NPORT-P
false
0000825316
XXXXXXXX
S000010443
C000028853
C000028852
AB VARIABLE PRODUCTS SERIES FUND, INC.
811-05398
0000825316
549300O75IUIQOS5Q596
ALLIANCEBERNSTEIN LP
1345 AVENUE OF THE AMERICAS
NEW YORK
10105
212-969-1000
AB Balanced Wealth Strategy Portfolio
S000010443
549300R9D1H8EHZQZI72
2022-12-31
2022-03-31
N
231743299.81
5406006.24
226337293.57
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
200000.00000000
0.00000000
0.00000000
0.00000000
AUD
CNY
EUR
GBP
JPY
USD
UST
Domino's Pizza Enterprises Ltd
54930034RFI409JZ3179
Domino's Pizza Enterprises Ltd
000000000
674.00000000
NS
43873.22000000
0.019383999564
Long
EC
CORP
AU
N
2
N
N
LondonMetric Property PLC
213800OCERWWPQDURL87
LondonMetric Property PLC
000000000
10920.00000000
NS
39498.74000000
0.017451273441
Long
EC
GB
N
2
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-478.17000000
-0.00021126434
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
163363.43000000
USD
147062.35000000
EUR
2022-05-12
-478.17000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
86000.00000000
PA
USD
77185.00000000
0.034101759715
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
China Development Bank
300300C1020111000029
China Development Bank
000000000
12590000.00000000
PA
2175253.32000000
0.961067124948
Long
DBT
NUSS
CN
N
2
2028-02-09
Fixed
4.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
1318.48000000
0.000582528835
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2662000.00000000
JPY
23194.28000000
USD
2022-04-28
1318.48000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-136.39000000
-0.00006025962
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
19000.00000000
GBP
24815.60000000
USD
2022-06-09
-136.39000000
N
N
N
Endeavour Mining PLC
529900NI5MXQ91GHXR07
Endeavour Mining PLC
000000000
7202.00000000
NS
178822.88000000
0.079007253811
Long
EC
CORP
GB
N
2
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
221953.53000000
0.098063172223
Long
DBT
CORP
ES
N
2
2022-04-25
Fixed
6.75000000
N
N
N
N
Y
Banco Santander SA
Banco Santander SA
EUR
XXXX
N
N
N
Universal Music Group NV
724500GJBUL3D9TW9Y18
Universal Music Group NV
000000000
98.00000000
NS
2616.03000000
0.001155810409
Long
EC
CORP
NL
N
2
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
60.28000000
0.000026632818
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
12973.18000000
USD
17412.50000000
AUD
2022-04-28
60.28000000
N
N
N
Independence Realty Trust Inc
549300Z3L8NU44NQEB29
Independence Realty Trust Inc
45378A106
4167.00000000
NS
USD
110175.48000000
0.048677563587
Long
EC
US
N
1
N
N
N
EPAM Systems Inc
549300XCR4R530HJP604
EPAM Systems Inc
29414B104
30.00000000
NS
USD
8898.30000000
0.003931433419
Long
EC
CORP
US
N
1
N
N
N
ALLWYN ENTERTAINMENT FIN
315700J7ZTIN8XGCX365
Allwyn Entertainment Financing UK PLC
000000000
112000.00000000
PA
121330.29000000
0.053605964835
Long
DBT
CORP
GB
N
2
2028-02-15
Floating
4.12500000
N
N
N
N
N
N
Centuria Industrial REIT
N/A
Centuria Industrial REIT
000000000
6490.00000000
NS
18558.67000000
0.008199563451
Long
EC
AU
N
2
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
715000.00000000
PA
505383.05000000
0.223287573173
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48127FAA1
17000.00000000
PA
USD
16955.29000000
0.007491160529
Long
DBT
CORP
US
N
2
2022-07-01
Variable
3.53400000
N
N
N
N
N
N
OMV AG
549300V62YJ9HTLRI486
OMV AG
000000000
1123.00000000
NS
53659.68000000
0.023707838489
Long
EC
CORP
AT
N
2
N
N
N
Intuit Inc
VI90HBPH7XSFMB9E4M29
Intuit Inc
461202103
68.00000000
NS
USD
32697.12000000
0.014446192001
Long
EC
CORP
US
N
1
N
N
N
L Street Securities
N/A
JP Morgan Madison Avenue Securities Trust Series 2014-1
46643HAB4
7912.14000000
PA
USD
7763.43000000
0.003430026876
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
4.70700000
N
N
N
N
N
N
BHP Group Ltd
WZE1WSENV6JSZFK0JC28
BHP Group Ltd
000000000
1260.00000000
NS
48861.46000000
0.021587896200
Long
EC
CORP
AU
N
1
N
N
Imperial Brands PLC
549300DFVPOB67JL3A42
Imperial Brands PLC
000000000
1523.00000000
NS
32081.57000000
0.014174230633
Long
EC
CORP
GB
N
2
N
N
N
Washington H Soul Pattinson & Co Ltd
549300G2Q3P6ZVNC1465
Washington H Soul Pattinson & Co Ltd
000000000
273.00000000
NS
5822.90000000
0.002572664852
Long
EC
CORP
AU
N
2
N
N
IBERDROLA INTL BV
549300ZMLFJKWC63XN87
Iberdrola International BV
000000000
100000.00000000
PA
104574.90000000
0.046203123820
Long
DBT
CORP
NL
N
2
2026-11-09
Fixed
1.45000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-20CB
12667GQL0
14123.21000000
PA
USD
11746.03000000
0.005189613171
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
LEG Immobilien SE
391200SO40AKONBO0Z96
LEG Immobilien SE
000000000
660.00000000
NS
75159.46000000
0.033206838702
Long
EC
CORP
DE
N
2
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89352HAD1
62000.00000000
PA
USD
75813.60000000
0.033495849846
Long
DBT
CORP
CA
N
2
2037-10-15
Fixed
6.20000000
N
N
N
N
N
N
VORNADO REALTY LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AL1
160000.00000000
PA
USD
149867.20000000
0.066214099159
Long
DBT
US
N
2
2031-06-01
Fixed
3.40000000
N
N
N
N
N
N
Castellum AB
549300GU5OHTR1T5IY68
Castellum AB
000000000
2350.00000000
NS
58020.89000000
0.025634701681
Long
EC
CORP
SE
N
2
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
000000000
170000.00000000
PA
185326.15000000
0.081880518705
Long
DBT
CORP
US
N
2
2027-03-11
Fixed
1.09000000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312106
274.00000000
NS
USD
58762.04000000
0.025962155450
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
6894.46000000
0.003046099867
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
14419000.00000000
JPY
125387.02000000
USD
2022-04-28
6894.46000000
N
N
N
SoftBank Corp
353800M1YCTS9JRBJ535
SoftBank Corp
000000000
1300.00000000
NS
15162.03000000
0.006698865114
Long
EC
CORP
JP
N
2
N
N
N
Accenture PLC
N/A
Accenture PLC
000000000
96.00000000
NS
USD
32374.08000000
0.014303466958
Long
EC
CORP
IE
N
1
N
N
N
Equity Residential
5493008RACSH5EP3PI59
Equity Residential
29476L107
1820.00000000
NS
USD
163654.40000000
0.072305538967
Long
EC
US
N
1
N
N
N
AEON REIT Investment Corp
353800P59F8MJB4FE788
AEON REIT Investment Corp
000000000
39.00000000
NS
48243.36000000
0.021314808195
Long
EC
JP
N
2
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAH4
15000.00000000
PA
USD
15018.23000000
0.006635331616
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
BELLEMEADE RE LT
254900I4ZKD8IMM1O953
Bellemeade Re 2019-2 Ltd
07877BAG5
150000.00000000
PA
USD
147556.43000000
0.065193158260
Long
ABS-MBS
CORP
BM
N
2
2029-04-25
Floating
3.55700000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1102.23000000
-0.00048698558
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
193159.96000000
EUR
212840.43000000
USD
2022-05-12
-1102.23000000
N
N
N
Fidelity National Financial Inc
549300CAZYIH39SYQ287
Fidelity National Financial Inc
31620R303
150.00000000
NS
USD
7326.00000000
0.003236762216
Long
EC
CORP
US
N
1
N
N
N
American Electric Power Co Inc
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537101
7683.00000000
NS
USD
766532.91000000
0.338668408510
Long
EC
CORP
US
N
1
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1383000.00000000
PA
1729245.07000000
0.764012435920
Long
DBT
NUSS
GB
N
2
2026-10-22
Fixed
0.37500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHT9
73000.00000000
PA
USD
73263.53000000
0.032369181783
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.55900000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
350000.00000000
PA
241790.77000000
0.106827631534
Long
DBT
NUSS
AU
N
2
2025-11-21
Fixed
0.25000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
110000.00000000
PA
17664.81000000
0.007804639580
Long
DBT
NUSS
CN
N
2
2027-07-10
Fixed
3.39000000
N
N
N
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
958102105
9794.00000000
NS
USD
486272.10000000
0.214844002210
Long
EC
CORP
US
N
1
N
N
N
VOLCAN CIA MINERA SAA-CM
549300XKJ91C4SZLG750
Volcan Cia Minera SAA
92863UAB2
24000.00000000
PA
USD
22980.00000000
0.010152988770
Long
DBT
CORP
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: SS24X76 IRS EUR R F .00000 IS24X76 IRS REC F -0.0165 / Short: SS24X76 IRS EUR P V 06MEURIB IS24X87 IRS REC F S
000000000
540000.00000000
OU
Notional Amount
-156880.00000000
-0.06931248382
N/A
DIR
FR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
Y
2050-09-30
0.00000000
EUR
0.00000000
EUR
540000.00000000
EUR
-156880.00000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
669000.00000000
PA
722926.01000000
0.319402074045
Long
DBT
NUSS
IT
N
2
2027-09-15
Fixed
0.95000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-138.02000000
-0.00006097978
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
17000.00000000
EUR
18691.06000000
USD
2022-05-12
-138.02000000
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBC9
66000.00000000
PA
USD
61660.50000000
0.027242748655
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
2.49000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCP4
565000.00000000
PA
USD
522007.03000000
0.230632354821
Long
DBT
UST
US
N
2
2026-07-31
Fixed
0.62500000
N
N
N
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040Q104
2630.00000000
NS
USD
252848.20000000
0.111713008498
Long
EC
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380B6Y6
275177.45000000
PA
USD
43415.63000000
0.019181827844
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Floating
5.70100000
N
N
N
N
N
N
Expeditors International of Washington Inc
984500B055A804AB6E40
Expeditors International of Washington Inc
302130109
164.00000000
NS
USD
16918.24000000
0.007474791154
Long
EC
CORP
US
N
1
N
N
N
WEIBO CORP
549300Q9ID4640FE0422
Weibo Corp
948596AE1
200000.00000000
PA
USD
169825.00000000
0.075031824107
Long
DBT
CORP
KY
N
2
2030-07-08
Fixed
3.37500000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-8907.11000000
-0.00393532584
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
182564.39000000
USD
21131826.00000000
JPY
2022-04-28
-8907.11000000
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
110000.00000000
PA
117194.77000000
0.051778815656
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
2899000.00000000
PA
1876377.09000000
0.829018081997
Long
DBT
NUSS
AU
N
2
2032-05-21
Fixed
1.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-362.18000000
-0.00016001781
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
183260.61000000
USD
244349.47000000
AUD
2022-04-28
-362.18000000
N
N
N
Chipotle Mexican Grill Inc
N/A
Chipotle Mexican Grill Inc
169656105
35.00000000
NS
USD
55371.05000000
0.024463953388
Long
EC
CORP
US
N
1
N
N
N
Kenedix Residential Next Investment Corp
353800CYD58GUMFQME07
Kenedix Residential Next Investment Corp
000000000
23.00000000
NS
40212.53000000
0.017766639057
Long
EC
JP
N
2
N
N
N
La Francaise des Jeux SAEM
969500R4CLSQFTYYI535
La Francaise des Jeux SAEM
000000000
129.00000000
NS
5117.77000000
0.002261125384
Long
EC
CORP
FR
N
2
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
Progressive Corp/The
743315103
5445.00000000
NS
USD
620675.55000000
0.274225930782
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-20.13000000
-0.00000889380
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1984800.00000000
JPY
16290.57000000
USD
2022-04-28
-20.13000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS2EEC8 CDS EUR R V 03MEVENT IS2EED9 CCPITRAXX / Short: BS2EEC8 CDS EUR P F 1.00000 IS2EEC8 CCPITRAXX
000000000
2140000.00000000
OU
Notional Amount
-38394.03000000
-0.01696319214
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S36
2I666VCZ6
Y
buy protection
2026-12-20
0.00000000
EUR
-33578.66000000
EUR
2140000.00000000
EUR
-153.14000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAA1
152205.60000000
PA
USD
150283.06000000
0.066397833794
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
0.94900000
N
N
N
N
N
N
Gazprom PJSC
213800FD9J2IHTA7YX78
Gazprom PJSC
368287207
15730.00000000
NS
USD
0.02000000
0.000000008836
Long
EC
CORP
RU
N
3
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AT6
200000.00000000
PA
USD
207250.00000000
0.091566880884
Long
DBT
CORP
GB
N
2
2025-03-30
Fixed
6.37500000
N
N
N
N
Y
HSBC Holdings PLC
HSBC Holdings PLC
USD
XXXX
N
N
N
Vertex Pharmaceuticals Inc
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals Inc
92532F100
3303.00000000
NS
USD
861983.91000000
0.380840424661
Long
EC
CORP
US
N
1
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
65088.27000000
0.028757200801
N/A
DFE
BR
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
787218.45000000
USD
4057874.92000000
BRL
2022-04-04
65088.27000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-1682.42000000
-0.00074332425
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
27423313.00000000
JPY
223677.08000000
USD
2022-04-28
-1682.42000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
146479.00000000
PA
USD
139303.39000000
0.061546812636
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.59900000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
475000.00000000
PA
324490.67000000
0.143365976009
Long
DBT
NUSS
AU
N
2
2026-09-21
Fixed
0.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
1025000.00000000
PA
739387.79000000
0.326675192734
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
2844.00000000
NS
USD
504042.12000000
0.222695125513
Long
EC
CORP
US
N
1
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
74000.00000000
PA
USD
67086.18000000
0.029639914369
Long
DBT
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
Suzano SA
391200AW174YQSDMGG41
Suzano SA
000000000
7900.00000000
NS
91510.28000000
0.040430933213
Long
EC
CORP
BR
N
1
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBA1
5000.00000000
PA
USD
4928.85000000
0.002177657036
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.25000000
N
N
N
N
N
N
NetApp Inc
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110D104
821.00000000
NS
USD
68143.00000000
0.030106836979
Long
EC
CORP
US
N
1
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
200000.00000000
PA
207424.04000000
0.091643774973
Long
DBT
CORP
NL
N
2
2028-09-22
Fixed
0.87500000
N
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809H107
960.00000000
NS
USD
102758.40000000
0.045400560543
Long
EC
CORP
US
N
1
N
N
N
BX Trust
N/A
BX Trust 2018-EXCL
12433WAA9
137934.30000000
PA
USD
136387.24000000
0.060258403663
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Floating
1.48500000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
100000.00000000
PA
102175.99000000
0.045143241040
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
13046.55000000
0.005764206947
N/A
DFE
CO
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
776356.95000000
USD
2998678719.65000000
COP
2022-05-25
13046.55000000
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
4840.00000000
NS
USD
2468254.80000000
1.090520594758
Long
EC
CORP
US
N
1
N
N
N
Aisin Corp
3538004IOK08PDY6I723
Aisin Corp
000000000
1500.00000000
NS
51266.40000000
0.022650443146
Long
EC
CORP
JP
N
2
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAH6
23000.00000000
PA
USD
23358.11000000
0.010320044757
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.87500000
N
N
N
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
000000000
98939.00000000
NS
485036.32000000
0.214298011763
Long
EC
CORP
GB
N
2
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
118000.00000000
PA
USD
104858.34000000
0.046328352851
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38300000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
National Bank of Canada
633067103
887.00000000
NS
67992.81000000
0.030040480261
Long
EC
CORP
CA
N
1
N
N
N
Stora Enso Oyj
7437000ZP669LKUTZ738
Stora Enso Oyj
000000000
1890.00000000
NS
37076.92000000
0.016381268599
Long
EC
CORP
FI
N
2
N
N
N
Goodyear Tire & Rubber Co/The
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550101
22321.00000000
NS
USD
318967.09000000
0.140925556265
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-2980.64000000
-0.00131690184
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
98000.00000000
AUD
70373.50000000
USD
2022-04-28
-2980.64000000
N
N
N
ASML Holding NV
724500Y6DUVHQD6OXN27
ASML Holding NV
000000000
140.00000000
NS
93551.01000000
0.041332565448
Long
EC
CORP
NL
N
2
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172109
703.00000000
NS
USD
66039.82000000
0.029177613180
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYU2
67000.00000000
PA
USD
62858.06000000
0.027771852799
Long
DBT
CORP
US
N
2
2026-11-10
Fixed
4.12500000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-28CB
02147TAP1
56932.58000000
PA
USD
38791.62000000
0.017138854754
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6.25000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200101
137.00000000
NS
USD
17812.74000000
0.007869997789
Long
EC
CORP
US
N
1
N
N
N
Essential Properties Realty Trust Inc
N/A
Essential Properties Realty Trust Inc
29670E107
3194.00000000
NS
USD
80808.20000000
0.035702556448
Long
EC
US
N
1
N
N
N
AXALTA COATING SYSTEMS
549300G80QONCHILSF69
Axalta Coating Systems LLC
05453GAC9
150000.00000000
PA
USD
131883.00000000
0.058268347173
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.37500000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
582.12000000
0.000257191376
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
3259000.00000000
JPY
27363.95000000
USD
2022-04-28
582.12000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
905.73000000
0.000400168255
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
380000.00000000
NOK
44047.96000000
USD
2022-06-17
905.73000000
N
N
N
ICG US CLO Ltd
254900IL8TH4VLG5DO47
ICG US CLO 2015-1 Ltd
44931AAJ8
240068.96000000
PA
USD
239835.61000000
0.105963805706
Long
ABS-CBDO
CORP
KY
N
2
2028-10-19
Floating
1.38800000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBH4
211000.00000000
PA
USD
197514.99000000
0.087265773520
Long
DBT
CORP
FR
N
2
2028-01-19
Fixed
2.79700000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
25834.00000000
NS
USD
1251915.64000000
0.553119470615
Long
EC
CORP
US
N
1
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
000000000
215000.00000000
PA
239023.40000000
0.105604956315
Long
DBT
CORP
JP
N
2
2024-06-09
Fixed
0.97800000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585A102
345.00000000
NS
USD
29497.50000000
0.013032540742
Long
EC
CORP
US
N
1
N
N
N
NextEra Energy Inc
N/A
NextEra Energy Inc
65339F101
5077.00000000
NS
USD
430072.67000000
0.190014055225
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
4060.11000000
0.001793831646
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
69294.03000000
USD
98000.00000000
AUD
2022-04-28
4060.11000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1CJQ2 CDS USD R F 3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2 CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410
000000000
49736.92000000
OU
Notional Amount
USD
-12111.77000000
-0.00535120386
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-5389.27000000
USD
49736.92000000
USD
-6722.50000000
N
N
N
WEPA HYGIENEPRODUKTE GMB
529900KQ44OJDIDU6J81
WEPA Hygieneprodukte GmbH
000000000
120000.00000000
PA
113750.80000000
0.050257206051
Long
DBT
CORP
DE
N
2
2027-12-15
Fixed
2.87500000
N
N
N
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
902653104
2510.00000000
NS
USD
143998.70000000
0.063621287384
Long
EC
US
N
1
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AF0
232000.00000000
PA
USD
240479.60000000
0.106248332392
Long
DBT
CORP
NL
N
2
2025-04-16
Fixed
6.50000000
N
N
N
N
Y
ING Groep NV
ING Groep NV
USD
XXXX
N
N
N
Electrolux AB
549300Y3HHZB1ZGFPJ93
Electrolux AB
000000000
2406.00000000
NS
36408.81000000
0.016086085251
Long
EC
CORP
SE
N
2
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
4523.19000000
0.001998428950
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
772155.12000000
CHF
840383.32000000
USD
2022-04-13
4523.19000000
N
N
N
Uniper SE
549300UXRTWGIBZQ4J67
Uniper SE
000000000
384.00000000
NS
9920.33000000
0.004382985164
Long
EC
CORP
DE
N
2
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHA1
34000.00000000
PA
USD
34000.68000000
0.015022128904
Long
DBT
CORP
US
N
2
2022-07-30
Variable
3.76900000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1680.92000000
-0.00074266152
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3652564836.00000000
IDR
252772.65000000
USD
2022-04-28
-1680.92000000
N
N
N
ENA MASTER TRUST
549300CBCHB6Q73VG753
ENA Master Trust
29249BAA3
200000.00000000
PA
USD
187662.50000000
0.082912761321
Long
DBT
CORP
PA
N
2
2048-05-19
Fixed
4.00000000
N
N
N
N
N
N
Mowi ASA
549300W1OGQF5LZIH349
Mowi ASA
000000000
3640.00000000
NS
98046.68000000
0.043318835554
Long
EC
CORP
NO
N
2
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-513.57000000
-0.00022690471
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
554000.00000000
DKK
82102.54000000
USD
2022-06-17
-513.57000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNK1
174302.00000000
PA
USD
169918.55000000
0.075073156226
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
1.04900000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
125000.00000000
PA
144561.95000000
0.063870141645
Long
DBT
CORP
IT
N
2
2026-09-15
Fixed
3.92800000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
167915.00000000
PA
194063.17000000
0.085740695640
Long
DBT
NUSS
GB
N
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
8935268Z9
69000.00000000
PA
USD
96139.77000000
0.042476327468
Long
DBT
CORP
CA
N
2
2039-01-15
Fixed
7.62500000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-10701.92000000
-0.00472830607
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1408109.72000000
USD
1261661.59000000
EUR
2022-05-12
-10701.92000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
6.00000000
NC
USD
-26539.29000000
-0.01172554888
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
839351.79000000
USD
-26539.29000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287Y109
559.00000000
NS
USD
90619.49000000
0.040037365725
Long
EC
CORP
US
N
1
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
86722TAB8
94000.00000000
PA
USD
121681.12000000
0.053760968014
Long
DBT
CORP
CA
N
2
2039-06-01
Fixed
6.85000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
000000000
150000.00000000
PA
157804.87000000
0.069721108488
Long
DBT
CORP
CA
N
2
2027-01-14
Fixed
0.01000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
29000.00000000
PA
USD
29001.45000000
0.012813376683
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
Sanford C Bernstein Fund Inc - Emerging Markets Portfolio
549300BT4HTKWD1GNK68
Sanford C Bernstein Fund Inc - Emerging Markets Portfolio
085568459
125463.57500000
NS
USD
3599549.97000000
1.590347712135
Long
EC
RF
US
N
1
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
000000000
100000.00000000
PA
107721.07000000
0.047593159881
Long
DBT
CORP
US
N
2
2025-03-02
Fixed
2.87500000
N
N
N
N
N
N
Maple Leaf Foods Inc
549300LX07S5J8F76F37
Maple Leaf Foods Inc
564905107
2830.00000000
NS
67911.85000000
0.030004710637
Long
EC
CORP
CA
N
1
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAG6
200000.00000000
PA
USD
201134.00000000
0.088864719033
Long
DBT
CORP
ES
N
2
2025-03-05
Fixed
6.50000000
N
N
N
N
Y
Banco Bilbao Vizcaya Argentaria SA
Banco Bilbao Vizcaya Argentaria SA
USD
XXXX
N
N
N
Japan Post Insurance Co Ltd
54930042SK2Z708BA841
Japan Post Insurance Co Ltd
000000000
3900.00000000
NS
67919.10000000
0.030007913821
Long
EC
CORP
JP
N
2
N
N
N
Ventas Inc
ORQTRC074CWLT3DKHT41
Ventas Inc
92276F100
2770.00000000
NS
USD
171075.20000000
0.075584185576
Long
EC
US
N
1
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-6503.32000000
-0.00287328698
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
4020530.23000000
BRL
837959.61000000
USD
2022-04-04
-6503.32000000
N
N
N
NTT UD REIT Investment Corp
N/A
NTT UD REIT Investment Corp
000000000
30.00000000
NS
39640.76000000
0.017514020502
Long
EC
JP
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
4999.99000000
0.002209088003
N/A
DFE
ID
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
839872.14000000
USD
12127753764.00000000
IDR
2022-04-28
4999.99000000
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAP4
116000.00000000
PA
USD
107182.84000000
0.047355359918
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
3.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1CJM8 CDS USD R F 3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8 CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332
000000000
50693.40000000
OU
Notional Amount
USD
-12344.69000000
-0.00545411222
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-5495.05000000
USD
50693.40000000
USD
-6849.64000000
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160K105
1115.00000000
NS
USD
642072.75000000
0.283679609256
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-274.64000000
-0.00012134102
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
106706.19000000
USD
96092.64000000
EUR
2022-05-12
-274.64000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-54.23000000
-0.00002395981
N/A
DFE
CH
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
61756.89000000
USD
57000.00000000
CHF
2022-04-13
-54.23000000
N
N
N
Constellation Software Inc/Canada
549300B6PYHMCTDWQV29
Constellation Software Inc/Canada
21037X100
25.00000000
NS
42734.87000000
0.018881055492
Long
EC
CORP
CA
N
1
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAA9
18000.00000000
PA
USD
17049.78000000
0.007532907958
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2CBG5 IRS NZD R F 2.50250 IS2CBG5 CCPVANILLA / Short: SS2CBG5 IRS NZD P V 03MNZDBB IS2CBH6 CCPVANILLA
000000000
1499000.00000000
OU
Notional Amount
-13510.30000000
-0.00596910026
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-02
0.00000000
NZD
0.00000000
NZD
1499000.00000000
NZD
-13510.30000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
615000.00000000
PA
588830.58000000
0.260156234402
Long
DBT
NUSS
ES
N
2
2042-07-30
Fixed
1.00000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
766000.00000000
PA
487430.37000000
0.215355747306
Long
DBT
NUSS
AU
N
2
2031-11-21
Fixed
1.00000000
N
N
N
N
N
N
Western Union Co/The
28ID94QU1140NC23S047
Western Union Co/The
959802109
1749.00000000
NS
USD
32776.26000000
0.014481157516
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
295.00000000
NS
16857.66000000
0.007448025791
Long
EC
CORP
FR
N
2
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
000000000
712.00000000
NS
11214.55000000
0.004954795483
Long
EC
CORP
NL
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286X3
1840000.00000000
PA
USD
1813550.00000000
0.801259912317
Long
DBT
UST
US
N
2
2026-05-31
Fixed
2.12500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MY4
144000.00000000
PA
USD
130417.92000000
0.057621047748
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.56100000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
3035.19000000
0.001341003045
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
144649.77000000
USD
197304.82000000
AUD
2022-04-28
3035.19000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN22
000000000
11.00000000
NC
-33973.79000000
-0.01501024840
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX 10 Year Euro BUND Future
RXM2 COMDTY
2022-06-08
1775970.78000000
EUR
-33973.79000000
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875P101
12083.00000000
NS
USD
1440656.09000000
0.636508490172
Long
EC
CORP
US
N
1
N
N
N
Neuberger Berman CLO Ltd
549300LGCRX4YI1JNS93
Neuberger Berman Loan Advisers Clo 42 Ltd
64133WAC9
250000.00000000
PA
USD
247868.75000000
0.109512995446
Long
ABS-CBDO
CORP
KY
N
2
2035-07-16
Floating
1.84100000
N
N
N
N
N
N
NIKE Inc
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106103
6931.00000000
NS
USD
932635.36000000
0.412055541218
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi Heavy Industries Ltd
353800TJ98PCAZROVE69
Mitsubishi Heavy Industries Ltd
000000000
2700.00000000
NS
88630.57000000
0.039158624105
Long
EC
CORP
JP
N
2
N
N
N
Shell PLC
21380068P1DRHMJ8KU70
Shell PLC
000000000
55714.00000000
NS
1527047.65000000
0.674677878273
Long
EC
CORP
GB
N
2
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
557.52000000
0.000246322641
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
225059271.00000000
CLP
284115.92000000
USD
2022-05-25
557.52000000
N
N
N
Kenedix Office Investment Corp
353800FFT483NCIHFY42
Kenedix Office Investment Corp
000000000
7.00000000
NS
41907.62000000
0.018515561151
Long
EC
JP
N
2
N
N
N
Owens Corning
JO5M6676RDJIZ2U8X907
Owens Corning
690742101
604.00000000
NS
USD
55266.00000000
0.024417540356
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBF0
29209.33000000
PA
USD
31244.51000000
0.013804402052
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
6.15700000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
2040000.00000000
PA
331621.65000000
0.146516574785
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
Americold Realty Trust
549300R7N1V5YV8MWH02
Americold Realty Trust
03064D108
2767.00000000
NS
USD
77143.96000000
0.034083627484
Long
EC
US
N
1
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
200000.00000000
PA
246832.13000000
0.109054997568
Long
DBT
CORP
ES
N
2
2026-12-03
Fixed
1.50000000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2018-GLKS Mortgage Trust
23307GAA4
165621.00000000
PA
USD
164066.80000000
0.072487744910
Long
ABS-MBS
CORP
US
N
2
2030-12-19
Floating
1.47900000
N
N
N
N
N
N
Covivio
969500P8M3W2XX376054
Covivio
000000000
370.00000000
NS
29446.07000000
0.013009818017
Long
EC
FR
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCS8
486000.00000000
PA
USD
441956.25000000
0.195264440529
Long
DBT
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
Mitsui Fudosan Co Ltd
353800ND4ZKNZDYKMF33
Mitsui Fudosan Co Ltd
000000000
8500.00000000
NS
181919.59000000
0.080375437529
Long
EC
CORP
JP
N
2
N
N
N
ELIOR GROUP SA
969500LYSYS0E800SQ95
Elior Group SA
000000000
105000.00000000
PA
105720.75000000
0.046709381530
Long
DBT
CORP
FR
N
2
2026-07-15
Fixed
3.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
250.87000000
0.000110839003
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1404500.00000000
JPY
11792.78000000
USD
2022-04-28
250.87000000
N
N
N
Snap-on Inc
HHWAT5TDOYZMM26KKQ73
Snap-on Inc
833034101
278.00000000
NS
USD
57123.44000000
0.025238191682
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
46634SAM7
119058.00000000
PA
USD
83340.60000000
0.036821417577
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
5.27000000
N
N
N
N
N
N
Novo Nordisk A/S
549300DAQ1CVT6CXN342
Novo Nordisk A/S
000000000
918.00000000
NS
101820.96000000
0.044986382223
Long
EC
CORP
DK
N
2
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-66518.56000000
-0.02938912936
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
13388786.88000000
ZAR
847757.29000000
USD
2022-04-21
-66518.56000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-1314.36000000
-0.00058070854
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
23658.58000000
USD
2719000.00000000
JPY
2022-04-28
-1314.36000000
N
N
N
Linde PLC
8945002PAZHZLBGKGF02
Linde PLC
000000000
2665.00000000
NS
USD
851280.95000000
0.376111659096
Long
EC
CORP
IE
N
1
N
N
N
TAG Immobilien AG
529900TAE68USJNXLR59
TAG Immobilien AG
000000000
1870.00000000
NS
42343.98000000
0.018708353065
Long
EC
CORP
DE
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUA0
79360.97000000
PA
USD
80173.73000000
0.035422235874
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AG4
200000.00000000
PA
USD
210370.00000000
0.092945354555
Long
DBT
CORP
US
N
2
2024-06-27
Fixed
7.50000000
N
N
N
N
Y
Lloyds Banking Group PLC
Lloyds Banking Group PLC
USD
XXXX
N
N
N
IMPERIAL BRANDS FIN NETH
724500GIEFJOBWGD0272
Imperial Brands Finance Netherlands BV
000000000
169000.00000000
PA
160232.69000000
0.070793764241
Long
DBT
CORP
NL
N
2
2033-03-18
Fixed
1.75000000
N
N
N
N
N
N
Aviva PLC
YF0Y5B0IB8SM0ZFG9G81
Aviva PLC
000000000
1667.00000000
NS
9863.49000000
0.004357872202
Long
EC
CORP
GB
N
2
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475105
2895.00000000
NS
USD
533982.75000000
0.235923449281
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
920.95000000
0.000406892733
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
32659.03000000
EUR
37093.87000000
USD
2022-05-12
920.95000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAE8
738.33000000
PA
USD
738.34000000
0.000326212259
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
2.45700000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAJ0
40000.00000000
PA
USD
40049.65000000
0.017694675662
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
Hang Seng Bank Ltd
5493009Z5F07LWZYMK62
Hang Seng Bank Ltd
000000000
1100.00000000
NS
21156.01000000
0.009347116273
Long
EC
CORP
HK
N
2
N
N
N
Northern Star Resources Ltd
254900XFXCRYYZAX6M78
Northern Star Resources Ltd
000000000
4630.00000000
NS
37353.42000000
0.016503431410
Long
EC
CORP
AU
N
2
N
N
CNTL AMR BOTTLING CORP
N/A
Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL
15239XAA6
28000.00000000
PA
USD
27860.00000000
0.012309062974
Long
DBT
CORP
VG
N
2
2029-04-27
Fixed
5.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
400.41000000
0.000176908539
N/A
DFE
NZ
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
21752.38000000
USD
32000.00000000
NZD
2022-06-10
400.41000000
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
1088000.00000000
PA
268478.99000000
0.118618980445
Long
DBT
NUSS
MY
N
2
2030-04-15
Fixed
4.49800000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAA4
11053.07000000
PA
USD
10973.62000000
0.004848348156
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
0.84900000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
87000.00000000
PA
USD
82595.19000000
0.036492081661
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3572.60000000
-0.00157844071
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
129924.88000000
USD
114078.24000000
EUR
2022-05-12
-3572.60000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-51103.36000000
-0.02257840906
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1010259.66000000
USD
116716814.00000000
JPY
2022-04-28
-51103.36000000
N
N
N
MMC Norilsk Nickel PJSC
253400JPTEEW143W3E47
MMC Norilsk Nickel PJSC
55315J102
2540.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
RU
N
3
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AE7
89000.00000000
PA
USD
84013.33000000
0.037118642126
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.50000000
N
N
N
N
N
N
SVB Financial Group
549300D2KJ20JMXE7542
SVB Financial Group
78486Q101
57.00000000
NS
USD
31888.65000000
0.014088995011
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0BK4
57230.97000000
PA
USD
58089.80000000
0.025665147392
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Floating
4.45700000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
24458.00000000
NS
USD
1145123.56000000
0.505936755687
Long
EC
CORP
US
N
1
N
N
N
UOL Group Ltd
254900O9PRCWTMR86R25
UOL Group Ltd
000000000
7000.00000000
NS
36244.13000000
0.016013326583
Long
EC
CORP
SG
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
5536.23000000
0.002446008747
N/A
DFE
TW
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
774094.77000000
USD
22316378.00000000
TWD
2022-04-29
5536.23000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SU3
998900.00000000
PA
USD
873413.19000000
0.385890091828
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1I2V6 CDS USD R F 3.00000 IS1I2V6 CMBX / Short: IS1I2V6 CDS USD P V 01MEVENT IS1I2W7 CMBX
000000000
71735.95000000
OU
Notional Amount
USD
-17468.90000000
-0.00771808292
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-10450.13000000
USD
71735.95000000
USD
-7018.77000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
232.72000000
0.000102819997
N/A
DFE
CN
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
135138.24000000
USD
862099.94000000
CNY
2022-05-18
232.72000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAK7
13000.00000000
PA
USD
11961.43000000
0.005284780873
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
Mapletree Logistics Trust
549300M9EBZIYH387075
Mapletree Logistics Trust
000000000
27895.00000000
NS
37907.18000000
0.016748092814
Long
EC
SG
N
2
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
51450000.00000000
PA
421121.67000000
0.186059337971
Long
DBT
NUSS
JP
N
2
2030-03-20
Fixed
0.10000000
N
N
N
N
N
N
Genworth Mortgage Insurance Corporation
N/A
Triangle Re 2021-3 Ltd
89600HAA7
178000.00000000
PA
USD
177003.08000000
0.078203232533
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
1.99900000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
64.67000000
0.000028572401
N/A
DFE
CN
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
13753.50000000
USD
88000.00000000
CNY
2022-05-18
64.67000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAB2
19445.00000000
PA
USD
18785.37000000
0.008299723701
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.64900000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAB7
95240.00000000
PA
USD
90845.15000000
0.040137066484
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
2.09900000
N
N
N
N
N
N
Moody's Corp
549300GCEDD8YCF5WU84
Moody's Corp
615369105
103.00000000
NS
USD
34753.23000000
0.015354619405
Long
EC
CORP
US
N
1
N
N
N
Nomura Real Estate Holdings Inc
N/A
Nomura Real Estate Holdings Inc
000000000
2000.00000000
NS
47898.05000000
0.021162243854
Long
EC
CORP
JP
N
2
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137L105
138.00000000
NS
USD
5444.10000000
0.002405304010
Long
EC
CORP
US
N
1
N
N
DIGITAL EURO FINCO
635400OUEAPTXSW3SC91
Digital Euro Finco LLC
000000000
220000.00000000
PA
249206.21000000
0.110103909996
Long
DBT
US
N
2
2026-01-16
Fixed
2.50000000
N
N
N
N
N
N
Dropbox Inc
549300JCDF7UAR6TJR51
Dropbox Inc
26210C104
1261.00000000
NS
USD
29318.25000000
0.012953344779
Long
EC
CORP
US
N
1
N
N
N
CTP NV
3157000YTVO4TN65UM14
CTP NV
000000000
1873.00000000
NS
31355.44000000
0.013853412977
Long
EC
CORP
NL
N
2
N
N
N
CubeSmart
N/A
CubeSmart
229663109
2616.00000000
NS
USD
136110.48000000
0.060136125979
Long
EC
US
N
1
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABC4
200000.00000000
PA
USD
201644.00000000
0.089090046460
Long
DBT
CORP
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
Sun Communities Inc
549300H5GEOJYN41ZG57
Sun Communities Inc
866674104
963.00000000
NS
USD
168804.27000000
0.074580846725
Long
EC
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2N58
149442.83000000
PA
USD
24997.87000000
0.011044521035
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.08300000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
1886.00000000
NS
50558.62000000
0.022337732859
Long
EC
CORP
FR
N
2
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
18648.17000000
0.008239106205
N/A
DFE
CL
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
780904.85000000
USD
634602326.00000000
CLP
2022-05-25
18648.17000000
N
N
N
RLJ Lodging Trust
549300RX5I8Z6I6LDZ74
RLJ Lodging Trust
74965L101
5776.00000000
NS
USD
81326.08000000
0.035931365404
Long
EC
US
N
1
N
N
N
Merlin Properties Socimi SA
959800L8KD863DP30X04
Merlin Properties Socimi SA
000000000
6660.00000000
NS
77863.22000000
0.034401409848
Long
EC
ES
N
2
N
N
N
Horizon Therapeutics Plc
529900P0GSQ79OOZEV53
Horizon Therapeutics Plc
000000000
86.00000000
NS
USD
9048.06000000
0.003997600155
Long
EC
CORP
IE
N
1
N
N
N
Bernstein International Strategic Equities Portfolio
549300L7INBUVRFBBK21
Bernstein International Strategic Equities Portfolio
085567808
3134182.17900000
NS
USD
39114593.59000000
17.28155045642
Long
EC
RF
US
N
1
N
N
N
Killam Apartment Real Estate Investment Trust
N/A
Killam Apartment Real Estate Investment Trust
49410M102
4871.00000000
NS
83459.44000000
0.036873923286
Long
EC
CA
N
1
N
N
N
FleetCor Technologies Inc
549300DG6RR0NQSFLN74
FleetCor Technologies Inc
339041105
1603.00000000
NS
USD
399243.18000000
0.176393016680
Long
EC
CORP
US
N
1
N
N
N
Medtronic PLC
549300GX3ZBSQWUXY261
Medtronic PLC
000000000
10034.00000000
NS
USD
1113272.30000000
0.491864280269
Long
EC
CORP
IE
N
1
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
000000000
102000.00000000
PA
114174.60000000
0.050444448724
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
2.62500000
N
N
N
N
N
N
Next PLC
213800WQD8ECPZP9PH98
Next PLC
000000000
413.00000000
NS
32482.69000000
0.014351452863
Long
EC
CORP
GB
N
2
N
N
N
Corteva Inc
549300WZN9I2QKLS0O94
Corteva Inc
22052L104
2690.00000000
NS
USD
154621.20000000
0.068314504234
Long
EC
CORP
US
N
1
N
N
N
Advanced Micro Devices Inc
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903107
394.00000000
NS
USD
43079.96000000
0.019033522633
Long
EC
CORP
US
N
1
N
N
N
Coterra Energy Inc
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097103
3900.00000000
NS
USD
105183.00000000
0.046471793640
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-22380.08000000
-0.00988793302
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
3258740.08000000
GBP
4257201.75000000
USD
2022-06-09
-22380.08000000
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AC3
40886.12000000
PA
USD
38190.11000000
0.016873096517
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
5.70700000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XEP5
50286.93000000
PA
USD
51190.07000000
0.022616719141
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
4.00700000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
9019.82000000
0.003985123201
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
777823.26000000
CHF
851015.72000000
USD
2022-04-13
9019.82000000
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAB0
150000.00000000
PA
USD
147765.33000000
0.065285454142
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
2.14900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBQ3
255000.00000000
PA
USD
236034.38000000
0.104284352029
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
PayPal Holdings Inc
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450Y103
3400.00000000
NS
USD
393210.00000000
0.173727446236
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNS4
217878.00000000
PA
USD
204774.84000000
0.090473309444
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
2.44900000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
114.92000000
0.000050773780
N/A
DFE
CN
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
11033.83000000
USD
71000.00000000
CNY
2022-05-18
114.92000000
N
N
N
Centene Corp
549300Z7JJ4TQSQGT333
Centene Corp
15135B101
469.00000000
NS
USD
39485.11000000
0.017445251455
Long
EC
CORP
US
N
1
N
N
N
Duke Realty Corp
254900E47KH1NFFKNF25
Duke Realty Corp
264411505
2170.00000000
NS
USD
125990.20000000
0.055664799208
Long
EC
US
N
1
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
37.00000000
NS
USD
102909.95000000
0.045467518134
Long
EC
CORP
US
N
1
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-108.02000000
-0.00004772523
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
112000.00000000
DKK
16594.15000000
USD
2022-06-17
-108.02000000
N
N
N
GCC SAB de CV
254900WY9XL8033CKX68
GCC SAB de CV
000000000
4300.00000000
NS
30964.76000000
0.013680803331
Long
EC
CORP
MX
N
1
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1BZK5 CDS USD R F 3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5 CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197
000000000
7651.84000000
OU
Notional Amount
USD
-1863.35000000
-0.00082326247
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-661.88000000
USD
7651.84000000
USD
-1201.47000000
N
N
N
Prologis Inc
529900DFH19P073LZ636
Prologis Inc
74340W103
6460.00000000
NS
USD
1043160.80000000
0.460887723603
Long
EC
US
N
1
N
N
N
Daito Trust Construction Co Ltd
353800QQ4DRI3KXS3038
Daito Trust Construction Co Ltd
000000000
300.00000000
NS
31843.33000000
0.014068971797
Long
EC
CORP
JP
N
2
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
1237000.00000000
PA
1306837.87000000
0.577385127032
Long
DBT
NUSS
DE
N
2
2031-08-15
None
0.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1273.35000000
-0.00056258956
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
102794.00000000
EUR
112580.59000000
USD
2022-05-12
-1273.35000000
N
N
N
Phillips Edison & Co Inc
549300JPN4YHYPXTJQ85
Phillips Edison & Co Inc
71844V201
2260.00000000
NS
USD
77721.40000000
0.034338751150
Long
EC
US
N
1
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826C839
9531.00000000
NS
USD
2113689.87000000
0.933867254777
Long
EC
CORP
US
N
1
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-S5
161631AS5
25460.48000000
PA
USD
15246.26000000
0.006736079485
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1253.58000000
-0.00055385481
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
41126.94000000
USD
36000.00000000
EUR
2022-05-12
-1253.58000000
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250N105
492.00000000
NS
22648.96000000
0.010006729179
Long
EC
CORP
CA
N
1
N
N
N
CA Immobilien Anlagen AG
5299003ICAPV07J0R180
CA Immobilien Anlagen AG
000000000
1218.00000000
NS
37736.75000000
0.016672793689
Long
EC
CORP
AT
N
2
N
N
N
Pandora A/S
5299007OWYZ6I1E46843
Pandora A/S
000000000
516.00000000
NS
49156.41000000
0.021718210562
Long
EC
CORP
DK
N
2
N
N
N
BRITISH AMERICAN TOBACCO
213800FKA5MF17RJKT63
British American Tobacco PLC
000000000
191000.00000000
PA
192030.06000000
0.084842430061
Long
DBT
CORP
GB
N
2
2026-09-27
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
956.14000000
0.000422440325
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
59030.99000000
USD
75000.00000000
CAD
2022-04-22
956.14000000
N
N
N
Carlyle Group Inc/The
529900NGGVF94UK6PG95
Carlyle Group Inc/The
14316J108
1298.00000000
NS
USD
63485.18000000
0.028048926007
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUZQ7
269167.97000000
PA
USD
42011.01000000
0.018561240764
Long
ABS-MBS
USGSE
US
N
2
2047-01-25
Floating
5.54300000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-4287.25000000
-0.00189418629
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
12087722526.00000000
IDR
837796.13000000
USD
2022-04-28
-4287.25000000
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978V103
3689.00000000
NS
USD
695708.51000000
0.307376879446
Long
EC
CORP
US
N
1
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377508
1794.00000000
NS
USD
68817.84000000
0.030404993765
Long
EC
CORP
US
N
1
N
N
N
American Homes 4 Rent
549300ZJUO7A58PNUW40
American Homes 4 Rent
02665T306
3053.00000000
NS
USD
122211.59000000
0.053995339465
Long
EC
US
N
1
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1920.78000000
-0.00084863610
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
11857298413.00000000
IDR
824110.26000000
USD
2022-04-28
-1920.78000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-3537.38000000
-0.00156287987
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
7383744.10000000
SEK
783207.67000000
USD
2022-06-17
-3537.38000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBM5
29306.54000000
PA
USD
31351.67000000
0.013851747321
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Floating
7.20700000
N
N
N
N
N
N
Zimmer Biomet Holdings Inc
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956P102
4325.00000000
NS
USD
553167.50000000
0.244399626449
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
157.90000000
0.000069763138
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
260000.00000000
HKD
33356.48000000
USD
2022-04-28
157.90000000
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BE2
116000.00000000
PA
USD
134297.84000000
0.059335268122
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
6.35000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-43.81000000
-0.00001935606
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
19980.49000000
USD
18000.00000000
EUR
2022-05-12
-43.81000000
N
N
N
OZ Minerals Ltd
529900O2VBT5CL7EZT27
OZ Minerals Ltd
000000000
2685.00000000
NS
53546.73000000
0.023657935091
Long
EC
CORP
AU
N
2
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752103
2043.00000000
NS
USD
1003562.46000000
0.443392445041
Long
EC
CORP
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE JUN22
000000000
15.00000000
NC
11300.67000000
0.004992844891
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX 5 Year Euro BOBL Future
OEM2 COMDTY
2022-06-08
1922684.70000000
EUR
11300.67000000
N
N
N
BELDEN INC
68BKYO1JC791TTJHUE82
Belden Inc
000000000
110000.00000000
PA
118517.51000000
0.052363226638
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.37500000
N
N
N
N
N
N
Baker Hughes Co
N/A
Baker Hughes Co
05722G100
10512.00000000
NS
USD
382741.92000000
0.169102454996
Long
EC
CORP
US
N
1
N
N
N
NXP Semiconductors NV
724500M9BY5293JDF951
NXP Semiconductors NV
000000000
3385.00000000
NS
USD
626495.80000000
0.276797424816
Long
EC
CORP
NL
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-59.86000000
-0.00002644725
N/A
DFE
GB
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
25011.85000000
USD
19000.00000000
GBP
2022-06-09
-59.86000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
345000.00000000
PA
USD
311845.50000000
0.137779106165
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Raymond James Financial Inc
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730109
427.00000000
NS
USD
46931.57000000
0.020735235126
Long
EC
CORP
US
N
1
N
N
N
Dollarama Inc
5493002GJ0NJP1HI0C79
Dollarama Inc
25675T107
341.00000000
NS
19339.20000000
0.008544416032
Long
EC
CORP
CA
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
491.22000000
0.000217030075
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
21619.57000000
USD
29539.68000000
AUD
2022-04-28
491.22000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
7428.87000000
0.003282212083
N/A
DFE
ID
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
825905.73000000
USD
11962137762.00000000
IDR
2022-04-28
7428.87000000
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
5757.00000000
NS
USD
879669.60000000
0.388654289412
Long
EC
CORP
US
N
1
N
N
N
ESSENTIAL PROPER
254900XX9FNFCDE1NX02
Essential Properties LP
29670VAA7
152000.00000000
PA
USD
133477.28000000
0.058972729546
Long
DBT
US
N
2
2031-07-15
Fixed
2.95000000
N
N
N
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
9439.00000000
NS
477608.86000000
0.211016422643
Long
EC
CORP
FR
N
2
N
N
N
Charter Hall Long Wale REIT
N/A
Charter Hall Long Wale REIT
000000000
9930.00000000
NS
39388.59000000
0.017402607135
Long
EC
AU
N
2
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
237000.00000000
PA
251874.85000000
0.111282964476
Long
DBT
NUSS
XX
N
2
2027-01-15
None
0.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1221.47000000
-0.00053966802
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
178766.25000000
EUR
196778.81000000
USD
2022-05-12
-1221.47000000
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
110000.00000000
PA
USD
113262.60000000
0.050041510267
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
Medibank Pvt Ltd
BDYVSUPTML83OLINBJ17
Medibank Pvt Ltd
000000000
4486.00000000
NS
10306.71000000
0.004553694990
Long
EC
CORP
AU
N
2
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2016-4
50219QAC8
135814.13000000
PA
USD
135496.26000000
0.059864752230
Long
ABS-MBS
CORP
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
Lowe's Cos Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661107
15.00000000
NS
USD
3032.85000000
0.001339969190
Long
EC
CORP
US
N
1
N
N
N
Sumitomo Dainippon Pharma Co Ltd
529900D60UKVYLJ2OJ79
Sumitomo Dainippon Pharma Co Ltd
000000000
200.00000000
NS
1973.15000000
0.000871774142
Long
EC
CORP
JP
N
2
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087N67
216000.00000000
PA
171619.92000000
0.075824852940
Long
DBT
NUSS
CA
N
2
2029-12-01
Fixed
2.25000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GD7
90000.00000000
PA
USD
90966.60000000
0.040190725339
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
5.95000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AA4
375000.00000000
PA
USD
365043.68000000
0.161283045424
Long
ABS-MBS
CORP
US
N
2
2033-11-15
Floating
1.39700000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4231.57000000
0.001869585843
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
111440.00000000
EUR
127661.76000000
USD
2022-05-12
4231.57000000
N
N
N
Radnor Re LTD
254900JBDDKUTX6TX151
Radnor RE 2019-1 Ltd
75049SAB9
140476.25000000
PA
USD
140663.08000000
0.062147548811
Long
ABS-MBS
CORP
BM
N
2
2029-02-25
Floating
2.40700000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BD7
67000.00000000
PA
USD
57659.53000000
0.025475046153
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBD5
710.16000000
PA
USD
710.16000000
0.000313761814
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Floating
5.45700000
N
N
N
N
N
N
CDW Corp/DE
9845001B052ABF0B6755
CDW Corp/DE
12514G108
2933.00000000
NS
USD
524684.37000000
0.231815253122
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AX4B8
304442.44000000
PA
USD
50696.73000000
0.022398752410
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Floating
5.74300000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
15827.73000000
0.006992983679
N/A
DFE
KR
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
774490.27000000
USD
960636684.00000000
KRW
2022-04-28
15827.73000000
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211K100
458.00000000
NS
USD
30667.68000000
0.013549547896
Long
EC
CORP
US
N
1
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
17985.00000000
NS
USD
5544955.35000000
2.449863768599
Long
EC
CORP
US
N
1
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
6665.64000000
0.002945002962
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
403023540.00000000
CLP
514446.14000000
USD
2022-05-25
6665.64000000
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
000000000
22240.00000000
NS
148490.91000000
0.065606028797
Long
EC
CORP
IT
N
2
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
253000.00000000
PA
271708.83000000
0.120045983458
Long
DBT
NUSS
GB
N
2
2046-01-31
Fixed
0.87500000
N
N
N
N
N
N
Align Technology Inc
549300N5YSE0U3LCP840
Align Technology Inc
016255101
850.00000000
NS
USD
370600.00000000
0.163737930305
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAH7
160273.15000000
PA
USD
160974.68000000
0.071121589138
Long
ABS-MBS
USGSE
US
N
2
2048-09-25
Floating
2.55700000
N
N
N
N
N
N
Stellantis NV
549300LKT9PW7ZIBDF31
Stellantis NV
000000000
34078.00000000
NS
USD
554449.06000000
0.244965843345
Long
EC
CORP
NL
N
1
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494103
391.00000000
NS
USD
35045.33000000
0.015483674584
Long
EC
CORP
US
N
1
N
N
N
STMicroelectronics NV
213800Z8NOHIKRI42W10
STMicroelectronics NV
000000000
837.00000000
NS
36379.34000000
0.016073064860
Long
EC
CORP
NL
N
2
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027X100
1792.00000000
NS
USD
450186.24000000
0.198900602238
Long
EC
US
N
1
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
1236490000.00000000
PA
904451.65000000
0.399603457182
Long
DBT
NUSS
KR
N
2
2030-12-10
Fixed
1.50000000
N
N
N
N
N
N
Shurgard Self Storage SA
549300J0UEIKU81XO336
Shurgard Self Storage SA
000000000
570.00000000
NS
35302.42000000
0.015597261698
Long
EC
CORP
LU
N
2
N
N
N
Packaging Corp of America
549300XZP8MFZFY8TJ84
Packaging Corp of America
695156109
106.00000000
NS
USD
16547.66000000
0.007311062060
Long
EC
CORP
US
N
1
N
N
N
Regal Rexnord Corp
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750103
4684.00000000
NS
USD
696885.52000000
0.307896904221
Long
EC
CORP
US
N
1
N
N
N
PVH CORP
123WALMHY1GZXG2YDL90
PVH Corp
000000000
105000.00000000
PA
119401.63000000
0.052753847197
Long
DBT
CORP
XX
N
2
2027-12-15
Fixed
3.12500000
N
N
N
N
N
N
Workspace Group PLC
2138003GUZRFIN3UT430
Workspace Group PLC
000000000
3040.00000000
NS
27152.82000000
0.011996617778
Long
EC
GB
N
2
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
521.00000000
NS
USD
68667.80000000
0.030338703320
Long
EC
CORP
US
N
1
N
N
N
CIFI Holdings Group Co Ltd
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
31500.00000000
NS
18357.29000000
0.008110590044
Long
EC
CORP
KY
N
2
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-24CB
02146TAR8
75492.23000000
PA
USD
54311.25000000
0.023995714158
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
5.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-8931.31000000
-0.00394601784
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
274003.83000000
USD
239322.99000000
EUR
2022-05-12
-8931.31000000
N
N
N
Lundin Mining Corp
549300FQDIM6C8HTN269
Lundin Mining Corp
550372106
7945.00000000
NS
80520.86000000
0.035575604324
Long
EC
CORP
CA
N
1
N
N
N
Rockwell Automation Inc
VH3R4HHBHH12O0EXZJ88
Rockwell Automation Inc
773903109
40.00000000
NS
USD
11201.20000000
0.004948897207
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-10550.57000000
-0.00466143684
N/A
DFE
KR
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
841569.78000000
USD
1010109273.00000000
KRW
2022-04-28
-10550.57000000
N
N
N
Kite Realty Group Trust
N/A
Kite Realty Group Trust
49803T300
4280.00000000
NS
USD
97455.60000000
0.043057685484
Long
EC
US
N
1
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
000000000
135000.00000000
PA
137732.24000000
0.060852649524
Long
DBT
CORP
XX
N
2
2028-09-01
Fixed
2.00000000
N
N
N
N
N
N
Moderna Inc
549300EI6OKH5K5Q2G38
Moderna Inc
60770K107
9.00000000
NS
USD
1550.34000000
0.000684968869
Long
EC
CORP
US
N
1
N
N
N
Kellogg Co
LONOZNOJYIBXOHXWDB86
Kellogg Co
487836108
245.00000000
NS
USD
15800.05000000
0.006980754143
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-107.16000000
-0.00004734526
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
12444.63000000
EUR
13676.43000000
USD
2022-05-12
-107.16000000
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
000000000
120000.00000000
PA
131356.10000000
0.058035553013
Long
DBT
CORP
XX
N
2
2026-05-15
Fixed
4.37500000
N
N
N
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications PLC
111021AE1
77000.00000000
PA
USD
105212.80000000
0.046484959831
Long
DBT
CORP
GB
N
2
2030-12-15
Fixed
9.62500000
N
N
N
N
N
N
Aroundtown SA
529900H4DWG3KWMBMQ39
Aroundtown SA
000000000
11720.00000000
NS
66972.38000000
0.029589635425
Long
EC
CORP
LU
N
2
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1C069 CDS USD R F 3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069 CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481
000000000
7651.84000000
OU
Notional Amount
USD
-1863.35000000
-0.00082326247
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-716.24000000
USD
7651.84000000
USD
-1147.11000000
N
N
N
Kuraray Co Ltd
549300W9JPTOE739QZ31
Kuraray Co Ltd
000000000
1200.00000000
NS
10329.58000000
0.004563799379
Long
EC
CORP
JP
N
2
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-4541.17000000
-0.00200637284
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4710991.57000000
CNY
734815.46000000
USD
2022-05-18
-4541.17000000
N
N
N
NH HOTEL GROUP SA
959800LM1RW3PKJ4A296
NH Hotel Group SA
000000000
100000.00000000
PA
107924.62000000
0.047683092033
Long
DBT
CORP
ES
N
2
2026-07-02
Fixed
4.00000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036P108
1978.00000000
NS
USD
455572.96000000
0.201280554704
Long
EC
CORP
US
N
1
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00766T100
10040.00000000
NS
USD
771172.40000000
0.340718220950
Long
EC
CORP
US
N
1
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
60354.17000000
0.026665587914
N/A
DFE
BR
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
810461.73000000
USD
4145998.02000000
BRL
2022-04-04
60354.17000000
N
N
N
Willis Towers Watson PLC
549300WHC56FF48KL350
Willis Towers Watson PLC
000000000
2264.00000000
NS
USD
534802.08000000
0.236285444419
Long
EC
CORP
IE
N
1
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066G104
5180.00000000
NS
USD
1413414.80000000
0.624472784712
Long
EC
CORP
US
N
1
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBM7
165000.00000000
PA
174061.76000000
0.076903702988
Long
DBT
CORP
US
N
2
2028-12-03
Fixed
1.00000000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
5938.00000000
NS
USD
966884.54000000
0.427187462017
Long
EC
CORP
US
N
1
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-52434.63000000
-0.02316658875
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
4183342.71000000
BRL
826225.06000000
USD
2022-04-04
-52434.63000000
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 16 Ltd
05876KAA3
250000.00000000
PA
USD
247282.25000000
0.109253868904
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.38400000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAR4
124000.00000000
PA
USD
110191.36000000
0.048684579665
Long
DBT
CORP
US
N
2
2031-10-28
Fixed
2.87500000
N
N
N
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
Adobe Inc
00724F101
1954.00000000
NS
USD
890281.48000000
0.393342814150
Long
EC
CORP
US
N
1
N
N
N
KeyCorp
RKPI3RZGV1V1FJTH5T61
KeyCorp
493267108
943.00000000
NS
USD
21104.34000000
0.009324287512
Long
EC
CORP
US
N
1
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4
25150PAB5
185312.99000000
PA
USD
83361.99000000
0.036830868075
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.83700000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDS0
68004.11000000
PA
USD
70982.55000000
0.031361402657
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Floating
4.70700000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
562.86000000
0.000248681952
N/A
DFE
GB
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
99245.11000000
USD
76000.00000000
GBP
2022-06-09
562.86000000
N
N
N
Take-Two Interactive Software Inc
BOMSTHHJK882EWYX3334
Take-Two Interactive Software Inc
874054109
3417.00000000
NS
USD
525329.58000000
0.232100318826
Long
EC
CORP
US
N
1
N
N
NIPPON EXPRESS HOLDINGS INC
N/A
NIPPON EXPRESS HOLDINGS INC
000000000
400.00000000
NS
27480.30000000
0.012141304495
Long
EC
CORP
JP
N
2
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
121000.00000000
PA
USD
107683.95000000
0.047576759579
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.29900000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBB9
16171.88000000
PA
USD
16440.67000000
0.007263791901
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Floating
5.45700000
N
N
N
N
N
N
Minto Apartment Real Estate Investment Trust
N/A
Minto Apartment Real Estate Investment Trust
60448E103
1890.00000000
NS
32458.74000000
0.014340871311
Long
EC
CA
N
1
N
N
N
Barrick Gold Corp
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901108
7520.00000000
NS
USD
184465.60000000
0.081500311809
Long
EC
CORP
CA
N
1
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1BZI3 CDS USD R F 3.00000 IS1BZI3 CMBX-BBB--408196 / Short: IS1BZI3 CDS USD P V 00MEVENT IS1BZJ4 CMBX-BBB--408196
000000000
3825.92000000
OU
Notional Amount
USD
-931.68000000
-0.00041163344
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-324.93000000
USD
3825.92000000
USD
-606.75000000
N
N
N
Daicel Corp
353800ZG4XF6D7NZGS72
Daicel Corp
000000000
1700.00000000
NS
11331.73000000
0.005006567773
Long
EC
CORP
JP
N
2
N
N
Safestore Holdings PLC
213800WGA3YSJC1YOH73
Safestore Holdings PLC
000000000
3650.00000000
NS
64250.60000000
0.028387102711
Long
EC
GB
N
1
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AV0
222000.00000000
PA
USD
199462.56000000
0.088126245946
Long
DBT
CORP
KY
N
2
2027-02-23
Fixed
1.62500000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K107
1484.00000000
NS
USD
4144797.16000000
1.831247999224
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
8232.25000000
0.003637160217
N/A
DFE
AU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
790912.49000000
USD
1067645.01000000
AUD
2022-04-28
8232.25000000
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
49000.00000000
PA
USD
48320.86000000
0.021349049128
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
Allkem Ltd
2138006SR6M416DVKM86
Allkem Ltd
000000000
5420.00000000
NS
45746.89000000
0.020211821604
Long
EC
CORP
AU
N
2
N
N
N
Stockland
N/A
Stockland
000000000
30910.00000000
NS
97953.86000000
0.043277825962
Long
EC
AU
N
2
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-J1
12668BKK8
33084.63000000
PA
USD
28440.36000000
0.012565476749
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
100000.00000000
PA
USD
103944.00000000
0.045924380538
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3859.23000000
0.001705079149
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
382435.14000000
USD
348769.18000000
EUR
2022-05-12
3859.23000000
N
N
N
Countrywide Home Loans
5493008WNOU8I3M5WW38
CHL Mortgage Pass-Through Trust 2006-10
1266942E7
33828.30000000
PA
USD
20742.22000000
0.009164296202
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
11976.88000000
0.005291606969
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
1001740974.00000000
KRW
836111.47000000
USD
2022-04-28
11976.88000000
N
N
N
Neuberger Berman CLO Ltd
549300LCOEVXWN75LP18
Neuberger Berman Loan Advisers Clo 43 Ltd
64134AAA0
250000.00000000
PA
USD
248449.50000000
0.109769581530
Long
ABS-CBDO
CORP
KY
N
2
2035-07-17
Floating
1.37100000
N
N
N
N
N
N
Cofinimmo SA
549300TM914CSF6KI389
Cofinimmo SA
000000000
240.00000000
NS
34952.49000000
0.015442656156
Long
EC
BE
N
2
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
2747.64000000
0.001213958140
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
21996497.00000000
TWD
771203.48000000
USD
2022-04-29
2747.64000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZD5
327000.00000000
PA
USD
323423.44000000
0.142894454068
Long
DBT
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KG3T8
269081.20000000
PA
USD
258936.78000000
0.114403055685
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
257.46000000
0.000113750586
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
7000.00000000
EUR
8010.61000000
USD
2022-05-12
257.46000000
N
N
N
GLP J-Reit
353800E27V9KA51K2I90
GLP J-Reit
000000000
23.00000000
NS
34948.54000000
0.015440910973
Long
EC
JP
N
2
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAZ9
81000.00000000
PA
USD
77158.17000000
0.034089905725
Long
DBT
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
802000.00000000
PA
589382.34000000
0.260400012169
Long
DBT
NUSS
AU
N
2
2035-06-21
Fixed
2.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-238.46000000
-0.00010535603
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
215082.00000000
CAD
171790.25000000
USD
2022-04-22
-238.46000000
N
N
N
Brixmor Property Group Inc
5299007UXW6Y0W2EGZ95
Brixmor Property Group Inc
11120U105
4774.00000000
NS
USD
123216.94000000
0.054439521678
Long
EC
US
N
1
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAQ5
26000.00000000
PA
USD
23106.98000000
0.010209090881
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
2.10000000
N
N
N
N
N
N
Telstra Corp Ltd
PCTXNQGRJVR3OG33JG65
Telstra Corp Ltd
000000000
3399.00000000
NS
10042.20000000
0.004436829583
Long
EC
CORP
AU
N
2
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612E106
116.00000000
NS
USD
24617.52000000
0.010876475375
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
549300KB1O80CETXGJ21
Freddie Mac STACR Trust 2019-DNA3
35564TAH3
16929.63000000
PA
USD
16929.63000000
0.007479823467
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
2.50700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
1845200.00000000
PA
USD
1693547.63000000
0.748240647083
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
N
Gartner Inc
PP55B5R38BFB8O8HH686
Gartner Inc
366651107
190.00000000
NS
USD
56517.40000000
0.024970432008
Long
EC
CORP
US
N
1
N
N
N
Sun Hung Kai Properties Ltd
529900LUMD393RD3S874
Sun Hung Kai Properties Ltd
000000000
11000.00000000
NS
130872.22000000
0.057821765885
Long
EC
CORP
HK
N
2
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
8676.00000000
NS
USD
1292029.92000000
0.570842701006
Long
EC
CORP
US
N
1
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-858.94000000
-0.00037949556
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
765206.80000000
CHF
827479.61000000
USD
2022-04-13
-858.94000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
10906.95000000
PA
USD
10906.95000000
0.004818892118
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
2.55700000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-6089.55000000
-0.00269047575
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
845791.77000000
USD
775704.39000000
CHF
2022-04-13
-6089.55000000
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AY5
245000.00000000
PA
USD
215761.70000000
0.095327507277
Long
DBT
CORP
IT
N
2
2032-06-03
Fixed
3.12700000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
997.88000000
0.000440881829
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
61934579.93000000
INR
817647.36000000
USD
2022-04-07
997.88000000
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216100
16595.00000000
NS
USD
1028890.00000000
0.454582620376
Long
EC
CORP
US
N
1
N
N
N
Fortinet Inc
549300O0QJWDBAS0QX03
Fortinet Inc
34959E109
113.00000000
NS
USD
38616.62000000
0.017061536519
Long
EC
CORP
US
N
1
N
N
N
Ascendas Real Estate Investment Trust
549300ILIBAEMQZK3L20
Ascendas Real Estate Investment Trust
000000000
20200.00000000
NS
43527.49000000
0.019231249659
Long
EC
SG
N
2
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-4869.18000000
-0.00215129372
N/A
DFE
SG
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
842586.01000000
USD
1135491.66000000
SGD
2022-04-21
-4869.18000000
N
N
N
Robert Half International Inc
529900VPCUY9H3HLIC08
Robert Half International Inc
770323103
4763.00000000
NS
USD
543839.34000000
0.240278272935
Long
EC
CORP
US
N
1
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-7166.45000000
-0.00316627007
N/A
DFE
PL
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
864103.96000000
USD
3611647.80000000
PLN
2022-05-06
-7166.45000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022642
499216.00000000
PA
USD
476673.30000000
0.210603074942
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
100000.00000000
PA
107752.05000000
0.047606847418
Long
DBT
CORP
ES
N
2
2027-06-23
Fixed
1.12500000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460D109
670.00000000
NS
USD
261487.60000000
0.115530055111
Long
EC
US
N
1
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
1219000.00000000
PA
1252288.18000000
0.553284065673
Long
DBT
NUSS
IT
N
2
2028-03-15
Fixed
0.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDG3
882000.00000000
PA
USD
830458.13000000
0.366911752323
Long
DBT
UST
US
N
2
2026-10-31
Fixed
1.12500000
N
N
N
N
N
N
Techtronic Industries Co Ltd
549300HZW2SBE758OK89
Techtronic Industries Co Ltd
000000000
3500.00000000
NS
56075.12000000
0.024775024528
Long
EC
CORP
HK
N
2
N
N
N
BELLEMEADE RE LT
254900K56RF3Z7VQ3U81
Bellemeade Re 2019-1 Ltd
07876RAB2
120646.26000000
PA
USD
120672.69000000
0.053315424999
Long
ABS-MBS
CORP
BM
N
2
2029-03-25
Floating
2.20700000
N
N
N
N
N
N
Magna International Inc
95RWVLFZX6VGDZNNTN43
Magna International Inc
559222401
199.00000000
NS
12775.86000000
0.005644611101
Long
EC
CORP
CA
N
1
N
N
N
American Campus Communities Inc
529900MR3ZXRO3W6UX26
American Campus Communities Inc
024835100
9481.00000000
NS
USD
530651.57000000
0.234451672382
Long
EC
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-1068.86000000
-0.00047224210
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
5454200.72000000
CNY
855375.24000000
USD
2022-05-18
-1068.86000000
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
78800000.00000000
PA
615881.49000000
0.272107826459
Long
DBT
NUSS
JP
N
2
2041-06-20
Fixed
0.40000000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65557DAL5
200000.00000000
PA
USD
205872.00000000
0.090958055012
Long
DBT
CORP
FI
N
2
2024-09-23
Fixed
6.12500000
N
N
N
N
Y
Nordea Bank Abp
Nordea Bank Abp
USD
XXXX
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
9560.00000000
NS
USD
789560.40000000
0.348842379241
Long
EC
CORP
US
N
1
N
N
N
VERISURE HOLDING AB
549300VQQCWGISM3N408
Verisure Holding AB
000000000
110000.00000000
PA
114274.27000000
0.050488484773
Long
DBT
CORP
SE
N
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
180000.00000000
PA
209554.13000000
0.092584888108
Long
DBT
NUSS
ID
N
2
2025-07-30
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAX2
34268.90000000
PA
USD
34268.89000000
0.015140629040
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Floating
4.45700000
N
N
N
N
N
N
RingCentral Inc
549300C8EH0H1614VE84
RingCentral Inc
76680R206
71.00000000
NS
USD
8321.91000000
0.003676773663
Long
EC
CORP
US
N
1
N
N
N
Etsy Inc
54930089Q7XT501AEA40
Etsy Inc
29786A106
2094.00000000
NS
USD
260242.32000000
0.114979867389
Long
EC
CORP
US
N
1
N
N
Nestle SA
KY37LUS27QQX7BB93L28
Nestle SA
000000000
49.00000000
NS
6370.91000000
0.002814785800
Long
EC
CORP
CH
N
2
N
N
N
Iveco Group NV
549300ZWF2ZJDD9EOR96
Iveco Group NV
000000000
281.00000000
NS
1849.59000000
0.000817183050
Long
EC
CORP
NL
N
1
N
N
N
Agnico Eagle Mines Ltd
YGE0EUBRF7IJOB3QRX76
Agnico Eagle Mines Ltd
008474108
4583.00000000
NS
280445.95000000
0.123906204574
Long
EC
CORP
CA
N
1
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
126000.00000000
PA
USD
120225.42000000
0.053117812846
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
5226.32000000
0.002309084781
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
162294.90000000
USD
223805.76000000
AUD
2022-04-28
5226.32000000
N
N
N
Steel Dynamics Inc
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119100
373.00000000
NS
USD
31119.39000000
0.013749121724
Long
EC
CORP
US
N
1
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AV3
123000.00000000
PA
USD
109429.41000000
0.048347936070
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.87500000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AR6
130000.00000000
PA
USD
116201.80000000
0.051340103156
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
3.10000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299AW4
165000.00000000
PA
USD
203909.06000000
0.090090791837
Long
DBT
NUSS
PA
N
2
2036-01-26
Fixed
6.70000000
N
N
N
N
N
N
Harley-Davidson Inc
ZDNAWZWXIKMWI51R2A08
Harley-Davidson Inc
412822AD0
96000.00000000
PA
USD
95618.88000000
0.042246188638
Long
DBT
CORP
US
N
2
2025-07-28
Fixed
3.50000000
N
N
N
N
N
N
Darden Restaurants Inc
CY1NFSCCB5GUXC7WZC70
Darden Restaurants Inc
237194105
16.00000000
NS
USD
2127.20000000
0.000939836279
Long
EC
CORP
US
N
1
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XCB0
100000.00000000
PA
101603.51000000
0.044890308794
Long
DBT
CORP
US
N
2
2029-05-04
Fixed
0.45000000
N
N
N
N
N
N
Trend Micro Inc/Japan
3538005O5UJ5RNAGVE16
Trend Micro Inc/Japan
000000000
600.00000000
NS
35038.87000000
0.015480820437
Long
EC
CORP
JP
N
2
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEP9
150000.00000000
PA
USD
148153.13000000
0.065456791350
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AA8
200000.00000000
PA
USD
172602.00000000
0.076258754038
Long
DBT
CORP
GB
N
2
2027-01-30
Variable
1.80900000
N
N
N
N
N
N
Plymouth Industrial REIT Inc
N/A
Plymouth Industrial REIT Inc
729640102
712.00000000
NS
USD
19295.20000000
0.008524976019
Long
EC
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
63.41000000
0.000028015710
N/A
DFE
SE
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
48630.38000000
USD
457000.00000000
SEK
2022-06-17
63.41000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-146600.91000000
-0.06477099186
N/A
DFE
JP
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
2538710.83000000
USD
291088584.00000000
JPY
2022-04-28
-146600.91000000
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TBA3
137000.00000000
PA
USD
122675.28000000
0.054200206278
Long
DBT
US
N
2
2031-12-15
Fixed
2.90000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
53000.00000000
PA
USD
48896.21000000
0.021603249393
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
Octagon Loan Funding Ltd
549300HJJWTCMWFILG24
Octagon Loan Funding Ltd
67590RAY1
320000.00000000
PA
USD
318151.36000000
0.140565151673
Long
ABS-CBDO
CORP
KY
N
2
2031-11-18
Floating
1.66800000
N
N
N
N
N
N
LUKOIL PJSC
549300LCJ1UJXHYBWI24
LUKOIL PJSC
69343P105
790.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
RU
N
3
N
N
N
Link REIT
529900XUE70U36QX5M62
Link REIT
000000000
11968.00000000
NS
101922.20000000
0.045031111926
Long
EC
HK
N
2
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
80000.00000000
PA
USD
76292.00000000
0.033707215809
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
2.47500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
28000.00000000
PA
USD
27877.36000000
0.012316732943
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
3557000000.00000000
PA
243200.97000000
0.107450683961
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
ICADE
969500UDH342QLTE1M42
ICADE
000000000
450.00000000
NS
28951.00000000
0.012791086940
Long
EC
FR
N
2
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
-1496.41000000
-0.00066114159
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1236799.53000000
MYR
291354.42000000
USD
2022-06-16
-1496.41000000
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540109
6272.00000000
NS
USD
379957.76000000
0.167872361645
Long
EC
CORP
US
N
1
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBF0
20000.00000000
PA
USD
20374.60000000
0.009001874891
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.62500000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBW4
100000.00000000
PA
USD
86684.00000000
0.038298593498
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAK2
26000.00000000
PA
USD
38073.62000000
0.016821629082
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
Repsol SA
BSYCX13Y0NOTV14V9N85
Repsol SA
000000000
22229.00000000
NS
291181.94000000
0.128649563404
Long
EC
CORP
ES
N
2
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-41381.95000000
-0.01828331042
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
1752606.70000000
AUD
1270464.60000000
USD
2022-04-28
-41381.95000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
7714.50000000
0.003408408697
N/A
DFE
IN
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
792620.13000000
USD
60697264.28000000
INR
2022-04-07
7714.50000000
N
N
N
DNB Boligkreditt AS
5967007LIEEXZX659K67
DNB Boligkreditt AS
000000000
282000.00000000
PA
309853.57000000
0.136899034671
Long
DBT
CORP
NO
N
2
2025-06-19
Fixed
0.62500000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
43500000.00000000
PA
330798.67000000
0.146152967008
Long
DBT
NUSS
JP
N
2
2050-09-20
Fixed
0.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBV2
870000.00000000
PA
USD
836287.50000000
0.369487275742
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.37500000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AH3
200000.00000000
PA
USD
175350.00000000
0.077472871233
Long
DBT
CORP
MX
N
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866108
251.00000000
NS
USD
54374.13000000
0.024023495705
Long
EC
CORP
US
N
1
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
1310000.00000000
PA
208954.55000000
0.092319982581
Long
DBT
NUSS
CN
N
2
2028-05-13
Fixed
3.01000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-278.84000000
-0.00012319666
N/A
DFE
GB
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
68568.50000000
USD
52000.00000000
GBP
2022-06-09
-278.84000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
8831.26000000
0.003901813908
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
176004.85000000
USD
246938.19000000
AUD
2022-04-28
8831.26000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-118.30000000
-0.00005226712
N/A
DFE
CH
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
840050.90000000
USD
775917.21000000
CHF
2022-04-13
-118.30000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDV0
428000.00000000
PA
USD
417366.88000000
0.184400402345
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.87500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-25562.02000000
-0.01129377293
N/A
DFE
TW
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
828381.20000000
USD
22980123.00000000
TWD
2022-04-29
-25562.02000000
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DB3
41000.00000000
PA
USD
40630.18000000
0.017951164547
Long
DBT
CORP
US
N
2
2025-09-30
Fixed
4.50000000
N
N
N
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
771195104
24783.00000000
NS
USD
1224528.03000000
0.541019118275
Long
EC
CORP
CH
N
1
N
N
N
Cadence Design Systems Inc
GCT7RXJOGLXPV0NXZY22
Cadence Design Systems Inc
127387108
214.00000000
NS
USD
35194.44000000
0.015549554138
Long
EC
CORP
US
N
1
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
000000000
200000.00000000
PA
203992.46000000
0.090127639498
Long
DBT
CORP
GB
N
2
2030-02-26
Fixed
0.78000000
N
N
N
N
N
N
SBB TREASURY OYJ
5493003HHOCW6FIMH724
SBB Treasury Oyj
000000000
130000.00000000
PA
118167.83000000
0.052208731551
Long
DBT
FI
N
2
2028-12-14
Fixed
0.75000000
N
N
N
N
N
N
Alexander & Baldwin Inc
N/A
Alexander & Baldwin Inc
014491104
1930.00000000
NS
USD
44756.70000000
0.019774337359
Long
EC
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
601753.92000000
0.265866004894
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
16404252.41000000
EUR
18770992.33000000
USD
2022-05-12
601753.92000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2448.77000000
-0.00108191184
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
137076.03000000
USD
121549.37000000
EUR
2022-05-12
-2448.77000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
60735.00000000
PA
75143.45000000
0.033199765188
Long
DBT
NUSS
GB
N
2
2053-07-31
Fixed
1.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-638.71000000
-0.00028219388
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
21000.00000000
AUD
15080.03000000
USD
2022-04-28
-638.71000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
833.25000000
0.000368145252
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
4665000.00000000
JPY
39169.32000000
USD
2022-04-28
833.25000000
N
N
N
Sika AG
549300R3N69ECGYPU434
Sika AG
000000000
47.00000000
NS
15550.12000000
0.006870330450
Long
EC
CORP
CH
N
2
N
N
N
Bentley Systems Inc
549300WVEHPGE0Z56F71
Bentley Systems Inc
08265T208
148.00000000
NS
USD
6538.64000000
0.002888892014
Long
EC
CORP
US
N
1
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
Mastercard Inc
57636Q104
100.00000000
NS
USD
35738.00000000
0.015789708994
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEDJ8
403572.31000000
PA
USD
389776.35000000
0.172210396197
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
44850000.00000000
PA
349530.85000000
0.154429190385
Long
DBT
NUSS
JP
N
2
2039-12-20
Fixed
0.30000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
3.49000000
0.000001541946
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1999.40000000
USD
243725.00000000
JPY
2022-04-28
3.49000000
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CG3
212000.00000000
PA
USD
198304.80000000
0.087614726177
Long
DBT
CORP
GB
N
2
2028-01-12
Fixed
2.60800000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
788.67000000
0.000348448984
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1184408.53000000
SGD
874594.26000000
USD
2022-04-21
788.67000000
N
N
N
ENERGIAS DE PORTUGAL SA
529900CLC3WDMGI9VH80
EDP - Energias de Portugal SA
000000000
100000.00000000
PA
99743.90000000
0.044068698722
Long
DBT
CORP
PT
N
2
2082-03-14
Fixed
1.50000000
N
N
N
N
N
N
Booz Allen Hamilton Holding Corp
529900JPV47PIUWMA015
Booz Allen Hamilton Holding Corp
099502106
6482.00000000
NS
USD
569378.88000000
0.251562113790
Long
EC
CORP
US
N
1
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135F101
80.00000000
NS
USD
50374.40000000
0.022256341058
Long
EC
CORP
US
N
1
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162100
68.00000000
NS
USD
16443.76000000
0.007265157120
Long
EC
CORP
US
N
1
N
N
N
Japan Post Holdings Co Ltd
5299003D9N4JBS256X18
Japan Post Holdings Co Ltd
000000000
1400.00000000
NS
10281.95000000
0.004542755565
Long
EC
CORP
JP
N
2
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
34997.00000000
NS
USD
1442576.34000000
0.637356892117
Long
EC
CORP
US
N
1
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAF8
13000.00000000
PA
USD
13082.16000000
0.005779940103
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
4.37500000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087H72
430000.00000000
PA
316273.49000000
0.139735473996
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
TELECOM ITALIA SPA
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
140000.00000000
PA
130926.65000000
0.057845814065
Long
DBT
CORP
IT
N
2
2029-01-18
Fixed
1.62500000
N
N
N
N
N
N
Kyndryl Holdings Inc
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155Q100
27.00000000
NS
USD
354.24000000
0.000156509779
Long
EC
CORP
US
N
1
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAJ2
38000.00000000
PA
USD
38185.44000000
0.016871033225
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
158046.00000000
PA
USD
156407.93000000
0.069103914575
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.64700000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-78.05000000
-0.00003448393
N/A
DFE
CH
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
134308.40000000
USD
124000.00000000
CHF
2022-04-13
-78.05000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
46243.03000000
0.020431025426
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
3410951.14000000
PLN
855561.14000000
USD
2022-05-06
46243.03000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
11789.92000000
0.005209004585
N/A
DFE
CA
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
847927.80000000
USD
1074877.62000000
CAD
2022-04-22
11789.92000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS24Y73 IRS EUR R V 06MEURIB IS24Y84 CCPVANILLA / Short: BS24Y73 IRS EUR P F .12200 IS24Y73 CCPVANILLA
000000000
540000.00000000
OU
Notional Amount
136040.22000000
0.060105083812
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
2050-09-30
0.00000000
EUR
0.00000000
EUR
540000.00000000
EUR
136040.22000000
N
N
N
Essex Property Trust Inc
549300TR2H2VEFX0NC60
Essex Property Trust Inc
297178105
422.00000000
NS
USD
145792.56000000
0.064413847890
Long
EC
US
N
1
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT JUN22
000000000
-1.00000000
NC
4541.93000000
0.002006708628
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Montreal Exchange 10 Year Canadian Bond Future
CNM2 COMDTY
2022-06-21
-136238.09000000
CAD
4541.93000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
143000.00000000
PA
USD
136770.92000000
0.060427920579
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Nippon Building Fund Inc
52990053R8NL2MB32172
Nippon Building Fund Inc
000000000
11.00000000
NS
62401.02000000
0.027569924079
Long
EC
JP
N
2
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-9299.14000000
-0.00410853194
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
60482961.67000000
INR
788209.77000000
USD
2022-04-07
-9299.14000000
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160R101
55.00000000
NS
USD
59268.00000000
0.026185697931
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
12.00000000
NC
USD
-33068.96000000
-0.01461047778
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
2576131.47000000
USD
-33068.96000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
47000.00000000
PA
USD
48443.37000000
0.021403176310
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
250000.00000000
PA
USD
247042.50000000
0.109147942923
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
4354.00000000
NS
45459.79000000
0.020084975517
Long
EC
CORP
NL
N
2
N
N
N
Spirit Realty Capital Inc
549300LTU6LVPZSHMJ25
Spirit Realty Capital Inc
84860W300
2070.00000000
NS
USD
95261.40000000
0.042088247366
Long
EC
US
N
1
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
78000.00000000
PA
USD
73047.00000000
0.032273514827
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
4972.00000000
NS
USD
1488268.76000000
0.657544647868
Long
EC
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDM0
1275000.00000000
PA
USD
1239937.50000000
0.547827306955
Long
DBT
UST
US
N
2
2023-11-30
Fixed
0.50000000
N
N
N
N
N
N
Knight-Swift Transportation Holdings Inc
N/A
Knight-Swift Transportation Holdings Inc
499049104
9474.00000000
NS
USD
478058.04000000
0.211214878670
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1E3T9 CDS USD R F 3.00000 IS1E3T9 CMBX-BBB--416265 / Short: IS1E3T9 CDS USD P V 00MEVENT IS1E3U0 CMBX-BBB--416265
000000000
50693.40000000
OU
Notional Amount
USD
-12344.69000000
-0.00545411222
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-5118.23000000
USD
50693.40000000
USD
-7226.46000000
N
N
N
Rio Tinto PLC
213800YOEO5OQ72G2R82
Rio Tinto PLC
000000000
4396.00000000
NS
351444.99000000
0.155274892818
Long
EC
CORP
GB
N
2
N
N
N
CapitaLand Integrated Commercial Trust
54930031292WUTXF0L29
CapitaLand Integrated Commercial Trust
000000000
48180.00000000
NS
79706.04000000
0.035215601787
Long
EC
SG
N
2
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
36.35000000
0.000016060101
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
47590.16000000
USD
43000.00000000
EUR
2022-05-12
36.35000000
N
N
N
Pikes Peak CLO
549300NJA5BS4BQQJL72
Pikes Peak CLO 8
72133CAC6
250000.00000000
PA
USD
247725.75000000
0.109449815402
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
2.00400000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284V101
940.00000000
NS
USD
52085.40000000
0.023012292485
Long
EC
US
N
1
N
N
N
CARNIVAL PLC
4DR1VPDQMHD3N3QW8W95
Carnival PLC
000000000
200000.00000000
PA
160990.31000000
0.071128494761
Long
DBT
CORP
GB
N
2
2029-10-28
Fixed
1.00000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
000000000
147000.00000000
PA
173496.28000000
0.076653863472
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.62500000
N
N
N
N
N
N
Kinnevik AB
2138006PZH76JOS6MN27
Kinnevik AB
000000000
1149.00000000
NS
29961.41000000
0.013237504755
Long
EC
CORP
SE
N
2
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1169.56000000
0.000516733226
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
520200.56000000
GBP
684329.56000000
USD
2022-06-09
1169.56000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKM0
63000.00000000
PA
USD
62912.43000000
0.027795874470
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPG65
133045.43000000
PA
USD
136237.36000000
0.060192183908
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
BorgWarner Inc
549300DSFX2IE88NSX47
BorgWarner Inc
099724106
291.00000000
NS
USD
11319.90000000
0.005001341061
Long
EC
CORP
US
N
1
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AF4
100000.00000000
PA
USD
91654.00000000
0.040494431365
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-82329.56000000
-0.03637472141
N/A
DFE
JP
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1618604.54000000
USD
186944632.00000000
JPY
2022-04-28
-82329.56000000
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAU5
109000.00000000
PA
USD
98210.09000000
0.043391033112
Long
DBT
CORP
BM
N
2
2028-01-26
Fixed
2.85000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
5331.35000000
0.002355488976
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
527180.30000000
USD
480782.70000000
EUR
2022-05-12
5331.35000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SZ2
715000.00000000
PA
USD
644952.34000000
0.284951865345
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-1464.76000000
-0.00064715804
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
26463.33000000
USD
3042000.00000000
JPY
2022-04-28
-1464.76000000
N
N
N
Industrial & Infrastructure Fund Investment Corp
353800WCHFY04YKYCI19
Industrial & Infrastructure Fund Investment Corp
000000000
21.00000000
NS
31816.46000000
0.014057100135
Long
EC
JP
N
2
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370860
826.00000000
NS
USD
13967.66000000
0.006171170371
Long
EC
CORP
US
N
1
N
N
N
New World Development Co Ltd
2549008GWMWXTIRL4S48
New World Development Co Ltd
000000000
10000.00000000
NS
40571.47000000
0.017925225383
Long
EC
CORP
HK
N
2
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
172000.00000000
PA
161889.74000000
0.071525879560
Long
DBT
NUSS
IT
N
2
2045-04-30
Fixed
1.50000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
480000.00000000
PA
444802.67000000
0.196522041500
Long
DBT
NUSS
DE
N
2
2050-08-15
None
0.00000000
N
N
N
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
46153.00000000
PA
USD
46825.10000000
0.020688194712
Long
DBT
CORP
IL
N
2
2025-06-30
Fixed
6.12500000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
180000.00000000
PA
218617.30000000
0.096589164141
Long
DBT
NUSS
BE
N
2
2038-06-22
Fixed
1.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7S26
120985.70000000
PA
USD
116471.77000000
0.051459380892
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
100000.00000000
PA
106084.93000000
0.046870282986
Long
DBT
CORP
ES
N
2
2026-11-18
Fixed
0.37500000
N
N
N
N
N
N
J Sainsbury PLC
213800VGZAAJIKJ9Y484
J Sainsbury PLC
000000000
2977.00000000
NS
9853.23000000
0.004353339144
Long
EC
CORP
GB
N
2
N
N
N
Mitsui Fudosan Logistics Park Inc
353800DN63EIYS760S59
Mitsui Fudosan Logistics Park Inc
000000000
7.00000000
NS
33062.26000000
0.014607517602
Long
EC
JP
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-5851.39000000
-0.00258525226
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
510889.47000000
CAD
402772.55000000
USD
2022-04-22
-5851.39000000
N
N
N
Domino's Pizza Inc
25490005ZWM1IF9UXU57
Domino's Pizza Inc
25754A201
20.00000000
NS
USD
8140.20000000
0.003596490826
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
7058.13000000
0.003118412299
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
191900.00000000
EUR
219605.26000000
USD
2022-05-12
7058.13000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
26000.00000000
PA
USD
24413.22000000
0.010786211858
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408103
29478.00000000
NS
USD
1103951.10000000
0.487746001813
Long
EC
CORP
US
N
1
N
N
N
Homebanc Mortgage Trust
N/A
HomeBanc Mortgage Trust 2005-1
43739EAP2
37812.59000000
PA
USD
33350.52000000
0.014734876199
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.95700000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT JUN22
000000000
3.00000000
NC
-3803.22000000
-0.00168033289
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex 2 Year Euro SCHATZ Future
DUM2 COMDTY
2022-06-08
335642.94000000
EUR
-3803.22000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-XLF1
61765VAA6
72470.37000000
PA
USD
66781.45000000
0.029505279022
Long
ABS-MBS
CORP
US
N
2
2026-11-15
Floating
2.59700000
N
N
N
N
N
N
SITE Centers Corp
W2AVA6SODOQ1LCYJQR54
SITE Centers Corp
82981J109
6295.00000000
NS
USD
105189.45000000
0.046474643370
Long
EC
US
N
1
N
N
N
AGL CLO Ltd.
54930005OE1IFBESDA27
AGL CLO 12 Ltd
00120BAA8
250000.00000000
PA
USD
248320.75000000
0.109712697400
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.41400000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141G104
4219.00000000
NS
USD
1392691.90000000
0.615317024443
Long
EC
CORP
US
N
1
N
N
N
Mebuki Financial Group Inc
353800K1RXV3E3JAE812
Mebuki Financial Group Inc
000000000
10900.00000000
NS
22698.05000000
0.010028418049
Long
EC
CORP
JP
N
2
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAA8
130000.00000000
PA
USD
116808.90000000
0.051608331158
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754BAB7
167945.00000000
PA
USD
163944.75000000
0.072433820964
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
3.09900000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
155000.00000000
PA
163795.49000000
0.072367875137
Long
DBT
CORP
IT
N
2
2029-07-13
Fixed
3.37500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030645
1031326.00000000
PA
USD
1009652.07000000
0.446082947301
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
PetroChina Co Ltd
529900RPY4YG47TRSV05
PetroChina Co Ltd
000000000
572000.00000000
NS
290470.97000000
0.128335443716
Long
EC
CORP
CN
N
2
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
208.57000000
0.000092150081
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
87000.00000000
NOK
10085.87000000
USD
2022-06-17
208.57000000
N
N
N
Acuity Brands Inc
N/A
Acuity Brands Inc
00508Y102
348.00000000
NS
USD
65876.40000000
0.029105411203
Long
EC
CORP
US
N
1
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABV6
78000.00000000
PA
USD
74340.24000000
0.032844892164
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Mitsubishi Chemical Holdings Corp
353800YNKX4RQUGAR072
Mitsubishi Chemical Holdings Corp
000000000
2400.00000000
NS
15961.76000000
0.007052200610
Long
EC
CORP
JP
N
2
N
N
Genworth Mortgage Insurance Corporation
N/A
Traingle Re 2021-1 Ltd
89600FAB9
28589.25000000
PA
USD
28583.55000000
0.012628740738
Long
ABS-MBS
CORP
BM
N
2
2033-08-25
Floating
3.45700000
N
N
N
N
N
N
DEVELOPMENT BK OF JAPAN
5493001HGBABMWFZUI25
Development Bank of Japan Inc
000000000
220000.00000000
PA
238629.14000000
0.105430764959
Long
DBT
NUSS
JP
N
2
2024-10-15
Fixed
0.01000000
N
N
N
N
N
N
ServiceNow Inc
549300HJTQM36M0E1G39
ServiceNow Inc
81762P102
631.00000000
NS
USD
351397.59000000
0.155253950622
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FAXY9
177033.40000000
PA
USD
26396.14000000
0.011662302567
Long
ABS-MBS
USGSE
US
N
2
2047-09-15
Floating
5.75300000
N
N
N
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AG4
10642.72000000
PA
USD
10077.49000000
0.004452421357
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
5.95700000
N
N
N
N
N
N
Canadian Natural Resources Ltd
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385101
961.00000000
NS
59505.67000000
0.026290704930
Long
EC
CORP
CA
N
1
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
000000000
180000.00000000
PA
199640.69000000
0.088204947073
Long
DBT
CORP
GB
N
2
2026-03-22
Fixed
3.25000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAV6
14000.00000000
PA
USD
13731.76000000
0.006066945390
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Regis Resources Ltd
213800XH9YUXBLYBD749
Regis Resources Ltd
000000000
19455.00000000
NS
30819.94000000
0.013616819178
Long
EC
CORP
AU
N
2
N
N
Vale SA
254900SMTWBX7RU2SR20
Vale SA
91912E105
8936.00000000
NS
USD
178630.64000000
0.078922318625
Long
EC
CORP
BR
N
1
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-KEYS
04410CAA7
200000.00000000
PA
USD
198220.10000000
0.087577304152
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.39700000
N
N
N
N
N
N
Eagle Re 2018-1 Ltd.
549300BLEDGL5R7YKU33
Eagle RE 2018-1 Ltd
269826AA1
55779.12000000
PA
USD
55673.00000000
0.024597360479
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
1.88700000
N
N
N
N
N
N
CANADA HOUSING TRUST
549300M44WH89JG50067
Canada Housing Trust No 1
13509PJA2
1035000.00000000
PA
785445.91000000
0.347024521505
Long
DBT
NUSS
CA
N
2
2026-12-15
Fixed
1.55000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
342000.00000000
PA
319471.90000000
0.141148590654
Long
DBT
NUSS
DE
N
2
2050-08-15
None
0.00000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
100000.00000000
PA
99672.00000000
0.044036931973
Long
DBT
CORP
DE
N
2
2027-05-06
Fixed
2.00000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAZ6
270000.00000000
PA
299607.39000000
0.132372082953
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
763.99000000
0.000337544903
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
146955.95000000
USD
133370.21000000
EUR
2022-05-12
763.99000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1218.20000000
-0.00053822327
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
188811.52000000
GBP
246740.93000000
USD
2022-06-09
-1218.20000000
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AK1
17000.00000000
PA
USD
16928.26000000
0.007479218176
Long
DBT
CORP
US
N
2
2022-08-01
Variable
3.99500000
N
N
N
N
N
N
St Barbara Ltd
2549001WR6XSXNOD1F93
St Barbara Ltd
000000000
23750.00000000
NS
25034.91000000
0.011060885992
Long
EC
CORP
AU
N
2
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BK0
201000.00000000
PA
USD
192877.59000000
0.085216884481
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Analog Devices Inc
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654105
3024.00000000
NS
USD
499504.32000000
0.220690241595
Long
EC
CORP
US
N
1
N
N
N
CSR Ltd
549300TOGR54OMW2T093
CSR Ltd
000000000
11190.00000000
NS
51152.79000000
0.022600248148
Long
EC
CORP
AU
N
2
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156R108
1002.00000000
NS
USD
70420.56000000
0.031113105087
Long
EC
CORP
US
N
1
N
N
N
EDP Renovaveis SA
529900MUFAH07Q1TAX06
EDP Renovaveis SA
000000000
3880.00000000
NS
99757.62000000
0.044074760472
Long
EC
CORP
ES
N
2
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-C
64035GAC3
103606.00000000
PA
USD
93958.13000000
0.041512438590
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.53000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
200000.00000000
PA
USD
201388.00000000
0.088976940928
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-118.01000000
-0.00005213899
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
9000.00000000
NZD
6112.46000000
USD
2022-06-10
-118.01000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-1645.45000000
-0.00072699022
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
28427.28000000
USD
3259000.00000000
JPY
2022-04-28
-1645.45000000
N
N
N
Telefonica SA
549300EEJH4FEPDBBR25
Telefonica SA
000000000
10682.00000000
NS
51767.71000000
0.022871931171
Long
EC
CORP
ES
N
2
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68333ZAE7
360000.00000000
PA
282926.05000000
0.125001958597
Long
DBT
NUSS
CA
N
2
2029-06-02
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KMH9
217684.00000000
PA
USD
207038.69000000
0.091473520220
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
1.89900000
N
N
N
N
N
N
Meta Platforms Inc
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M102
7209.00000000
NS
USD
1602993.24000000
0.708232043741
Long
EC
CORP
US
N
1
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081103
1686.00000000
NS
USD
87284.22000000
0.038563781789
Long
EC
CORP
US
N
1
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
38314.48000000
0.016928045482
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
2168438800.00000000
KRW
1822294.05000000
USD
2022-04-28
38314.48000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BFLM1
278156.33000000
PA
USD
41087.53000000
0.018153230230
Long
ABS-MBS
USGSE
US
N
2
2044-12-15
Floating
5.70300000
N
N
N
N
N
N
WPC EUROBOND BV
5493005XDMOLBARL5M14
WPC Eurobond BV
000000000
157000.00000000
PA
151809.54000000
0.067072260874
Long
DBT
NL
N
2
2030-06-01
Fixed
0.95000000
N
N
N
N
N
N
Liberty Media Corp-Liberty Formula One
N/A
Liberty Media Corp-Liberty Formula One
531229854
108.00000000
NS
USD
7542.72000000
0.003332513118
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BYRV4
291534.29000000
PA
USD
48263.04000000
0.021323503183
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Floating
5.75300000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-311.43000000
-0.00013759553
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
302000.00000000
MXN
14751.99000000
USD
2022-05-19
-311.43000000
N
N
N
Lululemon Athletica Inc
549300D9GZ4BMLDW5T40
Lululemon Athletica Inc
550021109
7.00000000
NS
USD
2556.61000000
0.001129557555
Long
EC
CORP
US
N
1
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
99000.00000000
PA
USD
105966.63000000
0.046818015859
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
Daiwa Office Investment Corp
N/A
Daiwa Office Investment Corp
000000000
6.00000000
NS
37247.50000000
0.016456633996
Long
EC
JP
N
2
N
N
N
Molina Healthcare Inc
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855R100
239.00000000
NS
USD
79728.01000000
0.035225308539
Long
EC
CORP
US
N
1
N
N
N
VGP NV
315700NENYPIXFR94T49
VGP NV
000000000
150.00000000
NS
38391.78000000
0.016962198051
Long
EC
CORP
BE
N
2
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389X105
12099.00000000
NS
USD
1000950.27000000
0.442238331214
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3525.84000000
-0.00155778128
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
114533.64000000
USD
100224.34000000
EUR
2022-05-12
-3525.84000000
N
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513E101
10384.00000000
NS
USD
1028742.88000000
0.454517620041
Long
EC
CORP
US
N
1
N
N
N
Edwards Lifesciences Corp
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176E108
5282.00000000
NS
USD
621797.04000000
0.274721425794
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
-25.00000000
NC
USD
-3851.31000000
-0.00170157994
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
-2863336.19000000
USD
-3851.31000000
N
N
N
George Weston Ltd
549300FAHC3L1QKNT280
George Weston Ltd
961148509
48.00000000
NS
5910.97000000
0.002611575806
Long
EC
CORP
CA
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
79.80000000
0.000035257115
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
20323.33000000
EUR
22589.78000000
USD
2022-05-12
79.80000000
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XCB0
120000.00000000
PA
121940.14000000
0.053875407837
Long
DBT
CORP
US
N
2
2029-05-04
Fixed
0.45000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBH1
33000.00000000
PA
USD
32211.63000000
0.014231693545
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
2815.00000000
NS
41051.74000000
0.018137417547
Long
EC
CORP
IT
N
2
N
N
N
National Storage Affiliates Trust
N/A
National Storage Affiliates Trust
637870106
1712.00000000
NS
USD
107445.12000000
0.047471240070
Long
EC
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS2ETY5 CDS EUR R V 03MEVENT IS2ETZ6 CCPITRAXX / Short: BS2ETY5 CDS EUR P F 5.00000 IS2ETY5 CCPITRAXX
000000000
1180000.00000000
OU
Notional Amount
-105619.38000000
-0.04666459439
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S36
2I667KJO7
Y
buy protection
2026-12-20
0.00000000
EUR
-71821.63000000
EUR
1180000.00000000
EUR
-26292.55000000
N
N
N
SLM CORP
N/A
SLM Corp
78442PGD2
69000.00000000
PA
USD
68469.39000000
0.030251042115
Long
DBT
CORP
US
N
2
2025-10-29
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAT1
21810.43000000
PA
USD
21973.51000000
0.009708302884
Long
ABS-MBS
USGSE
US
N
2
2025-02-25
Floating
4.75700000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
1462.25000000
0.000646049078
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2972950430.55000000
COP
784092.76000000
USD
2022-05-25
1462.25000000
N
N
N
Autodesk Inc
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769106
2274.00000000
NS
USD
487431.90000000
0.215356423288
Long
EC
CORP
US
N
1
N
N
N
Prysmian SpA
529900X0H1IO3RS1A464
Prysmian SpA
000000000
904.00000000
NS
30678.31000000
0.013554244427
Long
EC
CORP
IT
N
2
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAB9
1690.02000000
PA
USD
1690.04000000
0.000746690911
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Floating
2.55700000
N
N
N
N
N
N
NortonLifeLock Inc
YF6ZV0M6AU4FY94MK914
NortonLifeLock Inc
668771108
27301.00000000
NS
USD
724022.52000000
0.319886532431
Long
EC
CORP
US
N
1
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR4 Trust
46187XAA3
207556.69000000
PA
USD
206669.28000000
0.091310308054
Long
ABS-O
CORP
US
N
2
2038-01-17
Floating
1.54100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9T45
172220.95000000
PA
USD
181165.47000000
0.080042253374
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
AmerisourceBergen Corp
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073E105
529.00000000
NS
USD
81841.59000000
0.036159127251
Long
EC
CORP
US
N
1
N
N
N
Assura PLC
21380026T19N2Y52XF72
Assura PLC
000000000
54110.00000000
NS
47553.58000000
0.021010050641
Long
EC
GB
N
1
N
N
N
Countrywide Home Loans
5493008WNOU8I3M5WW38
CHL Mortgage Pass-Through Trust 2006-13
12543TAU9
18716.09000000
PA
USD
11187.32000000
0.004942764766
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.25000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
5602.04000000
0.002475084822
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
22474866.00000000
TWD
790769.87000000
USD
2022-04-29
5602.04000000
N
N
N
Chicago Parking Meters LLC
N/A
CHICAGO PARKING METERS 4.93 30
000000000
200000.00000000
PA
USD
204673.17000000
0.090428389759
Long
DBT
CORP
US
N
2
2025-12-30
Fixed
4.93000000
N
N
N
N
N
N
Raiffeisen Bank International AG
9ZHRYM6F437SQJ6OUG95
Raiffeisen Bank International AG
000000000
909.00000000
NS
12905.11000000
0.005701716140
Long
EC
CORP
AT
N
2
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
119000.00000000
PA
USD
105512.54000000
0.046617390504
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBZ7
56000.00000000
PA
USD
48795.60000000
0.021558798035
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
89000.00000000
PA
USD
97264.54000000
0.042973271645
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
LPL Financial Holdings Inc
549300XROQ4Y8G2L7682
LPL Financial Holdings Inc
50212V100
4292.00000000
NS
USD
784062.56000000
0.346413331905
Long
EC
CORP
US
N
1
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
46874.01000000
0.020709804054
N/A
DFE
ZA
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
828982.01000000
USD
12826161.31000000
ZAR
2022-04-21
46874.01000000
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
000000000
120000.00000000
PA
129181.65000000
0.057074840810
Long
DBT
CORP
DE
N
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
UNITE Group PLC/The
213800BBUUWVDH9YI827
UNITE Group PLC/The
000000000
2710.00000000
NS
41049.53000000
0.018136441128
Long
EC
GB
N
2
N
N
N
Alliance Bernstein
5493006YWHO7MNK2U579
AB Fixed Income Shares, Inc. - Government Money Market Portfolio
018616748
428206.45000000
NS
USD
428206.45000000
0.189189524733
Long
STIV
RF
US
N
1
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209S103
280.00000000
NS
USD
14630.00000000
0.006463804426
Long
EC
CORP
US
N
1
N
N
N
VICI Properties Inc
254900RKH6RY9KCJQH63
VICI Properties Inc
925652109
5824.00000000
NS
USD
165751.04000000
0.073231873274
Long
EC
US
N
1
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
160000.00000000
PA
167735.78000000
0.074108768093
Long
DBT
CORP
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
GRIFOLS ESCROW ISSUER
959800HLB3PGTGSLVV62
Grifols Escrow Issuer SA
000000000
100000.00000000
PA
105199.93000000
0.046479273627
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
283700000.00000000
PA
2332566.77000000
1.030571114997
Long
DBT
NUSS
JP
N
2
2023-07-01
Fixed
0.00500000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-21826.92000000
-0.00964353671
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3490790.04000000
PLN
806434.61000000
USD
2022-05-06
-21826.92000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1IED2 CDS USD R F 3.00000 IS1IED2 CMBX / Short: IS1IED2 CDS USD P V 01MEVENT IS1IEE3 CMBX
000000000
78431.30000000
OU
Notional Amount
USD
-19099.33000000
-0.00843843703
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-12323.04000000
USD
78431.30000000
USD
-6776.29000000
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
23000.00000000
PA
USD
22202.13000000
0.009809311426
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6074.52000000
-0.00268383521
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
177936.04000000
USD
155166.64000000
EUR
2022-05-12
-6074.52000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1C4Z6 CDS USD R F 3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6 CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304
000000000
7651.84000000
OU
Notional Amount
USD
-1863.35000000
-0.00082326247
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-850.01000000
USD
7651.84000000
USD
-1013.34000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAD3
2000.00000000
PA
USD
1984.32000000
0.000876709254
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.12500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
253.49000000
0.000111996567
N/A
DFE
SG
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
759811.59000000
USD
1030237.81000000
SGD
2022-04-21
253.49000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
200000.00000000
PA
USD
207234.00000000
0.091559811788
Long
DBT
CORP
CH
N
2
2023-12-11
Fixed
7.50000000
N
N
N
N
Y
Credit Suisse Group AG
Credit Suisse Group AG
USD
XXXX
N
N
N
NETSTREIT Corp
254900CJL0EDMEQ25Q84
NETSTREIT Corp
64119V303
3504.00000000
NS
USD
78629.76000000
0.034740081389
Long
EC
US
N
1
N
N
N
Simon Property Group Inc
529900GQL5X8H7AO3T64
Simon Property Group Inc
828806109
689.00000000
NS
USD
90644.84000000
0.040048565824
Long
EC
US
N
1
N
N
N
Smurfit Kappa Group PLC
635400CPLP8H5ITDVT56
Smurfit Kappa Group PLC
000000000
319.00000000
NS
14169.13000000
0.006260183541
Long
EC
CORP
IE
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
570471.76000000
0.252044968375
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1174222360.00000000
JPY
10220004.96000000
USD
2022-04-28
570471.76000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
2680000.00000000
PA
USD
2103800.00000000
0.929497727403
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Instone Real Estate Group SE
391200DINUIRPDZQHX03
Instone Real Estate Group SE
000000000
1525.00000000
NS
28552.21000000
0.012614894147
Long
EC
CORP
DE
N
2
N
N
N
ABIOMED Inc
5493001EZN4ZTB4Z5887
ABIOMED Inc
003654100
34.00000000
NS
USD
11262.16000000
0.004975830461
Long
EC
CORP
US
N
1
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
248.95000000
0.000109990711
N/A
DFE
XX
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
38516.81000000
USD
35000.00000000
EUR
2022-05-12
248.95000000
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAG8
7000.00000000
PA
USD
7699.51000000
0.003401785838
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.12500000
N
N
N
N
N
N
AP Moller - Maersk A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S
000000000
2.00000000
NS
6009.93000000
0.002655298163
Long
EC
CORP
DK
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1IDZ7 CDS USD R F 3.00000 IS1IDZ7 CMBX / Short: IS1IDZ7 CDS USD P V 01MEVENT IS1IE09 CMBX
000000000
55475.80000000
OU
Notional Amount
USD
-13509.28000000
-0.00596864961
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-8592.66000000
USD
55475.80000000
USD
-4916.62000000
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAL4
32000.00000000
PA
USD
39672.64000000
0.017528105675
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.62500000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-26530.29000000
-0.01172157251
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2275414.91000000
NZD
1548681.52000000
USD
2022-06-10
-26530.29000000
N
N
N
Infrastrutture Wireless Italiane SpA
81560066183FE361C071
Infrastrutture Wireless Italiane SpA
000000000
3280.00000000
NS
36717.09000000
0.016222289054
Long
EC
CORP
IT
N
2
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
31650000.00000000
PA
248018.59000000
0.109579197527
Long
DBT
NUSS
JP
N
2
2039-06-20
Fixed
0.30000000
N
N
N
N
N
N
Norsk Hydro ASA
549300N1SDN71ZZ8BO45
Norsk Hydro ASA
000000000
6438.00000000
NS
62550.78000000
0.027636090815
Long
EC
CORP
NO
N
2
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NB3
91000.00000000
PA
USD
85172.36000000
0.037630723004
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
4.15000000
N
N
N
N
N
N
PulteGroup Inc
N/A
PulteGroup Inc
745867101
1000.00000000
NS
USD
41900.00000000
0.018512194494
Long
EC
CORP
US
N
1
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-3644.93000000
-0.00161039744
N/A
DFE
IN
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
813374.75000000
USD
61409793.57000000
INR
2022-04-07
-3644.93000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
195000.00000000
PA
198001.73000000
0.087480824249
Long
DBT
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
Block Inc
852234AL7
114000.00000000
PA
USD
107804.10000000
0.047629844070
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
2.75000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
200000.00000000
PA
USD
209086.00000000
0.092378059621
Long
DBT
CORP
US
N
2
2023-12-18
Fixed
7.87500000
N
N
N
N
Y
Societe Generale SA
Societe Generale SA
USD
XXXX
N
N
N
Fortescue Metals Group Ltd
529900VEJFORCO6I4826
Fortescue Metals Group Ltd
000000000
3275.00000000
NS
50342.77000000
0.022242366340
Long
EC
CORP
AU
N
2
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-2R
69345WAA6
68686.22000000
PA
USD
68107.02000000
0.030090940350
Long
ABS-MBS
CORP
US
N
2
2023-05-27
Floating
3.19500000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
140000.00000000
PA
153117.14000000
0.067649982724
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.37500000
N
N
N
N
N
N
Nissan Motor Co Ltd
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
000000000
6100.00000000
NS
27104.29000000
0.011975176327
Long
EC
CORP
JP
N
2
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAM5
13000.00000000
PA
USD
12923.17000000
0.005709695382
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.95000000
N
N
N
N
N
N
Pioneer Natural Resources Co
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787107
27.00000000
NS
USD
6750.81000000
0.002982632642
Long
EC
CORP
US
N
1
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAM7
31000.00000000
PA
USD
32710.58000000
0.014452138878
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
5.37500000
N
N
N
N
N
N
Kuehne + Nagel International AG
529900Q0YED3805QXQ66
Kuehne + Nagel International AG
000000000
190.00000000
NS
53946.52000000
0.023834569703
Long
EC
CORP
CH
N
2
N
N
N
FirstService Corp
5493000XUDIV75BCF118
FirstService Corp
33767E202
92.00000000
NS
13307.49000000
0.005879495062
Long
EC
CORP
CA
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDC2
406297.00000000
PA
USD
427691.08000000
0.188961824741
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
1585.00000000
NS
USD
163350.10000000
0.072171093602
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGSG4
186516.53000000
PA
USD
188412.13000000
0.083243961712
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-23026.05000000
-0.01017333451
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
33529695.88000000
CNY
5241963.59000000
USD
2022-05-18
-23026.05000000
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
6059.00000000
NS
USD
925936.38000000
0.409095808028
Long
EC
CORP
US
N
1
N
N
N
AB International Small Cap Portfolio
549300G1B9DY1MOTDQ52
AB International Small Cap Portfolio
085567816
627598.59700000
NS
USD
7518631.19000000
3.321870236852
Long
EC
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2CAA2 IRS NZD R F 2.58000 IS2CAA2 CCPVANILLA / Short: SS2CAA2 IRS NZD P V 03MNZDBB IS2CAB3 CCPVANILLA
000000000
561000.00000000
OU
Notional Amount
-4151.22000000
-0.00183408572
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-01
0.00000000
NZD
0.00000000
NZD
561000.00000000
NZD
-4151.22000000
N
N
N
UGI Corp
DX6GCWD4Q1JO9CRE5I40
UGI Corp
902681105
1721.00000000
NS
USD
62334.62000000
0.027540587331
Long
EC
CORP
US
N
1
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005N100
1195.00000000
NS
USD
51958.60000000
0.022956269901
Long
EC
CORP
US
N
1
N
N
N
AutoZone Inc
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332102
382.00000000
NS
USD
781029.56000000
0.345073296442
Long
EC
CORP
US
N
1
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
225000.00000000
PA
USD
258081.75000000
0.114025287626
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
LEVI STRAUSS & CO
MB0UERO0RDFKU8258G77
Levi Strauss & Co
52736RBJ0
55000.00000000
PA
USD
50487.25000000
0.022306200274
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-2.67000000
-0.00000117965
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
5629.25000000
SEK
597.13000000
USD
2022-06-17
-2.67000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
20290.42000000
0.008964682611
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
22891398.00000000
TWD
820009.96000000
USD
2022-04-29
20290.42000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
187000.00000000
PA
193767.71000000
0.085610155950
Long
DBT
NUSS
IT
N
2
2028-07-15
Fixed
0.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABU8
73000.00000000
PA
USD
69836.18000000
0.030854915201
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
2.62500000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076C106
152.00000000
NS
USD
45654.72000000
0.020171099194
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-1227.24000000
-0.00054221731
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
23293.83000000
USD
2685216.00000000
JPY
2022-04-28
-1227.24000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-5378.11000000
-0.00237614840
N/A
DFE
SG
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
839347.04000000
USD
1130411.53000000
SGD
2022-04-21
-5378.11000000
N
N
N
Hulic Co Ltd
3538002E12E7IHAKTB10
Hulic Co Ltd
000000000
3200.00000000
NS
28708.55000000
0.012683968049
Long
EC
CORP
JP
N
2
N
N
N
MDC Holdings Inc
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AQ1
133000.00000000
PA
USD
138201.63000000
0.061060034703
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
7420000.00000000
PA
1155176.24000000
0.510378215529
Long
DBT
NUSS
CN
N
2
2050-03-16
Fixed
3.39000000
N
N
N
N
N
N
Bio-Rad Laboratories Inc
549300ZC1GPV35XYDK53
Bio-Rad Laboratories Inc
090572207
92.00000000
NS
USD
51817.16000000
0.022893779095
Long
EC
CORP
US
N
1
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
6232.70000000
0.002753722067
N/A
DFE
BR
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
831478.31000000
USD
4020530.23000000
BRL
2022-05-03
6232.70000000
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAR6
255000.00000000
PA
USD
237348.90000000
0.104865131263
Long
DBT
CORP
GB
N
2
2028-01-11
Fixed
2.46900000
N
N
N
N
N
N
Otis Worldwide Corp
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902V107
2587.00000000
NS
USD
199069.65000000
0.087952651045
Long
EC
CORP
US
N
1
N
N
N
Transurban Group
549300ZR71SUQ4VUTM79
Transurban Group
000000000
8387.00000000
NS
84741.82000000
0.037440502474
Long
EC
CORP
AU
N
2
N
N
N
KLA Corp
549300H0BF5JCG96TJ81
KLA Corp
482480100
1382.00000000
NS
USD
505894.92000000
0.223513726801
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
42186.41000000
0.018638735726
N/A
DFE
ZA
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
883486.97000000
USD
13555693.97000000
ZAR
2022-04-21
42186.41000000
N
N
N
Glencore PLC
2138002658CPO9NBH955
Glencore PLC
000000000
43104.00000000
NS
280464.95000000
0.123914599126
Long
EC
CORP
JE
N
2
N
N
N
REPUBLIC OF AUSTRIA
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
65000.00000000
PA
67448.77000000
0.029800113333
Long
DBT
NUSS
AT
N
2
2030-02-20
None
0.00000000
N
N
N
N
N
N
Takeda Pharmaceutical Co Ltd
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
000000000
1400.00000000
NS
39889.09000000
0.017623737286
Long
EC
CORP
JP
N
2
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAY1
98000.00000000
PA
USD
96487.86000000
0.042630120064
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
3.35000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4122.77000000
-0.00182151599
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
551231.48000000
EUR
606417.47000000
USD
2022-05-12
-4122.77000000
N
N
N
Electronic Arts Inc
549300O7A67PUEYKDL45
Electronic Arts Inc
285512109
540.00000000
NS
USD
68315.40000000
0.030183006486
Long
EC
CORP
US
N
1
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-10022.00000000
-0.00442790485
N/A
DFE
KR
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
867123.33000000
USD
1041812260.00000000
KRW
2022-04-28
-10022.00000000
N
N
N
Kroger Co/The
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044101
1642.00000000
NS
USD
94201.54000000
0.041619981627
Long
EC
CORP
US
N
1
N
N
N
Armada Hoffler Properties Inc
549300WQRSIV6XZT9313
Armada Hoffler Properties Inc
04208T108
5230.00000000
NS
USD
76358.00000000
0.033736375829
Long
EC
US
N
1
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
8253.37000000
PA
USD
8253.36000000
0.003646487006
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
2.60700000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
15.26000000
0.000006742150
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
7810073.73000000
THB
235136.95000000
USD
2022-06-16
15.26000000
N
N
N
Cie de Saint-Gobain
NFONVGN05Z0FMN5PEC35
Cie de Saint-Gobain
000000000
491.00000000
NS
29214.67000000
0.012907581220
Long
EC
CORP
FR
N
2
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
1.07000000
0.000000472745
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
2996.54000000
NOK
341.27000000
USD
2022-06-17
1.07000000
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833100
20968.00000000
NS
USD
3661222.48000000
1.617595767030
Long
EC
CORP
US
N
1
N
N
N
INEOS QUATTRO FINANCE 2
213800V48W4Y5MT5Q131
INEOS Quattro Finance 2 Plc
000000000
100000.00000000
PA
104540.60000000
0.046187969446
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
2.50000000
N
N
N
N
N
N
Eurofins Scientific SE
529900JEHFM47DYY3S57
Eurofins Scientific SE
000000000
22.00000000
NS
2176.30000000
0.000961529567
Long
EC
CORP
LU
N
2
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
867229AE6
44000.00000000
PA
USD
55608.52000000
0.024568872024
Long
DBT
CORP
CA
N
2
2038-06-15
Fixed
6.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-6363.20000000
-0.00281137937
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
12943835.21000000
ZAR
877528.38000000
USD
2022-04-21
-6363.20000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
5175.39000000
0.002286582965
N/A
DFE
CH
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
822187.62000000
USD
764305.61000000
CHF
2022-04-13
5175.39000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
171000.00000000
PA
USD
197566.56000000
0.087288558100
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
000000000
185000.00000000
PA
189306.99000000
0.083639327401
Long
DBT
CORP
DK
N
2
2029-06-09
Fixed
0.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-243.76000000
-0.00010769767
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
7996.91000000
USD
7000.00000000
EUR
2022-05-12
-243.76000000
N
N
N
Regeneron Pharmaceuticals Inc
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886F107
722.00000000
NS
USD
504259.24000000
0.222791053143
Long
EC
CORP
US
N
1
N
N
N
Hongkong Land Holdings Ltd
213800XCHYNRPAYGXW28
Hongkong Land Holdings Ltd
000000000
8800.00000000
NS
USD
42995.94000000
0.018996401044
Long
EC
CORP
BM
N
2
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-109.19000000
-0.00004824216
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
159000.00000000
CNY
24857.73000000
USD
2022-05-18
-109.19000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132VMWS0
98893.93000000
PA
USD
104298.55000000
0.046081027282
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Medical Properties Trust Inc
254900U6E39J1MQCCY14
Medical Properties Trust Inc
58463J304
5110.00000000
NS
USD
108025.40000000
0.047727618500
Long
EC
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE JUN22
000000000
-12.00000000
NC
31481.92000000
0.013909294179
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
French Government Bond Futures
OATM2 COMDTY
2022-06-08
-1846578.24000000
EUR
31481.92000000
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
75000.00000000
PA
USD
36000.00000000
0.015905465437
Long
DBT
NUSS
SV
N
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: IS29939 IRS USD R V 12MUSCPI IS29940 INFLATIONZERO / Short: IS29939 IRS USD P F 2.53200 IS29939 INFLATIONZERO
000000000
6210000.00000000
OU
Notional Amount
USD
289772.32000000
0.128026767232
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-05-17
0.00000000
USD
0.00000000
USD
6210000.00000000
USD
289772.32000000
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBW9
48000.00000000
PA
USD
44225.76000000
0.019539758253
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.90000000
N
N
N
N
N
N
Bernstein Small Cap Core Portfolio
549300P1KZB3RPQ3EX57
Bernstein Small Cap Core Portfolio
085567725
213805.33400000
NS
USD
2984722.46000000
1.318705553522
Long
EC
RF
US
N
1
N
N
N
Vonovia SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
1138.00000000
NS
53042.62000000
0.023435209975
Long
EC
CORP
DE
N
2
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAB0
11265.44000000
PA
USD
11261.37000000
0.004975481425
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
2.55700000
N
N
N
N
N
N
Mid-America Apartment Communities Inc
549300FQZKFR5YNSHZ21
Mid-America Apartment Communities Inc
59522J103
2189.00000000
NS
USD
458486.05000000
0.202567611712
Long
EC
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-2114.79000000
-0.00093435331
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
43409.27000000
USD
5025000.00000000
JPY
2022-04-28
-2114.79000000
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320102
636.00000000
NS
USD
75156.12000000
0.033205363029
Long
EC
CORP
US
N
1
N
N
N
Alcoa Corp
549300T12EZ1F6PWWU29
Alcoa Corp
013872106
1340.00000000
NS
USD
120640.20000000
0.053301070317
Long
EC
CORP
US
N
1
N
N
N
ArcelorMittal SA
2EULGUTUI56JI9SAL165
ArcelorMittal SA
000000000
11238.00000000
NS
359999.35000000
0.159054367188
Long
EC
CORP
LU
N
2
N
N
N
STAG Industrial Inc
549300QWYX2W6FASVQ07
STAG Industrial Inc
85254J102
2639.00000000
NS
USD
109122.65000000
0.048212403832
Long
EC
US
N
1
N
N
N
TIAA CLO Ltd
5493000Q4E256SBMCY29
TIAA CLO IV Ltd
88631YAA5
250000.00000000
PA
USD
249331.25000000
0.110159154979
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
1.48400000
N
N
N
N
N
N
Eurocommercial Properties NV
724500SFK53FPNM68L95
Eurocommercial Properties NV
000000000
1948.00000000
NS
53403.86000000
0.023594812484
Long
EC
NL
N
2
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: SS25Q14 IRS EUR R F .00000 IS25Q14 IRS R F-0.043 / Short: SS25Q14 IRS EUR P V 06MEURIB IS25Q25 IRS P V 06EURIB
000000000
550000.00000000
OU
Notional Amount
-162752.03000000
-0.07190685522
N/A
DIR
ER
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
N/A
N/A
Y
2050-11-10
0.00000000
EUR
0.00000000
EUR
550000.00000000
EUR
-162752.03000000
N
N
N
Invincible Investment Corp
353800JY6M2692VAV685
Invincible Investment Corp
000000000
158.00000000
NS
54532.41000000
0.024093426734
Long
EC
JP
N
2
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-5.92000000
-0.00000261556
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
576200.00000000
JPY
4729.18000000
USD
2022-04-28
-5.92000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: BS25Q58 IRS EUR R V 06MEURIB IS25Q69 CCPVANILLA / Short: BS25Q58 IRS EUR P F .02200 IS25Q58 CCPVANILLA
000000000
550000.00000000
OU
Notional Amount
152793.40000000
0.067506948408
N/A
DIR
US
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2050-11-10
5352.45000000
EUR
0.00000000
EUR
550000.00000000
EUR
146469.16000000
N
N
N
WW Grainger Inc
549300TWZSP6O1IH2V34
WW Grainger Inc
384802104
150.00000000
NS
USD
77368.50000000
0.034182833407
Long
EC
CORP
US
N
1
N
N
N
Sumitomo Chemical Co Ltd
353800RSAU9BD8U4DM91
Sumitomo Chemical Co Ltd
000000000
14000.00000000
NS
64103.39000000
0.028322062612
Long
EC
CORP
JP
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDY4
1183000.00000000
PA
USD
1136234.53000000
0.502009417925
Long
DBT
UST
US
N
2
2032-02-15
Fixed
1.87500000
N
N
N
N
N
N
Sartorius Stedim Biotech
52990006IVXY7GCSSR39
Sartorius Stedim Biotech
000000000
83.00000000
NS
33981.39000000
0.015013606226
Long
EC
CORP
FR
N
2
N
N
N
AB Discovery Value Fund
549300WKD6DWM5XTLS83
AB Discovery Value Fund
018914804
128184.07900000
NS
USD
3028989.79000000
1.338263678169
Long
EC
RF
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-178.66000000
-0.00007893529
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
185601.29000000
USD
167410.41000000
EUR
2022-05-12
-178.66000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-66.04000000
-0.00002917769
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
21248.96000000
USD
19125.18000000
EUR
2022-05-12
-66.04000000
N
N
N
T-Mobile US Inc
549300QHIJYOHPACPG31
T-Mobile US Inc
872590104
7128.00000000
NS
USD
914878.80000000
0.404210364792
Long
EC
CORP
US
N
1
N
N
N
Segro PLC
213800XC35KGM9NFC641
Segro PLC
000000000
6356.00000000
NS
111732.36000000
0.049365421949
Long
EC
GB
N
2
N
N
N
Mettler-Toledo International Inc
5493000BD5GJNUDIUG10
Mettler-Toledo International Inc
592688105
49.00000000
NS
USD
67286.31000000
0.029728335502
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
54930047IR7X5WWFY307
Freddie Mac Stacr Trust 2019-HQA1
35563MAH9
45606.97000000
PA
USD
45606.93000000
0.020149984689
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
2.80700000
N
N
N
N
N
N
IRISH TSY 0% 2031
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
168000.00000000
PA
169010.09000000
0.074671781805
Long
DBT
NUSS
IE
N
2
2031-10-18
None
0.00000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
7680000.00000000
PA
224493.12000000
0.099185210028
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
AMERICAN MEDICAL SYST EU
549300AA2JE6ZQ5D2493
American Medical Systems Europe BV
000000000
103000.00000000
PA
111581.67000000
0.049298844322
Long
DBT
CORP
NL
N
2
2028-03-08
Fixed
1.37500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-G1
36197QAC3
275691.00000000
PA
USD
273758.71000000
0.120951658333
Long
ABS-MBS
CORP
US
N
2
2031-04-10
Variable
3.55700000
N
N
N
N
N
N
Deckers Outdoor Corp
5493008LG4W3I6K8J118
Deckers Outdoor Corp
243537107
931.00000000
NS
USD
254879.87000000
0.112610637858
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-271.74000000
-0.00012005975
N/A
DFE
SG
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
46012.67000000
USD
62000.00000000
SGD
2022-04-21
-271.74000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
2180000.00000000
PA
353784.88000000
0.156308699472
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
Weyerhaeuser Co
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166104
1466.00000000
NS
USD
55561.40000000
0.024548053537
Long
EC
US
N
1
N
N
N
JAPAN FIN ORG MUNICIPAL
5493007YYYNZ4NMEOD64
Japan Finance Organization for Municipalities
000000000
297000.00000000
PA
312552.21000000
0.138091343706
Long
DBT
NUSS
JP
N
2
2027-02-12
Fixed
0.05000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
55617.00000000
PA
USD
54714.27000000
0.024173775844
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
1.74900000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
222.12000000
0.000098136721
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1243500.00000000
JPY
10440.96000000
USD
2022-04-28
222.12000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
222.93000000
0.000098494594
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
13374.15000000
USD
17000.00000000
CAD
2022-04-22
222.93000000
N
N
N
Rexford Industrial Realty Inc
549300MSLO0DF0EMX355
Rexford Industrial Realty Inc
76169C100
1461.00000000
NS
USD
108975.99000000
0.048147606733
Long
EC
US
N
1
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
000000000
200000.00000000
PA
USD
203250.00000000
0.089799606946
Long
DBT
CORP
MX
N
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
3670000.00000000
PA
568668.09000000
0.251248073629
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
Teck Resources Ltd
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742204
1960.00000000
NS
USD
79164.40000000
0.034976295223
Long
EC
CORP
CA
N
1
N
N
N
Fastighets AB Balder
549300GHKJCEZOAEUU82
Fastighets AB Balder
000000000
1140.00000000
NS
75057.70000000
0.033161879253
Long
EC
CORP
SE
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZT0
550000.00000000
PA
USD
512531.25000000
0.226445780063
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
AB Discovery Growth Fund Inc
549300I01DFK1EYZ2O55
AB Discovery Growth Fund Inc
018636803
215799.08300000
NS
USD
2598220.96000000
1.147942046588
Long
EC
RF
US
N
1
N
N
N
Dream Industrial Real Estate Investment Trust
549300QOI0TM3CBYUH79
Dream Industrial Real Estate Investment Trust
26153W109
5205.00000000
NS
67198.90000000
0.029689716148
Long
EC
CA
N
1
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DL6
200000.00000000
PA
USD
192537.50000000
0.085066626433
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
Mercialys SA
969500081CGAXB7YS433
Mercialys SA
000000000
2379.00000000
NS
23576.10000000
0.010416356769
Long
EC
FR
N
2
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-1014.81000000
-0.00044836181
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
3982976.63000000
BRL
828871.59000000
USD
2022-05-03
-1014.81000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QC5
200000.00000000
PA
USD
257937.50000000
0.113961555310
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LBA2
20000.00000000
PA
USD
19057.80000000
0.008420088311
Long
DBT
CORP
US
N
2
2027-02-14
Fixed
3.05000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
66350000.00000000
PA
478843.82000000
0.211562050799
Long
DBT
NUSS
JP
N
2
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
City Office REIT Inc
5493003J7157VP25NL57
City Office REIT Inc
178587101
3960.00000000
NS
USD
69933.60000000
0.030897957158
Long
EC
US
N
1
N
N
N
Equinix Inc
549300EVUN2BTLJ3GT74
Equinix Inc
29444U700
457.00000000
NS
USD
338920.34000000
0.149741270938
Long
EC
US
N
1
N
N
N
VIVION INVESTMENTS
529900SJ7X71ESJK9N76
Vivion Investments Sarl
000000000
100000.00000000
PA
106391.36000000
0.047005669424
Long
DBT
LU
N
2
2024-08-08
Fixed
3.00000000
N
N
N
N
N
N
Cooper Cos Inc/The
QJKMVPIGLH7530PCUE20
Cooper Cos Inc/The
216648402
119.00000000
NS
USD
49693.21000000
0.021955378725
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
17426.45000000
0.007699327726
N/A
DFE
MX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
817765.50000000
USD
16744402.84000000
MXN
2022-05-19
17426.45000000
N
N
N
Cousins Properties Inc
5493007XPYD5EJABN062
Cousins Properties Inc
222795502
2262.00000000
NS
USD
91135.98000000
0.040265560554
Long
EC
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z78
2455900.00000000
PA
USD
2350373.05000000
1.038438258639
Long
DBT
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
17000.00000000
PA
USD
16199.30000000
0.007157150173
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
GLOBO COMMUNICACOES PART
52990054HEKS017PVR75
Globo Comunicacao e Participacoes SA
37959DAB0
200000.00000000
PA
USD
176750.00000000
0.078091417111
Long
DBT
CORP
BR
N
2
2030-01-22
Fixed
4.87500000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
856000.00000000
PA
1112856.90000000
0.491680748871
Long
DBT
NUSS
GB
N
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1027.82000000
-0.00045410987
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
84000.00000000
EUR
92010.01000000
USD
2022-05-12
-1027.82000000
N
N
N
Equity LifeStyle Properties Inc
529900PEQG66LENB6798
Equity LifeStyle Properties Inc
29472R108
1020.00000000
NS
USD
78009.60000000
0.034466083237
Long
EC
US
N
1
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
246000.00000000
PA
410957.47000000
0.181568606533
Long
DBT
NUSS
DE
N
2
2042-07-04
Fixed
3.25000000
N
N
N
N
N
N
Whirlpool Corp
WHENKOULSSK7WUM60H03
Whirlpool Corp
963320106
57.00000000
NS
USD
9848.46000000
0.004351231670
Long
EC
CORP
US
N
1
N
N
Waters Corp
5T547R1474YC9HOD8Q74
Waters Corp
941848103
194.00000000
NS
USD
60215.66000000
0.026604391636
Long
EC
CORP
US
N
1
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457108
365.00000000
NS
USD
104525.05000000
0.046181099169
Long
EC
CORP
US
N
1
N
N
N
Bunge Ltd
5493007M0RIN8HY3MM77
Bunge Ltd
000000000
725.00000000
NS
USD
80337.25000000
0.035494482032
Long
EC
CORP
BM
N
1
N
N
N
ENBRIDGE ENERGY PARTNERS
CZ6VG2MNE1J6YDI02G48
Enbridge Energy Partners LP
29250RAX4
130000.00000000
PA
USD
180455.60000000
0.079728619686
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
7.37500000
N
N
N
N
N
N
iA Financial Corp Inc
549300ZXLJVHQAIXV215
iA Financial Corp Inc
45075E104
525.00000000
NS
31920.37000000
0.014103009493
Long
EC
CORP
CA
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GQ64
146879.99000000
PA
USD
20776.45000000
0.009179419649
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Floating
5.75100000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
563.00000000
NS
USD
76748.16000000
0.033908755728
Long
EC
CORP
US
N
1
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
946.00000000
NS
USD
3083912.70000000
1.362529635022
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B0CN4
261198.86000000
PA
USD
44102.12000000
0.019485131815
Long
ABS-MBS
USGSE
US
N
2
2047-12-25
Floating
5.74300000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
1710000.00000000
PA
277074.27000000
0.122416534027
Long
DBT
NUSS
CN
N
2
2028-11-22
Fixed
3.25000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
000000000
7992.00000000
NS
298394.32000000
0.131836126205
Long
EC
CORP
NO
N
2
N
N
N
Japan Prime Realty Investment Corp
353800NJOQJAY1ODEX72
Japan Prime Realty Investment Corp
000000000
12.00000000
NS
39281.46000000
0.017355275120
Long
EC
JP
N
2
N
N
N
PAYSAFE FIN PLC/PAYSAFE
N/A
Paysafe Finance PLC / Paysafe Holdings US Corp
000000000
135000.00000000
PA
134708.03000000
0.059516497646
Long
DBT
CORP
XX
N
2
2029-06-15
Fixed
3.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS171J4 CDS USD R F 3.00000 IS171J4 CMBX / Short: IS171J4 CDS USD P V 00MEVENT IS171K5 CMBX
000000000
8608.31000000
OU
Notional Amount
USD
-2096.27000000
-0.00092617083
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-468.26000000
USD
8608.31000000
USD
-1628.01000000
N
N
N
OLYMPUS WTR US HLDG CORP
549300YU2GGVCBN3MY89
Olympus Water US Holding Corp
000000000
150000.00000000
PA
151230.43000000
0.066816399372
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
3098.19000000
0.001368837610
N/A
DFE
TW
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
766380.41000000
USD
22025773.00000000
TWD
2022-04-29
3098.19000000
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
249000.00000000
PA
USD
237299.49000000
0.104843301011
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
Anglo American PLC
549300S9XF92D1X8ME43
Anglo American PLC
000000000
8565.00000000
NS
445057.26000000
0.196634524068
Long
EC
CORP
GB
N
2
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
11479.87000000
PA
USD
11479.86000000
0.005072014345
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.75700000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AQ8
28000.00000000
PA
USD
25669.00000000
0.011341038675
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
OFFICE PPTY INCOME TRST
N/A
Office Properties Income Trust
67623CAF6
179000.00000000
PA
USD
154253.25000000
0.068151937123
Long
DBT
US
N
2
2031-10-15
Fixed
3.45000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
12097.25000000
0.005344788659
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
734236.62000000
USD
14962925.39000000
MXN
2022-05-19
12097.25000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1D675 CDS USD R F 3.00000 IS1D675 CMBX-BBB--413180 / Short: IS1D675 CDS USD P V 00MEVENT IS1D686 CMBX-BBB--413180
000000000
74605.39000000
OU
Notional Amount
USD
-18167.66000000
-0.00802680800
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-9622.08000000
USD
74605.39000000
USD
-8545.58000000
N
N
N
Fair Isaac Corp
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250104
30.00000000
NS
USD
13993.80000000
0.006182719506
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZK3
47000.00000000
PA
USD
44982.29000000
0.019874007190
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.64000000
N
N
N
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
88000.00000000
PA
USD
79543.20000000
0.035143656065
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.87500000
N
N
N
N
N
N
IDEXX Laboratories Inc
OGMTXK0LUU1HKV2P0J84
IDEXX Laboratories Inc
45168D104
117.00000000
NS
USD
64006.02000000
0.028279042746
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2051.91000000
0.000906571766
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
160968.41000000
USD
147184.29000000
EUR
2022-05-12
2051.91000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NA5
9000.00000000
PA
USD
8286.57000000
0.003661159797
Long
DBT
CORP
US
N
2
2027-06-09
Fixed
1.46200000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
35000.00000000
PA
USD
35779.10000000
0.015807867733
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Park Hotels & Resorts Inc
5493005UZ5TQN0H6HS73
Park Hotels & Resorts Inc
700517105
4550.00000000
NS
USD
88861.50000000
0.039260653248
Long
EC
US
N
1
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-279604.17000000
-0.12353429061
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
6601653.38000000
AUD
4661810.35000000
USD
2022-04-28
-279604.17000000
N
N
N
Genpact Ltd
529900OSEC6Q0L4L5B35
Genpact Ltd
000000000
5489.00000000
NS
USD
238826.39000000
0.105517913655
Long
EC
CORP
BM
N
1
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
46000.00000000
PA
USD
48442.14000000
0.021402632874
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAG8
58000.00000000
PA
USD
57915.90000000
0.025588315158
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
10YR MINI JGB FUT JUN22
000000000
-2.00000000
NC
-1403.27000000
-0.00061999062
N/A
DIR
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX Mini Japan Government 10 Year Bond Future
BJM2 COMDTY
2022-06-10
-29811166.00000000
JPY
-1403.27000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAB5
168786.00000000
PA
USD
160965.39000000
0.071117484644
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
1.99900000
N
N
N
N
N
N
TERRAFORM GLOBAL OPERATI
549300LC7QMVR79H5O86
Terraform Global Operating LLC
88104UAC7
14000.00000000
PA
USD
13916.70000000
0.006148655301
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.12500000
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040H105
123.00000000
NS
USD
16148.67000000
0.007134780903
Long
EC
CORP
US
N
1
N
N
N
First Quantum Minerals Ltd
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934105
5146.00000000
NS
178153.73000000
0.078711610972
Long
EC
CORP
CA
N
1
N
N
Arrow Electronics Inc
549300YNNLBXT8N8R512
Arrow Electronics Inc
042735100
553.00000000
NS
USD
65602.39000000
0.028984348520
Long
EC
CORP
US
N
1
N
N
N
Investor AB
549300VEBQPHRZBKUX38
Investor AB
000000000
1325.00000000
NS
28789.91000000
0.012719914401
Long
EC
CORP
SE
N
2
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAT8
72000.00000000
PA
USD
73424.16000000
0.032440151086
Long
DBT
CORP
BM
N
2
2025-08-11
Fixed
5.25000000
N
N
N
N
N
N
Banco Bilbao Vizcaya Argentaria SA
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
4072.00000000
NS
23250.81000000
0.010272637634
Long
EC
CORP
ES
N
2
N
N
Kirin Holdings Co Ltd
353800GBVL72LLMTYM96
Kirin Holdings Co Ltd
000000000
1400.00000000
NS
20911.31000000
0.009239003290
Long
EC
CORP
JP
N
2
N
N
N
Eaton Corp PLC
549300VDIGTMXUNT7H71
Eaton Corp PLC
000000000
5939.00000000
NS
USD
901302.64000000
0.398212166357
Long
EC
CORP
IE
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
-178.48000000
-0.00007885576
N/A
DFE
CN
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
129082.86000000
USD
820918.00000000
CNY
2022-05-18
-178.48000000
N
N
N
RIMINI BIDCO SPA
815600E0EAFAEE1B3F69
Rimini Bidco SpA
000000000
115000.00000000
PA
112745.05000000
0.049812847110
Long
DBT
CORP
IT
N
2
2026-12-14
Floating
5.25000000
N
N
N
N
N
N
Voya Financial Inc
549300T065Z4KJ686G75
Voya Financial Inc
45685EAG1
153000.00000000
PA
USD
153810.90000000
0.067956498716
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.65000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-35069.24000000
-0.01549423846
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
2628204.58000000
CAD
2067043.59000000
USD
2022-04-22
-35069.24000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCB8
49191.89000000
PA
USD
51854.87000000
0.022910440070
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Floating
6.45700000
N
N
N
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
2960.00000000
NS
USD
296000.00000000
0.130778271371
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFS99
210722.94000000
PA
USD
216041.86000000
0.095451287144
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
8467.23000000
0.003740978725
N/A
DFE
IN
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
776538.49000000
USD
59534721.43000000
INR
2022-04-07
8467.23000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AD3
61000.00000000
PA
USD
61056.73000000
0.026975991908
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.50000000
N
N
N
N
N
N
2022-04-27
AB VARIABLE PRODUCTS SERIES FUND, INC.
Joseph Mantineo
Joseph Mantineo
Treasurer and Chief Financial Officer
XXXX