 1.71000 L 01/25/23 JPM
N/A
ORO USD 2Y C 1.71000 L 01/25/23 JPM 0.00000000
N/A
6500000.00000000
NC
USD
44718.70000000
0.031209704104
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
ORO USD 2Y C 1.71000 L 01/25/23 JPM
0
6500000.00000000
USD
1.71000000
USD
2023-01-25
XXXX
44718.70000000
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
1566000.00000000
NS
USD
1609432.04000000
1.123241457049
Long
ABS-MBS
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
US TIPS 0.125% 07/15/30
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912828ZZ6
2468420.70000000
NS
USD
2696822.90000000
1.882144264755
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
PEN/USD FWD 20220303 000000902 USD
N/A
1.00000000
NC
N/A
-6253.75000000
-0.00436456531
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-504645.45000000
USD
1887374.00000000
PEN
2022-03-03
-6253.75000000
N
N
N
F/C US ULTRA BOND CBT JUN22
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT JUN22 0.00000000
N/A
-18.00000000
NC
USD
-3346875.00000000
-2.33582323337
N/A
DIR
CORP
US
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C US ULTRA BOND CBT JUN22
US ULTRA BOND CBT JUN22
2022-06-21
3319017.96000000
USD
-27857.04000000
N
N
N
N/A
N/A
NZD/USD FWD 20220302 000009049 USD
N/A
1.00000000
NC
N/A
-22452.74000000
-0.01567003002
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-1464000.00000000
NZD
968235.87000000
USD
2022-03-02
-22452.74000000
N
N
N
N/A
N/A
CAD/USD FWD 20220302 000009049 USD
N/A
1.00000000
NC
N/A
-5654.64000000
-0.00394643943
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-1588364.26000000
CAD
1247295.00000000
USD
2022-03-02
-5654.64000000
N
N
N
US TIPS 0.125% 02/15/52
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912810TE8
500765.00000000
NS
USD
535753.50000000
0.373908637956
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 1.62 05/15/18-10Y LCH /FLOAT/
N/A
1.00000000
NC
-71597.93000000
-0.04996903330
N/A
DIR
US
N
2
WELLS FARGO
N/A
EM 10Y
EM 10Y
Y
2028-05-15
-986027.21000000
EUR
1079077.97000000
EUR
1020382.97000000
EUR
-164648.69000000
N
N
N
N/A
N/A
INF SWAP US IT 2.36 05/09/18-10Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-46428.72000000
-0.03240314707
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 10Y
US 10Y
Y
2028-05-09
-503330.13000000
USD
540000.00000000
USD
540000.00000000
USD
-83098.59000000
N
N
N
N/A
N/A
IRS R00.00PMUTK 03/20/22 WFSLUS33XXX FIXED
N/A
1.00000000
NC
-5.62000000
-0.00000392226
N/A
DIR
JP
N
2
WELLS FARGO
N/A
N/A
N/A
Y
2022-03-20
-49526.01000000
JPY
49525.97000000
JPY
48627.72389196
JPY
-8.18000000
N
N
N
N/A
N/A
INF SWAP FR NI 1.03 03/15/19-5Y LCH /FIXED/
N/A
1.00000000
NC
107014.15000000
0.074686427748
N/A
DIR
US
N
2
WELLS FARGO
N/A
FR 5Y
FR 5Y
Y
2024-03-15
-2371599.93000000
EUR
2295630.18000000
EUR
2349614.08000000
EUR
182983.90000000
N
N
N
CSMC 2015-3R 5A2 V/R 09/29/36
N/A
CSMC SERIES 2015-3R SER 2015-3R CL 5A2 V/R REGD 144A P/P 0.33686000
12649WAW1
387553.39000000
NS
USD
380640.45000000
0.265653424962
Long
ABS-CBDO
CORP
US
Y
2
2036-09-29
Variable
0.33686000
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
0.278431315867
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Variable
1.19129000
N
N
N
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
-500000.00000000
NC
-203.40000000
-0.00014195524
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
-500000.00000000
EUR
0.90000000
EUR
2022-03-16
XXXX
-203.40000000
N
N
N
OZLM 2014-8A A1R V/R 10/17/29
N/A
OZLM VIII LTD SER 2014-8A CL A1R3 V/R REGD 144A P/P 1.22129000
67107FBL0
397426.00000000
NS
USD
396672.88000000
0.276842645498
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-17
Variable
1.22129000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20220302 000003534 USD
N/A
1.00000000
NC
N/A
704.31000000
0.000491546192
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-197634.17000000
USD
22800000.00000000
JPY
2022-03-02
704.31000000
N
N
N
CWALT 2006-HY11 V/R 06/25/36
N/A
ALTERNATIVE LOAN TRUST 2006-HY11 SER 2006-HY11 CL A1 V/R REGD 0.42686000
021466AA5
229500.32000000
NS
USD
226448.45000000
0.158041023543
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Variable
0.42686000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 1.28 05/19/20-10Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-170890.25000000
-0.11926630552
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 10Y
US 10Y
Y
2030-05-19
-850027.38000000
USD
800000.00000000
USD
800000.00000000
USD
-120862.87000000
N
N
N
US TIPS 2% 01/15/26
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.00000000
912810FS2
2139358.10000000
NS
USD
2446313.46000000
1.707310794688
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
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
400000.00000000
NS
USD
398997.20000000
0.278464815629
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Variable
1.22129000
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
300000.00000000
NS
USD
299120.40000000
0.208759627979
Long
ABS-CBDO
CORP
KY
Y
2
2032-01-15
Variable
1.29129000
N
N
N
N
N
N
CBASS 2005-CB3 M V/R 06/25/35
N/A
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC SER 2005-CB3 CL M4 V/R REGD 0.88686000
12489WLH5
153000.00000000
NS
USD
151999.47000000
0.106082209071
Long
ABS-CBDO
CORP
US
N
2
2035-06-25
Variable
0.88686000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.31125 02/24/21-10Y LCH /FIXED/
N/A
1.00000000
NC
USD
263586.60000000
0.183960173082
N/A
DIR
US
N
2
BBH
N/A
US 10Y
US 10Y
Y
2031-02-24
-2300000.00000000
USD
2301034.67000000
USD
2563586.60000000
USD
262551.93000000
N
N
N
N/A
N/A
INF SWAP US IT 2.335 02/05/18-10Y LCH /FLOAT/
N/A
1.00000000
NC
USD
-86192.59000000
-0.06015481733
N/A
DIR
US
N
2
WELLS FARGO
N/A
US 10Y
US 10Y
Y
2028-02-05
-900707.55000000
USD
960000.00000000
USD
960000.00000000
USD
-145485.04000000
N
N
N
F/C US LONG BOND(CBT) JUN22
N/A
FUTURE CONTRACT ON US LONG BOND(CBT) JUN22 0.00000000
N/A
-8.00000000
NC
USD
-1253500.00000000
-0.87483232060
N/A
DIR
CORP
US
N
1
Wells Fargo Securities LLC
VYVVCKR63DVZZN70PB21
Short
F/C US LONG BOND(CBT) JUN22
US LONG BOND(CBT) JUN22
2022-06-21
1237250.00000000
USD
-16250.00000000
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
-700000.00000000
NC
USD
-784.91000000
-0.00054779787
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
-700000.00000000
USD
0.90000000
USD
2022-04-20
XXXX
-784.91000000
N
N
N
US TIPS 2.375% 01/15/25
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.37500000
912810FR4
1789686.80000000
NS
USD
2023443.29000000
1.412184753894
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.37500000
N
N
N
N
N
N
US TIPS 1.375% 02/15/44
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000
912810RF7
3313667.90000000
NS
USD
4415451.84000000
3.081595516324
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
US TIPS 0.125% 01/15/31
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CBF7
3973447.10000000
NS
USD
4341116.76000000
3.029716193996
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
AHM 2005-2 4A1 V/R 09/25/45
N/A
AMERICAN HOME MORTGAGE INVESTMENT TRUST 2005-2 SER 2005-2 CL 4A1 V/R REGD 2.03443000
02660TEQ2
349.47000000
NS
USD
350.10000000
0.000244338887
Long
ABS-CBDO
CORP
US
N
2
2045-09-25
Variable
2.03443000
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
-0.00031214798
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
CMLTI 2004-NCM2 5.5% 08/25/34
N/A
CITIGROUP MORTGAGE LOAN TRUST INC SER 2004-NCM2 CL 1CB1 REGD 5.50000000
17307GGX0
19687.65000000
NS
USD
19734.68000000
0.013773064141
Long
ABS-CBDO
CORP
US
N
2
2034-08-25
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20220401 000004334 USD
N/A
1.00000000
NC
N/A
4414.97000000
0.003081259234
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-1330000.00000000
DKK
205176.29000000
USD
2022-04-01
4414.97000000
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
-200000.00000000
NC
-638.04000000
-0.00044529558
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
-200000.00000000
EUR
0.85000000
EUR
2022-05-18
XXXX
-638.04000000
N
N
N
N/A
N/A
NOK/USD FWD 20220518 000011553 USD
N/A
1.00000000
NC
N/A
6735.69000000
0.004700916883
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-732704.35000000
USD
6520000.00000000
NOK
2022-05-18
6735.69000000
N
N
N
N/A
N/A
AUD/USD FWD 20220302 000005198 USD
N/A
1.00000000
NC
N/A
-10365.20000000
-0.00723399439
N/A
DFE
N/A
N
2
MERRILL LYNCH INTERNATIONAL
N/A
-666000.00000000
AUD
473317.41000000
USD
2022-03-02
-10365.20000000
N
N
N
CWALT 2008-2R 1A V/R 08/25/37
N/A
ALTERNATIVE LOAN TRUST RESECURITIZATION 2008-2R SER 2008-2R CL 1A1 V/R REGD 6.00000000
021482AA2
451026.79000000
NS
USD
445729.93000000
0.311080134842
Long
ABS-CBDO
CORP
US
N
2
2037-08-25
Variable
6.00000000
N
N
N
N
N
N
CASH COLLATERAL ISDA
N/A
CASH COLLATERAL ISDA -0.02000000
N/A
-120000.00000000
NS
USD
-120000.00000000
-0.08374940444
Short
STIV
CORP
US
N
2
2049-12-31
Floating
-0.02000000
N
N
N
N
N
N
BONOS DE T 6.15% 08/12/32/PEN/
N/A
BONOS DE TESORERIA /PEN/ REGD 6.15000000
P6S32DDY6
1400000.00000000
NS
366200.60000000
0.255575684647
Long
DBT
USGA
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
ORO USD 10Y C 1.78500 L 01/25/23 JPM
N/A
ORO USD 10Y C 1.78500 L 01/25/23 JPM 0.00000000
N/A
-1400000.00000000
NC
USD
-45558.38000000
-0.03179572660
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
ORO USD 10Y C 1.78500 L 01/25/23 JPM
0
-1400000.00000000
USD
1.78500000
USD
2023-01-25
XXXX
-45558.38000000
N
N
N
FNCL 30YR TBA 4.0% MARCH 22
N/A
FNCL 30YR TBA 4.0% MARCH 22 TO BE ANNOUNCED 4.00000000
01F040636
3800000.00000000
NS
USD
3968921.89000000
2.769957038160
Long
ABS-MBS
USGA
US
N
2
2052-03-01
Fixed
4.00000000
N
N
N
N
N
N
MRFC 2000-TBC2 A V/R 06/15/30
N/A
MRFC MORTGAGE PASS-THROUGH TRUST SERIES 1999-TBC2 SER 2000-TBC2 CL A1 V/R REGD 0.67114000
585525ED6
7045.21000000
NS
USD
6914.78000000
0.004825905890
Long
ABS-CBDO
CORP
US
N
2
2030-06-15
Variable
0.67114000
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.813 05/14/21-5Y LCH /FIXED/
N/A
1.00000000
NC
USD
19596.54000000
0.013676654618
N/A
DIR
US
N
2
JP MORGAN
N/A
US 5Y
US 5Y
Y
2026-05-14
-300000.00000000
USD
300000.00000000
USD
319596.54000000
USD
19596.54000000
N
N
N
VOYA 2017-2A A1R V/R 06/07/30
N/A
VOYA CLO 2017-2 SER 2017-2A CL A1R V/R REGD 144A P/P 1.22129000
92915UAG9
300000.00000000
NS
USD
299901.54000000
0.209304794728
Long
ABS-CBDO
CORP
KY
Y
2
2030-06-07
Variable
1.22129000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20220302 000018337 USD
N/A
1.00000000
NC
N/A
-1544.77000000
-0.00107811306
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
N/A
-4937000.00000000
GBP
6622429.00000000
USD
2022-03-02
-1544.77000000
N
N
N
2022-03-30
Morgan Stanley Pathway Funds
Francis Smith
Francis Smith
Chief Financial Officer