0001752724-24-089883.txt : 20240425
0001752724-24-089883.hdr.sgml : 20240425
20240425104509
ACCESSION NUMBER: 0001752724-24-089883
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240229
FILED AS OF DATE: 20240425
DATE AS OF CHANGE: 20240425
PERIOD START: 20240831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MORGAN STANLEY PATHWAY FUNDS
CENTRAL INDEX KEY: 0000875186
ORGANIZATION NAME:
IRS NUMBER: 000000000
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06318
FILM NUMBER: 24873672
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
2024-08-31
2024-02-29
N
318681293.35
126335945.61
192345347.74
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
5643467.39000000
ARS
AUD
BRL
CAD
CHF
CNY
CNY
CZK
DKK
EUR
GBP
HKD
HUF
IDR
ILS
INR
JPY
KRW
MXN
MYR
NOK
NZD
PEN
PLN
RON
RUB
SEK
SGD
THB
TWD
USD
ZAR
N
Securities Portfolio
SEC_PORT
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N/A
IRS R03.14PSOFR 10/25/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-4291.22000000
-0.00223099755
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DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-10-25
-200000.00000000
USD
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USD
200000.00000000
USD
-4291.22000000
N
N
N
DOMINION ENERGY DISC 03/08/24
N/A
DOMINION ENERGY DISC 03/08/24 0.00000000
2574P0C85
600000.00000000
PA
USD
599354.25000000
0.311603195524
Long
STIV
CORP
US
N
2
2024-03-08
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.08 11/15/32 BARC FLOAT
N/A
1.00000000
NC
USD
85577.17000000
0.044491416613
N/A
DIR
US
N
2
CITIGROUP
N/A
N/A
N/A
Y
2032-11-15
-1088943.47000000
USD
1100000.00000000
USD
1100000.00000000
USD
60014.34000000
N
N
N
N/A
N/A
HUF/USD FWD 20240320 000003534 USD
N/A
1.00000000
NC
N/A
-740.25000000
-0.00038485464
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-873003.25000000
USD
317237159.00000000
HUF
2024-03-20
-740.25000000
N
N
N
N/A
N/A
IDR/USD FWD 20240328 000004066 USD
N/A
1.00000000
NC
N/A
175.19000000
0.000091080965
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-783505715.00000000
IDR
50000.00000000
USD
2024-03-28
175.19000000
N
N
N
CASSA DEPOSITI 5.75% 05/05/26
N/A
CASSA DEPOSITI E PRESTIT REGD 144A P/P 5.75000000
147918AB2
400000.00000000
NS
USD
396518.16000000
0.206149077510
Long
DBT
USGA
IT
Y
2
2026-05-05
Fixed
5.75000000
N
N
N
N
N
N
AMMC 2017-21A A V/R 11/02/30
N/A
AMMC CLO 21 LTD SER 2017-21A CL A V/R REGD 144A P/P 6.82694000
00178LAB5
246075.80000000
NS
USD
246946.44000000
0.128387009564
Long
ABS-CBDO
CORP
KY
Y
2
2030-11-02
Variable
6.82694000
N
N
N
N
N
N
N/A
N/A
IRS P03.25RCAON 06/21/53 BARC FIXED
N/A
1.00000000
NC
-4361.59000000
-0.00226758278
N/A
DIR
CA
N
2
BARCLAYS
N/A
N/A
N/A
Y
2053-06-21
-148033.01000000
CAD
137447.36000000
CAD
147367.64543345
CAD
6916.92000000
N
N
N
N/A
N/A
IRS R02.96PSOFR 06/30/24 BARC FIXED
N/A
1.00000000
NC
USD
-355819.44000000
-0.18498988625
N/A
DIR
US
N
2
DEUTSCHE BANK
N/A
N/A
N/A
Y
2024-06-30
-10400000.00000000
USD
10400000.00000000
USD
10400000.00000000
USD
-244615.98000000
N
N
N
FNMA 30YR TBA 4.0% APR 24
N/A
FNMA 30YR TBA 4.0% APR 24 TO BE ANNOUNCED 4.00000000
01F040644
5000000.00000000
NS
USD
4602525.30000000
2.392844617287
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240301 000004066 USD
N/A
1.00000000
NC
N/A
-1176.48000000
-0.00061164983
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1176.48000000
USD
0.00000000
N/A
2024-03-01
-1176.48000000
N
N
N
US CAPITAL FUNDIN V/R 08/01/34
N/A
US CAPITAL FUNDING II REGD V/R 144A P/P 6.57964000
90390KAB0
62089.54000000
NS
USD
62089.54000000
0.032280240062
Long
ABS-CBDO
CORP
KY
N
2
2034-08-01
Variable
6.57964000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.65 05/31/28 BARC FLOAT
N/A
1.00000000
NC
USD
4695.51000000
0.002441187195
N/A
DIR
US
N
2
DEUTSCHE BANK
N/A
N/A
N/A
Y
2028-05-31
-300000.00000000
USD
300000.00000000
USD
300000.00000000
USD
4695.51000000
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
106722.96000000
0.055485074764
Long
DBT
USGA
PE
Y
2
2029-02-12
Fixed
5.94000000
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
397260.36000000
0.206534945954
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 6.61560000
566061AL1
133646.89000000
NS
USD
133710.10000000
0.069515640264
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Variable
6.61560000
N
N
N
N
N
N
CANADIAN G 3.25% 12/01/33/CAD/
N/A
CANADIAN GOVERNMENT /CAD/ REGD 3.25000000
135087Q72
1700000.00000000
NS
1227157.87000000
0.637997167292
Long
DBT
USGA
CA
N
2
2033-12-01
Fixed
3.25000000
N
N
N
N
N
N
NORDEA KREDIT 1% 04/01/24/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC 1.00000000
K7S724LX3
3500000.00000000
NS
506048.13000000
0.263093511720
Long
DBT
CORP
DK
N
2
2024-04-01
Fixed
1.00000000
N
N
N
N
N
N
UBS GROUP AG 4.282% 01/09/28
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD 144A P/P 4.28200000
225401AC2
250000.00000000
NS
USD
239913.95000000
0.124730830674
Long
DBT
CORP
CH
Y
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20240304 000004334 USD
N/A
1.00000000
NC
N/A
88.00000000
0.000045751041
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-152304.73000000
USD
141000.00000000
EUR
2024-03-04
88.00000000
N
N
N
N/A
N/A
IRS R00.65PER6M 04/12/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-52862.08000000
-0.02748290022
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-04-12
-544949.98000000
EUR
544949.98000000
EUR
540399.98396525
EUR
-42717.51000000
N
N
N
GENERALITA 4.22% 04/26/35/EUR/
95980020140005848404
GENERALITAT DE CATALUNYA /EUR/ REGD 4.22000000
E5645NBY9
100000.00000000
NS
108650.23000000
0.056487058967
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
1.13000000
NS
0.12000000
0.000000062387
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
87962.03000000
NS
USD
81660.29000000
0.042455037753
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#FM7441 3% 05/01/51
N/A
FANNIE MAE POOL UMBS P#FM7441 3.00000000
3140XBHT0
150074.36000000
NS
USD
128907.04000000
0.067018538017
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.13 11/15/32 BARC FLOAT
N/A
1.00000000
NC
USD
7343.31000000
0.003817773648
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2032-11-15
-100000.00000000
USD
100000.00000000
USD
100000.00000000
USD
6058.52000000
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
3797526.73000000
NS
422216.62000000
0.219509660597
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
IRS R02.31PSOFR 01/16/25 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-150732.96000000
-0.07836579453
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2025-01-16
-5400000.00000000
USD
5400000.00000000
USD
5400000.00000000
USD
-150732.96000000
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 5.66403300
07384MYW6
2057.94000000
NS
USD
1926.74000000
0.001001708657
Long
ABS-CBDO
CORP
US
N
2
2033-10-25
Variable
5.66403300
N
N
N
N
N
N
UMBS P#CA4346 3% 10/01/49
N/A
FANNIE MAE POOL UMBS P#CA4346 3.00000000
3140QBZL5
270346.17000000
NS
USD
234733.69000000
0.122037622826
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS R01.22PCAON 03/03/25 BARC FIXED
N/A
1.00000000
NC
-54257.83000000
-0.02820854813
N/A
DIR
CA
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2025-03-03
-1487929.17000000
CAD
1415335.27000000
CAD
1473676.45433445
CAD
14606.80000000
N
N
N
JPMMT 2021-INV8 V/R 09/25/43
N/A
J.P. MORGAN MORTGAGE TRUST 2021-INV8 SER 2021-INV8 CL A2 V/R REGD 144A P/P 3.00000000
46654RAG7
825814.39000000
NS
USD
688425.96000000
0.357911417192
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
850000.00000000
NS
832369.99000000
0.432747659239
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 0.00000000
3137BPS83
67567.91000000
NS
USD
3568.63000000
0.001855324312
Long
ABS-CBDO
CORP
US
N
2
2038-01-15
Variable
0.00000000
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 5.58541000
75116AAA8
40936.62000000
NS
USD
14163.08000000
0.007363359793
Long
ABS-CBDO
CORP
US
N
2
2047-02-25
Variable
5.58541000
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
79484.19000000
0.041323687281
Long
DBT
USGA
RS
Y
2
2033-03-03
Fixed
1.65000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.50 12/20/38 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
142768.71000000
0.074225195294
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2038-12-20
-3149821.66000000
USD
3200000.00000000
USD
3200000.00000000
USD
92590.37000000
N
N
N
N/A
N/A
THB/USD FWD 20240320 000011091 USD
N/A
1.00000000
NC
N/A
5783.30000000
0.003006727258
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-27079758.57000000
THB
760331.00000000
USD
2024-03-20
5783.30000000
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
420835.84000000
0.218791795561
Long
DBT
USGA
ES
Y
2
2071-10-31
Fixed
1.45000000
N
N
N
N
N
N
FNMA TBA 15YR 2% MAR24
N/A
FNMA TBA 15YR 2% MAR24 TO BE ANNOUNCED 2.00000000
01F020430
-2100000.00000000
NS
USD
-1851284.90000000
-0.96247968653
Short
ABS-MBS
USGA
US
N
2
2039-03-01
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 SER 2021-FL5 CL A V/R REGD 144A P/P 6.28212000
55282XAA8
41021.86000000
NS
USD
40882.79000000
0.021254888917
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Variable
6.28212000
N
N
N
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 7.88380000
126670JY5
6751.17000000
NS
USD
5661.32000000
0.002943310075
Long
ABS-CBDO
CORP
US
N
2
2036-02-20
Variable
7.88380000
N
N
N
N
N
N
ROYAL BANK OF 4.851% 12/14/26
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA REGD 144A P/P 4.85100000
780082AQ6
500000.00000000
NS
USD
499218.41000000
0.259542752588
Long
DBT
CORP
CA
Y
2
2026-12-14
Fixed
4.85100000
N
N
N
N
N
N
RMACS 06-NS1X A2A V/R 6/12/44
N/A
RMACS 06-NS1X A2A V/R 6/12/44 5.48522000
G7604CAA9
146843.41000000
NS
181287.59000000
0.094251091658
Long
ABS-CBDO
CORP
GB
N
2
2044-06-12
Variable
5.48522000
N
N
N
N
N
N
ORO FWD USD 1Y P 2.79000 L 04/08/24 DUB
N/A
ORO FWD USD 1Y P 2.79000 L 04/08/24 DUB 0.00000000
N/A
-600000.00000000
NC
USD
-12425.70000000
-0.00646009905
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
ORO FWD USD 1Y P 2.79000 L 04/08/24 DUB
0
-600000.00000000
USD
2.79000000
USD
2024-04-08
XXXX
-12425.70000000
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
3387.73000000
NS
USD
2542.05000000
0.001321607218
Long
ABS-CBDO
CORP
US
N
2
2035-06-25
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYED3 01.000 SP 12/20/2028 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
628539.67000000
0.326776642838
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.IG.41
2I65BYED3
Y
2028-12-20
-26200000.00000000
USD
26575536.93000000
USD
26200000.00000000
USD
217483.30000000
N
N
N
IRO EUR 10Y P 2.75000 L 03/01/24 BPS
N/A
IRO EUR 10Y P 2.75000 L 03/01/24 BPS 0.00000000
N/A
-500000.00000000
NC
-498.25000000
-0.00025903927
N/A
DIR
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Purchased
IRO EUR 10Y P 2.75000 L 03/01/24 BPS
0
-500000.00000000
EUR
2.75000000
EUR
2024-03-01
XXXX
-498.25000000
N
N
N
N/A
N/A
JPY/USD FWD 20240402 000009049 USD
N/A
1.00000000
NC
N/A
-22831.80000000
-0.01187021171
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-782131818.00000000
JPY
5218937.00000000
USD
2024-04-02
-22831.80000000
N
N
N
N/A
N/A
IRS R02.25PER6M 09/21/37 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-404497.08000000
-0.21029730365
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2037-09-21
-5730899.80000000
EUR
5872368.76000000
EUR
6106519.81880734
EUR
-533904.34000000
N
N
N
WELLS FARGO & COM V/R 04/25/26
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R MTN 3.90800000
95000U2X0
200000.00000000
NS
USD
196171.82000000
0.101989376038
Long
DBT
CORP
US
N
2
2026-04-25
Variable
3.90800000
N
N
N
N
N
N
REALKREDIT DA 2% 10/01/47/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER 23S 2.00000000
K8094KSA2
0.23000000
NS
0.03000000
0.000000015596
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.00000000
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
452261.00000000
0.235129679669
Long
DBT
USGA
ES
N
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
N/A
N/A
IRS R03.01PSOFR 10/24/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-4535.26000000
-0.00235787350
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2024-10-24
-200000.00000000
USD
200000.00000000
USD
200000.00000000
USD
-4535.26000000
N
N
N
CHINA GOVER 2.8% 03/25/30/CNY/
N/A
CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.80000000
Y6S39BX21
6300000.00000000
NS
897808.12000000
0.466768825214
Long
DBT
USGA
CN
N
2
2030-03-25
Fixed
2.80000000
N
N
N
N
N
N
N/A
N/A
MYR/USD FWD 20240320 000011553 USD
N/A
1.00000000
NC
N/A
-755.82000000
-0.00039294945
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-397495.00000000
MYR
83098.84000000
USD
2024-03-20
-755.82000000
N
N
N
N/A
N/A
TWD/USD FWD 20240520 000004066 USD
N/A
1.00000000
NC
N/A
595.79000000
0.000309750148
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1293535.00000000
TWD
41876.89000000
USD
2024-05-20
595.79000000
N
N
N
N/A
N/A
BRL/USD FWD 20240503 000000902 USD
N/A
1.00000000
NC
N/A
-18768.00000000
-0.00975744941
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-1571093.80000000
USD
7764345.56000000
BRL
2024-05-03
-18768.00000000
N
N
N
N/A
N/A
IRS R03.00PSOFR 06/21/30 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-40555.61000000
-0.02108478862
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-06-21
-600000.00000000
USD
574897.00000000
USD
600000.00000000
USD
-15452.61000000
N
N
N
ORO FWD USD 1Y C 2.72100 L 04/08/24 GLM
N/A
ORO FWD USD 1Y C 2.72100 L 04/08/24 GLM 0.00000000
N/A
-200000.00000000
NC
USD
-0.96000000
-0.00000049910
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
ORO FWD USD 1Y C 2.72100 L 04/08/24 GLM
0
-200000.00000000
USD
2.72100000
USD
2024-04-08
XXXX
-0.96000000
N
N
N
IRO EUR 10Y C 2.42000 L 03/01/24 BPS
N/A
IRO EUR 10Y C 2.42000 L 03/01/24 BPS 0.00000000
N/A
-500000.00000000
NC
-0.05000000
-0.00000002599
N/A
DIR
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Purchased
IRO EUR 10Y C 2.42000 L 03/01/24 BPS
0
-500000.00000000
EUR
2.42000000
EUR
2024-03-01
XXXX
-0.05000000
N
N
N
FAIRFAX FI 2.75% 03/29/28/EUR/
GLS7OQD0WOEDI8YAP031
FAIRFAX FINL HLDGS LTD /EUR/ REGD REG S 2.75000000
C33461AA9
100000.00000000
NS
101424.54000000
0.052730435745
Long
DBT
CORP
CA
N
2
2028-03-29
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
INR/USD FWD 20240620 000001394 USD
N/A
1.00000000
NC
N/A
-105.28000000
-0.00005473488
N/A
DFE
N/A
N
2
HSBC BANK PLC
N/A
-1555889.82000000
INR
18586.00000000
USD
2024-06-20
-105.28000000
N
N
N
UMBS P#SD8410 6.5% 03/01/54
N/A
FREDDIE MAC POOL UMBS P#SD8410 6.50000000
3132DWKX0
100000.00000000
NS
USD
101802.51000000
0.052926941668
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
IRS R03.78PSOFR 02/07/34 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-788.03000000
-0.00040969537
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2034-02-07
-100000.00000000
USD
100000.00000000
USD
100000.00000000
USD
-788.03000000
N
N
N
N/A
N/A
JPY/USD FWD 20240501 000011553 USD
N/A
1.00000000
NC
N/A
108280.94000000
0.056295065761
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-80000000.00000000
JPY
647065.96000000
USD
2024-05-01
108280.94000000
N
N
N
FNMA 30YR TBA 5.5% APR 24
N/A
FNMA 30YR TBA 5.5% APR 24 TO BE ANNOUNCED 5.50000000
01F052649
2900000.00000000
NS
USD
2867581.25000000
1.490850329209
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
5.50000000
N
N
N
N
N
N
UNITED KIN 1.25% 07/31/51/GBP/
N/A
UNITED KINGDOM GILT /GBP/ REGD REG S 1.25000000
G4527HUU3
1300000.00000000
NS
804477.00000000
0.418246143955
Long
DBT
NUSS
GB
N
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
N/A
N/A
IRS R03.95PSOFR 03/31/30 BARC FIXED
N/A
1.00000000
NC
USD
-22504.88000000
-0.01170024659
N/A
DIR
US
N
2
JP MORGAN
N/A
N/A
N/A
Y
2030-03-31
-3500000.00000000
USD
3500000.00000000
USD
3500000.00000000
USD
-22504.88000000
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
20000000.00000000
NS
125939.74000000
0.065475844089
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 5.88541000
07325QAA3
140753.94000000
NS
USD
138544.30000000
0.072028932140
Long
ABS-CBDO
CORP
US
Y
2
2037-03-25
Variable
5.88541000
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 6.65954000
05551UAA3
383431.43000000
NS
USD
379095.43000000
0.197091031550
Long
ABS-CBDO
CORP
US
Y
2
2039-02-15
Variable
6.65954000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.08 11/15/32 BARC FLOAT
N/A
1.00000000
NC
USD
109305.39000000
0.056827675472
N/A
DIR
US
N
2
BNP
N/A
N/A
N/A
Y
2032-11-15
-1400000.00000000
USD
1400000.00000000
USD
1400000.00000000
USD
90812.55000000
N
N
N
VW CREDIT INC DISC 03/06/24
N/A
VW CREDIT INC DISC 03/06/24 0.00000000
91842JC64
800000.00000000
PA
USD
799381.95000000
0.415597236633
Long
STIV
CORP
US
N
2
2024-03-06
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
IRS R03.50PCAON 05/10/25 BARC FIXED
N/A
1.00000000
NC
-136328.16000000
-0.07087676494
N/A
DIR
CA
N
2
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
N/A
N/A
Y
2025-05-10
-14037985.22000000
CAD
13926974.64000000
CAD
13926242.49346056
CAD
-25317.58000000
N
N
N
FNMA 30YR TBA 4.5% MAR 24
N/A
FNMA 30YR TBA 4.5% MAR 24 TO BE ANNOUNCED 4.50000000
01F042632
2400000.00000000
NS
USD
2269550.45000000
1.179935192957
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
IRS P03.75RBW3M 03/15/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-20621.99000000
-0.01072133547
N/A
DIR
AU
N
2
BARCLAYS - BZE
N/A
N/A
N/A
Y
2024-03-15
-5873999.87000000
AUD
5867847.97000000
AUD
5719560.00282832
AUD
-2629.80000000
N
N
N
UMBS P#QD8207 2% 03/01/52
N/A
FREDDIE MAC POOL UMBS P#QD8207 2.00000000
3133B6DL1
92162.91000000
NS
USD
72534.20000000
0.037710399992
Long
ABS-MBS
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CDS US50064FAM68 01.000 BP 12/20/2028 GSILGB2XXXX LONG
N/A
1.00000000
NC
USD
-16114.81000000
-0.00837806070
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF KOR 2.75% 01/19/27
REPUBLIC OF KOR 2.75% 01/19/27 2.75000000
Y
2028-12-20
-500000.00000000
USD
485435.97000000
USD
500000.00000000
USD
-995.22000000
N
N
N
F/C 3 MONTH SOFR FUT DEC24
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT DEC24 0.00000000
N/A
-159.00000000
NC
USD
-37961250.00000000
-19.7359855312
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C 3 MONTH SOFR FUT DEC24
3 MONTH SOFR FUT DEC24
2025-03-18
38056135.40000000
USD
94885.40000000
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 5.91541000
040104MX6
359066.51000000
NS
USD
303056.80000000
0.157558684709
Long
ABS-CBDO
CORP
US
N
2
2035-05-25
Variable
5.91541000
N
N
N
N
N
N
DOMINION ENERGY DISC03/21/24
N/A
DOMINION ENERGY DISC03/21/24 0.00000000
2574P0CM4
300000.00000000
PA
USD
299066.67000000
0.155484223306
Long
STIV
CORP
US
N
2
2024-03-21
Fixed
0.00000000
N
N
N
N
N
N
ABN AMRO BANK NV V/R 10/13/26
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV REGD V/R 144A P/P MTN 6.57500000
00084DBC3
400000.00000000
NS
USD
403789.68000000
0.209929527666
Long
DBT
CORP
NL
Y
2
2026-10-13
Variable
6.57500000
N
N
N
N
N
N
N/A
N/A
SGD/USD FWD 20240320 000004608 USD
N/A
1.00000000
NC
N/A
630.00000000
0.000327535865
N/A
DFE
N/A
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
-53000.00000000
SGD
40047.45000000
USD
2024-03-20
630.00000000
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 6.07541000
12669GPN5
40574.34000000
NS
USD
34673.32000000
0.018026596643
Long
ABS-CBDO
CORP
US
N
2
2035-03-25
Variable
6.07541000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYED3 01.000 BP 12/20/2033 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
-63523.08000000
-0.03302553492
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.IG.41
2I65BYED3
Y
2033-12-20
-6535801.46000000
USD
6600000.00000000
USD
6600000.00000000
USD
-113285.51000000
N
N
N
N/A
N/A
CAD/USD FWD 20240304 000011091 USD
N/A
1.00000000
NC
N/A
-1369.22000000
-0.00071185501
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-101128.28000000
USD
135388.01000000
CAD
2024-03-04
-1369.22000000
N
N
N
N/A
N/A
JPY/USD FWD 20240304 000011553 USD
N/A
1.00000000
NC
N/A
1129.73000000
0.000587344593
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-120300000.00000000
JPY
803584.45000000
USD
2024-03-04
1129.73000000
N
N
N
UBS GROUP AG V/R 08/12/33
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R 144A P/P 6.53700000
225401AZ1
600000.00000000
NS
USD
626234.45000000
0.325578163110
Long
DBT
CORP
CH
Y
2
2033-08-12
Variable
6.53700000
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
0.25000000
NS
0.03000000
0.000000015596
Long
DBT
CORP
DK
N
2
2037-07-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
KRW/USD FWD 20240620 000011091 USD
N/A
1.00000000
NC
N/A
2501.52000000
0.001300535744
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-98178900.00000000
KRW
76464.00000000
USD
2024-06-20
2501.52000000
N
N
N
BANK OF AMERICA C V/R 04/25/29
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R 5.20200000
06051GLG2
500000.00000000
NS
USD
497363.38000000
0.258578325831
Long
DBT
CORP
US
N
2
2029-04-25
Variable
5.20200000
N
N
N
N
N
N
MALAYSIA 3.519% 04/20/28/MYR/
N/A
MALAYSIA GOVERNMENT /MYR/ REGD SER 0223 3.51900000
Y2R35QFA4
12523000.00000000
NS
2631690.28000000
1.368211038593
Long
DBT
USGA
MY
N
2
2028-04-20
Fixed
3.51900000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20240402 000006038 USD
N/A
1.00000000
NC
N/A
894.50000000
0.000465048939
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-6966919.31000000
DKK
1012695.00000000
USD
2024-04-02
894.50000000
N
N
N
NORDEA KRED 2.5% 10/01/47/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 2.50000000
K7S724BH9
0.54000000
NS
0.07000000
0.000000036392
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
BRL/USD FWD 20240702 000011091 USD
N/A
1.00000000
NC
N/A
7173.46000000
0.003729468939
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-2300000.00000000
BRL
464355.66000000
USD
2024-07-02
7173.46000000
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
315712.80000000
0.164138516324
Long
DBT
CORP
DE
N
2
2026-02-12
Fixed
2.62500000
N
N
N
N
N
N
ORO USD 10Y P 4.17500 L 03/22/24 GLM
N/A
ORO USD 10Y P 4.17500 L 03/22/24 GLM 0.00000000
N/A
-1000000.00000000
NC
USD
-1583.20000000
-0.00082310282
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
ORO USD 10Y P 4.17500 L 03/22/24 GLM
0
-1000000.00000000
USD
4.17500000
USD
2024-03-22
XXXX
-1583.20000000
N
N
N
N/A
N/A
IRS RSOFRP04.00 06/20/26 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
21017.64000000
0.010927033196
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2026-06-20
-4212065.05000000
USD
4200000.00000000
USD
4200000.00000000
USD
33082.69000000
N
N
N
N/A
N/A
IRS R03.22PSOFR 10/25/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-2061.90000000
-0.00107197809
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-10-25
-100000.00000000
USD
100000.00000000
USD
100000.00000000
USD
-2061.90000000
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
371100.88000000
0.192934679398
Long
DBT
USGA
ES
Y
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
ORO USD 10Y C 3.72500 L 03/22/24 GLM
N/A
ORO USD 10Y C 3.72500 L 03/22/24 GLM 0.00000000
N/A
-1000000.00000000
NC
USD
-4415.60000000
-0.00229566249
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
ORO USD 10Y C 3.72500 L 03/22/24 GLM
0
-1000000.00000000
USD
3.72500000
USD
2024-03-22
XXXX
-4415.60000000
N
N
N
STANDARD CHARTERE V/R 02/08/28
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC REGD V/R 144A P/P 6.75000000
853254CW8
900000.00000000
NS
USD
922062.34000000
0.479378550525
Long
DBT
CORP
GB
Y
2
2028-02-08
Variable
6.75000000
N
N
N
N
N
N
ACE 2005-HE5 M4 V/R 08/25/35
N/A
ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2005-HE5 CL M4 V/R REGD 6.33541000
004421RH8
321019.61000000
NS
USD
311117.60000000
0.161749480117
Long
ABS-CBDO
CORP
US
N
2
2035-08-25
Variable
6.33541000
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 6.71725600
86359BNU1
1610.57000000
NS
USD
1596.42000000
0.000829975883
Long
ABS-CBDO
CORP
US
N
2
2034-04-25
Variable
6.71725600
N
N
N
N
N
N
N/A
N/A
IRS R04.75PNF3F 03/20/25 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-16180.99000000
-0.00841246756
N/A
DIR
NZ
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-03-20
-2423459.75000000
NZD
2419940.64000000
NZD
2374319.75206403
NZD
-12661.88000000
N
N
N
N/A
N/A
JPY/USD FWD 20240402 000004334 USD
N/A
1.00000000
NC
N/A
-36168.10000000
-0.01880373007
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-1036576653.00000000
JPY
6910864.40000000
USD
2024-04-02
-36168.10000000
N
N
N
N/A
N/A
GBP/USD FWD 20240304 000004066 USD
N/A
1.00000000
NC
N/A
7348.44000000
0.003820440726
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-557000.00000000
GBP
710505.20000000
USD
2024-03-04
7348.44000000
N
N
N
N/A
N/A
JPY/USD FWD 20240513 000011553 USD
N/A
1.00000000
NC
N/A
72650.31000000
0.037770765372
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-390000000.00000000
JPY
2703850.20000000
USD
2024-05-13
72650.31000000
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 5.31752500
466247LZ4
435.65000000
NS
USD
396.94000000
0.000206368391
Long
ABS-CBDO
CORP
US
N
2
2035-02-01
Variable
5.31752500
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
73168.22000000
NS
USD
55259.47000000
0.028729298966
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000011091 USD
N/A
1.00000000
NC
N/A
270.96000000
0.000140871616
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-210908.39000000
CNY
29583.19000000
USD
2024-03-26
270.96000000
N
N
N
N/A
N/A
JPY/USD FWD 20240401 000011553 USD
N/A
1.00000000
NC
N/A
148758.30000000
0.077339172352
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-100003000.00000000
JPY
818857.73000000
USD
2024-04-01
148758.30000000
N
N
N
N/A
N/A
IRS R00.00PMUTK 03/17/31 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-200396.45000000
-0.10418575357
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2031-03-17
-5138655.09000000
JPY
5117905.01000000
JPY
3868859.02011140
JPY
-177608.98000000
N
N
N
N/A
N/A
AUD/USD FWD 20240304 000011091 USD
N/A
1.00000000
NC
N/A
708.70000000
0.000368451854
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-270970.38000000
USD
418000.00000000
AUD
2024-03-04
708.70000000
N
N
N
N/A
N/A
KRW/USD FWD 20240620 000004066 USD
N/A
1.00000000
NC
N/A
12417.34000000
0.006455752710
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-635402580.00000000
KRW
491094.00000000
USD
2024-06-20
12417.34000000
N
N
N
N/A
N/A
INR/USD FWD 20240320 000015298 USD
N/A
1.00000000
NC
N/A
842.31000000
0.000437915452
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-258922.00000000
USD
21544118.03000000
INR
2024-03-20
842.31000000
N
N
N
UMBS P#MA4980 6% 04/01/53
N/A
FANNIE MAE POOL UMBS P#MA4980 6.00000000
31418ERA0
1012572.82000000
NS
USD
1017360.08000000
0.528923673982
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
6.00000000
N
N
N
N
N
N
CASH COLLATERAL V/R 12/31/49
N/A
CASH COLLATERAL V/R 12/31/49 5.23000000
N/A
151000.00000000
NS
USD
151000.00000000
0.078504628146
Long
STIV
CORP
US
N
2
2049-12-31
Floating
5.23000000
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
60060.57000000
0.031225382212
Long
DBT
USGA
AU
N
2
2030-05-21
Fixed
2.50000000
N
N
N
N
N
N
ESAIL 2007- V/R 06/13/45 /GBP/
N/A
EUROSAIL-UK 2007-4BL PLC SER 2007-4X CL A3 V/R REGD REG S /GBP/ 6.28484000
G3299TAL7
203390.00000000
NS
256274.25000000
0.133236521190
Long
ABS-CBDO
CORP
GB
N
2
2045-06-13
Variable
6.28484000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 10/24/29
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 6.48400000
38141GA46
400000.00000000
NS
USD
419015.29000000
0.217845294894
Long
DBT
CORP
US
N
2
2029-10-24
Variable
6.48400000
N
N
N
N
N
N
N/A
N/A
IRS R00.65PER6M 05/11/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-32479.08000000
-0.01688581521
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-05-11
-317159.99000000
EUR
317159.99000000
EUR
324239.99037915
EUR
-24989.37000000
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 4.82965400
929227R65
1098.26000000
NS
USD
1077.90000000
0.000560398269
Long
ABS-CBDO
CORP
US
N
2
2033-06-25
Variable
4.82965400
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20240304 000009049 USD
N/A
1.00000000
NC
N/A
73855.71000000
0.038397450662
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-9022545.84000000
CAD
6722012.39000000
USD
2024-03-04
73855.71000000
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/ 4.72200000
N/A
249764.80000000
NS
268171.02000000
0.139421630494
Long
ABS-CBDO
CORP
IE
Y
2
2031-10-15
Variable
4.72200000
N
N
N
N
N
N
REPUBLIC O 4.25% 02/14/43/EUR/
N/A
REPUBLIC OF POLAND /EUR/ REGD REG S EMTN 4.25000000
X7327PAU3
100000.00000000
NS
109709.30000000
0.057037667554
Long
DBT
USGA
PL
N
2
2043-02-14
Fixed
4.25000000
N
N
N
N
N
N
ORO USD 10Y P 4.15000 L 03/21/24 GLM
N/A
ORO USD 10Y P 4.15000 L 03/21/24 GLM 0.00000000
N/A
-2200000.00000000
NC
USD
-3733.62000000
-0.00194110231
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
ORO USD 10Y P 4.15000 L 03/21/24 GLM
0
-2200000.00000000
USD
4.15000000
USD
2024-03-21
XXXX
-3733.62000000
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
92009.01000000
NS
USD
46032.60000000
0.023932265864
Long
ABS-CBDO
CORP
US
N
2
2047-11-25
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000004066 USD
N/A
1.00000000
NC
N/A
-843.51000000
-0.00043853933
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2712254.85000000
CNY
376108.02000000
USD
2024-03-26
-843.51000000
N
N
N
SOCIETE GENERALE V/R 06/09/32
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE REGD V/R 144A P/P 2.88900000
83368RBD3
300000.00000000
NS
USD
243244.58000000
0.126462419215
Long
DBT
CORP
FR
Y
2
2032-06-09
Variable
2.88900000
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 6.45952000
03766GAL6
241750.55000000
NS
USD
241930.41000000
0.125779184598
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-18
Variable
6.45952000
N
N
N
N
N
N
ORO USD 10Y P 4.10000 L 03/28/24 JPM
N/A
ORO USD 10Y P 4.10000 L 03/28/24 JPM 0.00000000
N/A
-1100000.00000000
NC
USD
-3243.46000000
-0.00168626901
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
ORO USD 10Y P 4.10000 L 03/28/24 JPM
0
-1100000.00000000
USD
4.10000000
USD
2024-03-28
XXXX
-3243.46000000
N
N
N
N/A
N/A
IRS R04.25PSO/N 03/20/54 BARCUS3BXXX FIXED
N/A
1.00000000
NC
48465.69000000
0.025197224975
N/A
DIR
GB
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2054-03-20
-625164.98000000
GBP
653405.86000000
GBP
631199.98552785
GBP
20224.81000000
N
N
N
N/A
N/A
NOK/USD FWD 20240304 000006038 USD
N/A
1.00000000
NC
N/A
-17901.88000000
-0.00930715518
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-932864.00000000
USD
9716119.99000000
NOK
2024-03-04
-17901.88000000
N
N
N
NEUB 2023-53A A V/R 10/24/32
N/A
NEUBERGER BERMAN LOAN ADVISERS NBLA SER 2023-53A CL A V/R REGD 144A P/P 6.92944000
64135WAA1
900000.00000000
NS
USD
906496.20000000
0.471285742364
Long
ABS-CBDO
CORP
JE
Y
2
2032-10-24
Variable
6.92944000
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
-348.23000000
-0.00018104415
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
-348.23000000
N
N
N
N/A
N/A
JPY/USD FWD 20240304 000009049 USD
N/A
1.00000000
NC
N/A
22106.02000000
0.011492879999
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-5218937.00000000
USD
785710965.00000000
JPY
2024-03-04
22106.02000000
N
N
N
FNGT 2004-T3 1A1 6% 2/25/44
N/A
FNGT 2004-T3 1A1 6% 2/25/44 6.00000000
31393YU52
3717.01000000
NS
USD
3676.78000000
0.001911551302
Long
ABS-CBDO
CORP
US
N
2
2044-02-25
Fixed
6.00000000
N
N
N
N
N
N
US TREAS BDS 4.75% 11/15/43
N/A
UNITED STATES TREASURY BOND 4.75000000
912810TW8
1400000.00000000
NS
USD
1440140.63000000
0.748726520771
Long
DBT
UST
US
N
2
2043-11-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20240304 000006038 USD
N/A
1.00000000
NC
N/A
2410.17000000
0.001253043043
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-599000.00000000
AUD
391730.19000000
USD
2024-03-04
2410.17000000
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 6.27541000
126698AA7
293769.02000000
NS
USD
280575.65000000
0.145870775299
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
6.27541000
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/ 6.46294000
N/A
107032.19000000
NS
135421.04000000
0.070405154889
Long
ABS-CBDO
CORP
GB
Y
2
2070-06-20
Variable
6.46294000
N
N
N
N
N
N
ORO FWD USD 1Y P 2.72100 L 04/08/24 GLM
N/A
ORO FWD USD 1Y P 2.72100 L 04/08/24 GLM 0.00000000
N/A
-200000.00000000
NC
USD
-4274.18000000
-0.00222213848
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
ORO FWD USD 1Y P 2.72100 L 04/08/24 GLM
0
-200000.00000000
USD
2.72100000
USD
2024-04-08
XXXX
-4274.18000000
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
331809.32000000
NS
USD
266199.10000000
0.138396432836
Long
ABS-CBDO
CORP
US
Y
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS PSO/NR05.50 03/20/26 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-9026.71000000
-0.00469297027
N/A
DIR
GB
N
2
BARCLAYS
N/A
N/A
N/A
Y
2026-03-20
-511856.22000000
GBP
502279.99000000
GBP
504959.98842228
GBP
549.52000000
N
N
N
FNMA 30YR TBA 3.0% APR12
N/A
FNMA 30YR TBA 3.0% APR12 3.00000000
01F030645
-2000000.00000000
NS
USD
-1713109.16000000
-0.89064236807
Short
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
3.00000000
N
N
N
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
371131.70000000
0.192950702660
Long
DBT
NUSS
GB
N
2
2049-01-22
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
KRW/USD FWD 20240320 000011553 USD
N/A
1.00000000
NC
N/A
273.35000000
0.000142114172
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-132877019.00000000
KRW
99872.24000000
USD
2024-03-20
273.35000000
N
N
N
JYSKE REALKRE 3% 10/01/47/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 3.00000000
K1R19DCF2
0.75000000
NS
0.10000000
0.000000051989
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
3.00000000
N
N
N
N
N
N
SROCK 2022- V/R 01/24/61 /EUR/
N/A
SHAMROCK RESIDENTIAL 2022-1 DAC SER 2022-1 CL A V/R REGD REG S /EUR/ 4.71400000
G8103JAJ9
295016.66000000
NS
318833.90000000
0.165761170595
Long
ABS-CBDO
CORP
IE
N
2
2061-01-24
Variable
4.71400000
N
N
N
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 6.51248000
30227FAA8
366133.12000000
NS
USD
365926.47000000
0.190244512955
Long
ABS-CBDO
CORP
US
Y
2
2038-07-15
Variable
6.51248000
N
N
N
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
163624.14000000
NS
USD
154336.02000000
0.080239018938
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/ 5.48330000
G571A3AW5
303143.22000000
NS
370766.11000000
0.192760633078
Long
ABS-CBDO
CORP
GB
N
2
2061-01-01
Variable
5.48330000
N
N
N
N
N
N
F/C EURO-BUXL 30Y BND MAR24
N/A
FUTURE CONTRACT ON EURO-BUXL 30Y BND MAR24 /EUR/ 0.00000000
N/A
11.00000000
NC
1583112.55000000
0.823057364579
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-BUXL 30Y BND MAR24
EURO-BUXL 30Y BND MAR24 /EUR/
2024-03-07
1548764.73000000
EUR
34347.82000000
N
N
N
JPMMT 2022-INV1 V/R 12/25/43
N/A
JP MORGAN MORTGAGE TRUST 2022-INV1 SER 2022-INV1 CL A3 V/R REGD 144A P/P 3.00000000
465973AC9
608125.95000000
NS
USD
509245.40000000
0.264755766637
Long
ABS-CBDO
CORP
US
Y
2
2052-03-25
Variable
3.00000000
N
N
N
N
N
N
N/A
N/A
CCS USD R USSOFR/JPYMUTKCALM -59 BRC /LONG/
N/A
1.00000000
NC
N/A
1255511.99000000
0.652738423232
N/A
DFE
N/A
N
2
BARCLAYS
N/A
0.00000000
N/A
1255714.29000000
USD
2025-02-03
-202.30000000
N
N
N
N/A
N/A
JPY/USD FWD 20241001 000011091 USD
N/A
1.00000000
NC
N/A
-9098.88000000
-0.00473049133
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-353506.79000000
USD
50000000.00000000
JPY
2024-10-01
-9098.88000000
N
N
N
JAPAN (2 0.005% 05/01/24/JPY/
N/A
JAPAN (2 YEAR ISSUE) /JPY/ REGD SER 436 0.00500000
J2S39LUD4
80000000.00000000
NS
533746.92000000
0.277494062773
Long
DBT
USGA
JP
N
2
2024-05-01
Fixed
0.00500000
N
N
N
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
82487.07000000
NS
USD
66153.99000000
0.034393340300
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 6.23613000
31398GBB4
45986.39000000
NS
USD
45991.59000000
0.023910944839
Long
ABS-CBDO
CORP
US
N
2
2039-12-25
Variable
6.23613000
N
N
N
N
N
N
N/A
N/A
IRS R04.87PMXIE 07/07/25 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-310667.59000000
-0.16151552072
N/A
DIR
MX
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-07-07
-1570319.46000000
MXN
1480122.95000000
MXN
1836008.64625158
MXN
-41688.16000000
N
N
N
N/A
N/A
IRS R03.50PKWDC 03/20/34 BARC FIXED
N/A
1.00000000
NC
11169.03000000
0.005806758588
N/A
DIR
KR
N
2
BNP PARIBAS S.A. PARIS
N/A
N/A
N/A
Y
2034-03-20
-843193.11000000
KRW
874661.98000000
KRW
819101.96928677
KRW
-20299.84000000
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 6.67942000
67109KBC7
467164.12000000
NS
USD
467936.81000000
0.243279505066
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-20
Variable
6.67942000
N
N
N
N
N
N
PACIFICORP 5.3% 02/15/31
N/A
PACIFICORP REGD 5.30000000
695114DC9
200000.00000000
NS
USD
197860.26000000
0.102867192955
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
5.30000000
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 6.61942000
92558BAJ7
153489.19000000
NS
USD
153565.01000000
0.079838172227
Long
ABS-CBDO
CORP
KY
Y
2
2030-09-15
Variable
6.61942000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.06 11/15/32 BARC FLOAT
N/A
1.00000000
NC
USD
87083.76000000
0.045274690042
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2032-11-15
-1100000.00000000
USD
1100000.00000000
USD
1100000.00000000
USD
72460.22000000
N
N
N
MEFA 2008-1 A1 V/R 04/25/38
5493007K5OP7V6CL0Y88
MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY SER 2008-1 CL A1 V/R 6.57250000
57563NAA6
27239.24000000
NS
USD
27169.79000000
0.014125524905
Long
ABS-CBDO
CORP
US
N
2
2038-04-25
Variable
6.57250000
N
N
N
N
N
N
ORO USD 10Y C 3.70000 L 03/28/24 JPM
N/A
ORO USD 10Y C 3.70000 L 03/28/24 JPM 0.00000000
N/A
-1100000.00000000
NC
USD
-5127.76000000
-0.00266591319
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
ORO USD 10Y C 3.70000 L 03/28/24 JPM
0
-1100000.00000000
USD
3.70000000
USD
2024-03-28
XXXX
-5127.76000000
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 3.73846900
12669GUM1
12050.15000000
NS
USD
8214.08000000
0.004270485403
Long
ABS-CBDO
CORP
US
N
2
2035-04-25
Variable
3.73846900
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
470913.35000000
NS
54490.98000000
0.028329762398
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
529406.63000000
NS
USD
496053.96000000
0.257897560730
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
2.90000000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20240402 000004334 USD
N/A
1.00000000
NC
N/A
32558.08000000
0.016926887175
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-8230054.14000000
CAD
6099449.83000000
USD
2024-04-02
32558.08000000
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/ 4.60200000
N/A
297694.98000000
NS
318192.66000000
0.165427791074
Long
ABS-CBDO
CORP
IE
Y
2
2033-04-15
Variable
4.60200000
N
N
N
N
N
N
N/A
N/A
MYR/USD FWD 20240320 000004066 USD
N/A
1.00000000
NC
N/A
-7762.76000000
-0.00403584494
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-12755098.00000000
MYR
2683024.40000000
USD
2024-03-20
-7762.76000000
N
N
N
N/A
N/A
IRS R00.05PMUTK 12/15/31 BARC FIXED
N/A
1.00000000
NC
-166480.46000000
-0.08655289142
N/A
DIR
JP
N
2
BARCLAY
N/A
N/A
N/A
Y
2031-12-15
-3740692.90000000
JPY
3575839.58000000
JPY
3268518.82733549
JPY
-5468.63000000
N
N
N
LETRA TESOUR ZCP 07/01/24/BRL/
N/A
LETRA TESOURO NACIONAL /BRL/ REGD ZCP SER LTN 0.00000000
P8T60NJK8
3300000.00000000
NS
642308.07000000
0.333934809210
Long
DBT
USGA
BR
N
2
2024-07-01
Fixed
0.00000000
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
2497000.00000000
NS
USD
2497000.00000000
1.298185804512
Long
STIV
CORP
US
N
2
2060-12-31
Variable
0.50000000
N
N
N
N
N
N
N/A
N/A
IRS R04.00PNF3F 06/14/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-101206.09000000
-0.05261686398
N/A
DIR
NZ
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-06-14
-6464329.39000000
NZD
6441670.52000000
NZD
6148879.35790942
NZD
-27368.42000000
N
N
N
UMBS P#BJ8703 3.5% 05/01/49
N/A
FANNIE MAE POOL UMBS P#BJ8703 3.50000000
3140HAU57
31908.78000000
NS
USD
28916.56000000
0.015033667483
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 5.36887800
939336KZ5
40250.05000000
NS
USD
38947.26000000
0.020248610355
Long
ABS-CBDO
CORP
US
N
2
2032-12-25
Variable
5.36887800
N
N
N
N
N
N
IRO EUR 5Y P 2.90000 L 03/20/24 BRC
N/A
IRO EUR 5Y P 2.90000 L 03/20/24 BRC 0.00000000
N/A
-1300000.00000000
NC
-2844.64000000
-0.00147892321
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
K9WDOH4D2PYBSLSOB484
Put
Purchased
IRO EUR 5Y P 2.90000 L 03/20/24 BRC
0
-1300000.00000000
EUR
2.90000000
EUR
2024-03-20
XXXX
-2844.64000000
N
N
N
FRANCE (GO 0.75% 05/25/52/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD REG S 0.75000000
F26348CC8
1650000.00000000
NS
964394.46000000
0.501386943501
Long
DBT
USGA
FR
N
2
2052-05-25
Fixed
0.75000000
N
N
N
N
N
N
FNW 2004-W12 1A1 6% 7/25/44
N/A
FNW 2004-W12 1A1 6% 7/25/44 6.00000000
31394A6Y7
22354.50000000
NS
USD
22825.83000000
0.011867107922
Long
ABS-CBDO
CORP
US
N
2
2044-07-25
Fixed
6.00000000
N
N
N
N
N
N
JAPAN (2 0.005% 04/01/24/JPY/
N/A
JAPAN (2 YEAR ISSUE) /JPY/ REGD SER 435 0.00500000
J2S39LTK0
180000000.00000000
NS
1200817.56000000
0.624302887545
Long
DBT
USGA
JP
N
2
2024-04-01
Fixed
0.00500000
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
364701.96000000
0.189607892410
Long
DBT
CORP
US
Y
2
2028-01-07
Variable
2.55200000
N
N
N
N
N
N
N/A
N/A
IRS R03.72PSOFR 02/07/34 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-2531.52000000
-0.00131613269
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2034-02-07
-200000.00000000
USD
200000.00000000
USD
200000.00000000
USD
-2531.52000000
N
N
N
F/C US 10YR NOTE (CBT)JUN24
N/A
FUTURE CONTRACT ON US 10YR NOTE (CBT)JUN24 0.00000000
N/A
-106.00000000
NC
USD
-11706375.00000000
-6.08612328686
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US 10YR NOTE (CBT)JUN24
US 10YR NOTE (CBT)JUN24
2024-06-18
11708031.25000000
USD
1656.25000000
N
N
N
FHR 4579 FD V/R 01/15/38
N/A
FREDDIE MAC REMICS SER 4579 CL FD V/R 5.55944700
3137BPPH6
67567.91000000
NS
USD
66872.58000000
0.034766933947
Long
ABS-CBDO
CORP
US
N
2
2038-01-15
Variable
5.55944700
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 7.02904000
40638UAA7
400000.00000000
NS
USD
400400.00000000
0.208167239137
Long
ABS-CBDO
CORP
KY
Y
2
2032-11-30
Variable
7.02904000
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
81277.02000000
0.042255776370
Long
DBT
USGA
RO
Y
2
2033-04-14
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS P00.55RMUTK 09/14/28 BARCUS3BXXX FIXED
N/A
1.00000000
NC
2680.57000000
0.001393623517
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2028-09-14
-820204.37000000
JPY
822560.31000000
JPY
800453.59036788
JPY
2127.26000000
N
N
N
N/A
N/A
IRS P00.40RMUTK 12/15/51 BARC FIXED
N/A
1.00000000
NC
-107033.90000000
-0.05564673191
N/A
DIR
JP
N
2
CREDIT SUISSE
N/A
N/A
N/A
Y
2051-12-15
-591998.91000000
JPY
563476.53000000
JPY
446919.92128873
JPY
-82644.61000000
N
N
N
N/A
N/A
IRS R04.50PSO/N 03/20/34 BARCUS3BXXX FIXED
N/A
1.00000000
NC
672693.22000000
0.349731993990
N/A
DIR
GB
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2034-03-20
-12148809.73000000
GBP
12473548.56000000
GBP
12245279.71924023
GBP
347954.39000000
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 5.87427000
41161PLR2
9598.21000000
NS
USD
8622.68000000
0.004482915808
Long
ABS-CBDO
CORP
US
N
2
2035-05-19
Variable
5.87427000
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 5.50900000
G6484AAR3
390246.92000000
NS
479233.89000000
0.249152836619
Long
ABS-CBDO
CORP
GB
N
2
2050-12-01
Variable
5.50900000
N
N
N
N
N
N
BSSP 2007-R6 V/R 1/26/36
N/A
BSSP 2007-R6 V/R 1/26/36 5.01119000
07402FAA3
30531.82000000
NS
USD
23097.27000000
0.012008229089
Long
ABS-CBDO
CORP
US
N
2
2036-01-26
Variable
5.01119000
N
N
N
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 5.89541000
12669GZQ7
40698.17000000
NS
USD
34545.48000000
0.017960132857
Long
ABS-CBDO
CORP
US
N
2
2035-05-25
Variable
5.89541000
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 6.53628000
28622VAN0
242051.78000000
NS
USD
241855.72000000
0.125740353401
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-25
Variable
6.53628000
N
N
N
N
N
N
N/A
N/A
INR/USD FWD 20240320 000004066 USD
N/A
1.00000000
NC
N/A
-2583.36000000
-0.00134308421
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-37687067.07000000
INR
451821.64000000
USD
2024-03-20
-2583.36000000
N
N
N
N/A
N/A
IRS PTHORR02.50 03/20/29 BARC FLOAT
N/A
1.00000000
NC
-44947.14000000
-0.02336793716
N/A
DIR
TH
N
2
BNP PARIBAS S.A. PARIS
N/A
N/A
N/A
Y
2029-03-20
-3303237.41000000
THB
3273636.96000000
THB
3227871.36294028
THB
-15346.69000000
N
N
N
N/A
N/A
IRS RSOFRP03.04 11/15/32 BARC FLOAT
N/A
1.00000000
NC
USD
36415.14000000
0.018932165725
N/A
DIR
US
N
2
CITIBANK
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2032-11-15
-450000.00000000
USD
450000.00000000
USD
450000.00000000
USD
30371.31000000
N
N
N
F/C AUST 10Y BOND FUT MAR24
N/A
FUTURE CONTRACT ON AUST 10Y BOND FUT MAR24 /AUD/ 0.00000000
N/A
-27.00000000
NC
-2018378.57000000
-1.04935138474
N/A
DIR
CORP
AU
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C AUST 10Y BOND FUT MAR24
AUST 10Y BOND FUT MAR24 /AUD/
2024-03-15
1987493.19000000
AUD
-30885.38000000
N
N
N
AT&T INC DISC 03/19/24
N/A
AT&T INC DISCOUNT COMMERCIAL PAPER 0.00000000
0020A2CK6
750000.00000000
PA
USD
747862.50000000
0.388812367331
Long
STIV
CORP
US
N
2
2024-03-19
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240620 000015298 USD
N/A
1.00000000
NC
N/A
-223.79000000
-0.00011634801
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-78372.61000000
USD
1231562868.00000000
IDR
2024-06-20
-223.79000000
N
N
N
F/C 3 MONTH SOFR FUT MAR24
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT MAR24 0.00000000
N/A
119.00000000
NC
USD
28168787.50000000
14.64490190741
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C 3 MONTH SOFR FUT MAR24
3 MONTH SOFR FUT MAR24
2024-06-18
28223915.65000000
USD
-55128.15000000
N
N
N
CHINA GOVE 2.69% 08/15/32/CNY/
N/A
CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.69000000
Y6S39BX47
14200000.00000000
NS
2018207.95000000
1.049262679712
Long
DBT
USGA
CN
N
2
2032-08-15
Fixed
2.69000000
N
N
N
N
N
N
BONOS Y OB 2.55% 10/31/32/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 2.55000000
E8922AMM9
2100000.00000000
NS
2167453.54000000
1.126855193258
Long
DBT
USGA
ES
Y
2
2032-10-31
Fixed
2.55000000
N
N
N
N
N
N
N/A
N/A
TWD/USD FWD 20240320 000004066 USD
N/A
1.00000000
NC
N/A
-2295.07000000
-0.00119320276
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-17990321.00000000
TWD
567687.37000000
USD
2024-03-20
-2295.07000000
N
N
N
ORO FWD USD 1Y C 2.69700 L 04/02/24 GLM
N/A
ORO FWD USD 1Y C 2.69700 L 04/02/24 GLM 0.00000000
N/A
-700000.00000000
NC
USD
-1.89000000
-0.00000098260
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
ORO FWD USD 1Y C 2.69700 L 04/02/24 GLM
0
-700000.00000000
USD
2.69700000
USD
2024-04-02
XXXX
-1.89000000
N
N
N
CASH COLL ISDA V/R 12/31/49
N/A
CASH COLATERAL ISDA BPS USD 5.23000000
N/A
402000.00000000
NS
USD
402000.00000000
0.208999076257
Long
STIV
CORP
US
N
2
2049-12-31
Floating
5.23000000
N
N
N
N
N
N
SAUDI INTERNATI 4.75% 01/18/28
N/A
SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 4.75000000
80413TBC2
400000.00000000
NS
USD
396589.40000000
0.206186115058
Long
DBT
USGA
SA
Y
2
2028-01-18
Fixed
4.75000000
N
N
N
N
N
N
DBALT 2007-3 2A1 V/R 11/25/15
N/A
DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES SER 2007-3 CL 2A1 V/R REGD 6.18541000
25151KAC3
375977.00000000
NS
USD
266677.25000000
0.138645022161
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
6.18541000
N
N
N
N
N
N
REPUBLIC OF POLA 5.5% 04/04/53
N/A
REPUBLIC OF POLAND REGD 5.50000000
731011AW2
100000.00000000
NS
USD
99918.70000000
0.051947552240
Long
DBT
USGA
PL
N
2
2053-04-04
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
IRS R02.25PER3M 04/26/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-6657.86000000
-0.00346140942
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-04-26
-441039.99000000
EUR
441039.99000000
EUR
432319.98717220
EUR
5430.94000000
N
N
N
REPUBLIC OF CHI 4.85% 01/22/29
N/A
REPUBLIC OF CHILE REGD 4.85000000
168863EB0
200000.00000000
NS
USD
198635.86000000
0.103270425998
Long
DBT
USGA
CL
N
2
2029-01-22
Fixed
4.85000000
N
N
N
N
N
N
N/A
N/A
IRS R00.20PMUTK 06/19/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-46223.96000000
-0.02403175358
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2029-06-19
-3632497.56000000
JPY
3688037.38000000
JPY
2734883.10042357
JPY
-112537.53000000
N
N
N
JYSKE REALK 1.5% 10/01/50/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 1.50000000
K1R19DHJ9
0.90000000
NS
0.11000000
0.000000057188
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20240402 000018337 USD
N/A
1.00000000
NC
N/A
5737.97000000
0.002983160272
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-8909527.42000000
DKK
1299662.00000000
USD
2024-04-02
5737.97000000
N
N
N
N/A
N/A
JPY/USD FWD 20240401 000009049 USD
N/A
1.00000000
NC
N/A
117329.04000000
0.060999156662
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-80000000.00000000
JPY
653392.51000000
USD
2024-04-01
117329.04000000
N
N
N
N/A
N/A
CCS USD R USSOFR/JPYMUTKCALM-60.5 BPS /LONG/
N/A
1.00000000
NC
N/A
1558730.72000000
0.810381295058
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
0.00000000
N/A
1559414.37000000
USD
2025-03-19
-683.65000000
N
N
N
N/A
N/A
TWD/USD FWD 20240320 000015298 USD
N/A
1.00000000
NC
N/A
2219.17000000
0.001153742487
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-13865465.00000000
TWD
441514.92000000
USD
2024-03-20
2219.17000000
N
N
N
F/C EURO-BTP FUTURE MAR24
N/A
FUTURE CONTRACT ON EURO-BTP FUTURE MAR24 /EUR/ 0.00000000
N/A
126.00000000
NC
16044821.31000000
8.341673712684
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-BTP FUTURE MAR24
EURO-BTP FUTURE MAR24 /EUR/
2024-03-07
15622541.95000000
EUR
422279.35000000
N
N
N
CASH COLLATERAL V/R 12/31/49
N/A
CASH COLLATERAL USD 0.00000000
N/A
-290000.00000000
NS
USD
-290000.00000000
-0.15077047789
Short
STIV
CORP
US
N
2
2049-12-31
Variable
0.00000000
N
N
N
N
N
N
N/A
N/A
CCS USD R USSOFR/JPYMUTKCALM-60.5 BPS /LONG/
N/A
1.00000000
NC
N/A
1559875.39000000
0.810976406930
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
0.00000000
N/A
1560559.54000000
USD
2025-03-19
-684.15000000
N
N
N
N/A
N/A
INR/USD FWD 20240620 000004066 USD
N/A
1.00000000
NC
N/A
798.69000000
0.000415237493
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-977712.99000000
USD
81452780.34000000
INR
2024-06-20
798.69000000
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 5.93541000
83612HAD0
962024.13000000
NS
USD
908884.51000000
0.472527420433
Long
ABS-CBDO
CORP
US
N
2
2036-11-25
Variable
5.93541000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20240402 000003534 USD
N/A
1.00000000
NC
N/A
115017.85000000
0.059797573141
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-23980764.00000000
EUR
26065052.10000000
USD
2024-04-02
115017.85000000
N
N
N
N/A
N/A
DKK/USD FWD 20240304 000004334 USD
N/A
1.00000000
NC
N/A
-138.01000000
-0.00007175115
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-515000.00000000
DKK
74539.17000000
USD
2024-03-04
-138.01000000
N
N
N
UMBS P#FM4086 3.5% 06/01/50
N/A
FANNIE MAE POOL UMBS P#FM4086 3.50000000
3140X7RG6
214487.47000000
NS
USD
194710.92000000
0.101229856759
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240320 000000902 USD
N/A
1.00000000
NC
N/A
-983.85000000
-0.00051150184
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-7915168549.00000000
IDR
502456.47000000
USD
2024-03-20
-983.85000000
N
N
N
N/A
N/A
IRS RSOFRP03.66 05/31/28 BARC FLOAT
N/A
1.00000000
NC
USD
15392.80000000
0.008002689007
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2028-05-31
-1000000.00000000
USD
1000000.00000000
USD
1000000.00000000
USD
15392.80000000
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
82474.92000000
NS
USD
66269.46000000
0.034453372945
Long
ABS-CBDO
CORP
US
Y
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
HAYEM 12A A V/R 01/25/37 /EUR/
N/A
HAYFIN EMERALD CLO SER 12A CL A V/R REGD 144A P/P /EUR/ 5.66231000
G43374AA8
500000.00000000
NS
543770.22000000
0.282705158398
Long
ABS-CBDO
CORP
IE
Y
2
2037-01-25
Variable
5.66231000
N
N
N
N
N
N
BUONI POLI 3.85% 09/15/26/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD REG S SER 3Y 3.85000000
T6052B5P9
200000.00000000
NS
219255.84000000
0.113990716477
Long
DBT
USGA
IT
N
2
2026-09-15
Fixed
3.85000000
N
N
N
N
N
N
FRANCE (GOV 0.5% 05/25/72/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD 0.50000000
F26348BW5
500000.00000000
NS
209912.97000000
0.109133375185
Long
DBT
USGA
FR
Y
2
2072-05-25
Fixed
0.50000000
N
N
N
N
N
N
UMBS P#BT8263 4.5% 06/01/52
N/A
FANNIE MAE POOL UMBS P#BT8263 4.50000000
3140LXFD2
295675.15000000
NS
USD
279774.39000000
0.145454201667
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
IRS R02.25PER3M 04/28/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-9943.11000000
-0.00516940498
N/A
DIR
N/A
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-04-28
-662939.98000000
EUR
662939.98000000
EUR
648479.98075830
EUR
8190.24000000
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 5.71541000
86359DXP7
44766.47000000
NS
USD
36673.14000000
0.019066299461
Long
ABS-CBDO
CORP
US
Y
2
2036-01-25
Variable
5.71541000
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/ 4.79000000
N/A
300000.00000000
NS
320802.22000000
0.166784496619
Long
ABS-CBDO
CORP
IE
Y
2
2032-07-22
Variable
4.79000000
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 6.28101000
31395HHV5
16550.96000000
NS
USD
15013.43000000
0.007805455227
Long
ABS-CBDO
CORP
US
N
2
2044-10-25
Variable
6.28101000
N
N
N
N
N
N
N/A
N/A
TRS SOFRINDX/IBOXIG INDX 03/20/24 BPS /LONG/
N/A
1.00000000
NC
USD
-234536.61000000
-0.12193516128
N/A
DE
US
N
2
BNP
N/A
iBoxx US Dollar Liquid Investment Grade Index
GB00B4K4X773
Y
2024-03-20
-9200000.00000000
USD
9309628.64000000
USD
9200000.00000000
USD
-344165.25000000
N
N
N
N/A
N/A
IRS R03.65PSOFR 12/05/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-6305.18000000
-0.00327805173
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2024-12-05
-400000.00000000
USD
400000.00000000
USD
400000.00000000
USD
-6305.18000000
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 6.26292000
38376RWY8
187743.71000000
NS
USD
187011.81000000
0.097227103331
Long
ABS-CBDO
CORP
US
N
2
2066-07-20
Variable
6.26292000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20240304 000004334 USD
N/A
1.00000000
NC
N/A
305314.48000000
0.158732448477
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-706108064.00000000
JPY
5015370.60000000
USD
2024-03-04
305314.48000000
N
N
N
UMBS P#MA5109 6.5% 08/01/53
N/A
FANNIE MAE POOL UMBS P#MA5109 6.50000000
31418EVB3
2838686.52000000
NS
USD
2890293.42000000
1.502658345502
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
TWD/USD FWD 20240306 000011091 USD
N/A
1.00000000
NC
N/A
-3005.33000000
-0.00156246565
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-148100.00000000
USD
4588138.00000000
TWD
2024-03-06
-3005.33000000
N
N
N
CHINA GOVER 2.8% 11/15/32/CNY/
N/A
CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.80000000
Y6S39BY53
13700000.00000000
NS
1962519.87000000
1.020310547179
Long
DBT
USGA
CN
N
2
2032-11-15
Fixed
2.80000000
N
N
N
N
N
N
N/A
N/A
IRS P03.75RSOFR 06/20/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-25817.00000000
-0.01342221182
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-06-20
-4400000.00000000
USD
4434457.94000000
USD
4400000.00000000
USD
-60274.94000000
N
N
N
NORDEA KREDIT 2% 10/01/47/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 2.00000000
K7S724CD7
0.25000000
NS
0.03000000
0.000000015596
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.00000000
N
N
N
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 4.00002900
07384MN57
1470.85000000
NS
USD
1243.73000000
0.000646612987
Long
ABS-CBDO
CORP
US
N
2
2034-05-25
Variable
4.00002900
N
N
N
N
N
N
JAPAN (20 Y 1.5% 09/20/43/JPY/
N/A
JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 186 1.50000000
J2S39LQ49
170000000.00000000
NS
1147419.66000000
0.596541415470
Long
DBT
USGA
JP
N
2
2043-09-20
Fixed
1.50000000
N
N
N
N
N
N
EHMU 2007-1 V/R 06/15/44 /GBP/
N/A
EUROHOME UK MORTGAGES 2007 -1 PLC SER 2007-1 CL A V/R REGD REG S /GBP/ 5.49010000
G3224PAB7
63411.25000000
NS
78867.30000000
0.041002967280
Long
ABS-CBDO
CORP
GB
N
2
2044-06-15
Variable
5.49010000
N
N
N
N
N
N
NEXI SPA 2.125% 04/30/29/EUR/
5493000P70CQRQG8SN85
NEXI SPA /EUR/ REGD REG S 2.12500000
T6S18JAD6
100000.00000000
NS
95826.43000000
0.049819988435
Long
DBT
CORP
IT
N
2
2029-04-30
Fixed
2.12500000
N
N
N
N
N
N
US TIPS 0.125% 04/15/25
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912828ZJ2
1306305.00000000
NS
USD
1273873.73000000
0.662284658801
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP04.22 08/30/25 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
6711.32000000
0.003489203185
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2025-08-30
-2801403.53000000
USD
2800000.00000000
USD
2800000.00000000
USD
8114.85000000
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 5.85541000
86360JAA9
17226.36000000
NS
USD
11416.01000000
0.005935163046
Long
ABS-CBDO
CORP
US
N
2
2036-05-25
Variable
5.85541000
N
N
N
N
N
N
N/A
N/A
IRS RKL3MP03.50 03/20/29 GST LONG
N/A
1.00000000
NC
40099.65000000
0.020847735841
N/A
DIR
MY
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2029-03-20
-5171102.66000000
MYR
5202505.18000000
MYR
5015277.63144031
MYR
8697.13000000
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 5.56169800
07384MN32
7506.14000000
NS
USD
6931.28000000
0.003603559993
Long
ABS-CBDO
CORP
US
N
2
2034-05-25
Variable
5.56169800
N
N
N
N
N
N
F/C US 2YR NOTE (CBT) JUN24
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) JUN24 0.00000000
N/A
-13.00000000
NC
USD
-2661750.00000000
-1.38383903290
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US 2YR NOTE (CBT) JUN24
US 2YR NOTE (CBT) JUN24
2024-06-28
2661916.16000000
USD
166.16000000
N
N
N
KBC GROUP NV V/R 01/19/29
213800X3Q9LSAKRUWY91
KBC GROUP NV REGD V/R 144A P/P 5.79600000
48241FAB0
200000.00000000
NS
USD
201198.11000000
0.104602535160
Long
DBT
CORP
BE
Y
2
2029-01-19
Variable
5.79600000
N
N
N
N
N
N
N/A
N/A
SEK/USD FWD 20240402 000003534 USD
N/A
1.00000000
NC
N/A
1870.56000000
0.000972500776
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-14265753.21000000
SEK
1379799.35000000
USD
2024-04-02
1870.56000000
N
N
N
N/A
N/A
IRS R01.00PER6M 05/13/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-44943.34000000
-0.02336596155
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-05-13
-526399.98000000
EUR
526399.98000000
EUR
540399.98396525
EUR
-34544.57000000
N
N
N
N/A
N/A
TWD/USD FWD 20240305 000000902 USD
N/A
1.00000000
NC
N/A
-5941.10000000
-0.00308876719
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-300490.00000000
USD
9315210.00000000
TWD
2024-03-05
-5941.10000000
N
N
N
PRPM 2023-NQM3 A V/R 11/25/68
N/A
PRPM 2023-NQM3 TRUST SER 2023-NQM3 CL A1 V/R REGD 144A P/P 6.22100000
69380TAA9
491585.63000000
NS
USD
493129.45000000
0.256377113246
Long
ABS-CBDO
CORP
US
Y
2
2068-11-25
Variable
6.22100000
N
N
N
N
N
N
CASH COLLATE 0.08% 12/31/2060
N/A
CASH COLLATERAL ISDA MBC USD REGD 0.08000000
N/A
-600000.00000000
NS
USD
-600000.00000000
-0.31193891978
Short
STIV
CORP
US
N
2
2060-12-31
Fixed
0.08000000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000004608 USD
N/A
1.00000000
NC
N/A
-1475.83000000
-0.00076728135
N/A
DFE
N/A
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
-694712.40000000
USD
4988000.00000000
CNY
2024-03-26
-1475.83000000
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 5.88202500
92922FBX5
40900.08000000
NS
USD
36703.71000000
0.019082192749
Long
ABS-CBDO
CORP
US
N
2
2033-09-25
Variable
5.88202500
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
813460.61000000
0.422916706620
Long
DBT
USGA
JP
N
2
2046-09-20
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240620 000000902 USD
N/A
1.00000000
NC
N/A
980.80000000
0.000509916154
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-453218.00000000
USD
7157809691.00000000
IDR
2024-06-20
980.80000000
N
N
N
NORDEA KREDIT 2% 10/01/50/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD REG S SER CC2 2.00000000
K7S724EP8
0.60000000
NS
0.08000000
0.000000041591
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 5.78541000
02150GAN8
33090.88000000
NS
USD
10924.97000000
0.005679872234
Long
ABS-CBDO
CORP
US
N
2
2037-05-25
Variable
5.78541000
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
79204.55000000
NS
USD
63641.69000000
0.033087200053
Long
ABS-CBDO
CORP
US
Y
2
2056-07-25
Variable
2.50000000
N
N
N
N
N
N
WINDR 2019-3A AR V/R 07/15/31
N/A
THL CREDIT WIND RIVER 2019-3 CLO LTD SER 2019-3A CL AR V/R REGD 144A P/P 6.65560000
97314JAA3
400000.00000000
NS
USD
400221.60000000
0.208074489298
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-15
Variable
6.65560000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20241001 000004334 USD
N/A
1.00000000
NC
N/A
136750.46000000
0.071096317954
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-60000000.00000000
JPY
550039.96000000
USD
2024-10-01
136750.46000000
N
N
N
UMBS P#BU8670 4.5% 05/01/52
N/A
FANNIE MAE POOL UMBS P#BU8670 4.50000000
3140MAT46
548478.59000000
NS
USD
518984.32000000
0.269819013611
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20260105 000011091 USD
N/A
1.00000000
NC
N/A
7143.64000000
0.003713965574
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-50000000.00000000
JPY
371443.43000000
USD
2026-01-05
7143.64000000
N
N
N
N/A
N/A
IRS R02.84PSOFR 10/31/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-4863.09000000
-0.00252831173
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-10-31
-200000.00000000
USD
200000.00000000
USD
200000.00000000
USD
-4863.09000000
N
N
N
N/A
N/A
DKK/USD FWD 20240304 000006038 USD
N/A
1.00000000
NC
N/A
-930.56000000
-0.00048379646
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-1012695.00000000
USD
6977481.72000000
DKK
2024-03-04
-930.56000000
N
N
N
BONOS Y OBL 1.9% 10/31/52/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.90000000
E8922AMF4
500000.00000000
NS
361300.51000000
0.187839484679
Long
DBT
USGA
ES
Y
2
2052-10-31
Fixed
1.90000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20240320 000004066 USD
N/A
1.00000000
NC
N/A
-2585.79000000
-0.00134434756
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2535576.28000000
MXN
145756.82000000
USD
2024-03-20
-2585.79000000
N
N
N
N/A
N/A
GBP/USD FWD 20240304 000011091 USD
N/A
1.00000000
NC
N/A
-539.27000000
-0.00028036550
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-703696.03000000
USD
557000.00000000
GBP
2024-03-04
-539.27000000
N
N
N
N/A
N/A
IRS R03.94PSOFR 02/22/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-2776.35000000
-0.00144341936
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-02-22
-900000.00000000
USD
900000.00000000
USD
900000.00000000
USD
-2776.35000000
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 5.93101000
41162BAA1
45559.17000000
NS
USD
38080.72000000
0.019798097769
Long
ABS-CBDO
CORP
US
N
2
2036-12-19
Variable
5.93101000
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
188104.17000000
NS
21735.62000000
0.011300309706
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
OMW 2020-1MW A 2.13% 09/10/27
N/A
MANHATTAN WEST 2020-1MW MORTGAGE TRUST SER 2020-1MW CL A REGD 144A P/P 2.13000000
563136AA8
300000.00000000
NS
USD
265898.46000000
0.138240130642
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 7.43541000
12671CAA4
7017.91000000
NS
USD
7018.99000000
0.003649160264
Long
ABS-CBDO
CORP
US
Y
2
2047-08-25
Variable
7.43541000
N
N
N
N
N
N
F/C 3 MONTH SOFR FUT JUN24
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT JUN24 0.00000000
N/A
-12.00000000
NC
USD
-2846700.00000000
-1.47999420492
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C 3 MONTH SOFR FUT JUN24
3 MONTH SOFR FUT JUN24
2024-09-17
2862437.50000000
USD
15737.50000000
N
N
N
UMBS P#QF8822 6.5% 03/01/53
N/A
FREDDIE MAC POOL UMBS P#QF8822 6.50000000
3133BWYT4
805435.71000000
NS
USD
820176.01000000
0.426408030990
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
6.50000000
N
N
N
N
N
N
GALXY 2013-15A A V/R 10/15/30
N/A
GALAXY XV CLO LTD SER 2013-15A CL ARR V/R REGD 144A P/P 6.54560000
36318WAK6
306525.34000000
NS
USD
306670.63000000
0.159437508420
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Variable
6.54560000
N
N
N
N
N
N
GSMBS 2022-PJ4 A V/R 04/25/43
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 202 SER 2022-PJ4 CL A4 V/R REGD 144A P/P 2.50000000
36264RAE5
797429.11000000
NS
USD
640742.66000000
0.333120955369
Long
ABS-CBDO
CORP
US
Y
2
2052-09-25
Variable
2.50000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20260105 000004334 USD
N/A
1.00000000
NC
N/A
641.47000000
0.000333499098
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-60000000.00000000
JPY
437801.22000000
USD
2026-01-05
641.47000000
N
N
N
N/A
N/A
DKK/USD FWD 20240402 000004334 USD
N/A
1.00000000
NC
N/A
834.46000000
0.000433834251
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-3500000.00000000
DKK
509136.85000000
USD
2024-04-02
834.46000000
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/ 6.05403000
N/A
106767.94000000
NS
134946.26000000
0.070158317622
Long
ABS-CBDO
CORP
GB
Y
2
2059-07-15
Variable
6.05403000
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/ 5.88800000
N/A
786541.00000000
NS
992607.13000000
0.516054659841
Long
ABS-CBDO
CORP
GB
Y
2
2056-08-28
Variable
5.88800000
N
N
N
N
N
N
ORO FWD USD 1Y C 2.79000 L 04/08/24 DUB
N/A
ORO FWD USD 1Y C 2.79000 L 04/08/24 DUB 0.00000000
N/A
-600000.00000000
NC
USD
-3.30000000
-0.00000171566
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Purchased
ORO FWD USD 1Y C 2.79000 L 04/08/24 DUB
0
-600000.00000000
USD
2.79000000
USD
2024-04-08
XXXX
-3.30000000
N
N
N
N/A
N/A
IRS R03.08PSOFR 11/07/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-2178.51000000
-0.00113260342
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-11-07
-100000.00000000
USD
100000.00000000
USD
100000.00000000
USD
-2178.51000000
N
N
N
N/A
N/A
MYR/USD FWD 20240320 000011091 USD
N/A
1.00000000
NC
N/A
-131.22000000
-0.00006822104
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-84440.00000000
USD
399647.66000000
MYR
2024-03-20
-131.22000000
N
N
N
US TIPS 0.125% 01/15/32
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CDX6
1327896.00000000
NS
USD
1156185.26000000
0.601098635129
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
US TREAS BDS 4.75% 11/15/53
N/A
UNITED STATES TREASURY BOND 4.75000000
912810TV0
1500000.00000000
NS
USD
1593670.05000000
0.828546189822
Long
DBT
UST
US
N
2
2053-11-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.60 01/17/34 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
4784.52000000
0.002487463334
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2034-01-17
-200000.00000000
USD
200000.00000000
USD
200000.00000000
USD
4784.52000000
N
N
N
ITALY GOV'T I 6% 08/04/28/GBP/
N/A
ITALY GOV'T INT BOND /GBP/ REGD EMTN 6.00000000
T6R88QAL8
400000.00000000
NS
517601.85000000
0.269100269947
Long
DBT
USGA
IT
N
2
2028-08-04
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.25 12/20/53 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
175903.48000000
0.091451902563
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2053-12-20
-2102257.69000000
USD
2400000.00000000
USD
2400000.00000000
USD
-121838.83000000
N
N
N
N/A
N/A
IRS R03.34PSOFR 02/23/30 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-29344.99000000
-0.01525640746
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-02-23
-580000.00000000
USD
580000.00000000
USD
580000.00000000
USD
-18778.04000000
N
N
N
SANTANDER UK GROU V/R 01/10/29
N/A
SANTANDER UK GROUP HLDGS REGD V/R 6.53400000
80281LAT2
500000.00000000
NS
USD
512682.26000000
0.266542583963
Long
DBT
CORP
GB
N
2
2029-01-10
Variable
6.53400000
N
N
N
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 6.78427000
07335YAA4
399999.65000000
NS
USD
398343.89000000
0.207098271250
Long
ABS-CBDO
CORP
KY
Y
2
2036-12-16
Variable
6.78427000
N
N
N
N
N
N
N/A
N/A
IRS R02.10PER3M 04/11/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-24519.95000000
-0.01274787786
N/A
DIR
N/A
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-04-11
-1528519.95000000
EUR
1528519.95000000
EUR
1513119.95510270
EUR
16764.88000000
N
N
N
MFRA 2023-NQM4 A V/R 12/25/27
N/A
MFA 2023-NQM4 TRUST SER 2023-NQM4 CL A1 V/R REGD 144A P/P 6.10500000
55286LAA0
482348.70000000
NS
USD
484037.02000000
0.251649975259
Long
ABS-CBDO
CORP
US
Y
2
2068-12-25
Variable
6.10500000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20240304 000004334 USD
N/A
1.00000000
NC
N/A
572.26000000
0.000297516943
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-218000.00000000
AUD
142261.35000000
USD
2024-03-04
572.26000000
N
N
N
N/A
N/A
JPY/USD FWD 20240415 000011553 USD
N/A
1.00000000
NC
N/A
187853.47000000
0.097664680849
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-710000000.00000000
JPY
4956639.87000000
USD
2024-04-15
187853.47000000
N
N
N
BANK OF AMERICA C V/R 07/23/31
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 1.89800000
06051GJF7
700000.00000000
NS
USD
567983.54000000
0.295293619873
Long
DBT
CORP
US
N
2
2031-07-23
Variable
1.89800000
N
N
N
N
N
N
JYSKE REALKRE 1% 04/01/24/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 321E 1.00000000
K1R19DGD3
2400000.00000000
NS
347259.17000000
0.180539417293
Long
DBT
CORP
DK
N
2
2024-04-01
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20250401 000009049 USD
N/A
1.00000000
NC
N/A
-2557.49000000
-0.00132963444
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-4100000.00000000
DKK
604776.59000000
USD
2025-04-01
-2557.49000000
N
N
N
NYKREDIT REAL 1% 10/01/53/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 1.00000000
K741812Z8
2.65000000
NS
0.28000000
0.000000145571
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.00000000
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 5.67568200
92922FLD8
103695.76000000
NS
USD
100626.17000000
0.052315364620
Long
ABS-CBDO
CORP
US
N
2
2034-03-25
Variable
5.67568200
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
125236.64000000
0.065110303665
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
0.58000000
NS
0.08000000
0.000000041591
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
2.50000000
N
N
N
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 REG S /GBP/ 5.49409000
G7521KAD5
148394.64000000
NS
182691.83000000
0.094981153506
Long
ABS-CBDO
CORP
GB
N
2
2043-12-15
Variable
5.49409000
N
N
N
N
N
N
UBS GROUP AG V/R 03/01/29/EUR/
549300SZJ9VS8SGXAN81
UBS GROUP AG /EUR/ REGD V/R REG S 7.75000000
H3698DDX9
250000.00000000
NS
306623.22000000
0.159412860047
Long
DBT
CORP
CH
N
2
2029-03-01
Variable
7.75000000
N
N
N
N
N
N
ARCLO 2022-FL1 A V/R 12/15/26
N/A
ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 20 SER 2022-FL1 CL A V/R REGD 144A P/P 6.77471000
03880XAA4
400000.00000000
NS
USD
398961.60000000
0.207419417567
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-15
Variable
6.77471000
N
N
N
N
N
N
FHR 2614 SJ V/R 05/15/33
N/A
FREDDIE MAC REMICS SER 2614 CL SJ V/R 4.70472800
31393QNV0
18943.97000000
NS
USD
19638.97000000
0.010210265145
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Variable
4.70472800
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 5.71613000
313398VT3
10352.33000000
NS
USD
10451.32000000
0.005433622451
Long
ABS-CBDO
CORP
US
N
2
2031-09-25
Variable
5.71613000
N
N
N
N
N
N
SINGAPORE 2.25% 08/01/36/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 2.25000000
Y6132HMX8
1270000.00000000
NS
862680.69000000
0.448506137598
Long
DBT
USGA
SG
N
2
2036-08-01
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
BRL/USD FWD 20240402 000003534 USD
N/A
1.00000000
NC
N/A
540.74000000
0.000281129752
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-1048533.93000000
BRL
210818.22000000
USD
2024-04-02
540.74000000
N
N
N
UMBS P#RB5012 3.5% 10/01/39
N/A
FREDDIE MAC POOL UMBS P#RB5012 3.50000000
3133KYR92
28693.27000000
NS
USD
26649.85000000
0.013855209035
Long
ABS-MBS
USGA
US
N
2
2039-10-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS R02.97PSOFR 10/27/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-6939.84000000
-0.00360801032
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-10-27
-300000.00000000
USD
300000.00000000
USD
300000.00000000
USD
-6939.84000000
N
N
N
N/A
N/A
DKK/USD FWD 20240402 000004066 USD
N/A
1.00000000
NC
N/A
17663.74000000
0.009183346624
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-4525487.94000000
DKK
674896.98000000
USD
2024-04-02
17663.74000000
N
N
N
N/A
N/A
IDR/USD FWD 20240301 000000902 USD
N/A
1.00000000
NC
N/A
-555.06000000
-0.00028857469
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-555.06000000
USD
0.00000000
N/A
2024-03-01
-555.06000000
N
N
N
JYSKE REALKRE 1% 10/01/50/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER CCE. 1.00000000
K5S69JAN3
2077594.66000000
NS
220672.98000000
0.114727485012
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240620 000011553 USD
N/A
1.00000000
NC
N/A
492.63000000
0.000256117450
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-48613.04000000
USD
773866122.00000000
IDR
2024-06-20
492.63000000
N
N
N
F/C EURO-BOBL FUTURE MAR24
N/A
FUTURE CONTRACT ON EURO-BOBL FUTURE MAR24 /EUR/ 0.00000000
N/A
31.00000000
NC
3893927.72000000
2.024446011173
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-BOBL FUTURE MAR24
EURO-BOBL FUTURE MAR24 /EUR/
2024-03-07
3931626.03000000
EUR
-37698.30000000
N
N
N
N/A
N/A
JPY/USD FWD 20240304 000011091 USD
N/A
1.00000000
NC
N/A
-6959.76000000
-0.00361836669
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-276445.80000000
USD
40400000.00000000
JPY
2024-03-04
-6959.76000000
N
N
N
MP7 2015-1A AR3 V/R 10/18/28
N/A
ACAS CLO 2015-1 LTD SER 2015-1A CL AR3 V/R REGD 144A P/P 6.44952000
55320RAQ0
201800.09000000
NS
USD
201797.47000000
0.104914141345
Long
ABS-CBDO
CORP
KY
Y
2
2028-10-18
Variable
6.44952000
N
N
N
N
N
N
F/C US 10YR ULTRA FUT JUN24
N/A
FUTURE CONTRACT ON US 10YR ULTRA FUT JUN24 0.00000000
N/A
-36.00000000
NC
USD
-4110187.50000000
-2.13687908145
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US 10YR ULTRA FUT JUN24
US 10YR ULTRA FUT JUN24
2024-06-18
4105041.56000000
USD
-5145.94000000
N
N
N
DANSKE BANK A/S V/R 03/01/30
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD V/R 144A P/P 0.00000000
23636ABH3
500000.00000000
NS
USD
501039.04000000
0.260489294847
Long
DBT
CORP
DK
Y
2
2030-03-01
Variable
0.00000000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20240304 000004066 USD
N/A
1.00000000
NC
N/A
-3409.01000000
-0.00177233816
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-488985.40000000
USD
659000.00000000
CAD
2024-03-04
-3409.01000000
N
N
N
FNR 2003-34 A1 6% 04/25/43
N/A
FANNIE MAE REMICS SER 2003-34 CL A1 6.00000000
31393CEY5
3725.90000000
NS
USD
3720.84000000
0.001934458017
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
1578.86000000
NS
USD
1580.58000000
0.000821740696
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA 30YR TBA 5% MAY 12
N/A
FNMA 30YR TBA 5% MAY 12 TO BE ANNOUNCED 5.00000000
01F050650
9300000.00000000
NS
USD
9019371.94000000
4.689155233529
Long
ABS-MBS
USGA
US
N
2
2042-05-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240320 000011091 USD
N/A
1.00000000
NC
N/A
-2536.39000000
-0.00131866459
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-108316.00000000
USD
1663083864.00000000
IDR
2024-03-20
-2536.39000000
N
N
N
N/A
N/A
IRS RSO/NP03.00 06/17/35 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
73291.45000000
0.038104092904
N/A
DIR
GB
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2035-06-17
-1374981.59000000
GBP
1393424.90000000
GBP
1388639.96816126
GBP
54848.14000000
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 4.78469600
466247AZ6
1934.72000000
NS
USD
1786.97000000
0.000929042485
Long
ABS-CBDO
CORP
US
N
2
2033-11-25
Variable
4.78469600
N
N
N
N
N
N
N/A
N/A
IRS P00.45RMUTK 12/15/51 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-292214.22000000
-0.15192164688
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2051-12-15
-1429024.11000000
JPY
1210071.88000000
JPY
1267384.85141580
JPY
-81287.73000000
N
N
N
UBS GROUP AG V/R 11/15/29/GBP/
549300SZJ9VS8SGXAN81
UBS GROUP AG /GBP/ REGD V/R REG S 2.12500000
H3698DDJ0
300000.00000000
NS
330411.60000000
0.171780395981
Long
DBT
CORP
CH
N
2
2029-11-15
Variable
2.12500000
N
N
N
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 6.52748000
62955HAA5
400000.00000000
NS
USD
383878.00000000
0.199577481083
Long
ABS-CBDO
CORP
US
Y
2
2038-11-15
Variable
6.52748000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP01.29 08/25/24 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
92569.03000000
0.048126472039
N/A
DIR
US
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2024-08-25
-1430010.99000000
USD
1400000.00000000
USD
1400000.00000000
USD
59821.92000000
N
N
N
ORO USD 1Y P 4.75000 L 07/15/24 BOA
N/A
ORO USD 1Y P 4.75000 L 07/15/24 BOA 0.00000000
N/A
3500000.00000000
NC
USD
7243.95000000
0.003766116563
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
Put
Written
ORO USD 1Y P 4.75000 L 07/15/24 BOA
0
3500000.00000000
USD
4.75000000
USD
2024-07-15
XXXX
7243.95000000
N
N
N
N/A
N/A
BRL/USD FWD 20240402 000000902 USD
N/A
1.00000000
NC
N/A
-14613.85000000
-0.00759771430
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-658095.89000000
USD
3208678.13000000
BRL
2024-04-02
-14613.85000000
N
N
N
N/A
N/A
CCS JPY P USSOFR/JPYMUTKCALM -59 BRC /SHORT/
N/A
1.00000000
NC
N/A
-1172307.55000000
-0.60948058467
N/A
DFE
N/A
N
2
BARCLAYS
N/A
175800000.00000000
JPY
0.00000000
N/A
2025-02-03
17660.97000000
N
N
N
NORDEA KREDIT 1% 04/01/24/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CB5 1.00000000
K7S724FZ5
5900000.00000000
NS
853666.18000000
0.443819510079
Long
DBT
CORP
DK
N
2
2024-04-01
Fixed
1.00000000
N
N
N
N
N
N
US TIPS 0.125% 07/15/31
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
91282CCM1
1030041.00000000
NS
USD
908467.25000000
0.472310487710
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
US T BILL ZCP 05/21/24
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912797JX6
300000.00000000
PA
USD
296504.85000000
0.154152337700
Long
STIV
UST
US
N
2
2024-05-21
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
NZD/USD FWD 20240304 000004066 USD
N/A
1.00000000
NC
N/A
552.61000000
0.000287300944
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-64000.00000000
NZD
39515.80000000
USD
2024-03-04
552.61000000
N
N
N
REPUBLIC OF PO 4.875% 10/04/33
N/A
REPUBLIC OF POLAND REGD 4.87500000
731011AV4
100000.00000000
NS
USD
98075.10000000
0.050989067919
Long
DBT
USGA
PL
N
2
2033-10-04
Fixed
4.87500000
N
N
N
N
N
N
BONOS Y OB 1.45% 10/31/27/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000
E8922AEY2
400000.00000000
NS
410230.60000000
0.213278150379
Long
DBT
USGA
ES
N
2
2027-10-31
Fixed
1.45000000
N
N
N
N
N
N
HUNGARY 6.25% 09/22/32
N/A
HUNGARY REGD 144A P/P 6.25000000
445545AS5
200000.00000000
NS
USD
206640.40000000
0.107431971933
Long
DBT
USGA
HU
Y
2
2032-09-22
Fixed
6.25000000
N
N
N
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
96781.45000000
0.050316501613
Long
DBT
CORP
US
Y
2
2025-01-10
Fixed
1.37500000
N
N
N
N
N
N
CASH COLLATERAL ISDA JPM USD
N/A
CASH COLLATERAL ISDA JPM USD 0.00000000
N/A
-390000.00000000
NS
USD
-390000.00000000
-0.20276029786
Short
STIV
CORP
US
N
2
2049-12-31
Variable
0.00000000
N
N
N
N
N
N
N/A
N/A
CDS US50064FAM68 01.000 BP 12/20/2028 BNPAFRPPXXX LONG
N/A
1.00000000
NC
USD
-13280.73000000
-0.00690462761
N/A
DCR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
REPUBLIC OF KOR 2.75% 01/19/27
REPUBLIC OF KOR 2.75% 01/19/27 2.75000000
Y
2028-12-20
-400000.00000000
USD
388550.11000000
USD
400000.00000000
USD
-997.51000000
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 5.87541000
86364MAC4
94204.08000000
NS
USD
80224.94000000
0.041708801872
Long
ABS-CBDO
CORP
US
N
2
2047-09-25
Variable
5.87541000
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
98000000.00000000
NS
533390.57000000
0.277308797050
Long
DBT
USGA
JP
N
2
2048-12-20
Fixed
0.70000000
N
N
N
N
N
N
PHILIP MORRIS I 5.25% 02/13/34
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD 5.25000000
718172DJ5
200000.00000000
NS
USD
195632.76000000
0.101709119715
Long
DBT
CORP
US
N
2
2034-02-13
Fixed
5.25000000
N
N
N
N
N
N
F/C EURO-SCHATZ FUT MAR24
N/A
FUTURE CONTRACT ON EURO-SCHATZ FUT MAR24 /EUR/ 0.00000000
N/A
74.00000000
NC
8409812.59000000
4.372246424887
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-SCHATZ FUT MAR24
EURO-SCHATZ FUT MAR24 /EUR/
2024-03-07
8467397.61000000
EUR
-57585.02000000
N
N
N
N/A
N/A
IRS RSOFRP04.00 03/20/54 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
-53384.64000000
-0.02775457822
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2054-03-20
-892817.48000000
USD
800000.00000000
USD
800000.00000000
USD
39432.84000000
N
N
N
N/A
N/A
EUR/USD FWD 20240304 000004066 USD
N/A
1.00000000
NC
N/A
-7758.97000000
-0.00403387453
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2502000.00000000
EUR
2696401.35000000
USD
2024-03-04
-7758.97000000
N
N
N
NORDEA KREDIT 1% 10/01/50/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.00000000
K7S724GR2
9098713.70000000
NS
967709.92000000
0.503110645186
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 6.44118000
50184KBL1
2871.71000000
NS
USD
2872.92000000
0.001493625935
Long
ABS-CBDO
CORP
KY
Y
2
2027-07-19
Variable
6.44118000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000001394 USD
N/A
1.00000000
NC
N/A
-2214.24000000
-0.00115117938
N/A
DFE
N/A
N
2
HSBC BANK PLC
N/A
-19066000.00000000
CNY
2647594.97000000
USD
2024-03-26
-2214.24000000
N
N
N
N/A
N/A
IRS RSOFRP04.25 12/20/25 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
240642.21000000
0.125109451737
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-12-20
-27565433.15000000
USD
27709000.00000000
USD
27709000.00000000
USD
97075.36000000
N
N
N
REPUBLIC 3.875% 02/14/33/EUR/
N/A
REPUBLIC OF POLAND /EUR/ REGD REG S EMTN 3.87500000
X7327PAT6
200000.00000000
NS
221855.27000000
0.115342155454
Long
DBT
USGA
PL
N
2
2033-02-14
Fixed
3.87500000
N
N
N
N
N
N
ELAT 2007-2 A1 V/R 05/25/37
N/A
ELLINGTON LOAN ACQUISITION TRUST 2007-2 SER 2007-2 CL A1 V/R REGD 144A P/P 6.48541000
288547AA0
333102.84000000
NS
USD
324842.89000000
0.168885233678
Long
ABS-CBDO
CORP
US
Y
2
2037-05-25
Variable
6.48541000
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
344336.45000000
0.179019900426
Long
DBT
CORP
US
N
2
2025-11-26
Variable
3.96100000
N
N
N
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
16796.04000000
NS
USD
7960.71000000
0.004138758796
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
187062.05000000
0.097253223016
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
91127.43000000
0.047376986795
Long
DBT
USGA
RS
Y
2
2028-09-23
Fixed
1.00000000
N
N
N
N
N
N
OBX 2024-HYB1 A1 V/R 03/25/53
N/A
OBX 2024-HYB1 TRUST SER 2024-HYB1 CL A1 V/R REGD 144A P/P 3.52046000
67448MAA8
1100000.00000000
NS
USD
1046255.65000000
0.543946428802
Long
ABS-CBDO
CORP
US
Y
2
2053-03-25
Variable
3.52046000
N
N
N
N
N
N
N/A
N/A
IRS R04.00PBW6M 06/21/33 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-129826.29000000
-0.06749645443
N/A
DIR
AU
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2033-06-21
-4193044.88000000
AUD
4053209.72000000
AUD
4029690.00199268
AUD
23321.70000000
N
N
N
N/A
N/A
IRS RSOFRP01.75 06/15/24 BARC FLOAT
N/A
1.00000000
NC
USD
417582.16000000
0.217100213187
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-06-15
-7632292.17000000
USD
8000000.00000000
USD
8000000.00000000
USD
-81069.43000000
N
N
N
N/A
N/A
IRS PKWDCR03.25 03/20/29 BARC FLOAT
N/A
1.00000000
NC
6020.77000000
0.003130187483
N/A
DIR
KR
N
2
STANDARD CHARTER BANK
RILFO74KP1CM8P6PCT96
N/A
N/A
Y
2029-03-20
-1595205.34000000
KRW
1600409.71000000
KRW
1594356.88314217
KRW
816.40000000
N
N
N
N/A
N/A
BRL/USD FWD 20240304 000003534 USD
N/A
1.00000000
NC
N/A
887.79000000
0.000461560422
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-48706.27000000
USD
246527.11000000
BRL
2024-03-04
887.79000000
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
0.54000000
NS
0.07000000
0.000000036392
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240320 000006038 USD
N/A
1.00000000
NC
N/A
-2.67000000
-0.00000138812
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-784766376.00000000
IDR
49912.00000000
USD
2024-03-20
-2.67000000
N
N
N
N/A
N/A
IRS R03.00PSO/N 06/17/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-97164.63000000
-0.05051571620
N/A
DIR
GB
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-06-17
-6460424.50000000
GBP
6448539.07000000
GBP
6438239.85238404
GBP
-85279.20000000
N
N
N
N/A
N/A
CDX 2I65BYEC5 01.000 SP 06/20/2028 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
9191.54000000
0.004778665097
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.IG.40
2I65BYEC5
Y
2028-06-20
-300000.00000000
USD
301420.00000000
USD
300000.00000000
USD
5488.22000000
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 6.38248000
68249DAA7
300000.00000000
NS
USD
292085.37000000
0.151854658005
Long
ABS-CBDO
CORP
US
Y
2
2036-01-15
Variable
6.38248000
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
-76303.20000000
-0.03966989630
N/A
DIR
CORP
US
N
2
BNP PARIBAS
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
-76303.20000000
N
N
N
BARCLAYS PLC V/R 09/13/27
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R 6.49600000
06738ECJ2
800000.00000000
NS
USD
814426.35000000
0.423418793107
Long
DBT
CORP
GB
N
2
2027-09-13
Variable
6.49600000
N
N
N
N
N
N
US TIPS 1.125% 01/15/33
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.12500000
91282CGK1
1441692.00000000
NS
USD
1348911.65000000
0.701296738314
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
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
68595.78000000
0.035662822525
Long
DBT
CORP
LU
N
2
2031-01-27
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
INR/USD FWD 20240320 000001394 USD
N/A
1.00000000
NC
N/A
85.79000000
0.000044602066
N/A
DFE
N/A
N
2
HSBC BANK PLC
N/A
-18586.00000000
USD
1548585.52000000
INR
2024-03-20
85.79000000
N
N
N
N/A
N/A
IRS R01.90PCAON 12/18/29 BARC FIXED
N/A
1.00000000
NC
-51161.44000000
-0.02659874054
N/A
DIR
CA
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2029-12-18
-591060.21000000
CAD
538127.95000000
CAD
589470.58173378
CAD
1832.36000000
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
210000000.00000000
NS
1457264.71000000
0.757629299134
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/ 4.56600000
N/A
198473.98000000
NS
213499.51000000
0.110998010873
Long
ABS-CBDO
CORP
IE
Y
2
2030-06-26
Variable
4.56600000
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 6.02101000
93935AAC6
15101.43000000
NS
USD
9094.35000000
0.004728136191
Long
ABS-CBDO
CORP
US
N
2
2046-07-25
Variable
6.02101000
N
N
N
N
N
N
N/A
N/A
CCS USD P SF+26.161/AUD3MBBSW+42.25 GLM /SHORT/
N/A
1.00000000
NC
N/A
-1466139.79000000
-0.76224343724
N/A
DFE
N/A
N
2
GOLDMAN SACHS
N/A
1449000.00000000
USD
0.00000000
N/A
2024-08-01
-17139.79000000
N
N
N
N/A
N/A
CCS JPY P USSOFR/JPYMUTKCALM-60.5 BPS /SHORT/
N/A
1.00000000
NC
N/A
-1524878.97000000
-0.79278183117
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
228700000.00000000
JPY
0.00000000
N/A
2025-03-19
39470.02000000
N
N
N
N/A
N/A
IRS RSOFRP03.69 05/31/28 BARC FLOAT
N/A
1.00000000
NC
USD
34251.36000000
0.017807220399
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2028-05-31
-2400000.00000000
USD
2400000.00000000
USD
2400000.00000000
USD
34251.36000000
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
1253846.24000000
0.651872402806
Long
DBT
USGA
JP
N
2
2035-09-20
Fixed
1.20000000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20240402 000011553 USD
N/A
1.00000000
NC
N/A
24165.70000000
0.012563703923
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-5805733.36000000
DKK
867328.03000000
USD
2024-04-02
24165.70000000
N
N
N
N/A
N/A
IRS R01.20PMUTK 09/20/53 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-4216.28000000
-0.00219203638
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2053-09-20
-71574.28000000
JPY
74094.52000000
JPY
66704.46586399
JPY
-6736.52000000
N
N
N
BANCA MON 2.625% 04/28/25/EUR/
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S /EUR/ REGD REG S EMTN 2.62500000
T1188BJD9
100000.00000000
NS
105604.96000000
0.054903828577
Long
DBT
CORP
IT
N
2
2025-04-28
Fixed
2.62500000
N
N
N
N
N
N
F/C US LONG BOND(CBT) JUN24
N/A
FUTURE CONTRACT ON US LONG BOND(CBT) JUN24 0.00000000
N/A
-51.00000000
NC
USD
-6081750.00000000
-3.16189087568
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US LONG BOND(CBT) JUN24
US LONG BOND(CBT) JUN24
2024-06-18
6003257.81000000
USD
-78492.19000000
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
1420484.00000000
0.738507074223
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20240304 000009049 USD
N/A
1.00000000
NC
N/A
21761.76000000
0.011313899845
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-20954764.00000000
EUR
22669659.98000000
USD
2024-03-04
21761.76000000
N
N
N
N/A
N/A
IRS R00.55PER6M 08/10/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-10329.33000000
-0.00537020007
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-08-10
-203379.99000000
EUR
203379.99000000
EUR
216159.99358610
EUR
-3018.53000000
N
N
N
N/A
N/A
JPY/USD FWD 20240301 000009049 USD
N/A
1.00000000
NC
N/A
241403.95000000
0.125505478992
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-160004000.00000000
JPY
1308702.09000000
USD
2024-03-01
241403.95000000
N
N
N
N/A
N/A
KRW/USD FWD 20240320 000004066 USD
N/A
1.00000000
NC
N/A
4477.98000000
0.002328093740
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1143194797.00000000
KRW
861367.53000000
USD
2024-03-20
4477.98000000
N
N
N
N/A
N/A
CAD/USD FWD 20240304 000004334 USD
N/A
1.00000000
NC
N/A
-32597.21000000
-0.01694723079
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-6099449.83000000
USD
8233629.03000000
CAD
2024-03-04
-32597.21000000
N
N
N
N/A
N/A
TWD/USD FWD 20240305 000011553 USD
N/A
1.00000000
NC
N/A
507.30000000
0.000263744356
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-9320524.00000000
TWD
295224.23000000
USD
2024-03-05
507.30000000
N
N
N
US TREAS NTS 2.875% 04/30/25
N/A
UNITED STATES TREASURY NOTE 2.87500000
9128284M9
600000.00000000
NS
USD
586031.25000000
0.304676591810
Long
DBT
UST
US
N
2
2025-04-30
Fixed
2.87500000
N
N
N
N
N
N
BARCLAYS PLC V/R 08/08/30/EUR/
213800LBQA1Y9L22JB70
BARCLAYS PLC /EUR/ REGD V/R REG S EMTN 4.91800000
G0809LJD2
400000.00000000
NS
446332.77000000
0.232047603565
Long
DBT
CORP
GB
N
2
2030-08-08
Variable
4.91800000
N
N
N
N
N
N
ORO USD 1Y P 5.25000 L 07/15/24 BOA
N/A
ORO USD 1Y P 5.25000 L 07/15/24 BOA 0.00000000
N/A
-3500000.00000000
NC
USD
-1825.25000000
-0.00094894418
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
Put
Purchased
ORO USD 1Y P 5.25000 L 07/15/24 BOA
0
-3500000.00000000
USD
5.25000000
USD
2024-07-15
XXXX
-1825.25000000
N
N
N
N/A
N/A
EUR/USD FWD 20240304 000006038 USD
N/A
1.00000000
NC
N/A
5848.35000000
0.003040546635
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-665000.00000000
EUR
724580.01000000
USD
2024-03-04
5848.35000000
N
N
N
N/A
N/A
TRS SOFRINDX/IBOXIG INDX 03/20/24 JPM /LONG/
N/A
1.00000000
NC
USD
-73285.08000000
-0.03810078115
N/A
DE
US
N
2
JP MORGAN
N/A
iBoxx US Dollar Liquid Investment Grade Index
GB00B4K4X773
Y
2024-03-20
-2000000.00000000
USD
2024935.90000000
USD
2000000.00000000
USD
-98220.98000000
N
N
N
UMBS P#BU4106 6.5% 07/01/53
N/A
FANNIE MAE POOL UMBS P#BU4106 6.50000000
3140M5R49
190238.23000000
NS
USD
195067.72000000
0.101415356436
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP01.00 12/15/26 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
139612.86000000
0.072584474561
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
91365.26000000
N
N
N
UMBS P#QF0819 4.5% 10/01/52
N/A
FREDDIE MAC POOL UMBS P#QF0819 4.50000000
3133BM4C6
239044.05000000
NS
USD
226335.89000000
0.117671621725
Long
ABS-MBS
USGA
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
IRS R03.47PSOFR 02/22/30 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-33928.54000000
-0.01763938686
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-02-22
-800000.00000000
USD
800000.00000000
USD
800000.00000000
USD
-20424.54000000
N
N
N
N/A
N/A
IRS R02.92PSOFR 10/17/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-14240.28000000
-0.00740349593
N/A
DIR
US
N
2
DEUTSCHE BANK
N/A
N/A
N/A
Y
2024-10-17
-600000.00000000
USD
600000.00000000
USD
600000.00000000
USD
-14240.28000000
N
N
N
US TREAS NTS SE 0.25% 1/15/25
N/A
UNITED STATES TREASURY NOTE 0.25000000
912828H45
1942620.00000000
NS
USD
1908724.82000000
0.992342597534
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
KRW/USD FWD 20240620 000000902 USD
N/A
1.00000000
NC
N/A
4938.73000000
0.002567636835
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-247638912.00000000
KRW
191496.00000000
USD
2024-06-20
4938.73000000
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 6.17541000
126697AA9
39469.14000000
NS
USD
37601.76000000
0.019549087327
Long
ABS-CBDO
CORP
US
N
2
2047-08-25
Variable
6.17541000
N
N
N
N
N
N
CIFC 2017-4A A1R V/R 10/24/30
N/A
CIFC FUNDING 2017-IV LTD SER 2017-4A CL A1R V/R REGD 144A P/P 6.53019000
12551JAL0
304697.40000000
NS
USD
304977.42000000
0.158557211590
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-24
Variable
6.53019000
N
N
N
N
N
N
CASH COLLATERAL BCY USD
N/A
CASH COLLATERAL BCY USD /CCBCYXUS0/ 5.23000000
N/A
1455000.00000000
NS
USD
1455000.00000000
0.756451880482
Long
STIV
CORP
US
N
2
2049-12-31
Floating
5.23000000
N
N
N
N
N
N
F/C 3 MONTH SOFR FUT DEC23
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT DEC23 0.00000000
N/A
3.00000000
NC
USD
709856.25000000
0.369052986381
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C 3 MONTH SOFR FUT DEC23
3 MONTH SOFR FUT DEC23
2024-03-19
723750.00000000
USD
-13893.75000000
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
280000000.00000000
NS
1829615.46000000
0.951213783695
Long
DBT
USGA
JP
N
2
2045-09-20
Fixed
1.40000000
N
N
N
N
N
N
GCAT 2023-NQM4 A V/R 05/25/67
N/A
GCAT 2023-NQM4 TRUST SER 2023-NQM4 CL A1 V/R REGD 144A P/P 4.25000000
36171FAA1
879519.24000000
NS
USD
815802.64000000
0.424134323801
Long
ABS-CBDO
CORP
US
Y
2
2067-05-25
Variable
4.25000000
N
N
N
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
144088.36000000
0.074911278953
Long
DBT
USGA
RO
Y
2
2042-04-13
Fixed
2.87500000
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
123239.65000000
0.064072072159
Long
DBT
CORP
DE
N
2
2024-12-16
Fixed
2.62500000
N
N
N
N
N
N
SINGAPORE 3.375% 09/01/33/SGD/
N/A
SINGAPORE GOVERNMENT /SGD/ REGD 3.37500000
V81778CZ9
30000.00000000
NS
22833.93000000
0.011871319097
Long
DBT
USGA
SG
N
2
2033-09-01
Fixed
3.37500000
N
N
N
N
N
N
N/A
N/A
IRS P03.50RER6M 03/20/26 BARCUS3BXXX FIXED
N/A
1.00000000
NC
87696.35000000
0.045593174480
N/A
DIR
N/A
N
2
BARCLAYS
AC28XWWI3WIBK2824319
N/A
N/A
Y
2026-03-20
-15115319.47000000
EUR
15128808.76000000
EUR
15347359.54461315
EUR
74207.06000000
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
360000000.00000000
NS
1853734.89000000
0.963753431928
Long
DBT
USGA
JP
N
2
2049-03-20
Fixed
0.50000000
N
N
N
N
N
N
F/C AUST 3YR BOND FUT MAR24
N/A
FUTURE CONTRACT ON AUST 3YR BOND FUT MAR24 /AUD/ 0.00000000
N/A
54.00000000
NC
3736963.27000000
1.942840476210
N/A
DIR
CORP
AU
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C AUST 3YR BOND FUT MAR24
AUST 3YR BOND FUT MAR24 /AUD/
2024-03-15
3711938.00000000
AUD
25025.27000000
N
N
N
ORO USD 1Y P 4.75000 L 07/10/24 DUB
N/A
ORO USD 1Y P 4.75000 L 07/10/24 DUB 0.00000000
N/A
16300000.00000000
NC
USD
34158.28000000
0.017758828274
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
ORO USD 1Y P 4.75000 L 07/10/24 DUB
0
16300000.00000000
USD
4.75000000
USD
2024-07-10
XXXX
34158.28000000
N
N
N
N/A
N/A
IRS RTHORP02.25 03/20/29 BARC FLOAT
N/A
1.00000000
NC
-3641.73000000
-0.00189332887
N/A
DIR
TH
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2029-03-20
-1743454.01000000
THB
1742976.99000000
THB
1730613.94960323
THB
-3164.71000000
N
N
N
CASH COLLATERAL ISDA UAG
N/A
CASH COLLATERAL ISDA UAG 5.23000000
N/A
-300000.00000000
NS
USD
-300000.00000000
-0.15596945989
Short
STIV
CORP
US
N
2
2049-12-31
Floating
5.23000000
N
N
N
N
N
N
UMBS P#BX9040 4.5% 04/01/53
N/A
FANNIE MAE POOL UMBS P#BX9040 4.50000000
3140NEBJ3
219537.64000000
NS
USD
207796.05000000
0.108032792288
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
IRS R03.00PER6M 03/20/34 BARCUS3BXXX FIXED
N/A
1.00000000
NC
158276.64000000
0.082287740181
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2034-03-20
-6582601.21000000
EUR
6544090.25000000
EUR
6517223.80662094
EUR
196787.60000000
N
N
N
N/A
N/A
BRL/USD FWD 20240304 000004066 USD
N/A
1.00000000
NC
N/A
-31.65000000
-0.00001645477
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-248702.35000000
BRL
50000.00000000
USD
2024-03-04
-31.65000000
N
N
N
N/A
N/A
IRS R04.25PSOFR 03/20/34 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
89206.79000000
0.046378449517
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2034-03-20
-2760000.00000000
USD
2925011.26000000
USD
2760000.00000000
USD
-75804.47000000
N
N
N
N/A
N/A
IRS RSOFRP03.17 11/15/32 BARC FLOAT
N/A
1.00000000
NC
USD
14133.33000000
0.007347892821
N/A
DIR
US
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2032-11-15
-200988.60000000
USD
200000.00000000
USD
200000.00000000
USD
12595.41000000
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
3988.91000000
NS
USD
3769.51000000
0.001959761462
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
1.08000000
NS
0.12000000
0.000000062387
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/ 4.58200000
N/A
209819.36000000
NS
225813.03000000
0.117399787753
Long
ABS-CBDO
CORP
IE
Y
2
2030-01-31
Variable
4.58200000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240301 000006038 USD
N/A
1.00000000
NC
N/A
-241.27000000
-0.00012543583
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-241.27000000
USD
0.00000000
N/A
2024-03-01
-241.27000000
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
105657.92000000
0.054931362386
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
126962.75000000
NS
USD
22924.79000000
0.011918557048
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
56851.17000000
0.029556820930
N/A
DIR
JP
N
2
BARCLAYS
N/A
N/A
N/A
Y
2039-06-19
-729236.61000000
JPY
708780.01000000
JPY
533635.72691192
JPY
81844.52000000
N
N
N
N/A
N/A
PLN/USD FWD 20240722 000004066 USD
N/A
1.00000000
NC
N/A
11571.09000000
0.006015788858
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-916496.94000000
USD
3713788.57000000
PLN
2024-07-22
11571.09000000
N
N
N
N/A
N/A
IRS R02.25PER3M 05/03/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-6601.16000000
-0.00343193119
N/A
DIR
N/A
N
2
BNP PARIBAS S.A. PARIS
N/A
N/A
N/A
Y
2024-05-03
-441559.99000000
EUR
441559.99000000
EUR
432319.98717220
EUR
5517.78000000
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 6.48101000
863579JG4
21993.82000000
NS
USD
18773.56000000
0.009760340044
Long
ABS-CBDO
CORP
US
N
2
2035-01-25
Variable
6.48101000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20240408 000000642 USD
N/A
1.00000000
NC
N/A
272280.70000000
0.141558245727
N/A
DFE
N/A
N
2
UBS AG STAMFORD BRANCH
254900R882POXXVAK772
-920000000.00000000
JPY
6444251.27000000
USD
2024-04-08
272280.70000000
N
N
N
JAPAN TREASU ZCP 05/13/24/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1210 0.00000000
J2S39LU85
390000000.00000000
PA
2602556.38000000
1.353064376435
Long
STIV
USGA
JP
N
2
2024-05-13
Fixed
0.00000000
N
N
N
N
N
N
G2SF TBA 30 YR 3% MAR13
N/A
G2SF TBA 30 YR 3% MAR13 3.00000000
21H030633
1900000.00000000
NS
USD
1666938.08000000
0.866638106710
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CCS JPY P USSOFR/JPYMUTKCALM -61 GST /SHORT/
N/A
1.00000000
NC
N/A
-4967608.51000000
-2.58265072088
N/A
DFE
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
N/A
745100000.00000000
JPY
0.00000000
N/A
2025-01-21
53788.53000000
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000006038 USD
N/A
1.00000000
NC
N/A
-3433.74000000
-0.00178519524
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-4074278.39000000
CNY
562813.00000000
USD
2024-03-26
-3433.74000000
N
N
N
JYSKE REALK 1.5% 10/01/37/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 1.50000000
K1R19DET0
0.71000000
NS
0.09000000
0.000000046790
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.20 05/13/25 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
17248.22000000
0.008967318525
N/A
DIR
US
N
2
BARCLAYS - BZE
N/A
N/A
N/A
Y
2025-05-13
-1100363.47000000
USD
1100000.00000000
USD
1100000.00000000
USD
17611.69000000
N
N
N
N/A
N/A
NOK/USD FWD 20240402 000011553 USD
N/A
1.00000000
NC
N/A
-1088.72000000
-0.00056602356
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-446689.14000000
USD
4728358.25000000
NOK
2024-04-02
-1088.72000000
N
N
N
N/A
N/A
IRS R03.75PSOFR 11/21/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-10523.00000000
-0.00547088875
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-11-21
-700000.00000000
USD
700000.00000000
USD
700000.00000000
USD
-10523.00000000
N
N
N
N/A
N/A
BRL/USD FWD 20240503 000003534 USD
N/A
1.00000000
NC
N/A
-1090.01000000
-0.00056669423
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-199341.00000000
USD
991601.87000000
BRL
2024-05-03
-1090.01000000
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 6.66560000
36361UAL4
477708.14000000
NS
USD
477769.76000000
0.248391638068
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-15
Variable
6.66560000
N
N
N
N
N
N
F/C EURO-BTP FUTURE JUN24
N/A
FUTURE CONTRACT ON EURO-BTP FUTURE JUN24 /EUR/ 0.00000000
N/A
12.00000000
NC
1523538.86000000
0.792085110402
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-BTP FUTURE JUN24
EURO-BTP FUTURE JUN24 /EUR/
2024-06-06
1518113.24000000
EUR
5425.62000000
N
N
N
SAMI 2007-AR6 V/R 11/25/37
N/A
SAMI 2007-AR6 V/R 11/25/37 6.58101000
86364RAA7
53690.67000000
NS
USD
42786.21000000
0.022244473548
Long
ABS-CBDO
CORP
US
N
2
2047-08-25
Variable
6.58101000
N
N
N
N
N
N
UMBS P#QF0820 4.5% 09/01/52
N/A
FREDDIE MAC POOL UMBS P#QF0820 4.50000000
3133BM4D4
621692.93000000
NS
USD
588632.92000000
0.306029195359
Long
ABS-MBS
USGA
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
F/C 3 MONTH SOFR FUT SEP24
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT SEP24 0.00000000
N/A
42.00000000
NC
USD
9994425.00000000
5.196083563980
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C 3 MONTH SOFR FUT SEP24
3 MONTH SOFR FUT SEP24
2024-12-17
10009715.72000000
USD
-15290.72000000
N
N
N
N/A
N/A
MXN/USD FWD 20240320 000011553 USD
N/A
1.00000000
NC
N/A
649.11000000
0.000337471120
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-136485.42000000
USD
2344000.00000000
MXN
2024-03-20
649.11000000
N
N
N
N/A
N/A
PEN/USD FWD 20240320 000006038 USD
N/A
1.00000000
NC
N/A
-389.10000000
-0.00020229238
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-367339.41000000
PEN
96706.44000000
USD
2024-03-20
-389.10000000
N
N
N
NYKREDIT RE 2.5% 10/01/36/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD SER 01E 2.50000000
K74181WM4
0.52000000
NS
0.07000000
0.000000036392
Long
DBT
CORP
DK
N
2
2036-10-01
Fixed
2.50000000
N
N
N
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
134078.95000000
NS
USD
125765.95000000
0.065385490981
Long
ABS-CBDO
CORP
US
Y
2
2060-01-25
Variable
2.71000000
N
N
N
N
N
N
N/A
N/A
IRS RCAONP03.25 03/15/28 BARC FLOAT
N/A
1.00000000
NC
13124.11000000
0.006823201160
N/A
DIR
CA
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2028-03-15
-718229.25000000
CAD
731437.02000000
CAD
729469.84489555
CAD
3448.28000000
N
N
N
ORO USD 1Y P 5.50000 L 03/26/24 GLM
N/A
ORO USD 1Y P 5.50000 L 03/26/24 GLM 0.00000000
N/A
9900000.00000000
NC
USD
225.72000000
0.000117351421
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
ORO USD 1Y P 5.50000 L 03/26/24 GLM
0
9900000.00000000
USD
5.50000000
USD
2024-03-26
XXXX
225.72000000
N
N
N
UMBS P#841068 V/R 11/01/34
N/A
FANNIE MAE POOL UMBS P#841068 V/R 6.39400000
31407UMR5
12315.60000000
NS
USD
12668.71000000
0.006586439520
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
6.39400000
N
N
N
N
N
N
SMB 2022-B A1B V/R 02/16/55
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2022-B SER 2022-B CL A1B V/R REGD 144A P/P 6.77471000
83206NAB3
276089.24000000
NS
USD
277517.67000000
0.144280937002
Long
ABS-CBDO
CORP
US
Y
2
2055-02-16
Variable
6.77471000
N
N
N
N
N
N
CHINA GOVE 3.19% 04/15/53/CNY/
N/A
CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 3.19000000
Y6S39BZ94
4090000.00000000
NS
651371.52000000
0.338646880547
Long
DBT
USGA
CN
N
2
2053-04-15
Fixed
3.19000000
N
N
N
N
N
N
JAPAN TREASU ZCP 03/18/24/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1200 0.00000000
J2S39LS47
210000000.00000000
PA
1401449.35000000
0.728610993957
Long
STIV
USGA
JP
N
2
2024-03-18
Fixed
0.00000000
N
N
N
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 6.78000000
36229RJJ9
1401.81000000
NS
USD
1378.92000000
0.000716898025
Long
ABS-CBDO
CORP
US
N
2
2033-03-01
Variable
6.78000000
N
N
N
N
N
N
N/A
N/A
IRS P03.50RSOFR 12/20/33 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-533425.42000000
-0.27732691550
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2033-12-20
-15920000.00000000
USD
15173004.18000000
USD
15920000.00000000
USD
213570.40000000
N
N
N
N/A
N/A
IDR/USD FWD 20240320 000011553 USD
N/A
1.00000000
NC
N/A
-2079.12000000
-0.00108093074
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-138429.00000000
USD
2143714506.00000000
IDR
2024-03-20
-2079.12000000
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 REG S /GBP/ 5.48522000
G7604CBD2
283622.14000000
NS
348957.41000000
0.181422329211
Long
ABS-CBDO
CORP
GB
N
2
2044-06-12
Variable
5.48522000
N
N
N
N
N
N
N/A
N/A
IRS R02.25PER6M 09/21/42 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-186106.55000000
-0.09675646028
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2042-09-21
-2352041.91000000
EUR
2528940.14000000
EUR
2496647.92591946
EUR
-358073.18000000
N
N
N
N/A
N/A
IRS R03.00PER6M 03/19/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
53098.22000000
0.027605668982
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-03-19
-7577021.88000000
EUR
7624436.55000000
EUR
7619639.77391005
EUR
5683.55000000
N
N
N
N/A
N/A
CCS AUD R SF+26.161/AUD3MBBSW+42.25 GLM /LONG/
N/A
1.00000000
NC
N/A
1387474.72000000
0.721345608980
N/A
DFE
N/A
N
2
GOLDMAN SACHS
N/A
0.00000000
N/A
2100000.00000000
AUD
2024-08-01
-57605.26000000
N
N
N
N/A
N/A
KRW/USD FWD 20240620 000003534 USD
N/A
1.00000000
NC
N/A
3063.77000000
0.001592848507
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-205296988.00000000
KRW
157723.00000000
USD
2024-06-20
3063.77000000
N
N
N
F/C 3 MONTH SOFR FUT MAR25
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT MAR25 0.00000000
N/A
-138.00000000
NC
USD
-33045825.00000000
-17.1804649232
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C 3 MONTH SOFR FUT MAR25
3 MONTH SOFR FUT MAR25
2025-06-17
33097700.78000000
USD
51875.78000000
N
N
N
US TIPS 0.5% 01/15/28
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000
9128283R9
1243570.00000000
NS
USD
1176085.85000000
0.611444916042
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
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 6.57942000
14314BAL1
320495.59000000
NS
USD
320625.71000000
0.166692729388
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Variable
6.57942000
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 6.01541000
92922F4M7
12760.92000000
NS
USD
12181.27000000
0.006333020342
Long
ABS-CBDO
CORP
US
N
2
2045-10-25
Variable
6.01541000
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 6.91215400
86359BGF2
1809.11000000
NS
USD
1696.18000000
0.000881840928
Long
ABS-CBDO
CORP
US
N
2
2034-02-25
Variable
6.91215400
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000015298 USD
N/A
1.00000000
NC
N/A
12659.66000000
0.006581734442
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-8976105.85000000
CNY
1260166.64000000
USD
2024-03-26
12659.66000000
N
N
N
NYKREDIT REAL 1% 10/01/50/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER CCE 1.00000000
K74181W69
3071351.68000000
NS
341553.27000000
0.177572930155
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
US TREAS NTS 4% 02/29/28
N/A
UNITED STATES TREASURY NOTE 4.00000000
91282CGP0
200000.00000000
NS
USD
197460.94000000
0.102659587206
Long
DBT
UST
US
N
2
2028-02-29
Fixed
4.00000000
N
N
N
N
N
N
ROMANIA 6.625% 09/27/29/EUR/
N/A
ROMANIA /EUR/ REGD REG S EMTN 6.62500000
X7360WCL4
600000.00000000
NS
694634.24000000
0.361139090787
Long
DBT
USGA
RO
N
2
2029-09-27
Fixed
6.62500000
N
N
N
N
N
N
N/A
N/A
IRS RMUTKP00.00 12/15/26 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
28649.67000000
0.014894911853
N/A
DIR
JP
N
2
CITIGROUP
N/A
N/A
N/A
Y
2026-12-15
-3429525.14000000
JPY
3465182.29000000
JPY
3135109.89560751
JPY
-5717.68000000
N
N
N
REALKREDIT DA 2% 10/01/37/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD SER 22S 2.00000000
K8094KQN6
0.24000000
NS
0.03000000
0.000000015596
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CCS JPY P USSOFR/JPYMUTKCALM -59.12 BPS /SHORT/
N/A
1.00000000
NC
N/A
-2559307.38000000
-1.33057929919
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
383800000.00000000
JPY
0.00000000
N/A
2025-02-03
63979.59000000
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
125000000.00000000
NS
656643.90000000
0.341387981417
Long
DBT
USGA
JP
N
2
2051-06-20
Fixed
0.70000000
N
N
N
N
N
N
F/C JPN 10Y BOND(OSE) MAR24
N/A
FUTURE CONTRACT ON JPN 10Y BOND(OSE) MAR24 /JPY/ 0.00000000
N/A
-5.00000000
NC
-4878097.59000000
-2.53611415473
N/A
DIR
CORP
JP
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C JPN 10Y BOND(OSE) MAR24
JPN 10Y BOND(OSE) MAR24 /JPY/
2024-03-13
4848909.05000000
JPY
-29188.54000000
N
N
N
ORO FWD USD 1Y P 2.69700 L 04/02/24 GLM
N/A
ORO FWD USD 1Y P 2.69700 L 04/02/24 GLM 0.00000000
N/A
-700000.00000000
NC
USD
-15254.96000000
-0.00793102623
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
ORO FWD USD 1Y P 2.69700 L 04/02/24 GLM
0
-700000.00000000
USD
2.69700000
USD
2024-04-02
XXXX
-15254.96000000
N
N
N
N/A
N/A
CCS USD R USSOFR/JPYMUTKCALM -61 GST /LONG/
N/A
1.00000000
NC
N/A
5348035.21000000
2.780433877313
N/A
DFE
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
N/A
0.00000000
N/A
5348887.29000000
USD
2025-01-21
-852.08000000
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
172455.02000000
NS
USD
161393.57000000
0.083908226477
Long
ABS-CBDO
CORP
US
Y
2
2059-11-25
Variable
2.75000000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20240304 000018337 USD
N/A
1.00000000
NC
N/A
-3083.69000000
-0.00160320487
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-479692.41000000
USD
3286860.55000000
DKK
2024-03-04
-3083.69000000
N
N
N
FNMA 30YR TBA 6% MAR 12
N/A
FNMA 30YR TBA 6% MAR 12 TO BE ANNOUNCED 6.00000000
01F060634
-2100000.00000000
NS
USD
-2108887.68000000
-1.09640690808
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
6.00000000
N
N
N
N
N
N
PSTET 2023- V/R 05/15/33 /EUR/
N/A
PALMER SQUARE EUROPEAN LOAN FUNDING SER 2023-3A CL A V/R REGD 144A P/P /EUR/ 5.49400000
N/A
500000.00000000
NS
541196.62000000
0.281367148391
Long
ABS-CBDO
CORP
IE
Y
2
2033-05-15
Variable
5.49400000
N
N
N
N
N
N
N/A
N/A
SGD/USD FWD 20240320 000003534 USD
N/A
1.00000000
NC
N/A
14402.37000000
0.007487766233
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-1227549.08000000
SGD
927362.00000000
USD
2024-03-20
14402.37000000
N
N
N
REALKREDIT DA 1% 04/01/24/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER 10F 1.00000000
K8094KRG0
2200000.00000000
NS
318329.30000000
0.165498829964
Long
DBT
CORP
DK
N
2
2024-04-01
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20250102 000004334 USD
N/A
1.00000000
NC
N/A
1432.30000000
0.000744650191
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-4000000.00000000
DKK
591091.36000000
USD
2025-01-02
1432.30000000
N
N
N
F/C 3 MONTH SOFR FUT JUN25
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT JUN25 0.00000000
N/A
44.00000000
NC
USD
10562200.00000000
5.491268764283
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C 3 MONTH SOFR FUT JUN25
3 MONTH SOFR FUT JUN25
2025-09-16
10580167.98000000
USD
-17967.98000000
N
N
N
N/A
N/A
IRS P00.70RMUTK 03/15/52 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-44369.80000000
-0.02306777913
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2052-03-15
-329258.76000000
JPY
325034.19000000
JPY
266817.86345596
JPY
-42143.37000000
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 4.38476800
07384MWG3
1703.62000000
NS
USD
1602.51000000
0.000833142063
Long
ABS-CBDO
CORP
US
N
2
2033-08-25
Variable
4.38476800
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
166545.60000000
0.086586757598
Long
DBT
CORP
QA
Y
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
IRS R03.75PSOFR 12/11/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-4403.38000000
-0.00228930933
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-12-11
-300000.00000000
USD
300000.00000000
USD
300000.00000000
USD
-4403.38000000
N
N
N
JAPAN GOVT 0.1% 03/10/28/JPY/
N/A
JAPAN GOVT CPI LINKED /JPY/ REGD SER 23 0.10000000
J2S39KJ56
158755590.00000000
NS
1113507.67000000
0.578910632923
Long
DBT
UST
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
WELLS FARGO & COM V/R 07/25/28
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R MTN 4.80800000
95000U3A9
600000.00000000
NS
USD
589941.12000000
0.306709326184
Long
DBT
CORP
US
N
2
2028-07-25
Variable
4.80800000
N
N
N
N
N
N
N/A
N/A
IRS R02.10PER3M 04/13/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-55259.72000000
-0.02872942894
N/A
DIR
N/A
N
2
BNP
N/A
N/A
N/A
Y
2024-04-13
-3380239.88000000
EUR
3380239.88000000
EUR
3350479.90058456
EUR
37390.61000000
N
N
N
N/A
N/A
IRS RER6MP00.05 05/27/50 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
22755.47000000
0.011830527885
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2050-05-27
-52515.33000000
EUR
59035.00000000
EUR
54039.99839653
EUR
16235.80000000
N
N
N
N/A
N/A
KRW/USD FWD 20240620 000006038 USD
N/A
1.00000000
NC
N/A
993.08000000
0.000516300504
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-64800801.00000000
KRW
49810.37000000
USD
2024-06-20
993.08000000
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/ 4.59200000
N/A
296866.13000000
NS
318054.58000000
0.165356003530
Long
ABS-CBDO
CORP
IE
Y
2
2031-10-15
Variable
4.59200000
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
87938.44000000
NS
USD
73639.76000000
0.038285178646
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
34301.41000000
NS
USD
8524.74000000
0.004431996978
Long
ABS-CBDO
CORP
US
N
2
2036-07-26
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
IRS R01.50PCAON 06/17/30 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-185597.81000000
-0.09649196727
N/A
DIR
CA
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-06-17
-1632895.42000000
CAD
1448666.78000000
CAD
1621044.09976790
CAD
-9833.97000000
N
N
N
PROVINCIA DE V/R 04/12/25/ARS/
N/A
PROVINCIA DE BUENOS AIRE /ARS/ REGD V/R 72.91113300
P1910WRC5
22000.00000000
NS
29.32000000
0.000015243415
Long
DBT
USGA
AR
Y
2
2025-04-12
Variable
72.91113300
N
N
N
N
N
N
PHILIP MORRIS 4.875% 02/13/29
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD 4.87500000
718172DG1
200000.00000000
NS
USD
197160.65000000
0.102503466975
Long
DBT
CORP
US
N
2
2029-02-13
Fixed
4.87500000
N
N
N
N
N
N
CWL 2007-9 2A4 V/R 02/25/36
N/A
CWABS ASSET-BACKED CERTIFICATES TRUST 2007-8 SER 2007-9 CL 2A4 V/R REGD 5.68541000
12670FAE0
261900.87000000
NS
USD
246183.44000000
0.127990327238
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Variable
5.68541000
N
N
N
N
N
N
N/A
N/A
IRS R03.25PER6M 03/20/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
431930.43000000
0.224559852928
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-03-20
-20180079.42000000
EUR
20211407.30000000
EUR
20210959.40030041
EUR
400602.55000000
N
N
N
N/A
N/A
IRS R00.85PMUTK 09/20/33 BARCUS3BXXX FIXED
N/A
1.00000000
NC
737.83000000
0.000383596488
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2033-09-20
-553250.73000000
JPY
554026.72000000
JPY
533635.72691192
JPY
1280.23000000
N
N
N
NYKREDIT RE 1.5% 10/01/37/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD SER 01E 1.50000000
K74181ZL3
0.65000000
NS
0.09000000
0.000000046790
Long
DBT
CORP
DK
N
2
2037-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP00.50 06/15/24 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
64442.21000000
0.033503388960
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-06-15
-792260.04000000
USD
800000.00000000
USD
800000.00000000
USD
31374.70000000
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
84955.01000000
0.044167956749
N/A
DO
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
P/O OTC EPUT FRTR 0.75 05-52
0
200000.00000000
EUR
97.00000000
EUR
2025-05-23
XXXX
69841.37000000
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/ 6.54089000
G8961JAB7
186879.00000000
NS
237065.19000000
0.123249765479
Long
ABS-CBDO
CORP
GB
N
2
2045-05-20
Variable
6.54089000
N
N
N
N
N
N
SPEAK 2018-5A A V/R 04/25/31
N/A
SIGNAL PEAK CLO 5 LTD SER 2018-5A CL A V/R REGD 144A P/P 6.69628000
56844YAA5
701819.74000000
NS
USD
704187.26000000
0.366105688686
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-25
Variable
6.69628000
N
N
N
N
N
N
N/A
N/A
IRS R03.50PSOFR 06/22/30 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-6962.85000000
-0.00361997317
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-06-22
-190000.00000000
USD
190000.00000000
USD
190000.00000000
USD
-6962.85000000
N
N
N
N/A
N/A
JPY/USD FWD 20241001 000009049 USD
N/A
1.00000000
NC
N/A
169545.47000000
0.088146384610
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-150000000.00000000
JPY
1202769.21000000
USD
2024-10-01
169545.47000000
N
N
N
N/A
N/A
IRS R05.00PSO/N 03/20/29 BARCUS3BXXX FIXED
N/A
1.00000000
NC
558890.98000000
0.290566414299
N/A
DIR
GB
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-03-20
-12645349.81000000
GBP
13236633.08000000
GBP
12623999.71055693
GBP
-32392.29000000
N
N
N
FORT 2022-FL3 A V/R 02/23/39
N/A
FORT CRE 2022-FL3 ISSUER LLC SER 2022-FL3 CL A V/R REGD 144A P/P 7.17165000
34706CAA7
400000.00000000
NS
USD
394466.82000000
0.205082589537
Long
ABS-CBDO
CORP
US
Y
2
2039-02-23
Variable
7.17165000
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20240304 000000642 USD
N/A
1.00000000
NC
N/A
6195.23000000
0.003220888923
N/A
DFE
N/A
N
2
UBS AG STAMFORD BRANCH
254900R882POXXVAK772
-10581550.95000000
DKK
1540565.00000000
USD
2024-03-04
6195.23000000
N
N
N
ESC LEHMAN BR 0.0% 12/30/16
N/A
ESC LEHMAN BRTH HLD 0.00000000
525ESC0B6
1300000.00000000
NS
USD
1625.00000000
0.000844834574
Long
DBT
CORP
US
N
2
2049-05-25
Fixed
0.00000000
N
N
N
N
N
N
REALKREDIT DA 1% 01/01/25/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER 10F 1.00000000
K8094KE58
4000000.00000000
NS
567729.31000000
0.295161446154
Long
DBT
CORP
DK
N
2
2025-01-01
Fixed
1.00000000
N
N
N
N
N
N
REALKREDIT DA 1% 04/01/25/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD REG S SER 10F 1.00000000
K8094KE82
4100000.00000000
NS
578358.41000000
0.300687496108
Long
DBT
CORP
DK
N
2
2025-04-01
Fixed
1.00000000
N
N
N
N
N
N
NHEL 2006-1 A2D V/R 05/25/36
N/A
NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-1 SER 2006-1 CL A2D V/R REGD 5.97541000
669884AE8
400000.00000000
NS
USD
374490.04000000
0.194696697580
Long
ABS-CBDO
CORP
US
N
2
2036-05-25
Variable
5.97541000
N
N
N
N
N
N
OTC EPUT USD VS TWD @ 31.0 GLM 03/04/24
N/A
OTC EPUT USD VS TWD @ 31.0 GLM 03/04/24 0.00000000
N/A
-277000.00000000
NC
USD
-1.11000000
-0.00000057708
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
OTC EPUT USD VS TWD @ 31.0 GLM 03/04/24
0
-277000.00000000
USD
31.00000000
USD
2024-03-04
XXXX
3858.61000000
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 5.83541000
76113MAB1
36739.96000000
NS
USD
10567.44000000
0.005493993030
Long
ABS-CBDO
CORP
US
N
2
2046-01-25
Variable
5.83541000
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
201916.56000000
0.104976056022
Long
DBT
CORP
DE
N
2
2027-01-20
Fixed
1.62500000
N
N
N
N
N
N
N/A
N/A
IRS R04.60PCAON 08/30/25 BARC FIXED
N/A
1.00000000
NC
9149.02000000
0.004756559026
N/A
DIR
CA
N
2
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
N/A
N/A
Y
2025-08-30
-2583138.02000000
CAD
2575351.21000000
CAD
2578933.79508529
CAD
16935.83000000
N
N
N
REALKREDIT 2.5% 04/01/36/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD MTN SER 22S 2.50000000
K8094KQH9
0.71000000
NS
0.10000000
0.000000051989
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
1203280.13000000
NS
133783.09000000
0.069553587633
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
ENTERGY CORP DISC 05/02/2024
N/A
ENTERGY CORP DISC 05/02/2024 0.00000000
29366EE28
450000.00000000
PA
USD
445660.00000000
0.231697831653
Long
STIV
CORP
US
N
2
2024-05-02
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
IRS RER6MP03.28 11/22/33 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-28835.56000000
-0.01499155572
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2033-11-22
-652799.98000000
EUR
652799.98000000
EUR
648479.98075830
EUR
-28835.56000000
N
N
N
N/A
N/A
NOK/USD FWD 20240304 000011553 USD
N/A
1.00000000
NC
N/A
12818.89000000
0.006664517832
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-15271722.45000000
NOK
1450949.29000000
USD
2024-03-04
12818.89000000
N
N
N
UMBS P#CB7220 5.5% 09/01/53
N/A
FANNIE MAE POOL UMBS P#CB7220 5.50000000
3140QTAW9
588334.29000000
NS
USD
581974.48000000
0.302567484390
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
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 6.59560000
26245MAC5
374554.54000000
NS
USD
374704.36000000
0.194808122162
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Variable
6.59560000
N
N
N
N
N
N
N/A
N/A
CDX 2I666VDI3 01.000 BP 12/20/2033 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-47877.45000000
-0.02489140005
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
iTRAXX Europe S40
2I666VDI3
Y
2033-12-20
-6141855.01000000
EUR
6214699.95000000
EUR
6268639.81399692
EUR
-105364.16000000
N
N
N
N/A
N/A
IRS RER6MP00.06 11/17/52 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
56495.50000000
0.029371908738
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2052-11-17
-106073.94000000
EUR
118070.00000000
EUR
108079.99679305
EUR
41304.95000000
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
0.64000000
NS
0.08000000
0.000000041591
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS PSOFRR03.75 06/21/25 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
123642.79000000
0.064281663920
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2025-06-21
-4875711.77000000
USD
4900000.00000000
USD
4900000.00000000
USD
99354.56000000
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
1520142.45000000
0.790319322958
Long
DBT
USGA
ES
Y
2
2028-07-30
Fixed
1.40000000
N
N
N
N
N
N
N/A
N/A
IRS R04.25PBW6M 03/15/33 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-7197.65000000
-0.00374204527
N/A
DIR
AU
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2033-03-15
-1140994.99000000
AUD
1159820.26000000
AUD
1104915.00054638
AUD
-27751.30000000
N
N
N
N/A
N/A
IRS RSOFRP03.50 12/18/25 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
14723.76000000
0.007654856315
N/A
DIR
US
N
2
JP MORGAN
N/A
N/A
N/A
Y
2025-12-18
-2396563.74000000
USD
2400000.00000000
USD
2400000.00000000
USD
11287.50000000
N
N
N
N/A
N/A
IDR/USD FWD 20240320 000001394 USD
N/A
1.00000000
NC
N/A
-2504.04000000
-0.00130184588
N/A
DFE
N/A
N
2
HSBC BANK PLC
N/A
-128334.07000000
USD
1978319739.00000000
IDR
2024-03-20
-2504.04000000
N
N
N
JAPAN TREASU ZCP 04/15/24/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1206 0.00000000
J2S39LT61
710000000.00000000
PA
4738699.36000000
2.463641265920
Long
STIV
USGA
JP
N
2
2024-04-15
Fixed
0.00000000
N
N
N
N
N
N
IRO EUR 5Y C 2.56000 L 03/20/24 BRC
N/A
IRO EUR 5Y C 2.56000 L 03/20/24 BRC 0.00000000
N/A
-1300000.00000000
NC
-1225.34000000
-0.00063705205
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
K9WDOH4D2PYBSLSOB484
Call
Purchased
IRO EUR 5Y C 2.56000 L 03/20/24 BRC
0
-1300000.00000000
EUR
2.56000000
EUR
2024-03-20
XXXX
-1225.34000000
N
N
N
FORD MOTOR CRE 5.125% 06/16/25
N/A
FORD MOTOR CREDIT CO LLC REGD 5.12500000
345397A60
200000.00000000
NS
USD
197999.02000000
0.102939334029
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
5.12500000
N
N
N
N
N
N
ORO USD 10Y C 3.70000 L 03/21/24 GLM
N/A
ORO USD 10Y C 3.70000 L 03/21/24 GLM 0.00000000
N/A
-2200000.00000000
NC
USD
-7969.50000000
-0.00414332870
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS AND CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
ORO USD 10Y C 3.70000 L 03/21/24 GLM
0
-2200000.00000000
USD
3.70000000
USD
2024-03-21
XXXX
-7969.50000000
N
N
N
N/A
N/A
JPY/USD FWD 20240603 000004066 USD
N/A
1.00000000
NC
N/A
-16170.74000000
-0.00840713861
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-920000000.00000000
JPY
6209380.02000000
USD
2024-06-03
-16170.74000000
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
0.14000000
0.000000072785
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS R04.75PBW6M 12/20/33 BARCUS3BXXX FIXED
N/A
1.00000000
NC
13659.32000000
0.007101455876
N/A
DIR
AU
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2033-12-20
-8148159.70000000
AUD
8054762.93000000
AUD
8254365.00408178
AUD
107056.09000000
N
N
N
N/A
N/A
IDR/USD FWD 20240301 000015298 USD
N/A
1.00000000
NC
N/A
-209.10000000
-0.00010871071
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-209.10000000
USD
0.00000000
N/A
2024-03-01
-209.10000000
N
N
N
RC R/P CITIGR 5.360% 03/01/24
N/A
RC R/P CITIGR 5.360% 03/01/24 5.36000000
N/A
6700000.00000000
PA
USD
6700000.00000000
3.483317937617
Long
RA
CORP
US
N
2
Repurchase
N
5.36000000
2024-03-01
7484000.00000000
USD
6832511.96248000
USD
UST
N
N
N
N/A
N/A
CDS US465410AH18 01.000 SP 06/20/2025 BARCGB5GXXX LONG
N/A
1.00000000
NC
USD
13974.62000000
0.007265379778
N/A
DCR
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
ITALY GOV'T IN 6.875% 09/27/23
ITALY GOV'T IN 6.875% 09/27/23
Y
2025-06-20
-300000.00000000
USD
292652.05000000
USD
300000.00000000
USD
10980.89000000
N
N
N
JAPAN (2 YE 0.1% 01/01/26/JPY/
N/A
JAPAN (2 YEAR ISSUE) /JPY/ REGD SER 456 0.10000000
J2S39LT38
110000000.00000000
NS
732818.33000000
0.380990930433
Long
DBT
USGA
JP
N
2
2026-01-01
Fixed
0.10000000
N
N
N
N
N
N
UMBS P#CB6348 4.5% 05/01/53
N/A
FANNIE MAE POOL UMBS P#CB6348 4.50000000
3140QSBS9
5399997.48000000
NS
USD
5109583.19000000
2.656463101414
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#4239 6% 09/20/38
N/A
GINNIE MAE II POOL P#4239 6.00000000
36202EV89
1446.21000000
NS
USD
1461.00000000
0.000759571269
Long
ABS-MBS
USGSE
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
ORO USD 10Y P 3.70000 L 03/01/24 JPM
N/A
ORO USD 10Y P 3.70000 L 03/01/24 JPM 0.00000000
N/A
-500000.00000000
NC
USD
-6730.35000000
-0.00349909684
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
ORO USD 10Y P 3.70000 L 03/01/24 JPM
0
-500000.00000000
USD
3.70000000
USD
2024-03-01
XXXX
-6730.35000000
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
130163.23000000
NS
USD
120770.85000000
0.062788547484
Long
ABS-CBDO
CORP
US
Y
2
2065-04-25
Variable
1.38100000
N
N
N
N
N
N
US TREAS BDS 1.875% 02/15/41
N/A
UNITED STATES TREASURY BOND 1.87500000
912810SW9
1100000.00000000
NS
USD
757968.75000000
0.394066588511
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
BONOS Y OBL 0.7% 04/30/32/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 0.70000000
E8922AMC1
400000.00000000
NS
358091.08000000
0.186170907800
Long
DBT
USGA
ES
Y
2
2032-04-30
Fixed
0.70000000
N
N
N
N
N
N
F/C LONG GILT FUTURE JUN24
N/A
FUTURE CONTRACT ON LONG GILT FUTURE JUN24 /GBP/ 0.00000000
N/A
-34.00000000
NC
-4210179.64000000
-2.18886481501
N/A
DIR
CORP
GB
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C LONG GILT FUTURE JUN24
LONG GILT FUTURE JUN24 /GBP/
2024-06-26
4178607.02000000
GBP
-31572.62000000
N
N
N
FRANCE (GO 3.25% 05/25/45/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD 3.25000000
F26348BX3
900000.00000000
NS
973403.79000000
0.506070877948
Long
DBT
USGA
FR
N
2
2045-05-25
Fixed
3.25000000
N
N
N
N
N
N
F/C EURO-OAT FUTURE MAR24
N/A
FUTURE CONTRACT ON EURO-OAT FUTURE MAR24 /EUR/ 0.00000000
N/A
47.00000000
NC
6486345.32000000
3.372239254139
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-OAT FUTURE MAR24
EURO-OAT FUTURE MAR24 /EUR/
2024-03-07
6492765.27000000
EUR
-6419.95000000
N
N
N
UNITED KI 0.625% 10/22/50/GBP/
N/A
UNITED KINGDOM GILT /GBP/ REGD REG S 0.62500000
G4527HSJ1
1400000.00000000
NS
712953.01000000
0.370662986330
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
3.20000000
NS
0.36000000
0.000000187163
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 5.72392400
058927AA2
5158.98000000
NS
USD
4764.98000000
0.002477304523
Long
ABS-CBDO
CORP
US
N
2
2036-02-20
Variable
5.72392400
N
N
N
N
N
N
N/A
N/A
IRS RER6MP02.75 03/20/54 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-343801.26000000
-0.17874165610
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2054-03-20
-5175690.20000000
EUR
5167799.92000000
EUR
5187839.84606642
EUR
-335910.98000000
N
N
N
N/A
N/A
IRS RCAONP03.50 06/01/32 BARC FLOAT
N/A
1.00000000
NC
-1493.28000000
-0.00077635358
N/A
DIR
CA
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2032-06-01
-1503956.48000000
CAD
1488447.58000000
CAD
1473676.45433445
CAD
14015.62000000
N
N
N
UMBS P#SD8369 6.5% 10/01/53
N/A
FREDDIE MAC POOL UMBS P#SD8369 6.50000000
3132DWJN4
4003072.82000000
NS
USD
4074763.65000000
2.118462285611
Long
ABS-MBS
USGA
US
N
2
2053-10-01
Fixed
6.50000000
N
N
N
N
N
N
PRKCM 2023-AFC4 S/UP 11/25/58
N/A
PRKCM 2023-AFC4 TRUST SER 2023-AFC4 CL A1 S/UP REGD 144A P/P 7.22500000
69380GAA7
481784.89000000
NS
USD
493433.87000000
0.256535380656
Long
ABS-CBDO
CORP
US
Y
2
2058-11-25
Variable
7.22500000
N
N
N
N
N
N
N/A
N/A
IRS R03.65PSOFR 11/22/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-6398.68000000
-0.00332666221
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-11-22
-400000.00000000
USD
400000.00000000
USD
400000.00000000
USD
-6398.68000000
N
N
N
ELMW7 2020-4A AR V/R 01/17/34
N/A
ELMWOOD CLO VII LTD SER 2020-4A CL AR V/R REGD 144A P/P 6.94653000
29002QAJ8
400000.00000000
NS
USD
400719.20000000
0.208333190642
Long
ABS-CBDO
CORP
KY
Y
2
2034-01-17
Variable
6.94653000
N
N
N
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 4.69533800
362341WZ8
30808.54000000
NS
USD
29152.41000000
0.015156285474
Long
ABS-CBDO
CORP
US
N
2
2035-11-01
Variable
4.69533800
N
N
N
N
N
N
N/A
N/A
DKK/USD FWD 20240402 000009049 USD
N/A
1.00000000
NC
N/A
2043.92000000
0.001062630328
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-593396.03000000
USD
4100000.00000000
DKK
2024-04-02
2043.92000000
N
N
N
N/A
N/A
IRS R03.22PSOFR 09/30/29 BARC FIXED
N/A
1.00000000
NC
USD
-49760.78000000
-0.02587053993
N/A
DIR
US
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2029-09-30
-900000.00000000
USD
903139.55000000
USD
900000.00000000
USD
-44182.66000000
N
N
N
N/A
N/A
IRS R01.71PCAON 10/02/29 BARC FIXED
N/A
1.00000000
NC
-48419.60000000
-0.02517326286
N/A
DIR
CA
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2029-10-02
-518518.52000000
CAD
466199.45000000
CAD
515786.75901706
CAD
3777.23000000
N
N
N
OTC EPUT USD VS TWD @ 31.0 JPM
N/A
OTC EPUT USD VS TWD @ 31.0 JPM 0.00000000
N/A
-601000.00000000
NC
USD
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Purchased
OTC EPUT USD VS TWD @ 31.0 JPM
0
-601000.00000000
USD
31.00000000
USD
2024-03-01
XXXX
8119.31000000
N
N
N
FORD MOTOR C V/R 12/01/24/EUR/
N/A
FORD MOTOR CREDIT CO LLC /EUR/ REGD V/R EMTN 4.67500000
N/A
100000.00000000
NS
108483.46000000
0.056400355545
Long
DBT
CORP
US
N
2
2024-12-01
Variable
4.67500000
N
N
N
N
N
N
N/A
N/A
CDS US345397YG20 05.000 SP 06/20/2025 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
28796.89000000
0.014971451266
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
FORD MOTOR CREDIT COMPANY LLC
FORD MOTOR CREDIT COMPANY LLC
Y
2025-06-20
-200000.00000000
USD
207946.59000000
USD
200000.00000000
USD
5516.94000000
N
N
N
N/A
N/A
INR/USD FWD 20240320 000000902 USD
N/A
1.00000000
NC
N/A
94.80000000
0.000049286349
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-11826.00000000
USD
988677.25000000
INR
2024-03-20
94.80000000
N
N
N
N/A
N/A
KRW/USD FWD 20240620 000015298 USD
N/A
1.00000000
NC
N/A
241.69000000
0.000125654195
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-129135411.00000000
KRW
97525.06000000
USD
2024-06-20
241.69000000
N
N
N
NORDEA KRED 1.5% 10/01/37/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000
K7S724CE5
0.87000000
NS
0.11000000
0.000000057188
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 5.91427000
41161PMG5
15547.98000000
NS
USD
14627.88000000
0.007605008476
Long
ABS-CBDO
CORP
US
N
2
2035-06-19
Variable
5.91427000
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
0.39000000
NS
0.05000000
0.000000025994
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.00000000
N
N
N
N
N
N
WINDR 2014-1A AR V/R 07/18/31
N/A
WIND RIVER 2014-1 CLO LTD SER 2014-1A CL ARR V/R REGD 144A P/P 6.60952000
88432CBB1
322557.63000000
NS
USD
322428.61000000
0.167630053852
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-18
Variable
6.60952000
N
N
N
N
N
N
N/A
N/A
IRS R03.86PSOFR 02/21/34 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-276.18000000
-0.00014358548
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2034-02-21
-300000.00000000
USD
300000.00000000
USD
300000.00000000
USD
-276.18000000
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
979750.54000000
NS
USD
820444.28000000
0.426547504080
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 20240320 000011091 USD
N/A
1.00000000
NC
N/A
38166.61000000
0.019842751825
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-1877346.77000000
USD
32741303.14000000
MXN
2024-03-20
38166.61000000
N
N
N
N/A
N/A
BRL/USD FWD 20240402 000004066 USD
N/A
1.00000000
NC
N/A
13243.38000000
0.006885209419
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-4028079.98000000
BRL
821051.77000000
USD
2024-04-02
13243.38000000
N
N
N
N/A
N/A
TWD/USD FWD 20240320 000000902 USD
N/A
1.00000000
NC
N/A
-19857.36000000
-0.01032380571
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-1517576.00000000
USD
47272402.00000000
TWD
2024-03-20
-19857.36000000
N
N
N
N/A
N/A
TWD/USD FWD 20240306 000004066 USD
N/A
1.00000000
NC
N/A
-18.43000000
-0.00000958172
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-4594777.00000000
TWD
145286.19000000
USD
2024-03-06
-18.43000000
N
N
N
JYSKE REALKRE 2% 10/01/47/DKK/
N/A
JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 2.00000000
K1R19DES2
0.30000000
NS
0.04000000
0.000000020795
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 5.69427000
41164MAC1
60964.35000000
NS
USD
53666.25000000
0.027900986756
Long
ABS-CBDO
CORP
US
N
2
2037-03-19
Variable
5.69427000
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
35866.89000000
0.018647131537
Long
DBT
USGA
RO
Y
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
CHINA GOVER 2.8% 03/24/29/CNY/
N/A
CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.80000000
Y6S39BM56
7500000.00000000
NS
1067640.13000000
0.555064181455
Long
DBT
USGA
CN
N
2
2029-03-24
Fixed
2.80000000
N
N
N
N
N
N
SAUDI INTERNAT 4.875% 07/18/33
N/A
SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 4.87500000
80413TBD0
700000.00000000
NS
USD
686151.90000000
0.356729137492
Long
DBT
USGA
SA
Y
2
2033-07-18
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
IRS RIN00P06.50 03/20/34 BARC FLOAT
N/A
1.00000000
NC
-1908.21000000
-0.00099207494
N/A
DIR
IN
N
2
NOMURA
N/A
N/A
N/A
Y
2034-03-20
-238966.42000000
INR
235264.40000000
INR
235961.15567887
INR
1793.81000000
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
760269.47000000
0.395262728697
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 5.57541000
68402YAA4
54010.27000000
NS
USD
47582.01000000
0.024737801334
Long
ABS-CBDO
CORP
US
N
2
2037-03-25
Variable
5.57541000
N
N
N
N
N
N
N/A
N/A
CHF/USD FWD 20240304 000018337 USD
N/A
1.00000000
NC
N/A
29152.22000000
0.015156186693
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-877870.23000000
CHF
1021881.19000000
USD
2024-03-04
29152.22000000
N
N
N
BONOS Y OBL 2.8% 05/31/26/EUR/
N/A
BONOS Y OBLIG DEL ESTADO /EUR/ REGD 2.80000000
E8922ANA4
1400000.00000000
NS
1504079.06000000
0.781967995416
Long
DBT
USGA
ES
N
2
2026-05-31
Fixed
2.80000000
N
N
N
N
N
N
UBS GROUP AG V/R 01/12/29
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R 144A P/P 3.86900000
225401AF5
250000.00000000
NS
USD
234935.27000000
0.122142423905
Long
DBT
CORP
CH
Y
2
2029-01-12
Variable
3.86900000
N
N
N
N
N
N
CWHL 2007-4 1A47 6% 05/25/37
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2007-4 SER 2007-4 CL 1A47 REGD 6.00000000
12544RBY3
497341.51000000
NS
USD
220529.58000000
0.114652931610
Long
ABS-CBDO
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
F/C CAN 10YR BOND FUT JUN24
N/A
FUTURE CONTRACT ON CAN 10YR BOND FUT JUN24 /CAD/ 0.00000000
N/A
63.00000000
NC
5564462.29000000
2.892953926560
N/A
DIR
CORP
CA
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C CAN 10YR BOND FUT JUN24
CAN 10YR BOND FUT JUN24 /CAD/
2024-06-19
5556040.23000000
CAD
8422.06000000
N
N
N
N/A
N/A
IRS P02.25RCN07 03/20/29 BARC FIXED
N/A
1.00000000
NC
65646.66000000
0.034129580346
N/A
DIR
CN
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2029-03-20
-8386719.61000000
CNY
8404502.09000000
CNY
8359010.38442545
CNY
47864.18000000
N
N
N
AUSTRALIAN 1.75% 06/21/51/AUD/
N/A
AUSTRALIAN GOVERNMENT /AUD/ REGD SER 162 1.75000000
Q08184NC5
50000.00000000
NS
18515.00000000
0.009625915166
Long
DBT
USGA
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20240318 000009049 USD
N/A
1.00000000
NC
N/A
82371.56000000
0.042824825745
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-210000000.00000000
JPY
1486294.24000000
USD
2024-03-18
82371.56000000
N
N
N
PACIFIC GAS & E 3.45% 07/01/25
N/A
PACIFIC GAS & ELECTRIC REGD 3.45000000
694308JL2
100000.00000000
NS
USD
97159.21000000
0.050512898357
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/ 4.59200000
N/A
104836.54000000
NS
113010.14000000
0.058753768327
Long
ABS-CBDO
CORP
IE
Y
2
2030-07-15
Variable
4.59200000
N
N
N
N
N
N
N/A
N/A
CCS JPY P USSOFR/JPYMUTKCALM-60.5 BPS /SHORT/
N/A
1.00000000
NC
N/A
-1526879.25000000
-0.79382177314
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
229000000.00000000
JPY
0.00000000
N/A
2025-03-19
39521.79000000
N
N
N
N/A
N/A
GBP/USD FWD 20240402 000004066 USD
N/A
1.00000000
NC
N/A
53448.82000000
0.027787945291
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-7879189.00000000
GBP
10001932.34000000
USD
2024-04-02
53448.82000000
N
N
N
FHR 2391 FJ V/R 04/15/28
N/A
FREDDIE MAC REMICS SER 2391 CL FJ V/R 5.93919000
31339LU24
6977.46000000
NS
USD
6961.85000000
0.003619453281
Long
ABS-CBDO
CORP
US
N
2
2028-04-15
Variable
5.93919000
N
N
N
N
N
N
JAPAN (2 0.005% 10/01/24/JPY/
N/A
JAPAN (2 YEAR ISSUE) /JPY/ REGD SER 441 0.00500000
J2S39LWW0
160000000.00000000
NS
1067420.07000000
0.554949772657
Long
DBT
USGA
JP
N
2
2024-10-01
Fixed
0.00500000
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
793369.97000000
NS
87322.64000000
0.045398883324
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
BPCE SA V/R 10/19/27
N/A
BPCE SA REGD V/R 144A P/P 6.61200000
05571AAQ8
400000.00000000
NS
USD
407997.67000000
0.212117254092
Long
DBT
CORP
FR
Y
2
2027-10-19
Variable
6.61200000
N
N
N
N
N
N
UMBS P#BV4128 2% 03/01/52
N/A
FANNIE MAE POOL UMBS P#BV4128 2.00000000
3140MHSS9
444212.45000000
NS
USD
350252.24000000
0.182095508997
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 6.45560000
92329YAL0
14939.95000000
NS
USD
14967.45000000
0.007781550308
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-15
Variable
6.45560000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.15 05/13/25 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
216518.54000000
0.112567599135
N/A
DIR
US
N
2
BARCLAYS - BZE
N/A
N/A
N/A
Y
2025-05-13
-13394662.75000000
USD
13400000.00000000
USD
13400000.00000000
USD
211181.29000000
N
N
N
N/A
N/A
IRS RCAONP03.25 12/20/33 BARC FLOAT
N/A
1.00000000
NC
45622.83000000
0.023719227179
N/A
DIR
CA
N
2
BARCLAYS
N/A
N/A
N/A
Y
2033-12-20
-1675234.73000000
CAD
1819637.53000000
CAD
1842095.56791806
CAD
-98779.97000000
N
N
N
US TIPS 0.625% 07/15/32
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000
91282CEZ0
105575.00000000
NS
USD
95477.84000000
0.049638757121
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.62500000
N
N
N
N
N
N
WAMU 02-AR9 1A V/R 8/25/42
N/A
WAMU 02-AR9 1A V/R 8/25/42 6.48101000
9393357P4
3877.76000000
NS
USD
3632.18000000
0.001888363842
Long
ABS-CBDO
CORP
US
N
2
2042-08-25
Variable
6.48101000
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
56655.67000000
NS
USD
51200.11000000
0.026618845010
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS RCAONP03.75 12/20/33 BARC FLOAT
N/A
1.00000000
NC
-25407.19000000
-0.01320915233
N/A
DIR
CA
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2033-12-20
-1476398.74000000
CAD
1466974.73000000
CAD
1473676.45433445
CAD
-15983.18000000
N
N
N
NORDEA KRED 1.5% 10/01/53/DKK/
N/A
NORDEA KREDIT REALKREDIT /DKK/ REGD 1.50000000
K7S724JW8
10.00000000
NS
0.99000000
0.000000514699
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
IRS R03.19PSOFR 10/25/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-4192.73000000
-0.00217979277
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-10-25
-200000.00000000
USD
200000.00000000
USD
200000.00000000
USD
-4192.73000000
N
N
N
N/A
N/A
IRS RSOFRP04.15 03/31/25 BARC FLOAT
N/A
1.00000000
NC
USD
168680.09000000
0.087696475106
N/A
DIR
US
N
2
CITIBANK
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2025-03-31
-9723062.14000000
USD
9700000.00000000
USD
9700000.00000000
USD
191742.23000000
N
N
N
N/A
N/A
IRS RSOFRP02.18 01/16/34 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
84730.45000000
0.044051208410
N/A
DIR
US
N
2
BANK OF AMERICA
N/A
N/A
N/A
Y
2034-01-16
-600000.00000000
USD
600000.00000000
USD
600000.00000000
USD
84730.45000000
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
476018.58000000
0.247481202739
Long
DBT
USGA
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
FNMA 30YR TBA 6.5% MAR 24
N/A
FNMA 30YR TBA 6.5% MAR 24 TO BE ANNOUNCED 6.50000000
01F062630
9700000.00000000
NS
USD
9871282.12000000
5.132061802369
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
6.50000000
N
N
N
N
N
N
ORO USD 1Y P 5.50000 L 03/26/24 JPM
N/A
ORO USD 1Y P 5.50000 L 03/26/24 JPM 0.00000000
N/A
11400000.00000000
NC
USD
259.92000000
0.000135131940
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Put
Written
ORO USD 1Y P 5.50000 L 03/26/24 JPM
0
11400000.00000000
USD
5.50000000
USD
2024-03-26
XXXX
259.92000000
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
276629.11000000
NS
USD
264282.07000000
0.137399772391
Long
ABS-CBDO
CORP
US
Y
2
2051-09-25
Fixed
1.84290000
N
N
N
N
N
N
US TREAS BDS 1.375% 11/15/40
N/A
UNITED STATES TREASURY BOND 1.37500000
912810ST6
200000.00000000
NS
USD
127019.53000000
0.066037224966
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
125965.30000000
0.065489132687
Long
DBT
CORP
GB
N
2
2025-01-21
Fixed
6.12500000
N
N
N
N
N
N
PACIFIC GAS & EL 4.4% 03/01/32
N/A
PACIFIC GAS & ELECTRIC REGD 4.40000000
694308KC0
200000.00000000
NS
USD
181918.97000000
0.094579344984
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
4.40000000
N
N
N
N
N
N
F/C EURO-BUND FUTURE MAR24
N/A
FUTURE CONTRACT ON EURO-BUND FUTURE MAR24 /EUR/ 0.00000000
N/A
22.00000000
NC
3154098.53000000
1.639810147248
N/A
DIR
CORP
DE
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C EURO-BUND FUTURE MAR24
EURO-BUND FUTURE MAR24 /EUR/
2024-03-07
3179897.23000000
EUR
-25798.70000000
N
N
N
N/A
N/A
TWD/USD FWD 20240620 000000902 USD
N/A
1.00000000
NC
N/A
26454.56000000
0.013753678116
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-54276428.00000000
TWD
1764869.00000000
USD
2024-06-20
26454.56000000
N
N
N
N/A
N/A
CCS USD R USSOFR/JPYMUTKCALM-60.5 BPS /LONG/
N/A
1.00000000
NC
N/A
6141801.96000000
3.193111781576
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
0.00000000
N/A
6144495.71000000
USD
2025-03-19
-2693.75000000
N
N
N
N/A
N/A
IRS RSOFRP03.70 02/20/49 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
6738.17000000
0.003503162451
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2049-02-20
-1197703.07000000
USD
1200000.00000000
USD
1200000.00000000
USD
4441.24000000
N
N
N
N/A
N/A
IRS R03.50PCAON 12/18/25 BARC FIXED
N/A
1.00000000
NC
-9780.73000000
-0.00508498391
N/A
DIR
CA
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2025-12-18
-2378121.28000000
CAD
2372738.30000000
CAD
2357882.32693512
CAD
-4397.75000000
N
N
N
NOMURA HOLDING 2.329% 01/22/27
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC REGD 2.32900000
65535HAZ2
200000.00000000
NS
USD
183489.66000000
0.095395943887
Long
DBT
CORP
JP
N
2
2027-01-22
Fixed
2.32900000
N
N
N
N
N
N
N/A
N/A
CDX 2I666VDI3 01.000 SP 12/20/2028 BARCUS3BXXX FIXED
N/A
1.00000000
NC
117976.36000000
0.061335697164
N/A
DCR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
iTRAXX Europe S40
2I666VDI3
Y
2028-12-20
-5689549.80000000
EUR
5794969.98000000
EUR
5728239.83003167
EUR
20142.25000000
N
N
N
N/A
N/A
THB/USD FWD 20240320 000015298 USD
N/A
1.00000000
NC
N/A
6862.70000000
0.003567905374
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-10172674.24000000
THB
290313.08000000
USD
2024-03-20
6862.70000000
N
N
N
N/A
N/A
CCS JPY P USSOFR/JPYMUTKCALM-60.5 BPS /SHORT/
N/A
1.00000000
NC
N/A
-5999501.96000000
-3.11913026776
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
899800000.00000000
JPY
0.00000000
N/A
2025-03-19
82843.05000000
N
N
N
N/A
N/A
IRS R02.10PER3M 05/17/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-18767.62000000
-0.00975725184
N/A
DIR
N/A
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-05-17
-1087399.99000000
EUR
1087399.99000000
EUR
1080799.96793050
EUR
12290.11000000
N
N
N
N/A
N/A
NOK/USD FWD 20240304 000011091 USD
N/A
1.00000000
NC
N/A
-7732.40000000
-0.00402006083
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA (FORMER
KD3XUN7C6T14HNAYLU02
-531431.73000000
USD
5561241.74000000
NOK
2024-03-04
-7732.40000000
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 6.58101000
93363RAB2
32218.97000000
NS
USD
28671.20000000
0.014906105261
Long
ABS-CBDO
CORP
US
N
2
2046-10-25
Variable
6.58101000
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 6.01541000
12669GTV3
2826.73000000
NS
USD
2560.06000000
0.001330970584
Long
ABS-CBDO
CORP
US
N
2
2035-04-25
Variable
6.01541000
N
N
N
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
0.14000000
0.000000072785
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
F/C 3 MONTH SOFR FUT SEP25
N/A
FUTURE CONTRACT ON 3 MONTH SOFR FUT SEP25 0.00000000
N/A
105.00000000
NC
USD
25249875.00000000
13.12736455374
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C 3 MONTH SOFR FUT SEP25
3 MONTH SOFR FUT SEP25
2025-12-16
25278547.20000000
USD
-28672.20000000
N
N
N
N/A
N/A
BRL/USD FWD 20240702 000000902 USD
N/A
1.00000000
NC
N/A
2521.48000000
0.001310912912
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
-1000000.00000000
BRL
201296.35000000
USD
2024-07-02
2521.48000000
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 5.99541000
86359LRW1
22053.20000000
NS
USD
17903.20000000
0.009307841447
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Variable
5.99541000
N
N
N
N
N
N
N/A
N/A
IRS R04.50PBW6M 09/15/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-6503.30000000
-0.00338105396
N/A
DIR
AU
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-09-15
-6997334.70000000
AUD
6739201.03000000
AUD
6759480.00334256
AUD
251630.37000000
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 4.26070200
36185MBL5
10521.22000000
NS
USD
8723.85000000
0.004535513908
Long
ABS-CBDO
CORP
US
N
2
2035-11-19
Variable
4.26070200
N
N
N
N
N
N
COLFR 1A A V/R 08/15/33 /EUR/
635400C8SJP8XE4FXA57
CVC CORDATUS OPPORTUNITY LOAN FUND DAC SER 1A CL A V/R REGD 144A P/P /EUR/ 0.00000000
N/A
500000.00000000
NS
540427.00000000
0.280967024339
Long
ABS-CBDO
CORP
IE
Y
2
2033-08-15
Variable
0.00000000
N
N
N
N
N
N
SUMITOMO MITSUI 5.2% 03/07/29
N/A
SUMITOMO MITSUI TR BK LT REGD 144A P/P MTN 5.20000000
86563VBQ1
200000.00000000
NS
USD
200470.88000000
0.104224449593
Long
DBT
CORP
JP
Y
2
2029-03-07
Fixed
5.20000000
N
N
N
N
N
N
N/A
N/A
USD/ZAR FWD 20240320 000009049 USD
N/A
1.00000000
NC
N/A
-18581.48000000
-0.00966047799
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
-1863498.27000000
USD
35433016.23000000
ZAR
2024-03-20
-18581.48000000
N
N
N
SYMP 2023-39A A V/R 04/25/34
N/A
SYMPHONY CLO 39 LTD SER 2023-39A CL A V/R REGD 144A P/P 7.00193000
87169TAA8
900000.00000000
NS
USD
900448.20000000
0.468141398053
Long
ABS-CBDO
CORP
BM
Y
2
2034-04-25
Variable
7.00193000
N
N
N
N
N
N
BUONI POLIENN 0% 04/01/26/EUR/
N/A
BUONI POLIENNALI DEL TES /EUR/ REGD REG S SER 5Y 0.00000000
T6052BZB7
600000.00000000
NS
606074.58000000
0.315097082992
Long
DBT
USGA
IT
N
2
2026-04-01
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
ILS/USD FWD 20240320 000004066 USD
N/A
1.00000000
NC
N/A
-8636.59000000
-0.00449014759
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1623000.00000000
ILS
445755.64000000
USD
2024-03-20
-8636.59000000
N
N
N
ORO USD 1Y P 5.25000 L 07/10/24 DUB
N/A
ORO USD 1Y P 5.25000 L 07/10/24 DUB 0.00000000
N/A
-16300000.00000000
NC
USD
-8391.24000000
-0.00436259056
N/A
DIR
CORP
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
ORO USD 1Y P 5.25000 L 07/10/24 DUB
0
-16300000.00000000
USD
5.25000000
USD
2024-07-10
XXXX
-8391.24000000
N
N
N
N/A
N/A
KRW/USD FWD 20240304 000004066 USD
N/A
1.00000000
NC
N/A
344.87000000
0.000179297292
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
0.00000000
N/A
344.87000000
USD
2024-03-04
344.87000000
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 6.55942000
83611GAL5
252827.21000000
NS
USD
253414.33000000
0.131749653931
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-20
Variable
6.55942000
N
N
N
N
N
N
N/A
N/A
IRS R00.80PMUTK 06/15/52 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-117233.14000000
-0.06094929842
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2052-06-15
-850988.02000000
JPY
776762.14000000
JPY
800453.59036788
JPY
-48368.44000000
N
N
N
N/A
N/A
TWD/USD FWD 20240318 000011553 USD
N/A
1.00000000
NC
N/A
-167.67000000
-0.00008717133
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-295224.23000000
USD
9315505.00000000
TWD
2024-03-18
-167.67000000
N
N
N
REALKREDIT 2.5% 07/01/47/DKK/
N/A
REALKREDIT DANMARK /DKK/ REGD MTN SER 23S 2.50000000
K8094KQM8
0.86000000
NS
0.11000000
0.000000057188
Long
DBT
CORP
DK
N
2
2047-07-01
Fixed
2.50000000
N
N
N
N
N
N
F/C US 5YR NOTE (CBT) JUN24
N/A
FUTURE CONTRACT ON US 5YR NOTE (CBT) JUN24 0.00000000
N/A
-111.00000000
NC
USD
-11866593.75000000
-6.16942072653
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Short
F/C US 5YR NOTE (CBT) JUN24
US 5YR NOTE (CBT) JUN24
2024-06-28
11880500.71000000
USD
13906.96000000
N
N
N
N/A
N/A
KRW/USD FWD 20240304 000011553 USD
N/A
1.00000000
NC
N/A
-189.41000000
-0.00009847391
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-189.41000000
USD
0.00000000
N/A
2024-03-04
-189.41000000
N
N
N
N/A
N/A
IRS R03.37PER6M 10/09/28 BARCUS3BXXX FIXED
N/A
1.00000000
NC
15085.55000000
0.007842950285
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2028-10-09
-746635.94000000
EUR
746635.94000000
EUR
767367.97723066
EUR
15085.55000000
N
N
N
NYKREDIT REAL 1% 10/01/50/DKK/
N/A
NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01EE 1.00000000
K74181Y26
2.58000000
NS
0.27000000
0.000000140372
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240620 000006038 USD
N/A
1.00000000
NC
N/A
-2492.97000000
-0.00129609061
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-472202.00000000
USD
7402238552.00000000
IDR
2024-06-20
-2492.97000000
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 4.17643100
93363EAF2
20499.71000000
NS
USD
17229.17000000
0.008957414464
Long
ABS-CBDO
CORP
US
N
2
2036-09-25
Variable
4.17643100
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 6.52814000
92916MAF8
227990.86000000
NS
USD
228181.92000000
0.118631369399
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Variable
6.52814000
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
25564.16000000
NS
USD
11498.52000000
0.005978059846
Long
ABS-CBDO
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
KRW/USD FWD 20240620 000011553 USD
N/A
1.00000000
NC
N/A
2901.66000000
0.001508567809
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-252859732.00000000
KRW
193392.00000000
USD
2024-06-20
2901.66000000
N
N
N
FNMA 30YR TBA 6% APR 24
N/A
FNMA 30YR TBA 6% APR 24 TO BE ANNOUNCED 6.00000000
01F060642
-6500000.00000000
NS
USD
-6525986.09000000
-3.39284841909
Short
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#FM1796 3.5% 10/01/34
N/A
FANNIE MAE POOL UMBS P#FM1796 3.50000000
3140X47J9
20480.27000000
NS
USD
19397.61000000
0.010084782516
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP02.96 11/30/26 BARC FLOAT
N/A
1.00000000
NC
USD
401451.78000000
0.208714057666
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2026-11-30
-6603696.53000000
USD
6600000.00000000
USD
6600000.00000000
USD
270998.18000000
N
N
N
N/A
N/A
IRS R03.75PNF3F 06/15/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-46020.54000000
-0.02392599589
N/A
DIR
NZ
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-06-15
-1159579.91000000
NZD
1141284.30000000
NZD
1095839.88556802
NZD
-14969.35000000
N
N
N
N/A
N/A
IRS R00.25PMUTK 03/15/32 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-11308.55000000
-0.00587929478
N/A
DIR
JP
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2032-03-15
-411573.44000000
JPY
410094.74000000
JPY
333522.32931995
JPY
-10746.66000000
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/ 5.50300000
G021A3AA9
213468.00000000
NS
263185.81000000
0.136829828790
Long
ABS-CBDO
CORP
GB
N
2
2039-03-17
Variable
5.50300000
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 6.58200000
92558EAJ1
41087.73000000
NS
USD
41102.15000000
0.021368933786
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Variable
6.58200000
N
N
N
N
N
N
JAPAN TREASU ZCP 06/03/24/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1215 0.00000000
J2S39LW26
920000000.00000000
PA
6138774.64000000
3.191537883358
Long
STIV
USGA
JP
N
2
2024-06-03
Fixed
0.00000000
N
N
N
N
N
N
F/C US ULTRA BOND CBT JUN24
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT JUN24 0.00000000
N/A
1.00000000
NC
USD
127875.00000000
0.066481982279
N/A
DIR
CORP
US
N
1
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Long
F/C US ULTRA BOND CBT JUN24
US ULTRA BOND CBT JUN24
2024-06-18
125545.85000000
USD
2329.15000000
N
N
N
SANDS CHINA LTD 5.4% 08/08/28
N/A
SANDS CHINA LTD REGD SER WI 5.65000000
80007RAE5
200000.00000000
NS
USD
195318.50000000
0.101545736507
Long
DBT
CORP
MO
N
2
2028-08-08
Variable
5.65000000
N
N
N
N
N
N
N/A
N/A
SEK/USD FWD 20240304 000003534 USD
N/A
1.00000000
NC
N/A
-1909.22000000
-0.00099260004
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-1379799.35000000
USD
14283140.20000000
SEK
2024-03-04
-1909.22000000
N
N
N
N/A
N/A
IRS RSOFRP03.75 06/20/31 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
1818.60000000
0.000945486865
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2031-06-20
-402001.40000000
USD
400000.00000000
USD
400000.00000000
USD
3820.00000000
N
N
N
FRANCE (GOVT 2% 05/25/48/EUR/
N/A
FRANCE (GOVT OF) /EUR/ REGD 2.00000000
F26348BT2
3300000.00000000
NS
2817595.57000000
1.464862864169
Long
DBT
USGA
FR
Y
2
2048-05-25
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS R04.25PNF3F 03/18/30 BARCUS3BXXX FIXED
N/A
1.00000000
NC
12663.95000000
0.006583964805
N/A
DIR
NZ
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2030-03-18
-4117749.58000000
NZD
4107909.55000000
NZD
4078959.57405873
NZD
22503.98000000
N
N
N
N/A
N/A
IRS RER6MP03.00 03/15/33 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-58704.71000000
-0.03052047303
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2033-03-15
-3429196.22000000
EUR
3395732.45000000
EUR
3415327.89866039
EUR
-25240.94000000
N
N
N
ORO USD 10Y C 3.30000 L 03/01/24 JPM
N/A
ORO USD 10Y C 3.30000 L 03/01/24 JPM 0.00000000
N/A
-500000.00000000
NC
USD
-0.05000000
-0.00000002599
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
ORO USD 10Y C 3.30000 L 03/01/24 JPM
0
-500000.00000000
USD
3.30000000
USD
2024-03-01
XXXX
-0.05000000
N
N
N
CASH COLLATERAL ISDA BRC
N/A
CASH COLLATERAL ISDA BRC 5.23000000
N/A
-580000.00000000
NS
USD
-580000.00000000
-0.30154095579
Short
STIV
CORP
US
N
2
2049-12-31
Floating
5.23000000
N
N
N
N
N
N
CHINA GOVER 2.6% 09/15/30/CNY/
N/A
CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.60000000
N/A
6000000.00000000
NS
848362.77000000
0.441062276768
Long
DBT
USGA
CN
N
2
2030-09-15
Fixed
2.60000000
N
N
N
N
N
N
ORO USD 1Y P 5.50000 L 03/26/24 BRC
N/A
ORO USD 1Y P 5.50000 L 03/26/24 BRC 0.00000000
N/A
4800000.00000000
NC
USD
109.44000000
0.000056897658
N/A
DIR
CORP
US
N
2
BARCLAYS CAPITAL (TRADING AS B
K9WDOH4D2PYBSLSOB484
Put
Written
ORO USD 1Y P 5.50000 L 03/26/24 BRC
0
4800000.00000000
USD
5.50000000
USD
2024-03-26
XXXX
109.44000000
N
N
N
N/A
N/A
IRS RSG1DP02.75 03/20/29 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
86288.40000000
0.044861183810
N/A
DIR
SG
N
2
BARCLAYS
N/A
N/A
N/A
Y
2029-03-20
-8023662.47000000
SGD
8011815.54000000
SGD
7955854.48329679
SGD
98135.33000000
N
N
N
N/A
N/A
EUR/USD FWD 20240304 000003534 USD
N/A
1.00000000
NC
N/A
-115119.92000000
-0.05985063915
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-26033517.40000000
USD
23980764.00000000
EUR
2024-03-04
-115119.92000000
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 6.55560000
26245EAJ8
141931.69000000
NS
USD
142010.60000000
0.073831055270
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Variable
6.55560000
N
N
N
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
330392.44000000
0.171770434732
Long
DBT
CORP
FR
Y
2
2033-01-21
Variable
3.33700000
N
N
N
N
N
N
NATIONWIDE BLDG S V/R 02/16/28
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P MTN 2.97200000
63861VAF4
300000.00000000
NS
USD
277574.81000000
0.144310643985
Long
DBT
CORP
GB
Y
2
2028-02-16
Variable
2.97200000
N
N
N
N
N
N
FNR 2006-48 TF V/R 06/25/36
N/A
FANNIE MAE REMICS SER 2006-48 CL TF V/R 5.83613000
31395NLE5
4217.37000000
NS
USD
4159.53000000
0.002162532158
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Variable
5.83613000
N
N
N
N
N
N
JPMMT 2022-LTV2 V/R 09/25/52
N/A
J.P. MORGAN MORTGAGE TRUST 2022-LTV2 SER 2022-LTV2 CL A3 V/R REGD 144A P/P 3.50000000
46655LAE4
813794.30000000
NS
USD
707913.40000000
0.368042902164
Long
ABS-CBDO
CORP
US
Y
2
2052-09-25
Variable
3.50000000
N
N
N
N
N
N
RAST 2005-A15 5.75% 02/25/36
N/A
RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A15 SER 2005-A15 CL 5A1 REGD 5.75000000
45660L4G1
13320.30000000
NS
USD
4828.57000000
0.002510364849
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
SEK/USD FWD 20240304 000006038 USD
N/A
1.00000000
NC
N/A
-7647.02000000
-0.00397567193
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-9587862.10000000
SEK
917291.08000000
USD
2024-03-04
-7647.02000000
N
N
N
N/A
N/A
IRS R00.70PER6M 04/11/27 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-20591.18000000
-0.01070531741
N/A
DIR
N/A
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2027-04-11
-217979.99000000
EUR
217979.99000000
EUR
216159.99358610
EUR
-16712.94000000
N
N
N
N/A
N/A
IRS P06.25RIN00 03/20/29 BARC FIXED
N/A
1.00000000
NC
-1269.04000000
-0.00065977161
N/A
DIR
IN
N
2
BNP
N/A
N/A
N/A
Y
2029-03-20
-411352.82000000
INR
409773.40000000
INR
411399.96380964
INR
310.38000000
N
N
N
JAPAN (30 Y 0.7% 12/20/51/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 73 0.70000000
J2S39LSJ4
210000000.00000000
NS
1096773.38000000
0.570210505679
Long
DBT
USGA
JP
N
2
2051-12-20
Fixed
0.70000000
N
N
N
N
N
N
N/A
N/A
IRS R02.91PSOFR 11/14/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
USD
-9362.77000000
-0.00486768726
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-11-14
-400000.00000000
USD
400000.00000000
USD
400000.00000000
USD
-9362.77000000
N
N
N
N/A
N/A
IDR/USD FWD 20240301 000001394 USD
N/A
1.00000000
NC
N/A
-209.10000000
-0.00010871071
N/A
DFE
N/A
N
2
HSBC BANK PLC
N/A
-209.10000000
USD
0.00000000
N/A
2024-03-01
-209.10000000
N
N
N
CHINA GOVE 3.29% 05/23/29/CNY/
N/A
CHINA GOVERNMENT BOND /CNY/ REGD SER 1906 3.29000000
Y6S39BUN8
7100000.00000000
NS
1037165.10000000
0.539220268223
Long
DBT
USGA
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
N/A
N/A
INR/USD FWD 20240320 000006038 USD
N/A
1.00000000
NC
N/A
-304.41000000
-0.00015826221
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
549300H041M8GSCMYP92
-16404025.21000000
INR
197484.16000000
USD
2024-03-20
-304.41000000
N
N
N
N/A
N/A
TRS SOFRINDX/IBOXIG INDX 03/20/24 BPS /LONG/
N/A
1.00000000
NC
USD
-73066.90000000
-0.03798734976
N/A
DE
US
N
2
BNP
N/A
iBoxx US Dollar Liquid Investment Grade Index
GB00B4K4X773
Y
2024-03-20
-1800000.00000000
USD
1822442.31000000
USD
1800000.00000000
USD
-95509.21000000
N
N
N
N/A
N/A
IRS R03.98PSOFR 11/30/27 BARC FIXED
N/A
1.00000000
NC
USD
-77959.11000000
-0.04053080093
N/A
DIR
US
N
2
JP MORGAN
N/A
N/A
N/A
Y
2027-11-30
-6500000.00000000
USD
6500000.00000000
USD
6500000.00000000
USD
-55362.18000000
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/ 6.55152000
N/A
299058.00000000
NS
378418.01000000
0.196738842112
Long
ABS-CBDO
CORP
GB
Y
2
2045-07-20
Variable
6.55152000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000003534 USD
N/A
1.00000000
NC
N/A
-481.72000000
-0.00025044536
N/A
DFE
N/A
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
-2364040.96000000
CNY
328074.74000000
USD
2024-03-26
-481.72000000
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
136416.21000000
0.070922541981
Long
DBT
CORP
US
Y
2
2027-01-06
Fixed
2.25000000
N
N
N
N
N
N
UMBS P#QF1922 4.5% 10/01/52
N/A
FREDDIE MAC POOL UMBS P#QF1922 4.50000000
3133BPD39
343104.22000000
NS
USD
324951.86000000
0.168941886985
Long
ABS-MBS
USGA
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
IRS R00.50PST3M 06/19/24 BARCUS3BXXX FIXED
N/A
1.00000000
NC
-20819.68000000
-0.01082411414
N/A
DIR
SE
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2024-06-19
-553291.79000000
SEK
559552.82000000
SEK
463054.51984623
SEK
-13534.51000000
N
N
N
US TIPS 2.375% 01/15/25
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 2.37500000
912810FR4
325466.00000000
NS
USD
325563.93000000
0.169260101076
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.37500000
N
N
N
N
N
N
UMBS TBA 30YR 2% APR 24
N/A
UMBS TBA 30YR 2% APR 24 TO BE ANNOUNCED 2.00000000
01F020646
-17250000.00000000
NS
USD
-13570184.29000000
-7.05511438121
Short
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
2.00000000
N
N
N
N
N
N
JAPAN (20 YEA 1% 12/20/35/JPY/
N/A
JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 155 1.00000000
J2S39KLV6
200000000.00000000
NS
1353465.60000000
0.703664328720
Long
DBT
USGA
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
UMBS P#RA6433 2.5% 12/01/51
N/A
FREDDIE MAC POOL UMBS P#RA6433 2.50000000
3133KNEE9
381675.48000000
NS
USD
313878.77000000
0.163185007429
Long
ABS-MBS
USGA
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
JAPAN (2 0.005% 03/01/24/JPY/
N/A
JAPAN (2 YEAR ISSUE) /JPY/ REGD SER 434 0.00500000
J2S39LSW5
160000000.00000000
NS
1067271.45000000
0.554872505386
Long
DBT
USGA
JP
N
2
2024-03-01
Fixed
0.00500000
N
N
N
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
175446.26000000
0.091214194708
Long
DBT
USGA
RO
Y
2
2030-07-13
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20240320 000004066 USD
N/A
1.00000000
NC
N/A
421.72000000
0.000219251468
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-208795.56000000
USD
3289347319.00000000
IDR
2024-03-20
421.72000000
N
N
N
BANCA MON 0.875% 10/08/26/EUR/
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S /EUR/ REGD REG S 0.87500000
T1188BJA5
100000.00000000
NS
100106.61000000
0.052045246311
Long
DBT
CORP
IT
N
2
2026-10-08
Fixed
0.87500000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYEC5 01.000 BP 06/20/2033 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
-8176.06000000
-0.00425071887
N/A
DCR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
CDX.NA.IG.40
2I65BYEC5
Y
2033-06-20
-495152.16000000
USD
500000.00000000
USD
500000.00000000
USD
-9648.90000000
N
N
N
UMBS P#MA5073 6% 07/01/53
N/A
FANNIE MAE POOL UMBS P#MA5073 6.00000000
31418ET75
7042316.12000000
NS
USD
7077113.26000000
3.679378442553
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
TWD/USD FWD 20240620 000004066 USD
N/A
1.00000000
NC
N/A
10231.19000000
0.005319177261
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-42283178.00000000
TWD
1364515.00000000
USD
2024-06-20
10231.19000000
N
N
N
N/A
N/A
SEK/USD FWD 20240304 000004334 USD
N/A
1.00000000
NC
N/A
-2637.64000000
-0.00137130428
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK NA
N/A
-4715000.00000000
SEK
452216.96000000
USD
2024-03-04
-2637.64000000
N
N
N
N/A
N/A
IRS PSOFRR03.75 06/20/34 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
61395.84000000
0.031919586681
N/A
DIR
US
N
2
BARCLAYS
N/A
N/A
N/A
Y
2034-06-20
-13361129.04000000
USD
13200000.00000000
USD
13200000.00000000
USD
222524.88000000
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 5.85700000
589929M70
2147.76000000
NS
USD
1951.42000000
0.001014539744
Long
ABS-CBDO
CORP
US
N
2
2033-02-25
Variable
5.85700000
N
N
N
N
N
N
N/A
N/A
IRS R00.30PSS1D 02/15/27 BARC FIXED
N/A
1.00000000
NC
-7551.52000000
-0.00392602165
N/A
DIR
CH
N
2
JPMORGAN
N/A
N/A
N/A
Y
2027-02-15
-216111.08000000
CHF
216111.08000000
CHF
226167.59018433
CHF
-5359.13000000
N
N
N
N/A
N/A
CNH/USD FWD 20240326 000015513 USD
N/A
1.00000000
NC
N/A
56794.60000000
0.029527410289
N/A
DFE
N/A
N
2
NATWEST MARKETS PLC
N/A
-56382000.00000000
CNY
7892813.85000000
USD
2024-03-26
56794.60000000
N
N
N
FNCL 30YR TBA 4.0% MARCH 24
N/A
FNCL 30YR TBA 4.0% MARCH 24 TO BE ANNOUNCED 4.00000000
01F040636
850000.00000000
NS
USD
782030.86000000
0.406576436180
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
4.00000000
N
N
N
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 5.89541000
86359LJA8
22143.95000000
NS
USD
19642.68000000
0.010212193968
Long
ABS-CBDO
CORP
US
N
2
2045-05-25
Variable
5.89541000
N
N
N
N
N
N
N/A
N/A
IRS R04.19PSOFR 11/30/27 BARC FIXED
N/A
1.00000000
NC
USD
-5027.37000000
-0.00261372061
N/A
DIR
US
N
2
DEUTSCHE BANK AG
N/A
N/A
N/A
Y
2027-11-30
-1380000.00000000
USD
1379475.71000000
USD
1380000.00000000
USD
-469.92000000
N
N
N
N/A
N/A
INR/USD FWD 20240620 000015298 USD
N/A
1.00000000
NC
N/A
-536.63000000
-0.00027899297
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-1273420.00000000
USD
105956720.71000000
INR
2024-06-20
-536.63000000
N
N
N
US TREAS NTS 4.5% 11/15/33
N/A
UNITED STATES TREASURY NOTE 4.50000000
91282CJJ1
3400000.00000000
NS
USD
3462421.89000000
1.800106907020
Long
DBT
UST
US
N
2
2033-11-15
Fixed
4.50000000
N
N
N
N
N
N
KEURIG DR PEPPER 0% 03/28/24
N/A
KEURIG DR PEPPER 0% 03/28/24 0.00000000
49271JCU9
500000.00000000
PA
USD
497900.00000000
0.258857313602
Long
STIV
CORP
US
N
2
2024-03-28
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP03.50 06/20/54 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
USD
8531.25000000
0.004435381515
N/A
DIR
US
N
2
BARCLAYS BANK
N/A
N/A
N/A
Y
2054-06-20
-509747.44000000
USD
500000.00000000
USD
500000.00000000
USD
18278.69000000
N
N
N
N/A
N/A
IDR/USD FWD 20240320 000015298 USD
N/A
1.00000000
NC
N/A
-1216.95000000
-0.00063269011
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-47754.00000000
USD
731662911.00000000
IDR
2024-03-20
-1216.95000000
N
N
N
N/A
N/A
IRS RKL3MP03.75 09/20/33 GST LONG
N/A
1.00000000
NC
3835.21000000
0.001993918774
N/A
DIR
MY
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2033-09-20
-321550.26000000
MYR
331114.81000000
MYR
318196.18586029
MYR
-5569.31000000
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 6.73904000
92332NAS4
400000.00000000
NS
USD
400832.00000000
0.208391835159
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-30
Variable
6.73904000
N
N
N
N
N
N
JAPAN TREASU ZCP 04/08/24/JPY/
N/A
JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1204 0.00000000
J2S39LT53
920000000.00000000
PA
6139805.62000000
3.192073888004
Long
STIV
USGA
JP
N
2
2024-04-08
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
IRS RSG1DP03.00 03/20/29 BARCUS3BXXX FLOAT
N/A
1.00000000
NC
-1298.07000000
-0.00067486425
N/A
DIR
SG
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
N/A
N/A
Y
2029-03-20
-1998304.35000000
SGD
2002447.44000000
SGD
2006614.39560031
SGD
-5441.16000000
N
N
N
N/A
N/A
CCS USD R USSOFR/JPYMUTKCALM -59.12 BPS /LONG/
N/A
1.00000000
NC
N/A
2596334.03000000
1.349829387872
N/A
DFE
N/A
N
2
UBS
549300WCGB70D06XZS54
0.00000000
N/A
2596752.37000000
USD
2025-02-03
-418.34000000
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
191711.03000000
0.099670219348
Long
DBT
CORP
GB
N
2
2028-03-13
Fixed
4.04100000
N
N
N
N
N
N
2024-03-28
Morgan Stanley Pathway Funds
Francis Smith
Francis Smith
Chief Financial Officer