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 2026-08-31 2026-08-31 N 363921779.70 160126410.46 203795369.24 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5567478.57000000 ARS AUD BRL CAD CHF CLP CNY CNY COP CZK DKK EUR GBP HKD HUF IDR ILS INR JPY KRW KZT MXN MYR NGN NOK NZD PEN PLN RON RUB SEK SGD THB TRY TWD USD ZAR N Securities Portfolio SEC_PORT N/A N/A N/A 1.00000000 NC 53105.03000000 0.026058016037 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-06-17 -2800708.94000000 CAD 2823164.54000000 CAD 2813954.32735669 CAD 30649.43000000 N N N INTESA SANPAOL DISC 10/06/26 N/A 4611K1K61 300000.00000000 PA USD 298818.75000000 0.146626859635 Long STIV CORP US N 2 2026-10-06 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 19793.87000000 0.009712620102 N/A DIR SG N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -3921349.86000000 SGD 3910324.02000000 SGD 3933755.55642972 SGD 30819.71000000 N N N N/A N/A N/A 1.00000000 NC USD 5688.66000000 0.002791358813 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-03-12 -200000.00000000 USD 200000.00000000 USD 200000.00000000 USD 5688.66000000 N N N GNR 2024-H07 JF V/R 04/20/74 N/A 38383KVX7 447563.34000000 PA USD 451997.98000000 0.221790113134 Long ABS-CBDO CORP US N 2 2074-04-20 Variable 4.42884000 N N N N N N N/A N/A N/A 1.00000000 NC -19113.93000000 -0.00937898151 N/A DIR AU N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -988050.00000000 AUD 974531.29000000 AUD 1003239.92032670 AUD -5595.22000000 N N N N/A N/A N/A 1.00000000 NC -15056.71000000 -0.00738815119 N/A DIR CA N 2 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2053-06-21 -148033.01000000 CAD 137447.36000000 CAD 144305.35012086 CAD -4471.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -7517.06000000 -0.00368853327 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -830269.00000000 USD 7865685.47000000 SEK 2026-10-02 -7517.06000000 N N N CARVL 2018-1A AR V/R 07/16/31 N/A 146865AJ9 77473.78000000 PA USD 77505.85000000 0.038031212529 Long ABS-CBDO CORP KY Y 2 2031-07-16 Variable 5.02286000 N N N N N N N/A N/A N/A 1.00000000 NC 1377.36000000 0.000675854414 N/A DIR CN N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-06-17 -1224811.17000000 CNY 1221341.68000000 CNY 1250046.50470628 CNY 4846.85000000 N N N N/A N/A N/A 1.00000000 NC N/A 9867.94000000 0.004842082544 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -5957281.21000000 THB 189617.34000000 USD 2026-09-16 9867.94000000 N N N N/A N/A N/A 1.00000000 NC -59424.23000000 -0.02915877344 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2029-10-11 -1891350.00000000 EUR 1891350.00000000 EUR 2090969.99621848 EUR -59424.23000000 N N N RFTE 2018-1 V/R 08/29/36 /EUR/ N/A G7612RBB3 300000.00000000 PA 348942.12000000 0.171221810044 Long ABS-CBDO CORP IE Y 2 2036-08-29 Variable 3.81400000 N N N N N N QUEENSLAND 1.75% 07/20/34/AUD/ N/A Q7943QD89 200000.00000000 PA 109662.72000000 0.053810211885 Long DBT USGA AU Y 2 2034-07-20 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 15150.17000000 0.007434010918 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-03-25 -500000.00000000 USD 500000.00000000 USD 500000.00000000 USD 15150.17000000 N N N JAPAN (40 Y 2.2% 03/20/64/JPY/ N/A J2S39L2J2 120000000.00000000 PA 477460.87000000 0.234284454931 Long DBT USGA JP N 2 2064-03-20 Fixed 2.20000000 N N N N N N UBS GROUP AG 4.282% 01/09/28 549300SZJ9VS8SGXAN81 225401AC2 250000.00000000 PA USD 249011.84000000 0.122187192441 Long DBT CORP CH Y 2 2028-01-09 Fixed 4.28200000 N N N N N N N/A N/A N/A 1.00000000 NC -11763.23000000 -0.00577207914 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-04-12 -544949.98000000 EUR 544949.98000000 EUR 580824.99894958 EUR -11763.23000000 N N N GENERALITA 4.22% 04/26/35/EUR/ 95980020140005848404 E5645NBY9 100000.00000000 PA 117065.75000000 0.057442791971 Long DBT USGA ES N 2 2035-04-26 Fixed 4.22000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -15038.36000000 -0.00737914706 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -14599835.00000000 TWD 449530.00000000 USD 2027-01-20 -15038.36000000 N N N N/A N/A N/A 1.00000000 NC N/A 517.05000000 0.000253710377 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -11700.00000000 USD 16614000.00000000 NGN 2026-10-09 517.05000000 N N N NYKREDIT REAL 1% 10/01/53/DKK/ N/A K741813A2 1.09000000 PA 0.13000000 0.000000063789 Long DBT CORP DK N 2 2053-10-01 Fixed 1.00000000 N N N N N N UMBS P#CA6106 4% 06/01/50 N/A 3140QDYC2 65394.03000000 PA USD 60447.63000000 0.029660943830 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4.00000000 N N N N N N QATAR ENERGY 4.625% 06/23/29 N/A 746970AA0 600000.00000000 PA USD 593813.69000000 0.291377420504 Long DBT CORP QA Y 2 2029-06-23 Fixed 4.62500000 N N N N N N US TIPS 1.25% 04/15/31 N/A 91282CQP9 922050.00000000 PA USD 885088.57000000 0.434302591516 Long DBT UST US N 2 2031-04-15 Fixed 1.25000000 N N N N N N JYSKE REALKRE 1% 10/01/50/DKK/ N/A K5S69JAF0 8.17000000 PA 0.96000000 0.000000471060 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 36087.94000000 0.017707929348 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2056-06-17 -388134.46000000 USD 400000.00000000 USD 400000.00000000 USD 24222.40000000 N N N ATHENE GLOBAL 5.516% 03/25/27 549300LM1QSI4MSIL320 04685A3T6 300000.00000000 PA USD 301509.83000000 0.147947341062 Long DBT CORP US Y 2 2027-03-25 Fixed 5.51600000 N N N N N N BSARM 2003-7 6A V/R 10/25/33 N/A 07384MYW6 1032.45000000 PA USD 1003.73000000 0.000492518551 Long ABS-CBDO CORP US N 2 2033-10-25 Variable 5.43807000 N N N N N N N/A N/A N/A 1.00000000 NC -930.89000000 -0.00045677681 N/A DIR CN N 2 BNP N/A N/A N/A Y 2032-03-17 -9147173.28000000 CNY 9066665.12000000 CNY 9479519.32735593 CNY 79577.27000000 N N N KOREA NATIONAL 4.25% 09/30/29 N/A 50065LAL4 400000.00000000 PA USD 394590.93000000 0.193621146285 Long DBT USGA KR Y 2 2029-09-30 Fixed 4.25000000 N N N N N N JPMMT 2021-INV8 V/R 09/25/43 N/A 46654RAG7 663307.86000000 PA USD 555357.23000000 0.272507286142 Long ABS-CBDO CORP US Y 2 2052-05-25 Variable 3.00000000 N N N N N N FHR 4579 SD V/R 01/15/38 N/A 3137BPS83 38096.06000000 PA USD 1543.05000000 0.000757156556 Long ABS-CBDO CORP US N 2 2038-01-15 Variable 1.91873200 N N N N N N RALI 2007-QO2 A1 V/R 02/25/47 N/A 75116AAA8 40184.27000000 PA USD 11419.51000000 0.005603419764 Long ABS-CBDO CORP US N 2 2047-02-25 Variable 3.93175000 N N N N N N REPUBLIC O 1.65% 03/03/33/EUR/ N/A X77765CC1 100000.00000000 PA 96291.39000000 0.047249056913 Long DBT USGA RS Y 2 2033-03-03 Fixed 1.65000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 291033.59000000 0.142806772835 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 240855.25000000 N N N N/A N/A N/A 1.00000000 NC N/A -185.92000000 -0.00009122876 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -12734323.00000000 HUF 34560.00000000 EUR 2026-10-22 -185.92000000 N N N JAPAN (5 YE 0.4% 06/20/29/JPY/ N/A J2S39L3Z5 50000000.00000000 PA 300691.75000000 0.147545918791 Long DBT USGA JP N 2 2029-06-20 Fixed 0.40000000 N N N N N N GNMA II P#MB0552 3.5% 08/20/55 N/A 3618N5TJ8 99387.81000000 PA USD 86930.78000000 0.042655915256 Long ABS-MBS USGSE US N 2 2055-08-20 Fixed 3.50000000 N N N N N N CWHL 2005-HYB9 3 V/R 02/20/36 N/A 126670JY5 3668.29000000 PA USD 3229.34000000 0.001584599302 Long ABS-CBDO CORP US N 2 2036-02-20 Variable 6.22417000 N N N N N N RMACS 06-NS1X A2A V/R 6/12/44 N/A G7604CAA9 95169.04000000 PA 128127.84000000 0.062870829929 Long ABS-CBDO CORP GB N 2 2044-06-12 Variable 4.01482000 N N N N N N CWALT 2005-21C 5.25% 06/25/35 N/A 12667GKC6 2545.49000000 PA USD 1808.73000000 0.000887522619 Long ABS-CBDO CORP US N 2 2035-06-25 Fixed 5.25000000 N N N N N N RD MICHIGAN PROP 7.5% 03/30/45 N/A 74941YAA0 900000.00000000 PA USD 858563.56000000 0.421287079879 Long DBT CORP US Y 2 2045-03-30 Fixed 7.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 699.81000000 0.000343388567 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -154589.05000000 ILS 52476.00000000 USD 2026-10-20 699.81000000 N N N N/A N/A N/A 1.00000000 NC USD 10042.62000000 0.004927795973 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2036-09-16 -194858.27000000 USD 200000.00000000 USD 200000.00000000 USD 4900.89000000 N N N N/A N/A N/A 1.00000000 NC 5892.17000000 0.002891218785 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-06-01 -206247.67000000 CAD 208768.26000000 CAD 216458.02518128 CAD 3371.58000000 N N N N/A N/A N/A 1.00000000 NC N/A 821.11000000 0.000402909056 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -26151.30000000 USD 12516012.18000000 KZT 2026-09-16 821.11000000 N N N N/A N/A N/A 1.00000000 NC N/A -32278.83000000 -0.01583884369 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -94000.00000000 USD 1939448.00000000 TWD 2027-01-22 -32278.83000000 N N N N/A N/A N/A 1.00000000 NC USD 109831.37000000 0.053892966464 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-03-19 -12498186.94000000 USD 12760000.00000000 USD 12760000.00000000 USD -151981.69000000 N N N N/A N/A N/A 1.00000000 NC USD 52535.50000000 0.025778554339 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 iBoxx US Dollar Liquid Investment Grade Index GB00B4K4X773 Y 2026-09-21 -7800000.00000000 USD 7864741.01000000 USD 7800000.00000000 USD -12205.51000000 N N N N/A N/A N/A 1.00000000 NC N/A 8114.65000000 0.003981763682 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -1429851.49000000 USD 7500000.00000000 BRL 2026-10-02 8114.65000000 N N N F/C EURO-BOBL FUTURE SEP26 N/A N/A -26.00000000 NC -3421988.56000000 -1.67912969404 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C EURO-BOBL FUTURE SEP26 EURO-BOBL FUTURE SEP26 /EUR/ 2026-09-08 3468895.99000000 EUR 46907.43000000 N N N BONOS Y OB 1.45% 04/30/29/EUR/ N/A E8922AHG8 36000.00000000 PA 40177.34000000 0.019714550016 Long DBT USGA ES N 2 2029-04-30 Fixed 1.45000000 N N N N N N JAPAN (20 YEA 2% 12/20/44/JPY/ N/A J2S39L6N9 180000000.00000000 PA 869891.07000000 0.426845356321 Long DBT USGA JP N 2 2044-12-20 Fixed 2.00000000 N N N N N N UNITED KI 4.375% 07/31/54/GBP/ N/A G4527HF22 100000.00000000 PA 108947.63000000 0.053459325600 Long DBT NUSS GB N 2 2054-07-31 Fixed 4.37500000 N N N N N N N/A N/A N/A 1.00000000 NC -22056.76000000 -0.01082299371 N/A DIR CH N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -2219247.22000000 CHF 2203800.42000000 CHF 2227033.71481596 CHF -6609.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 67.07000000 0.000032910463 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -11325.00000000 USD 1085270.22000000 INR 2026-09-16 67.07000000 N N N FOXCONN FAR EA 1.875% 08/25/28 N/A G3R82SAQ0 400000.00000000 PA USD 372567.65000000 0.182814580816 Long DBT CORP KY N 2 2028-08-25 Fixed 1.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -312.72000000 -0.00015344804 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -81000.00000000 CHF 99903.80000000 USD 2026-09-02 -312.72000000 N N N NEW S WALES T 2% 03/08/33/AUD/ N/A Q6715PB65 1000000.00000000 PA 589403.45000000 0.289213367407 Long DBT USGA AU N 2 2033-03-08 Fixed 2.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 461.65000000 0.000226526246 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -123366.03000000 USD 1997000.00000000 ZAR 2026-09-21 461.65000000 N N N FAIRFAX FI 2.75% 03/29/28/EUR/ GLS7OQD0WOEDI8YAP031 C33461AA9 100000.00000000 PA 114422.08000000 0.056145574075 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10518.19000000 -0.00516115260 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -17422999.30000000 CNY 2582884.70000000 USD 2026-09-02 -10518.19000000 N N N UNITED KIN 1.25% 07/31/51/GBP/ N/A G4527HUU3 1300000.00000000 PA 708415.94000000 0.347611401888 Long DBT NUSS GB N 2 2051-07-31 Fixed 1.25000000 N N N N N N JAPAN (20 Y 0.4% 03/20/36/JPY/ N/A J2S39KMW3 20000000.00000000 PA 99467.89000000 0.048807728247 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 07325QAA3 110590.88000000 PA USD 112211.68000000 0.055060956693 Long ABS-CBDO CORP US Y 2 2037-03-25 Variable 4.23175000 N N N N N N GROSV 2024- V/R 01/15/39 /EUR/ N/A G4R829AF4 500000.00000000 PA 581970.97000000 0.285566336551 Long ABS-CBDO CORP IE Y 2 2039-01-15 Variable 3.67100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -17127.43000000 -0.00840422923 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -2142449.00000000 CAD 1528706.84000000 USD 2026-09-02 -17127.43000000 N N N N/A N/A N/A 1.00000000 NC N/A -159347.17000000 -0.07818978939 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -3069734.00000000 USD 464905192.00000000 JPY 2026-09-02 -159347.17000000 N N N N/A N/A N/A 1.00000000 NC USD 39208.84000000 0.019239318413 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-06-27 -405235.77000000 USD 405000.00000000 USD 405000.00000000 USD 39444.61000000 N N N BANCO DE CREDITO DISC 10/27/26 N/A 05990DKT8 500000.00000000 PA USD 496748.89000000 0.243748860365 Long STIV CORP US N 2 2026-10-27 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -6869.70000000 -0.00337088130 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-12-16 -3056364.94000000 NZD 3026693.53000000 NZD 3076579.97453976 NZD 22801.71000000 N N N N/A N/A N/A 1.00000000 NC N/A 6210.92000000 0.003047625676 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -3027339.73000000 USD 20380000.00000000 CNY 2026-09-02 6210.92000000 N N N N/A N/A N/A 1.00000000 NC -19035.55000000 -0.00934052136 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -1436715.96000000 JPY 1433529.89000000 JPY 1460498.30975335 JPY -15849.48000000 N N N N/A N/A N/A 1.00000000 NC N/A 2202.96000000 0.001080966661 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -237048.29000000 USD 205958.00000000 EUR 2026-09-02 2202.96000000 N N N ARSI 2005-W1 A1 V/R 05/25/35 N/A 040104MX6 269090.39000000 PA USD 248286.34000000 0.121831198091 Long ABS-CBDO CORP US N 2 2035-05-25 Variable 4.26175000 N N N N N N CWHL 2005-2 1A1 V/R 03/25/35 N/A 12669GPN5 32064.62000000 PA USD 30070.36000000 0.014755173344 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 4.42175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1905.30000000 0.000934908387 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -1425736.53000000 ILS 479760.86000000 USD 2026-11-09 1905.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -29430.20000000 -0.01444105433 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -999262152.90000000 COP 276316.00000000 USD 2026-11-17 -29430.20000000 N N N N/A N/A N/A 1.00000000 NC N/A -4353.16000000 -0.00213604460 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -16056796.90000000 THB 482315.00000000 USD 2026-12-16 -4353.16000000 N N N GNMA II P#MA7882 3% 02/20/52 N/A 36179WXK9 81133.45000000 PA USD 70693.53000000 0.034688486918 Long ABS-MBS USGSE US N 2 2052-02-20 Fixed 3.00000000 N N N N N N FNR 2025-6 GF V/R 02/25/55 N/A 3136BUVB3 262387.71000000 PA USD 264299.78000000 0.129688805484 Long ABS-CBDO CORP US N 2 2055-02-25 Variable 5.04319000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 12398.77000000 0.006083931173 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -53000.00000000 USD 89411000.00000000 NGN 2026-10-21 12398.77000000 N N N US TREAS NTS 4.125% 02/15/36 N/A 91282CPZ8 180000.00000000 PA USD 171618.75000000 0.084211309923 Long DBT UST US N 2 2036-02-15 Fixed 4.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -9308.74000000 -0.00456768965 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -2590875.43000000 ILS 858303.66000000 USD 2026-10-15 -9308.74000000 N N N REPUBLIC OF 8.5% 01/31/37/ZAR/ N/A S69124TY1 2900000.00000000 PA 175862.97000000 0.086293898951 Long DBT USGA ZA N 2 2037-01-31 Fixed 8.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 30870.98000000 0.015148028198 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2054-11-15 -440000.00000000 USD 440000.00000000 USD 440000.00000000 USD 30870.98000000 N N N BANK OF AMERICA C V/R 04/25/29 9DJT3UXIJIZJI4WXO774 06051GLG2 500000.00000000 PA USD 503353.00000000 0.246989419768 Long DBT CORP US N 2 2029-04-25 Variable 5.20200000 N N N N N N MALAYSIA 3.519% 04/20/28/MYR/ N/A Y2R35QFA4 12523000.00000000 PA 3123116.41000000 1.532476631655 Long DBT USGA MY N 2 2028-04-20 Fixed 3.51900000 N N N N N N N/A N/A N/A 1.00000000 NC 110827.45000000 0.054381731249 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-09-19 -6438058.54000000 EUR 6515819.95000000 EUR 6389074.98844536 EUR 33066.04000000 N N N N/A N/A N/A 1.00000000 NC N/A 331.24000000 0.000162535587 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -81148.03000000 USD 3994317.02000000 TRY 2026-09-22 331.24000000 N N N N/A N/A N/A 1.00000000 NC N/A -1325.40000000 -0.00065035825 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -370606.00000000 MYR 90788.07000000 USD 2026-09-23 -1325.40000000 N N N STANDARD CHARTERE V/R 02/08/28 U4LOSYZ7YG4W3S5F2G91 853254CW8 900000.00000000 PA USD 907870.09000000 0.445481216470 Long DBT CORP GB Y 2 2028-02-08 Variable 6.75000000 N N N N N N ACE 2005-HE5 M4 V/R 08/25/35 N/A 004421RH8 206110.24000000 PA USD 202010.69000000 0.099124278806 Long ABS-CBDO CORP US N 2 2035-08-25 Variable 4.68175000 N N N N N N N/A N/A N/A 1.00000000 NC 9671.57000000 0.004745726085 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2036-09-16 -207397.96000000 CAD 211491.01000000 CAD 216458.02518128 CAD 5578.52000000 N N N US TREAS BDS 4.625% 02/15/55 N/A 912810UG1 1900000.00000000 PA USD 1720576.18000000 0.844266573090 Long DBT UST US N 2 2055-02-15 Fixed 4.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -56.53000000 -0.00002773860 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -1375290.00000000 HUF 3700.00000000 EUR 2026-10-26 -56.53000000 N N N SARM 2004-4 3A2 V/R 04/25/34 N/A 86359BNU1 389.36000000 PA USD 386.90000000 0.000189847297 Long ABS-CBDO CORP US N 2 2034-04-25 Variable 5.56670000 N N N N N N BEIGNET INVEST 6.581% 05/30/49 N/A 076912AA2 1800000.00000000 PA USD 1728832.75000000 0.848317975254 Long DBT CORP US Y 2 2049-05-30 Fixed 6.58100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -685.45000000 -0.00033634228 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -6078754.66000000 CNY 906208.30000000 USD 2026-09-30 -685.45000000 N N N JPMMT 2005-A1 6T V/R 02/25/35 N/A 466247LZ4 300.07000000 PA USD 306.40000000 0.000150346890 Long ABS-CBDO CORP US N 2 2035-02-01 Variable 6.17619000 N N N N N N MARICOPA CNTY 7.375% 10/01/29 N/A 56681NJD0 200000.00000000 PA USD 207204.60000000 0.101672869591 Long DBT MUN US Y 2 2029-10-01 Fixed 7.37500000 N N N N N N RALI 2006-QS6 1A1 6% 06/25/36 N/A 74922EAA7 56911.84000000 PA USD 46761.93000000 0.022945531183 Long ABS-CBDO CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 34441.53000000 0.016900055250 N/A DIR N/A N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2028-12-15 -4743764.91000000 EUR 4741199.97000000 EUR 4646599.99159662 EUR 37006.47000000 N N N REPUBLIC 8.875% 02/28/35/ZAR/ N/A S69124WF8 44300000.00000000 PA 2802004.47000000 1.374910764876 Long DBT USGA ZA N 2 2035-02-28 Fixed 8.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4373.10000000 -0.00214582893 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -500000.00000000 BRL 91491.31000000 USD 2026-10-02 -4373.10000000 N N N REPUBLIC OF PO 4.875% 02/12/30 N/A 857524AF9 100000.00000000 PA USD 100703.67000000 0.049414111015 Long DBT USGA PL N 2 2030-02-12 Fixed 4.87500000 N N N N N N REPUBLIC OF PO 5.375% 02/12/35 N/A 857524AH5 100000.00000000 PA USD 99396.09000000 0.048772496828 Long DBT USGA PL N 2 2035-02-12 Fixed 5.37500000 N N N N N N FNMA 30YR TBA 5.5% SEP 26 N/A 01F052698 2540000.00000000 PA USD 2513977.01000000 1.233579064811 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 77422.16000000 0.037990146826 N/A DIR US N 2 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2030-11-30 -9225364.62000000 USD 9230000.00000000 USD 9230000.00000000 USD 72786.78000000 N N N N/A N/A N/A 1.00000000 NC -299.58000000 -0.00014700039 N/A DIR CN N 2 BANK OF AMERICA 8NAV47T0Y26Q87Y0QP81 N/A N/A Y 2032-03-17 -3023398.15000000 CNY 3025399.17000000 CNY 3050708.73172365 CNY -2300.60000000 N N N JAPAN (20 Y 2.4% 03/20/45/JPY/ N/A J2S39L8A5 74000000.00000000 PA 380504.26000000 0.186708982357 Long DBT USGA JP N 2 2045-03-20 Fixed 2.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 6346.22000000 0.003114015801 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -2640187.97000000 PLN 714872.34000000 USD 2026-09-04 6346.22000000 N N N N/A N/A N/A 1.00000000 NC N/A -317.23000000 -0.00015566104 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -1776006.00000000 USD 11929432.30000000 CNY 2026-09-02 -317.23000000 N N N N/A N/A N/A 1.00000000 NC N/A 485.24000000 0.000238101582 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -310560.18000000 USD 15368381.07000000 TRY 2026-10-02 485.24000000 N N N N/A N/A N/A 1.00000000 NC N/A -53164.08000000 -0.02608699118 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -13975434.00000000 MYR 3420405.30000000 USD 2026-09-23 -53164.08000000 N N N CASH COLLATERAL V/R 12/31/49 N/A N/A 139000.00000000 PA USD 139000.00000000 0.068205671462 Long STIV CORP US N 2 2049-12-31 Floating 3.53000000 N N N N N N AUSTRALIAN 2.5% 05/21/30/AUD/ N/A Q2R04NBD5 100000.00000000 PA 66430.96000000 0.032596893760 Long DBT USGA AU N 2 2030-05-21 Fixed 2.50000000 N N N N N N ESAIL 2007- V/R 06/13/45 /GBP/ N/A G3299TAL7 48560.00000000 PA 65655.89000000 0.032216575992 Long ABS-CBDO CORP GB N 2 2045-06-13 Variable 4.81423000 N N N N N N GOLDMAN SACHS GRO V/R 10/24/29 784F5XWPLTWKTBV3E584 38141GA46 400000.00000000 PA USD 412266.40000000 0.202294292327 Long DBT CORP US N 2 2029-10-24 Variable 6.48400000 N N N N N N N/A N/A N/A 1.00000000 NC -7325.65000000 -0.00359461062 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-05-11 -317159.99000000 EUR 317159.99000000 EUR 348494.99936975 EUR -7325.65000000 N N N STATE OF ISRAE 5.375% 02/19/30 N/A 46514Y8A8 900000.00000000 PA USD 909796.16000000 0.446426316453 Long DBT USGA IL N 2 2030-02-19 Fixed 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -610.18000000 -0.00029940817 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -6393240.00000000 KZT 12900.00000000 USD 2026-11-09 -610.18000000 N N N WAMU 2003-AR5 A7 V/R 06/25/33 N/A 929227R65 601.04000000 PA USD 600.28000000 0.000294550363 Long ABS-CBDO CORP US N 2 2033-06-25 Variable 5.35544200 N N N N N N F/C US 10YR NOTE (CBT)DEC26 N/A N/A 21.00000000 NC USD 2260781.25000000 1.109338871845 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C US 10YR NOTE (CBT)DEC26 US 10YR NOTE (CBT)DEC26 2026-12-21 2268472.01000000 USD -7690.76000000 N N N CWHL 2007-19 2A 6.5% 11/25/47 N/A 12544PAF9 90663.29000000 PA USD 39127.46000000 0.019199386200 Long ABS-CBDO CORP US N 2 2047-11-25 Fixed 6.50000000 N N N N N N JPMORGAN CHASE & V/R 10/22/30 8I5DZWZKVSZI1NUHU748 46647PEQ5 600000.00000000 PA USD 593359.94000000 0.291154770696 Long DBT CORP US N 2 2030-10-22 Variable 4.60300000 N N N N N N UNITED KI 4.375% 03/07/30/GBP/ N/A G4527HN49 4200000.00000000 PA 5657541.06000000 2.776089113848 Long DBT NUSS GB N 2 2030-03-07 Fixed 4.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1263.85000000 0.000620156387 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -363830.78000000 USD 2452339.16000000 CNY 2026-09-08 1263.85000000 N N N BANK OF AMERICA C V/R 01/24/36 9DJT3UXIJIZJI4WXO774 06051GMM8 600000.00000000 PA USD 599122.85000000 0.293982563114 Long DBT CORP US N 2 2036-01-24 Variable 5.51100000 N N N N N N N/A N/A N/A 1.00000000 NC USD 309321.85000000 0.151780607750 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-06-17 -13685875.61000000 USD 13900000.00000000 USD 13900000.00000000 USD 95197.46000000 N N N N/A N/A N/A 1.00000000 NC 3530.94000000 0.001732590889 N/A DIR CA N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2034-06-01 -139703.86000000 CAD 139489.47000000 CAD 144305.35012086 CAD 3745.33000000 N N N FNGT 2004-T3 1A1 6% 2/25/44 N/A 31393YU52 2809.24000000 PA USD 2777.87000000 0.001363068263 Long ABS-CBDO CORP US N 2 2044-02-25 Fixed 6.00000000 N N N N N N OTC ECAL EUR VS HUF @ 390.74 BOA N/A N/A -570000.00000000 NC -607.84000000 -0.00029825996 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 Call Purchased OTC ECAL EUR VS HUF @ 390.74 BOA 0 1.00000000 EUR 390.74000000 EUR 2026-10-16 XXXX 6907.39000000 N N N N/A N/A N/A 1.00000000 NC USD -40081.56000000 -0.01966755189 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-06-30 -7100000.00000000 USD 7100000.00000000 USD 7100000.00000000 USD -40081.56000000 N N N US TREAS BDS 4.125% 08/15/44 N/A 912810UD8 975000.00000000 PA USD 849887.70000000 0.417029937024 Long DBT UST US N 2 2044-08-15 Fixed 4.12500000 N N N N N N CWL 2007-13 1A V/R 06/25/36 N/A 126698AA7 178435.59000000 PA USD 173803.76000000 0.085283468730 Long ABS-CBDO CORP US N 2 2047-10-25 Variable 4.62175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5823.18000000 0.002857366201 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -333870.55000000 USD 32361070.80000000 INR 2026-09-16 5823.18000000 N N N N/A N/A N/A 1.00000000 NC N/A 7146.11000000 0.003506512452 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -735632.96000000 USD 70832380.53000000 INR 2026-09-30 7146.11000000 N N N CASHT 2026- V/R 08/13/31 /AUD/ N/A Q9237PAA0 2548000.00000000 PA 1827101.75000000 0.896537422225 Long ABS-CBDO CORP AU N 2 2063-02-13 Variable 5.39770000 N N N N N N JPMMT 2021-10 A3 V/R 10/25/44 N/A 46654AAC3 283236.33000000 PA USD 228944.85000000 0.112340555555 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N BONOS Y OB 3.45% 10/31/34/EUR/ N/A E8922APQ7 5180000.00000000 PA 5964555.54000000 2.926737522173 Long DBT USGA ES Y 2 2034-10-31 Fixed 3.45000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3.78000000 0.000001854801 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -163230.00000000 USD 549513.80000000 PEN 2026-09-14 3.78000000 N N N SEMPRA V/R 01/07/28 PBBKGKLRK5S5C0Y4T545 816851BY4 500000.00000000 PA USD 501417.77000000 0.246039825080 Long DBT CORP US N 2 2028-01-07 Variable 4.32644000 N N N N N N ABU DHABI DEVE 4.375% 10/02/31 N/A 00402D2C8 500000.00000000 PA USD 482711.72000000 0.236860985507 Long DBT CORP AE Y 2 2031-10-02 Fixed 4.37500000 N N N N N N CANADIAN IMPER 4.876% 01/14/30 2IGI19DL77OX0HC3ZE78 13607PVU5 800000.00000000 PA USD 807436.37000000 0.396199566757 Long DBT CORP CA Y 2 2030-01-14 Fixed 4.87600000 N N N N N N UNITED KIN 1.75% 01/22/49/GBP/ N/A G4527HEG2 500000.00000000 PA 337415.10000000 0.165565636382 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 19246.44000000 0.009444002614 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2054-11-15 -200000.00000000 USD 200000.00000000 USD 200000.00000000 USD 19246.44000000 N N N RFTE 2024-1 V/R 07/15/38 /EUR/ N/A G7613BAL6 900000.00000000 PA 1046517.94000000 0.513514092053 Long ABS-CBDO CORP IE Y 2 2038-07-15 Variable 3.62600000 N N N N N N NRZT 2019-RPL3 A V/R 07/25/59 N/A 64830NAA9 89055.62000000 PA USD 85839.14000000 0.042120260298 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 2.75000000 N N N N N N LGATE 2007- V/R 01/01/61 /GBP/ 213800LADM2GPWI3P269 G571A3AW5 191972.70000000 PA 257619.84000000 0.126411037189 Long ABS-CBDO CORP GB N 2 2061-01-01 Variable 4.02139000 N N N N N N JPMMT 2022-INV1 V/R 12/25/43 N/A 465973AC9 519223.96000000 PA USD 434722.39000000 0.213313183523 Long ABS-CBDO CORP US Y 2 2052-03-25 Variable 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -42529.62000000 -0.02086878625 N/A DIR SE N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-03-18 -3718363.14000000 SEK 3705555.29000000 SEK 3602644.02744275 SEK -29721.77000000 N N N GOLDMAN SACHS BAN V/R 06/03/29 N/A 38151LAJ9 600000.00000000 PA USD 598215.81000000 0.293537489213 Long DBT CORP US N 2 2029-06-03 Variable 4.65600000 N N N N N N BONOS DE TE 7.3% 08/12/33/PEN/ N/A P6S32DFH1 1300000.00000000 PA 427255.64000000 0.209649336779 Long DBT USGA PE Y 2 2033-08-12 Fixed 7.30000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4881.89000000 0.002395486226 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -244009.35000000 USD 4446753192.00000000 IDR 2026-12-16 4881.89000000 N N N GSMBS 2021-GR3 A V/R 04/25/52 N/A 36263TAB8 67700.91000000 PA USD 54766.07000000 0.026873068904 Long ABS-CBDO CORP US Y 2 2052-04-25 Variable 2.50000000 N N N N N N FNR 2009-104 FA V/R 12/25/39 N/A 31398GBB4 33184.41000000 PA USD 33399.48000000 0.016388733524 Long ABS-CBDO CORP US N 2 2039-12-25 Variable 4.55767000 N N N N N N N/A N/A N/A 1.00000000 NC USD 50651.09000000 0.024853896429 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-03-04 -400000.00000000 USD 400000.00000000 USD 400000.00000000 USD 50651.09000000 N N N PACIFICORP 5.3% 02/15/31 N/A 695114DC9 200000.00000000 PA USD 200617.81000000 0.098440808909 Long DBT CORP US N 2 2031-02-15 Fixed 5.30000000 N N N N N N MEFA 2008-1 A1 V/R 04/25/38 5493007K5OP7V6CL0Y88 57563NAA6 11204.92000000 PA USD 11215.95000000 0.005503535257 Long ABS-CBDO CORP US N 2 2038-04-25 Variable 4.83768000 N N N N N N CWHL 2005-11 3A1 V/R 04/25/35 N/A 12669GUM1 10389.82000000 PA USD 6297.09000000 0.003089908285 Long ABS-CBDO CORP US N 2 2035-04-25 Variable 3.54437300 N N N N N N JYSKE REALK 1.5% 10/01/53/DKK/ N/A K5S69JBQ5 436539.75000000 PA 53573.45000000 0.026287864243 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N TPMT 2019-4 A1 V/R 07/25/29 N/A 89178BAA2 317741.69000000 PA USD 303666.05000000 0.149005372954 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 2.90000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1.87000000 0.000000917587 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -3032.79000000 SEK 318.57000000 USD 2026-09-02 1.87000000 N N N DRYD 2017-2 V/R 04/15/33 /EUR/ N/A N/A 26973.44000000 PA 31354.32000000 0.015385197473 Long ABS-CBDO CORP IE Y 2 2033-04-15 Variable 3.09100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 984.95000000 0.000483303425 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -1124944.16000000 BRL 214116.02000000 USD 2026-12-02 984.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 15598.45000000 0.007653976662 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -1572236.24000000 CHF 1967341.34000000 USD 2026-10-02 15598.45000000 N N N F/C CAN 5YR BOND FUT DEC26 N/A N/A -9.00000000 NC -725285.90000000 -0.35588929361 N/A DIR CORP CA N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C CAN 5YR BOND FUT DEC26 CAN 5YR BOND FUT DEC26 /CAD/ 2026-12-18 727818.46000000 CAD 2532.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -11.49000000 -0.00000563800 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -172365.64000000 ILS 57718.58000000 USD 2026-10-20 -11.49000000 N N N CASH COLLATERAL 0.5% 12/31/60 N/A N/A 1736000.00000000 PA USD 1736000.00000000 0.851834860857 Long STIV CORP US N 2 2060-12-31 Variable 0.50000000 N N N N N N F/C EURO-OAT FUTURE SEP26 N/A N/A 29.00000000 NC 3899031.75000000 1.913209198295 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-OAT FUTURE SEP26 EURO-OAT FUTURE SEP26 /EUR/ 2026-09-08 4028822.91000000 EUR -129791.15000000 N N N N/A N/A N/A 1.00000000 NC N/A 7526.76000000 0.003693292947 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -7878826.55000000 SEK 830269.00000000 USD 2026-09-02 7526.76000000 N N N JAPAN (30 Y 0.7% 03/20/51/JPY/ N/A J2S39LMD3 60000000.00000000 PA 180041.32000000 0.088344166342 Long DBT USGA JP N 2 2051-03-20 Fixed 0.70000000 N N N N N N WAMMS 2002-AR3 1 V/R 12/25/32 N/A 939336KZ5 29622.82000000 PA USD 29458.84000000 0.014455107645 Long ABS-CBDO CORP US N 2 2032-12-25 Variable 5.55872300 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1208.16000000 -0.00059282995 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -711213724.00000000 IDR 38886.79000000 USD 2026-09-16 -1208.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 7822.40000000 0.003838360032 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2200000.00000000 BRL 414771.54000000 USD 2027-04-02 7822.40000000 N N N HAYEM 14A A V/R 01/22/39 /EUR/ N/A N/A 900000.00000000 PA 1047074.14000000 0.513787012877 Long ABS-CBDO CORP IE Y 2 2039-01-22 Variable 3.70300000 N N N N N N FNW 2004-W12 1A1 6% 7/25/44 N/A 31394A6Y7 16178.12000000 PA USD 16449.73000000 0.008071689784 Long ABS-CBDO CORP US N 2 2044-07-25 Fixed 6.00000000 N N N N N N F/C EURO-BUND FUTURE SEP26 N/A N/A -34.00000000 NC -4868289.28000000 -2.38881251235 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C EURO-BUND FUTURE SEP26 EURO-BUND FUTURE SEP26 /EUR/ 2026-09-08 4980690.53000000 EUR 112401.25000000 N N N N/A N/A N/A 1.00000000 NC 4165.53000000 0.002043976767 N/A DCR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 DEUTSCHE BANK AKTIENGESELLSCHAFT DEUTSCHE BANK AKTIENGESELLSCHAFT Y 2032-12-20 -466720.00000000 EUR 463615.18000000 EUR 464659.99915966 EUR 7270.35000000 N N N DEUTSCHE BANK NY V/R 01/07/28 N/A 25160PAH0 400000.00000000 PA USD 397022.83000000 0.194814451123 Long DBT CORP US Y 2 2028-01-07 Variable 2.55200000 N N N N N N GNMA II P#MA9961 3.5% 10/20/54 N/A 36180AB69 6012838.01000000 PA USD 5268641.80000000 2.585260803347 Long ABS-MBS USGSE US N 2 2054-10-20 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 84916.84000000 0.041667698494 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-03-19 -352645.09000000 USD 400000.00000000 USD 400000.00000000 USD 37561.93000000 N N N DRSLF 2016-43A A V/R 04/20/34 N/A 26245CBQ5 573947.97000000 PA USD 574434.10000000 0.281868082745 Long ABS-CBDO CORP KY Y 2 2034-04-20 Variable 4.79921000 N N N N N N FHR 4579 FD V/R 01/15/38 N/A 3137BPPH6 38096.06000000 PA USD 37634.58000000 0.018466847475 Long ABS-CBDO CORP US N 2 2038-01-15 Variable 4.09659000 N N N N N N N/A N/A N/A 1.00000000 NC -146481.47000000 -0.07187674113 N/A DIR JP N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -5823116.96000000 JPY 5741820.48000000 JPY 5908726.68085639 JPY -65184.99000000 N N N TITULOS D 11.75% 01/24/35/COP/ N/A P6S337RP2 2053500000.00000000 PA 610598.15000000 0.299613358378 Long DBT USGA CO N 2 2035-01-24 Fixed 11.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 69.33000000 0.000034019418 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -11523.36000000 USD 1104382.69000000 INR 2026-09-16 69.33000000 N N N RC R/P CITIGR 3.690% 09/01/26 N/A N/A 13800000.00000000 PA USD 13800000.00000000 6.771498317878 Long RA CORP US N 2 Repurchase N 3.69000000 2026-09-01 14318400.00000000 USD 14080181.91552000 USD UST N N N PRVD 2A ARR V/R 10/15/38 /EUR/ N/A G7164GBM5 500000.00000000 PA 581304.35000000 0.285239233927 Long ABS-CBDO CORP IE Y 2 2038-10-15 Variable 3.59100000 N N N N N N N/A N/A N/A 1.00000000 NC USD 10941.59000000 0.005368910020 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-09-29 -125391.77000000 USD 124000.00000000 USD 124000.00000000 USD 12333.36000000 N N N HVMLT 2005-2 2A1 V/R 05/19/35 N/A 41161PLR2 7656.58000000 PA USD 7377.54000000 0.003620072442 Long ABS-CBDO CORP US N 2 2035-05-19 Variable 4.20178000 N N N N N N NGATE 07-1X A3 V/R 12/1/50 N/A G6484AAR3 192086.02000000 PA 257338.82000000 0.126273143967 Long ABS-CBDO CORP GB N 2 2050-12-01 Variable 4.02667000 N N N N N N N/A N/A N/A 1.00000000 NC USD 11732.32000000 0.005756911967 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2029-02-28 -1600000.00000000 USD 1600000.00000000 USD 1600000.00000000 USD 11732.32000000 N N N BSSP 2007-R6 V/R 1/26/36 N/A 07402FAA3 23052.46000000 PA USD 15891.31000000 0.007797679632 Long ABS-CBDO CORP US N 2 2036-01-26 Variable 4.66251000 N N N N N N CWHL 2005-9 1A3 V/R 05/25/35 N/A 12669GZQ7 29095.22000000 PA USD 25450.50000000 0.012488262169 Long ABS-CBDO CORP US N 2 2035-05-25 Variable 4.24175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 14258.90000000 0.006996675171 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -454599.00000000 USD 8036310.20000000 MXN 2026-12-16 14258.90000000 N N N N/A N/A N/A 1.00000000 NC -271.89000000 -0.00013341323 N/A DIR SE N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-02-03 -399738.35000000 SEK 399738.35000000 SEK 459467.64407965 SEK -271.89000000 N N N N/A N/A N/A 1.00000000 NC N/A 1102.24000000 0.000540856254 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -83305377.00000000 HUF 265549.00000000 USD 2026-10-13 1102.24000000 N N N N/A N/A N/A 1.00000000 NC N/A 820.43000000 0.000402575388 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1098814.91000000 BRL 212953.00000000 USD 2026-09-02 820.43000000 N N N HLSY 2021-4A A1R V/R 07/20/37 N/A 40637LAN0 1000000.00000000 PA USD 1001925.00000000 0.491632858850 Long ABS-CBDO CORP KY Y 2 2037-07-20 Variable 5.09734000 N N N N N N ANTOR 2026-8A A1 V/R 10/20/39 N/A 68628DAA8 1000000.00000000 PA USD 1001342.00000000 0.491346787581 Long ABS-CBDO CORP KY Y 2 2039-10-20 Variable 5.02746000 N N N N N N N/A N/A N/A 1.00000000 NC USD 8636.55000000 0.004237853898 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2034-05-15 -300000.00000000 USD 300000.00000000 USD 300000.00000000 USD 8636.55000000 N N N N/A N/A N/A 1.00000000 NC N/A -40460.60000000 -0.01985354237 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -382869.19000000 USD 477824.00000000 AUD 2026-09-02 -40460.60000000 N N N US TREAS BDS 2.25% 08/15/49 N/A 912810SJ8 400000.00000000 PA USD 237531.25000000 0.116553801436 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1.59000000 -0.00000078019 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -1795.00000000 ILS 598.81000000 USD 2026-09-08 -1.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -391.53000000 -0.00019211918 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -3178808.97000000 THB 95522.86000000 USD 2026-09-16 -391.53000000 N N N N/A N/A N/A 1.00000000 NC N/A 3557.56000000 0.001745653011 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -1108315.00000000 NZD 659824.25000000 USD 2026-10-02 3557.56000000 N N N JAPAN (30 YEA 4% 06/20/56/JPY/ N/A J2615UGW0 218100000.00000000 PA 1341026.91000000 0.658026193137 Long DBT USGA JP N 2 2056-06-20 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 0.38000000 0.000000186461 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -219467.76000000 NOK 23491.21000000 USD 2026-09-02 0.38000000 N N N GNMA II P#MA8487 3.5% 12/20/52 N/A 36179XNC6 174400.38000000 PA USD 154640.97000000 0.075880512190 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3.50000000 N N N N N N US TREAS BDS 5% 05/15/56 N/A 912810UU0 400000.00000000 PA USD 385031.25000000 0.188930323311 Long DBT UST US N 2 2056-05-15 Fixed 5.00000000 N N N N N N SAUDI INTERNAT 5.125% 01/13/28 N/A 80413TBJ7 400000.00000000 PA USD 401908.44000000 0.197211762710 Long DBT USGA SA Y 2 2028-01-13 Fixed 5.12500000 N N N N N N CASH COLL ISDA V/R 12/31/49 N/A N/A 472000.00000000 PA USD 472000.00000000 0.231604870002 Long STIV CORP US N 2 2049-12-31 Floating 3.53000000 N N N N N N SAUDI INTERNATI 4.75% 01/18/28 N/A 80413TBC2 400000.00000000 PA USD 400130.01000000 0.196339107945 Long DBT USGA SA Y 2 2028-01-18 Fixed 4.75000000 N N N N N N DBALT 2007-3 2A1 V/R 11/25/15 N/A 25151KAC3 311203.18000000 PA USD 242218.06000000 0.118853564192 Long ABS-CBDO CORP US N 2 2047-10-25 Variable 5.28175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -15699.78000000 -0.00770369810 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -1967341.34000000 USD 1577414.29000000 CHF 2026-09-02 -15699.78000000 N N N BONOS DE TE 7.6% 08/12/39/PEN/ N/A P6S32DFJ7 1660000.00000000 PA 524661.32000000 0.257445162741 Long DBT USGA PE Y 2 2039-08-12 Fixed 7.60000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10263.39000000 -0.00503612522 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -16672373.52000000 CNY 2471409.30000000 USD 2026-09-02 -10263.39000000 N N N N/A N/A N/A 1.00000000 NC N/A -1355.53000000 -0.00066514268 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -744466.20000000 USD 2501778.67000000 PEN 2026-09-16 -1355.53000000 N N N N/A N/A N/A 1.00000000 NC 5019.57000000 0.002463044189 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-09-16 -2837307.50000000 GBP 2837223.97000000 GBP 2818399.92390320 GBP 5103.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 35447.25000000 0.017393550271 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -1917315.82000000 USD 33229345.15000000 MXN 2026-09-17 35447.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 233.81000000 0.000114727827 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -10274771.08000000 INR 108087.94000000 USD 2026-09-16 233.81000000 N N N NEW S WALE 5.25% 02/24/38/AUD/ N/A Q6715QTG2 180000.00000000 PA 122965.54000000 0.060337749801 Long DBT USGA AU N 2 2038-02-24 Fixed 5.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3386.60000000 -0.00166176494 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -19255285.00000000 TWD 604999.00000000 USD 2026-09-29 -3386.60000000 N N N REPUBLIC OF CHI 4.85% 01/22/29 N/A 168863EB0 200000.00000000 PA USD 200320.00000000 0.098294677031 Long DBT USGA CL N 2 2029-01-22 Fixed 4.85000000 N N N N N N THAILAND GO 2.7% 06/17/40/THB/ N/A Y603CLBT0 18088000.00000000 PA 553166.77000000 0.271432453084 Long DBT USGA TH N 2 2040-06-17 Fixed 2.70000000 N N N N N N N/A N/A N/A 1.00000000 NC -135736.04000000 -0.06660408453 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-03-17 -29661164.83000000 EUR 29578889.24000000 EUR 29505909.94663856 EUR -53460.45000000 N N N EUROPEAN U 3.25% 12/12/36/EUR/ 529900FZRK8FGMPEOM08 N/A 400000.00000000 PA 446645.57000000 0.219163748256 Long DBT USGA LU N 2 2036-12-12 Fixed 3.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 322.09000000 0.000158045789 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -1664508.00000000 USD 11184661.51000000 CNY 2026-09-02 322.09000000 N N N N/A N/A N/A 1.00000000 NC N/A -8943.75000000 -0.00438859333 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -14982029.73000000 ZAR 920044.69000000 USD 2026-09-21 -8943.75000000 N N N ROYAL BANK OF CAN V/R 08/02/30 ES7IP3U3RHIGC71XBU11 78016HZZ6 400000.00000000 PA USD 400266.65000000 0.196406155592 Long DBT CORP CA N 2 2030-08-02 Variable 4.96900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 18.06000000 0.000008861830 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -92103.00000000 USD 8784784.14000000 INR 2026-09-30 18.06000000 N N N US TREAS BDS 3% 08/15/48 N/A 912810SD1 175000.00000000 PA USD 122780.27000000 0.060246839983 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 36930.26000000 0.018121245903 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2032-05-15 -1504426.93000000 USD 1503000.00000000 USD 1503000.00000000 USD 38357.19000000 N N N N/A N/A N/A 1.00000000 NC N/A 2661.94000000 0.001306182770 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -364931.42000000 USD 2462009.83000000 CNY 2026-10-16 2661.94000000 N N N N/A N/A N/A 1.00000000 NC N/A -13269.23000000 -0.00651105569 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -12609557.00000000 TWD 388093.85000000 USD 2027-01-25 -13269.23000000 N N N SVHE 2006-3 A4 V/R 11/25/36 N/A 83612HAD0 721425.12000000 PA USD 688072.77000000 0.337629246712 Long ABS-CBDO CORP US N 2 2036-11-25 Variable 4.28175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 75.09000000 0.000036845783 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -148000.00000000 PLN 39793.17000000 USD 2026-10-23 75.09000000 N N N FOAKS 5A AR V/R 10/15/36 /EUR/ N/A G332A4AP5 500000.00000000 PA 582403.10000000 0.285778377679 Long ABS-CBDO CORP IE Y 2 2036-10-15 Variable 3.66600000 N N N N N N FNMA 30YR TBA 2.5% SEP 26 N/A 01F022691 -400000.00000000 PA USD -326358.76000000 -0.16014041988 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 2.50000000 N N N N N N TITULOS DE T 11% 08/22/29/COP/ N/A P6S337KA2 2158400000.00000000 PA 645959.48000000 0.316964748712 Long DBT USGA CO N 2 2029-08-22 Fixed 11.00000000 N N N N N N UMBS P#FM4086 3.5% 06/01/50 N/A 3140X7RG6 182694.70000000 PA USD 165861.73000000 0.081386407659 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -201823.96000000 -0.09903265258 N/A DCR N/A N 2 BARCLAYS AC28XWWI3WIBK2824319 iTRAXX Europe S45 2I666VDN2 Y 2031-06-20 -8549042.46000000 EUR 8436259.92000000 EUR 8480044.98466384 EUR -89041.42000000 N N N TREASURY C 4.25% 12/20/32/AUD/ N/A Q9194YCC6 400000.00000000 PA 271749.03000000 0.133344065183 Long DBT USGA AU N 2 2032-12-20 Fixed 4.25000000 N N N N N N GSMBS 2021-INV1 V/R 12/25/43 N/A 36263KAB7 69982.38000000 PA USD 56505.10000000 0.027726390550 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N NEW S WALES 3.5% 11/20/37/AUD/ N/A Q6715PGH6 500000.00000000 PA 291011.24000000 0.142795805952 Long DBT USGA AU N 2 2037-11-20 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 8746.36000000 0.004291736378 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -608172843.00000000 JPY 3825113.56000000 USD 2026-10-02 8746.36000000 N N N JAPAN (30 Y 0.7% 12/20/50/JPY/ N/A J2S39LKG8 60000000.00000000 PA 181752.22000000 0.089183684927 Long DBT USGA JP N 2 2050-12-20 Fixed 0.70000000 N N N N N N MALAYSIA 3.582% 07/15/32/MYR/ N/A Y2R35QDR9 160000.00000000 PA 39388.32000000 0.019327387146 Long DBT USGA MY N 2 2032-07-15 Fixed 3.58200000 N N N N N N UMBS P#BT8263 4.5% 06/01/52 N/A 3140LXFD2 282588.33000000 PA USD 267366.66000000 0.131193687568 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -73809.92000000 -0.03621766297 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -90682024.00000000 TWD 2814232.37000000 USD 2027-02-03 -73809.92000000 N N N ICGE 2023-2 V/R 01/26/38 /EUR/ N/A G47094AR1 500000.00000000 PA 581099.73000000 0.285138829290 Long ABS-CBDO CORP IE Y 2 2038-01-26 Variable 3.76200000 N N N N N N SASC 2006-RF1 1A V/R 01/25/36 N/A 86359DXP7 37604.67000000 PA USD 31654.60000000 0.015532541351 Long ABS-CBDO CORP US Y 2 2036-01-25 Variable 4.06175000 N N N N N N BNPAM 2019- V/R 07/22/32 /EUR/ N/A N/A 202814.77000000 PA 235665.75000000 0.115638422442 Long ABS-CBDO CORP IE Y 2 2032-07-22 Variable 3.31300000 N N N N N N FSPC T-62 1A1 V/R 10/25/44 N/A 31395HHV5 11545.60000000 PA USD 10738.23000000 0.005269123650 Long ABS-CBDO CORP US N 2 2044-10-25 Variable 4.90705000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -12834.82000000 -0.00629789580 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -9399627.20000000 CNY 1386294.00000000 USD 2026-09-02 -12834.82000000 N N N OTC ECAL USD VS SGD @ 1.315 BOA N/A N/A 462000.00000000 NC USD 93.79000000 0.000046021654 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 Call Written OTC ECAL USD VS SGD @ 1.315 BOA 0 1.00000000 USD 1.31500000 USD 2026-11-05 XXXX -3204.89000000 N N N GNR 2016-H15 FA V/R 07/20/66 N/A 38376RWY8 32266.68000000 PA USD 32416.98000000 0.015906632285 Long ABS-CBDO CORP US N 2 2066-07-20 Variable 4.58186000 N N N N N N US TREAS NTS 4.375% 05/15/36 N/A 91282CQQ7 800000.00000000 PA USD 776812.50000000 0.381172792540 Long DBT UST US N 2 2036-05-15 Fixed 4.37500000 N N N N N N BSARM 2004-2 23A V/R 05/25/34 N/A 07384MN57 1408.48000000 PA USD 1180.43000000 0.000579223170 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 3.99997000 N N N N N N EHMU 2007-1 V/R 06/15/44 /GBP/ N/A G3224PAB7 2300.84000000 PA 3118.23000000 0.001530078927 Long ABS-CBDO CORP GB N 2 2044-06-15 Variable 4.01423000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 114.71000000 0.000056286853 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -380030.47000000 THB 11581.39000000 USD 2026-09-16 114.71000000 N N N SAMI 2006-AR5 1A V/R 05/25/36 N/A 86360JAA9 15369.38000000 PA USD 9575.60000000 0.004698634731 Long ABS-CBDO CORP US N 2 2036-05-25 Variable 4.20175000 N N N N N N REPUBLIC OF 5.4% 08/12/34/PEN/ N/A P78024AG4 1400000.00000000 PA 401547.54000000 0.197034673308 Long DBT USGA PE N 2 2034-08-12 Fixed 5.40000000 N N N N N N BSARM 2004-2 22A V/R 05/25/34 N/A 07384MN32 4027.82000000 PA USD 3958.91000000 0.001942590754 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 6.24317000 N N N N N N KBC GROUP NV V/R 01/19/29 213800X3Q9LSAKRUWY91 48241FAB0 200000.00000000 PA USD 202691.33000000 0.099458260879 Long DBT CORP BE Y 2 2029-01-19 Variable 5.79600000 N N N N N N CHINA GOVE 2.19% 09/25/54/CNY/ N/A Y6S39B8P8 12700000.00000000 PA 1896701.11000000 0.930689012745 Long DBT USGA CN N 2 2054-09-25 Fixed 2.19000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -42837.68000000 -0.02101994768 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -1524878294.00000000 KRW 1072627.00000000 USD 2026-09-16 -42837.68000000 N N N N/A N/A N/A 1.00000000 NC -10125.91000000 -0.00496866540 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-05-13 -526399.98000000 EUR 526399.98000000 EUR 580824.99894958 EUR -10125.91000000 N N N N/A N/A N/A 1.00000000 NC 19579.75000000 0.009607553926 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-03-17 -5448184.63000000 GBP 5456199.93000000 GBP 5419999.85366000 GBP 11564.45000000 N N N PRPM 2023-NQM3 A V/R 11/25/68 N/A 69380TAA9 256380.52000000 PA USD 256506.79000000 0.125864876594 Long ABS-CBDO CORP US Y 2 2068-11-25 Variable 6.22100000 N N N N N N F/C US LONG BOND(CBT) DEC26 N/A N/A -4.00000000 NC USD -434500.00000000 -0.21320405935 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US LONG BOND(CBT) DEC26 US LONG BOND(CBT) DEC26 2026-12-21 437750.00000000 USD 3250.00000000 N N N N/A N/A N/A 1.00000000 NC N/A -499.33000000 -0.00024501538 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -186000.00000000 EUR 215567.69000000 USD 2026-09-02 -499.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 724.36000000 0.000355434965 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -2519422.51000000 PEN 744466.20000000 USD 2027-03-17 724.36000000 N N N N/A N/A N/A 1.00000000 NC USD 223839.00000000 0.109835174780 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -4924010.63000000 USD 5100000.00000000 USD 5100000.00000000 USD 47849.63000000 N N N F/C EURO-SCHATZ FUT SEP26 N/A N/A 90.00000000 NC 11008434.29000000 5.401709730232 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-SCHATZ FUT SEP26 EURO-SCHATZ FUT SEP26 /EUR/ 2026-09-08 11069339.60000000 EUR -60905.31000000 N N N N/A N/A N/A 1.00000000 NC N/A -207.15000000 -0.00010164607 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -1002214.37000000 ZAR 61937.00000000 USD 2026-09-21 -207.15000000 N N N TREASURY CORP 2% 09/17/35/AUD/ N/A Q9194YPB4 400000.00000000 PA 213907.95000000 0.104962124898 Long DBT USGA AU N 2 2035-09-17 Fixed 2.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -71532.11000000 -0.03509996829 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -8493200.16000000 PEN 2446339.12000000 USD 2026-11-12 -71532.11000000 N N N WAMU 2003-AR9 2A V/R 09/25/33 N/A 92922FBX5 21476.46000000 PA USD 20951.37000000 0.010280591790 Long ABS-CBDO CORP US N 2 2033-09-25 Variable 5.46720400 N N N N N N JAPAN (30 Y 0.5% 09/20/46/JPY/ N/A J2S39KQK5 152000000.00000000 PA 511808.19000000 0.251138282439 Long DBT USGA JP N 2 2046-09-20 Fixed 0.50000000 N N N N N N CWALT 2007-11T V/R 05/25/37 N/A 02150GAN8 32801.69000000 PA USD 10026.14000000 0.004919709430 Long ABS-CBDO CORP US N 2 2037-05-25 Variable 4.13175000 N N N N N N CSMC 2021-INV1 A V/R 07/25/56 N/A 12661XAC6 63700.62000000 PA USD 51274.10000000 0.025159600137 Long ABS-CBDO CORP US Y 2 2056-07-25 Variable 2.50000000 N N N N N N SOUTHERN CO V/R 09/15/81/EUR/ 549300FC3G3YU2FBZD92 U84258AF6 100000.00000000 PA 114188.01000000 0.056030718669 Long DBT CORP US N 2 2081-09-15 Variable 1.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 2573.26000000 0.001262668533 N/A DIR TH N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -172362.56000000 THB 173446.48000000 THB 174962.29260935 THB 1489.34000000 N N N CHINA GOVE 1.65% 05/15/35/CNY/ N/A Y6S39CAV0 5600000.00000000 PA 836940.08000000 0.410676691585 Long DBT USGA CN N 2 2035-05-15 Fixed 1.65000000 N N N N N N N/A N/A N/A 1.00000000 NC -336686.55000000 -0.16520814543 N/A DIR JP N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2035-09-17 -3219943.82000000 JPY 3158774.62000000 JPY 2973895.07950419 JPY -275517.35000000 N N N GNMA II 30YR TBA 6.5% SEP 26 N/A 21H062693 1800000.00000000 PA USD 1855406.25000000 0.910426108757 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 6.50000000 N N N N N N UMBS P#BU8670 4.5% 05/01/52 N/A 3140MAT46 379948.93000000 PA USD 359611.73000000 0.176457262665 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1951.95000000 -0.00095779899 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -486208.14000000 USD 818484.00000000 NZD 2026-09-02 -1951.95000000 N N N BONOS Y OBL 1.9% 10/31/52/EUR/ N/A E8922AMF4 500000.00000000 PA 360002.77000000 0.176649141412 Long DBT USGA ES Y 2 2052-10-31 Fixed 1.90000000 N N N N N N HVMLT 2006-SB1 A V/R 12/19/36 N/A 41162BAA1 34697.44000000 PA USD 32198.13000000 0.015799245154 Long ABS-CBDO CORP US N 2 2036-12-19 Variable 4.55705000 N N N N N N NORDEA KRED 1.5% 10/01/53/DKK/ N/A K7S724JZ1 173944.78000000 PA 21655.77000000 0.010626232617 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -80.37000000 -0.00003943661 N/A DIR CN N 2 BANK OF AMERICA 8NAV47T0Y26Q87Y0QP81 N/A N/A Y 2032-03-17 -810551.91000000 CNY 811670.52000000 CNY 818482.83046244 CNY -1198.98000000 N N N MNW 2020-1MW A 2.13% 09/10/27 N/A 563136AA8 300000.00000000 PA USD 291295.26000000 0.142935171238 Long ABS-CBDO CORP US Y 2 2039-09-10 Fixed 2.13000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1.87000000 -0.00000091758 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -318.57000000 USD 3027.75000000 SEK 2026-10-02 -1.87000000 N N N SAFEHOLD GL HLDG DISC 09/01/26 N/A 78644XJ14 350000.00000000 PA USD 350000.00000000 0.171740899366 Long STIV CORP US N 2 2026-09-01 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -13148.90000000 -0.00645201117 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -4085281.84000000 USD 5682576.00000000 AUD 2026-09-02 -13148.90000000 N N N GSMBS 2022-PJ4 A V/R 04/25/43 N/A 36264RAE5 674314.53000000 PA USD 544639.46000000 0.267248201973 Long ABS-CBDO CORP US Y 2 2052-09-25 Variable 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1422.88000000 -0.00069819054 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -201375.39000000 USD 186582354.00000000 CLP 2026-12-16 -1422.88000000 N N N N/A N/A N/A 1.00000000 NC 24277.44000000 0.011912655371 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2036-09-16 -1730654.39000000 GBP 1745983.98000000 GBP 1734399.95317120 GBP 8947.85000000 N N N QNB FINANCE LTD V/R 04/27/29 N/A G7302VXD1 200000.00000000 PA USD 200510.00000000 0.098387907805 Long DBT CORP KY N 2 2029-04-27 Variable 4.71133200 N N N N N N US TIPS 0.125% 01/15/32 N/A 91282CDX6 843304.00000000 PA USD 756696.24000000 0.371301979442 Long DBT UST US N 2 2032-01-15 Fixed 0.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1928.34000000 0.000946213845 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -35200.00000000 USD 53011200.00000000 NGN 2027-02-08 1928.34000000 N N N TREASURY C 2.25% 09/15/33/AUD/ N/A Q9194YMT8 1600000.00000000 PA 940087.40000000 0.461289873025 Long DBT USGA AU N 2 2033-09-15 Fixed 2.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -264178.10000000 -0.12962909853 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -5532122746.51000000 COP 1417620.63000000 USD 2026-12-16 -264178.10000000 N N N N/A N/A N/A 1.00000000 NC N/A -157668.99000000 -0.07736632612 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -1155600000.00000000 JPY 7107814.52000000 USD 2026-10-26 -157668.99000000 N N N ITALY GOV'T I 6% 08/04/28/GBP/ N/A T6R88QAL8 400000.00000000 PA 551539.77000000 0.270634103246 Long DBT USGA IT N 2 2028-08-04 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 21050.12000000 0.010329047258 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2053-12-20 -88384.41000000 USD 100000.00000000 USD 100000.00000000 USD 9434.53000000 N N N N/A N/A N/A 1.00000000 NC N/A 5615.03000000 0.002755229434 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -148470.00000000 USD 2622000.00000000 MXN 2026-09-17 5615.03000000 N N N SANTANDER UK GROU V/R 01/10/29 N/A 80281LAT2 500000.00000000 PA USD 510404.44000000 0.250449478760 Long DBT CORP GB N 2 2029-01-10 Variable 6.53400000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5029.73000000 0.002468029582 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -374315.00000000 USD 12572299.33000000 THB 2026-09-16 5029.73000000 N N N GNMA II P#MB0201 3.5% 02/20/55 N/A 3618N5GK9 384624.00000000 PA USD 336418.94000000 0.165076832341 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 3.50000000 N N N N N N MFRA 2023-NQM4 A V/R 12/25/27 N/A 55286LAA0 234118.38000000 PA USD 234526.85000000 0.115079577555 Long ABS-CBDO CORP US Y 2 2068-12-25 Variable 6.10500000 N N N N N N ROYAL BANK OF CAN V/R 08/06/31 ES7IP3U3RHIGC71XBU11 78017DAM0 400000.00000000 PA USD 394449.96000000 0.193551973958 Long DBT CORP CA N 2 2031-08-06 Variable 4.69600000 N N N N N N BANK OF AMERICA C V/R 07/23/31 9DJT3UXIJIZJI4WXO774 06051GJF7 700000.00000000 PA USD 620816.96000000 0.304627608721 Long DBT CORP US N 2 2031-07-23 Variable 1.89800000 N N N N N N US TREAS BDS 3.375% 11/15/48 N/A 912810SE9 800000.00000000 PA USD 599375.00000000 0.294106290165 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 198.68000000 0.000097489948 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -4098358.41000000 SGD 3231109.29000000 USD 2026-10-02 198.68000000 N N N TREASURY CORP 2% 11/20/37/AUD/ N/A Q9194YLD4 400000.00000000 PA 196319.72000000 0.096331786503 Long DBT USGA AU N 2 2037-11-20 Fixed 2.00000000 N N N N N N FNMA 30YR TBA 5% SEP 26 N/A 01F050692 6700000.00000000 PA USD 6463133.09000000 3.171383684576 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -13500.40000000 -0.00662448810 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -1425637.50000000 ILS 463350.72000000 USD 2026-09-08 -13500.40000000 N N N NYKREDIT REAL 1% 10/01/53/DKK/ N/A K741812Z8 2.62000000 PA 0.29000000 0.000000142299 Long DBT CORP DK N 2 2053-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -8710.94000000 -0.00427435619 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -10008930.00000000 TWD 309874.00000000 USD 2027-01-25 -8710.94000000 N N N N/A N/A N/A 1.00000000 NC N/A 570.30000000 0.000279839528 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -54296.78000000 USD 47232.00000000 EUR 2026-09-02 570.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.06000000 -0.00000002944 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -3.00000000 USD 2748.00000000 CLP 2026-09-16 -0.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -3468.27000000 -0.00170183945 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -6772000.00000000 CZK 322179.17000000 USD 2026-09-18 -3468.27000000 N N N WAMU 2004-AR1 A V/R 03/25/34 N/A 92922FLD8 67834.06000000 PA USD 68455.68000000 0.033590400142 Long ABS-CBDO CORP US N 2 2034-03-25 Variable 5.59098700 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3740385.00000000 1.835363096791 N/A DFE N/A N 2 GOLDMAN SACHS FOR8UP27PHTHYVLBNG30 0.00000000 N/A 3741496.60000000 USD 2026-09-16 -1111.60000000 N N N N/A N/A N/A 1.00000000 NC 3530.93000000 0.001732585982 N/A DIR CA N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2034-06-01 -138852.15000000 CAD 138951.62000000 CAD 144305.35012086 CAD 3431.46000000 N N N US TREAS BDS 4.75% 02/15/56 N/A 912810UR7 100000.00000000 PA USD 92476.56000000 0.045377164527 Long DBT UST US N 2 2056-02-15 Fixed 4.75000000 N N N N N N RLOC 2007-1 V/R 12/15/43 /GBP/ N/A G7521KAD5 99628.20000000 PA 133426.47000000 0.065470805591 Long ABS-CBDO CORP GB N 2 2043-12-15 Variable 4.02423000 N N N N N N ARCLO 2022-FL1 A V/R 12/15/26 N/A 03880XAA4 87608.57000000 PA USD 87755.34000000 0.043060517188 Long ABS-CBDO CORP KY Y 2 2037-01-15 Variable 5.08650000 N N N N N N MALAYSIA 4.193% 10/07/32/MYR/ N/A Y2R35QDK4 860000.00000000 PA 218953.29000000 0.107437814125 Long DBT USGA MY N 2 2032-10-07 Fixed 4.19300000 N N N N N N FHR 2614 SJ V/R 05/15/33 N/A 31393QNV0 10937.80000000 PA USD 11796.21000000 0.005788262041 Long ABS-MBS USGA US N 2 2033-05-15 Variable 9.34730500 N N N N N N N/A N/A N/A 1.00000000 NC N/A 197395.10000000 0.096859462870 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -34988994.29000000 EUR 40889748.22000000 USD 2026-10-02 197395.10000000 N N N FSPC T-35 A V/R 9/25/31 N/A 313398VT3 3157.84000000 PA USD 3150.28000000 0.001545805487 Long ABS-CBDO CORP US N 2 2031-09-25 Variable 4.03767000 N N N N N N US TREAS BDS 4.625% 11/15/55 N/A 912810UP1 200000.00000000 PA USD 181125.00000000 0.088875915422 Long DBT UST US N 2 2055-11-15 Fixed 4.62500000 N N N N N N UMBS P#RB5012 3.5% 10/01/39 N/A 3133KYR92 21097.60000000 PA USD 19868.62000000 0.009749299051 Long ABS-MBS USGA US N 2 2039-10-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 7950.10000000 0.003901020925 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2056-02-15 -100000.00000000 USD 100000.00000000 USD 100000.00000000 USD 7950.10000000 N N N N/A N/A N/A 1.00000000 NC N/A -3585.36000000 -0.00175929414 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -697000.00000000 USD 21791711.00000000 TWD 2027-01-20 -3585.36000000 N N N JYSKE REALKRE 1% 10/01/50/DKK/ N/A K5S69JAN3 31533.26000000 PA 3605.73000000 0.001769289465 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5092.10000000 0.002498633810 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -154862.00000000 USD 2721871.47000000 MXN 2026-09-17 5092.10000000 N N N F/C AUST 3YR BOND FUT SEP26 N/A N/A 54.00000000 NC 4013262.07000000 1.969260677986 N/A DIR CORP AU N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C AUST 3YR BOND FUT SEP26 AUST 3YR BOND FUT SEP26 /AUD/ 2026-09-15 4025779.16000000 AUD -12517.09000000 N N N N/A N/A N/A 1.00000000 NC 241279.25000000 0.118392901124 N/A DCR N/A N 2 JP MORGAN N/A iTRAXX Europe Crossover S44 2I667KMH8 Y 2030-12-20 -1273190.00000000 EUR 1509472.22000000 EUR 1277814.99768907 EUR 4997.03000000 N N N N/A N/A N/A 1.00000000 NC USD 403276.28000000 0.197882945772 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-03-18 -13258420.54000000 USD 13260000.00000000 USD 13260000.00000000 USD 401696.82000000 N N N N/A N/A N/A 1.00000000 NC USD 35599.28000000 0.017468149611 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2054-11-15 -400000.00000000 USD 400000.00000000 USD 400000.00000000 USD 35599.28000000 N N N FNR 2003-34 A1 6% 04/25/43 N/A 31393CEY5 2782.03000000 PA USD 2795.17000000 0.001371557170 Long ABS-CBDO CORP US N 2 2043-04-25 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -44975.43000000 -0.02206891656 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -48280.13000000 USD 4200.44000000 SGD 2026-09-02 -44975.43000000 N N N N/A N/A N/A 1.00000000 NC USD 11247.57000000 0.005519050821 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-03-04 -400000.00000000 USD 400000.00000000 USD 400000.00000000 USD 11247.57000000 N N N BANK OF AMERICA C V/R 02/06/37 9DJT3UXIJIZJI4WXO774 060505GR9 300000.00000000 PA USD 287972.33000000 0.141304648419 Long DBT CORP US N 2 2037-02-06 Variable 5.04500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1906.72000000 0.000935605164 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -87838.00000000 USD 334412.44000000 PLN 2026-10-23 1906.72000000 N N N JPMMT 2003-A2 3A V/R 11/25/33 N/A 466247AZ6 486.37000000 PA USD 474.75000000 0.000232954262 Long ABS-CBDO CORP US N 2 2033-11-25 Variable 5.31812000 N N N N N N N/A N/A N/A 1.00000000 NC USD 1787.76000000 0.000877232886 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-12-17 -102018.81000000 USD 100000.00000000 USD 100000.00000000 USD 3806.57000000 N N N N/A N/A N/A 1.00000000 NC 7102.02000000 0.003484878006 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-05-25 -1086514.42000000 CAD 1085991.48000000 CAD 1082290.12590642 CAD 7624.96000000 N N N N/A N/A N/A 1.00000000 NC N/A -7115.68000000 -0.00349158080 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1169785.61000000 PEN 340349.18000000 USD 2026-09-16 -7115.68000000 N N N N/A N/A N/A 1.00000000 NC USD 28388.32000000 0.013929816023 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2054-11-15 -300000.00000000 USD 300000.00000000 USD 300000.00000000 USD 28388.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -3136.87000000 -0.00153922535 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -1470798.65000000 USD 7654883.55000000 BRL 2026-10-02 -3136.87000000 N N N N/A N/A N/A 1.00000000 NC USD 367040.94000000 0.180102688971 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-12-17 -8215001.58000000 USD 8160000.00000000 USD 8160000.00000000 USD 422042.52000000 N N N N/A N/A N/A 1.00000000 NC N/A 2810.35000000 0.001379005818 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -188806.79000000 USD 714015.86000000 PLN 2026-10-23 2810.35000000 N N N TITULOS D 13.25% 02/09/33/COP/ N/A P6S32JW71 1884100000.00000000 PA 601298.45000000 0.295050104544 Long DBT USGA CO N 2 2033-02-09 Fixed 13.25000000 N N N N N N BONOS Y OB 3.15% 04/30/35/EUR/ N/A E4R46FAA8 2560000.00000000 PA 2871442.79000000 1.408983334954 Long DBT USGA ES Y 2 2035-04-30 Fixed 3.15000000 N N N N N N NYO 2021-1290 A V/R 11/15/28 N/A 62955HAA5 400000.00000000 PA USD 400073.28000000 0.196311271199 Long ABS-CBDO CORP US Y 2 2038-11-15 Variable 4.84948000 N N N N N N BOSTON PPTYS LTD DISC 09/23/26 N/A 10113CJP2 300000.00000000 PA USD 299263.00000000 0.146844847906 Long STIV CORP US N 2 2026-09-23 Fixed 0.00000000 N N N N N N JAPAN GOVT 0.1% 03/10/29/JPY/ N/A J2S39K4F0 53582350.00000000 PA 335175.73000000 0.164466803760 Long DBT UST JP N 2 2029-03-10 Fixed 0.10000000 N N N N N N WELLS FARGO V/R 07/22/32/EUR/ PBLD0EJDB5FWOLXP3B76 U94974LV9 500000.00000000 PA 581274.70000000 0.285224685019 Long DBT CORP US N 2 2032-07-22 Variable 3.90000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 170915.57000000 0.083866267735 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2036-03-18 -6681988.97000000 USD 6570000.00000000 USD 6570000.00000000 USD 282904.54000000 N N N N/A N/A N/A 1.00000000 NC N/A 2530.65000000 0.001241760305 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -161576.26000000 USD 3412684.50000000 CZK 2026-09-18 2530.65000000 N N N BONOS Y OB 1.45% 10/31/27/EUR/ N/A E8922AEY2 400000.00000000 PA 457415.71000000 0.224448529770 Long DBT USGA ES N 2 2027-10-31 Fixed 1.45000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1036154.20000000 -0.50842872625 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1027000.00000000 EUR 156861.03000000 USD 2026-09-02 -1036154.20000000 N N N UMBS TBA 15YR 2% SEP 26 N/A 01F020497 -2100000.00000000 PA USD -1895841.40000000 -0.93026716312 Short ABS-MBS USGA US N 2 2041-09-01 Fixed 2.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 521.56000000 0.000255923381 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -44724679.00000000 JPY 281175.00000000 USD 2026-10-02 521.56000000 N N N N/A N/A N/A 1.00000000 NC -8.95000000 -0.00000439166 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2036-09-16 -317.46000000 JPY 312.11000000 JPY 313.00863904 JPY -3.60000000 N N N CASH COLLATERAL ISDA JPM USD N/A N/A -280000.00000000 PA USD -280000.00000000 -0.13739271949 Short STIV CORP US N 2 2049-12-31 Variable 0.00000000 N N N N N N SAMI 2007-AR4 A3 V/R 09/25/47 N/A 86364MAC4 77400.58000000 PA USD 69196.54000000 0.033953931464 Long ABS-CBDO CORP US N 2 2047-09-25 Variable 4.22175000 N N N N N N N/A N/A N/A 1.00000000 NC USD 127318.24000000 0.062473568695 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2056-09-16 -1325387.00000000 USD 1400000.00000000 USD 1400000.00000000 USD 52705.24000000 N N N N/A N/A N/A 1.00000000 NC N/A -11495.93000000 -0.00564091816 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -21586776.00000000 TWD 676000.00000000 USD 2027-02-03 -11495.93000000 N N N N/A N/A N/A 1.00000000 NC USD 8403.12000000 0.004123312532 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2029-02-28 -1100000.00000000 USD 1100000.00000000 USD 1100000.00000000 USD 8403.12000000 N N N BONOS DE T 6.85% 08/12/35/PEN/ N/A P6S32DFK4 4240000.00000000 PA 1307996.07000000 0.641818346941 Long DBT USGA PE Y 2 2035-08-12 Fixed 6.85000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -129101.35000000 -0.06334851988 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -6767735.00000000 GBP 9041184.30000000 USD 2026-09-02 -129101.35000000 N N N JAPAN (30 Y 0.7% 12/20/48/JPY/ N/A J2S39KS98 98000000.00000000 PA 319113.50000000 0.156585255685 Long DBT USGA JP N 2 2048-12-20 Fixed 0.70000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3170.22000000 0.001555589811 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -156871.00000000 USD 3328393.19000000 CZK 2026-09-09 3170.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 1456.41000000 0.000714643323 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -230236.00000000 USD 22226059.97000000 INR 2026-12-16 1456.41000000 N N N EIDP INC DISC 09/04/26 N/A 28249MJ46 500000.00000000 PA USD 499825.83000000 0.245258678773 Long STIV CORP US N 2 2026-09-04 Fixed 0.00000000 N N N N N N JAPAN (20 Y 1.8% 09/20/44/JPY/ N/A J2S39L5C4 130000000.00000000 PA 610086.08000000 0.299362091629 Long DBT USGA JP N 2 2044-09-20 Fixed 1.80000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 22149.10000000 0.010868303869 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2036-03-03 -500000.00000000 USD 500000.00000000 USD 500000.00000000 USD 22149.10000000 N N N EXPORT DEV 7.13% 03/11/29/INR/ N/A C32148PP4 27900000.00000000 PA 289323.89000000 0.141967843076 Long DBT USGA CA Y 2 2029-03-11 Fixed 7.13000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -155.60000000 -0.00007635109 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -92113.32000000 USD 476327.19000000 BRL 2026-09-02 -155.60000000 N N N JAPAN (30 Y 3.2% 09/20/55/JPY/ N/A J2615UBY1 60000000.00000000 PA 316464.88000000 0.155285608883 Long DBT USGA JP N 2 2055-09-20 Fixed 3.20000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 30786.15000000 0.015106403111 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-07 -700000.00000000 USD 700000.00000000 USD 700000.00000000 USD 30786.15000000 N N N N/A N/A N/A 1.00000000 NC N/A -0.87000000 -0.00000042689 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -23491.21000000 USD 219558.32000000 NOK 2026-10-02 -0.87000000 N N N WAREHOUSE 3.125% 01/15/31/EUR/ 549300HWDYC5JXC85138 B9T59ZC81 400000.00000000 PA 449505.62000000 0.220567141283 Long DBT CORP BE N 2 2031-01-15 Fixed 3.12500000 N N N N N N NORDEA KREDIT 1% 10/01/50/DKK/ N/A K7S724GR2 14.93000000 PA 1.75000000 0.000000858704 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -20457.95000000 -0.01003847637 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 REPUBLIC OF KOR 2.75% 01/19/27 REBUBLIC OF KOR 2.75% 01/19/27 2.75000000 Y 2030-12-20 -600000.00000000 USD 578329.14000000 USD 600000.00000000 USD 1212.91000000 N N N N/A N/A N/A 1.00000000 NC 51549.94000000 0.025294951593 N/A DIR JP N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2028-09-16 -8417780.76000000 JPY 8450476.19000000 JPY 8331976.96256417 JPY 18854.51000000 N N N FRANCE (GO 2.75% 02/25/30/EUR/ N/A F26348DP8 6000000.00000000 PA 6847982.50000000 3.360224781131 Long DBT USGA FR Y 2 2030-02-25 Fixed 2.75000000 N N N N N N UNITED KI 1.125% 10/22/73/GBP/ N/A G4527HXA4 500000.00000000 PA 187294.84000000 0.091903383623 Long DBT NUSS GB N 2 2073-10-22 Fixed 1.12500000 N N N N N N ELAT 2007-2 A1 V/R 05/25/37 N/A 288547AA0 202464.79000000 PA USD 198987.86000000 0.097641011541 Long ABS-CBDO CORP US Y 2 2037-05-25 Variable 4.83175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 601.13000000 0.000294967448 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -92048.54000000 USD 29148551.00000000 HUF 2026-09-10 601.13000000 N N N CWALT 2007-16C 6.25% 08/25/37 N/A 02152AAY5 16436.69000000 PA USD 6991.35000000 0.003430573533 Long ABS-CBDO CORP US N 2 2037-08-25 Fixed 6.25000000 N N N N N N REPUBLIC OF S 1% 09/23/28/EUR/ N/A N/A 100000.00000000 PA 109364.72000000 0.053663986776 Long DBT USGA RS Y 2 2028-09-23 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 489.53000000 0.000240206635 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -28786065.00000000 JPY 181126.00000000 USD 2026-10-02 489.53000000 N N N OBX 2024-HYB1 A1 V/R 03/25/53 N/A 67448MAA8 683444.33000000 PA USD 678725.28000000 0.333042542885 Long ABS-CBDO CORP US Y 2 2053-03-25 Variable 3.68813000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1944.28000000 -0.00095403541 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -479760.86000000 USD 1428523.94000000 ILS 2026-09-08 -1944.28000000 N N N N/A N/A N/A 1.00000000 NC 71.82000000 0.000035241232 N/A DIR JP N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2034-09-18 -550.53000000 JPY 616.65000000 JPY 626.01727808 JPY 5.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 162.39000000 0.000079682870 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -57499.00000000 USD 1030192831.00000000 IDR 2026-12-16 162.39000000 N N N FNCL 30YR TBA 3.5% SEP 26 N/A 01F032690 -1473000.00000000 PA USD -1306827.97000000 -0.64124517395 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 3.50000000 N N N N N N STATE OF ISRAEL 5.75% 03/12/54 N/A 46514BRM1 300000.00000000 PA USD 275445.36000000 0.135157811007 Long DBT USGA IL N 2 2054-03-12 Fixed 5.75000000 N N N N N N UBS GROUP AG V/R 04/01/31 549300SZJ9VS8SGXAN81 225401AP3 300000.00000000 PA USD 291008.17000000 0.142794299539 Long DBT CORP CH Y 2 2031-04-01 Variable 4.19400000 N N N N N N F/C JPN 10Y BOND(OSE) SEP26 N/A N/A -16.00000000 NC -12617503.44000000 -6.19126111012 N/A DIR CORP JP N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C JPN 10Y BOND(OSE) SEP26 JPN 10Y BOND(OSE) SEP26 /JPY/ 2026-09-14 12765849.51000000 JPY 148346.06000000 N N N N/A N/A N/A 1.00000000 NC -71458.22000000 -0.03506371134 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-06-17 -6460424.50000000 GBP 6448539.07000000 GBP 6910499.81341651 GBP -59572.79000000 N N N N/A N/A N/A 1.00000000 NC -21060.37000000 -0.01033407681 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-12-01 -1670722.41000000 CAD 1648680.95000000 CAD 1659511.52638984 CAD 981.09000000 N N N N/A N/A N/A 1.00000000 NC N/A -109455.54000000 -0.05370855108 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -8012956.10000000 AUD 5632627.36000000 USD 2026-09-02 -109455.54000000 N N N N/A N/A N/A 1.00000000 NC N/A 34862.66000000 0.017106698807 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -1347274793.00000000 JPY 8489195.00000000 USD 2026-10-02 34862.66000000 N N N ONYP 2020-1NYP A V/R 01/15/23 N/A 68249DAA7 283172.54000000 PA USD 275597.67000000 0.135232547740 Long ABS-CBDO CORP US Y 2 2036-01-15 Variable 4.70448000 N N N N N N BARCLAYS PLC V/R 09/13/27 213800LBQA1Y9L22JB70 06738ECJ2 800000.00000000 PA USD 800536.34000000 0.392813802877 Long DBT CORP GB N 2 2027-09-13 Variable 6.49600000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -45.53000000 -0.00002234103 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -552566.20000000 PEN 163230.00000000 USD 2027-02-16 -45.53000000 N N N US TIPS 1.125% 01/15/33 N/A 91282CGK1 1569554.00000000 PA USD 1468207.99000000 0.720432459027 Long DBT UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 958.39000000 0.000470270744 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -162263.00000000 USD 2895260083.00000000 IDR 2026-09-16 958.39000000 N N N N/A N/A N/A 1.00000000 NC N/A 229.43000000 0.000112578612 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -37950.00000000 USD 12011646.00000000 HUF 2026-09-10 229.43000000 N N N BROOKFIELD BRP HO 0% 10/21/26 N/A 11284XKM2 300000.00000000 PA USD 298312.50000000 0.146378448692 Long STIV CORP CA N 2 2026-10-21 Fixed 0.00000000 N N N N N N JAPAN (30 Y 1.7% 09/20/44/JPY/ N/A J2615QTH8 210000000.00000000 PA 968893.51000000 0.475424693707 Long DBT USGA JP N 2 2044-09-20 Fixed 1.70000000 N N N N N N CRZN 2 A V/R 04/28/29 /GBP/ N/A G2716TAA8 657989.46000000 PA 890798.24000000 0.437104259690 Long ABS-CBDO CORP GB N 2 2049-07-28 Variable 4.58733000 N N N N N N WMALT 2006-AR5 3 V/R 07/25/46 N/A 93935AAC6 13339.23000000 PA USD 8173.98000000 0.004010876218 Long ABS-CBDO CORP US N 2 2046-07-25 Variable 4.64705000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 26984.19000000 0.013240825883 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -21867918.58000000 THB 686806.19000000 USD 2026-09-16 26984.19000000 N N N N/A N/A N/A 1.00000000 NC N/A -988.71000000 -0.00048514841 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -9222569.34000000 CNY 1374933.00000000 USD 2026-09-30 -988.71000000 N N N JAPAN (20 Y 1.2% 09/20/35/JPY/ N/A J2S39KKT2 131000000.00000000 PA 715255.57000000 0.350967528196 Long DBT USGA JP N 2 2035-09-20 Fixed 1.20000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1853.89000000 0.000909682102 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -462765.17000000 USD 22758837.34000000 TRY 2026-09-21 1853.89000000 N N N N/A N/A N/A 1.00000000 NC N/A 1281.93000000 0.000629028031 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -253090.52000000 USD 24232901.79000000 INR 2026-09-16 1281.93000000 N N N N/A N/A N/A 1.00000000 NC -131.52000000 -0.00006453532 N/A DIR CN N 2 STANDARD CHARTERED N/A N/A N/A Y 2032-03-17 -1290618.64000000 CNY 1279242.33000000 CNY 1339335.54075672 CNY 11244.79000000 N N N N/A N/A N/A 1.00000000 NC -496.33000000 -0.00024354331 N/A DIR CH N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2028-08-17 -738007.38000000 CHF 738007.38000000 CHF 742344.57160532 CHF -496.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 3716.10000000 0.001823446731 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -61350327.00000000 HUF 170200.00000000 EUR 2026-11-12 3716.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 39756.43000000 0.019508014410 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -2698560.72000000 USD 46935257.03000000 MXN 2026-12-16 39756.43000000 N N N N/A N/A N/A 1.00000000 NC N/A -106.39000000 -0.00005220432 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -19344.00000000 USD 183915.66000000 SEK 2026-10-02 -106.39000000 N N N N/A N/A N/A 1.00000000 NC 2531.68000000 0.001242265714 N/A DIR CA N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2033-06-01 -137810.18000000 CAD 138532.94000000 CAD 144305.35012086 CAD 1808.92000000 N N N UK TSY 3.25% 01/22/44 /GBP/ N/A G4527HCQ2 1350000.00000000 PA 1345647.81000000 0.660293614628 Long DBT NUSS GB N 2 2044-01-22 Fixed 3.25000000 N N N N N N BROOKFIELD RENEWA 0% 09/14/26 N/A 11284XJE2 250000.00000000 PA USD 249625.35000000 0.122488234610 Long STIV CORP BM N 2 2026-09-14 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -12364.20000000 -0.00606696807 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-03-19 -3641108.21000000 JPY 3641735.92000000 JPY 3568298.48503819 JPY -12991.91000000 N N N N/A N/A N/A 1.00000000 NC N/A 877.52000000 0.000430588782 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -20014.00000000 USD 28359838.00000000 NGN 2026-10-05 877.52000000 N N N BARCLAYS PLC V/R 08/08/30/EUR/ 213800LBQA1Y9L22JB70 G0809LJD2 400000.00000000 PA 479658.09000000 0.235362605042 Long DBT CORP GB N 2 2030-08-08 Variable 4.91800000 N N N N N N N/A N/A N/A 1.00000000 NC USD 27763.86000000 0.013623400817 N/A DIR US N 2 CREDIT SUISSE ANGGYXNX0JLX3X63JN86 N/A N/A Y 2026-12-15 -996281.28000000 USD 1000000.00000000 USD 1000000.00000000 USD 24045.14000000 N N N N/A N/A N/A 1.00000000 NC USD 6720.06000000 0.003297454709 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2030-11-30 -789932.39000000 USD 790000.00000000 USD 790000.00000000 USD 6652.45000000 N N N STATE OF ISRAE 5.375% 03/12/29 N/A 46514BRN9 300000.00000000 PA USD 303144.01000000 0.148749214042 Long DBT USGA IL N 2 2029-03-12 Fixed 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC 6414.12000000 0.003147333535 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2037-03-17 -332884.92000000 GBP 338799.99000000 GBP 338749.99085375 GBP 499.05000000 N N N N/A N/A N/A 1.00000000 NC N/A 881.80000000 0.000432688928 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -122892.00000000 USD 11873517.81000000 INR 2026-12-16 881.80000000 N N N QUEENSLAND TR 5% 07/21/37/AUD/ N/A Q7943QKS7 800000.00000000 PA 538040.44000000 0.264010140174 Long DBT USGA AU N 2 2037-07-21 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4957.17000000 -0.00243242524 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -4416227622.00000000 IDR 244009.35000000 USD 2026-09-16 -4957.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 835.31000000 0.000409876830 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -22672.00000000 USD 219621.71000000 NOK 2026-09-02 835.31000000 N N N SUMITOMO MITSUI F V/R 07/08/36 35380028MYWPB6AUO129 86562MEA4 500000.00000000 PA USD 487880.65000000 0.239397318898 Long DBT CORP JP N 2 2036-07-08 Variable 5.24600000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2725.19000000 -0.00133721880 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -141444.00000000 USD 129562704.00000000 CLP 2026-09-16 -2725.19000000 N N N N/A N/A N/A 1.00000000 NC N/A 1162.38000000 0.000570366247 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -583882.23000000 ILS 196643.00000000 USD 2026-10-08 1162.38000000 N N N ICG 2021-3A AR V/R 10/20/34 N/A 449249AS0 500000.00000000 PA USD 500456.50000000 0.245568141153 Long ABS-CBDO CORP KY Y 2 2034-10-20 Variable 4.87921000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 31589.45000000 0.015500573009 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -557052.35000000 USD 1898991461.15000000 COP 2026-09-16 31589.45000000 N N N CWL 2007-12 1A1 V/R 06/25/37 N/A 126697AA9 26352.35000000 PA USD 25656.18000000 0.012589186935 Long ABS-CBDO CORP US N 2 2047-08-25 Variable 4.52175000 N N N N N N N/A N/A N/A 1.00000000 NC -8818.80000000 -0.00432728183 N/A DIR AU N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2032-09-15 -917475.00000000 AUD 913435.95000000 AUD 931579.92601765 AUD -4779.75000000 N N N CHINA GOVER 2.2% 04/25/46/CNY/ N/A Y6S39CFR4 13300000.00000000 PA 1998034.14000000 0.980411943338 Long DBT USGA CN N 2 2046-04-25 Fixed 2.20000000 N N N N N N CASH COLLATERAL BCY USD N/A N/A 1619000.00000000 PA USD 1619000.00000000 0.794424331640 Long STIV CORP US N 2 2049-12-31 Floating 3.53000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1476.59000000 0.000724545413 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -115600000.00000000 JPY 725152.56000000 USD 2026-09-02 1476.59000000 N N N JTWN 2021-16A AR V/R 07/25/34 N/A 47048RAL9 700000.00000000 PA USD 700500.50000000 0.343727388219 Long ABS-CBDO CORP KY Y 2 2034-07-25 Variable 4.93015000 N N N N N N JAPAN (30 Y 1.4% 09/20/45/JPY/ N/A J2S39KKP0 240000000.00000000 PA 1022246.15000000 0.501604209071 Long DBT USGA JP N 2 2045-09-20 Fixed 1.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 697.79000000 0.000342397377 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -16100.00000000 USD 22894200.00000000 NGN 2026-10-14 697.79000000 N N N EUROPEAN U 3.75% 10/12/45/EUR/ 529900FZRK8FGMPEOM08 N/A 1000000.00000000 PA 1091245.01000000 0.535461141275 Long DBT USGA LU N 2 2045-10-12 Fixed 3.75000000 N N N N N N GCAT 2023-NQM4 A V/R 05/25/67 N/A 36171FAA1 706944.03000000 PA USD 654724.76000000 0.321265768913 Long ABS-CBDO CORP US Y 2 2067-05-25 Variable 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 74408.32000000 0.036511290848 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-09-16 -3132545.24000000 USD 3200000.00000000 USD 3200000.00000000 USD 6953.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -4461.78000000 -0.00218934317 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -3580000.00000000 USD 112268800.00000000 TWD 2027-02-03 -4461.78000000 N N N JAPAN (30 Y 0.5% 03/20/49/JPY/ N/A J2S39K3W4 38700000.00000000 PA 117952.15000000 0.057877738066 Long DBT USGA JP N 2 2049-03-20 Fixed 0.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1419.05000000 -0.00069631120 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -598268.00000000 USD 10587049289.00000000 IDR 2026-09-16 -1419.05000000 N N N N/A N/A N/A 1.00000000 NC USD 13661.52000000 0.006703547804 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-06-17 -295281.48000000 USD 300000.00000000 USD 300000.00000000 USD 8943.00000000 N N N N/A N/A N/A 1.00000000 NC N/A 3674.23000000 0.001802901613 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -704213.05000000 USD 2637807.44000000 PLN 2026-09-04 3674.23000000 N N N N/A N/A N/A 1.00000000 NC N/A 3706.20000000 0.001818588917 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -199245.00000000 USD 756249.54000000 PLN 2026-10-23 3706.20000000 N N N GNR 2017-121 PE 3% 07/20/46 N/A 38380TV37 1550.79000000 PA USD 1528.12000000 0.000749830580 Long ABS-CBDO CORP US N 2 2046-07-20 Fixed 3.00000000 N N N N N N NYKREDIT RE 1.5% 10/01/52/DKK/ N/A K741813K0 1.05000000 PA 0.13000000 0.000000063789 Long DBT CORP DK N 2 2052-10-01 Fixed 1.50000000 N N N N N N JTI FINL SVCS NO DISC 09/25/26 N/A 48130PJR8 500000.00000000 PA USD 498650.00000000 0.244681712768 Long STIV CORP US N 2 2026-09-25 Fixed 0.00000000 N N N N N N JAPAN TREASU ZCP 10/26/26/JPY/ N/A J2615UHB5 1155600000.00000000 PA 7223525.91000000 3.544499532515 Long STIV USGA JP N 2 2026-10-26 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -784.28000000 -0.00038483700 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -233890505.00000000 HUF 742644.72000000 USD 2026-09-10 -784.28000000 N N N CSAB 2006-4 A6A S/UP 12/25/36 N/A 12628LAJ9 118888.14000000 PA USD 14691.26000000 0.007208829157 Long ABS-CBDO CORP US N 2 2036-12-01 Variable 6.18370000 N N N N N N MDPK 2024-69A A1 V/R 07/25/37 N/A 55822VAN1 1200000.00000000 PA USD 1201252.80000000 0.589440674967 Long ABS-CBDO CORP KY Y 2 2037-07-25 Variable 5.01015000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1083.95000000 -0.00053188156 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -600000.00000000 BRL 109902.18000000 USD 2027-04-02 -1083.95000000 N N N N/A N/A N/A 1.00000000 NC N/A -416.54000000 -0.00020439129 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -166791.00000000 USD 15865685.43000000 INR 2026-09-30 -416.54000000 N N N N/A N/A N/A 1.00000000 NC 145720.41000000 0.071503297912 N/A DIR JP N 2 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2039-06-19 -729236.61000000 JPY 708780.01000000 JPY 500813.82246150 JPY 166177.01000000 N N N CGMS 2016-3A ARR V/R 07/20/34 N/A 14311UBA5 600000.00000000 PA USD 600877.80000000 0.294843696518 Long ABS-CBDO CORP KY Y 2 2034-07-20 Variable 4.81921000 N N N N N N OTC ECAL EUR VS HUF @ 389.72 UAG N/A N/A -20000.00000000 NC -27.28000000 -0.00001338597 N/A DFE CORP US N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 Call Purchased OTC ECAL EUR VS HUF @ 389.72 UAG 0 1.00000000 EUR 389.72000000 EUR 2026-10-21 XXXX 229.48000000 N N N GNMA II P#MA7706 3% 11/20/51 N/A 36179WR34 381374.53000000 PA USD 332323.38000000 0.163067189033 Long ABS-MBS USGSE US N 2 2051-11-20 Fixed 3.00000000 N N N N N N SARM 2004-19 2A1 V/R 01/25/35 N/A 863579JG4 16743.98000000 PA USD 15536.63000000 0.007623642312 Long ABS-CBDO CORP US N 2 2035-01-25 Variable 5.10705000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3852.32000000 0.001890288289 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -116600.00000000 USD 58387450.00000000 KZT 2027-01-19 3852.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -6614.36000000 -0.00324558895 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -2369799.00000000 NZD 1395477.60000000 USD 2026-09-02 -6614.36000000 N N N N/A N/A N/A 1.00000000 NC N/A -1127.61000000 -0.00055330501 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -90117.00000000 GBP 120980.99000000 USD 2026-09-02 -1127.61000000 N N N N/A N/A N/A 1.00000000 NC N/A -24531.87000000 -0.01203750119 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -149440902.00000000 JPY 910994.00000000 USD 2026-09-02 -24531.87000000 N N N N/A N/A N/A 1.00000000 NC -104603.59000000 -0.05132775606 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2029-10-11 -2842289.97000000 EUR 2842289.97000000 EUR 3136454.99432772 EUR -104603.59000000 N N N FED REPUBLIC 4% 04/23/30/EUR/ N/A P18166DY4 500000.00000000 PA 575136.94000000 0.282212958098 Long DBT USGA BR N 2 2030-04-23 Fixed 4.00000000 N N N N N N LETRA TESOUR ZCP 04/01/27/BRL/ N/A P8T60NTS0 22700000.00000000 PA 4079783.22000000 2.001901826922 Long DBT USGA BR N 2 2027-04-01 Fixed 0.00000000 N N N N N N GALL 2017-1A A1R V/R 07/15/31 N/A 36361UAL4 86370.51000000 PA USD 86457.23000000 0.042423549819 Long ABS-CBDO CORP KY Y 2 2031-07-15 Variable 5.10453000 N N N N N N N/A N/A N/A 1.00000000 NC -118.37000000 -0.00005808277 N/A DIR CN N 2 JP MORGAN N/A N/A N/A Y 2032-03-17 -1174083.20000000 CNY 1165534.30000000 CNY 1205401.98668105 CNY 8430.53000000 N N N SAMI 2007-AR6 V/R 11/25/37 N/A 86364RAA7 43153.08000000 PA USD 37032.30000000 0.018171315736 Long ABS-CBDO CORP US N 2 2047-08-25 Variable 5.20705000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1154.08000000 -0.00056629353 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -263255.10000000 USD 443000.00000000 NZD 2026-09-02 -1154.08000000 N N N CFOUR 4A AR V/R 04/15/38 /EUR/ N/A G2094SAV6 500000.00000000 PA 581375.04000000 0.285273920682 Long ABS-CBDO CORP IE Y 2 2038-04-15 Variable 3.62100000 N N N N N N N/A N/A N/A 1.00000000 NC USD 80595.51000000 0.039547272492 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-03-18 -7154830.11000000 USD 7120000.00000000 USD 7120000.00000000 USD 115425.62000000 N N N N/A N/A N/A 1.00000000 NC N/A -2458.48000000 -0.00120634733 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -445170.02000000 USD 2293179.39000000 BRL 2026-09-02 -2458.48000000 N N N TPMT 2020-1 A1 V/R 01/25/60 N/A 89178WAU2 69780.86000000 PA USD 67259.56000000 0.033003478072 Long ABS-CBDO CORP US Y 2 2060-01-25 Variable 2.71000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 14762.14000000 0.007243609143 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2034-05-15 -500000.00000000 USD 500000.00000000 USD 500000.00000000 USD 14762.14000000 N N N N/A N/A N/A 1.00000000 NC USD 12675.80000000 0.006219866549 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2055-02-15 -100000.00000000 USD 100000.00000000 USD 100000.00000000 USD 12675.80000000 N N N VMED O2 U 5.625% 04/15/32/EUR/ N/A N/A 500000.00000000 PA 496943.61000000 0.243844407188 Long DBT CORP GB Y 2 2032-04-15 Fixed 5.62500000 N N N N N N LINCOLN FIN GLBL 5.3% 01/13/30 984500OC010458395923 53359KAA9 600000.00000000 PA USD 603752.39000000 0.296254224152 Long DBT CORP US Y 2 2030-01-13 Fixed 5.30000000 N N N N N N UMBS P#841068 V/R 11/01/34 N/A 31407UMR5 6547.78000000 PA USD 6809.93000000 0.003341552865 Long ABS-MBS USGSE US N 2 2034-11-01 Variable 6.10200000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 72.18000000 0.000035417880 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -13714.91000000 USD 672682.05000000 TRY 2026-09-16 72.18000000 N N N SMB 2022-B A1B V/R 02/16/55 N/A 83206NAB3 166278.90000000 PA USD 166842.35000000 0.081867586404 Long ABS-CBDO CORP US Y 2 2055-02-16 Variable 5.08650000 N N N N N N F/C US 10YR ULTRA FUT DEC26 N/A N/A 105.00000000 NC USD 11489296.88000000 5.637663369313 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C US 10YR ULTRA FUT DEC26 US 10YR ULTRA FUT DEC26 2026-12-21 11581992.19000000 USD -92695.31000000 N N N CHINA GOVE 3.19% 04/15/53/CNY/ N/A Y6S39BZ94 4090000.00000000 PA 734478.92000000 0.360400200818 Long DBT USGA CN N 2 2053-04-15 Fixed 3.19000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -973.45000000 -0.00047766050 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -11163439.03000000 CNY 1664508.00000000 USD 2026-09-30 -973.45000000 N N N GSR 2003-1 A2 V/R 03/25/33 N/A 36229RJJ9 1156.43000000 PA USD 1157.52000000 0.000567981502 Long ABS-CBDO CORP US N 2 2033-03-01 Variable 5.27000000 N N N N N N RMACS 2006- V/R 06/12/44 /GBP/ N/A G7604CBD2 190834.12000000 PA 256586.83000000 0.125904151285 Long ABS-CBDO CORP GB N 2 2044-06-12 Variable 4.01482000 N N N N N N BULGARIA 3.375% 07/18/35/EUR/ N/A X0R483BJ0 300000.00000000 PA 332003.07000000 0.162910016669 Long DBT USGA BG N 2 2035-07-18 Fixed 3.37500000 N N N N N N N/A N/A N/A 1.00000000 NC -383537.95000000 -0.18819757849 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2042-09-21 -2352041.91000000 EUR 2528940.14000000 EUR 2683411.49514705 EUR -560436.18000000 N N N N/A N/A N/A 1.00000000 NC 30391.02000000 0.014912517449 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-03-19 -7577021.88000000 EUR 7624436.55000000 EUR 8189632.48518905 EUR -17023.65000000 N N N HRVST 1A A V/R 11/15/29 /GBP/ N/A N/A 263841.00000000 PA 357419.82000000 0.175381718109 Long ABS-CBDO CORP GB Y 2 2069-11-15 Variable 4.63334000 N N N N N N US TIPS 0.5% 01/15/28 N/A 9128283R9 1353860.00000000 PA USD 1320905.94000000 0.648153068897 Long DBT UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N WELLS FARGO & COM V/R 09/15/36 PBLD0EJDB5FWOLXP3B76 95000U4B6 300000.00000000 PA USD 286075.84000000 0.140374062996 Long DBT CORP US N 2 2036-09-15 Variable 4.89200000 N N N N N N WAMU 2005-AR13 A V/R 10/25/45 N/A 92922F4M7 8345.80000000 PA USD 7973.67000000 0.003912586448 Long ABS-CBDO CORP US N 2 2045-10-25 Variable 4.36175000 N N N N N N SARM 2004-1 4A1 V/R 02/25/34 N/A 86359BGF2 1139.36000000 PA USD 1106.33000000 0.000542863169 Long ABS-CBDO CORP US N 2 2034-02-25 Variable 5.86231000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1663.71000000 0.000816363004 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -27949057.02000000 INR 295044.58000000 USD 2026-09-16 1663.71000000 N N N NYKREDIT REAL 1% 10/01/50/DKK/ N/A K74181W69 4.14000000 PA 0.49000000 0.000000240437 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N US TREAS NTS 4% 02/29/28 N/A 91282CGP0 200000.00000000 PA USD 199105.47000000 0.097698721390 Long DBT UST US N 2 2028-02-29 Fixed 4.00000000 N N N N N N ROMANIA 6.625% 09/27/29/EUR/ N/A X7360WCL4 600000.00000000 PA 747700.25000000 0.366887752547 Long DBT USGA RO N 2 2029-09-27 Fixed 6.62500000 N N N N N N PSTET 2025- V/R 07/15/35 /EUR/ N/A G6879FAA2 431375.68000000 PA 500996.31000000 0.245833019596 Long ABS-CBDO CORP IE Y 2 2035-07-15 Variable 3.36100000 N N N N N N JAPAN (30 Y 0.7% 06/20/51/JPY/ N/A J2S39LQP2 125000000.00000000 PA 371396.49000000 0.182239906326 Long DBT USGA JP N 2 2051-06-20 Fixed 0.70000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 188.06000000 0.000092278838 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -1968018.42000000 MXN 114180.03000000 USD 2027-03-17 188.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -553.32000000 -0.00027150764 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -11227054.74000000 CNY 1674419.00000000 USD 2026-09-30 -553.32000000 N N N NRZT 2020-RPL1 A V/R 11/25/59 N/A 64828XAA1 98413.84000000 PA USD 94458.23000000 0.046349546779 Long ABS-CBDO CORP US Y 2 2059-11-25 Variable 2.75000000 N N N N N N N/A N/A N/A 1.00000000 NC 28538.31000000 0.014003414359 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2037-03-17 -2333221.91000000 EUR 2353905.98000000 EUR 2346532.99575630 EUR 7854.24000000 N N N N/A N/A N/A 1.00000000 NC USD 191795.24000000 0.094111677176 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2036-06-17 -3855757.52000000 USD 3960000.00000000 USD 3960000.00000000 USD 87552.76000000 N N N KUWAIT INTL BO 4.804% 04/20/33 N/A M8707AAA0 500000.00000000 PA USD 486428.55000000 0.238684790441 Long DBT USGA KW N 2 2033-04-20 Fixed 4.80400000 N N N N N N N/A N/A N/A 1.00000000 NC USD 48022.26000000 0.023563960348 N/A DIR US N 2 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2036-02-15 -1778206.44000000 USD 1780000.00000000 USD 1780000.00000000 USD 46228.70000000 N N N US TREAS BDS 3% 02/15/48 N/A 912810SA7 300000.00000000 PA USD 211652.34000000 0.103855323498 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -32439.73000000 -0.01591779544 N/A DIR GB N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2028-12-15 -4622669.97000000 EUR 4624967.74000000 EUR 4530434.99180671 EUR -34737.50000000 N N N BSARM 2003-5 1A2 V/R 08/25/33 N/A 07384MWG3 752.86000000 PA USD 728.18000000 0.000357309394 Long ABS-CBDO CORP US N 2 2033-08-25 Variable 3.79585000 N N N N N N QATAR ENERGY 2.25% 07/12/31 N/A 74730DAC7 200000.00000000 PA USD 176242.40000000 0.086480080807 Long DBT CORP QA Y 2 2031-07-12 Fixed 2.25000000 N N N N N N JAPAN GOVT 0.1% 03/10/28/JPY/ N/A J2S39KJ56 168751590.00000000 PA 1059905.30000000 0.520083112757 Long DBT UST JP N 2 2028-03-10 Fixed 0.10000000 N N N N N N WELLS FARGO & COM V/R 07/25/28 PBLD0EJDB5FWOLXP3B76 95000U3A9 600000.00000000 PA USD 601013.28000000 0.294910174966 Long DBT CORP US N 2 2028-07-25 Variable 4.80800000 N N N N N N N/A N/A N/A 1.00000000 NC 4539.37000000 0.002227415675 N/A DIR HK N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2032-03-17 -4648398.78000000 HKD 4638646.09000000 HKD 4643864.10318564 HKD 14292.06000000 N N N N/A N/A N/A 1.00000000 NC -153978.13000000 -0.07555526436 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2032-03-17 -13281569.98000000 EUR 13176350.85000000 EUR 13242809.97605038 EUR -48759.00000000 N N N UWM 2021-INV5 A1 V/R 01/25/52 N/A 90355DAV5 74021.67000000 PA USD 62041.46000000 0.030443017538 Long ABS-CBDO CORP US Y 2 2052-01-25 Variable 3.00000000 N N N N N N CSMC 2007-5R A5 6.5% 07/26/36 N/A 12640QAE3 34432.67000000 PA USD 6660.30000000 0.003268131177 Long ABS-CBDO CORP US N 2 2036-07-26 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 27765.28000000 0.013624097595 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-09-17 -120821.75000000 JPY 124821.57000000 JPY 117691.24827845 JPY 23765.46000000 N N N N/A N/A N/A 1.00000000 NC USD 13913.59000000 0.006827235600 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-22 -300000.00000000 USD 300000.00000000 USD 300000.00000000 USD 13913.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -502.44000000 -0.00024654142 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -158000.00000000 GBP 213587.67000000 USD 2026-09-02 -502.44000000 N N N PHILIP MORRIS 4.875% 02/13/29 HL3H1H2BGXWVG3BSWR90 718172DG1 200000.00000000 PA USD 200647.30000000 0.098455279307 Long DBT CORP US N 2 2029-02-13 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC -2117.07000000 -0.00103882144 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -271039.99000000 GBP 269262.92000000 GBP 270999.99268300 GBP -340.00000000 N N N CWL 2007-9 2A4 V/R 02/25/36 N/A 12670FAE0 163460.72000000 PA USD 155250.68000000 0.076179689744 Long ABS-CBDO CORP US N 2 2036-02-25 Variable 4.03175000 N N N N N N N/A N/A N/A 1.00000000 NC -45073.68000000 -0.02211712668 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-09-20 -471913.80000000 JPY 467173.31000000 JPY 426317.76637035 JPY -40333.19000000 N N N QUEENSLAND TR 2% 08/22/33/AUD/ N/A Q7943QZ36 600000.00000000 PA 347497.94000000 0.170513167838 Long DBT USGA AU N 2 2033-08-22 Fixed 2.00000000 N N N N N N REPUBLIC O 6.25% 03/31/36/ZAR/ N/A S69124MZ5 2000000.00000000 PA 104448.05000000 0.051251434411 Long DBT USGA ZA N 2 2036-03-31 Fixed 6.25000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 8042.88000000 0.003946546984 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2035-03-24 -300000.00000000 USD 300000.00000000 USD 300000.00000000 USD 8042.88000000 N N N N/A N/A N/A 1.00000000 NC N/A 94025.48000000 0.046137201424 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -10504189.00000000 GBP 14327671.78000000 USD 2026-10-02 94025.48000000 N N N N/A N/A N/A 1.00000000 NC N/A -2820.83000000 -0.00138414823 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -244314.97000000 USD 337000.00000000 AUD 2026-09-02 -2820.83000000 N N N ESC LEHMAN BR 0.0% 12/30/16 N/A 525ESC0B6 1300000.00000000 PA USD 455.00000000 0.000223263169 Long DBT CORP US N 2 2049-05-25 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -367229.94000000 -0.18019542905 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2032-03-19 -5639619.90000000 JPY 5624265.49000000 JPY 5383748.59146112 JPY -351875.53000000 N N N US TREAS BDS 2.375% 11/15/49 N/A 912810SK5 350000.00000000 PA USD 212912.11000000 0.104473477878 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -142445.41000000 -0.06989629378 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -9648929.77000000 USD 7015852.00000000 GBP 2026-09-02 -142445.41000000 N N N NHEL 2006-1 A2D V/R 05/25/36 N/A 669884AE8 385024.49000000 PA USD 376140.09000000 0.184567535269 Long ABS-CBDO CORP US N 2 2036-05-25 Variable 4.32175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1371.86000000 -0.00067315562 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -1668871.67000000 BRL 320813.47000000 USD 2026-09-02 -1371.86000000 N N N RAST 2006-R1 A2 V/R 01/25/46 N/A 76113MAB1 36540.64000000 PA USD 9498.26000000 0.004660684899 Long ABS-CBDO CORP US N 2 2046-01-25 Variable 4.18175000 N N N N N N GOLDMAN SACHS GRO V/R 04/20/34 784F5XWPLTWKTBV3E584 38141GF25 900000.00000000 PA USD 877567.31000000 0.430611997354 Long DBT CORP US N 2 2034-04-20 Variable 5.09400000 N N N N N N REALKREDIT DA 1% 10/01/50/DKK/ N/A K8094KWV1 1.01000000 PA 0.12000000 0.000000058882 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N F/C US 5YR NOTE (CBT) DEC26 N/A N/A 87.00000000 NC USD 9196171.88000000 4.512453798285 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C US 5YR NOTE (CBT) DEC26 US 5YR NOTE (CBT) DEC26 2026-12-31 9225612.70000000 USD -29440.82000000 N N N F/C US ULTRA BOND CBT DEC26 N/A N/A -5.00000000 NC USD -550156.25000000 -0.26995522619 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US ULTRA BOND CBT DEC26 US ULTRA BOND CBT DEC26 2026-12-21 556562.31000000 USD 6406.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -457.46000000 -0.00022447026 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -101369.51000000 USD 649358.94000000 DKK 2026-09-02 -457.46000000 N N N UMBS P#CB7220 5.5% 09/01/53 N/A 3140QTAW9 451756.72000000 PA USD 449624.73000000 0.220625587164 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 26245MAC5 7423.27000000 PA USD 7426.86000000 0.003644273188 Long ABS-CBDO CORP KY Y 2 2031-04-15 Variable 5.03453000 N N N N N N ABU DHABI GOVT 4.625% 04/20/33 N/A M0152WBA8 500000.00000000 PA USD 489762.20000000 0.240320573439 Long DBT USGA AE N 2 2033-04-20 Fixed 4.62500000 N N N N N N N/A N/A N/A 1.00000000 NC USD -6005.05000000 -0.00294660767 N/A DCR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 CDX.NA.IG.45 2I65BYEI2 Y 2035-12-20 -591127.23000000 USD 586000.00000000 USD 586000.00000000 USD -877.82000000 N N N N/A N/A N/A 1.00000000 NC N/A 285.06000000 0.000139875602 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -40000.00000000 CHF 49940.27000000 USD 2026-10-02 285.06000000 N N N GOLDMAN SACHS GRO V/R 04/25/35 784F5XWPLTWKTBV3E584 38141GA95 500000.00000000 PA USD 506954.18000000 0.248756476602 Long DBT CORP US N 2 2035-04-25 Variable 5.85100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -8749.21000000 -0.00429313484 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -372428518.91000000 COP 106694.70000000 USD 2026-09-16 -8749.21000000 N N N KUWAIT INTL BO 4.016% 10/09/28 N/A 501499AD9 400000.00000000 PA USD 392640.32000000 0.192664004812 Long DBT USGA KW Y 2 2028-10-09 Fixed 4.01600000 N N N N N N N/A N/A N/A 1.00000000 NC USD 108936.45000000 0.053453839705 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2052-11-15 -2042925.30000000 USD 2100000.00000000 USD 2100000.00000000 USD 51861.75000000 N N N PRVD 7A ARR V/R 07/15/38 /EUR/ N/A G7164MAS0 500000.00000000 PA 581293.72000000 0.285234017911 Long ABS-CBDO CORP IE Y 2 2038-07-15 Variable 3.60100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1344.98000000 -0.00065996592 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -649160.19000000 DKK 99536.18000000 USD 2026-09-02 -1344.98000000 N N N NORTHERN TERR 6% 04/21/39/AUD/ 254900V4FQ2K6E3VJ628 Q69608XD6 300000.00000000 PA 213636.36000000 0.104828858867 Long DBT USGA AU N 2 2039-04-21 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -62.51000000 -0.00003067292 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -1006849.96000000 ILS 337025.42000000 USD 2026-10-08 -62.51000000 N N N N/A N/A N/A 1.00000000 NC USD 19037.74000000 0.009341595970 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-08-19 -400000.00000000 USD 400000.00000000 USD 400000.00000000 USD 19037.74000000 N N N STATE OF ISRAEL 5.5% 03/12/34 N/A 46514BRL3 300000.00000000 PA USD 301382.33000000 0.147884778306 Long DBT USGA IL N 2 2034-03-12 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 147.54000000 0.000072396149 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -78000.00000000 CHF 96652.33000000 USD 2026-09-02 147.54000000 N N N TOGET 2026- V/R 06/12/30 /GBP/ N/A N/A 800000.00000000 PA 1086109.12000000 0.532941020225 Long ABS-CBDO CORP GB Y 2 2067-12-12 Variable 0.00000000 N N N N N N PHILIP MOR 3.25% 06/06/32/EUR/ HL3H1H2BGXWVG3BSWR90 718172DW6 300000.00000000 PA 337195.19000000 0.165457729121 Long DBT CORP US N 2 2032-06-06 Fixed 3.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -934.86000000 -0.00045872484 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -1939448.00000000 TWD 60786.31000000 USD 2027-01-22 -934.86000000 N N N WOODS 2018-12BA V/R 06/15/31 N/A 66858CAN7 55845.34000000 PA USD 55872.54000000 0.027416000769 Long ABS-CBDO CORP KY Y 2 2031-06-15 Variable 4.85435000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -50542.94000000 -0.02480082849 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -309328354.00000000 JPY 1885906.00000000 USD 2026-09-02 -50542.94000000 N N N NORDEA KRED 1.5% 10/01/50/DKK/ N/A K7S724GM3 1.21000000 PA 0.15000000 0.000000073603 Long DBT CORP DK N 2 2050-10-01 Fixed 1.50000000 N N N N N N REPUBLIC OF S 9% 01/31/40/ZAR/ N/A S69124WH4 6200000.00000000 PA 378907.97000000 0.185925701556 Long DBT USGA ZA N 2 2040-01-31 Fixed 9.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -40881.68000000 -0.02006016140 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2029-09-15 -6831474.68000000 NZD 6798108.20000000 NZD 6803974.94369371 NZD -7515.20000000 N N N N/A N/A N/A 1.00000000 NC N/A 1233.35000000 0.000605190394 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -265443.00000000 TWD 9613.56000000 USD 2026-09-16 1233.35000000 N N N N/A N/A N/A 1.00000000 NC N/A -6612.28000000 -0.00324456832 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -13022808.02000000 ZAR 800891.00000000 USD 2026-09-21 -6612.28000000 N N N N/A N/A N/A 1.00000000 NC N/A -3341.49000000 -0.00163962999 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2473687.63000000 CNY 364931.42000000 USD 2026-09-08 -3341.49000000 N N N NEW S WALE 4.75% 02/20/37/AUD/ N/A Q6715QNE3 400000.00000000 PA 265179.24000000 0.130120346202 Long DBT USGA AU N 2 2037-02-20 Fixed 4.75000000 N N N N N N SPAUL 11A A V/R 01/17/32 /EUR/ N/A G8524HAY1 252043.55000000 PA 292999.80000000 0.143771569046 Long ABS-CBDO CORP IE Y 2 2032-01-17 Variable 3.34000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1864.42000000 -0.00091484905 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -717111239.00000000 IDR 38563.00000000 USD 2026-09-16 -1864.42000000 N N N BONOS Y OBL 2.4% 05/31/28/EUR/ N/A E4R46DAA3 2200000.00000000 PA 2532874.43000000 1.242851807401 Long DBT USGA ES N 2 2028-05-31 Fixed 2.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -19099.25000000 -0.00937177820 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -1427397.96000000 CHF 1746935.96000000 USD 2026-09-02 -19099.25000000 N N N GNMA II P#4239 6% 09/20/38 N/A 36202EV89 524.20000000 PA USD 529.67000000 0.000259902863 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 6.00000000 N N N N N N MFRA 2020-NQM2 A V/R 04/25/65 N/A 552751AA7 28245.73000000 PA USD 27885.84000000 0.013683254974 Long ABS-CBDO CORP US Y 2 2065-04-25 Variable 1.38100000 N N N N N N US TREAS BDS 1.875% 02/15/41 N/A 912810SW9 1100000.00000000 PA USD 740480.47000000 0.363345091088 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1570.92000000 0.000770832038 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -8327.01000000 USD 8000.00000000 CHF 2026-09-02 1570.92000000 N N N N/A N/A N/A 1.00000000 NC N/A 101.51000000 0.000049809767 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -76933.73000000 USD 3816028.41000000 TRY 2026-10-05 101.51000000 N N N PENSKE TRUCK LE DISC 09/03/26 N/A 70962BJ39 300000.00000000 PA USD 299933.00000000 0.147173609056 Long STIV CORP US N 2 2026-09-03 Fixed 0.00000000 N N N N N N KOREA TREAS 3.5% 03/10/56/KRW/ N/A Y7277F8M5 1847800000.00000000 PA 1125059.04000000 0.552053289628 Long DBT USGA KR N 2 2056-03-10 Fixed 3.50000000 N N N N N N BONOS Y OBL 3.5% 05/31/29/EUR/ N/A E8922ANY2 240000.00000000 PA 282045.74000000 0.138396540143 Long DBT USGA ES N 2 2029-05-31 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -227673.60000000 -0.11171676807 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2057-03-17 -6571898.95000000 EUR 6443527.86000000 EUR 6540089.48817225 EUR -99302.51000000 N N N N/A N/A N/A 1.00000000 NC N/A -32107.25000000 -0.01575465140 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4205.88000000 CAD 0.00000000 N/A 2026-09-02 -32107.25000000 N N N REPUBLIC O 6.95% 08/12/31/PEN/ N/A 715638BE1 2321000.00000000 PA 784095.80000000 0.384746622518 Long DBT USGA PE N 2 2031-08-12 Fixed 6.95000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 562.62000000 0.000276071042 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -2899.89000000 TRY 622.71000000 USD 2026-09-01 562.62000000 N N N N/A N/A N/A 1.00000000 NC N/A -839.01000000 -0.00041169237 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -8010452.50000000 HKD 1025305.11000000 USD 2027-01-19 -839.01000000 N N N N/A N/A N/A 1.00000000 NC N/A 207.52000000 0.000101827632 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -30000.00000000 USD 535744188.00000000 IDR 2026-09-14 207.52000000 N N N GOLDMAN SACHS GRO V/R 04/25/30 784F5XWPLTWKTBV3E584 38141GA87 600000.00000000 PA USD 609842.70000000 0.299242667914 Long DBT CORP US N 2 2030-04-25 Variable 5.72700000 N N N N N N N/A N/A N/A 1.00000000 NC 1485.25000000 0.000728794773 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-12-18 -147305.52000000 CAD 142490.74000000 CAD 144305.35012086 CAD 6300.03000000 N N N UNITED KI 0.625% 10/22/50/GBP/ N/A G4527HSJ1 1400000.00000000 PA 633700.37000000 0.310949347064 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.62500000 N N N N N N NORDEA KREDIT 1% 10/01/50/DKK/ N/A K7S724GQ4 2.96000000 PA 0.36000000 0.000000176647 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 058927AA2 3717.31000000 PA USD 3555.65000000 0.001744715796 Long ABS-CBDO CORP US N 2 2036-02-20 Variable 5.58086000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -36108.96000000 -0.01771824361 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -41562585.96000000 MXN 2406367.19000000 USD 2026-09-17 -36108.96000000 N N N N/A N/A N/A 1.00000000 NC USD -44771.25000000 -0.02196872783 N/A DCR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 CDX.NA.IG.46 2I65BYEJ0 Y 2036-06-20 -4997856.33000000 USD 5000000.00000000 USD 5000000.00000000 USD -46914.92000000 N N N PRKCM 2023-AFC4 S/UP 11/25/58 N/A 69380GAA7 209584.52000000 PA USD 209313.02000000 0.102707446582 Long ABS-CBDO CORP US Y 2 2058-11-25 Variable 7.22500000 N N N N N N N/A N/A N/A 1.00000000 NC USD 74923.45000000 0.036764059104 N/A DCR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 CDX.NA.IG.46 2I65BYEJ0 Y 2031-06-20 -3200000.00000000 USD 3256147.56000000 USD 3200000.00000000 USD 18775.89000000 N N N JAPAN (30 Y 3.7% 03/20/56/JPY/ N/A J2615UFF8 93100000.00000000 PA 541371.78000000 0.265644789682 Long DBT USGA JP N 2 2056-03-20 Fixed 3.70000000 N N N N N N GSR 2005-AR7 2A1 V/R 11/25/35 N/A 362341WZ8 24783.24000000 PA USD 24007.80000000 0.011780346182 Long ABS-CBDO CORP US N 2 2035-11-01 Variable 4.59220000 N N N N N N N/A N/A N/A 1.00000000 NC 1539.65000000 0.000755488216 N/A DIR TH N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -545710.16000000 THB 542706.22000000 THB 554570.13574661 THB 4543.59000000 N N N HCA INC DISC 10/05/26 N/A 40412DK57 300000.00000000 PA USD 298810.00000000 0.146622566113 Long STIV CORP US N 2 2026-10-05 Fixed 0.00000000 N N N N N N CHASE 2025-RPL1 V/R 08/25/47 N/A 16160VAB9 538172.49000000 PA USD 472434.13000000 0.231817892507 Long ABS-CBDO CORP US Y 2 2065-04-25 Variable 3.37500000 N N N N N N N/A N/A N/A 1.00000000 NC -12179.59000000 -0.00597638211 N/A DIR CA N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2029-10-02 -296296.30000000 CAD 266399.69000000 CAD 288610.70024171 CAD 17717.02000000 N N N BROOKFIELD BRP DISC 09/10/26 N/A 11284XJA0 400000.00000000 PA USD 399585.00000000 0.196071677923 Long STIV CORP US N 2 2026-09-10 Fixed 0.00000000 N N N N N N FNR 2024-90 FA V/R 12/25/54 N/A 3136BTXB4 475896.06000000 PA USD 480316.75000000 0.235685801787 Long ABS-CBDO CORP US N 2 2054-12-25 Variable 5.14319000 N N N N N N CREDIT AGRICOLE S V/R 01/09/36 N/A 22535WAN7 800000.00000000 PA USD 805076.70000000 0.395041704334 Long DBT CORP FR Y 2 2036-01-09 Variable 5.86200000 N N N N N N N/A N/A N/A 1.00000000 NC 9306.35000000 0.004566516910 N/A DIR GB N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2056-09-16 -700158.79000000 GBP 707147.98000000 GBP 704599.98097580 GBP 2317.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 7227.17000000 0.003546287644 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2429903.00000000 AUD 1747736.89000000 USD 2026-10-02 7227.17000000 N N N HVMLT 2005-3 2A1 V/R 06/19/35 N/A 41161PMG5 7635.50000000 PA USD 7513.01000000 0.003686545983 Long ABS-CBDO CORP US N 2 2035-06-19 Variable 4.24178000 N N N N N N N/A N/A N/A 1.00000000 NC USD 16521.50000000 0.008106906482 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-06-18 -2183904.82000000 USD 2200000.00000000 USD 2200000.00000000 USD 426.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -34869.64000000 -0.01711012381 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -1416666975.57000000 COP 397996.06000000 USD 2026-11-23 -34869.64000000 N N N N/A N/A N/A 1.00000000 NC N/A -16541.10000000 -0.00811652397 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -738478.00000000 USD 22680971.00000000 TWD 2027-01-25 -16541.10000000 N N N JPMMT 2021-INV4 V/R 08/25/44 N/A 46654DAD5 815765.19000000 PA USD 683002.75000000 0.335141447299 Long ABS-CBDO CORP US Y 2 2052-01-25 Variable 3.00000000 N N N N N N JAPAN (30 Y 1.8% 03/20/54/JPY/ N/A J2S39LY81 69400000.00000000 PA 267027.51000000 0.131027270637 Long DBT USGA JP N 2 2054-03-20 Fixed 1.80000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 35066.23000000 0.017206588221 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-06-25 -343719.96000000 USD 345000.00000000 USD 345000.00000000 USD 33786.19000000 N N N OTC ECAL EUR VS HUF @ 387.25 BOA N/A N/A -192000.00000000 NC -320.28000000 -0.00015715764 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 Call Purchased OTC ECAL EUR VS HUF @ 387.25 BOA 0 1.00000000 EUR 387.25000000 EUR 2026-10-20 XXXX 2144.03000000 N N N N/A N/A N/A 1.00000000 NC N/A 10602.01000000 0.005202282092 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -8110017.41000000 THB 255306.05000000 USD 2026-09-16 10602.01000000 N N N N/A N/A N/A 1.00000000 NC 1355.62000000 0.000665186851 N/A DIR AU N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2056-09-16 -34300.76000000 AUD 34720.00000000 AUD 35829.99715452 AUD 936.38000000 N N N N/A N/A N/A 1.00000000 NC 1897.28000000 0.000930973067 N/A DIR CH N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-09-16 -3227566.44000000 CHF 3231607.84000000 CHF 3216826.47695639 CHF -2144.12000000 N N N HVMLT 2007-1 2A1 V/R 03/19/37 N/A 41164MAC1 48818.56000000 PA USD 45274.30000000 0.022215568571 Long ABS-CBDO CORP US N 2 2037-03-19 Variable 4.02178000 N N N N N N SAUDI INTERNAT 4.875% 07/18/33 N/A 80413TBD0 200000.00000000 PA USD 196666.94000000 0.096502163289 Long DBT USGA SA Y 2 2033-07-18 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 21509.52000000 0.010554469456 N/A DIR GB N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2057-03-17 -1205465.91000000 GBP 1221226.44000000 GBP 1217318.41713240 GBP 5748.99000000 N N N UNITED KING 3.5% 01/22/45/GBP/ N/A G4527HDA6 700000.00000000 PA 714566.93000000 0.350629620616 Long DBT NUSS GB N 2 2045-01-22 Fixed 3.50000000 N N N N N N OOMLT 2007-CP1 1 V/R 03/25/37 N/A 68402YAA4 42503.65000000 PA USD 38083.74000000 0.018687245025 Long ABS-CBDO CORP US N 2 2037-03-25 Variable 3.92175000 N N N N N N FHR 5513 MF V/R 11/25/54 N/A 3137HKEX8 559144.96000000 PA USD 563098.56000000 0.276305866075 Long ABS-CBDO CORP US N 2 2054-11-25 Variable 4.58319000 N N N N N N ABU DHABI DEVELO 4.5% 05/06/30 N/A 00402AAA9 200000.00000000 PA USD 196787.47000000 0.096561305948 Long DBT CORP AE Y 2 2030-05-06 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 16998.07000000 0.008340753797 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2055-06-26 -216715.12000000 USD 213000.00000000 USD 213000.00000000 USD 20713.19000000 N N N N/A N/A N/A 1.00000000 NC N/A -1248.02000000 -0.00061238879 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -61365.00000000 USD 56148975.00000000 CLP 2026-09-16 -1248.02000000 N N N JAPAN (20 Y 0.4% 06/20/40/JPY/ N/A J2S39LDF8 100000000.00000000 PA 420498.94000000 0.206333903252 Long DBT USGA JP N 2 2040-06-20 Fixed 0.40000000 N N N N N N UBS GROUP AG V/R 01/12/29 549300SZJ9VS8SGXAN81 225401AF5 250000.00000000 PA USD 247177.17000000 0.121286941367 Long DBT CORP CH Y 2 2029-01-12 Variable 3.86900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6321.40000000 -0.00310183691 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -714872.34000000 USD 2639830.54000000 PLN 2026-12-16 -6321.40000000 N N N CWHL 2007-4 1A47 6% 05/25/37 N/A 12544RBY3 483752.61000000 PA USD 191924.98000000 0.094175339074 Long ABS-CBDO CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2428.92000000 0.001191842586 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -362000.00000000 MXN 23702.29000000 USD 2026-09-17 2428.92000000 N N N AUSTRALIAN 1.75% 06/21/51/AUD/ N/A Q08184NC5 50000.00000000 PA 17442.04000000 0.008558604675 Long DBT USGA AU N 2 2051-06-21 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC 87737.91000000 0.043051964491 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 iTRAXX Europe Crossover S44 2I667KMH8 Y 2030-12-20 -462570.00000000 EUR 547249.09000000 EUR 464659.99915966 EUR 3058.82000000 N N N N/A N/A N/A 1.00000000 NC N/A -8922.91000000 -0.00437836739 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -2731043.17000000 USD 434831489.00000000 JPY 2026-09-02 -8922.91000000 N N N WI TREASURY SE 4.375% 05/15/34 N/A 91282CKQ3 400000.00000000 PA USD 392625.00000000 0.192656487467 Long DBT UST US N 2 2034-05-15 Fixed 4.37500000 N N N N N N TITULOS D 12.75% 11/28/40/COP/ N/A P6S337JZ9 2176300000.00000000 PA 675727.72000000 0.331571675313 Long DBT USGA CO N 2 2040-11-28 Fixed 12.75000000 N N N N N N FHR 2391 FJ V/R 04/15/28 N/A 31339LU24 910.14000000 PA USD 910.11000000 0.000446580314 Long ABS-CBDO CORP US N 2 2028-04-15 Variable 4.25098000 N N N N N N OTC EPUT USD VS KRW 1350.0 GLM N/A N/A -1108000.00000000 NC USD -14832.80000000 -0.00727828117 N/A DFE CORP US N 2 GOLDMAN SACHS AND CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased OTC EPUT USD VS KRW 1350.0 GLM 0 1.00000000 USD 1350.00000000 USD 2026-11-27 XXXX -3597.68000000 N N N N/A N/A N/A 1.00000000 NC N/A 18.43000000 0.000009043385 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -218.00000000 USD 768973.20000000 COP 2026-10-26 18.43000000 N N N US TREAS BDS 4.5% 11/15/54 N/A 912810UE6 3900000.00000000 PA USD 3459269.54000000 1.697423034144 Long DBT UST US N 2 2054-11-15 Fixed 4.50000000 N N N N N N REALKREDIT 1.5% 10/01/53/DKK/ N/A K8094KZJ5 1.94000000 PA 0.23000000 0.000000112858 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 05571AAQ8 400000.00000000 PA USD 401061.64000000 0.196796247871 Long DBT CORP FR Y 2 2027-10-19 Variable 6.61200000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -33.71000000 -0.00001654110 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -100000.00000000 USD 1774895000.00000000 IDR 2026-09-28 -33.71000000 N N N GNMA II P#MA8098 3% 06/20/52 N/A 36179W7K8 2344329.28000000 PA USD 2051804.97000000 1.006796659635 Long ABS-MBS USGSE US N 2 2052-06-20 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 8894.63000000 0.004364490730 N/A DIR CA N 2 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2033-12-20 -1675234.73000000 CAD 1819637.53000000 CAD 1803816.87651070 CAD -135508.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 4134.24000000 0.002028623130 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -1818153.99000000 USD 573663947.00000000 HUF 2026-09-25 4134.24000000 N N N US TIPS 0.625% 07/15/32 N/A 91282CEZ0 114939.00000000 PA USD 105443.26000000 0.051739772298 Long DBT UST US N 2 2032-07-15 Fixed 0.62500000 N N N N N N WAMU 02-AR9 1A V/R 8/25/42 N/A 9393357P4 1816.35000000 PA USD 1772.46000000 0.000869725355 Long ABS-CBDO CORP US N 2 2042-08-25 Variable 5.10705000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1930.70000000 0.000947371869 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 -818484.00000000 NZD 486579.73000000 USD 2026-10-02 1930.70000000 N N N UMBS P#FM3243 3.5% 02/01/50 N/A 3140X6S93 43920.00000000 PA USD 39449.89000000 0.019357598824 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3063.35000000 0.001503149954 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1753662.43000000 THB 55976.71000000 USD 2026-09-16 3063.35000000 N N N N/A N/A N/A 1.00000000 NC N/A -57746.60000000 -0.02833558005 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1446163.54000000 USD 7241566.28000000 BRL 2026-10-02 -57746.60000000 N N N N/A N/A N/A 1.00000000 NC N/A -3190.42000000 -0.00156550171 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -1565295.84000000 USD 2165000.00000000 CAD 2026-09-02 -3190.42000000 N N N N/A N/A N/A 1.00000000 NC -10251.37000000 -0.00503022715 N/A DIR CA N 2 BANK OF AMERICA 8NAV47T0Y26Q87Y0QP81 N/A N/A Y 2033-12-20 -369208.40000000 CAD 366743.68000000 CAD 360763.37530214 CAD -7786.65000000 N N N NORDEA KRED 1.5% 10/01/53/DKK/ N/A K7S724JW8 10.00000000 PA 1.03000000 0.000000505408 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N FNMA 30YR TBA 4.5% OCT 26 N/A 01F0426A6 5163000.00000000 PA USD 4840473.95000000 2.375163855808 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2327.05000000 -0.00114185617 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -2294155857.00000000 IDR 127006.86000000 USD 2026-09-16 -2327.05000000 N N N N/A N/A N/A 1.00000000 NC 21934.46000000 0.010762982535 N/A DCR N/A N 2 GOLDMAN SACHS FOR8UP27PHTHYVLBNG30 iTRAXX Europe Crossover S44 2I667KMH8 Y 2030-12-20 -115145.00000000 EUR 135492.37000000 EUR 116164.99978992 EUR 1587.09000000 N N N OTC EPUT USD VS SGD @ 1.2365 BOA N/A N/A -462000.00000000 NC USD -359.44000000 -0.00017637299 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 Put Purchased OTC EPUT USD VS SGD @ 1.2365 BOA 0 1.00000000 USD 1.23650000 USD 2026-11-05 XXXX 2939.24000000 N N N EAGLE FUNDING LU 5.5% 08/17/30 894500VDP08MVIZ6OA60 26951TAA8 1000000.00000000 PA USD 999750.00000000 0.490565611833 Long DBT USGA LU Y 2 2030-08-17 Fixed 5.50000000 N N N N N N NATIONAL BK OF 0.00% 10/08/26 N/A 63423KK84 300000.00000000 PA USD 298745.08000000 0.146590710630 Long STIV CORP KW N 2 2026-10-08 Fixed 0.00000000 N N N N N N GOLDMAN SACHS GRO V/R 07/23/35 784F5XWPLTWKTBV3E584 38141GB37 400000.00000000 PA USD 392668.77000000 0.192677964894 Long DBT CORP US N 2 2035-07-23 Variable 5.33000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -852.92000000 -0.00041851785 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -2882923.98000000 CAD 2082047.68000000 USD 2026-10-02 -852.92000000 N N N LLOYDS BANKING GR V/R 06/05/30 549300PPXHEU2JF0AM85 53944YBA0 300000.00000000 PA USD 305059.09000000 0.149688921361 Long DBT CORP GB N 2 2030-06-05 Variable 5.72100000 N N N N N N COLFR 1A AR V/R 08/15/33 /EUR/ 635400C8SJP8XE4FXA57 N/A 283686.03000000 PA 329668.44000000 0.161764441080 Long ABS-CBDO CORP IE Y 2 2033-08-15 Variable 3.35100000 N N N N N N US TIPS 0.125% 07/15/30 N/A 912828ZZ6 130251.00000000 PA USD 121120.26000000 0.059432292525 Long DBT UST US N 2 2030-07-15 Fixed 0.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -42020.39000000 -0.02061891305 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -325358898.00000000 JPY 1994782.53000000 USD 2026-09-02 -42020.39000000 N N N GNMA II P#MB0022 3.5% 11/20/54 N/A 3618N5AY5 480271.55000000 PA USD 420331.97000000 0.206251973029 Long ABS-MBS USGSE US N 2 2054-11-20 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -559017.32000000 -0.27430324942 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-09-16 -34780445.45000000 GBP 34419233.39000000 GBP 35175799.05025343 GBP -197805.26000000 N N N OTC ECAL EUR VS HUF 375.0 UAG N/A N/A -740000.00000000 NC -6182.39000000 -0.00303362633 N/A DFE CORP US N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 Call Purchased OTC ECAL EUR VS HUF 375.0 UAG 0 1.00000000 EUR 375.00000000 EUR 2026-11-10 XXXX 5551.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 1441.73000000 0.000707440019 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -320813.47000000 USD 1700920.94000000 BRL 2026-12-02 1441.73000000 N N N US TREAS BDS 1.375% 11/15/40 N/A 912810ST6 200000.00000000 PA USD 125531.25000000 0.061596713638 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N BANCO ITAU CHILE 0% 10/06/26 N/A 46556YK62 300000.00000000 PA USD 298815.83000000 0.146625426826 Long STIV CORP CL N 2 2026-10-06 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2949.53000000 0.001447299814 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -358632.00000000 USD 34480886.14000000 INR 2026-09-30 2949.53000000 N N N F/C 3MO EURO EURIBOR DEC26 N/A N/A 127.00000000 NC 35844148.23000000 17.58830358298 N/A DIR CORP GB N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C 3MO EURO EURIBOR DEC26 3MO EURO EURIBOR DEC26 /EUR/ 2026-12-14 35963493.24000000 EUR -119345.02000000 N N N N/A N/A N/A 1.00000000 NC USD 10369.48000000 0.005088182346 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2036-02-15 -200000.00000000 USD 200000.00000000 USD 200000.00000000 USD 10369.48000000 N N N N/A N/A N/A 1.00000000 NC 80194.92000000 0.039350707672 N/A DIR SG N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -4775643.09000000 SGD 4751314.57000000 SGD 4748042.95661068 SGD 104523.44000000 N N N N/A N/A N/A 1.00000000 NC N/A -7552.85000000 -0.00370609500 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -850794.72000000 PEN 245161.20000000 USD 2026-09-16 -7552.85000000 N N N UMBS TBA 30YR 2% SEP 26 N/A 01F020695 -17550000.00000000 PA USD -13678689.73000000 -6.71197278967 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 2.00000000 N N N N N N NOMURA HOLDING 2.329% 01/22/27 549300B3CEAHYG7K8164 65535HAZ2 200000.00000000 PA USD 198472.63000000 0.097388194216 Long DBT CORP JP N 2 2027-01-22 Fixed 2.32900000 N N N N N N KUWAIT INTL BO 4.136% 10/09/30 N/A 501499AE7 200000.00000000 PA USD 193605.48000000 0.094999940735 Long DBT USGA KW Y 2 2030-10-09 Fixed 4.13600000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 799.11000000 0.000392113914 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -17500.00000000 USD 24885000.00000000 NGN 2026-10-09 799.11000000 N N N N/A N/A N/A 1.00000000 NC N/A -355.26000000 -0.00017432191 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -224029.91000000 PEN 66189.00000000 USD 2026-09-16 -355.26000000 N N N N/A N/A N/A 1.00000000 NC -979.12000000 -0.00048044271 N/A DIR CN N 2 BANK OF AMERICA 8NAV47T0Y26Q87Y0QP81 N/A N/A Y 2032-03-17 -9624846.47000000 CNY 9539957.76000000 CNY 9970609.02563339 CNY 83909.59000000 N N N F/C CAN 10YR BOND FUT DEC26 N/A N/A 73.00000000 NC 6173094.27000000 3.029065033725 N/A DIR CORP CA N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C CAN 10YR BOND FUT DEC26 CAN 10YR BOND FUT DEC26 /CAD/ 2026-12-18 6206197.91000000 CAD -33103.65000000 N N N F/C EURO-BUND FUTURE DEC26 N/A N/A -4.00000000 NC -568836.77000000 -0.27912153849 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C EURO-BUND FUTURE DEC26 EURO-BUND FUTURE DEC26 /EUR/ 2026-12-08 573251.04000000 EUR 4414.27000000 N N N N/A N/A N/A 1.00000000 NC N/A 803.80000000 0.000394415242 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -72000.00000000 PLN 20126.11000000 USD 2026-10-23 803.80000000 N N N N/A N/A N/A 1.00000000 NC N/A 8283.97000000 0.004064847023 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -952180.41000000 USD 826810.00000000 EUR 2026-09-02 8283.97000000 N N N WAMU 2006-AR13 2 V/R 10/25/46 N/A 93363RAB2 27312.37000000 PA USD 25963.38000000 0.012739926376 Long ABS-CBDO CORP US N 2 2046-10-25 Variable 5.20705000 N N N N N N CWHL 2005-3 2A1 V/R 4/25/35 N/A 12669GTV3 353.54000000 PA USD 347.02000000 0.000170278648 Long ABS-CBDO CORP US N 2 2035-04-25 Variable 4.36175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4277.05000000 -0.00209869832 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -14212947.04000000 ZAR 877023.00000000 USD 2026-09-21 -4277.05000000 N N N N/A N/A N/A 1.00000000 NC 41745.81000000 0.020484179869 N/A DIR AU N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2035-09-17 -879005.88000000 AUD 901679.98000000 AUD 931579.92601765 AUD 19071.71000000 N N N N/A N/A N/A 1.00000000 NC N/A 9342.47000000 0.004584240571 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -877050.00000000 USD 8488360.24000000 SEK 2026-09-02 9342.47000000 N N N NYKREDIT RE 1.5% 10/01/50/DKK/ N/A K74181V86 1.18000000 PA 0.14000000 0.000000068696 Long DBT CORP DK N 2 2050-10-01 Fixed 1.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3630.37000000 -0.00178138002 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -5372784507.00000000 IDR 299262.41000000 USD 2026-09-16 -3630.37000000 N N N SAMI 2005-AR8 A1 V/R 02/25/36 N/A 86359LRW1 17319.15000000 PA USD 14645.55000000 0.007186399796 Long ABS-CBDO CORP US N 2 2036-02-25 Variable 4.34175000 N N N N N N N/A N/A N/A 1.00000000 NC -106135.81000000 -0.05207959846 N/A DIR AU N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2032-09-15 -5267229.78000000 AUD 5169327.77000000 AUD 5302839.57886969 AUD -8233.80000000 N N N N/A N/A N/A 1.00000000 NC N/A 3474.54000000 0.001704916069 N/A DFE N/A N 2 HSBC BANK PLC CYYGQCGNHMHPSMRL3R97 -502070.20000000 USD 48160939.23000000 INR 2026-09-16 3474.54000000 N N N GMACM 2005-AR6 3 V/R 11/19/35 N/A 36185MBL5 5790.47000000 PA USD 5182.76000000 0.002543119610 Long ABS-CBDO CORP US N 2 2035-11-19 Variable 3.70534200 N N N N N N N/A N/A N/A 1.00000000 NC N/A 907.63000000 0.000445363407 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -153591.91000000 USD 133000.00000000 EUR 2026-09-02 907.63000000 N N N N/A N/A N/A 1.00000000 NC N/A 455.58000000 0.000223547768 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -648408.33000000 DKK 101369.51000000 USD 2026-10-02 455.58000000 N N N SUMITOMO MITSUI 5.2% 03/07/29 N/A 86563VBQ1 200000.00000000 PA USD 201866.23000000 0.099053393976 Long DBT CORP JP Y 2 2029-03-07 Fixed 5.20000000 N N N N N N BONOS Y OBLIG 4% 10/31/54/EUR/ N/A E8922APG9 200000.00000000 PA 217647.27000000 0.106796965412 Long DBT USGA ES Y 2 2054-10-31 Fixed 4.00000000 N N N N N N CHINA GOVE 1.92% 01/15/55/CNY/ N/A Y603FQAA8 2300000.00000000 PA 324588.44000000 0.159271744598 Long DBT USGA CN N 2 2055-01-15 Fixed 1.92000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -386.89000000 -0.00018984239 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -13383163.45000000 INR 140096.00000000 USD 2026-09-16 -386.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -885.93000000 -0.00043471547 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -36003126.00000000 KRW 25450.74000000 USD 2026-09-16 -885.93000000 N N N N/A N/A N/A 1.00000000 NC N/A 172.73000000 0.000084756587 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -570342.00000000 THB 17381.69000000 USD 2026-09-16 172.73000000 N N N N/A N/A N/A 1.00000000 NC N/A 3054.83000000 0.001498969290 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -19900000.00000000 BRL 3684094.76000000 USD 2027-04-02 3054.83000000 N N N N/A N/A N/A 1.00000000 NC -2404.71000000 -0.00117996302 N/A DIR CA N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2029-09-01 -721162.51000000 CAD 718174.37000000 CAD 721526.75060428 CAD 583.43000000 N N N N/A N/A N/A 1.00000000 NC USD 38184.95000000 0.018736907586 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2054-11-15 -400000.00000000 USD 400000.00000000 USD 400000.00000000 USD 38184.95000000 N N N GNMA II 30 YR TBA 2.5% SEPT 26 N/A 21H022697 300000.00000000 PA USD 250722.20000000 0.123026446054 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 2.50000000 N N N N N N FNMA 30YR TBA 4.0% OCT 26 N/A 01F0406A0 344000.00000000 PA USD 313788.72000000 0.153972448525 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 4.00000000 N N N N N N NYKREDIT REAL 1% 10/01/50/DKK/ N/A K74181Y26 2.55000000 PA 0.32000000 0.000000157020 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1411.19000000 0.000692454399 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -186765605.00000000 CLP 201375.39000000 USD 2026-09-16 1411.19000000 N N N WAMU 2006-AR10 2 V/R 09/25/36 N/A 93363EAF2 17252.77000000 PA USD 14938.44000000 0.007330117487 Long ABS-CBDO CORP US N 2 2036-09-25 Variable 3.99730500 N N N N N N CWALT 2007-7T2 A9 6% 04/25/37 N/A 02147BAJ4 24632.97000000 PA USD 9455.10000000 0.004639506793 Long ABS-CBDO CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N FNMA TBA 30YR TBA 3% SEP 26 N/A 01F030694 -1500000.00000000 PA USD -1278460.71000000 -0.62732569182 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1407.00000000 -0.00069039841 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -300870.00000000 USD 2862930.65000000 SEK 2026-10-02 -1407.00000000 N N N N/A N/A N/A 1.00000000 NC USD 138465.22000000 0.067943261182 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-06-17 -3118833.86000000 USD 3230000.00000000 USD 3230000.00000000 USD 27299.08000000 N N N N/A N/A N/A 1.00000000 NC N/A -52174.32000000 -0.02560132754 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -831392175.00000000 COP 205537.31000000 USD 2026-09-16 -52174.32000000 N N N UMBS P#FM1796 3.5% 10/01/34 N/A 3140X47J9 11259.60000000 PA USD 10863.50000000 0.005330592172 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 52491.95000000 0.025757184864 N/A DIR US N 2 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2026-11-30 -6603696.53000000 USD 6600000.00000000 USD 6600000.00000000 USD 56188.48000000 N N N ALBA 2007-1 V/R 03/17/39 /GBP/ N/A G021A3AA9 138900.00000000 PA 185925.39000000 0.091231410553 Long ABS-CBDO CORP GB N 2 2039-03-17 Variable 4.03389000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6529.34000000 -0.00320387063 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -854022.00000000 PEN 247159.00000000 USD 2026-09-14 -6529.34000000 N N N N/A N/A N/A 1.00000000 NC -779.09000000 -0.00038229033 N/A DIR NO N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -93758.30000000 NOK 93733.59000000 NOK 96331.89549060 NOK -754.38000000 N N N SANDS CHINA LTD 5.4% 08/08/28 N/A 80007RAE5 200000.00000000 PA USD 201429.40000000 0.098839046613 Long DBT CORP MO N 2 2028-08-08 Variable 5.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3207.86000000 -0.00157405931 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -397277.08000000 PEN 114421.37000000 USD 2026-12-16 -3207.86000000 N N N N/A N/A N/A 1.00000000 NC N/A 89.24000000 0.000043789022 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -48641.79000000 USD 4642383.12000000 INR 2026-09-16 89.24000000 N N N N/A N/A N/A 1.00000000 NC -157669.18000000 -0.07736641935 N/A DIR AU N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-03-18 -2287744.89000000 AUD 2187220.29000000 AUD 2508099.80081675 AUD -57144.58000000 N N N N/A N/A N/A 1.00000000 NC N/A 2164.67000000 0.001062178207 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -117405.09000000 USD 11413770.63000000 INR 2026-10-14 2164.67000000 N N N N/A N/A N/A 1.00000000 NC 5296.42000000 0.002598891240 N/A DIR CA N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2034-06-01 -208679.18000000 CAD 208891.83000000 CAD 216458.02518128 CAD 5083.77000000 N N N TORONTO-DOMINI 4.814% 07/16/27 PT3QB789TSUIDF371261 891160TE3 700000.00000000 PA USD 702310.18000000 0.344615376992 Long DBT CORP CA Y 2 2027-07-16 Fixed 4.81400000 N N N N N N NATIONWIDE BLDG S V/R 02/16/28 549300XFX12G42QIKN82 63861VAF4 300000.00000000 PA USD 297786.24000000 0.146120219075 Long DBT CORP GB Y 2 2028-02-16 Variable 2.97200000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1711.25000000 0.000839690325 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -99359.00000000 USD 376614.33000000 PLN 2026-10-23 1711.25000000 N N N MALAYSIA 2.632% 04/15/31/MYR/ N/A Y2R35QHH7 900000.00000000 PA 214422.95000000 0.105214829365 Long DBT USGA MY N 2 2031-04-15 Fixed 2.63200000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3417107.58000000 -1.67673465434 N/A DFE N/A N 2 GOLDMAN SACHS FOR8UP27PHTHYVLBNG30 550000000.00000000 JPY 0.00000000 N/A 2026-09-16 320702.06000000 N N N FNR 2006-48 TF V/R 06/25/36 N/A 31395NLE5 2927.12000000 PA USD 2908.15000000 0.001426995132 Long ABS-CBDO CORP US N 2 2036-06-25 Variable 4.15767000 N N N N N N JPMMT 2022-LTV2 V/R 09/25/52 N/A 46655LAE4 652620.80000000 PA USD 569060.02000000 0.279231084652 Long ABS-CBDO CORP US Y 2 2052-09-25 Variable 3.50000000 N N N N N N RAST 2005-A15 5.75% 02/25/36 N/A 45660L4G1 13452.66000000 PA USD 4318.47000000 0.002119022633 Long ABS-CBDO CORP US N 2 2036-02-25 Fixed 5.75000000 N N N N N N N/A N/A N/A 1.00000000 NC -4590.98000000 -0.00225274009 N/A DIR N/A N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-04-11 -217979.99000000 EUR 217979.99000000 EUR 232329.99957983 EUR -4590.98000000 N N N N/A N/A N/A 1.00000000 NC 5131.74000000 0.002518084694 N/A DIR ZA N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2036-06-08 -442875.16000000 ZAR 447704.67000000 ZAR 453299.30483757 ZAR 302.23000000 N N N N/A N/A N/A 1.00000000 NC N/A -3601.84000000 -0.00176738068 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -659336.59000000 USD 1108315.00000000 NZD 2026-09-02 -3601.84000000 N N N N/A N/A N/A 1.00000000 NC -130056.53000000 -0.06381721551 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2032-03-17 -12476689.74000000 GBP 12363251.33000000 GBP 12465999.66341801 GBP -16618.12000000 N N N N/A N/A N/A 1.00000000 NC N/A -5720.56000000 -0.00280701176 N/A DFE N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -6973396578.00000000 IDR 384590.59000000 USD 2026-12-16 -5720.56000000 N N N NEW S WALE 1.75% 03/20/34/AUD/ N/A Q6715P7E3 1200000.00000000 PA 667736.43000000 0.327650442937 Long DBT USGA AU N 2 2034-03-20 Fixed 1.75000000 N N N N N N REPUBLIC OF PO 5.125% 09/18/34 N/A 731011AY8 100000.00000000 PA USD 98506.67000000 0.048336068855 Long DBT USGA PL N 2 2034-09-18 Fixed 5.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2886.52000000 0.001416381545 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -606529.20000000 SEK 66223.00000000 USD 2026-09-02 2886.52000000 N N N GNMA II P#MA8043 3% 05/20/52 N/A 36179W5C8 1045141.79000000 PA USD 910651.01000000 0.446845781332 Long ABS-MBS USGSE US N 2 2052-05-20 Fixed 3.00000000 N N N N N N EMIRATES NBD B 5.125% 06/29/31 54930029BCN8HF3B1286 M4R29ZWZ7 200000.00000000 PA USD 198354.79000000 0.097330371509 Long DBT CORP AE Y 2 2031-06-29 Fixed 5.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5067.99000000 0.002486803315 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -319113.00000000 USD 30945344.95000000 INR 2026-10-14 5067.99000000 N N N N/A N/A N/A 1.00000000 NC N/A -7150.93000000 -0.00350887757 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -7039634.00000000 TWD 216851.00000000 USD 2027-01-20 -7150.93000000 N N N N/A N/A N/A 1.00000000 NC N/A 6164.04000000 0.003024622209 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -190832.26000000 USD 3352202.91000000 MXN 2026-09-17 6164.04000000 N N N JAPAN (30 Y 0.7% 12/20/51/JPY/ N/A J2S39LSJ4 180000000.00000000 PA 524466.63000000 0.257349630639 Long DBT USGA JP N 2 2051-12-20 Fixed 0.70000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 24961.44000000 0.012248286157 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2033-05-31 -1598168.13000000 USD 1600000.00000000 USD 1600000.00000000 USD 23129.57000000 N N N JAPAN (30 Y 2.2% 06/20/54/JPY/ N/A J2S39L3F9 202000000.00000000 PA 858234.44000000 0.421125584551 Long DBT USGA JP N 2 2054-06-20 Fixed 2.20000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6104.41000000 -0.00299536246 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -33715626.02000000 KZT 66553.85000000 USD 2026-09-16 -6104.41000000 N N N N/A N/A N/A 1.00000000 NC N/A 13048.81000000 0.006402898185 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -5682576.00000000 AUD 4083408.32000000 USD 2026-10-02 13048.81000000 N N N N/A N/A N/A 1.00000000 NC USD -1552.23000000 -0.00076166107 N/A DIR US N 2 JP MORGAN N/A N/A N/A Y 2027-11-30 -3700000.00000000 USD 3700000.00000000 USD 3700000.00000000 USD -1552.23000000 N N N N/A N/A N/A 1.00000000 NC -9559.52000000 -0.00469074446 N/A DIR SE N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -878095.17000000 SEK 879806.53000000 SEK 856280.60942118 SEK -11270.88000000 N N N BULGARIA 4.125% 07/18/45/EUR/ N/A X0R483BH4 200000.00000000 PA 213198.75000000 0.104614128768 Long DBT USGA BG N 2 2045-07-18 Fixed 4.12500000 N N N N N N N/A N/A N/A 1.00000000 NC -37053.44000000 -0.01818168888 N/A DIR KR N 2 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2036-09-16 -1238530.69000000 KRW 1197221.92000000 KRW 1316477.54491565 KRW 4255.33000000 N N N HCA INC DISC 10/21/2026 N/A 40412DKM0 300000.00000000 PA USD 298270.83000000 0.146358001711 Long STIV CORP US N 2 2026-10-21 Fixed 0.00000000 N N N N N N SAUDI INT 3.375% 03/05/32/EUR/ N/A N/A 500000.00000000 PA 566200.09000000 0.277827750508 Long DBT USGA SA Y 2 2032-03-05 Fixed 3.37500000 N N N N N N F/C US 2YR NOTE (CBT) DEC26 N/A N/A -35.00000000 NC USD -7183203.16000000 -3.52471363151 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US 2YR NOTE (CBT) DEC26 US 2YR NOTE (CBT) DEC26 2026-12-31 7198515.63000000 USD 15312.47000000 N N N GA GLOBAL FUNDI 2.25% 01/06/27 54930029I8ROQ4OROZ88 36143L2G9 150000.00000000 PA USD 148826.78000000 0.073027557277 Long DBT CORP US Y 2 2027-01-06 Fixed 2.25000000 N N N N N N N/A N/A N/A 1.00000000 NC -10122.21000000 -0.00496684985 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2028-12-16 -10098812.83000000 JPY 10081177.64000000 JPY 10078878.17703769 JPY 7512.98000000 N N N N/A N/A N/A 1.00000000 NC N/A -890.87000000 -0.00043713947 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -426037.50000000 MYR 105000.00000000 USD 2026-09-23 -890.87000000 N N N F/C LONG GILT FUTURE DEC26 N/A N/A 47.00000000 NC 5485825.78000000 2.691830437785 N/A DIR CORP GB N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C LONG GILT FUTURE DEC26 LONG GILT FUTURE DEC26 /GBP/ 2026-12-29 5488102.18000000 GBP -2276.40000000 N N N TPMF 2024-G V/R 10/20/29 /GBP/ N/A N/A 270591.75000000 PA 366923.14000000 0.180044885891 Long ABS-CBDO CORP GB Y 2 2053-07-20 Variable 4.66379000 N N N N N N N/A N/A N/A 1.00000000 NC USD -45603.30000000 -0.02237700501 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2027-09-17 -9500000.00000000 USD 9553201.67000000 USD 9500000.00000000 USD -98804.97000000 N N N JAPAN (20 YEA 1% 12/20/35/JPY/ N/A J2S39KLV6 200000000.00000000 PA 1064842.87000000 0.522505920507 Long DBT USGA JP N 2 2035-12-20 Fixed 1.00000000 N N N N N N ROMANIA 1.75% 07/13/30/EUR/ N/A X7360WBW1 200000.00000000 PA 210718.50000000 0.103397099151 Long DBT USGA RO Y 2 2030-07-13 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC -462284.81000000 -0.22683774009 N/A DIR JP N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2044-06-19 -1535451.01000000 JPY 1442538.50000000 JPY 1439839.73957681 JPY -369372.30000000 N N N N/A N/A N/A 1.00000000 NC N/A 1290.26000000 0.000633115465 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -25973.00000000 USD 37141390.00000000 NGN 2026-10-13 1290.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 94.71000000 0.000046473087 N/A DFE N/A N 2 WELLS FARGO BANK, N.A. N/A -171183.96000000 ILS 57429.00000000 USD 2026-10-20 94.71000000 N N N F/C EURO-BTP FUTURE SEP26 N/A N/A 220.00000000 NC 29428079.40000000 14.44001377938 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BTP FUTURE SEP26 EURO-BTP FUTURE SEP26 /EUR/ 2026-09-08 30244217.30000000 EUR -816137.91000000 N N N HCA INC DISC 11/06/26 N/A 40412DL64 300000.00000000 PA USD 297745.00000000 0.146099983091 Long STIV CORP US N 2 2026-11-06 Fixed 0.00000000 N N N N N N BANCA MON 0.875% 10/08/26/EUR/ J4CP7MHCXR8DAQMKIL78 T1188BJA5 100000.00000000 PA 116024.85000000 0.056932034536 Long DBT CORP IT N 2 2026-10-08 Fixed 0.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 9371.42000000 0.004598445997 N/A DIR CA N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-09-16 -419402.89000000 CAD 422982.02000000 CAD 432916.05036257 CAD 5792.29000000 N N N GNMA II P#MA7937 3% 03/20/52 N/A 36179WZA9 935779.88000000 PA USD 815364.31000000 0.400089714030 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -18200.82000000 -0.00893092913 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40600166.00000000 COP 0.00000000 N/A 2026-09-16 -18200.82000000 N N N N/A N/A N/A 1.00000000 NC 7382.99000000 0.003622746693 N/A DIR IN N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2031-03-18 -314384.77000000 INR 314349.20000000 INR 291380.98615599 INR 7418.56000000 N N N N/A N/A N/A 1.00000000 NC USD 37566.96000000 0.018433667133 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2054-11-15 -560000.00000000 USD 560000.00000000 USD 560000.00000000 USD 37566.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 529.64000000 0.000259888142 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE AC28XWWI3WIBK2824319 -509418.62000000 USD 25176232.33000000 TRY 2026-10-01 529.64000000 N N N MLMI 2003-A2 1A1 V/R 02/25/33 N/A 589929M70 692.75000000 PA USD 644.91000000 0.000316449781 Long ABS-CBDO CORP US N 2 2033-02-25 Variable 5.71861000 N N N N N N MARGA 1A AR V/R 01/15/38 /EUR/ N/A N/A 900000.00000000 PA 1046508.53000000 0.513509474676 Long ABS-CBDO CORP IE Y 2 2038-01-15 Variable 3.61500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1794.94000000 0.000880756028 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -94251.00000000 USD 1715980832.00000000 IDR 2026-12-16 1794.94000000 N N N N/A N/A N/A 1.00000000 NC -49113.64000000 -0.02409948772 N/A DIR NO N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-03-18 -1136749.30000000 NOK 1073581.27000000 NOK 1145279.20194376 NOK 14054.39000000 N N N JPMORGAN CHASE & V/R 01/24/36 8I5DZWZKVSZI1NUHU748 46647PEW2 400000.00000000 PA USD 399511.41000000 0.196035568173 Long DBT CORP US N 2 2036-01-24 Variable 5.50200000 N N N N N N N/A N/A N/A 1.00000000 NC -4505.40000000 -0.00221074699 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2031-12-16 -643654.96000000 NZD 633548.78000000 NZD 650814.99461418 NZD 5600.78000000 N N N N/A N/A N/A 1.00000000 NC 854.88000000 0.000419479600 N/A DIR CH N 2 JPMORGAN N/A N/A N/A Y 2027-02-15 -216111.08000000 CHF 216111.08000000 CHF 247448.19053511 CHF 854.88000000 N N N SAMI 2005-AR2 2A V/R 05/25/45 N/A 86359LJA8 12530.03000000 PA USD 12006.66000000 0.005891527390 Long ABS-CBDO CORP US N 2 2045-05-25 Variable 4.24175000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -32465.46000000 -0.01593042085 N/A DFE N/A N 2 UBS AG STAMFORD BRANCH 254900R882POXXVAK772 -1935394832.22000000 COP 557052.35000000 USD 2026-12-07 -32465.46000000 N N N F/C EURO-BUXL 30Y BND SEP26 N/A N/A 8.00000000 NC 963333.11000000 0.472696270574 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BUXL 30Y BND SEP26 EURO-BUXL 30Y BND SEP26 /EUR/ 2026-09-08 1012470.91000000 EUR -49137.79000000 N N N FNMA 30YR TBA 5% OCT 26 N/A 01F0506A9 44928000.00000000 PA USD 43279978.06000000 21.23697816167 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 5.00000000 N N N N N N FNMA 30YR TBA 6% OCT 26 N/A 01F0606A8 -2665000.00000000 PA USD -2690167.99000000 -1.32003391442 Short ABS-MBS USGA US N 2 2056-10-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 24212.87000000 0.011880971628 N/A DIR US N 2 BARCLAYS BANK AC28XWWI3WIBK2824319 N/A N/A Y 2055-02-15 -200000.00000000 USD 200000.00000000 USD 200000.00000000 USD 24212.87000000 N N N N/A N/A N/A 1.00000000 NC N/A -363.00000000 -0.00017811984 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 -11906699.43000000 CNY 1776006.00000000 USD 2026-09-30 -363.00000000 N N N REPUBLIC OF S 8% 01/31/30/ZAR/ N/A S69124VP7 8800000.00000000 PA 548067.51000000 0.268930305945 Long DBT USGA ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N 2026-09-30 Morgan Stanley Pathway Funds James F. Kirchner James F. Kirchner Chief Financial Officer