NPORT-P
false
0000835620
XXXXXXXX
S000002866
C000007882
C000038980
C000007879
C000162768
BlackRock Strategic Global Bond Fund, Inc.
811-05603
0000835620
WLNAPPG3EBO2UQ0EB806
100 BELLEVUE PARKWAY
WILMINGTON
19809
800-441-7762
BlackRock Strategic Global Bond Fund, Inc.
S000002866
WLNAPPG3EBO2UQ0EB806
2022-12-31
2022-03-31
N
996656970.76
147972187.72
848684783.04
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
75745148.92000000
0.00000000
0.00000000
76587697.70000000
CNY
EUR
GBP
JPY
MXN
USD
ZAR
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC
000000000
28.00000000
NC
USD
11620.00000000
0.001369177370
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
155.00000000
USD
2022-05-20
XXXX
-4122.42000000
N
N
N
EASTMAN CHEMICAL COMPANY
N/A
Eastman Chemical Company 2021 Term Loan B
000000000
102000.00000000
PA
USD
100852.50000000
0.011883387332
Long
LON
CORP
US
N
3
2028-11-01
Floating
6.00000000
N
N
N
N
N
N
Tele Columbus AG
3912004GMFDLY04RUQ19
Tele Columbus AG
000000000
150000.00000000
PA
153744.38000000
0.018115604647
Long
DBT
CORP
DE
N
2
2025-05-02
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.850000 27-MAY-2026
000000000
28080033.00000000
OU
Notional Amount
USD
1827408.96000000
0.215322460885
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-05-27
0.00000000
USD
-218.15000000
USD
28080033.00000000
USD
1827627.11000000
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAA3
526000.00000000
PA
USD
495755.00000000
0.058414503229
Long
DBT
CORP
KY
N
2
2026-11-29
Fixed
5.63000000
N
N
N
N
N
N
UPCB Finance VII Ltd
5493006V3WX8F38SQ991
UPCB Finance VII Ltd
000000000
100000.00000000
PA
108159.15000000
0.012744325356
Long
DBT
CORP
KY
N
2
2029-06-15
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJXW3
23270.37000000
PA
USD
23095.70000000
0.002721351962
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
REPSOL EUROPE FINANCE
222100TAWUOMRM7NNG09
Repsol Europe Finance Sarl
000000000
300000.00000000
PA
292668.55000000
0.034484953170
Long
DBT
CORP
LU
N
2
2033-07-06
Fixed
0.88000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087XG4
170000.00000000
PA
179650.76000000
0.021168137286
Long
DBT
NUSS
CA
N
2
2033-06-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HH6H3
3755.74000000
PA
USD
3959.86000000
0.000466587840
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
BNP Paribas SA
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-3866.07000000
-0.00045553662
N/A
DFE
MY
N
2
BNP Paribas SA
4PQUHN3JPFGFNF3BB653
550000.00000000
USD
2306425.00000000
MYR
2022-06-15
-3866.07000000
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAA7
34000.00000000
PA
USD
34598.40000000
0.004076707947
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
FRONTERA ENERGY CORP
A25574TZFLBNK7NWQT47
Frontera Energy Corp
35905BAC1
585000.00000000
PA
USD
547033.50000000
0.064456616983
Long
DBT
CORP
CA
N
2
2028-06-21
Fixed
7.88000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
46658.27000000
0.005497714926
N/A
DFE
RU
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
99969.00000000
USD
10946605.50000000
RUB
2022-05-25
46658.27000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-3424.93000000
-0.00040355737
N/A
DFE
GB
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
200000.00000000
EUR
166319.80000000
GBP
2022-06-15
-3424.93000000
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
744000.00000000
PA
USD
751440.00000000
0.088541707712
Long
DBT
CORP
AE
N
2
2025-03-20
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMP40
3439.95000000
PA
USD
3566.76000000
0.000420269111
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMY58
189672.06000000
PA
USD
176357.73000000
0.020780121609
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAS4
268000.00000000
PA
USD
286526.55000000
0.033761245131
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DW7
42000.00000000
PA
USD
36582.55000000
0.004310499107
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
2.65000000
N
N
N
N
N
N
Mortimer BTL
213800XP3NPPV83PMY32
Mortimer BTL 2021-1 PLC
000000000
100000.00000000
PA
129218.33000000
0.015225715434
Long
ABS-MBS
CORP
GB
N
2
2053-06-23
Floating
1.40000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBG5
547000.00000000
PA
USD
517262.45000000
0.060948712683
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.30000000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AM7
50000.00000000
PA
USD
44091.50000000
0.005195274014
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.63000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
29887.53000000
0.003521629066
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
811000.00000000
USD
16725253.00000000
MXN
2022-04-01
29887.53000000
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
LLOYDS BANKING GROUP PLC
000000000
143.00000000
NC
5447.70000000
0.000641899101
N/A
DE
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Call
Purchased
Lloyds Banking Group PLC
Lloyds Banking Group PLC
1000.00000000
0.50000000
GBP
2022-05-20
XXXX
1433.60000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYD5
40142.36000000
PA
USD
41995.67000000
0.004948323669
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-3326.50000000
-0.00039195942
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1729564.74000000
MXN
83630.00000000
USD
2022-04-01
-3326.50000000
N
N
N
NEMAK SAB DE CV
5493000MY3DAIB0BP706
Nemak SAB de CV
000000000
331000.00000000
PA
USD
285859.88000000
0.033682691820
Long
DBT
CORP
MX
N
2
2031-06-28
Fixed
3.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.270000 30-DEC-2050
000000000
6800000.00000000
OU
Notional Amount
USD
1494997.36000000
0.176154608857
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-12-30
0.00000000
USD
-189.27000000
USD
6800000.00000000
USD
1495186.63000000
N
N
N
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-7997.53000000
-0.00094234398
N/A
DFE
US
N
2
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
2629711.37000000
BRL
544341.00000000
USD
2022-04-04
-7997.53000000
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAN2
240000.00000000
PA
USD
223605.24000000
0.026347266319
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECG3
828002.83000000
PA
USD
773729.05000000
0.091168012607
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT JUN22
000000000
-2.00000000
NC
1381.11000000
0.000162735332
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 2 Year Euro SCHATZ Future
DUM2 COMDTY
2022-06-08
-222718.46000000
EUR
1381.11000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-27920.24000000
-0.00328982450
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
14139368.67000000
MXN
682958.02000000
USD
2022-04-01
-27920.24000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
320859.38000000
0.037806661131
N/A
DFE
RU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
520677.18000000
USD
62741600.00000000
RUB
2022-05-24
320859.38000000
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
000000000
100000.00000000
PA
111537.63000000
0.013142409552
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
6.50000000
N
N
N
N
N
N
Azul Investments LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAA6
282000.00000000
PA
USD
246979.13000000
0.029101397236
Long
DBT
CORP
US
N
2
2024-10-26
Fixed
5.88000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
30743000000.00000000
PA
2197228.16000000
0.258898027148
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT JUN22
000000000
1.00000000
NC
4672.94000000
0.000550609613
N/A
DE
GB
N
2
ICE Futures Europe - Financial Products Division
N/A
Long
FTSE 100 Index Future
Z M2 INDEX
2022-06-17
70916.02000000
GBP
4672.94000000
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CDJ7
90981.07000000
PA
USD
88299.29000000
0.010404250407
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
0.80000000
N
N
N
N
N
N
EQT Corp
4NT01YGM4X7ZX86ISY52
EQT Corp
26884L109
4116.00000000
NS
USD
141631.56000000
0.016688358602
Long
EC
CORP
US
N
1
N
N
N
LSF11 A5 Holdco LLC
254900FPK7P5WNA66Y10
LSF11 A5 Holdco LLC Term Loan
50216YAB6
202000.00000000
PA
USD
198919.50000000
0.023438560932
Long
LON
CORP
US
N
2
2028-10-15
Floating
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83C9
19830.27000000
PA
USD
20223.98000000
0.002382978981
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
200000.00000000
PA
USD
32000.00000000
0.003770540092
Long
DBT
CORP
KY
N
2
2024-02-08
Fixed
6.35000000
Y
Y
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX HIGH YIELD CORPO
000000000
-229.00000000
NC
USD
-5267.00000000
-0.00062060733
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
100.00000000
75.00000000
USD
2022-05-20
XXXX
5901.46000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDQ1
3989600.00000000
PA
USD
3769392.79000000
0.444145207422
Long
DBT
UST
US
N
2
2026-12-31
Fixed
1.25000000
N
N
N
N
N
N
Victoria's Secret & Co
5493006T3O70U3UWVF17
Victoria's Secret & Co
926400102
1786.00000000
NS
USD
91728.96000000
0.010808366290
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank N.A.
R0MUWSFPU8MPRO8K5P83
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
81182.85000000
0.009565724709
N/A
DFE
PL
N
2
JPMorgan Chase Bank N.A.
R0MUWSFPU8MPRO8K5P83
1770000.00000000
USD
7833263.68000000
PLN
2022-06-15
81182.85000000
N
N
N
State Street Bank & Trust Co.
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-16661.41000000
-0.00196320357
N/A
DFE
US
N
2
State Street Bank & Trust Co.
W22LROWP2IHZNBB6K528
1391284.97000000
BRL
269655.00000000
USD
2022-06-15
-16661.41000000
N
N
N
BAYER AG
549300J4U55H3WP1XT59
Bayer AG
000000000
500000.00000000
PA
506530.75000000
0.059684203148
Long
DBT
CORP
DE
N
2
2032-07-06
Fixed
1.38000000
N
N
N
N
N
N
Avoca CLO
5493000BN1WPGQDK4X78
Avoca CLO XXII DAC
000000000
100000.00000000
PA
106283.95000000
0.012523371706
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Floating
1.30000000
N
N
N
N
N
N
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
9033.84000000
0.001064451747
N/A
DFE
CO
N
2
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
779000.00000000
USD
2979675000.00000000
COP
2022-04-20
9033.84000000
N
N
N
SHINHAN FINANCIAL GROUP
988400EB8A6G49E5KO54
Shinhan Financial Group Co Ltd
000000000
200000.00000000
PA
USD
181500.00000000
0.021386032084
Long
DBT
CORP
KR
N
2
2026-05-12
Fixed
2.88000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040651
382000.00000000
PA
USD
388428.55000000
0.045768294396
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
4.00000000
N
N
N
N
N
N
MIP V Waste Holdings, LLC
N/A
MIP V Waste Holdings, LLC Term Loan B
000000000
118000.00000000
PA
USD
116525.00000000
0.013730068257
Long
LON
CORP
US
N
2
2028-12-08
Floating
3.75000000
N
N
N
N
N
N
Deutsche Bank AG
571474TGEMMWANRLN572
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-39048.02000000
-0.00460100390
N/A
DFE
US
N
2
Deutsche Bank AG
571474TGEMMWANRLN572
15321873.80000000
ZAR
1000000.00000000
USD
2022-06-15
-39048.02000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CG2
83000.00000000
PA
USD
83644.97000000
0.009855834777
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.510000 15-NOV-2030
000000000
1610000.00000000
OU
Notional Amount
-389110.11000000
-0.04584860218
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2030-11-15
65.69000000
GBP
0.00000000
GBP
1610000.00000000
GBP
-389197.55000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
460.00000000
NC
USD
-1582159.82000000
-0.18642490729
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
58047159.82000000
USD
-1582159.82000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
35409.50000000
0.004172279355
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
810000.00000000
USD
16815195.00000000
MXN
2022-04-01
35409.50000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VBE4
1200000.00000000
PA
USD
1200230.76000000
0.141422443760
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Fixed
3.90000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
NASDAQ 100 E-MINI JUN22
000000000
-19.00000000
NC
USD
-694017.02000000
-0.08177559370
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-Mini NASDAQ 100 Index Future
NQM2 INDEX
2022-06-17
-4956107.98000000
USD
-694017.02000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
142000.00000000
PA
USD
142908.13000000
0.016838776051
Long
DBT
CORP
US
N
2
2028-04-24
Fixed
3.71000000
N
N
N
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466L302
1289.00000000
NS
USD
273680.48000000
0.032247600695
Long
EC
CORP
US
N
1
N
N
N
Penn National Gaming Inc
N/A
Penn National Gaming Inc
707569109
3355.00000000
NS
USD
142319.10000000
0.016769371013
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJF94
674.48000000
PA
USD
657.63000000
0.000077488133
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Dynatrace Inc
N/A
Dynatrace Inc
268150109
4705.00000000
NS
USD
221605.50000000
0.026111638199
Long
EC
CORP
US
N
1
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-3326.50000000
-0.00039195942
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1729564.74000000
MXN
83630.00000000
USD
2022-04-01
-3326.50000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMYM1
673545.30000000
PA
USD
627835.77000000
0.073977498188
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
iShares JP Morgan USD Emerging Markets Bond ETF
54930070R8WH6MNUJG74
iShares JP Morgan USD Emerging Markets Bond ETF
464288281
17451.00000000
NS
USD
1706009.76000000
0.201018068674
Long
EC
RF
US
N
1
N
N
N
GALAXY BIDCO LTD
2138006O8YW3QCHKDY76
Galaxy Bidco Ltd
000000000
140000.00000000
PA
180692.50000000
0.021290884862
Long
DBT
CORP
JE
N
2
2026-07-31
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD71
13571.64000000
PA
USD
13877.74000000
0.001635205470
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM3L7
50394.02000000
PA
USD
49353.83000000
0.005815331084
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAD7
452000.00000000
PA
USD
417535.00000000
0.049197889292
Long
DBT
CORP
NL
N
2
2028-04-28
Fixed
2.63000000
N
N
N
N
N
N
Sonos Inc
549300WEPU6075I77M08
Sonos Inc
83570H108
7392.00000000
NS
USD
208602.24000000
0.024579472163
Long
EC
CORP
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-7963.00000000
-0.00093827533
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
780000.00000000
EUR
652754.70000000
GBP
2022-06-15
-7963.00000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
000000000
200000.00000000
PA
214353.59000000
0.025257150155
Long
DBT
CORP
FR
N
2
2026-01-15
Fixed
0.25000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
6641.52000000
0.000782566169
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
77341347.00000000
CNY
12140774.49000000
USD
2022-05-24
6641.52000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BCD6
13045.57000000
PA
USD
13167.02000000
0.001551461775
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUZV8
1313.01000000
PA
USD
1363.65000000
0.000160678031
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2021-A
03842VAA5
85061.50000000
PA
USD
81051.23000000
0.009550216007
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
1.54000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAQ3
200000.00000000
PA
USD
199725.00000000
0.023533472496
Long
DBT
CORP
XX
N
2
2025-04-30
Fixed
5.25000000
N
N
N
N
N
N
iShares Biotechnology ETF
549300S7IVD88MPK0066
iShares Biotechnology ETF
464287556
493.00000000
NS
USD
64237.90000000
0.007569111793
Long
EC
RF
US
N
1
N
N
N
Citibank N.A.
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-10115.67000000
-0.00119192310
N/A
DFE
US
N
2
Citibank N.A.
ES7IP3U3RHIGC71XBU11
958000.00000000
EUR
1050160.56000000
USD
2022-04-20
-10115.67000000
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
28000.00000000
0.003299222580
Long
DBT
CORP
KY
N
2
2025-05-27
Fixed
8.30000000
N
N
N
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
300000.00000000
PA
397142.11000000
0.046795007750
Long
DBT
CORP
NL
N
2
2038-11-16
Fixed
4.13000000
N
N
N
N
N
N
TAP ROCK RESOURCES LLC
549300Y3SDS1HPFQ6H17
Tap Rock Resources LLC
87602LAA0
392000.00000000
PA
USD
405767.04000000
0.047811277886
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
7.00000000
N
N
N
N
N
N
Rossini Sarl
549300EC5JCCW6F83R11
Rossini Sarl
000000000
200000.00000000
PA
226471.45000000
0.026684990060
Long
DBT
CORP
LU
N
2
2025-10-30
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2Y RTP 2.600000 15-FEB-2023
000000000
-49553356.00000000
NC
USD
-551858.88000000
-0.06502518850
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
49553356.00000000
OU
Notional Amount
N/A
-551858.88000000
-0.07000000
DIR
US
N/A
N/A
2025-02-17
0.00000000
N/A
0.00000000
N/A
49553356.00000000
USD
1.00000000
2.60000000
USD
2023-02-15
XXXX
-342539.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFWG2
138656.73000000
PA
USD
129168.66000000
0.015219862849
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307UV47
18264.97000000
PA
USD
18468.51000000
0.002176133043
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.445000 07-JAN-2051
000000000
6212088.00000000
OU
Notional Amount
USD
1134211.19000000
0.133643398899
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-09
0.00000000
USD
-187.44000000
USD
6212088.00000000
USD
1134398.63000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.990000 02-JUL-2031
000000000
5003000.00000000
OU
Notional Amount
USD
61880.23000000
0.007291309003
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-07-02
0.00000000
USD
-46.56000000
USD
5003000.00000000
USD
61926.79000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDC3
1922000.00000000
PA
USD
1907585.00000000
0.224769553799
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHXT4
34012.06000000
PA
USD
33812.00000000
0.003984046924
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME
54930043TEPI4UKGHU90
Tiaa Clo III Ltd
87272HAA8
400000.00000000
PA
USD
397826.72000000
0.046875674920
Long
ABS-CBDO
CORP
KY
N
2
2031-01-16
Floating
1.39000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQA9
929871.68000000
PA
USD
903097.50000000
0.106411416588
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
PICARD GROUPE SA
969500C0PA29TV19CT55
Picard Groupe SAS
000000000
100000.00000000
PA
107276.14000000
0.012640280837
Long
DBT
CORP
FR
N
2
2026-07-01
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9GP1
6025.87000000
PA
USD
6151.33000000
0.000724807387
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
HEUNGKUK LIFE INSURANCE
988400EEEB3WBUD4BW44
Heungkuk Life Insurance Co Ltd
000000000
200000.00000000
PA
USD
199037.50000000
0.023452464799
Long
DBT
CORP
KR
N
2
2022-11-09
Fixed
4.48000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL94
1613953.00000000
PA
USD
1547166.58000000
0.182301675594
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Tory Burch LLC
549300GGL74W33KY2650
Tory Burch LLC Term Loan B
89148GAF7
531375.00000000
PA
USD
515433.75000000
0.060733238099
Long
LON
CORP
US
N
2
2028-04-16
Floating
3.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
35409.50000000
0.004172279355
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
810000.00000000
USD
16815195.00000000
MXN
2022-04-01
35409.50000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
1234000.00000000
PA
USD
1280542.54000000
0.150885530834
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
TECHEM VERWALTUNGSGES
549300W2QKB8BC676O97
Techem Verwaltungsgesellschaft 674 mbH
000000000
87919.82000000
PA
97161.88000000
0.011448523873
Long
DBT
CORP
DE
N
2
2026-07-30
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F2C1
4225.46000000
PA
USD
4187.30000000
0.000493386953
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
POSTE ITALIANE SPA
815600354DEDBD0BA991
Poste Italiane SpA
000000000
100000.00000000
PA
96410.77000000
0.011360021049
Long
DBT
CORP
IT
N
2
2029-03-24
Fixed
2.63000000
N
N
N
N
N
N
BNP Paribas SA
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
1202.52000000
0.000141692183
N/A
DFE
XX
N
2
BNP Paribas SA
W22LROWP2IHZNBB6K528
412957.30000000
GBP
490000.00000000
EUR
2022-06-15
1202.52000000
N
N
N
MAF GLOBAL SECURITIES
54930037VUDNYTS17017
MAF Global Securities Ltd
000000000
862000.00000000
PA
USD
855966.00000000
0.100857941264
Long
DBT
CORP
KY
N
2
2022-09-07
Fixed
5.50000000
N
N
N
N
N
N
MELCO RESORTS FINANCE
N/A
Melco Resorts Finance Ltd
000000000
200000.00000000
PA
USD
180000.00000000
0.021209288018
Long
DBT
CORP
KY
N
2
2026-04-26
Fixed
5.25000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045V100
5886.00000000
NS
USD
257453.64000000
0.030335602233
Long
EC
CORP
US
N
1
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAL6
400000.00000000
PA
USD
378489.44000000
0.044597175248
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBA1
875000.00000000
PA
USD
818856.12000000
0.096485307191
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.45000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CH0
199000.00000000
PA
USD
181348.70000000
0.021368204499
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.55000000
N
N
N
N
N
N
QUALCOMM INC
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525BK8
1185000.00000000
PA
USD
1102095.09000000
0.129859178816
Long
DBT
CORP
US
N
2
2030-05-20
Fixed
2.15000000
N
N
N
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
958102105
3974.00000000
NS
USD
197309.10000000
0.023248808502
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
1150000.00000000
OU
Notional Amount
USD
133.29000000
0.000015705477
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2027-06-22
0.00000000
USD
-1649.98000000
USD
1150000.00000000
USD
1783.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WC7G2
6014.05000000
PA
USD
6076.64000000
0.000716006710
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC25
17322YAH3
1200000.00000000
PA
USD
1193515.68000000
0.140631210061
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
4.51000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION MAR23 0.6 CALL
000000000
-123604533.00000000
NC
USD
-30563.69000000
-0.00360130057
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
123604533.00000000
OU
Notional Amount
N/A
-30563.69000000
0.00000000
DIR
US
N/A
N/A
2024-03-20
0.00000000
N/A
0.00000000
N/A
123604533.00000000
USD
1.00000000
0.60000000
USD
2023-03-16
XXXX
204284.92000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CET7
3542.75000000
PA
USD
3454.29000000
0.000407016841
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.00000000
N
N
N
N
N
N
METALSA SA DE CV
549300F2FONGJR575V67
Metalsa S A P I De Cv
000000000
331000.00000000
PA
USD
285073.75000000
0.033590062611
Long
DBT
CORP
MX
N
2
2031-05-04
Fixed
3.75000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2018-TAN
12528DAL3
1000000.00000000
PA
USD
998527.70000000
0.117655897684
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Variable
6.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307U5V6
14374.67000000
PA
USD
14531.60000000
0.001712249387
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
iShares MSCI Emerging Markets ETF
549300BPYHDEDI59G670
iShares MSCI Emerging Markets ETF
464287234
13148.00000000
NS
USD
593632.20000000
0.069947312814
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
2000000.00000000
OU
Notional Amount
USD
-203016.98000000
-0.02392136445
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-223730.74000000
USD
2000000.00000000
USD
20713.76000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
1700000.00000000
PA
USD
1712678.60000000
0.201803853942
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWP: OIS 11.325000 04-JAN-2027
000000000
36000000.00000000
OU
Notional Amount
115587.35000000
0.013619585541
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
36000000.00000000
BRL
115587.35000000
N
N
N
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
PURCHASED NOK / SOLD CAD
000000000
1.00000000
NC
N/A
-19536.58000000
-0.00230198306
N/A
DFE
NO
N
2
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
1854366.00000000
CAD
12890660.48000000
NOK
2022-06-15
-19536.58000000
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAB1
335000.00000000
PA
USD
312387.50000000
0.036808424781
Long
DBT
CORP
KY
N
2
2028-11-29
Fixed
6.25000000
N
N
N
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457BX5
100000.00000000
PA
105094.83000000
0.012383258437
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
1.70000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.480000 28-JAN-2051
000000000
7179169.00000000
OU
Notional Amount
USD
1260039.26000000
0.148469642107
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-30
0.00000000
USD
-217.00000000
USD
7179169.00000000
USD
1260256.26000000
N
N
N
Largo Inc
549300DNLDBZOCZKIM08
Largo Inc
517097101
1012.00000000
NS
12814.43000000
0.001509916314
Long
EC
CORP
CA
N
1
N
N
N
Medical Solutions Holdings, Inc.
549300JH2XHZ7TIKYR39
Medical Solutions Holdings, Inc. 2021 2nd Lien Term Loan
000000000
74000.00000000
PA
USD
71040.00000000
0.008370599004
Long
LON
CORP
US
N
2
2029-11-01
Floating
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUZX4
1110.70000000
PA
USD
1145.83000000
0.000135012436
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD P RUB C @72.00000 EO
000000000
-1702000.00000000
OU
Notional Amount
USD
-22903.81000000
-0.00269874168
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-22903.81000000
0.00000000
DFE
XX
-1702000.00000000
USD
-122544000.00000000
EUR
2022-04-08
1.00000000
72.00000000
USD
2022-04-08
XXXX
-14676.34000000
N
N
N
New Jersey Health Care Facilities Financing Authority
N/A
NEW JERSEY ST HLTH CARE FACS FING AUTH REVENUE
645790PE0
95000.00000000
PA
USD
84672.27000000
0.009976880897
Long
DBT
MUN
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
1183.77000000
0.000139482882
N/A
DFE
TR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
22000.00000000
USD
360248.02000000
TRY
2022-06-15
1183.77000000
N
N
N
LoanCore 2021-CRE5 Issuer, Ltd
N/A
LoanCore 2021-CRE5 Issuer Ltd
53947XAA0
160000.00000000
PA
USD
158387.12000000
0.018662655813
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
1.70000000
N
N
N
N
N
N
GRUPO AVAL LTD
549300J4FW1ELLQ80113
Grupo Aval Ltd
40053FAC2
1344000.00000000
PA
USD
1163877.12000000
0.137138916975
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.38000000
N
N
N
N
N
N
HEIMSTADEN BOSTA
549300TJR3PR8EXILG79
Heimstaden Bostad AB
000000000
100000.00000000
PA
92633.37000000
0.010914932357
Long
DBT
CORP
SE
N
2
2027-10-29
Fixed
3.00000000
N
N
N
N
N
N
DIC ASSET AG
52990044JL2ZPWONU738
DIC Asset AG
000000000
100000.00000000
PA
96796.85000000
0.011405512616
Long
DBT
CORP
DE
N
2
2026-09-22
Fixed
2.25000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
568000.00000000
PA
USD
584407.25000000
0.068860342694
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-383945.61000000
-0.04524007236
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
150763006.99000000
ZAR
9840000.00000000
USD
2022-06-15
-383945.61000000
N
N
N
STEM INC
549300GVWIYFILN5V546
Stem Inc
85859NAA0
27000.00000000
PA
USD
20025.90000000
0.002359639338
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.50000000
N
N
N
N
Y
Stem Inc
Stem Inc
USD
XXXX
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
240000.00000000
PA
255543.69000000
0.030110554013
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BTGM8
39350.58000000
PA
USD
40757.39000000
0.004802417907
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AP2
368100.00000000
PA
USD
376336.24000000
0.044343465032
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
6.63000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
100000.00000000
PA
16172.71000000
0.001905620357
Long
DBT
NUSS
CN
N
2
2028-11-22
Fixed
3.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2457.58000000
-0.00028957512
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
R0MUWSFPU8MPRO8K5P83
210000.00000000
EUR
230482.35000000
USD
2022-06-15
-2457.58000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-5667.59000000
-0.00066780860
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
6744380.40000000
DKK
1000000.00000000
USD
2022-06-15
-5667.59000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERM49
5676.24000000
PA
USD
5735.44000000
0.000675803327
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
3.00000000
N
N
N
N
N
N
Westpac Banking Corp.
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
499.84000000
0.000058895836
N/A
DFE
TR
N
2
Westpac Banking Corp.
G5GSEF7VJP5I7OUK5573
16531.74000000
USD
263140.33000000
TRY
2022-06-08
499.84000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHNX6
12818.45000000
PA
USD
12703.10000000
0.001496798370
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5941.25000000
0.000700053791
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1449000.00000000
EUR
1608897.15000000
USD
2022-04-01
5941.25000000
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAG5
65000.00000000
PA
USD
59020.65000000
0.006954366471
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
549300PC4RPZFE70AI24
CIFC Funding 2013-I Ltd
12549AAN0
1000000.00000000
PA
USD
995894.60000000
0.117345641149
Long
ABS-CBDO
CORP
KY
N
2
2030-07-16
Floating
1.99000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.887500 10-FEB-2051
000000000
3789155.00000000
OU
Notional Amount
USD
1153583.97000000
0.135926081514
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-10
0.00000000
USD
-114.89000000
USD
3789155.00000000
USD
1153698.86000000
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAC4
320000.00000000
PA
USD
280000.00000000
0.032992225805
Long
DBT
CORP
LU
N
2
2028-01-22
Fixed
4.70000000
N
N
N
N
N
N
Foundation Finance Trust
54930021B3TF4B4HKE86
Foundation Finance Trust 2021-2
35042PAA8
272800.73000000
PA
USD
262612.14000000
0.030943425079
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
2.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6D20
39666.84000000
PA
USD
42218.49000000
0.004974578411
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
OP CORPORATE BANK PLC
549300NQ588N7RWKBP98
OP Corporate Bank plc
000000000
130000.00000000
PA
137418.57000000
0.016191944611
Long
DBT
CORP
FI
N
2
2027-01-18
Fixed
0.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
4561600.00000000
PA
USD
3953624.25000000
0.465853085740
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-20069.28000000
-0.00236475077
N/A
DFE
US
N
2
State Street Bank & Trust Co.
BFM8T61CT2L1QCEMIK50
12422160.00000000
TRY
810000.00000000
USD
2022-04-29
-20069.28000000
N
N
N
Societe Generale SA
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-1473.39000000
-0.00017360862
N/A
DFE
GB
N
2
Societe Generale SA
571474TGEMMWANRLN572
264694.11000000
USD
200431.70000000
GBP
2022-06-15
-1473.39000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31307PUJ6
54941.94000000
PA
USD
54471.29000000
0.006418318212
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
235000.00000000
PA
USD
247410.67000000
0.029152245326
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
BARCLAYS PLC
000000000
-148.00000000
NC
-9234.96000000
-0.00108814959
N/A
DE
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Call
Written
Barclays PLC
Barclays PLC
1000.00000000
2.30000000
GBP
2022-04-14
XXXX
-5497.85000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83370RAA6
200000.00000000
PA
USD
186512.00000000
0.021976592926
Long
DBT
CORP
FR
N
2
2030-11-18
Fixed
5.38000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2020-1
92259LAL2
89935.96000000
PA
USD
84296.63000000
0.009932619470
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.19000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAA1
119630.00000000
PA
USD
118792.59000000
0.013997256976
Long
DBT
CORP
XX
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BRY0G0W75 BLACKROCK
000000000
-2630000.00000000
OU
Notional Amount
USD
-12166.38000000
-0.00143355698
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
-12166.38000000
0.00000000
DFE
US
-2630000.00000000
CHF
-294560000.00000000
USD
2022-09-21
1.00000000
112.00000000
USD
2022-09-21
XXXX
36.82000000
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAU9
655000.00000000
PA
USD
665681.81000000
0.078436873536
Long
DBT
CORP
GB
N
2
2028-01-10
Fixed
4.34000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
000000000
100000.00000000
PA
105370.29000000
0.012415715717
Long
DBT
CORP
LU
N
2
2025-01-15
Fixed
2.25000000
N
N
N
N
N
N
HSBC Bank USA N.A.
RR3QWICWWIPCS8A4S074
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
2019.09000000
0.000237908118
N/A
DFE
CH
N
2
HSBC Bank USA N.A.
RR3QWICWWIPCS8A4S074
600000.00000000
USD
554636.40000000
CHF
2022-06-15
2019.09000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.443000 26-NOV-2031
000000000
3889316.00000000
OU
Notional Amount
USD
308465.57000000
0.036346306209
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-26
0.00000000
USD
-60.25000000
USD
3889316.00000000
USD
308525.82000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
INVESCO QQQ TRUST SERIES 1
000000000
-114.00000000
NC
USD
-22515.00000000
-0.00265292844
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Invesco QQQ Trust Series 1
Invesco QQQ Trust Series 1
100.00000000
375.00000000
USD
2022-04-14
XXXX
-10035.56000000
N
N
N
THETA CAPITAL PTE LTD
2549003I5QVCGQHCYJ52
Theta Capital Pte Ltd
000000000
200000.00000000
PA
USD
201000.00000000
0.023683704953
Long
DBT
CORP
SG
N
2
2025-01-22
Fixed
8.13000000
N
N
N
N
N
N
FRAPORT AG
5299001ERX0K10IZUL40
Fraport AG Frankfurt Airport Services Worldwide
000000000
115000.00000000
PA
122543.43000000
0.014439216119
Long
DBT
CORP
DE
N
2
2028-03-31
Fixed
1.88000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
855000.00000000
PA
956308.36000000
0.112681219118
Long
DBT
NUSS
BE
N
2
2028-06-22
Fixed
0.80000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.570700 27-AUG-2024
000000000
8208901.00000000
OU
Notional Amount
USD
381266.70000000
0.044924418066
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-27
0.00000000
USD
-50.36000000
USD
8208901.00000000
USD
381317.06000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FZ22
2819.66000000
PA
USD
2903.92000000
0.000342167087
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAC6
110000.00000000
PA
USD
107112.50000000
0.012620999237
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBJ8
728663.96000000
PA
USD
680903.40000000
0.080230424016
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
AIRBUS SE
MINO79WLOO247M1IL051
Airbus SE
000000000
290000.00000000
PA
326413.17000000
0.038461060752
Long
DBT
CORP
NL
N
2
2040-06-09
Fixed
2.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
PURCHASED AUD / SOLD JPY
000000000
1.00000000
NC
N/A
97465.11000000
0.011484253276
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
161131590.00000000
JPY
1900000.00000000
AUD
2022-06-15
97465.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83D7
4407.20000000
PA
USD
4491.98000000
0.000529287208
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
213800ZRKYXK2SHQOW75
VIRGIN MEDIA BRISTOL LLC 2020 EUR TERM LOAN R
000000000
0.00000000
PA
0.00000000
0.000000
Long
LON
CORP
GB
N
2
2029-01-31
Floating
3.25000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 53 CLO Ltd
26243EAA9
600000.00000000
PA
USD
596723.70000000
0.070311582335
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWL8
45459.82000000
PA
USD
46106.25000000
0.005432670753
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2021-A
76042UAC7
100000.00000000
PA
USD
94080.61000000
0.011085459746
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
3.53000000
N
N
N
N
N
N
BNP Paribas SA
571474TGEMMWANRLN572
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-24408.75000000
-0.00287606782
N/A
DFE
US
N
2
BNP Paribas SA
571474TGEMMWANRLN572
4000000.00000000
PLN
920884.51000000
USD
2022-06-15
-24408.75000000
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN Resources SA
12644VAE8
617000.00000000
PA
USD
597675.56000000
0.070423739407
Long
DBT
CORP
LU
N
2
2032-04-08
Fixed
5.88000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/JPY One-touch barrier option; Barrier price USD 105.00000
000000000
170000.00000000
OU
Notional Amount
USD
10155.29000000
0.001196591502
N/A
DFE
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
USD/JPY One-touch barrier option; Barrier price USD 105.00000
N/A
1.00000000
NC
USD
10155.29000000
0.00000000
DFE
US
17850000.00000000
JPY
170000.00000000
USD
2023-03-28
1.00000000
105.00000000
USD
2023-03-28
XXXX
-44.71000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A04K7
69320.93000000
PA
USD
69923.55000000
0.008239048395
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VMF4
54543.48000000
PA
USD
55801.93000000
0.006575106696
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FSWP: CNY 2.427000 15-JUN-2027
000000000
6505000.00000000
OU
Notional Amount
1602.56000000
0.000188828647
N/A
DIR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
N/A
N/A
Y
2027-06-15
0.00000000
CNY
0.00000000
CNY
6505000.00000000
CNY
1602.56000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
17999.37000000
PA
USD
18638.79000000
0.002196197030
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
68000.00000000
PA
USD
59446.63000000
0.007004559429
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.080000 18-MAR-2024
000000000
107839831.00000000
OU
Notional Amount
USD
-2381630.49000000
-0.28062603897
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-18
468.13000000
USD
0.00000000
USD
107839831.00000000
USD
-2382098.62000000
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
260000.00000000
PA
253610.41000000
0.029882756833
Long
DBT
CORP
NL
N
2
2035-06-16
Fixed
0.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGL5
56081.87000000
PA
USD
57074.65000000
0.006725070502
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XY5S9
47877.73000000
PA
USD
48880.72000000
0.005759584827
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAD7
745000.00000000
PA
USD
694712.50000000
0.081857541678
Long
DBT
CORP
US
N
2
2031-03-18
Fixed
5.50000000
N
N
N
N
N
N
SISAL SPA MILANO
815600B11BCB2AFDE431
Sisal SpA/Milano
000000000
68750.00000000
PA
76072.92000000
0.008963624836
Long
DBT
CORP
IT
N
2
2023-07-31
Fixed
7.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
164000.00000000
PA
USD
170257.36000000
0.020061318807
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) JUN22
000000000
5.00000000
NC
-37798.96000000
-0.00445382794
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
TSE Japanese 10 Year Bond Futures
JBM2 COMDTY
2022-06-13
753101645.00000000
JPY
-37798.96000000
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBH3
528000.00000000
PA
USD
467733.83000000
0.055112786201
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.88000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBH8
1050000.00000000
PA
USD
1012270.76000000
0.119275233894
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
2.01000000
N
N
N
N
N
N
AGILE GROUP HOLDINGS LTD
549300ZRISRT38EEYY07
Agile Group Holdings Ltd
000000000
200000.00000000
PA
USD
66000.00000000
0.007776738939
Long
DBT
CORP
KY
N
2
2025-01-02
Fixed
5.75000000
N
N
N
N
N
N
TRATON FINANCE LUX SA
529900BRKIE6LKIEXD84
Traton Finance Luxembourg SA
000000000
400000.00000000
PA
429643.51000000
0.050624627492
Long
DBT
CORP
LU
N
2
2024-11-10
Fixed
0.13000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BRY0869Z5 BLACKROCK
000000000
-2730000.00000000
NC
-31716.11000000
-0.00373708951
N/A
DIR
NO
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2730000.00000000
OU
Notional Amount
N/A
-31716.11000000
0.00000000
DIR
NO
N/A
N/A
2032-09-20
0.00000000
N/A
0.00000000
N/A
2730000.00000000
EUR
1.00000000
1.66000000
EUR
2022-09-16
XXXX
-10014.69000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020653
5400000.00000000
PA
USD
5002628.63000000
0.589456619226
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
2.00000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XIX Ltd
87165YAC7
500000.00000000
PA
USD
494556.65000000
0.058273302394
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H6PA1
187202.28000000
PA
USD
189165.86000000
0.022289295599
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
STONEGATE PUB FIN
254900L5266ML3505282
Stonegate Pub Co Financing 2019 PLC
000000000
100000.00000000
PA
133374.84000000
0.015715474421
Long
DBT
CORP
GB
N
2
2025-07-13
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
30Y RTR 1.500000 14-APR-2022
000000000
18727924.00000000
NC
USD
34.27000000
0.000004038012
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
18727924.00000000
OU
Notional Amount
N/A
34.27000000
0.00000000
DIR
US
N/A
N/A
2052-04-18
0.00000000
N/A
0.00000000
N/A
18727924.00000000
USD
1.00000000
1.50000000
USD
2022-04-14
XXXX
-353361.73000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040657
400000.00000000
PA
USD
406328.12000000
0.047877389593
Long
ABS-MBS
USGA
US
N
2
2052-05-19
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.345000 15-MAY-2030
000000000
190000.00000000
OU
Notional Amount
-46016.14000000
-0.00542205314
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2030-05-15
7.75000000
GBP
0.00000000
GBP
190000.00000000
GBP
-46025.62000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MK4
200000.00000000
PA
USD
191500.00000000
0.022564325863
Long
DBT
CORP
US
N
2
2025-01-30
Fixed
4.70000000
N
N
N
N
N
N
DAIMLER TRUCKS FINAN NA
5493003HSDTSCZRXBA58
Daimler Trucks Finance North America LLC
233853AF7
355000.00000000
PA
USD
330669.81000000
0.038962617995
Long
DBT
CORP
US
N
2
2026-12-14
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGKB2
105043.74000000
PA
USD
106406.93000000
0.012537862363
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
ENGIE SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
100000.00000000
PA
102884.55000000
0.012122822519
Long
DBT
CORP
FR
N
2
2027-03-04
None
0.00000000
N
N
N
N
N
N
HEIMSTADEN BOSTAD AB
549300TJR3PR8EXILG79
Heimstaden Bostad AB
000000000
100000.00000000
PA
100693.07000000
0.011864601794
Long
DBT
CORP
SE
N
2
2026-01-15
Fixed
3.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
9033.84000000
0.001064451747
N/A
DFE
CO
N
2
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
779000.00000000
USD
2979675000.00000000
COP
2022-04-20
9033.84000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.850000 15-JUL-2031
000000000
390000.00000000
OU
Notional Amount
-71946.10000000
-0.00847736420
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2031-07-15
8.11000000
GBP
0.00000000
GBP
390000.00000000
GBP
-71957.43000000
N
N
N
GOL FINANCE SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAA6
440000.00000000
PA
USD
360250.00000000
0.042448033380
Long
DBT
CORP
LU
N
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AS6
225000.00000000
PA
USD
217068.75000000
0.025577075769
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EEHB8
505.37000000
PA
USD
515.45000000
0.000060735152
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BYFD8
44609.53000000
PA
USD
46200.19000000
0.005443739645
Long
ABS-MBS
USGA
US
N
2
2047-12-15
Fixed
4.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
1400000.00000000
PA
224036.57000000
0.026398089664
Long
DBT
NUSS
CN
N
2
2024-04-11
Fixed
3.19000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
EUR P SEK C @10.50000 EO
000000000
1932000.00000000
OU
Notional Amount
30601.50000000
0.003605755707
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
30601.50000000
0.00000000
DFE
CN
20286000.00000000
USD
1932000.00000000
CNY
2022-04-28
1.00000000
10.50000000
EUR
2022-04-28
XXXX
12969.55000000
N
N
N
United Rentals Inc
5323X5O7RN0NKFCDRY08
United Rentals Inc
911363109
703.00000000
NS
USD
249712.63000000
0.029423483841
Long
EC
CORP
US
N
1
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
000000000
475000.00000000
PA
USD
429281.25000000
0.050581942622
Long
DBT
CORP
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2841.54000000
-0.00033481689
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2280000.00000000
CNY
354461.08000000
USD
2022-06-15
-2841.54000000
N
N
N
Medline Borrower, LP
N/A
Medline Borrower, LP USD Term Loan B
58503UAC7
516000.00000000
PA
USD
510582.00000000
0.060161559415
Long
LON
CORP
US
N
2
2028-10-23
Floating
3.75000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-C
68377WAB7
305000.00000000
PA
USD
287936.13000000
0.033927335066
Long
ABS-O
CORP
US
N
2
2031-10-08
Fixed
2.67000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST
000000000
85.00000000
NC
USD
56610.00000000
0.006670321081
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
455.00000000
USD
2022-04-14
XXXX
8987.92000000
N
N
N
HIGHLAND HOLDINGS SARL
549300WGY8GPJM4PQR36
Highland Holdings Sarl
000000000
420000.00000000
PA
437626.47000000
0.051565254702
Long
DBT
CORP
LU
N
2
2026-12-15
Fixed
0.32000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
671000.00000000
PA
USD
583770.00000000
0.068785255923
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300MP4QPQUMB6AD63
Anchorage Capital CLO 4-R Ltd
03328LAA0
400000.00000000
PA
USD
397357.40000000
0.046820375237
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.33000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AW6
150000.00000000
PA
USD
124066.50000000
0.014618678510
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
2.40000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEVON ENERGY CORP
000000000
-19.00000000
NC
USD
-266.00000000
-0.00003134261
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Devon Energy Corp
Devon Energy Corp
100.00000000
70.00000000
USD
2022-04-14
XXXX
2028.63000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
140000.00000000
PA
USD
131371.30000000
0.015479398550
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.70000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CG7
138000.00000000
PA
USD
111595.39000000
0.013149215377
Long
DBT
CORP
US
N
2
2062-06-30
Fixed
3.95000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-D
64034YAC5
450000.00000000
PA
USD
420777.14000000
0.049579908631
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.90000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAG2
100000.00000000
PA
USD
87283.37000000
0.010284545186
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.48000000
N
N
N
N
N
N
DTE ELECTRIC CO
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAR7
511000.00000000
PA
USD
516509.16000000
0.060859952991
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBNR7
2623596.24000000
PA
USD
2630564.38000000
0.309957764363
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America N.A.
4PQUHN3JPFGFNF3BB653
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-5974.15000000
-0.00070393037
N/A
DFE
XX
N
2
Bank of America N.A.
4PQUHN3JPFGFNF3BB653
2411482.00000000
USD
15349895.60000000
CNY
2022-06-15
-5974.15000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DYNATRACE INC
000000000
27.00000000
NC
USD
4320.00000000
0.000509022912
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Dynatrace Inc
Dynatrace Inc
100.00000000
55.00000000
USD
2022-05-20
XXXX
-4593.45000000
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
600000.00000000
PA
744106.07000000
0.087677555303
Long
DBT
CORP
IT
N
2
2029-01-29
Fixed
3.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.553490 21-MAR-2025
000000000
9710000.00000000
OU
Notional Amount
99246.29000000
0.011694128607
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-21
4759.07000000
EUR
0.00000000
EUR
9710000.00000000
EUR
93964.91000000
N
N
N
Kingdom of Denmark
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
450000.00000000
PA
106096.56000000
0.012501291659
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHPB2
10961.74000000
PA
USD
10863.07000000
0.001279988779
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
ING Bank NV
3TK20IVIUJ8J3ZU0QE75
ING Bank NV
000000000
500000.00000000
PA
553151.43000000
0.065177488869
Long
DBT
CORP
NL
N
2
2022-04-08
Floating
0.00000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
190000.00000000
PA
222290.05000000
0.026192298299
Long
DBT
NUSS
FR
N
2
2031-05-25
Fixed
1.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDG3
133000.00000000
PA
USD
134735.42000000
0.015875790716
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BBM0
900000.00000000
PA
USD
866193.75000000
0.102063070684
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
3.40000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833ED8
2455000.00000000
PA
USD
2209361.29000000
0.260327666308
Long
DBT
CORP
US
N
2
2031-02-08
Fixed
1.65000000
N
N
N
N
N
N
KOOKMIN BANK
549300XXMOJSIW8P4769
Kookmin Bank
000000000
200000.00000000
PA
USD
200412.50000000
0.023614480193
Long
DBT
CORP
KR
N
2
2024-07-02
Fixed
4.35000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
000000000
100000.00000000
PA
105536.67000000
0.012435320169
Long
DBT
CORP
US
N
2
2026-02-26
Fixed
0.85000000
N
N
N
N
N
N
UPJOHN FINANCE BV
254900OG32E8F3XO5O83
Upjohn Finance BV
000000000
105000.00000000
PA
110388.37000000
0.013006992962
Long
DBT
CORP
NL
N
2
2027-06-23
Fixed
1.36000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWP: OIS 11.470000 02-JAN-2024
000000000
19295853.00000000
OU
Notional Amount
-34334.66000000
-0.00404563162
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
19295853.00000000
BRL
-34334.66000000
N
N
N
UPJOHN FINANCE BV
254900OG32E8F3XO5O83
Upjohn Finance BV
000000000
390000.00000000
PA
428335.37000000
0.050470490170
Long
DBT
CORP
NL
N
2
2024-06-23
Fixed
1.02000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
1884000.00000000
PA
USD
1980084.00000000
0.233312065865
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
6.88000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
100000.00000000
PA
114456.36000000
0.013486321692
Long
DBT
CORP
US
N
2
2024-06-19
Fixed
2.38000000
N
N
N
N
N
N
VOLKSWAGEN LEASING GMBH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
40000.00000000
PA
39596.22000000
0.004665597968
Long
DBT
CORP
DE
N
2
2029-07-19
Fixed
0.63000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
200000.00000000
PA
226228.08000000
0.026656313924
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
5.88000000
N
N
N
N
N
N
Heathrow Finance PLC
549300F740QSGMPHQJ60
Heathrow Finance PLC
000000000
100000.00000000
PA
120363.15000000
0.014182315083
Long
DBT
CORP
GB
N
2
2027-03-01
Variable
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFFP1
204484.10000000
PA
USD
190478.17000000
0.022443924270
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 4.585000 15-FEB-2027
000000000
280000.00000000
OU
Notional Amount
13786.42000000
0.001624445291
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2027-02-15
0.00000000
GBP
-3.31000000
GBP
280000.00000000
GBP
13790.91000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
22870.83000000
0.002694855670
N/A
DFE
CH
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1940000.00000000
EUR
2003622.30000000
CHF
2022-06-15
22870.83000000
N
N
N
Emerald Technologies (U.S.) Acquisitionco, Inc
N/A
Emerald Technologies (U.S.) Acquisitionco, Inc Term Loan
29102UAB5
163000.00000000
PA
USD
158110.00000000
0.018630002936
Long
LON
CORP
US
N
3
2027-12-29
Floating
7.25000000
N
N
N
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
1500000000.00000000
PA
12325766.39000000
1.452337385601
Long
DBT
NUSS
JP
N
2
2022-08-25
None
0.00000000
N
N
N
N
N
N
CIDRON AIDA FINCO SARL
98450036A07991DEBF10
Cidron Aida Finco Sarl
000000000
200000.00000000
PA
244995.65000000
0.028867685022
Long
DBT
CORP
LU
N
2
2028-04-01
Fixed
6.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP
000000000
59.00000000
NC
USD
34367.50000000
0.004049501144
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
55.00000000
USD
2022-05-20
XXXX
19690.02000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7S63
10904.55000000
PA
USD
11014.63000000
0.001297847000
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
Minejesa Capital BV
549300KS7ERCP10BKC35
Minejesa Capital BV
000000000
200000.00000000
PA
USD
190022.00000000
0.022390174043
Long
DBT
CORP
NL
N
2
2030-08-10
Fixed
4.63000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
508.38000000
0.000059902099
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
603202500.00000000
CLP
765000.00000000
USD
2022-04-20
508.38000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
70000.00000000
OU
Notional Amount
USD
-7105.60000000
-0.00083724842
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-345.08000000
USD
70000.00000000
USD
-6760.52000000
N
N
N
Hilton Worldwide Holdings Inc
549300HVGPK36ICB0B89
Hilton Worldwide Holdings Inc
43300A203
501.00000000
NS
USD
76021.74000000
0.008957594329
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
4348.27000000
0.000512353948
N/A
DFE
XX
N
2
BNP Paribas SA
MP6I5ZYZBEU3UXPYFY54
261868.80000000
USD
240000.00000000
EUR
2022-06-15
4348.27000000
N
N
N
JPMorgan Chase Bank N.A.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD EUR
000000000
1.00000000
NC
N/A
-1276501.16000000
-0.15040933754
N/A
DFE
JP
N
2
JPMorgan Chase Bank N.A.
571474TGEMMWANRLN572
21166501.00000000
EUR
2697904866.00000000
JPY
2022-06-15
-1276501.16000000
N
N
N
MERLIN PROPERTIES SOCIMI
959800L8KD863DP30X04
Merlin Properties Socimi SA
000000000
100000.00000000
PA
97321.66000000
0.011467350651
Long
DBT
ES
N
2
2030-06-01
Fixed
1.38000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CF INDUSTRIES HOLDINGS INC
000000000
49.00000000
NC
USD
144795.00000000
0.017061104769
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
CF Industries Holdings Inc
CF Industries Holdings Inc
100.00000000
75.00000000
USD
2022-05-20
XXXX
126891.87000000
N
N
N
United States Steel Corp
JNLUVFYJT1OZSIQ24U47
United States Steel Corp
912909108
8601.00000000
NS
USD
324601.74000000
0.038247621082
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank N.A.
ES7IP3U3RHIGC71XBU11
PURCHASED AUD / SOLD CAD
000000000
1.00000000
NC
N/A
11599.12000000
0.001366717093
N/A
DFE
AU
N
2
JPMorgan Chase Bank N.A.
ES7IP3U3RHIGC71XBU11
1010129.84000000
CAD
1095000.00000000
AUD
2022-04-20
11599.12000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGV7
251487.61000000
PA
USD
233794.32000000
0.027547839276
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
BRY0HFQS2 BLACKROCK
000000000
6900.00000000
NC
USD
29670.00000000
0.003495997641
N/A
DE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CF Industries Holdings Inc
CF Industries Holdings Inc
1.00000000
115.00000000
USD
2022-05-20
XXXX
-15180.00000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAT0
170000.00000000
PA
USD
201537.03000000
0.023746982864
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
5.95000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
481000.00000000
PA
USD
415341.11000000
0.048939384598
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.53000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 3.505000 15-DEC-2024
000000000
330000.00000000
OU
Notional Amount
40692.66000000
0.004794790811
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2024-12-16
0.00000000
GBP
-11.90000000
GBP
330000.00000000
GBP
40708.36000000
N
N
N
DR Horton Inc
529900ZIUEYVSB8QDD25
DR Horton Inc
23331A109
1961.00000000
NS
USD
146114.11000000
0.017216534680
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRT4
225187.58000000
PA
USD
224906.61000000
0.026500605936
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-19220.31000000
-0.00226471716
N/A
DFE
XX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
1158813.54000000
USD
1030141.00000000
EUR
2022-04-01
-19220.31000000
N
N
N
Offerpad Solutions Inc
N/A
Offerpad Solutions Inc
67623L117
8529.00000000
NS
USD
6908.49000000
0.000814023078
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Offerpad Solutions Inc
Offerpad Solutions Inc
11.50000000
11.50000000
USD
2026-09-01
XXXX
-13687.78000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCU3
1600000.00000000
PA
USD
1706818.02000000
0.201113305447
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAC7
47757.00000000
PA
USD
44414.01000000
0.005233275167
Long
DBT
CORP
XX
N
2
2026-12-31
Fixed
8.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
12372781.00000000
OU
Notional Amount
USD
622670.38000000
0.073368863498
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2027-06-22
754076.38000000
USD
0.00000000
USD
12372781.00000000
USD
-131406.00000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FK9
39000.00000000
PA
USD
36298.20000000
0.004276994324
Long
DBT
CORP
US
N
2
2050-02-05
Fixed
3.25000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
38396000000.00000000
PA
2929992.41000000
0.345239182857
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.38000000
N
N
N
N
N
N
BNP Paribas SA
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3936.41000000
0.000463824741
N/A
DFE
MX
N
2
BNP Paribas SA
MP6I5ZYZBEU3UXPYFY54
767000.00000000
USD
15376816.00000000
MXN
2022-04-20
3936.41000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B25 Mortgage Trust
08163DAE7
200000.00000000
PA
USD
187867.64000000
0.022136327144
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Fixed
2.58000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRF4
33550.59000000
PA
USD
33879.74000000
0.003992028686
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
569000.00000000
PA
USD
579390.99000000
0.068269279899
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CB0
165000.00000000
PA
USD
154851.04000000
0.018246001706
Long
DBT
CORP
US
N
2
2051-05-12
Fixed
3.10000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBC9
230000.00000000
PA
255752.89000000
0.030135203919
Long
DBT
CORP
US
N
2
2023-05-21
Fixed
0.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZP2
461000.00000000
PA
USD
460415.86000000
0.054250514348
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
150000.00000000
PA
USD
121485.00000000
0.014314501971
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 0.816200 15-FEB-2031
000000000
2310000.00000000
OU
Notional Amount
-69711.75000000
-0.00821409213
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-17
35.47000000
EUR
0.00000000
EUR
2310000.00000000
EUR
-69752.33000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z94
-1720000.00000000
PA
USD
-1612500.00000000
-0.18999987182
Short
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
2203300.00000000
PA
USD
1932707.22000000
0.227729689352
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.88000000
N
N
N
N
N
N
iShares Latin America 40 ETF
549300LU9LZBB8WGN795
iShares Latin America 40 ETF
464287390
9782.00000000
NS
USD
297274.98000000
0.035027725952
Long
EC
RF
US
N
1
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-C
68377WAA9
680000.00000000
PA
USD
640346.28000000
0.075451603798
Long
ABS-O
CORP
US
N
2
2031-10-08
Fixed
2.18000000
N
N
N
N
N
N
COVESTRO AG
3912005AWHKLQ1CPLV11
Covestro AG
000000000
60000.00000000
PA
65475.07000000
0.007714886764
Long
DBT
CORP
DE
N
2
2026-02-03
Fixed
0.88000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
BP PLC
000000000
-48.00000000
NC
USD
-1224.00000000
-0.00014422315
N/A
DE
GB
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
BP PLC
BP PLC
100.00000000
31.00000000
USD
2022-04-14
XXXX
456.99000000
N
N
N
Avantor Funding, Inc.
5493003VM0XB4U8YD238
Avantor Funding, Inc. 2021 EUR Incremental Term Loan B4
05350NAJ3
2500.00000000
PA
2725.45000000
0.000321138077
Long
LON
CORP
US
N
2
2028-06-12
Floating
2.75000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
1198000.00000000
PA
USD
1260201.20000000
0.148488723396
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.38000000
N
N
N
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
100000.00000000
PA
110166.55000000
0.012980856049
Long
DBT
CORP
NL
N
2
2031-03-28
Fixed
4.38000000
N
N
N
N
N
N
PUMA INTERNATIONAL FINAN
222100YFBPO7IDRUBR17
Puma International Financing SA
000000000
251000.00000000
PA
USD
238450.00000000
0.028096415154
Long
DBT
CORP
LU
N
2
2024-10-06
Fixed
5.13000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EY5
340000.00000000
PA
USD
308010.19000000
0.036292649067
Long
DBT
CORP
US
N
2
2030-05-28
Fixed
1.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9ZX4
8618.40000000
PA
USD
9004.24000000
0.001060963997
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
DEUTSCHE LUFTHANSA AG
529900PH63HYJ86ASW55
Deutsche Lufthansa AG
000000000
100000.00000000
PA
102724.14000000
0.012103921509
Long
DBT
CORP
DE
N
2
2027-05-16
Fixed
2.88000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
529000.00000000
PA
USD
528259.31000000
0.062244465855
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.62000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.547000 16-JUL-2024
000000000
23714491.00000000
OU
Notional Amount
USD
1048762.95000000
0.123575085939
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-16
0.00000000
USD
-138.59000000
USD
23714491.00000000
USD
1048901.54000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.630000 09-FEB-2027
000000000
54116414.00000000
OU
Notional Amount
USD
-2114098.29000000
-0.24910288628
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-02-09
485.07000000
USD
0.00000000
USD
54116414.00000000
USD
-2114583.36000000
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KC4
100000.00000000
PA
USD
106497.28000000
0.012548508248
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
46641BAJ2
1000000.00000000
PA
USD
1017529.40000000
0.119894856174
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
4.94000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-2 Ltd
69689PAC1
1000000.00000000
PA
USD
998388.00000000
0.117639436920
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
1.85000000
N
N
N
N
N
N
Citibank N.A.
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1993.42000000
0.000234883438
N/A
DFE
XX
N
2
Citibank N.A.
7LTWFZYICNSX8D621K86
1035040.84000000
USD
937000.00000000
EUR
2022-04-20
1993.42000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
305000.00000000
PA
327402.08000000
0.038577583402
Long
DBT
CORP
CH
N
2
2026-01-29
Fixed
0.25000000
N
N
N
N
N
N
Citibank N.A.
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-4644.78000000
-0.00054729153
N/A
DFE
XX
N
2
Citibank N.A.
MP6I5ZYZBEU3UXPYFY54
792758.19000000
CHF
771555.84000000
EUR
2022-06-15
-4644.78000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9Y96
47322.58000000
PA
USD
49993.95000000
0.005890756026
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNN99
1097117.32000000
PA
USD
1080831.94000000
0.127353755080
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Stoneway Capital Corp
549300CV1RKODDF74O91
Stoneway Capital Corp
86188PAA5
546404.71000000
PA
USD
151729.76000000
0.017878223226
Long
DBT
CORP
CA
N
2
2027-03-01
None
0.00000000
Y
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBA8
1059000.00000000
PA
USD
1112724.53000000
0.131111639119
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: EUR 0.921130 17-MAR-2052
000000000
360000.00000000
OU
Notional Amount
-1827.63000000
-0.00021534850
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2052-03-18
0.00000000
EUR
-5395.18000000
EUR
360000.00000000
EUR
4081.67000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAB4
555000.00000000
PA
USD
571927.50000000
0.067389861516
Long
DBT
CORP
XX
N
2
2029-06-18
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJJ25
55239.53000000
PA
USD
56916.21000000
0.006706401615
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
48039.70000000
0.005660487964
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
543341.00000000
USD
2815593.06000000
BRL
2022-04-04
48039.70000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
14718.64000000
0.001734288194
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
9279864.00000000
GBP
12201675.58000000
USD
2022-06-15
14718.64000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
BP PLC
000000000
53.00000000
NC
USD
6174.50000000
0.000727537493
N/A
DE
GB
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
BP PLC
BP PLC
100.00000000
30.00000000
USD
2022-05-20
XXXX
238.97000000
N
N
N
AMER AIRLINE 19-1B PTT
N/A
American Airlines 2019-1 Class B Pass Through Trust
02379DAA8
76995.74000000
PA
USD
68361.03000000
0.008054937635
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.85000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AR1
620000.00000000
PA
USD
397885.00000000
0.046882542016
Long
DBT
CORP
AR
N
2
2047-12-15
Fixed
7.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SCHLUMBERGER NV
000000000
-34.00000000
NC
USD
-3791.00000000
-0.00044669117
N/A
DE
CW
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Schlumberger NV
Schlumberger NV
100.00000000
35.00000000
USD
2022-06-17
XXXX
-470.57000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES RUSSELL 2000 ETF
000000000
-47.00000000
NC
USD
-2350.00000000
-0.00027689903
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares Russell 2000 ETF
iShares Russell 2000 ETF
100.00000000
190.00000000
USD
2022-04-14
XXXX
2433.20000000
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAA3
645000.00000000
PA
USD
622056.22000000
0.073296497407
Long
DBT
CORP
US
N
2
2025-06-17
Fixed
2.20000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
3381000.00000000
PA
USD
3151341.35000000
0.371320590751
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329J6V4
33071.32000000
PA
USD
34244.94000000
0.004035059975
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.705000 30-NOV-2051
000000000
989345.00000000
OU
Notional Amount
USD
122626.24000000
0.014448973570
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-11-30
0.00000000
USD
-30.34000000
USD
989345.00000000
USD
122656.58000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SNAP INC
000000000
-47.00000000
NC
USD
-47.00000000
-0.00000553798
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Snap Inc
Snap Inc
100.00000000
19.00000000
USD
2022-04-14
XXXX
5488.19000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGW5
254567.36000000
PA
USD
236815.57000000
0.027903831284
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Deutsche Bank AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-69264.03000000
-0.00816133756
N/A
DFE
US
N
2
Deutsche Bank AG
BFM8T61CT2L1QCEMIK50
28204855.09000000
ZAR
1857000.00000000
USD
2022-04-20
-69264.03000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAD0
1797000.00000000
PA
USD
1744455.72000000
0.205548132223
Long
DBT
CORP
XX
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FL5
720000.00000000
PA
USD
665648.87000000
0.078432992237
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUZ2
49888.80000000
PA
USD
46467.82000000
0.005475274321
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AA56
6756.83000000
PA
USD
7329.66000000
0.000863649277
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
EUR P USD C @1.082500 EO
000000000
21960591.00000000
OU
Notional Amount
12074.06000000
0.001422678978
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
12074.06000000
0.00000000
DFE
XX
23772339.76000000
USD
21960591.00000000
EUR
2022-04-08
1.00000000
1.08250000
EUR
2022-04-08
XXXX
-209995.46000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAQ4
315000.00000000
PA
USD
319249.00000000
0.037616911058
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
200000.00000000
PA
USD
139000.00000000
0.016378283525
Long
DBT
CORP
KY
N
2
2026-07-12
Fixed
2.70000000
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05973KAA5
475000.00000000
PA
USD
437682.81000000
0.051571893210
Long
DBT
CORP
MX
N
2
2027-01-24
Fixed
5.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
249965.10000000
0.029453232224
N/A
DFE
AU
N
2
State Street Bank & Trust Co.
B4TYDEB6GKMZO031MB27
12401061.51000000
USD
16886000.00000000
AUD
2022-06-15
249965.10000000
N
N
N
Verisure Holding AB
549300VQQCWGISM3N408
Verisure Holding AB
000000000
100000.00000000
PA
110326.29000000
0.012999678114
Long
DBT
CORP
SE
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJH35
3190.80000000
PA
USD
3190.94000000
0.000375986475
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
VanEck Semiconductor ETF
549300MJTG2N9QRH7I02
VanEck Semiconductor ETF
92189F676
628.00000000
NS
USD
169428.12000000
0.019963609974
Long
EC
RF
US
N
1
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAB9
67936.00000000
PA
USD
67226.92000000
0.007921306160
Long
DBT
CORP
XX
N
2
2025-12-31
Fixed
13.00000000
N
N
Y
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
6603.74000000
0.000778114575
N/A
DFE
XX
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
647846.55000000
USD
590000.00000000
EUR
2022-06-15
6603.74000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
700000.00000000
PA
991896.72000000
0.116874573436
Long
DBT
NUSS
IT
N
2
2049-09-01
Fixed
3.85000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
GENERAL MOTORS CO
000000000
125.00000000
NC
USD
187.50000000
0.000022093008
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
General Motors Co
General Motors Co
100.00000000
60.00000000
USD
2022-04-14
XXXX
-37082.59000000
N
N
N
SNAM SPA
8156002278562044AF79
Snam SpA
000000000
290000.00000000
PA
308514.41000000
0.036352060996
Long
DBT
CORP
IT
N
2
2025-08-15
None
0.00000000
N
N
N
N
N
N
Thermo Fisher Scientific Inc
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556102
104.00000000
NS
USD
61427.60000000
0.007237975892
Long
EC
CORP
US
N
1
N
N
N
HTA GROUP LTD
213800WEFU8O8X6EPU13
HTA Group Ltd/Mauritius
40435WAB6
405000.00000000
PA
USD
400190.63000000
0.047154212965
Long
DBT
CORP
MU
N
2
2025-12-18
Fixed
7.00000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
SWP: CLP 1.650000 28-MAY-2023
000000000
5282574000.00000000
OU
Notional Amount
-530374.74000000
-0.06249372565
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-05-30
0.00000000
CLP
0.00000000
CLP
5282574000.00000000
CLP
-530374.74000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD7A3
1207.36000000
PA
USD
1196.25000000
0.000140953393
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK87
9284.03000000
PA
USD
9196.41000000
0.001083607269
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
918367AC7
690000.00000000
PA
USD
627900.00000000
0.073985066369
Long
DBT
CORP
CL
N
2
2029-04-15
Fixed
4.38000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC19 Mortgage Trust
200474BC7
500000.00000000
PA
USD
498396.55000000
0.058725755422
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.18000000
N
N
N
N
N
N
Bank of America N.A.
7LTWFZYICNSX8D621K86
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-4936.81000000
-0.00058170125
N/A
DFE
GB
N
2
Bank of America N.A.
7LTWFZYICNSX8D621K86
410000.00000000
EUR
342542.70000000
GBP
2022-06-15
-4936.81000000
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
9305.23000000
PA
USD
9043.00000000
0.001065531064
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7MC6
12720.91000000
PA
USD
12406.67000000
0.001461870207
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SCHLUMBERGER NV
000000000
34.00000000
NC
USD
6715.00000000
0.000791224272
N/A
DE
CW
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Schlumberger NV
Schlumberger NV
100.00000000
45.00000000
USD
2022-06-17
XXXX
-3211.51000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT JUN22
000000000
91.00000000
NC
-351275.84000000
-0.04139061369
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE 10 Year Australian Bond Future
XMM2 COMDTY
2022-06-15
12003047.42000000
AUD
-351275.84000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN MAY22P 123
000000000
-33.00000000
NC
USD
-30421.88000000
-0.00358459119
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
33.00000000
NC
N/A
-30421.88000000
0.00000000
DIR
US
Short
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
33.00000000
USD
1000.00000000
123.00000000
USD
2022-04-22
XXXX
981.09000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DYNATRACE INC
000000000
-27.00000000
NC
USD
-3712.50000000
-0.00043744156
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Dynatrace Inc
Dynatrace Inc
100.00000000
40.00000000
USD
2022-05-20
XXXX
3334.50000000
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
90353T100
5438.00000000
NS
USD
194027.84000000
0.022862179678
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J55S4
32793.49000000
PA
USD
34925.14000000
0.004115207518
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-B
68377GAA4
190000.00000000
PA
USD
179366.76000000
0.021134673742
Long
ABS-O
CORP
US
N
2
2031-05-08
Fixed
1.47000000
N
N
N
N
N
N
PROMIGAS/GASES PACIFICO
N/A
Promigas SA ESP / Gases del Pacifico SAC
74348DAA5
528000.00000000
PA
USD
476018.40000000
0.056088951930
Long
DBT
CORP
XX
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCC7
880000.00000000
PA
930665.80000000
0.109659772226
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
1.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLH6
80951.62000000
PA
USD
75387.13000000
0.008882818627
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Blend Labs Inc
N/A
Blend Labs Inc
09352U108
5092.00000000
NS
USD
29024.40000000
0.003419926995
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BRY0KG369 BLACKROCK
000000000
3066000.00000000
OU
Notional Amount
USD
39493.15000000
0.004653453294
N/A
DFE
LU
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
FX Contract
N/A
1.00000000
NC
USD
39493.15000000
0.00000000
DFE
US
62239800.00000000
ZAR
3066000.00000000
USD
2022-05-27
1.00000000
20.30000000
USD
2022-05-27
XXXX
-12573.63000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ICE: (ITRAXX.FINSR.37.V1)
000000000
1861000.00000000
OU
Notional Amount
-20458.40000000
-0.00241060054
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Senior Financials S35
2I667DCL6
Y
buy protection
2027-06-22
0.00000000
EUR
-14122.36000000
EUR
1861000.00000000
EUR
-4848.11000000
N
N
N
CBAM CLO Management LLC
254900JWJFDB3KD6V066
CBAM 2017-1 Ltd
12480VAC9
400000.00000000
PA
USD
398688.12000000
0.046977173146
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
3193.00000000
NS
182462.80000000
0.021499478209
Long
EC
CORP
FR
N
2
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AM9
495000.00000000
PA
USD
490885.44000000
0.057840726004
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.13000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
161399.49000000
0.019017601496
N/A
DFE
RU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
260000.00000000
USD
31460000.00000000
RUB
2022-05-25
161399.49000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
320000.00000000
PA
243183.43000000
0.028654152267
Long
DBT
NUSS
AU
N
2
2022-07-15
Fixed
5.75000000
N
N
N
N
N
N
TNB GLOBAL VENTURES CAP
5493004U8XEGPFWIBZ14
TNB Global Ventures Capital Bhd
000000000
200000.00000000
PA
USD
213037.50000000
0.025102076089
Long
DBT
CORP
MY
N
2
2028-11-01
Fixed
4.85000000
N
N
N
N
N
N
Shackleton CLO LTD
549300S9WB2KLCOJR134
Shackleton 2013-III CLO Ltd
81881QAS5
397822.44000000
PA
USD
396138.06000000
0.046676701163
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
1.36000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAE0
810653.25000000
PA
USD
731614.56000000
0.086205688451
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN22
000000000
43.00000000
NC
14896.98000000
0.001755301885
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX 10 Year Euro BUND Future
RXM2 COMDTY
2022-06-08
6808913.80000000
EUR
14896.98000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
1491000.00000000
PA
USD
1317671.25000000
0.155260383635
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0160000 CALL USD 20
000000000
4714888.00000000
NC
USD
280.30000000
0.000033027574
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
IRS Swap
N/A
4714888.00000000
OU
Notional Amount
N/A
280.30000000
0.00000000
DIR
US
N/A
N/A
2052-04-22
0.00000000
N/A
0.00000000
N/A
4714888.00000000
USD
1.00000000
0.01600000
USD
2022-04-20
XXXX
-145330.08000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
000000000
810000.00000000
PA
877882.99000000
0.103440406561
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
1.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLUA3
525990.78000000
PA
USD
504869.85000000
0.059488500334
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
840000.00000000
OU
Notional Amount
USD
4853.68000000
0.000571906094
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-21
11551.27000000
USD
0.00000000
USD
840000.00000000
USD
-6697.59000000
N
N
N
BAWAG P.S.K.
529900ICA8XQYGIKR372
BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG
000000000
800000.00000000
PA
826448.22000000
0.097379879610
Long
DBT
CORP
AT
N
2
2027-09-03
Fixed
0.38000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAD2
696652.50000000
PA
USD
640049.48000000
0.075416632039
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.427500 15-NOV-2025
000000000
1610000.00000000
OU
Notional Amount
272956.04000000
0.032162240381
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2025-11-17
0.00000000
GBP
-58.08000000
GBP
1610000.00000000
GBP
273033.36000000
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BQ4
239000.00000000
PA
USD
198609.00000000
0.023401974910
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
2.90000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE JUN22
000000000
-424.00000000
NC
1661792.08000000
0.195807926948
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 5 Year Euro BOBL Future
OEM2 COMDTY
2022-06-08
-56138825.26000000
EUR
1661792.08000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK SWAPTION 0.0304000 PUT USD 202
000000000
-16677062.00000000
NC
USD
-387508.38000000
-0.04565987133
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
16677062.00000000
OU
Notional Amount
N/A
-387508.38000000
-0.05000000
DIR
US
N/A
N/A
2031-07-02
0.00000000
N/A
0.00000000
N/A
16677062.00000000
USD
1.00000000
0.03040000
USD
2026-06-30
XXXX
-162368.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8F24
6984.07000000
PA
USD
7528.58000000
0.000887087897
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
5.00000000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAJ2
78000.00000000
PA
USD
70573.25000000
0.008315602142
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.63000000
N
N
N
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAA8
362000.00000000
PA
USD
354805.25000000
0.041806481875
Long
DBT
CORP
LU
N
2
2024-11-26
Fixed
6.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNCZ4
258450.67000000
PA
USD
248071.78000000
0.029230143506
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C50
95001XBF2
13533395.42000000
PA
USD
1012205.95000000
0.119267597372
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
1.41000000
N
N
N
N
N
N
Green Plains Operating Company LLC
N/A
Green Plains Operating Company LLC Term Loan
000000000
540000.00000000
PA
USD
540000.00000000
0.063627864054
Long
LON
CORP
US
N
3
2026-07-20
Floating
8.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH3T7
14594.32000000
PA
USD
14460.16000000
0.001703831656
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
OIL INDIA INTERNATIONAL
529900MQ8CL8FLAGEQ79
Oil India International Pte Ltd
000000000
200000.00000000
PA
USD
197412.50000000
0.023260992060
Long
DBT
CORP
SG
N
2
2027-04-21
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
200000.00000000
PA
230717.24000000
0.027185268854
Long
DBT
CORP
GB
N
2
2025-04-02
Fixed
3.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGS4
366162.57000000
PA
USD
351457.53000000
0.041412022110
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBM7
81000.00000000
PA
USD
64535.59000000
0.007604188420
Long
DBT
US
N
2
2051-09-15
Fixed
2.95000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
COUPANG INC
000000000
87.00000000
NC
USD
1566.00000000
0.000184520805
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Coupang Inc
Coupang Inc
100.00000000
25.00000000
USD
2022-05-20
XXXX
-10093.23000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EP6D1
1486.24000000
PA
USD
1551.31000000
0.000182789892
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 4.200000 15-MAR-2024
000000000
1890000.00000000
OU
Notional Amount
13856.01000000
0.001632645038
N/A
DO
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU)
2024-03-15
0.00000000
EUR
-11.11000000
EUR
1890000.00000000
EUR
13868.21000000
N
N
N
ARES CLO Ltd
635400YF4AHA6NB2CU53
Ares XXXVII CLO Ltd
04015NAG9
400000.00000000
PA
USD
398768.44000000
0.046986637202
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.41000000
N
N
N
N
N
N
Jamestown CLO Ltd
N/A
Jamestown CLO XV Ltd
47050EAA7
1000000.00000000
PA
USD
995316.40000000
0.117277512203
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.58000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETBX3
2399.17000000
PA
USD
2424.18000000
0.000285639621
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDA6
1250000.00000000
PA
USD
1199865.88000000
0.141379450177
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CF INDUSTRIES HOLDINGS INC
000000000
30.00000000
NC
USD
12900.00000000
0.001519998974
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
CF Industries Holdings Inc
CF Industries Holdings Inc
100.00000000
115.00000000
USD
2022-05-20
XXXX
-2993.40000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD C ZAR P @15.50000 EO
000000000
3906000.00000000
OU
Notional Amount
USD
2277.20000000
0.000268321059
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
2277.20000000
0.00000000
DFE
XX
60543000.00000000
USD
3906000.00000000
EUR
2022-04-12
1.00000000
15.50000000
USD
2022-04-12
XXXX
-67464.44000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OVINTIV INC
000000000
134.00000000
NC
USD
54940.00000000
0.006473546020
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Ovintiv Inc
Ovintiv Inc
100.00000000
55.00000000
USD
2022-05-20
XXXX
6401.29000000
N
N
N
INTERCONTINENTAL HOTELS
2138007ZFQYRUSLU3J98
InterContinental Hotels Group PLC
000000000
100000.00000000
PA
130468.00000000
0.015372963272
Long
DBT
CORP
GB
N
2
2028-10-08
Fixed
3.38000000
N
N
N
N
N
N
Equate Petrochemical BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
342000.00000000
PA
USD
346232.25000000
0.040796330618
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS -0.435000 17-OCT-2023
000000000
9940000.00000000
OU
Notional Amount
-95461.47000000
-0.01124816562
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-10-17
32.30000000
EUR
0.00000000
EUR
9940000.00000000
EUR
-95498.72000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED EUR / SOLD AUD
000000000
1.00000000
NC
N/A
-30045.92000000
-0.00354029206
N/A
DFE
XX
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
2769768.73000000
AUD
1843672.00000000
EUR
2022-06-15
-30045.92000000
N
N
N
KANE BIDCO LTD
213800IT8MD1MLYZWC24
Kane Bidco Ltd
000000000
100000.00000000
PA
127770.82000000
0.015055156231
Long
DBT
CORP
JE
N
2
2027-02-15
Fixed
6.50000000
N
N
N
N
N
N
Westpac Banking Corp.
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-708.00000000
-0.00008342319
N/A
DFE
XX
N
2
Westpac Banking Corp.
G5GSEF7VJP5I7OUK5573
159256.40000000
CHF
155200.00000000
EUR
2022-06-15
-708.00000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-9863.66000000
-0.00116222892
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
960000.00000000
EUR
803342.40000000
GBP
2022-06-15
-9863.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9Y23
10236.17000000
PA
USD
10703.69000000
0.001261209133
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GHT6
133144.42000000
PA
USD
132950.76000000
0.015665505339
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
GARFUNKELUX HOLDCO 3 SA
2221007QVSNJV7EWBX69
Garfunkelux Holdco 3 SA
000000000
100000.00000000
PA
130379.72000000
0.015362561295
Long
DBT
CORP
LU
N
2
2025-11-01
Fixed
7.75000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
BRY0KE8S1 BLACKROCK
000000000
13830000.00000000
OU
Notional Amount
USD
116697.54000000
0.013750398538
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
116697.54000000
0.01000000
DFE
XX
1659600000.00000000
USD
13830000.00000000
EUR
2022-05-27
1.00000000
120.00000000
USD
2022-05-27
XXXX
7163.94000000
N
N
N
GREENKO MAURITIUS LTD
2138005EDWGI4914B264
Greenko Mauritius Ltd
000000000
200000.00000000
PA
USD
200500.00000000
0.023624790264
Long
DBT
CORP
MU
N
2
2023-02-21
Fixed
6.25000000
N
N
N
N
N
N
STELLANTIS NV
549300LKT9PW7ZIBDF31
Stellantis NV
000000000
200000.00000000
PA
200825.93000000
0.023663194393
Long
DBT
CORP
NL
N
2
2029-01-18
Fixed
0.75000000
N
N
N
N
N
N
CHROME BIDCO SASU
9845000C1FYE89DC8677
Chrome Bidco SASU
000000000
100000.00000000
PA
105691.10000000
0.012453516560
Long
DBT
CORP
FR
N
2
2028-05-31
Fixed
3.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B21 Mortgage Trust
08163LAL3
5039741.92000000
PA
USD
475467.90000000
0.056024086857
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Variable
1.46000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAS9
4059000.00000000
PA
USD
3736309.50000000
0.440247023944
Long
DBT
NUSS
MX
N
2
2052-02-12
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5BJ1
4312.96000000
PA
USD
4205.24000000
0.000495500813
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J75N1
14397.91000000
PA
USD
14267.71000000
0.001681155393
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
69659.95000000
0.008207988571
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
810000.00000000
USD
4188105.00000000
BRL
2022-04-04
69659.95000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
100000.00000000
PA
USD
142675.00000000
0.016811306488
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
DUFRY ONE BV
7245003K5MN9U7XW0808
Dufry One BV
000000000
100000.00000000
PA
98871.07000000
0.011649916668
Long
DBT
CORP
NL
N
2
2027-02-15
Fixed
2.00000000
N
N
N
N
N
N
Westpac Banking Corp.
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-37945.64000000
-0.00447111115
N/A
DFE
US
N
2
Westpac Banking Corp.
4PQUHN3JPFGFNF3BB653
2000000.00000000
CAD
1561565.62000000
USD
2022-06-15
-37945.64000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 7.530000 23-JAN-2032
000000000
41083000.00000000
OU
Notional Amount
-89852.82000000
-0.01058730188
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-23
654.61000000
MXN
0.00000000
MXN
41083000.00000000
MXN
-89884.55000000
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AS8
982990.52000000
PA
USD
974854.11000000
0.114866453302
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
3.89000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN NETH
724500GIEFJOBWGD0272
Imperial Brands Finance Netherlands BV
000000000
270000.00000000
PA
256097.59000000
0.030175819705
Long
DBT
CORP
NL
N
2
2033-03-18
Fixed
1.75000000
N
N
N
N
N
N
Deutsche Bank AG
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-15216.15000000
-0.00179290948
N/A
DFE
US
N
2
Deutsche Bank AG
E57ODZWZ7FF32TWEFA76
6220527266.25000000
COP
1629925.00000000
USD
2022-04-20
-15216.15000000
N
N
N
Service Experts Issuer
N/A
Service Experts Issuer 2021-1 LLC
81758VAA3
363757.72000000
PA
USD
348074.56000000
0.041013408859
Long
ABS-O
CORP
US
N
2
2032-02-02
Fixed
2.67000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
978.68000000
0.000115317255
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6132065066.00000000
IDR
427505.45000000
USD
2022-06-15
978.68000000
N
N
N
Capri Holdings Ltd
549300LPG8W0H1OX3A26
Capri Holdings Ltd
000000000
4686.00000000
NS
USD
240813.54000000
0.028374909602
Long
EC
CORP
VG
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MAY6
6130.66000000
PA
USD
6441.36000000
0.000758981441
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAE5
738000.00000000
PA
USD
728406.00000000
0.085827625822
Long
DBT
CORP
NL
N
2
2050-01-31
Fixed
5.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.195000 05-FEB-2031
000000000
2857139.00000000
OU
Notional Amount
USD
276529.36000000
0.032583282453
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-02-05
0.00000000
USD
-41.20000000
USD
2857139.00000000
USD
276570.56000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BJW7
52067.59000000
PA
USD
52054.56000000
0.006133556420
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freedom Mortgage Corp
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAB3
88000.00000000
PA
USD
87734.24000000
0.010337670917
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
8.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.237500 10-FEB-2051
000000000
5683733.00000000
OU
Notional Amount
USD
-1299362.39000000
-0.15310306205
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-10
172.32000000
USD
0.00000000
USD
5683733.00000000
USD
-1299534.71000000
N
N
N
Porsche Automobil Holding SE
52990053Z17ZYM1KFV27
Porsche Automobil Holding SE
000000000
2490.00000000
NS
239522.90000000
0.028222834294
Long
EP
CORP
DE
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
8841.72000000
0.001041814366
N/A
DFE
CA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
340000.00000000
USD
436185.39000000
CAD
2022-06-15
8841.72000000
N
N
N
AMADEUS IT GROUP SA
9598004A3FTY3TEHHN09
Amadeus IT Group SA
000000000
100000.00000000
PA
110808.75000000
0.013056526075
Long
DBT
CORP
ES
N
2
2028-09-24
Fixed
1.88000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
BRY05VBL1 BLACKROCK
000000000
-2150000.00000000
OU
Notional Amount
USD
-763.25000000
-0.00008993327
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
-763.25000000
0.00000000
DFE
XX
-2150000.00000000
USD
-2062925.00000000
EUR
2022-04-19
1.00000000
0.95950000
USD
2022-04-19
XXXX
5729.75000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.570000 27-MAY-2031
000000000
7832891.00000000
OU
Notional Amount
USD
506462.05000000
0.059676108270
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-05-27
0.00000000
USD
-118.07000000
USD
7832891.00000000
USD
506580.12000000
N
N
N
STAR ENERGY CO ISSUE
N/A
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak
85513LAB0
975000.00000000
PA
USD
966956.25000000
0.113935853372
Long
DBT
CORP
BM
N
2
2038-10-14
Fixed
4.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AXW42
12313.37000000
PA
USD
12801.51000000
0.001508393959
Long
ABS-MBS
USGA
US
N
2
2047-06-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A8S40
27478.41000000
PA
USD
27276.04000000
0.003213918824
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
SHUI ON DEVELOPMENT HLDG
3003005J4J3G9CZFDK52
Shui On Development Holding Ltd
000000000
200000.00000000
PA
USD
187000.00000000
0.022034093663
Long
DBT
CORP
KY
N
2
2024-08-24
Fixed
6.15000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C3 Mortgage Trust
23312VAF3
375000.00000000
PA
USD
368591.70000000
0.043430930701
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.89000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYN8
185000.00000000
PA
USD
167251.70000000
0.019707163760
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFQ2
365000.00000000
PA
USD
371703.58000000
0.043797601586
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.60000000
N
N
N
N
N
N
Finsbury Square
N/A
Finsbury Square
000000000
308803.17000000
PA
400520.68000000
0.047193102551
Long
ABS-MBS
CORP
GB
N
2
2067-12-16
Floating
0.93000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAB8
439000.00000000
PA
USD
439823.13000000
0.051824085784
Long
DBT
CORP
NL
N
2
2027-02-01
Fixed
5.40000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAG7
247000.00000000
PA
USD
231828.10000000
0.027316160797
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.15000000
N
N
N
N
N
N
Westpac Banking Corp.
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
499.84000000
0.000058895836
N/A
DFE
TR
N
2
Westpac Banking Corp.
G5GSEF7VJP5I7OUK5573
16531.74000000
USD
263140.33000000
TRY
2022-06-08
499.84000000
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
EUR C USD P @1.210000 EO
000000000
4810000.00000000
OU
Notional Amount
3799.24000000
0.000447662085
N/A
DFE
LU
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Call
Purchased
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
FX Contract
N/A
1.00000000
NC
USD
3799.24000000
0.00000000
DFE
XX
5820100.00000000
USD
4810000.00000000
EUR
2022-08-10
1.00000000
1.21000000
EUR
2022-08-10
XXXX
-17669.10000000
N
N
N
BlackRock Liquidity Funds
5493007YVNX55LTRQ706
BlackRock Liquidity Funds: T-Fund, Institutional Shares
09248U718
9179335.23000000
NS
USD
9179335.23000000
1.081595359483
Long
STIV
RF
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
9564000.00000000
OU
Notional Amount
USD
415181.27000000
0.048920550750
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
buy protection
2027-06-22
531909.40000000
USD
0.00000000
USD
9564000.00000000
USD
-116728.13000000
N
N
N
SoftBank Group Corp
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
400000.00000000
PA
433105.63000000
0.051032566938
Long
DBT
CORP
JP
N
2
2025-07-30
Fixed
4.75000000
N
N
N
N
N
N
VOLKSWAGEN LEASING GMBH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
225000.00000000
PA
234081.34000000
0.027581658665
Long
DBT
CORP
DE
N
2
2026-07-20
Fixed
0.38000000
N
N
N
N
N
N
CIFC Funding Ltd
549300Y56VCWZJQV2Z14
CIFC Funding 2014-V Ltd
12550AAT3
2000000.00000000
PA
USD
1991695.60000000
0.234680253470
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
1.44000000
N
N
N
N
N
N
COLGATE ENERGY PARTNERS
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAA7
35000.00000000
PA
USD
37310.35000000
0.004396255328
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300SGFUCMB43V8P22
Wells Fargo Commercial Mortgage Trust 2016-NXS5
95000CBG7
1400000.00000000
PA
USD
1432034.10000000
0.168735687102
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Variable
4.95000000
N
N
N
N
N
N
GoodLeap Sustainable Home Improvement Loan Trust
N/A
GoodLeap Sustainable Home Solutions Trust 2021-3
382371AA0
459199.89000000
PA
USD
423063.06000000
0.049849257162
Long
ABS-O
CORP
US
N
2
2048-05-20
Fixed
2.10000000
N
N
N
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
000000000
528000.00000000
PA
569045.28000000
0.067050251326
Long
DBT
CORP
LU
N
2
2028-07-02
Fixed
2.00000000
N
N
N
N
N
N
Industrial Select Sector SPDR Fund
549300HQI51T8KP6U325
Industrial Select Sector SPDR Fund
81369Y704
1485.00000000
NS
USD
152925.30000000
0.018019092960
Long
EC
RF
US
N
1
N
N
N
Trimaran Advisors CAVU 2019-1
549300IGMQ24BLOIU872
Trimaran Cavu 2019-1 Ltd
89624CAG7
500000.00000000
PA
USD
499849.85000000
0.058896996857
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
3.40000000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
163131.24000000
0.019221652521
N/A
DFE
XX
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
32530421.92000000
USD
29473891.00000000
EUR
2022-06-15
163131.24000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
105780000.00000000
PA
16808624.35000000
1.980549750142
Long
DBT
NUSS
CN
N
2
2031-05-27
Fixed
3.02000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
201000.00000000
PA
USD
191132.09000000
0.022520975257
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.22000000
N
N
N
N
N
N
Mosaic Co/The
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945C103
1474.00000000
NS
USD
98021.00000000
0.011549753448
Long
EC
CORP
US
N
1
N
N
N
MOZART DEBT MERGER SUB
N/A
Mozart Debt Merger Sub Inc
62482BAA0
474000.00000000
PA
USD
438450.00000000
0.051662290730
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.88000000
N
N
N
N
N
N
iShares iBoxx High Yield Corporate Bond ETF
549300FCCXHK7O37PQ68
iShares iBoxx High Yield Corporate Bond ETF
464288513
52570.00000000
NS
USD
4325985.30000000
0.509728156607
Long
EC
RF
US
N
1
N
N
N
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-27064.37000000
-0.00318897787
N/A
DFE
US
N
2
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
11801082.69000000
ZAR
779000.00000000
USD
2022-04-19
-27064.37000000
N
N
N
FRESENIUS FIN IRELAND PL
549300GFSOR556BX2290
Fresenius Finance Ireland PLC
000000000
486000.00000000
PA
475028.44000000
0.055972305559
Long
DBT
CORP
IE
N
2
2031-10-01
Fixed
0.88000000
N
N
N
N
N
N
UNITED AIR 2019-2 B PTT
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
53477.53000000
PA
USD
48313.71000000
0.005692774392
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
3517.24000000
0.000414434201
N/A
DFE
US
N
2
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
20008820469.00000000
IDR
1395266.59000000
USD
2022-06-15
3517.24000000
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CP5
543000.00000000
PA
USD
500810.85000000
0.059010230889
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
000000000
100000.00000000
PA
101774.98000000
0.011992082576
Long
DBT
CORP
GB
N
2
2031-01-31
Fixed
3.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BLACKROCK SWAPTION 0.0304000 PUT USD 202
000000000
-18060000.00000000
NC
USD
-417930.43000000
-0.04924448256
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
18060000.00000000
OU
Notional Amount
N/A
-417930.43000000
-0.05000000
DIR
US
N/A
N/A
2031-06-17
0.00000000
N/A
0.00000000
N/A
18060000.00000000
USD
1.00000000
0.03040000
USD
2026-06-15
XXXX
-115425.43000000
N
N
N
OCP CLO Ltd
254900OVGEI8FTD7PT85
OCP CLO 2013-4 Ltd
67105HBC8
250000.00000000
PA
USD
248533.68000000
0.029284568896
Long
ABS-CBDO
CORP
KY
N
2
2029-04-24
Floating
2.16000000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAN6
390000.00000000
PA
USD
383062.49000000
0.045136014885
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
3.40000000
N
N
N
N
N
N
LA FINAC ATALIAN SA
969500ICOLJMB33J0L87
La Financiere Atalian SASU
000000000
100000.00000000
PA
121236.72000000
0.014285247293
Long
DBT
CORP
FR
N
2
2025-05-15
Fixed
6.63000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
2297000.00000000
PA
2361657.16000000
0.278272593923
Long
DBT
NUSS
GR
N
2
2030-06-18
Fixed
1.50000000
N
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust 2022-1
75907DAA5
182000.00000000
PA
USD
176962.95000000
0.020851434305
Long
ABS-O
CORP
US
N
2
2032-03-15
Fixed
3.07000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
7473000.00000000
PA
USD
7099350.00000000
0.836511993837
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BTEQ1
47604.70000000
PA
USD
49302.16000000
0.005809242840
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AK5
935000.00000000
PA
USD
915077.49000000
0.107823011356
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.70000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (ITRAXX.FINSUB.37.V1)
000000000
931000.00000000
OU
Notional Amount
26886.05000000
0.003167966545
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Sub Financials S27
2I667ECC4
Y
buy protection
2027-06-22
27604.06000000
EUR
0.00000000
EUR
931000.00000000
EUR
-3626.31000000
N
N
N
Profrac Services, LLC
N/A
Profrac Services, LLC 2022 Term Loan
000000000
376000.00000000
PA
USD
368480.00000000
0.043417769160
Long
LON
CORP
US
N
2
2025-03-04
None
0.00000000
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
Coty Inc
000000000
100000.00000000
PA
107444.51000000
0.012660119769
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.88000000
N
N
N
N
N
N
SYNTHOMER PLC
213800EHT3TI1KPQQJ56
Synthomer PLC
000000000
100000.00000000
PA
110743.57000000
0.013048845957
Long
DBT
CORP
GB
N
2
2025-07-01
Fixed
3.88000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
EUR C USD P @1.160000 EO
000000000
13824832.00000000
OU
Notional Amount
107.05000000
0.000012613634
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FX Contract
N/A
1.00000000
NC
USD
107.05000000
0.00000000
DFE
US
16036805.12000000
EUR
13824832.00000000
USD
2022-04-07
1.00000000
1.16000000
EUR
2022-04-07
XXXX
-96209.99000000
N
N
N
Sarcos Technology and Robotics Corp
N/A
Sarcos Technology and Robotics Corp
80359A106
1832.00000000
NS
USD
12182.80000000
0.001435491744
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXCP6
822.18000000
PA
USD
814.78000000
0.000096005020
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
549300SO59UL53O4D221
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
000000000
100000.00000000
PA
119640.94000000
0.014097217528
Long
DBT
CORP
XX
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
Domi
724500GC0MQI1HTJVG97
Domi 2021-1 BV
000000000
168343.64000000
PA
186047.60000000
0.021921872963
Long
ABS-MBS
CORP
NL
N
2
2053-06-15
Floating
0.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION MAR23 0.4 CALL
000000000
-123604533.00000000
NC
USD
-24074.45000000
-0.00283667746
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
123604533.00000000
OU
Notional Amount
N/A
-24074.45000000
0.00000000
DIR
US
N/A
N/A
2024-03-20
0.00000000
N/A
0.00000000
N/A
123604533.00000000
USD
1.00000000
0.40000000
USD
2023-03-16
XXXX
111890.54000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CJ1
190000.00000000
PA
USD
189438.05000000
0.022321367577
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
434000.00000000
PA
USD
489903.74000000
0.057725052904
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.400000 12-OCT-2031
000000000
7022948.00000000
OU
Notional Amount
USD
568958.51000000
0.067040027271
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-10-14
0.00000000
USD
-107.51000000
USD
7022948.00000000
USD
569066.02000000
N
N
N
BNP Paribas SA
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1953.30000000
0.000230156123
N/A
DFE
US
N
2
BNP Paribas SA
7LTWFZYICNSX8D621K86
780000.00000000
EUR
867158.76000000
USD
2022-06-15
1953.30000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-7594.48000000
-0.00089485285
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
20497511572.00000000
IDR
1420675.88000000
USD
2022-04-18
-7594.48000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP
000000000
60.00000000
NC
USD
13050.00000000
0.001537673381
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
65.00000000
USD
2022-05-20
XXXX
-12470.32000000
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCG8
400000.00000000
PA
USD
357701.82000000
0.042147782916
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.45000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAU9
105000.00000000
PA
USD
105750.24000000
0.012460484989
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUH2
2641.87000000
PA
USD
2626.51000000
0.000309480039
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
EXXON MOBIL CORP
000000000
-9.00000000
NC
USD
-558.00000000
-0.00006574879
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Exxon Mobil Corp
Exxon Mobil Corp
100.00000000
70.00000000
USD
2022-05-20
XXXX
190.10000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEH6
122997.14000000
PA
USD
125205.25000000
0.014752856714
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBJ7
980000.00000000
PA
USD
951100.52000000
0.112067582570
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
1.45000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
FREEPORT-MCMORAN INC
000000000
13.00000000
NC
USD
8092.50000000
0.000953534240
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Freeport-McMoRan Inc
Freeport-McMoRan Inc
100.00000000
45.00000000
USD
2022-05-20
XXXX
4176.52000000
N
N
N
iShares China Large-Cap ETF
5493001YVWPO25CNKN94
iShares China Large-Cap ETF
464287184
3075.00000000
NS
USD
98307.75000000
0.011583541023
Long
EC
RF
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRZ0
34477.91000000
PA
USD
35903.99000000
0.004230544805
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD6X4
967.17000000
PA
USD
958.26000000
0.000112911179
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
4461.00000000
NS
119587.49000000
0.014090919548
Long
EC
CORP
FR
N
2
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JADY8
2969.04000000
PA
USD
3022.87000000
0.000356182891
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-13438.53000000
-0.00158345362
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
6920914.59000000
MXN
334520.98000000
USD
2022-04-01
-13438.53000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JBA1
1100000.00000000
PA
USD
1055598.39000000
0.124380501582
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
4.28000000
N
N
N
N
N
N
SUMMER BC HOLDCO B SARL
984500NRF59D5DB9B654
Summer BC Holdco B SARL
000000000
300000.00000000
PA
336148.15000000
0.039608127389
Long
DBT
CORP
LU
N
2
2026-10-31
Fixed
5.75000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-GC36
17324TAE9
375000.00000000
PA
USD
376553.06000000
0.044369012797
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.62000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AL9
157000.00000000
PA
USD
138227.95000000
0.016287313353
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022655
600000.00000000
PA
USD
580640.62000000
0.068416523025
Long
ABS-MBS
USGA
US
N
2
2052-05-19
Fixed
2.50000000
N
N
N
N
N
N
CONTINUUM ENERGY LEVANTE
254900MFSMO37F3WJ232
Continuum Energy Levanter Pte Ltd
21218MAB1
542437.50000000
PA
USD
518027.81000000
0.061038894575
Long
DBT
CORP
SG
N
2
2027-02-09
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.450000 11-DEC-2050
000000000
1791106.00000000
OU
Notional Amount
USD
322353.75000000
0.037982741819
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-12-12
0.00000000
USD
-49.78000000
USD
1791106.00000000
USD
322403.53000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.835000 08-NOV-2051
000000000
2545100.00000000
OU
Notional Amount
USD
-239403.46000000
-0.02820876075
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-11-08
79.25000000
USD
0.00000000
USD
2545100.00000000
USD
-239482.71000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX INVESTMENT GRA
000000000
-306.00000000
NC
USD
-11475.00000000
-0.00135209211
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
100.00000000
113.00000000
USD
2022-05-20
XXXX
7120.78000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-P1
17324DAU8
375000.00000000
PA
USD
378444.23000000
0.044591848182
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
3.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VXQ2
7613.85000000
PA
USD
7963.08000000
0.000938284762
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
4.00000000
N
N
N
N
N
N
Conair Holdings, LLC
549300804G00T34FLV17
Conair Holdings, LLC Term Loan B
20600RAB8
49000.00000000
PA
USD
48142.50000000
0.005672600824
Long
LON
CORP
US
N
2
2028-05-17
Floating
4.76000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAU5
942000.00000000
PA
USD
788957.72000000
0.092962397319
Long
DBT
US
N
2
2051-01-15
Fixed
3.25000000
N
N
N
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
000000000
200000.00000000
PA
USD
25000.00000000
0.002945734446
Long
DBT
CORP
KY
N
2
2022-04-11
Fixed
9.50000000
Y
Y
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJUF7
734508.16000000
PA
USD
723247.50000000
0.085219802976
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFA43
156876.97000000
PA
USD
150723.42000000
0.017759646810
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQM90
151598.57000000
PA
USD
152816.86000000
0.018006315543
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BRY0KDNS6 BLACKROCK
000000000
60000000.00000000
OU
Notional Amount
488918.14000000
0.057608920269
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
488918.14000000
0.06000000
DFE
US
65700000.00000000
JPY
60000000.00000000
USD
2022-05-27
1.00000000
1.09500000
EUR
2022-05-27
XXXX
-179019.01000000
N
N
N
Citibank N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-182863.65000000
-0.02154671011
N/A
DFE
US
N
2
Citibank N.A.
B4TYDEB6GKMZO031MB27
59565000.00000000
MXN
2773869.49000000
USD
2022-06-15
-182863.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEZ7
13131.61000000
PA
USD
12803.71000000
0.001508653183
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBH0
440000.00000000
PA
USD
399019.53000000
0.047016222981
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
2.35000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
AMAZON.COM INC
000000000
-2.00000000
NC
USD
-760.00000000
-0.00008955032
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Amazon.com Inc
Amazon.com Inc
100.00000000
3600.00000000
USD
2022-04-14
XXXX
6912.53000000
N
N
N
Advanced Micro Devices Inc
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903107
1732.00000000
NS
USD
189376.88000000
0.022314159954
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.380000 14-OCT-2031
000000000
6214676.00000000
OU
Notional Amount
USD
514948.49000000
0.060676060215
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-10-14
0.00000000
USD
-95.19000000
USD
6214676.00000000
USD
515043.68000000
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAU1
167000.00000000
PA
USD
153854.60000000
0.018128591801
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBN2
1231000.00000000
PA
USD
994317.28000000
0.117159786515
Long
DBT
CORP
US
N
2
2051-02-04
Fixed
3.70000000
N
N
N
N
N
N
NWD FINANCE (BVI) LTD
25490076V8K09HMNCT88
NWD Finance BVI Ltd
000000000
200000.00000000
PA
USD
182000.00000000
0.021444946773
Long
DBT
CORP
VG
N
2
2028-03-10
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XEA38
164839.81000000
PA
USD
153550.17000000
0.018092721004
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
AZUL INVESTMENTS LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAC2
739000.00000000
PA
USD
617988.75000000
0.072817229948
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
7.25000000
N
N
N
N
N
N
GENER MEDIT/CENT TERMICA
N/A
Generacion Mediterranea SA / Central Termica Roca SA
36875KAD3
517792.80000000
PA
USD
414234.24000000
0.048808962794
Long
DBT
CORP
AR
N
2
2027-12-01
Fixed
9.63000000
N
N
N
N
N
N
WillScot Mobile Mini Holdings Corp
549300HJ4VIXF476Q166
WillScot Mobile Mini Holdings Corp
971378104
7077.00000000
NS
USD
276923.01000000
0.032629665988
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-1221.19000000
-0.00014389205
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
5374699.49000000
MXN
269000.00000000
USD
2022-04-01
-1221.19000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
EUR P USD C @1.070000 EO
000000000
-37643294.00000000
OU
Notional Amount
-53594.39000000
-0.00631499363
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
-53594.39000000
-0.01000000
DFE
XX
-37643294.00000000
USD
-40278324.58000000
EUR
2022-04-29
1.00000000
1.07000000
EUR
2022-04-29
XXXX
268120.51000000
N
N
N
GXO LOGISTICS INC
5493007CNWMXN78JRN66
GXO Logistics Inc
36262GAA9
40000.00000000
PA
USD
36111.99000000
0.004255053315
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
1.65000000
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
000000000
100000.00000000
PA
97703.98000000
0.011512399179
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
1.63000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
100000.00000000
PA
111267.98000000
0.013110636861
Long
DBT
CORP
NL
N
2
2025-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7UM9
3873.67000000
PA
USD
3843.07000000
0.000452826547
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
100000.00000000
PA
108558.50000000
0.012791380518
Long
DBT
CORP
DE
N
2
2025-09-21
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTL63
347.09000000
PA
USD
354.02000000
0.000041713956
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.005000 30-MAR-2027
000000000
20050000.00000000
OU
Notional Amount
17600.02000000
0.002073799407
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-30
101.25000000
EUR
0.00000000
EUR
20050000.00000000
EUR
17488.81000000
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2018-TAN
12528DAA7
750000.00000000
PA
USD
753704.10000000
0.088808485206
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Fixed
4.24000000
N
N
N
N
N
N
ATF NETHERLANDS BV
529900Z1P6YBY9EOYT70
ATF Netherlands BV
000000000
100000.00000000
PA
111869.51000000
0.013181514766
Long
DBT
CORP
NL
N
2
2023-01-20
Fixed
3.75000000
N
N
N
N
N
N
HYDROFARM HOLDINGS LLC
N/A
Hydrofarm Holdings LLC 2021 Term Loan
000000000
99750.00000000
PA
USD
94762.50000000
0.011165806421
Long
LON
CORP
US
N
3
2028-09-27
Floating
6.50000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
1265000.00000000
PA
USD
1049143.31000000
0.123619903522
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
TRATON FINANCE LUX SA
529900BRKIE6LKIEXD84
Traton Finance Luxembourg SA
000000000
2000000.00000000
PA
2162930.68000000
0.254856776417
Long
DBT
CORP
LU
N
2
2024-06-14
None
0.00000000
N
N
N
N
N
N
VALLOUREC SA
969500P2Q1B47H4MCJ34
Vallourec SA
000000000
52000.00000000
PA
58842.42000000
0.006933365741
Long
DBT
CORP
FR
N
2
2026-06-30
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
187333.00000000
OU
Notional Amount
USD
-1169.38000000
-0.00013778731
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-3340.81000000
USD
187333.00000000
USD
2171.43000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
EUR C USD P @1.185000 EO
000000000
8150000.00000000
OU
Notional Amount
13794.38000000
0.001625383213
N/A
DFE
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
13794.38000000
0.00000000
DFE
US
9657750.00000000
EUR
8150000.00000000
USD
2022-08-05
1.00000000
1.18500000
EUR
2022-08-05
XXXX
-57531.15000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7J2
222857.33000000
PA
USD
227169.97000000
0.026767296237
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPTL8
46274.25000000
PA
USD
46117.53000000
0.005433999869
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
3.00000000
N
N
N
N
N
N
ARABIAN CENTRES SUKUK II
549300X92PKHJD8UYG94
Arabian Centres Sukuk II Ltd
03847QAA1
1310000.00000000
PA
USD
1237950.00000000
0.145866878343
Long
DBT
CORP
KY
N
2
2026-10-07
Fixed
5.63000000
N
N
N
N
N
N
KBC GROUP NV
213800X3Q9LSAKRUWY91
KBC Group NV
000000000
400000.00000000
PA
447799.28000000
0.052763910576
Long
DBT
CORP
BE
N
2
2024-01-25
Fixed
1.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J76Q3
32547.33000000
PA
USD
32244.22000000
0.003799316382
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
2.50000000
N
N
N
N
N
N
RENEW POWER PVT LTD
335800BITJZHVZ1CN475
ReNew Power Pvt Ltd
000000000
200000.00000000
PA
USD
195660.00000000
0.023054496075
Long
DBT
CORP
IN
N
2
2027-03-05
Fixed
5.88000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
16.00000000
NS
USD
44501.60000000
0.005243595842
Long
EC
CORP
US
N
1
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAU1
400000.00000000
PA
USD
418000.00000000
0.049252679952
Long
DBT
CORP
IT
N
2
2025-09-17
Fixed
7.70000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
ICE 3MTH SONIA FU DEC22
000000000
-47.00000000
NC
9640.94000000
0.001135985962
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
ICF Three Month SONIA Index Future
SFIZ2 Index
2023-03-14
-11504126.55000000
GBP
9640.94000000
N
N
N
PLANET LABS PBC
N/A
PLANET LABS PBC
000000000
19680.00000000
NS
USD
99974.40000000
0.011779921355
Long
STIV
CORP
US
Y
2
N
N
N
ANHEUSER-BUSCH INBEV SA/
5493008H3828EMEXB082
Anheuser-Busch InBev SA/NV
000000000
400000.00000000
PA
531429.11000000
0.062617961417
Long
DBT
CORP
BE
N
2
2040-04-02
Fixed
3.70000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SCHLUMBERGER NV
000000000
-19.00000000
NC
USD
-1263.50000000
-0.00014887741
N/A
DE
CW
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Schlumberger NV
Schlumberger NV
100.00000000
35.00000000
USD
2022-05-20
XXXX
277.74000000
N
N
N
MERCK FIN SERVICES GMBH
549300OELEN3ZS5RB682
Merck Financial Services GmbH
000000000
100000.00000000
PA
107646.73000000
0.012683947226
Long
DBT
CORP
DE
N
2
2025-07-16
Fixed
0.13000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
61765TAF0
400000.00000000
PA
USD
402547.92000000
0.047431970979
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
177368.69000000
PA
USD
179283.90000000
0.021124910400
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
MNTN DIGITAL
N/A
MNTN DIGITAL
000000000
6037.00000000
NS
USD
118325.20000000
0.013942184703
Long
EP
CORP
US
Y
3
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLS4
60901.35000000
PA
USD
61930.06000000
0.007297180441
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JSAE9
91535.19000000
PA
USD
85242.49000000
0.010044069565
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
317.00000000
NC
USD
-1106994.00000000
-0.13043641433
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNM2 COMDTY
2022-06-21
57215994.00000000
USD
-1106994.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MABR9
20126.17000000
PA
USD
20545.13000000
0.002420819886
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8HY2
23484.86000000
PA
USD
24929.96000000
0.002937481677
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD AUD
000000000
1.00000000
NC
N/A
-204826.30000000
-0.02413455550
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
4PQUHN3JPFGFNF3BB653
4000000.00000000
AUD
339268560.00000000
JPY
2022-06-15
-204826.30000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
000000000
2695000.00000000
PA
2961451.58000000
0.348945997286
Long
DBT
CORP
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-13438.53000000
-0.00158345362
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
6920914.59000000
MXN
334520.98000000
USD
2022-04-01
-13438.53000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-20213.93000000
-0.00238179479
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2557702.40000000
BRL
517000.00000000
USD
2022-04-04
-20213.93000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCA7
6571343.40000000
PA
USD
6868594.04000000
0.809322162628
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.420000 08-APR-2031
000000000
12190458.00000000
OU
Notional Amount
USD
-917537.30000000
-0.10811284923
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-04-08
181.10000000
USD
0.00000000
USD
12190458.00000000
USD
-917718.40000000
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
294225.00000000
NS
179172.99000000
0.021111841944
Long
EC
CORP
GB
N
2
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
0.12000000
PA
0.02000000
0.000000002356
Long
DBT
CORP
DK
N
2
2038-01-01
Floating
0.72000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ICE: (ITRAXX.EUR.37.V1)
000000000
1910000.00000000
OU
Notional Amount
-29450.43000000
-0.00347012584
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S17
2I666VDA0
Y
buy protection
2027-06-22
0.00000000
EUR
-21099.50000000
EUR
1910000.00000000
EUR
-6181.83000000
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-24357.76000000
-0.00287005970
N/A
DFE
JP
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
779000.00000000
USD
91847628.00000000
JPY
2022-04-18
-24357.76000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ALCOA CORP
000000000
-28.00000000
NC
USD
-20020.00000000
-0.00235894414
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Alcoa Corp
Alcoa Corp
100.00000000
85.00000000
USD
2022-04-14
XXXX
-17276.67000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
232528.52000000
PA
USD
234737.13000000
0.027658929992
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
DH EUROPE FINANCE
222100KDGL314CKTZ511
DH Europe Finance II Sarl
000000000
400000.00000000
PA
396081.66000000
0.046670055586
Long
DBT
CORP
LU
N
2
2039-09-18
Fixed
1.35000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAS9
530000.00000000
PA
USD
552666.20000000
0.065120314520
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP
000000000
84.00000000
NC
USD
13944.00000000
0.001643012845
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
24.00000000
USD
2022-04-14
XXXX
1743.85000000
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAC3
112000.00000000
PA
USD
107665.60000000
0.012686170666
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.50000000
N
N
N
N
N
N
Pandora A/S
5299007OWYZ6I1E46843
Pandora A/S
000000000
1157.00000000
NS
110220.86000000
0.012987255362
Long
EC
CORP
DK
N
2
N
N
N
BRITISH AMERICAN TOBACCO
213800FKA5MF17RJKT63
British American Tobacco PLC
000000000
430000.00000000
PA
431686.31000000
0.050865329345
Long
DBT
CORP
GB
N
2
2026-09-27
Fixed
3.00000000
N
N
N
N
N
N
eG Global Finance PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
100000.00000000
PA
107361.54000000
0.012650343466
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
4.38000000
N
N
N
N
N
N
Zurn Holdings, Inc.
549300XLZXRC2KJ6VK87
Zurn Holdings, Inc. 2021 Term Loan B
76168JAS5
26251.21000000
PA
USD
26076.11000000
0.003072531818
Long
LON
CORP
US
N
2
2028-10-04
Floating
2.75000000
N
N
N
N
N
N
ERSTE GROUP BANK AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
500000.00000000
PA
526827.11000000
0.062075710620
Long
DBT
CORP
AT
N
2
2030-06-10
Fixed
1.00000000
N
N
N
N
N
N
KOJAMO OYJ
7437007YPUOQZ8OV1R42
Kojamo Oyj
000000000
560000.00000000
PA
554995.06000000
0.065394722645
Long
DBT
CORP
FI
N
2
2029-05-28
Fixed
0.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZN7
17379.85000000
PA
USD
18358.75000000
0.002163200091
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
China Development Bank
300300C1020111000029
China Development Bank
000000000
1400000.00000000
PA
223333.16000000
0.026315207302
Long
DBT
NUSS
CN
N
2
2024-02-01
Fixed
3.30000000
N
N
N
N
N
N
INTL CONSOLIDATED AIRLIN
959800TZHQRUSH1ESL13
International Consolidated Airlines Group SA
000000000
100000.00000000
PA
105081.31000000
0.012381665383
Long
DBT
CORP
ES
N
2
2025-03-25
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9YZ0
12379.98000000
PA
USD
12952.05000000
0.001526131993
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (CHILE)
000000000
850190.00000000
OU
Notional Amount
USD
-12778.59000000
-0.00150569330
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Republic of Chile
Republic of Chile
Y
buy protection
2027-06-22
0.00000000
USD
-4947.76000000
USD
850190.00000000
USD
-7830.83000000
N
N
N
Alibaba Group Holding Ltd
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609W102
704.00000000
NS
USD
76595.20000000
0.009025164764
Long
EC
CORP
KY
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.385000 10-FEB-2026
000000000
20840354.00000000
OU
Notional Amount
USD
-1684113.24000000
-0.19843801534
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-02-10
148.79000000
USD
0.00000000
USD
20840354.00000000
USD
-1684262.03000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
840000.00000000
OU
Notional Amount
USD
4853.68000000
0.000571906094
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-21
11551.27000000
USD
0.00000000
USD
840000.00000000
USD
-6697.59000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1782.43000000
-0.00021002261
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
210000.00000000
EUR
231157.50000000
USD
2022-06-15
-1782.43000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
151188.84000000
0.017814486959
N/A
DFE
ZA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3849877.49000000
USD
59000000.00000000
ZAR
2022-06-15
151188.84000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ALCOA CORP
000000000
-37.00000000
NC
USD
-40422.50000000
-0.00476295802
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Alcoa Corp
Alcoa Corp
100.00000000
80.00000000
USD
2022-04-14
XXXX
-34637.94000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ICE: (ITRAXX.XO.34.V1)
000000000
532796.40000000
OU
Notional Amount
-51335.04000000
-0.00604877582
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34
2I667KJJ8
Y
buy protection
2025-12-23
0.00000000
EUR
-44933.65000000
EUR
532796.40000000
EUR
2783.42000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
600000.00000000
PA
592348.96000000
0.069796109443
Long
DBT
CORP
IT
N
2
2031-02-24
Fixed
1.35000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
EUR C USD P @1.185000 EO
000000000
-13824832.00000000
OU
Notional Amount
-15.29000000
-0.00000180161
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FX Contract
N/A
1.00000000
NC
USD
-15.29000000
0.00000000
DFE
MX
-13824832.00000000
USD
-16382425.92000000
MXN
2022-04-07
1.00000000
1.18500000
EUR
2022-04-07
XXXX
28579.33000000
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
556000.00000000
PA
620026.22000000
0.073057303770
Long
DBT
NUSS
AT
N
2
2028-02-20
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERM23
41076.79000000
PA
USD
41406.89000000
0.004878948088
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.491500 23-JUL-2024
000000000
15879655.00000000
OU
Notional Amount
USD
730003.83000000
0.086015897137
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-23
0.00000000
USD
-93.51000000
USD
15879655.00000000
USD
730097.34000000
N
N
N
Archer-Daniels-Midland Co
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039483102
2991.00000000
NS
USD
269967.66000000
0.031810121424
Long
EC
CORP
US
N
1
N
N
N
Daimler Truck Holding AG
529900PW78JIYOUBSR24
Daimler Truck Holding AG
000000000
1911.00000000
NS
53001.55000000
0.006245139663
Long
EC
CORP
DE
N
2
N
N
N
NYSE Euronext - Euronext Amsterdam
N/A
SHELL PLC
000000000
157.00000000
NC
16065.51000000
0.001892989048
N/A
DE
GB
N
1
NYSE Euronext - Euronext Amsterdam
N/A
Call
Purchased
Shell PLC
Shell PLC
100.00000000
24.00000000
EUR
2022-04-14
XXXX
-3778.24000000
N
N
N
ConnectWise, LLC
N/A
ConnectWise, LLC 2021 Term Loan B
20786NAC1
111720.00000000
PA
USD
110826.24000000
0.013058586911
Long
LON
CORP
US
N
2
2028-09-29
Floating
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.732500 27-MAR-2025
000000000
9530000.00000000
OU
Notional Amount
50060.28000000
0.005898571648
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-27
0.00000000
EUR
-45.27000000
EUR
9530000.00000000
EUR
50110.22000000
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057104
1848.00000000
NS
USD
150002.16000000
0.017674661193
Long
EC
CORP
US
N
1
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
8500000.00000000
PA
1354857.51000000
0.159642017516
Long
DBT
NUSS
CN
N
2
2024-10-17
Fixed
2.94000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
3687.07000000
0.000434445164
N/A
DFE
SG
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
453747.07000000
USD
620000.00000000
SGD
2022-06-15
3687.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5GJ2
6288.12000000
PA
USD
6413.37000000
0.000755683397
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2Q7
63512.90000000
PA
USD
59143.07000000
0.006968791143
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAQ9
760000.00000000
PA
USD
743702.48000000
0.087630000544
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
4.30000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.150000 10-NOV-2026
000000000
22414236.00000000
OU
Notional Amount
USD
1262611.23000000
0.148772695732
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-11-10
0.00000000
USD
-191.66000000
USD
22414236.00000000
USD
1262802.89000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GSA2
36264KAX8
3638053.94000000
PA
USD
402565.22000000
0.047434009427
Long
ABS-MBS
CORP
US
N
2
2053-12-12
Variable
1.73000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
200000.00000000
PA
249765.78000000
0.029429746472
Long
DBT
CORP
GB
N
2
2026-11-03
Fixed
1.70000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TAPESTRY INC
000000000
29.00000000
NC
USD
3987.50000000
0.000469844644
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Tapestry Inc
Tapestry Inc
100.00000000
40.00000000
USD
2022-05-20
XXXX
-59.24000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
1304.74000000
0.000153736702
N/A
DFE
XX
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
7290820.72000000
SEK
702000.00000000
EUR
2022-04-20
1304.74000000
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
428236BR3
30000.00000000
PA
USD
34962.56000000
0.004119616693
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.912000 22-FEB-2051
000000000
1118376.00000000
OU
Notional Amount
USD
92669.96000000
0.010919243734
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-22
0.00000000
USD
-33.94000000
USD
1118376.00000000
USD
92703.90000000
N
N
N
LION/POLARIS LUX
984500BFD3F99A7UB874
Lion/Polaris Lux 4 SA
000000000
100000.00000000
PA
110039.99000000
0.012965943563
Long
DBT
CORP
LU
N
2
2026-07-01
Floating
4.00000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DZ7
1192000.00000000
PA
USD
1014095.87000000
0.119490285470
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-8073.57000000
-0.00095130373
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
24671258074.00000000
IDR
1711024.21000000
USD
2022-04-18
-8073.57000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZJ6
3450.80000000
PA
USD
3511.28000000
0.000413731937
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Citibank N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-120123.25000000
-0.01415404781
N/A
DFE
US
N
2
Citibank N.A.
B4TYDEB6GKMZO031MB27
39120000.00000000
MXN
1821745.30000000
USD
2022-06-15
-120123.25000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/SCDS: (SOAF)
000000000
1588539.00000000
OU
Notional Amount
USD
80602.12000000
0.009497297655
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Republic of South Africa
Republic of South Africa
Y
buy protection
2027-06-22
98481.34000000
USD
0.00000000
USD
1588539.00000000
USD
-17879.22000000
N
N
N
SUZANO AUSTRIA G
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
595000.00000000
PA
USD
527199.75000000
0.062119618559
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3472.81000000
0.000409199041
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
11785378.50000000
ZAR
810000.00000000
USD
2022-04-01
3472.81000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
404000.00000000
PA
USD
417635.00000000
0.049209672230
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
4.50000000
N
N
N
N
N
N
Gulf Stream Meridian 1 Ltd.
N/A
Gulf Stream Meridian 4 Ltd
402562AC6
250000.00000000
PA
USD
248783.18000000
0.029313967325
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
2.09000000
N
N
N
N
N
N
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-3305.35000000
-0.00038946733
N/A
DFE
US
N
2
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
20947140.00000000
INR
270000.00000000
USD
2022-06-15
-3305.35000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BM3
434000.00000000
PA
USD
179025.00000000
0.021094404374
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHFL1
10435.55000000
PA
USD
10374.19000000
0.001222384353
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC 2nd Lien Term Loan
62984CAB9
20000.00000000
PA
USD
19900.00000000
0.002344804619
Long
LON
CORP
US
N
2
2030-01-24
Floating
6.65000000
N
N
N
N
N
N
CAB
9695008EGX5O9K1MS743
CAB SELAS
000000000
200000.00000000
PA
210162.67000000
0.024763336659
Long
DBT
CORP
FR
N
2
2028-02-01
Fixed
3.38000000
N
N
N
N
N
N
BECTON DICKINSON EURO
549300W40NLZ25XUTH09
Becton Dickinson Euro Finance Sarl
000000000
405000.00000000
PA
367085.36000000
0.043253439596
Long
DBT
CORP
LU
N
2
2041-08-13
Fixed
1.34000000
N
N
N
N
N
N
REPUBLIC OF AUSTRIA
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
474000.00000000
PA
393888.43000000
0.046411628660
Long
DBT
NUSS
AT
N
2
2071-04-20
Fixed
0.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6BK9
85757.61000000
PA
USD
79891.76000000
0.009413596378
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-8431.69000000
-0.00099350078
N/A
DFE
US
N
2
State Street Bank & Trust Co.
MP6I5ZYZBEU3UXPYFY54
12124593.00000000
CZK
540000.00000000
USD
2022-04-20
-8431.69000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
1300000.00000000
PA
1419443.45000000
0.167252138646
Long
DBT
CORP
DE
N
2
2025-03-17
Fixed
1.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BUEB1
18358.62000000
PA
USD
19015.23000000
0.002240552721
Long
ABS-MBS
USGA
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.760000 28-JAN-2032
000000000
33146793.00000000
OU
Notional Amount
USD
-1820706.95000000
-0.21453276721
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-28
527.10000000
USD
0.00000000
USD
33146793.00000000
USD
-1821234.05000000
N
N
N
Kapitus Asset Securitization LLC
N/A
Kapitus Asset Securitization LLC
48555HAA8
334000.00000000
PA
USD
324092.02000000
0.038187561091
Long
ABS-O
CORP
US
N
2
2028-07-10
Fixed
3.38000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CH0
495000.00000000
PA
553885.48000000
0.065263981523
Long
DBT
CORP
US
N
2
2023-05-24
Fixed
1.40000000
N
N
N
N
N
N
THYSSENKRUPP AG
549300UDG16DOYUPR330
thyssenkrupp AG
000000000
300000.00000000
PA
329960.67000000
0.038879060470
Long
DBT
CORP
DE
N
2
2023-03-06
Fixed
1.88000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
200000.00000000
PA
USD
98022.00000000
0.011549871278
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AACD4
68342.43000000
PA
USD
70299.15000000
0.008283305109
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECY4
92802.00000000
PA
USD
87092.66000000
0.010262073945
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
KWG GROUP HOLDINGS
549300LK82ZOM9ZE7H90
KWG Group Holdings Ltd
000000000
200000.00000000
PA
USD
99000.00000000
0.011665108409
Long
DBT
CORP
KY
N
2
2023-09-01
Fixed
7.88000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
100000.00000000
PA
68768.60000000
0.008102961355
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
Aruba Investments, Inc.
254900GMIYFF4FZ0A357
Aruba Investments, Inc. 2020 USD Term Loan
04317JAB4
109725.00000000
PA
USD
108079.13000000
0.012734896649
Long
LON
CORP
US
N
2
2027-11-24
Floating
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDB9
130000.00000000
PA
USD
136201.00000000
0.016048479096
Long
DBT
CORP
US
N
2
2030-09-30
Fixed
5.70000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
EUR P USD C @1.040000 EO
000000000
-10145977.00000000
OU
Notional Amount
-7463.94000000
-0.00087947140
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
-7463.94000000
0.00000000
DFE
CL
-10145977.00000000
USD
-10551816.08000000
CLP
2022-05-12
1.00000000
1.04000000
EUR
2022-05-12
XXXX
23034.00000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
700000.00000000
PA
1206776.91000000
0.142193772542
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAL8
1000000.00000000
PA
USD
983847.70000000
0.115926162417
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.91000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2022-ST1
91683NAA0
181626.42000000
PA
USD
177154.16000000
0.020873964461
Long
ABS-O
CORP
US
N
2
2030-03-20
Fixed
2.60000000
N
N
N
N
N
N
Generac Holdings Inc
529900S2H2AHJHSFFI84
Generac Holdings Inc
368736104
921.00000000
NS
USD
273776.46000000
0.032258909959
Long
EC
CORP
US
N
1
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-C2
17291CBU8
750000.00000000
PA
USD
712830.90000000
0.083992421479
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
3.18000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE JUN22
000000000
35.00000000
NC
-67425.24000000
-0.00794467408
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-BTP Italian Bond Futures
IKM2 COMDTY
2022-06-08
4901799.38000000
EUR
-67425.24000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRR5
17011.07000000
PA
USD
17501.79000000
0.002062225027
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.572600 27-AUG-2024
000000000
8208910.00000000
OU
Notional Amount
USD
380888.74000000
0.044879883274
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-27
0.00000000
USD
-50.36000000
USD
8208910.00000000
USD
380939.10000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUD1
5078.99000000
PA
USD
5050.51000000
0.000595098451
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWK0
21370.84000000
PA
USD
21700.77000000
0.002556988228
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD P CLP C @795.00 EO
000000000
-4284000.00000000
OU
Notional Amount
USD
-89424.22000000
-0.01053680020
N/A
DFE
LU
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
-89424.22000000
-0.01000000
DFE
US
-4284000.00000000
EUR
-3405780000.00000000
USD
2022-05-06
1.00000000
795.00000000
USD
2022-05-06
XXXX
-27648.94000000
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-1732780.73000000
-0.20417247541
N/A
DFE
JP
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
34969050.00000000
USD
4038715460.00000000
JPY
2022-06-15
-1732780.73000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FSWP: MYR 2.949000 21-SEP-2024
000000000
32080000.00000000
OU
Notional Amount
27059.95000000
0.003188457073
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2024-09-23
0.00000000
MYR
0.00000000
MYR
32080000.00000000
MYR
27059.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFAD8
5440.41000000
PA
USD
5389.38000000
0.000635027292
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
BELLIS ACQUISITION CO PL
259400CYE2267UB4A481
Bellis Acquisition Co PLC
000000000
200000.00000000
PA
242410.91000000
0.028563126716
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
17000.00000000
PA
USD
16383.75000000
0.001930487069
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.60000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
351000.00000000
PA
399739.01000000
0.047100998861
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
HEATHROW FUNDING LTD
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
000000000
735000.00000000
PA
903199.62000000
0.106423449324
Long
DBT
CORP
JE
N
2
2028-03-16
Fixed
2.63000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AW6
200000.00000000
PA
USD
216874.34000000
0.025554168559
Long
DBT
CORP
JP
N
2
2028-11-26
Fixed
5.00000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738BB3
635000.00000000
PA
USD
599718.17000000
0.070664418873
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.25000000
N
N
N
N
N
N
American Auto Auction Group, LLC
N/A
American Auto Auction Group, LLC 2021 Term Loan B
000000000
423000.00000000
PA
USD
415068.75000000
0.048907292589
Long
LON
CORP
US
N
2
2027-12-30
Floating
5.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QE2F8
37802.06000000
PA
USD
38824.83000000
0.004574705565
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP
000000000
84.00000000
NC
USD
8946.00000000
0.001054101614
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
25.00000000
USD
2022-04-14
XXXX
-1032.71000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ROSS
36264YAA8
100000.00000000
PA
USD
98696.39000000
0.011629334232
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
1.55000000
N
N
N
N
N
N
Capex SA
529900C9G66T1U8FMX69
Capex SA
139612AE5
170000.00000000
PA
USD
160416.25000000
0.018901746938
Long
DBT
CORP
AR
N
2
2024-05-15
Fixed
6.88000000
N
N
N
N
N
N
VITERRA FINANCE BV
213800HBZGEIZLKJBI17
Viterra Finance BV
000000000
1345000.00000000
PA
1399866.53000000
0.164945402341
Long
DBT
CORP
NL
N
2
2025-09-24
Fixed
0.38000000
N
N
N
N
N
N
OIL & GAS HOLDING
549300OBH16L6TS6IW50
Oil and Gas Holding Co BSCC/The
000000000
590000.00000000
PA
USD
620975.00000000
0.073169097927
Long
DBT
CORP
BH
N
2
2024-11-07
Fixed
7.63000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
230992000.00000000
PA
85289.35000000
0.010049591050
Long
DBT
NUSS
RU
N
2
2035-07-18
Fixed
6.10000000
N
N
N
N
N
N
MONDELEZ INTL HLDINGS NE
549300CW356R8I7N8D33
Mondelez International Holdings Netherlands BV
000000000
120000.00000000
PA
108276.19000000
0.012758116106
Long
DBT
CORP
NL
N
2
2041-09-09
Fixed
1.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BRY0H4YN9 BLACKROCK
000000000
-11506644.00000000
NC
USD
-102009.62000000
-0.01201973006
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
IRS Swap
N/A
11506644.00000000
OU
Notional Amount
N/A
-102009.62000000
-0.01000000
DIR
US
N/A
N/A
2033-03-28
0.00000000
N/A
0.00000000
N/A
11506644.00000000
USD
1.00000000
3.28000000
USD
2023-03-24
XXXX
-4203.15000000
N
N
N
BNP Paribas SA
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
37996.30000000
0.004477080390
N/A
DFE
BR
N
2
BNP Paribas SA
E57ODZWZ7FF32TWEFA76
514000.00000000
USD
2628082.00000000
BRL
2022-04-04
37996.30000000
N
N
N
ENGIE SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
35000.00000000
PA
39032.83000000
0.004599214075
Long
DBT
CORP
FR
N
2
2022-07-20
Fixed
2.63000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300V5ZF7112UGSH89
Rockford Tower CLO 2017-3 Ltd
77341DAA5
400000.00000000
PA
USD
398595.76000000
0.046966290425
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.44000000
N
N
N
N
N
N
Genius Sports Ltd
N/A
Genius Sports Ltd
000000000
26450.00000000
NS
USD
121670.00000000
0.014336300406
Long
EC
CORP
GG
N
1
N
N
N
JBS USA LUX/JBS USA FIN
N/A
JBS USA LUX SA / JBS USA Finance Inc
472141AA8
100000.00000000
PA
USD
105425.00000000
0.012422162162
Long
DBT
CORP
XX
N
2
2028-02-15
Fixed
6.75000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BRY0KDS93 BLACKROCK
000000000
-90000000.00000000
OU
Notional Amount
-344685.30000000
-0.04061405446
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-344685.30000000
-0.04000000
DFE
US
-90000000.00000000
MXN
-96750000.00000000
USD
2022-05-27
1.00000000
1.07500000
EUR
2022-05-27
XXXX
164324.33000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-20213.93000000
-0.00238179479
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2557702.40000000
BRL
517000.00000000
USD
2022-04-04
-20213.93000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZM9
63000.00000000
PA
USD
59383.01000000
0.006997063124
Long
DBT
CORP
US
N
2
2033-02-24
Fixed
3.10000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
121000.00000000
PA
USD
115706.25000000
0.013633595454
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.88000000
N
N
N
N
N
N
Mercury Financial Credit Card Master Trust
N/A
Mercury Financial Credit Card Master Trust
58940BAE6
935000.00000000
PA
USD
902152.23000000
0.106300036012
Long
ABS-O
CORP
US
N
2
2026-09-21
Fixed
2.50000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-19220.31000000
-0.00226471716
N/A
DFE
XX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
1158813.54000000
USD
1030141.00000000
EUR
2022-04-01
-19220.31000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
100000.00000000
PA
104552.11000000
0.012319310077
Long
DBT
CORP
FR
N
2
2032-01-15
Fixed
1.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-14954.17000000
-0.00176204054
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
6032477.00000000
USD
38398688.72000000
CNY
2022-06-15
-14954.17000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
43800000.00000000
PA
6946915.50000000
0.818550731534
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
925.00000000
NS
USD
285186.75000000
0.033603377331
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BRY0HFAP5 BLACKROCK
000000000
-3064000.00000000
OU
Notional Amount
USD
-18990.67000000
-0.00223765883
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-18990.67000000
0.00000000
DFE
US
-3064000.00000000
JPY
-48104800.00000000
USD
2022-05-27
1.00000000
15.70000000
USD
2022-05-27
XXXX
3070.13000000
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue 2017-280P Mortgage Trust
90205FAN0
350000.00000000
PA
USD
345296.81000000
0.040686108305
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.43000000
N
N
N
N
N
N
ARABIAN CENTRES SUKUK
5493003T55GS691ILI42
Arabian Centres Sukuk Ltd
000000000
443000.00000000
PA
USD
426941.25000000
0.050306221877
Long
DBT
CORP
KY
N
2
2024-11-26
Fixed
5.38000000
N
N
N
N
N
N
KBC GROUP NV
213800X3Q9LSAKRUWY91
KBC Group NV
000000000
600000.00000000
PA
612641.12000000
0.072187122031
Long
DBT
CORP
BE
N
2
2031-12-07
Fixed
0.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-1280.11000000
-0.00015083456
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
620000.00000000
SGD
456154.03000000
USD
2022-06-15
-1280.11000000
N
N
N
SCIL IV LLC / SCIL USA H
N/A
SCIL IV LLC / SCIL USA Holdings LLC
000000000
100000.00000000
PA
105923.41000000
0.012480889503
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
4.38000000
N
N
N
N
N
N
Chartiers Valley School District
N/A
CHARTIERS VLY PA SCH DIST
161398LD2
1590000.00000000
PA
USD
1436587.26000000
0.169272183113
Long
DBT
MUN
US
N
2
2049-10-15
Fixed
3.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
EUR/SEK One-touch barrier option; Barrier price EUR 9.95000
000000000
350000.00000000
OU
Notional Amount
639.63000000
0.000075367204
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
EUR/SEK One-touch barrier option; Barrier price EUR 9.95000
N/A
1.00000000
NC
USD
639.63000000
0.00000000
DFE
SE
3482500.00000000
EUR
350000.00000000
SEK
2022-04-11
1.00000000
9.95000000
EUR
2022-04-11
XXXX
-44513.81000000
N
N
N
Health Care Select Sector SPDR Fund
549300EJNY3KKJHPOY44
Health Care Select Sector SPDR Fund
81369Y209
3733.00000000
NS
USD
511383.67000000
0.060256019692
Long
EC
RF
US
N
1
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BY5
472000.00000000
PA
USD
434622.78000000
0.051211331778
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.60000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
200000.00000000
PA
215627.55000000
0.025407260069
Long
DBT
CORP
NL
N
2
2025-09-03
Fixed
0.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFRT0
304238.86000000
PA
USD
283610.87000000
0.033417692371
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Deutsche Bank AG
JHE42UYNWWTJB8YTTU19
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-55896.32000000
-0.00658622861
N/A
DFE
US
N
2
Deutsche Bank AG
JHE42UYNWWTJB8YTTU19
3798569.61000000
AUD
2790000.00000000
USD
2022-06-15
-55896.32000000
N
N
N
MERCK KGAA
529900OAREIS0MOPTW25
Merck KGaA
000000000
200000.00000000
PA
220696.83000000
0.026004570178
Long
DBT
CORP
DE
N
2
2079-06-25
Fixed
1.63000000
N
N
N
N
N
N
UGI INTERNATIONAL LLC
5493001JFF8MQO00ZQ21
UGI International LLC
000000000
100000.00000000
PA
93367.48000000
0.011001432082
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGKA4
813336.01000000
PA
USD
805660.46000000
0.094930470782
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
N/A
United States Treasury Note/Bond
000000000
1618950.00000000
PA
USD
1618950.00000000
0.190759871315
Long
STIV
UST
US
N
2
2022-04-01
Fixed
0.22000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818GA0
121000.00000000
PA
USD
119563.51000000
0.014088094000
Long
DBT
CORP
US
N
2
2072-02-14
Fixed
3.85000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp
615369AX3
221000.00000000
PA
USD
184812.79000000
0.021776376069
Long
DBT
CORP
US
N
2
2061-11-29
Fixed
3.10000000
N
N
N
N
N
N
Sovos Brands Intermediate, Inc.
549300LNTCFBIDJ7R637
Sovos Brands Intermediate, Inc. 2021 Term Loan
84611UAH1
41406.35000000
PA
USD
40903.68000000
0.004819655167
Long
LON
CORP
US
N
2
2028-06-08
Floating
4.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
MERCEDES-BENZ GROUP AG
000000000
-13.00000000
NC
-2272.24000000
-0.00026773662
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Put
Written
Mercedes-Benz Group AG
Mercedes-Benz Group AG
100.00000000
50.00000000
EUR
2022-06-17
XXXX
-157.14000000
N
N
N
RENEWABLE ENERGY GROUP I
549300HPU3BD8ZI0X358
Renewable Energy Group Inc
75972AAD5
34000.00000000
PA
USD
36520.42000000
0.004303178368
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.88000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XI Ltd
55818KAV3
986911.82000000
PA
USD
979677.07000000
0.115434739679
Long
ABS-CBDO
CORP
KY
N
2
2029-07-23
Floating
1.16000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3195.55000000
0.000376529668
N/A
DFE
XX
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
218652.00000000
USD
200000.00000000
EUR
2022-06-15
3195.55000000
N
N
N
Credit Agricole CIB
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2117.29000000
0.000249478963
N/A
DFE
XX
N
2
Credit Agricole CIB
7LTWFZYICNSX8D621K86
1073843.35000000
USD
970000.00000000
EUR
2022-06-15
2117.29000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP
000000000
25.00000000
NC
USD
3225.00000000
0.000379999743
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
60.00000000
USD
2022-04-14
XXXX
-9455.73000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAL5
138000.00000000
PA
USD
141756.04000000
0.016703026003
Long
DBT
US
N
2
2029-02-15
Fixed
4.30000000
N
N
N
N
N
N
ASTRAZENECA PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AW8
275000.00000000
PA
USD
239643.64000000
0.028237061013
Long
DBT
CORP
GB
N
2
2030-08-06
Fixed
1.38000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-28562.14000000
-0.00336545918
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
2000000.00000000
EUR
2189913.40000000
USD
2022-06-15
-28562.14000000
N
N
N
GETLINK SE
9695007ZEQ7M0OE74G82
Getlink SE
000000000
150000.00000000
PA
169256.21000000
0.019943353926
Long
DBT
CORP
FR
N
2
2025-10-30
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEA6
73000.00000000
PA
USD
64917.88000000
0.007649233413
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q83N3
233187.78000000
PA
USD
245851.43000000
0.028968521047
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
OP CORPORATE BANK PLC
549300NQ588N7RWKBP98
OP Corporate Bank plc
000000000
1150000.00000000
PA
1211773.59000000
0.142782528238
Long
DBT
CORP
FI
N
2
2026-03-24
Fixed
0.25000000
N
N
N
N
N
N
Deutsche Bank AG
HPFHU0OQ28E4N0NFVK49
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
23521.47000000
0.002771520176
N/A
DFE
CZ
N
2
Deutsche Bank AG
HPFHU0OQ28E4N0NFVK49
1228000.00000000
EUR
30566688.32000000
CZK
2022-04-20
23521.47000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4P7
1031.02000000
PA
USD
1021.74000000
0.000120390988
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
1050.00000000
NS
USD
138390.00000000
0.016306407604
Long
EC
CORP
US
N
1
N
N
N
Claudius Finance S.A.R.L.
2221001BVBGKKRMMGO11
Claudius Finance S.A.R.L. 2021 EUR Term Loan B
000000000
0.00000000
PA
0.00000000
0.000000
Long
LON
CORP
LU
N
2
2028-07-10
Floating
3.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
LYONDELLBASELL INDUSTRIES NV
000000000
-31.00000000
NC
USD
-6742.50000000
-0.00079446458
N/A
DE
NL
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
LyondellBasell Industries NV
LyondellBasell Industries NV
100.00000000
90.00000000
USD
2022-06-17
XXXX
-964.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83P0
81315.32000000
PA
USD
75731.66000000
0.008923414383
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWP: OIS 11.770000 02-JAN-2024
000000000
7500000.00000000
OU
Notional Amount
-5364.53000000
-0.00063209923
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
7500000.00000000
BRL
-5364.53000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MFF94
99347.54000000
PA
USD
102958.37000000
0.012131520684
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 2.035000 07-JUN-2051
000000000
1265533.00000000
OU
Notional Amount
USD
65052.97000000
0.007665150984
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-06-07
0.00000000
USD
-39.24000000
USD
1265533.00000000
USD
65092.21000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030658
600000.00000000
PA
USD
591398.44000000
0.069684110263
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
3.00000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
494000.00000000
PA
476571.16000000
0.056154083297
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.63000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
376000.00000000
PA
390840.67000000
0.046052512995
Long
DBT
NUSS
GR
N
2
2026-02-12
None
0.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-20069.28000000
-0.00236475077
N/A
DFE
US
N
2
State Street Bank & Trust Co.
BFM8T61CT2L1QCEMIK50
12422160.00000000
TRY
810000.00000000
USD
2022-04-29
-20069.28000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BLACKROCK SWAPTION 0.0304000 PUT USD 202
000000000
-18065597.00000000
NC
USD
-418059.95000000
-0.04925974382
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
18065597.00000000
OU
Notional Amount
N/A
-418059.95000000
-0.05000000
DIR
US
N/A
N/A
2031-06-17
0.00000000
N/A
0.00000000
N/A
18065597.00000000
USD
1.00000000
0.03040000
USD
2026-06-15
XXXX
-115912.84000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
EUR C SEK P @10.80000 EO
000000000
-966000.00000000
OU
Notional Amount
-1166.95000000
-0.00013750099
N/A
DFE
LU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
-1166.95000000
0.00000000
DFE
US
-966000.00000000
EUR
-10432800.00000000
USD
2022-04-28
1.00000000
10.80000000
EUR
2022-04-28
XXXX
6723.89000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EAA8
1100489.06000000
PA
USD
997449.03000000
0.117528798669
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
1.50000000
N
N
N
N
N
N
2020 CASH EXCH TRUST
N/A
2020 Cash Mandatory Exchangeable Trust
901375105
290.00000000
NS
USD
323350.00000000
0.038100129336
Long
EP
CORP
US
N
2
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSF8
941937.89000000
PA
USD
899680.91000000
0.106008841913
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-89839.32000000
-0.01058571118
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
188225000.00000000
RUB
2434773.05000000
USD
2022-05-24
-89839.32000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329PZC0
3786.70000000
PA
USD
3933.85000000
0.000463523098
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
COLGATE ENERGY P
549300QRLZK0B17DH791
Colgate Energy Partners III LLC
19416MAB5
62000.00000000
PA
USD
63918.90000000
0.007531524221
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.88000000
N
N
N
N
N
N
Moderna Inc
549300EI6OKH5K5Q2G38
Moderna Inc
60770K107
785.00000000
NS
USD
135224.10000000
0.015933371577
Long
EC
CORP
US
N
1
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
1059000.00000000
PA
USD
436837.50000000
0.051472290858
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAF5
258000.00000000
PA
USD
220074.00000000
0.025931182507
Long
DBT
CORP
CO
N
2
2031-02-15
Fixed
4.38000000
N
N
N
N
N
N
Stars Group Holdings B.V. (The)
549300RNFXC8F8RT6R13
Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan
000000000
436203.19000000
PA
USD
432294.81000000
0.050937028522
Long
LON
CORP
NL
N
2
2026-07-21
Floating
3.26000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NAZ4
133000.00000000
PA
USD
129591.30000000
0.015269662257
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK95
10304.84000000
PA
USD
10206.29000000
0.001202600801
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Altice Financing SA
549300DIYGW8HVDF7Q17
Altice Financing SA EUR 2017 1st Lien Term Loan
000000000
0.00000000
PA
0.00000000
0.000000
Long
LON
CORP
LU
N
2
2026-01-31
Floating
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS54
83023.53000000
PA
USD
85692.09000000
0.010097045653
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Vedanta Resources Ltd
2138007MYEKPEAZQTW83
Vedanta Resources Ltd
92241TAM4
338000.00000000
PA
USD
293215.00000000
0.034549341034
Long
DBT
CORP
GB
N
2
2024-08-09
Fixed
6.13000000
N
N
N
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
100000.00000000
PA
102217.48000000
0.012044222076
Long
DBT
CORP
NL
N
2
2027-11-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DSX6
4562.18000000
PA
USD
4639.47000000
0.000546665863
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
31628.01000000
0.003726708741
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
91814735.00000000
JPY
786000.00000000
USD
2022-04-18
31628.01000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMR49
62917.94000000
PA
USD
65816.22000000
0.007755084256
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDG1
510000.00000000
PA
USD
503124.18000000
0.059282809124
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.38000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431AL3
550000.00000000
PA
USD
560713.46000000
0.066068518159
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3.85000000
N
N
N
N
N
N
Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
13110.37000000
0.001544786740
N/A
DFE
US
N
2
Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
412002.00000000
EUR
469591.64000000
USD
2022-05-20
13110.37000000
N
N
N
Trane Technologies PLC
549300BURLR9SLYY2705
Trane Technologies PLC
000000000
1174.00000000
NS
USD
179269.80000000
0.021123249006
Long
EC
CORP
IE
N
1
N
N
N
JPMorgan Chase Bank N.A.
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-404.45000000
-0.00004765609
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
G5GSEF7VJP5I7OUK5573
222252.00000000
USD
200000.00000000
EUR
2022-06-15
-404.45000000
N
N
N
Coupang Inc
549300XR4L1D80AK4W76
Coupang Inc
22266T109
8592.00000000
NS
USD
151906.56000000
0.017899055460
Long
EC
CORP
US
N
1
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
215000.00000000
PA
USD
191350.00000000
0.022546651456
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.63000000
N
N
N
N
N
N
TEXAS CAPITAL BANK NA
38PG5GG0OEQK4QMSKE59
Texas Capital Bank NA
88225GAA6
1000000.00000000
PA
USD
983760.12000000
0.115915842920
Long
DBT
CORP
US
N
2
2024-09-30
Floating
5.51000000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer
70052LAC7
222000.00000000
PA
USD
208113.90000000
0.024521931364
Long
DBT
US
N
2
2029-05-15
Fixed
4.88000000
N
N
N
N
N
N
County of Wake NC
5493007XQJHO082P1H29
WAKE CNTY NC
930864DR1
1870000.00000000
PA
USD
2173826.38000000
0.256140609969
Long
DBT
MUN
US
N
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBM1
330000.00000000
PA
USD
310632.30000000
0.036601610657
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.70000000
N
N
N
N
N
N
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
601.30000000
0.000070850804
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
455879.97000000
USD
412002.00000000
EUR
2022-05-20
601.30000000
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
000000000
300000.00000000
PA
USD
269118.75000000
0.031710094887
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.63000000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
100000.00000000
PA
110218.98000000
0.012987033843
Long
DBT
CORP
DE
N
2
2027-07-15
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XYBY9
7696.14000000
PA
USD
7850.60000000
0.000925031313
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
118000.00000000
PA
USD
122779.00000000
0.014466973186
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.38000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
000000000
2065000.00000000
PA
2268529.13000000
0.267299376085
Long
DBT
CORP
CA
N
2
2024-04-25
Fixed
0.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83B1
202531.75000000
PA
USD
205773.86000000
0.024246205907
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CA0
1762000.00000000
PA
USD
1485912.59000000
0.175084156060
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
PSA BANQUE FRANCE
969500JK1O192KI3E882
PSA Banque France SA
000000000
100000.00000000
PA
106741.82000000
0.012577322244
Long
DBT
CORP
FR
N
2
2025-01-22
None
0.00000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
EUR P USD C @1.080000 EO
000000000
20291954.00000000
OU
Notional Amount
73921.16000000
0.008710084294
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
73921.16000000
0.01000000
DFE
US
21915310.32000000
CLP
20291954.00000000
USD
2022-05-12
1.00000000
1.08000000
EUR
2022-05-12
XXXX
-92915.24000000
N
N
N
NPC UKRENERGO
8945009LCLS92V4AK321
NPC Ukrenergo
63718LAA2
411000.00000000
PA
USD
154125.00000000
0.018160452865
Long
DBT
CORP
UA
N
2
2026-11-09
Fixed
6.88000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
325000.00000000
PA
339760.55000000
0.040033774233
Long
DBT
CORP
CH
N
2
2027-06-24
Fixed
1.00000000
N
N
N
N
N
N
Steele Creek CLO Ltd
N/A
Steele Creek Clo 2017-1 Ltd
85816VAA4
400000.00000000
PA
USD
398468.20000000
0.046951260110
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.49000000
N
N
N
N
N
N
Canada Square Funding
6354007J4JIXGCWTSJ05
Canada Square Funding 2021-2 PLC
000000000
112000.00000000
PA
145749.87000000
0.017173616507
Long
ABS-MBS
CORP
GB
N
2
2058-06-17
Floating
1.48000000
N
N
N
N
N
N
MERLIN PROPERTIES SOCIMI
959800L8KD863DP30X04
Merlin Properties Socimi SA
000000000
700000.00000000
PA
657552.64000000
0.077479018493
Long
DBT
ES
N
2
2034-12-04
Fixed
1.88000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ALCOA CORP
000000000
28.00000000
NC
USD
70210.00000000
0.008272800620
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Alcoa Corp
Alcoa Corp
100.00000000
65.00000000
USD
2022-04-14
XXXX
54391.60000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
770000.00000000
PA
USD
764190.50000000
0.090044091195
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.45000000
N
N
N
N
N
N
Williams-Sonoma Inc
549300IARG6YWVTZ1I92
Williams-Sonoma Inc
969904101
1315.00000000
NS
USD
190675.00000000
0.022467116626
Long
EC
CORP
US
N
1
N
N
N
Johnson Controls International plc
549300XQ6S1GYKGBL205
Johnson Controls International plc
000000000
2483.00000000
NS
USD
162810.31000000
0.019183837539
Long
EC
CORP
IE
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCL6
2586.74000000
PA
USD
2522.22000000
0.000297191613
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.00000000
N
N
N
N
N
N
Lincoln Financing SARL
222100831I4WRVCLV609
Lincoln Financing SARL
000000000
100000.00000000
PA
110348.41000000
0.013002284500
Long
DBT
CORP
LU
N
2
2024-04-01
Fixed
3.63000000
N
N
N
N
N
N
BANCO VOTORANTIM
X2EUTZGMHS8RBQFIUS93
Banco Votorantim SA
05967CAD5
288000.00000000
PA
USD
290034.00000000
0.034174525783
Long
DBT
CORP
BR
N
2
2022-09-24
Fixed
4.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-1221.19000000
-0.00014389205
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
5374699.49000000
MXN
269000.00000000
USD
2022-04-01
-1221.19000000
N
N
N
SCIL IV LLC / SCIL USA H
N/A
SCIL IV LLC / SCIL USA Holdings LLC
000000000
122000.00000000
PA
132870.55000000
0.015656054244
Long
DBT
CORP
US
N
2
2026-11-01
Floating
4.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1579.38000000
0.000186097362
N/A
DFE
US
N
2
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
970000.00000000
EUR
1077540.02000000
USD
2022-06-15
1579.38000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.600000 08-APR-2026
000000000
54465822.00000000
OU
Notional Amount
USD
4005562.71000000
0.471972962170
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
0.00000000
USD
-409.16000000
USD
54465822.00000000
USD
4005971.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7MK8
32058.73000000
PA
USD
31266.62000000
0.003684126382
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3132.55000000
0.000369106417
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
218715.00000000
USD
200000.00000000
EUR
2022-06-15
3132.55000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
1342.26000000
0.000158157660
N/A
DFE
MX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
269000.00000000
USD
5392148.01000000
MXN
2022-04-20
1342.26000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-55857.36000000
-0.00658163797
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4103346.00000000
BRL
806000.00000000
USD
2022-04-04
-55857.36000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
6400000.00000000
PA
1060280.82000000
0.124932229396
Long
DBT
NUSS
CN
N
2
2051-04-12
Fixed
3.72000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRA5
46428.51000000
PA
USD
47357.97000000
0.005580160142
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/RUB One-touch barrier option; Barrier price USD 66.00000
000000000
442714.00000000
OU
Notional Amount
USD
2210.47000000
0.000260458304
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/RUB One-touch barrier option; Barrier price USD 66.00000
N/A
1.00000000
NC
USD
2210.47000000
0.00000000
DFE
US
29219124.00000000
RUB
442714.00000000
USD
2022-04-18
1.00000000
66.00000000
USD
2022-04-18
XXXX
-39744.08000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
1455000.00000000
PA
USD
1294972.01000000
0.152585746307
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.30000000
N
N
N
N
N
N
State Street Bank & Trust Co.
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
-750.95000000
-0.00008848397
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
R0MUWSFPU8MPRO8K5P83
405998.40000000
GBP
480000.00000000
EUR
2022-06-15
-750.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEUA8
50403.57000000
PA
USD
51055.74000000
0.006015866081
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335CCX0
34049.73000000
PA
USD
36107.35000000
0.004254506587
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFM40
161568.94000000
PA
USD
155333.41000000
0.018302839063
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NBF7
133000.00000000
PA
USD
135084.25000000
0.015916893138
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.10000000
N
N
N
N
N
N
Intertrust Group BV
724500E2H60ZHP192G28
Intertrust Group BV
000000000
100000.00000000
PA
110259.91000000
0.012991856600
Long
DBT
CORP
NL
N
2
2025-11-15
Fixed
3.38000000
N
N
N
N
N
N
JPMorgan AG
G5GSEF7VJP5I7OUK5573
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
-3596.86000000
-0.00042381577
N/A
DFE
CH
N
2
JPMorgan AG
G5GSEF7VJP5I7OUK5573
1020000.00000000
EUR
1039058.70000000
CHF
2022-06-15
-3596.86000000
N
N
N
APT PIPELINES LTD
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
000000000
175000.00000000
PA
189010.18000000
0.022270951921
Long
DBT
CORP
AU
N
2
2030-07-15
Fixed
2.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BE7
341000.00000000
PA
USD
311394.48000000
0.036691417852
Long
DBT
CORP
US
N
2
2031-04-27
Fixed
2.85000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAE6
100000.00000000
PA
USD
98969.45000000
0.011661508722
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.83000000
N
N
N
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
100000.00000000
PA
108052.95000000
0.012731811876
Long
DBT
CORP
NL
N
2
2029-02-01
Floating
4.88000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJG5
213000.00000000
PA
USD
201883.45000000
0.023787801317
Long
DBT
CORP
US
N
2
2025-09-25
Fixed
0.98000000
N
N
N
N
N
N
Latch Inc
N/A
Latch Inc
51818V114
12334.00000000
NS
USD
8140.44000000
0.000959182980
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Latch Inc
Latch Inc
11.50000000
11.50000000
USD
2026-06-04
XXXX
-19264.61000000
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K107
79.00000000
NS
USD
220646.21000000
0.025998605655
Long
EC
CORP
US
N
1
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCX2
800000.00000000
PA
USD
777007.22000000
0.091554277339
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307UR34
12843.11000000
PA
USD
12986.14000000
0.001530148797
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAE1
204000.00000000
PA
USD
189883.20000000
0.022373819325
Long
DBT
CORP
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4N2
2292.96000000
PA
USD
2273.17000000
0.000267846206
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
40000.00000000
PA
50388.26000000
0.005937217328
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
2.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL INDU
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAP6
310000.00000000
PA
USD
296422.00000000
0.034927219849
Long
DBT
CORP
NL
N
2
2027-05-09
Fixed
4.75000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-2400.00000000
-0.00028279050
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
6477621968.00000000
IDR
448961.88000000
USD
2022-04-18
-2400.00000000
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAN4
610000.00000000
PA
USD
556476.72000000
0.065569305721
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.00000000
N
N
N
N
N
N
London Wall Mortgage Capital
213800QSO8J75OTK5919
London Wall Mortgage Capital PLC
000000000
148684.26000000
PA
194029.73000000
0.022862402375
Long
ABS-MBS
CORP
GB
N
2
2051-05-15
Floating
0.90000000
N
N
N
N
N
N
BNP Paribas SA
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-18232.58000000
-0.00214833355
N/A
DFE
US
N
2
BNP Paribas SA
571474TGEMMWANRLN572
10000000.00000000
SEK
1047202.66000000
USD
2022-06-15
-18232.58000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMSH9
58121.32000000
PA
USD
59990.56000000
0.007068650363
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
Invesco QQQ Trust Series 1
549300VY6FEJBCIMET58
Invesco QQQ Trust Series 1
46090E103
22400.00000000
NS
USD
8120896.00000000
0.956880123490
Long
EC
RF
US
N
1
N
N
N
Columbus McKinnon Corporation
549300W3HQB0HO1F3G69
Columbus McKinnon Corporation 2021 Term Loan B
19933MAP8
17235.40000000
PA
USD
16919.48000000
0.001993611802
Long
LON
CORP
US
N
2
2028-05-14
Floating
3.81000000
N
N
N
N
N
N
Cie Financiere Richemont SA
549300YIPGJ6UX2QPS51
Cie Financiere Richemont SA
000000000
1995.00000000
NS
252875.76000000
0.029796193481
Long
EC
CORP
CH
N
2
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
41845.61000000
0.004930642193
N/A
DFE
ZA
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
810000.00000000
USD
12447594.00000000
ZAR
2022-04-01
41845.61000000
N
N
N
HILONG HOLDING LTD
5493007WSRWZ0UF15X65
Hilong Holding Ltd
000000000
200000.00000000
PA
USD
124000.00000000
0.014610842856
Long
DBT
CORP
KY
N
2
2024-11-18
Fixed
9.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.495000 03-MAR-2023
000000000
34373371.00000000
OU
Notional Amount
-59382.70000000
-0.00699702659
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-03
70.23000000
MXN
0.00000000
MXN
34373371.00000000
MXN
-59386.04000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
1491000.00000000
PA
2146833.49000000
0.252960054534
Long
DBT
NUSS
ES
N
2
2066-07-30
Fixed
3.45000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.620000 08-APR-2026
000000000
22427103.00000000
OU
Notional Amount
USD
1630048.01000000
0.192067542929
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
0.00000000
USD
-168.48000000
USD
22427103.00000000
USD
1630216.49000000
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
700000.00000000
PA
USD
686855.89000000
0.080931802210
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2SS2
353167.65000000
PA
USD
339537.66000000
0.040007511243
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8AB1
11945.02000000
PA
USD
12105.17000000
0.001426344650
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GSSE0
6200.58000000
PA
USD
6329.08000000
0.000745751558
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAW6
110000.00000000
PA
122168.14000000
0.014394995932
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
1.10000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
USD/COP One-touch barrier option; Barrier price USD 4,100.00000
000000000
274000.00000000
OU
Notional Amount
USD
30001.36000000
0.003535041584
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
USD/COP One-touch barrier option; Barrier price USD 4,100.00000
N/A
1.00000000
NC
USD
30001.36000000
0.00000000
DFE
XX
1123400000.00000000
USD
274000.00000000
EUR
2022-05-19
1.00000000
4100.00000000
USD
2022-05-19
XXXX
-4385.64000000
N
N
N
BRITISH AMERICAN TOBACCO
213800FKA5MF17RJKT63
British American Tobacco PLC
000000000
380000.00000000
PA
367659.89000000
0.043321136109
Long
DBT
CORP
GB
N
2
2029-06-27
Fixed
3.75000000
N
N
N
N
N
N
O'Reilly Automotive Inc
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103H107
139.00000000
NS
USD
95209.44000000
0.011218469083
Long
EC
CORP
US
N
1
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
1039.00000000
NS
USD
125656.66000000
0.014806046074
Long
EC
RF
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.165000 14-OCT-2026
000000000
9207678.00000000
OU
Notional Amount
USD
501120.74000000
0.059046745035
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-10-14
0.00000000
USD
-77.50000000
USD
9207678.00000000
USD
501198.24000000
N
N
N
PROOF ACQUISITION CORP I
N/A
PROOF ACQUISITION CORP I
000000000
10200.00000000
NS
USD
2142.00000000
0.000252390527
Long
STIV
CORP
US
N
3
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QE2C5
115391.23000000
PA
USD
119890.30000000
0.014126599462
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWD5
978.05000000
PA
USD
967.42000000
0.000113990496
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-3373.50000000
-0.00039749740
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1730499.56000000
MXN
83630.00000000
USD
2022-04-01
-3373.50000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZJ2
3921184.56000000
PA
USD
4098556.91000000
0.482930410902
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FCTF5
7495.83000000
PA
USD
7433.98000000
0.000875941238
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AS2
998000.00000000
PA
USD
954115.02000000
0.112422779230
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.60000000
N
N
N
N
N
N
FREED CORP
N/A
FREED CORP
000000000
629000.00000000
PA
USD
612520.20000000
0.072172874103
Long
DBT
CORP
US
N
3
2023-12-02
Fixed
10.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAM5
75000.00000000
PA
USD
62301.09000000
0.007340898675
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9U68
14901.64000000
PA
USD
15510.32000000
0.001827571356
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: EUR 1.058370 17-MAR-2032
000000000
2030000.00000000
OU
Notional Amount
-26317.46000000
-0.00310096993
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-2953.45000000
EUR
2030000.00000000
EUR
-23082.65000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2017-DELC Mortgage Trust
05552EAN0
1400000.00000000
PA
USD
1364955.06000000
0.160831805551
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
2.90000000
N
N
N
N
N
N
Citibank N.A.
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-10058.19000000
-0.00118515027
N/A
DFE
US
N
2
Citibank N.A.
ES7IP3U3RHIGC71XBU11
958000.00000000
EUR
1050218.04000000
USD
2022-04-20
-10058.19000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.412000 30-NOV-2031
000000000
2701674.00000000
OU
Notional Amount
USD
222102.37000000
0.026170184082
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-28
0.00000000
USD
-41.90000000
USD
2701674.00000000
USD
222144.27000000
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
000000000
100000.00000000
PA
112814.24000000
0.013292831714
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
2.38000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBS4
480000.00000000
PA
USD
429480.70000000
0.050605443691
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
1.65000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
000000000
90000.00000000
PA
101055.92000000
0.011907356184
Long
DBT
CORP
NL
N
2
2025-10-15
Fixed
3.63000000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAC6
572000.00000000
PA
USD
526787.90000000
0.062071090530
Long
DBT
CORP
US
N
2
2031-12-02
Fixed
2.60000000
N
N
N
N
N
N
Euronext N.V.
724500QJ4QSZ3H9QU415
BNP PARIBAS SA
000000000
-41.00000000
NC
-272.14000000
-0.00003206608
N/A
DE
FR
N
1
Euronext N.V.
724500QJ4QSZ3H9QU415
Call
Written
BNP Paribas SA
BNP Paribas SA
100.00000000
76.00000000
EUR
2022-04-14
XXXX
1674.38000000
N
N
N
Autonoria
959800PAVFGQ48YNAE06
Autonoria Spain 2021 FT
000000000
200000.00000000
PA
219391.23000000
0.025850732142
Long
ABS-O
CORP
ES
N
2
2039-01-31
Floating
0.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS7
36254CAA8
225000.00000000
PA
USD
198675.16000000
0.023409770502
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468T9
1350000.00000000
PA
USD
1334304.70000000
0.157220292700
Long
DBT
CORP
US
N
2
2023-11-10
Fixed
0.56000000
N
N
N
N
N
N
Signet Jewelers Ltd
549300N3XPGE91WV7M22
Signet Jewelers Ltd
000000000
2391.00000000
NS
USD
173825.70000000
0.020481774090
Long
EC
CORP
BM
N
1
N
N
N
Dick's Sporting Goods Inc
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393102
1614.00000000
NS
USD
161432.28000000
0.019021465121
Long
EC
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
3272300.00000000
PA
USD
3002335.25000000
0.353763294688
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDY42
106358.77000000
PA
USD
99041.19000000
0.011669961801
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
101000.00000000
PA
USD
89447.79000000
0.010539577448
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.11000000
N
N
N
N
N
N
Allegro CLO Ltd
635400AREEXNEGDZE419
Allegro CLO VI Ltd
01749BAA7
400000.00000000
PA
USD
398210.60000000
0.046920907262
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
1.37000000
N
N
N
N
N
N
SHIMAO GROUP HLDGS LTD
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
200000.00000000
PA
USD
52000.00000000
0.006127127649
Long
DBT
CORP
KY
N
2
2030-07-13
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HP4C8
16907.74000000
PA
USD
17845.33000000
0.002102704131
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
549300KEIUMRD7WX5J42
CIFC Funding 2014-III Ltd
12549QBA2
1500000.00000000
PA
USD
1494058.20000000
0.176043948219
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
1.46000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 0.940000 14-OCT-2026
000000000
5482499.00000000
OU
Notional Amount
USD
357006.00000000
0.042065794878
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-10-14
0.00000000
USD
-45.47000000
USD
5482499.00000000
USD
357051.47000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AYP7
9271.12000000
PA
USD
9223.11000000
0.001086753313
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
HDFC BANK LTD
335800ZQ6I4E2JXENC50
HDFC Bank Ltd
000000000
200000.00000000
PA
USD
185000.00000000
0.021798434907
Long
DBT
CORP
IN
N
2
2026-08-25
Fixed
3.70000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAE2
305000.00000000
PA
USD
280987.63000000
0.033108597634
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780DJ2
363000.00000000
PA
USD
372075.00000000
0.043841365773
Long
DBT
NUSS
ID
N
2
2032-03-31
Fixed
3.55000000
N
N
N
N
N
N
LUNE HOLDINGS SARL
54930003WQ56T0558M33
Lune Holdings Sarl
000000000
100000.00000000
PA
98884.13000000
0.011651455519
Long
DBT
CORP
LU
N
2
2028-11-15
Fixed
5.63000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
CDS: (CMBX.NA.9.BBB-)
000000000
1350000.00000000
OU
Notional Amount
USD
-137036.46000000
-0.01614692082
N/A
DCR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-133525.65000000
USD
1350000.00000000
USD
-3510.81000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEL5
923000.00000000
PA
USD
865532.26000000
0.101985127729
Long
DBT
CORP
US
N
2
2033-01-21
Fixed
2.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQU26
546.15000000
PA
USD
540.59000000
0.000063697383
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
JHE42UYNWWTJB8YTTU19
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3337.66000000
0.000393274401
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
JHE42UYNWWTJB8YTTU19
662205.00000000
USD
600000.00000000
EUR
2022-06-15
3337.66000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.625000 25-JAN-2051
000000000
4696916.00000000
OU
Notional Amount
USD
675948.37000000
0.079646575914
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-25
0.00000000
USD
-141.93000000
USD
4696916.00000000
USD
676090.30000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBD1
105000.00000000
PA
USD
84845.55000000
0.009997298372
Long
DBT
US
N
2
2050-06-15
Fixed
3.10000000
N
N
N
N
N
N
Triborough Bridge & Tunnel Authority
54930020ZN4LQF7K3456
TRIBOROUGH NY BRIDGE & TUNNEL AUTH PAYROLL MOBILITY TAX
89602HAS6
1005000.00000000
PA
USD
1155613.32000000
0.136165198562
Long
DBT
MUN
US
N
2
2046-05-15
Fixed
5.00000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087XW9
90000.00000000
PA
94935.01000000
0.011186133167
Long
DBT
NUSS
CA
N
2
2037-06-01
Fixed
5.00000000
N
N
N
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
PANDORA A/S
000000000
-7.00000000
NC
-1591.74000000
-0.00018755373
N/A
DE
DK
N
1
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Put
Written
Pandora A/S
Pandora A/S
100.00000000
640.00000000
DKK
2022-04-13
XXXX
244.35000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSL5
18074.42000000
PA
USD
18753.58000000
0.002209722664
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
4.50000000
N
N
N
N
N
N
Bank of America N.A.
4PQUHN3JPFGFNF3BB653
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
12624.82000000
0.001487574686
N/A
DFE
SE
N
2
Bank of America N.A.
4PQUHN3JPFGFNF3BB653
340000.00000000
USD
3309678.59000000
SEK
2022-06-15
12624.82000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022642
15730700.00000000
PA
USD
15008070.97000000
1.768391665541
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BZ6
75000.00000000
PA
USD
62334.85000000
0.007344876595
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BRY0HF8F0 BLACKROCK
000000000
2042000.00000000
OU
Notional Amount
USD
32541.31000000
0.003834322312
N/A
DFE
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
32541.31000000
0.00000000
DFE
US
30630000.00000000
CHF
2042000.00000000
USD
2022-05-27
1.00000000
15.00000000
USD
2022-05-27
XXXX
-3765.45000000
N
N
N
HEIMSTADEN BOSTAD TRESRY
549300ORG6UYMJBCV938
Heimstaden Bostad Treasury BV
000000000
540000.00000000
PA
579667.48000000
0.068301858544
Long
DBT
CORP
NL
N
2
2024-10-13
Fixed
0.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
2000000.00000000
OU
Notional Amount
USD
-203016.98000000
-0.02392136445
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-225949.87000000
USD
2000000.00000000
USD
22932.89000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GVZ99
22652.18000000
PA
USD
23753.28000000
0.002798834204
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-2968.99000000
-0.00034983424
N/A
DFE
ZA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
810000.00000000
USD
11816756.28000000
ZAR
2022-04-20
-2968.99000000
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
000000000
100000.00000000
PA
100945.29000000
0.011894320720
Long
DBT
CORP
XX
N
2
2028-06-01
Fixed
3.63000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
431000.00000000
PA
478343.23000000
0.056362885202
Long
DBT
NUSS
ES
N
2
2030-10-31
Fixed
1.25000000
N
N
N
N
N
N
Altus Power Inc
5493005V83PBRWNLK259
Altus Power Inc
02217A110
2502.00000000
NS
USD
4053.24000000
0.000477590747
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Altus Power Inc
Altus Power Inc
1.00000000
11.00000000
USD
2027-12-31
XXXX
-3025.35000000
N
N
N
COVANTA HOLDING CORP
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp
22303XAA3
69000.00000000
PA
USD
65874.30000000
0.007761927787
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
4.88000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-1
52607MAA7
350000.00000000
PA
USD
316460.17000000
0.037288304954
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
1.90000000
N
N
N
N
N
N
Cano Health Inc
N/A
Cano Health Inc
13781Y111
9002.00000000
NS
USD
14223.16000000
0.001675906094
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Cano Health Inc
Cano Health Inc
11.50000000
11.50000000
USD
2026-06-03
XXXX
-30301.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QETF9
49936.22000000
PA
USD
50544.66000000
0.005955645842
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America N.A.
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
102538.32000000
0.012082026454
N/A
DFE
MX
N
2
Bank of America N.A.
MP6I5ZYZBEU3UXPYFY54
1864341.00000000
USD
39230656.50000000
MXN
2022-04-20
102538.32000000
N
N
N
Ohio Water Development Authority Water Pollution Control Loan Fund
N/A
OHIO ST WTR DEV AUTH WTR POLLCONTROL REVENUE
67766WZD7
2000000.00000000
PA
USD
2321896.00000000
0.273587561177
Long
DBT
MUN
US
N
2
2050-12-01
Fixed
5.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-D
63942CAA0
504018.62000000
PA
USD
488914.79000000
0.057608525540
Long
ABS-O
CORP
US
N
2
2060-04-15
Floating
1.26000000
N
N
N
N
N
N
ASG FINANCE DESIGNATED
5493005UOB0OMEJ4WK10
ASG Finance Designated Activity Co
00217AAA4
502000.00000000
PA
USD
476900.00000000
0.056192830309
Long
DBT
CORP
IE
N
2
2024-12-03
Fixed
7.88000000
N
N
N
N
N
N
POWER FINANCE CORP LTD
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
73928RAA4
200000.00000000
PA
USD
219912.50000000
0.025912153062
Long
DBT
CORP
IN
N
2
2028-12-06
Fixed
6.15000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-43487.94000000
-0.00512415691
N/A
DFE
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
6322998.00000000
EUR
5307534.64000000
GBP
2022-06-15
-43487.94000000
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
200000.00000000
PA
USD
110537.50000000
0.013024564857
Long
DBT
CORP
KY
N
2
2024-04-09
Fixed
7.38000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAH1
35000.00000000
PA
USD
31312.89000000
0.003689578348
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
DASSAULT SYSTEMES
96950065LBWY0APQIM86
Dassault Systemes SE
000000000
100000.00000000
PA
110721.88000000
0.013046290237
Long
DBT
CORP
FR
N
2
2022-09-16
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/SCDS: (SOAF)
000000000
1426095.00000000
OU
Notional Amount
USD
72359.75000000
0.008526104325
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Republic of South Africa
Republic of South Africa
Y
buy protection
2027-06-22
88410.64000000
USD
0.00000000
USD
1426095.00000000
USD
-16050.89000000
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
2714.00000000
NS
USD
224149.26000000
0.026411367857
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4XJ0
0.08000000
PA
USD
0.08000000
0.000000009426
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
CREDIT AGRICOLE ASSRNCES
969500K2MUPSI57XK083
Credit Agricole Assurances SA
000000000
300000.00000000
PA
325377.48000000
0.038339026043
Long
DBT
CORP
FR
N
2
2048-01-29
Fixed
2.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
-1311.00000000
NC
USD
5461447.50000000
0.643518961237
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
-183020010.00000000
USD
5461447.50000000
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
000000000
100000.00000000
PA
107582.79000000
0.012676413216
Long
DBT
CORP
DE
N
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.567500 27-AUG-2024
000000000
8168070.00000000
OU
Notional Amount
USD
380004.39000000
0.044775680864
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-27
0.00000000
USD
-50.12000000
USD
8168070.00000000
USD
380054.51000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 2.010000 27-MAY-2051
000000000
4051495.00000000
OU
Notional Amount
USD
229007.81000000
0.026983847781
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-05-30
0.00000000
USD
-125.54000000
USD
4051495.00000000
USD
229133.35000000
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AX4
200000.00000000
PA
USD
180527.12000000
0.021271398239
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.850000 08-APR-2026
000000000
54465822.00000000
OU
Notional Amount
USD
-3420448.15000000
-0.40302927757
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
409.16000000
USD
0.00000000
USD
54465822.00000000
USD
-3420857.31000000
N
N
N
MC BRAZIL DWNSTRM
213800T2A7R9TYNXZI63
MC Brazil Downstream Trading SARL
55292WAA8
773000.00000000
PA
USD
703430.00000000
0.082884719280
Long
DBT
CORP
LU
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.820000 18-OCT-2051
000000000
2342309.00000000
OU
Notional Amount
USD
226354.45000000
0.026671204023
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-10-18
0.00000000
USD
-72.81000000
USD
2342309.00000000
USD
226427.26000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 0.767000 15-FEB-2031
000000000
2290000.00000000
OU
Notional Amount
-79851.74000000
-0.00940888084
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-17
35.16000000
EUR
0.00000000
EUR
2290000.00000000
EUR
-79891.71000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CF4
430000.00000000
PA
USD
421380.57000000
0.049651010412
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.63000000
N
N
N
N
N
N
iShares MSCI Brazil ETF
F6BK0XM2JFWYXJ2MDK09
iShares MSCI Brazil ETF
464286400
9033.00000000
NS
USD
341537.73000000
0.040243178247
Long
EC
RF
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLW3
142523.72000000
PA
USD
132719.15000000
0.015638214876
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9MM3
3390.28000000
PA
USD
3460.84000000
0.000407788624
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.50000000
N
N
N
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAB1
328000.00000000
PA
USD
332920.00000000
0.039227756483
Long
DBT
CORP
US
N
2
2028-09-27
Fixed
6.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MM0
76000.00000000
PA
USD
88959.98000000
0.010482099099
Long
DBT
CORP
US
N
2
2041-03-26
Fixed
5.32000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS: (CMBX.NA.9.BBB-)
000000000
190000.00000000
OU
Notional Amount
USD
-19286.62000000
-0.00227253043
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-570.77000000
USD
190000.00000000
USD
-18715.85000000
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAK5
100000.00000000
PA
112950.76000000
0.013308917781
Long
DBT
CORP
LU
N
2
2039-03-07
Fixed
2.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
EUR P USD C @1.105000 EO
000000000
37643294.00000000
OU
Notional Amount
329811.65000000
0.038861501536
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
329811.65000000
0.04000000
DFE
US
41595839.87000000
EUR
37643294.00000000
USD
2022-04-29
1.00000000
1.10500000
EUR
2022-04-29
XXXX
-395440.70000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
232000.00000000
PA
363362.42000000
0.042814767892
Long
DBT
NUSS
IT
N
2
2044-09-01
Fixed
4.75000000
N
N
N
N
N
N
RKPF OVERSEAS 2019 A LTD
254900P8BXRCW5458103
RKPF Overseas 2019 A Ltd
000000000
200000.00000000
PA
USD
171000.00000000
0.020148823617
Long
DBT
CORP
VG
N
2
2024-09-30
Fixed
6.70000000
N
N
N
N
N
N
Kingdom of Denmark
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
200000.00000000
PA
30507.52000000
0.003594682102
Long
DBT
NUSS
DK
N
2
2023-11-15
Fixed
1.50000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
1137000.00000000
PA
USD
1287642.24000000
0.151722084068
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-23440.87000000
-0.00276202312
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
4PQUHN3JPFGFNF3BB653
4213200.26000000
EUR
4650000.00000000
USD
2022-06-15
-23440.87000000
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL1 Ltd
00103CAA7
310000.00000000
PA
USD
306342.85000000
0.036096187432
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJF71
11548.20000000
PA
USD
12258.78000000
0.001444444420
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
RATTLER MIDSTREAM LP
549300I45NRVEEN9M219
Rattler Midstream LP
75419TAA1
50000.00000000
PA
USD
50750.00000000
0.005979840927
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.63000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD C CHF P @0.945500 EO
000000000
-2210000.00000000
OU
Notional Amount
USD
-442.00000000
-0.00005208058
N/A
DFE
LU
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Written
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
FX Contract
N/A
1.00000000
NC
USD
-442.00000000
0.00000000
DFE
TR
-2210000.00000000
USD
-2089555.00000000
TRY
2022-04-07
1.00000000
0.94550000
USD
2022-04-07
XXXX
5569.20000000
N
N
N
ITT Holdings LLC
549300TH2PHOLK31LB42
ITT Holdings LLC 2021 Term Loan
45070BAG0
86781.95000000
PA
USD
85480.22000000
0.010072081143
Long
LON
CORP
US
N
2
2028-07-10
Floating
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B2ME6
193435.98000000
PA
USD
180199.66000000
0.021232813831
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
BRUNELLO BIDCO SPA
8156000BE2F1A5658E76
Brunello Bidco SpA
000000000
100000.00000000
PA
109113.84000000
0.012856815885
Long
DBT
CORP
IT
N
2
2028-02-15
Floating
3.75000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJJN1
19005.76000000
PA
USD
20588.12000000
0.002425885371
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.709500 25-SEP-2030
000000000
1243000.00000000
OU
Notional Amount
USD
166107.80000000
0.019572378734
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-09-25
0.00000000
USD
-22.31000000
USD
1243000.00000000
USD
166130.11000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
OCCIDENTAL PETROLEUM CORP
000000000
60.00000000
NC
USD
21750.00000000
0.002562788968
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Occidental Petroleum Corp
Occidental Petroleum Corp
100.00000000
60.00000000
USD
2022-05-20
XXXX
8716.25000000
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
1032000.00000000
PA
USD
1036971.99000000
0.122185764458
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX HIGH YIELD CORPO
000000000
-301.00000000
NC
USD
-8127.00000000
-0.00095759935
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
100.00000000
76.00000000
USD
2022-05-20
XXXX
11067.93000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032443
216000.00000000
PA
USD
220320.00000000
0.025960168534
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
3.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX INVESTMENT GRA
000000000
-155.00000000
NC
USD
-6820.00000000
-0.00080359635
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
100.00000000
119.00000000
USD
2022-04-14
XXXX
8024.40000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.834000 08-MAR-2026
000000000
22775000.00000000
OU
Notional Amount
USD
-1484512.72000000
-0.17491921024
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-09
165.70000000
USD
0.00000000
USD
22775000.00000000
USD
-1484678.42000000
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JCB8
260000.00000000
PA
USD
222467.20000000
0.026213171774
Long
DBT
CORP
US
N
2
2051-11-15
Fixed
2.70000000
N
N
N
N
N
N
DREAM FINDERS HOMES INC
N/A
DREAM FINDERS HOMES INC
000000000
1320.00000000
NS
USD
1308450.00000000
0.154173849484
Long
EP
CORP
US
N
3
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AM5
59000.00000000
PA
USD
51956.50000000
0.006122002071
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.13000000
N
N
N
N
N
N
VERGE GENOMICS
N/A
VERGE GENOMICS
000000000
31150.00000000
NS
USD
159176.50000000
0.018755667967
Long
EP
CORP
US
Y
3
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
200000.00000000
PA
263886.04000000
0.031093527923
Long
DBT
NUSS
GB
N
2
2022-09-07
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
36991.69000000
PA
USD
38306.52000000
0.004513633420
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3110.68000000
0.000366529489
N/A
DFE
XX
N
2
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
229829.25000000
USD
210000.00000000
EUR
2022-06-15
3110.68000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AN2
1254141.84000000
PA
USD
1233700.46000000
0.145366157689
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUE9
5214.82000000
PA
USD
5182.37000000
0.000610635433
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBH7
845000.00000000
PA
USD
778552.55000000
0.091736362611
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.45000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
USD P RUB C @72.00000 EO
000000000
-5589000.00000000
OU
Notional Amount
USD
-75211.17000000
-0.00886208537
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FX Contract
N/A
1.00000000
NC
USD
-75211.17000000
-0.01000000
DFE
XX
-5589000.00000000
USD
-402408000.00000000
EUR
2022-04-08
1.00000000
72.00000000
USD
2022-04-08
XXXX
-48984.79000000
N
N
N
Deutsche Bank AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-60499.90000000
-0.00712866557
N/A
DFE
US
N
2
Deutsche Bank AG
BFM8T61CT2L1QCEMIK50
24635597.78000000
ZAR
1622000.00000000
USD
2022-04-20
-60499.90000000
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AH9
38000.00000000
PA
USD
34777.60000000
0.004097822972
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRY3
69089.10000000
PA
USD
72076.99000000
0.008492786891
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
iShares Russell 2000 ETF
549300O80OAR5VTWR172
iShares Russell 2000 ETF
464287655
476.00000000
NS
USD
97708.52000000
0.011512934124
Long
EC
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ4K1
16824.26000000
PA
USD
16698.25000000
0.001967544409
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-7971.45000000
-0.00093927099
N/A
DFE
US
N
2
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
2926503000.00000000
COP
766000.00000000
USD
2022-04-20
-7971.45000000
N
N
N
COBHAM ULTRA SENIORCO SARL
N/A
COBHAM ULTRA SENIORCO SARL
000000000
38000.00000000
PA
USD
37540.96000000
0.004423427961
Long
LON
CORP
US
N
2
2028-11-16
None
0.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEP9
1740000.00000000
PA
USD
1718576.25000000
0.202498770373
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDN7
210000.00000000
PA
USD
201585.30000000
0.023752670488
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.38000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
153000.00000000
PA
USD
143536.55000000
0.016912822389
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
1255345.79000000
PA
USD
1325027.29000000
0.156127141251
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.13000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020646
7286200.00000000
PA
USD
6763358.24000000
0.796922293784
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.00000000
N
N
N
N
N
N
CPUK FINANCE LTD
6354003CVDDPNXREIR29
CPUK Finance Ltd
000000000
100000.00000000
PA
132153.15000000
0.015571523449
Long
DBT
CORP
JE
N
2
2026-08-28
Fixed
6.50000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
10Y RTP 0.420000 08-AUG-2022
000000000
959352037.00000000
NC
210.64000000
0.000024819580
N/A
DIR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
IRS Swap
N/A
959352037.00000000
OU
Notional Amount
N/A
210.64000000
0.00000000
DIR
US
N/A
N/A
2032-08-08
0.00000000
N/A
0.00000000
N/A
959352037.00000000
JPY
1.00000000
0.42000000
JPY
2022-08-08
XXXX
-28461.46000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.180000 17-JUN-2031
000000000
11925597.00000000
OU
Notional Amount
USD
49784.16000000
0.005866036600
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-17
0.00000000
USD
-110.97000000
USD
11925597.00000000
USD
49895.13000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.400000 07-APR-2031
000000000
41943696.00000000
OU
Notional Amount
USD
-3227988.94000000
-0.38035192859
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-04-07
622.99000000
USD
0.00000000
USD
41943696.00000000
USD
-3228611.93000000
N
N
N
ASAHI GROUP HOLDINGS LTD
353800KAJ02XNHLCJW79
Asahi Group Holdings Ltd
000000000
1770000.00000000
PA
1927340.08000000
0.227097282585
Long
DBT
CORP
JP
N
2
2024-04-19
Fixed
0.01000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGC2
1655000.00000000
PA
USD
1532986.33000000
0.180630825559
Long
DBT
CORP
US
N
2
2061-03-22
Fixed
3.70000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.494500 23-JUL-2024
000000000
15879655.00000000
OU
Notional Amount
USD
728845.35000000
0.085879394159
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-23
0.00000000
USD
-93.51000000
USD
15879655.00000000
USD
728938.86000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CSX CORP
000000000
50.00000000
NC
USD
2750.00000000
0.000324030789
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
CSX Corp
CSX Corp
100.00000000
40.00000000
USD
2022-05-20
XXXX
-3453.13000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
EUR C CZK P @24.85000 EO
000000000
1946000.00000000
OU
Notional Amount
3997.68000000
0.000471044147
N/A
DFE
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
3997.68000000
0.00000000
DFE
US
48358100.00000000
ZAR
1946000.00000000
USD
2022-04-13
1.00000000
24.85000000
EUR
2022-04-13
XXXX
-10591.64000000
N
N
N
Hilton Grand Vacations Borrower LLC
254900HF0EZ734FDVY79
Hilton Grand Vacations Borrower LLC 2021 Term Loan B
43283LAH4
285283.21000000
PA
USD
283286.23000000
0.033379440242
Long
LON
CORP
US
N
2
2028-08-02
Floating
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032641
-300000.00000000
PA
USD
-300515.63000000
-0.03540956972
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABN4
1274000.00000000
PA
USD
1071977.18000000
0.126310404218
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
ASAHI GROUP HOLDINGS LTD
353800KAJ02XNHLCJW79
Asahi Group Holdings Ltd
000000000
200000.00000000
PA
216913.45000000
0.025558776866
Long
DBT
CORP
JP
N
2
2024-10-23
Fixed
0.16000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.383000 14-OCT-2031
000000000
4274491.00000000
OU
Notional Amount
USD
353027.10000000
0.041596963567
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-10-14
0.00000000
USD
-65.47000000
USD
4274491.00000000
USD
353092.57000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
INVESCO QQQ TRUST SERIES 1
000000000
114.00000000
NC
USD
97755.00000000
0.011518410834
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Invesco QQQ Trust Series 1
Invesco QQQ Trust Series 1
100.00000000
360.00000000
USD
2022-04-14
XXXX
42540.58000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
S&P 500 Index Up-and-out barrier option; Barrier price USD 4,600.00000
000000000
919.00000000
NC
USD
132284.16000000
0.015586960275
N/A
DE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
S&P 500 Index Up-and-out barrier option; Barrier price USD 4,600.00000
SPX Index
1.00000000
4550.00000000
USD
2022-06-17
XXXX
98317.92000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XTVX0
8618.94000000
PA
USD
8708.50000000
0.001026117137
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBG5
1278000.00000000
PA
USD
1144372.17000000
0.134840660851
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.455000 23-NOV-2025
000000000
8405000.00000000
OU
Notional Amount
USD
-616138.62000000
-0.07259923028
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-24
113.95000000
USD
0.00000000
USD
8405000.00000000
USD
-616252.57000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
1745370.00000000
PA
USD
1849819.49000000
0.217963079693
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.38000000
N
N
N
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
BHG Securitization Trust 2021-A
08861YAA4
130103.85000000
PA
USD
123873.94000000
0.014595989285
Long
ABS-O
CORP
US
N
2
2033-11-17
Fixed
1.42000000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAG8
340000.00000000
PA
USD
332172.76000000
0.039139709658
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MENS6
24216.48000000
PA
USD
23985.79000000
0.002826230713
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
2.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-653231.13000000
-0.07696981765
N/A
DFE
US
N
2
State Street Bank & Trust Co.
W22LROWP2IHZNBB6K528
54805000.00000000
BRL
10625242.34000000
USD
2022-06-15
-653231.13000000
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
000000000
110000.00000000
PA
122257.46000000
0.014405520452
Long
DBT
CORP
JP
N
2
2028-09-17
Fixed
3.20000000
N
N
N
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
750000.00000000
PA
760201.01000000
0.089574012070
Long
DBT
CORP
FR
N
2
2027-10-25
Fixed
1.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/SCDS: (MEX)
000000000
15652000.00000000
OU
Notional Amount
USD
1814.18000000
0.000213763700
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
United Mexican States
United Mexican States
Y
buy protection
2027-06-22
99228.37000000
USD
0.00000000
USD
15652000.00000000
USD
-97414.19000000
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAF1
500000.00000000
PA
USD
491939.70000000
0.057964948804
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
Lorca Holdco Limited
549300PONZMYNJTH6970
Lorca Holdco Limited EUR Term Loan B1
000000000
0.00000000
PA
0.00000000
0.000000
Long
LON
CORP
GB
N
2
2027-09-17
Floating
4.25000000
N
N
N
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAB2
36000.00000000
PA
USD
34387.56000000
0.004051864801
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.826500 22-JUN-2051
000000000
4592938.00000000
OU
Notional Amount
USD
-453121.37000000
-0.05339100913
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-06-22
142.51000000
USD
0.00000000
USD
4592938.00000000
USD
-453263.88000000
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DU1
154000.00000000
PA
USD
139583.02000000
0.016446980408
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
1.65000000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AP0
130000.00000000
PA
USD
113252.10000000
0.013344424486
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.63000000
N
N
N
N
N
N
One New York Plaza Trust 2020-1NYP
N/A
One New York Plaza Trust 2020-1NYP
68249DAJ8
270000.00000000
PA
USD
265945.14000000
0.031336150395
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
3.15000000
N
N
N
N
N
N
MP Clo VIII, LTD
549300D60LKSR31DKI65
MP CLO VIII Ltd
62481WAN7
250000.00000000
PA
USD
247384.73000000
0.029149188832
Long
ABS-CBDO
CORP
KY
N
2
2034-04-28
Floating
2.08000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRK3
70194.78000000
PA
USD
73381.83000000
0.008646535376
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540109
1996.00000000
NS
USD
120917.68000000
0.014247655008
Long
EC
CORP
US
N
1
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 3 LTD
67112RAU8
1000000.00000000
PA
USD
988553.00000000
0.116480584989
Long
ABS-CBDO
CORP
KY
N
2
2035-07-02
Floating
1.90000000
N
N
N
N
N
N
NATURGY FINANCE BV
2138005FTXOJUBQ5J563
Naturgy Finance BV
000000000
100000.00000000
PA
101700.64000000
0.011983323140
Long
DBT
CORP
NL
N
2
2026-11-23
Fixed
2.37000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERJL5
20805.59000000
PA
USD
20675.55000000
0.002436187193
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAG6
460000.00000000
PA
USD
504149.71000000
0.059403646686
Long
DBT
CORP
US
N
2
2034-12-01
Fixed
5.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-19040.30000000
-0.00224350670
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
8560000.00000000
TRY
535000.00000000
USD
2022-06-08
-19040.30000000
N
N
N
BNP Paribas SA
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
19273.34000000
0.002270965661
N/A
DFE
XX
N
2
BNP Paribas SA
G5GSEF7VJP5I7OUK5573
1555844.30000000
USD
1420000.00000000
EUR
2022-06-15
19273.34000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.142500 15-MAY-2025
000000000
190000.00000000
OU
Notional Amount
30612.89000000
0.003607097783
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2025-05-15
0.00000000
GBP
-6.85000000
GBP
190000.00000000
GBP
30621.27000000
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
20000.00000000
PA
USD
19921.58000000
0.002347347377
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMY33
36957.04000000
PA
USD
34380.01000000
0.004050975189
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.699000 26-NOV-2041
000000000
2086950.00000000
OU
Notional Amount
USD
224877.38000000
0.026497161784
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2041-11-26
0.00000000
USD
-49.11000000
USD
2086950.00000000
USD
224926.49000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022444
556000.00000000
PA
USD
549462.66000000
0.064742843394
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBW4
558000.00000000
PA
USD
484057.40000000
0.057036182299
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
18000.00000000
PA
USD
26305.02000000
0.003099504141
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH3H3
58314.56000000
PA
USD
57960.75000000
0.006829479113
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
10Y RTP 0.420000 08-AUG-2022
000000000
479676018.00000000
NC
105.32000000
0.000012409790
N/A
DIR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
IRS Swap
N/A
479676018.00000000
OU
Notional Amount
N/A
105.32000000
0.00000000
DIR
US
N/A
N/A
2032-08-08
0.00000000
N/A
0.00000000
N/A
479676018.00000000
JPY
1.00000000
0.42000000
JPY
2022-08-08
XXXX
-15755.18000000
N
N
N
JPMorgan Chase Bank N.A.
6PTKHDJ8HDUF78PFWH30
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-14576.30000000
-0.00171751636
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
6PTKHDJ8HDUF78PFWH30
1000000.00000000
AUD
734660.00000000
USD
2022-06-17
-14576.30000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.172500 04-FEB-2031
000000000
9608248.00000000
OU
Notional Amount
USD
946781.54000000
0.111558679844
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-02-04
0.00000000
USD
-138.47000000
USD
9608248.00000000
USD
946920.01000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032641
176995.00000000
PA
USD
177299.21000000
0.020891055612
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAH2
290000.00000000
PA
319198.74000000
0.037610988953
Long
DBT
CORP
LU
N
2
2027-03-07
Fixed
1.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWE3
2687.76000000
PA
USD
2665.99000000
0.000314131943
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
BRASKEM IDESA SAPI
YH0V7ZHY352ITDGEYB83
Braskem Idesa SAPI
10554NAB4
405000.00000000
PA
USD
395887.50000000
0.046647177834
Long
DBT
CORP
MX
N
2
2032-02-20
Fixed
6.99000000
N
N
N
N
N
N
REPSOL INTL FINANCE
5493002YCY6HTK0OUR29
Repsol International Finance BV
000000000
100000.00000000
PA
111454.66000000
0.013132633249
Long
DBT
CORP
NL
N
2
2026-03-11
Fixed
3.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505GB4
164000.00000000
PA
USD
154127.20000000
0.018160712090
Long
DBT
CORP
US
N
2
2027-01-27
Fixed
4.38000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBJ8
100000.00000000
PA
USD
99556.18000000
0.011730642753
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
4.67000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMQ81
177397.21000000
PA
USD
178696.56000000
0.021055704493
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXB5
1815.26000000
PA
USD
1953.15000000
0.000230138449
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
81000.00000000
PA
USD
75896.42000000
0.008942827951
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AXQ70
1071931.28000000
PA
USD
1032541.53000000
0.121663726112
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
GVC Holdings (Gibraltar) Limited
N/A
GVC Holdings (Gibraltar) Limited 2021 USD Term Loan B4
000000000
214918.64000000
PA
USD
212769.45000000
0.025070491924
Long
LON
CORP
GI
N
3
2027-03-16
Floating
3.74000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
000000000
150000.00000000
PA
166468.46000000
0.019614875078
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
0.63000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
000000000
200000.00000000
PA
USD
211412.50000000
0.024910603350
Long
DBT
CORP
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
Chemours Co/The
000000000
100000.00000000
PA
106255.29000000
0.012519994716
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.00000000
N
N
N
N
N
N
Raptor Acquisition Corp.
549300FU60SSFLTE0M84
Raptor Acquisition Corp. 2021 Term Loan
000000000
33915.00000000
PA
USD
33692.52000000
0.003969968670
Long
LON
CORP
CA
N
2
2026-11-01
Floating
4.93000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MFCX4
24635.79000000
PA
USD
24417.36000000
0.002877082338
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
Volkswagen Leasing GmbH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
100000.00000000
PA
111390.94000000
0.013125125161
Long
DBT
CORP
DE
N
2
2023-02-16
Fixed
1.00000000
N
N
N
N
N
N
American Rock Salt Company LLC
549300FBKBNV4GSVVR46
American Rock Salt Company LLC 2021 Term Loan
02932JAP2
53000.00000000
PA
USD
52337.50000000
0.006166895064
Long
LON
CORP
US
N
2
2028-06-09
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHD25
6886.02000000
PA
USD
6824.06000000
0.000804074744
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-SOX
63874NAL4
382000.00000000
PA
USD
362352.02000000
0.042695713089
Long
ABS-MBS
CORP
US
N
2
2038-06-17
Variable
4.77000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAC1
94000.00000000
PA
USD
98244.00000000
0.011576029400
Long
DBT
CORP
US
N
2
2050-05-19
Fixed
4.95000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
422000.00000000
PA
495207.11000000
0.058349945691
Long
DBT
CORP
GB
N
2
2030-03-18
Fixed
4.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
HPFHU0OQ28E4N0NFVK49
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
15659.04000000
0.001845094941
N/A
DFE
CZ
N
2
State Street Bank & Trust Co.
HPFHU0OQ28E4N0NFVK49
540000.00000000
USD
12284373.60000000
CZK
2022-04-20
15659.04000000
N
N
N
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
-5682.91000000
-0.00066961374
N/A
DFE
CH
N
2
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
1010000.00000000
EUR
1026917.50000000
CHF
2022-06-15
-5682.91000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
40000000.00000000
PA
2030226.24000000
0.239220294810
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
California Pollution Control Financing Authority
N/A
CALIFORNIA ST POLL CONTROL FING AUTH WTR FURNISHING REVENUE
13054WAC1
180000.00000000
PA
USD
183099.24000000
0.021574469539
Long
DBT
MUN
US
N
2
2045-11-21
Fixed
5.00000000
N
N
N
N
N
N
BANK OF EAST ASIA LTD
CO6GC26LCGGRTUESIP55
Bank of East Asia Ltd/The
000000000
250000.00000000
PA
USD
248125.00000000
0.029236414385
Long
DBT
CORP
HK
N
2
2025-10-21
Fixed
5.83000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
3236000.00000000
PA
USD
985362.00000000
0.116104591444
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.13000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AL3
680000.00000000
PA
USD
663980.83000000
0.078236448121
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.05000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
24470000.00000000
PA
3895803.97000000
0.459040158119
Long
DBT
NUSS
CN
N
2
2028-05-13
Fixed
3.01000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
600000.00000000
PA
622878.79000000
0.073393420319
Long
DBT
US
N
2
2027-01-15
Fixed
0.45000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335AGZ5
13421.80000000
PA
USD
14531.51000000
0.001712238782
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE57
323027.64000000
PA
USD
310359.95000000
0.036569519826
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EC0
307000.00000000
PA
USD
279500.68000000
0.032933391240
Long
DBT
CORP
US
N
2
2028-02-08
Fixed
1.20000000
N
N
N
N
N
N
Westpac Banking Corp.
BFM8T61CT2L1QCEMIK50
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
17228.34000000
0.002030004584
N/A
DFE
TR
N
2
Westpac Banking Corp.
BFM8T61CT2L1QCEMIK50
518468.26000000
USD
8276587.25000000
TRY
2022-06-08
17228.34000000
N
N
N
MODERN LAND CHINA CO LTD
549300PDOU6AR9Z9IN08
Modern Land China Co Ltd
000000000
200000.00000000
PA
USD
36000.00000000
0.004241857603
Long
DBT
CORP
KY
N
2
2023-04-11
Fixed
9.80000000
Y
Y
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CHEVRON CORP
000000000
-18.00000000
NC
USD
-1251.00000000
-0.00014740455
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Chevron Corp
Chevron Corp
100.00000000
190.00000000
USD
2022-05-20
XXXX
2229.40000000
N
N
N
Bank
N/A
BANK 2020-BNK29
06541TBU2
1050000.00000000
PA
USD
953644.23000000
0.112367306337
Long
ABS-MBS
CORP
US
N
2
2053-11-15
Variable
3.03000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330AAA0
400000.00000000
PA
USD
397884.92000000
0.046882532590
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.33000000
N
N
N
N
N
N
GXO LOGISTICS INC
5493007CNWMXN78JRN66
GXO Logistics Inc
36262GAC5
208000.00000000
PA
USD
180356.80000000
0.021251329540
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.65000000
N
N
N
N
N
N
FEL ENERGY VI SARL
254900H2U8PBIY32VI94
FEL Energy VI Sarl
000000000
712031.83000000
PA
USD
638292.03000000
0.075209552799
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
44649.68000000
0.005261044016
N/A
DFE
RU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
99969.00000000
USD
10796652.00000000
RUB
2022-05-25
44649.68000000
N
N
N
NYSE Euronext - Euronext Amsterdam
N/A
SHELL PLC
000000000
-157.00000000
NC
-434.20000000
-0.00005116151
N/A
DE
GB
N
1
NYSE Euronext - Euronext Amsterdam
N/A
Call
Written
Shell PLC
Shell PLC
100.00000000
28.00000000
EUR
2022-04-14
XXXX
2901.01000000
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
000000000
300000.00000000
PA
326077.74000000
0.038421537244
Long
DBT
CORP
NL
N
2
2024-06-17
None
0.00000000
N
N
N
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
100000.00000000
PA
110071.85000000
0.012969697607
Long
DBT
CORP
FR
N
2
2024-04-04
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQF8
10207.17000000
PA
USD
10246.33000000
0.001207318689
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-18800.88000000
-0.00221529599
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
15832862.50000000
MXN
775000.00000000
USD
2022-04-20
-18800.88000000
N
N
N
BECTON DICKINSON EURO
549300W40NLZ25XUTH09
Becton Dickinson Euro Finance Sarl
07589LAB3
200000.00000000
PA
222178.32000000
0.026179133223
Long
DBT
CORP
LU
N
2
2023-06-04
Fixed
0.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.415000 28-FEB-2023
000000000
34384181.00000000
OU
Notional Amount
-57978.65000000
-0.00683158825
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-02-28
69.62000000
MXN
0.00000000
MXN
34384181.00000000
MXN
-57981.97000000
N
N
N
Starwood Property Trust Inc
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571B105
9155.00000000
NS
USD
221276.35000000
0.026072854659
Long
EC
US
N
1
N
N
N
ACProducts, Inc.
N/A
ACProducts, Inc. 2021 Term Loan B
00488YAB2
1302292.03000000
PA
USD
1171333.54000000
0.138017502305
Long
LON
CORP
US
N
2
2028-05-17
Floating
4.75000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DD9
1042000.00000000
PA
USD
1022899.35000000
0.120527594042
Long
DBT
CORP
US
N
2
2029-02-22
Fixed
3.00000000
N
N
N
N
N
N
AMER AIRLINE 17-1B PTT
N/A
American Airlines 2017-1 Class B Pass Through Trust
02378WAA7
14018.75000000
PA
USD
13438.49000000
0.001583448916
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
4.95000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
69659.95000000
0.008207988571
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
810000.00000000
USD
4188105.00000000
BRL
2022-04-04
69659.95000000
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
400000.00000000
PA
USD
92000.00000000
0.010840302764
Long
DBT
NUSS
RU
N
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AN8
200000.00000000
PA
USD
184000.00000000
0.021680605529
Long
DBT
CORP
CH
N
2
2030-01-24
Fixed
5.10000000
N
N
N
N
N
N
ORANGE SA
969500MCOONR8990S771
Orange SA
000000000
500000.00000000
PA
553288.60000000
0.065193651524
Long
DBT
CORP
FR
N
2
2025-09-12
Fixed
1.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F83S0
4067642.35000000
PA
USD
285293.45000000
0.033615949726
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.03000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-K105 Mortgage Trust
302975BE6
726000.00000000
PA
USD
701608.07000000
0.082670042402
Long
ABS-MBS
USGSE
US
N
2
2053-03-25
Variable
3.53000000
N
N
N
N
N
N
CONSTELLATION AUTOMOTIVE
254900HVTSU7VICDRM89
Constellation Automotive Financing PLC
000000000
100000.00000000
PA
119870.53000000
0.014124269975
Long
DBT
CORP
GB
N
2
2027-07-15
Fixed
4.88000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDS8
585000.00000000
PA
USD
574958.81000000
0.067747038887
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.88000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVS0
284000.00000000
PA
USD
317300.83000000
0.037387359399
Long
DBT
CORP
US
N
2
2045-10-21
Fixed
4.75000000
N
N
N
N
N
N
Intuitive Surgical Inc
54930052SRG011710797
Intuitive Surgical Inc
46120E602
457.00000000
NS
USD
137867.76000000
0.016244872390
Long
EC
CORP
US
N
1
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAG8
200000.00000000
PA
USD
193960.92000000
0.022854294536
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.35000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.960000 21-JAN-2052
000000000
9851890.00000000
OU
Notional Amount
USD
690099.50000000
0.081313994758
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2052-01-22
0.00000000
USD
-306.61000000
USD
9851890.00000000
USD
690406.11000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSH4
367458.71000000
PA
USD
364694.06000000
0.042971674205
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAT8
178000.00000000
PA
USD
158042.17000000
0.018622010569
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERHD5
971.40000000
PA
USD
970.61000000
0.000114366372
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.130000 07-MAR-2024
000000000
53145521.00000000
OU
Notional Amount
USD
-1082657.05000000
-0.12756880665
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-07
227.16000000
USD
0.00000000
USD
53145521.00000000
USD
-1082884.21000000
N
N
N
Agora Securities
635400JPPZ72DHCQAZ42
Agora Securities UK 2021 DAC
000000000
399857.69000000
PA
520378.41000000
0.061315864311
Long
ABS-MBS
CORP
IE
N
2
2031-08-17
Floating
1.30000000
N
N
N
N
N
N
SIMPAR EUROPE SA
54930068BSUST41D5C30
Simpar Europe SA
82883PAA2
785000.00000000
PA
USD
700612.50000000
0.082552735008
Long
DBT
CORP
LU
N
2
2031-01-26
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEL2
567097.22000000
PA
USD
528115.72000000
0.062227546735
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: EUR 0.222000 19-OCT-2031
000000000
215050.00000000
OU
Notional Amount
-19958.16000000
-0.00235165757
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-20
0.00000000
EUR
-38.07000000
EUR
215050.00000000
EUR
-19913.73000000
N
N
N
DEUTSCHE LUFTHANSA AG
529900PH63HYJ86ASW55
Deutsche Lufthansa AG
000000000
100000.00000000
PA
108556.29000000
0.012791120115
Long
DBT
CORP
DE
N
2
2024-07-14
Fixed
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFL3
3480000.00000000
PA
USD
3022004.86000000
0.356080952597
Long
DBT
CORP
US
N
2
2030-09-18
Fixed
1.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
1500000.00000000
PA
USD
1449014.36000000
0.170736460574
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59000000
N
N
N
N
N
N
DirecTV Financing, LLC
N/A
DirecTV Financing, LLC Term Loan
25460HAB8
218843.99000000
PA
USD
218360.34000000
0.025729263015
Long
LON
CORP
US
N
2
2027-08-02
Floating
5.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
955000.00000000
PA
USD
836582.43000000
0.098573987270
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CYN8
130199.35000000
PA
USD
135187.31000000
0.015929036634
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833CH1
940000.00000000
PA
USD
1053432.68000000
0.124125317320
Long
DBT
CORP
US
N
2
2047-02-09
Fixed
4.25000000
N
N
N
N
N
N
MONITCHEM HOLDCO 3 S.A.
222100SJHJ1CNJMSW162
Monitchem HoldCo 3 SA
000000000
100000.00000000
PA
108412.48000000
0.012774175072
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
5.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFV1
474000.00000000
PA
USD
386533.19000000
0.045544965306
Long
DBT
CORP
US
N
2
2060-11-20
Fixed
3.00000000
N
N
N
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
28000.00000000
0.003299222580
Long
DBT
CORP
KY
N
2
2023-06-01
Fixed
11.88000000
Y
Y
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD AUD
000000000
1.00000000
NC
N/A
-147931.56000000
-0.01743068368
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2888467.00000000
AUD
244988708.00000000
JPY
2022-06-15
-147931.56000000
N
N
N
Engie SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
1200000.00000000
PA
1314768.99000000
0.154918412144
Long
DBT
CORP
FR
N
2
2025-09-19
Fixed
0.88000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
315000.00000000
PA
320892.26000000
0.037810535361
Long
DBT
CORP
GB
N
2
2030-01-16
Fixed
2.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
36000.00000000
PA
USD
36266.26000000
0.004273230853
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.640000 27-MAY-2026
000000000
84240097.00000000
OU
Notional Amount
USD
6240202.03000000
0.735279123026
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-05-27
0.00000000
USD
-654.47000000
USD
84240097.00000000
USD
6240856.50000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.568500 13-AUG-2024
000000000
15661669.00000000
OU
Notional Amount
USD
713060.40000000
0.084019463321
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-13
0.00000000
USD
-94.54000000
USD
15661669.00000000
USD
713154.94000000
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
000000000
100000.00000000
PA
106614.82000000
0.012562357913
Long
DBT
CORP
DE
N
2
2027-05-15
Fixed
3.88000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
000000000
195000.00000000
PA
215814.48000000
0.025429285915
Long
DBT
CORP
GG
N
2
2022-04-14
Fixed
1.25000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5941.25000000
0.000700053791
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1449000.00000000
EUR
1608897.15000000
USD
2022-04-01
5941.25000000
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CQ1
39000.00000000
PA
USD
35139.67000000
0.004140485454
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.40000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
1238000.00000000
PA
USD
1158191.09000000
0.136468935598
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQB3
66720.88000000
PA
USD
68699.31000000
0.008094796957
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-55857.36000000
-0.00658163797
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4103346.00000000
BRL
806000.00000000
USD
2022-04-04
-55857.36000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: EUR 0.020000 26-AUG-2031
000000000
8789346.00000000
OU
Notional Amount
999293.90000000
0.117746178554
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-08-26
0.00000000
EUR
-142.88000000
EUR
8789346.00000000
EUR
999461.62000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
EUR P USD C @1.060000 EO
000000000
-20291954.00000000
OU
Notional Amount
-32414.87000000
-0.00381942396
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
-32414.87000000
0.00000000
DFE
US
-20291954.00000000
CLP
-21509471.24000000
USD
2022-05-12
1.00000000
1.06000000
EUR
2022-05-12
XXXX
66786.96000000
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
130000.00000000
PA
135859.64000000
0.016008256859
Long
DBT
US
N
2
2034-02-08
Fixed
1.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDT5
274000.00000000
PA
USD
226193.37000000
0.026652224067
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.94000000
N
N
N
N
N
N
NIDDA HEALTHCARE HOLDING
549300Q89C4WAO6L0L19
Nidda Healthcare Holding GmbH
000000000
400000.00000000
PA
423693.66000000
0.049923560368
Long
DBT
CORP
DE
N
2
2024-09-30
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERGY0
15751.99000000
PA
USD
15647.03000000
0.001843679810
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JAST3
5730.23000000
PA
USD
5849.16000000
0.000689202883
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP
000000000
84.00000000
NC
USD
24108.00000000
0.002840630641
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
25.00000000
USD
2022-07-15
XXXX
4875.03000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MEVG3
38290.43000000
PA
USD
39681.42000000
0.004675637031
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust 2020-MF1
03881BAS2
1326000.00000000
PA
USD
994696.78000000
0.117204502764
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
1.75000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087H72
2650000.00000000
PA
1950738.31000000
0.229854281469
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
VERY GRP FUNDING PLC/THE
9845005CC91D50AF8202
Very Group Funding Plc/The
000000000
100000.00000000
PA
124271.25000000
0.014642804075
Long
DBT
CORP
GB
N
2
2026-08-01
Fixed
6.50000000
N
N
N
N
N
N
Madison Avenue Trust
N/A
MAD Mortgage Trust 2017-330M
55282MAJ3
110000.00000000
PA
USD
106075.50000000
0.012498810173
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Variable
3.71000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBA2
200000.00000000
PA
USD
207307.00000000
0.024426854839
Long
DBT
CORP
GB
N
2
2023-09-15
Fixed
7.75000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
000000000
230000.00000000
PA
221617.05000000
0.026112999128
Long
DBT
CORP
US
N
2
2041-11-04
Fixed
0.90000000
N
N
N
N
N
N
Fanatics Commerce Intermediate Holdco, LLC
N/A
Fanatics Commerce Intermediate Holdco, LLC Term Loan B
30709UAB0
163590.00000000
PA
USD
161954.10000000
0.019082950847
Long
LON
CORP
US
N
2
2028-11-24
Floating
3.75000000
N
N
N
N
N
N
Elmwood CLO IV Ltd
N/A
Elmwood CLO IV Ltd
29002GAB7
500000.00000000
PA
USD
497420.40000000
0.058610736275
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.48000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.850000 15-OCT-2051
000000000
1508148.00000000
OU
Notional Amount
USD
135446.74000000
0.015959605109
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-10-16
0.00000000
USD
-46.89000000
USD
1508148.00000000
USD
135493.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEP89
711859.11000000
PA
USD
723165.00000000
0.085210082053
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
000000000
350000.00000000
PA
409532.00000000
0.048254900781
Long
DBT
CORP
US
N
2
2039-05-21
Fixed
2.95000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
130000.00000000
PA
99091.17000000
0.011675850914
Long
DBT
NUSS
AU
N
2
2024-04-21
Fixed
2.75000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
170000.00000000
PA
USD
168238.04000000
0.019823383588
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.65000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
93667.00000000
OU
Notional Amount
USD
-584.69000000
-0.00006889365
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-1741.97000000
USD
93667.00000000
USD
1157.28000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
1385000.00000000
PA
USD
1230495.48000000
0.144988516889
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
5204000.00000000
PA
5819708.75000000
0.685732661442
Long
DBT
NUSS
IT
N
2
2023-03-01
Fixed
0.95000000
N
N
N
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
000000000
1124.00000000
NS
193160.87000000
0.022760025142
Long
EP
CORP
DE
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M1YD4
1041.07000000
PA
USD
1061.82000000
0.000125113590
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD P CLP C @815.00 EO
000000000
4284000.00000000
OU
Notional Amount
USD
163421.75000000
0.019255883134
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
163421.75000000
0.02000000
DFE
CH
3491460000.00000000
USD
4284000.00000000
CHF
2022-05-06
1.00000000
815.00000000
USD
2022-05-06
XXXX
51737.87000000
N
N
N
Commonwealth of Massachusetts
5493001N1YCXNI1O7K10
MASSACHUSETTS ST
57582RXA9
1000000.00000000
PA
USD
1140332.00000000
0.134364610134
Long
DBT
MUN
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FSWP: CNY 2.237500 15-JUN-2024
000000000
15595000.00000000
OU
Notional Amount
-790.13000000
-0.00009310052
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2024-06-17
0.00000000
CNY
0.00000000
CNY
15595000.00000000
CNY
-790.13000000
N
N
N
INFORMA PLC
5493006VM2LKUPSEDU20
Informa PLC
000000000
1155000.00000000
PA
1291249.51000000
0.152147126448
Long
DBT
CORP
GB
N
2
2025-10-06
Fixed
2.13000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
3573000.00000000
PA
USD
3413940.15000000
0.402262443986
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZH0
5458.61000000
PA
USD
5564.25000000
0.000655632115
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
MERCK FIN SERVICES GMBH
549300OELEN3ZS5RB682
Merck Financial Services GmbH
000000000
200000.00000000
PA
220268.49000000
0.025954099142
Long
DBT
CORP
DE
N
2
2023-12-15
Fixed
0.01000000
N
N
N
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160R101
88.00000000
NS
USD
94828.80000000
0.011173618508
Long
EC
CORP
US
N
1
N
N
N
Bain Capital Credit CLO, Limited
549300GUKNMHLHIJO049
Bain Capital Credit CLO 2017-1 Ltd
05682QAQ9
600000.00000000
PA
USD
595453.74000000
0.070161943739
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.22000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAC6
240000.00000000
PA
USD
253095.00000000
0.029822026393
Long
DBT
CORP
NL
N
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
2103.00000000
NC
USD
-5612662.38000000
-0.66133651647
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
451021488.40000000
USD
-5612662.38000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5H40
235164.01000000
PA
USD
237907.76000000
0.028032523353
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDL2
184000.00000000
PA
USD
155160.98000000
0.018282521744
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
2189000.00000000
PA
2923622.84000000
0.344488660386
Long
DBT
NUSS
AT
N
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
200000.00000000
PA
USD
49000.00000000
0.005773639516
Long
DBT
CORP
KY
N
2
2024-02-01
Fixed
7.50000000
N
N
N
N
N
N
TESCO CORP TREASURY SERV
21380018AJDKNF3A6712
Tesco Corporate Treasury Services PLC
000000000
130000.00000000
PA
126553.53000000
0.014911723708
Long
DBT
CORP
GB
N
2
2029-07-27
Fixed
0.38000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
1170000.00000000
OU
Notional Amount
USD
6760.49000000
0.000796584330
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-21
15783.02000000
USD
0.00000000
USD
1170000.00000000
USD
-9022.53000000
N
N
N
CENTURION BIDCO SPA
815600440B4998FCA515
Centurion Bidco SpA
000000000
180000.00000000
PA
193406.34000000
0.022788948719
Long
DBT
CORP
IT
N
2
2026-09-30
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
383808.46000000
PA
USD
387132.64000000
0.045615598127
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CL4
40000.00000000
PA
USD
40016.38000000
0.004715105160
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 0.600900 15-FEB-2031
000000000
2330000.00000000
OU
Notional Amount
-118150.43000000
-0.01392159166
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-17
35.77000000
EUR
0.00000000
EUR
2330000.00000000
EUR
-118191.36000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
100000.00000000
PA
105129.13000000
0.012387299984
Long
DBT
CORP
FR
N
2
2025-02-15
Fixed
2.13000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030652
5164566.00000000
PA
USD
5039776.24000000
0.593833699002
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
AMS-OSRAM AG
5299001JPPT2QFTV5D76
ams-OSRAM AG
000000000
200000.00000000
PA
188219.55000000
0.022177792480
Long
DBT
CORP
AT
N
1
2025-03-05
None
0.00000000
N
N
N
N
N
ams AG
ams AG
EUR
XXXX
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
100000.00000000
PA
106281.84000000
0.012523123086
Long
DBT
CORP
FR
N
2
2025-01-15
Fixed
2.50000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
277000.00000000
PA
USD
259410.50000000
0.030566177829
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
29887.53000000
0.003521629066
N/A
DFE
MX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
811000.00000000
USD
16725253.00000000
MXN
2022-04-01
29887.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFK67
1860108.36000000
PA
USD
1686248.46000000
0.198689606989
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans 2017-2 LLC
61946GAA1
62687.85000000
PA
USD
61908.13000000
0.007294596443
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
3.82000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CF INDUSTRIES HOLDINGS INC
000000000
-7.00000000
NC
USD
-4025.00000000
-0.00047426324
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
CF Industries Holdings Inc
CF Industries Holdings Inc
100.00000000
110.00000000
USD
2022-05-20
XXXX
-960.62000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BG1
100000.00000000
PA
USD
126386.00000000
0.014891983752
Long
DBT
NUSS
PH
N
2
2034-10-23
Fixed
6.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.451000 19-MAR-2024
000000000
23502100.00000000
OU
Notional Amount
USD
933193.49000000
0.109957608366
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-19
0.00000000
USD
-68.32000000
USD
23502100.00000000
USD
933261.81000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
785000.00000000
PA
USD
820784.03000000
0.096712471626
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.220000 27-NOV-2050
000000000
6800000.00000000
OU
Notional Amount
USD
1558240.28000000
0.183606482776
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-11-28
0.00000000
USD
-188.62000000
USD
6800000.00000000
USD
1558428.90000000
N
N
N
OVG Business Services, LLC
N/A
OVG Business Services, LLC Initial Term Loan
000000000
268000.00000000
PA
USD
257950.00000000
0.030394088023
Long
LON
CORP
US
N
2
2028-10-13
Floating
7.25000000
N
N
N
N
N
N
Credito Real Sab DE CV Sofom ENR
N/A
Credito Real Sab DE CV Sofom ENR Term Loan B
000000000
59500.00000000
PA
USD
11900.00000000
0.001402169596
Long
LON
CORP
MX
N
3
2023-02-17
Floating
4.23000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (PHILIP)
000000000
5287561.00000000
OU
Notional Amount
USD
-55964.64000000
-0.00659427871
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF PHILIPPINES
REPUBLIC OF PHILIPPINES
Y
buy protection
2027-06-22
28465.58000000
USD
0.00000000
USD
5287561.00000000
USD
-84430.22000000
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273V100
16892.00000000
NS
USD
189021.48000000
0.022272283393
Long
EC
CORP
US
N
1
N
N
N
E.ON SE
Q9MAIUP40P25UFBFG033
E.ON SE
000000000
75000.00000000
PA
78559.77000000
0.009256648825
Long
DBT
CORP
DE
N
2
2027-09-29
Fixed
0.38000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
325000.00000000
PA
330491.12000000
0.038941563063
Long
DBT
NUSS
GR
N
2
2032-06-18
Fixed
1.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5302.12000000
-0.00062474550
N/A
DFE
US
N
2
State Street Bank & Trust Co.
R0MUWSFPU8MPRO8K5P83
710000.00000000
EUR
782256.70000000
USD
2022-06-15
-5302.12000000
N
N
N
OI EUROPEAN GROUP BV
72450053F5WRDY8CDZ66
OI European Group BV
000000000
100000.00000000
PA
108406.28000000
0.012773444530
Long
DBT
CORP
NL
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7CA5
1125112.97000000
PA
USD
1151314.18000000
0.135658633571
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JR7K1
167082.86000000
PA
USD
155550.01000000
0.018328360907
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
METALLOINVEST FINANCE
635400ZS3HCCUYTNHA25
Metalloinvest Finance DAC
59126LAB4
447000.00000000
PA
USD
89400.00000000
0.010533946382
Long
DBT
CORP
IE
N
2
2028-10-22
Fixed
3.38000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDH2
741000.00000000
PA
USD
775011.90000000
0.091319170024
Long
DBT
CORP
MX
N
2
2025-10-16
Fixed
6.88000000
N
N
N
N
N
N
Telstra Corp Ltd
PCTXNQGRJVR3OG33JG65
Telstra Corp Ltd
000000000
100000.00000000
PA
112493.21000000
0.013255004949
Long
DBT
CORP
AU
N
2
2022-09-21
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-2968.99000000
-0.00034983424
N/A
DFE
ZA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
810000.00000000
USD
11816756.28000000
ZAR
2022-04-20
-2968.99000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AP2
295000.00000000
PA
USD
296870.30000000
0.034980042759
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
6.13000000
N
N
N
N
N
N
Digital Room Holdings, Inc.
549300I680V3FDWE2N30
Digital Room Holdings, Inc. 2021 Term Loan
000000000
137000.00000000
PA
USD
134260.00000000
0.015819772273
Long
LON
CORP
US
N
2
2028-12-21
Floating
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHWD0
78538.20000000
PA
USD
85966.00000000
0.010129320298
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
ERSTE GROUP BANK AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
800000.00000000
PA
798908.80000000
0.094134926885
Long
DBT
CORP
AT
N
2
2032-11-15
Fixed
0.88000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
36238.58000000
0.004269969336
N/A
DFE
RU
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
66646.00000000
USD
7680951.50000000
RUB
2022-05-25
36238.58000000
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
100000.00000000
PA
112236.12000000
0.013224712195
Long
DBT
CORP
NL
N
2
2027-02-03
Fixed
1.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
HPFHU0OQ28E4N0NFVK49
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
15659.04000000
0.001845094941
N/A
DFE
CZ
N
2
State Street Bank & Trust Co.
HPFHU0OQ28E4N0NFVK49
540000.00000000
USD
12284373.60000000
CZK
2022-04-20
15659.04000000
N
N
N
ICADE SANTE SAS
96950067NFR9MWI0CJ45
Icade Sante SACA
000000000
500000.00000000
PA
522347.90000000
0.061547928092
Long
DBT
FR
N
2
2030-09-17
Fixed
1.38000000
N
N
N
N
N
N
State Street Bank & Trust Co.
RR3QWICWWIPCS8A4S074
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
121433.84000000
0.014308473820
N/A
DFE
MX
N
2
State Street Bank & Trust Co.
RR3QWICWWIPCS8A4S074
1825894.98000000
USD
39230000.00000000
MXN
2022-06-15
121433.84000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK79
5341.60000000
PA
USD
5292.47000000
0.000623608447
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL60
1191787.90000000
PA
USD
1109876.78000000
0.130776090508
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWA84
2885.21000000
PA
USD
2950.25000000
0.000347626122
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6110.50000000
-0.00071999641
N/A
DFE
XX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1609805.96000000
USD
1449000.00000000
EUR
2022-04-20
-6110.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 3.735000 15-MAY-2031
000000000
162000.00000000
OU
Notional Amount
-34970.57000000
-0.00412056050
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2031-05-15
3.37000000
GBP
0.00000000
GBP
162000.00000000
GBP
-34975.33000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2Y RTR 1.400000 15-FEB-2023
000000000
-49553356.00000000
NC
USD
-86898.75000000
-0.01023922565
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
49553356.00000000
OU
Notional Amount
N/A
-86898.75000000
-0.01000000
DIR
US
N/A
N/A
2025-02-17
0.00000000
N/A
0.00000000
N/A
49553356.00000000
USD
1.00000000
1.40000000
USD
2023-02-15
XXXX
76383.65000000
N
N
N
OP SERVICIOS MEGA
4469000001BP4DCM0P31
Operadora de Servicios Mega SA de CV Sofom ER
68373NAA3
1188000.00000000
PA
USD
886767.75000000
0.104487292304
Long
DBT
CORP
MX
N
2
2025-02-11
Fixed
8.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-4104.87000000
-0.00048367427
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
1424696.20000000
USD
9065000.00000000
CNY
2022-06-15
-4104.87000000
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
000000000
100000.00000000
PA
110883.84000000
0.013065373883
Long
DBT
CORP
FR
N
2
2026-04-14
Fixed
1.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLN4
5863.26000000
PA
USD
6160.31000000
0.000725865494
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2797.92000000
-0.00032967717
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2245000.00000000
CNY
349019.79000000
USD
2022-06-15
-2797.92000000
N
N
N
RONSHINE CHINA
549300GNBBT32SFSEC47
Ronshine China Holdings Ltd
000000000
200000.00000000
PA
USD
44000.00000000
0.005184492626
Long
DBT
CORP
KY
N
2
2023-01-22
Fixed
8.95000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
000000000
390000.00000000
PA
378250.67000000
0.044569041127
Long
DBT
CORP
US
N
2
2039-06-26
Fixed
1.41000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EA1
150000.00000000
PA
USD
140597.12000000
0.016566471181
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/SCDS: (SOAF)
000000000
4582366.00000000
OU
Notional Amount
USD
232508.26000000
0.027396303627
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Republic of South Africa
Republic of South Africa
Y
buy protection
2027-06-22
284083.41000000
USD
0.00000000
USD
4582366.00000000
USD
-51575.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83A3
369212.94000000
PA
USD
362581.93000000
0.042722803241
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BT9
826000.00000000
PA
USD
675935.59000000
0.079645070055
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.80000000
N
N
N
N
N
N
BANCO BPM SPA
815600E4E6DCD2D25E30
Banco BPM SpA
000000000
100000.00000000
PA
106537.83000000
0.012553286229
Long
DBT
CORP
IT
N
2
2031-01-14
Fixed
3.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CF INDUSTRIES HOLDINGS INC
000000000
-30.00000000
NC
USD
-5100.00000000
-0.00060092982
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
CF Industries Holdings Inc
CF Industries Holdings Inc
100.00000000
130.00000000
USD
2022-05-20
XXXX
861.87000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS: (CMBX.NA.9.BBB-)
000000000
265000.00000000
OU
Notional Amount
USD
-26899.75000000
-0.00316958080
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-1052.87000000
USD
265000.00000000
USD
-25846.88000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRR8
112645.37000000
PA
USD
111986.19000000
0.013195263098
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9B86
260715.30000000
PA
USD
263996.32000000
0.031106522147
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
120000.00000000
PA
125017.29000000
0.014730709504
Long
DBT
CORP
NL
N
2
2027-05-09
Fixed
3.75000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEVON ENERGY CORP
000000000
274.00000000
NC
USD
53019.00000000
0.006247195785
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Devon Energy Corp
Devon Energy Corp
100.00000000
60.00000000
USD
2022-04-14
XXXX
-13625.79000000
N
N
N
ADANI TRANSMISSION LTD
549300PLH866JQ6LXE52
Adani Transmission Ltd
000000000
181000.00000000
PA
USD
166124.06000000
0.019574294640
Long
DBT
CORP
IN
N
2
2036-05-21
Fixed
4.25000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
167500000.00000000
PA
8139708.40000000
0.959096776879
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
330000.00000000
PA
340746.34000000
0.040149929256
Long
DBT
US
N
2
2027-02-15
Fixed
0.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRJ6
151020.06000000
PA
USD
157871.44000000
0.018601893559
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Cydsa SAB de CV
4469000001BNTACN9916
Cydsa SAB de CV
232553AA5
620000.00000000
PA
USD
592100.00000000
0.069766774641
Long
DBT
CORP
MX
N
2
2027-10-04
Fixed
6.25000000
N
N
N
N
N
N
STONEGATE PUB FIN
254900L5266ML3505282
Stonegate Pub Co Financing 2019 PLC
000000000
100000.00000000
PA
133663.85000000
0.015749528290
Long
DBT
CORP
GB
N
2
2025-07-31
Fixed
8.25000000
N
N
N
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
222000.00000000
PA
266235.95000000
0.031370416357
Long
DBT
NUSS
AT
N
2
2047-02-20
Fixed
1.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.972500 28-MAY-2051
000000000
667603.00000000
OU
Notional Amount
USD
43116.38000000
0.005080376231
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-05-30
0.00000000
USD
-20.69000000
USD
667603.00000000
USD
43137.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9U84
9574.26000000
PA
USD
9932.38000000
0.001170326156
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1048.40000000
-0.00012353231
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
860000.00000000
EUR
952896.08000000
USD
2022-06-15
-1048.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.603760 20-FEB-2025
000000000
4020000.00000000
OU
Notional Amount
23031.11000000
0.002713741363
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-20
1207.26000000
EUR
0.00000000
EUR
4020000.00000000
EUR
21659.60000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-145021.69000000
-0.01708781551
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
47241739.60000000
MXN
2200000.00000000
USD
2022-06-15
-145021.69000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BRY0FWXM2 BLACKROCK
000000000
-35316818.00000000
NC
USD
-316413.97000000
-0.03728286123
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
IRS Swap
N/A
35316818.00000000
OU
Notional Amount
N/A
-316413.97000000
-0.04000000
DIR
US
N/A
N/A
2033-03-23
0.00000000
N/A
0.00000000
N/A
35316818.00000000
USD
1.00000000
3.27000000
USD
2023-03-23
XXXX
-20459.04000000
N
N
N
SONDER SECURED NOTES
N/A
SONDER SECURED NOTES
000000000
731000.00000000
PA
USD
685312.50000000
0.080749945526
Long
DBT
CORP
US
N
3
2027-01-19
None
0.00000000
N
N
N
N
N
N
TVC DSCR 21 1 CERT
N/A
TVC DSCR 21 1 CERT
000000000
314191.80000000
PA
USD
384884.96000000
0.045350755391
Long
ABS-MBS
CORP
US
N
3
2051-02-01
None
0.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEE0
600000.00000000
PA
723255.03000000
0.085220690231
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
2.88000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
55000.00000000
PA
USD
49122.15000000
0.005788032374
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
VOLKSWAGEN FIN SERV NV
529900ZTQC8D1TW6BL41
Volkswagen Financial Services NV
000000000
200000.00000000
PA
257848.93000000
0.030382179008
Long
DBT
CORP
NL
N
2
2024-02-10
Fixed
1.63000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
93667.00000000
OU
Notional Amount
USD
-584.69000000
-0.00006889365
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CMBX.NA.A.6
137BEOAF1
Y
sell protection
2058-09-18
0.00000000
USD
-1544.51000000
USD
93667.00000000
USD
959.82000000
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428X106
237.00000000
NS
USD
54839.43000000
0.006461695920
Long
EC
CORP
US
N
1
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
60000.00000000
PA
USD
53182.74000000
0.006266489168
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX HIGH YIELD CORPO
000000000
229.00000000
NC
USD
23014.50000000
0.002711784217
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
100.00000000
82.00000000
USD
2022-05-20
XXXX
-624.98000000
N
N
N
Consumer Discretionary Select Sector SPDR Fund
549300CD2I087Y919K79
Consumer Discretionary Select Sector SPDR Fund
81369Y407
1317.00000000
NS
USD
243645.00000000
0.028708538773
Long
EC
RF
US
N
1
N
N
N
CIFC Funding Ltd
635400VBVF8AYJQBI411
CIFC Funding 2018-I Ltd
12551RAA6
400000.00000000
PA
USD
396800.00000000
0.046754697141
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
1.24000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.640000 23-MAR-2025
000000000
4900000.00000000
OU
Notional Amount
35517.72000000
0.004185030851
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-24
0.00000000
EUR
-23.28000000
EUR
4900000.00000000
EUR
35543.45000000
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370860
14397.00000000
NS
USD
243453.27000000
0.028685947346
Long
EC
CORP
US
N
1
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT JUN22
000000000
11.00000000
NC
-41723.54000000
-0.00491625876
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 10 Year Canadian Bond Future
CNM2 COMDTY
2022-06-21
1488320.68000000
CAD
-41723.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGKD8
54280.08000000
PA
USD
54902.77000000
0.006469159232
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
MP6I5ZYZBEU3UXPYFY54
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
672.47000000
0.000079236721
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
MP6I5ZYZBEU3UXPYFY54
766000.00000000
USD
958534.94000000
CAD
2022-04-20
672.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.810000 15-JUL-2031
000000000
455000.00000000
OU
Notional Amount
-86815.19000000
-0.01022937982
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2031-07-15
9.46000000
GBP
0.00000000
GBP
455000.00000000
GBP
-86828.27000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DP7
3129000.00000000
PA
USD
3011271.38000000
0.354816233326
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERLF5
28526.43000000
PA
USD
28342.11000000
0.003339533189
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3936.41000000
0.000463824741
N/A
DFE
MX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
767000.00000000
USD
15376816.00000000
MXN
2022-04-20
3936.41000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
FREEPORT-MCMORAN INC
000000000
-13.00000000
NC
USD
-260.00000000
-0.00003063563
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Freeport-McMoRan Inc
Freeport-McMoRan Inc
100.00000000
35.00000000
USD
2022-05-20
XXXX
1544.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NX7
32780.66000000
PA
USD
33968.98000000
0.004002543780
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
80000.00000000
PA
65011.22000000
0.007660231607
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312942DD4
10341.97000000
PA
USD
11013.99000000
0.001297771589
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6110.50000000
-0.00071999641
N/A
DFE
XX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1609805.96000000
USD
1449000.00000000
EUR
2022-04-20
-6110.50000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-27920.24000000
-0.00328982450
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
14139368.67000000
MXN
682958.02000000
USD
2022-04-01
-27920.24000000
N
N
N
INRETAIL CONSUMER
N/A
InRetail Consumer
45790TAB1
530000.00000000
PA
USD
496477.50000000
0.058499634955
Long
DBT
CORP
PE
N
2
2028-03-22
Fixed
3.25000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
411000.00000000
PA
462676.27000000
0.054516857052
Long
DBT
NUSS
GR
N
2
2027-04-22
Fixed
2.00000000
N
N
N
N
N
N
Generate CLO Ltd.
5493009C48K5WG4EX118
Generate CLO 2 Ltd
98625TAJ4
600000.00000000
PA
USD
597619.02000000
0.070417077334
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
1.41000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FSWP: CNY 2.420000 15-JUN-2027
000000000
6505000.00000000
OU
Notional Amount
1926.55000000
0.000227004187
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2027-06-15
0.00000000
CNY
0.00000000
CNY
6505000.00000000
CNY
1926.55000000
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
000000000
100000.00000000
PA
98505.79000000
0.011606875953
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-6390.50000000
-0.00075298863
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
10000000.00000000
CZK
443011.25000000
USD
2022-06-15
-6390.50000000
N
N
N
BNP Paribas SA
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
4893.73000000
0.000576625161
N/A
DFE
XX
N
2
BNP Paribas SA
7LTWFZYICNSX8D621K86
342575.50000000
GBP
410000.00000000
EUR
2022-06-15
4893.73000000
N
N
N
SONDER WARRANTS
N/A
SONDER WARRANTS
000000000
10965.00000000
NS
USD
4386.00000000
0.000516799651
Long
STIV
CORP
US
N
3
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAA3
249000.00000000
PA
USD
252112.50000000
0.029706259030
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.88000000
N
N
N
N
N
N
Trimaran Advisors CAVU 2019-1
549300IGMQ24BLOIU872
Trimaran Cavu 2019-1 Ltd
89624CAE2
250000.00000000
PA
USD
248319.15000000
0.029259290959
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
2.45000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012643
1659300.00000000
PA
USD
1480860.44000000
0.174488864369
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VXX3
630127.24000000
PA
USD
602415.25000000
0.070982214131
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL52
1061036.17000000
PA
USD
1018446.13000000
0.120002873900
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087YQ1
280000.00000000
PA
276335.80000000
0.032560475399
Long
DBT
NUSS
CA
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
Societe Generale SA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-19040.30000000
-0.00224350670
N/A
DFE
US
N
2
Societe Generale SA
E57ODZWZ7FF32TWEFA76
8560000.00000000
TRY
535000.00000000
USD
2022-06-08
-19040.30000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKP4
40799.79000000
PA
USD
42412.92000000
0.004997487977
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ML2
200000.00000000
PA
USD
185298.28000000
0.021833581054
Long
DBT
CORP
US
N
2
2031-01-29
Fixed
2.67000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAA0
473000.00000000
PA
USD
477730.00000000
0.056290628693
Long
DBT
CORP
NL
N
2
2025-06-15
Fixed
5.05000000
N
N
N
N
N
N
Parker-Hannifin Corp
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094104
265.00000000
NS
USD
75196.40000000
0.008860345030
Long
EC
CORP
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX INVESTMENT GRA
000000000
306.00000000
NC
USD
35190.00000000
0.004146415807
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
100.00000000
118.00000000
USD
2022-05-20
XXXX
-14146.12000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
27000000.00000000
PA
1577782.99000000
0.185909188137
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
Citibank N.A.
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-2031.82000000
-0.00023940808
N/A
DFE
US
N
2
Citibank N.A.
R0MUWSFPU8MPRO8K5P83
200000.00000000
PLN
45232.84000000
USD
2022-06-15
-2031.82000000
N
N
N
Jack Ohio Finance LLC
5493002ERZW63JFJI167
Jack Ohio Finance LLC Term Loan
46647KAG2
80797.50000000
PA
USD
79787.53000000
0.009401315022
Long
LON
CORP
US
N
3
2028-10-04
Floating
5.50000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CE6
1005000.00000000
PA
USD
960776.21000000
0.113207663104
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
2.55000000
N
N
N
N
N
N
KASIKORNBANK PCL HK
5493004COSQ54937AW41
Kasikornbank PCL/Hong Kong
000000000
200000.00000000
PA
USD
187662.50000000
0.022112155626
Long
DBT
CORP
TH
N
2
2031-10-02
Fixed
3.34000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CM9
125000.00000000
PA
105027.35000000
0.012375307310
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRE7
42603.28000000
PA
USD
43449.14000000
0.005119585135
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2021-A
76042UAD5
800000.00000000
PA
USD
753729.60000000
0.088811489856
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
5.23000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
230000.00000000
PA
USD
210161.59000000
0.024763209403
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.55000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408103
1540.00000000
NS
USD
57673.00000000
0.006795573710
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83Z8
137834.73000000
PA
USD
139368.57000000
0.016421711898
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.557000 12-AUG-2024
000000000
23992905.00000000
OU
Notional Amount
USD
1098071.12000000
0.129385036935
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-12
0.00000000
USD
-144.71000000
USD
23992905.00000000
USD
1098215.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
32779.88000000
PA
USD
33772.77000000
0.003979424478
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1277.52000000
-0.00015052938
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
75415.06000000
USD
67017.00000000
EUR
2022-04-01
-1277.52000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKE1
122000.00000000
PA
USD
104577.46000000
0.012322297051
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.30000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-63271.18000000
-0.00745520377
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
W22LROWP2IHZNBB6K528
5290000.00000000
BRL
1025372.64000000
USD
2022-06-15
-63271.18000000
N
N
N
AMER AIRLINE 19-1AA PTT
N/A
American Airlines 2019-1 Class AA Pass Through Trust
02377LAA2
75783.68000000
PA
USD
71187.00000000
0.008387919922
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.15000000
N
N
N
N
N
N
Park Avenue Trust
N/A
245 Park Avenue Trust 2017-245P
90187LAN9
250000.00000000
PA
USD
218838.10000000
0.025785557178
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
3.66000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MGM RESORTS INTERNATIONAL
000000000
-55.00000000
NC
USD
-13172.50000000
-0.00155210748
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
MGM Resorts International
MGM Resorts International
100.00000000
40.00000000
USD
2022-06-17
XXXX
-3416.54000000
N
N
N
Denver City & County School District No 1
N/A
DENVER CITY & CNTY CO SCH DIST #1
249174YN7
1235000.00000000
PA
USD
1493166.87000000
0.175938923359
Long
DBT
MUN
US
N
2
2042-12-01
Fixed
5.00000000
N
N
N
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
000000000
200000.00000000
PA
USD
173080.00000000
0.020393908723
Long
DBT
CORP
KR
N
2
2031-01-19
Fixed
2.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 1.242000 15-FEB-2031
000000000
620000.00000000
OU
Notional Amount
3455.58000000
0.000407168841
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-17
9.58000000
EUR
0.00000000
EUR
620000.00000000
EUR
3444.90000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SEP22 SPX P @ 3700
000000000
-616.00000000
NC
USD
-43869.49000000
-0.00516911471
N/A
DE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
S&P 500 INDEX
SPX Index
1.00000000
3700.00000000
USD
2022-09-16
XXXX
53458.51000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPMW1
95327.78000000
PA
USD
103142.04000000
0.012153162406
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTFX1
444.58000000
PA
USD
452.69000000
0.000053340181
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AJ8
850000.00000000
PA
USD
833966.45000000
0.098265747974
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
2000000.00000000
OU
Notional Amount
USD
-203016.98000000
-0.02392136445
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-217474.17000000
USD
2000000.00000000
USD
14457.19000000
N
N
N
JSM GLOBAL SARL
222100JFIJNVE1XMFY68
JSM Global Sarl
46592BAA0
686000.00000000
PA
USD
600164.25000000
0.070716980202
Long
DBT
CORP
LU
N
2
2030-10-20
Fixed
4.75000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
100000.00000000
PA
164145.56000000
0.019341169216
Long
DBT
NUSS
FR
N
2
2032-10-25
Fixed
5.75000000
N
N
N
N
N
N
SUEZ
549300JQIZM6CL7POC81
Suez SA
000000000
100000.00000000
PA
104715.17000000
0.012338523335
Long
DBT
CORP
FR
N
2
2026-06-01
Fixed
1.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.420000 10-JAN-2027
000000000
16315210.00000000
OU
Notional Amount
USD
-777456.13000000
-0.09160717212
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-01-11
143.86000000
USD
0.00000000
USD
16315210.00000000
USD
-777599.99000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDA1
151000.00000000
PA
USD
142065.27000000
0.016739462382
Long
DBT
CORP
US
N
2
2027-08-20
Fixed
2.70000000
N
N
N
N
N
N
State Street Bank & Trust Co.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2541.51000000
0.000299464542
N/A
DFE
US
N
2
State Street Bank & Trust Co.
7H6GLXDRUGQFU57RNE97
1170000.00000000
EUR
1300349.70000000
USD
2022-06-15
2541.51000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZG2
1974.34000000
PA
USD
2012.65000000
0.000237149297
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJDN5
32365.18000000
PA
USD
32073.58000000
0.003779209977
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
9583.74000000
0.001129246121
N/A
DFE
US
N
2
Deutsche Bank AG
G5GSEF7VJP5I7OUK5573
55284555000.00000000
IDR
3855000.00000000
USD
2022-06-15
9583.74000000
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAE8
432000.00000000
PA
USD
382406.40000000
0.045058708208
Long
DBT
CORP
CO
N
2
2029-07-18
Fixed
4.25000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
6000000.00000000
PA
7914103.08000000
0.932513842377
Long
DBT
NUSS
GB
N
2
2026-07-22
Fixed
1.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030645
5100466.00000000
PA
USD
4988893.31000000
0.587838195016
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
838000.00000000
OU
Notional Amount
USD
4842.12000000
0.000570543987
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-21
11304.43000000
USD
0.00000000
USD
838000.00000000
USD
-6462.31000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012445
1587000.00000000
PA
USD
1504612.39000000
0.177287541861
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
1.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
838000.00000000
OU
Notional Amount
USD
4842.12000000
0.000570543987
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-21
11523.77000000
USD
0.00000000
USD
838000.00000000
USD
-6681.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9F88
11615.80000000
PA
USD
11510.85000000
0.001356316294
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
AMER AIRLINE 16-1 B PTT
N/A
American Airlines 2016-1 Class B Pass Through Trust
02376YAA5
5063.27000000
PA
USD
4939.47000000
0.000582014677
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NL1
796000.00000000
PA
USD
793314.15000000
0.093475712756
Long
DBT
CORP
US
N
2
2026-03-17
Fixed
3.29000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671D857
5333.00000000
NS
USD
265263.42000000
0.031255823752
Long
EC
CORP
US
N
1
N
N
N
Madison Avenue Trust
N/A
MAD Mortgage Trust 2017-330M
55282MAL8
130000.00000000
PA
USD
123549.93000000
0.014557811388
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Variable
3.76000000
N
N
N
N
N
N
ABERTIS FINANCE BV
5493007WHKI5H75YJ358
Abertis Infraestructuras Finance BV
000000000
100000.00000000
PA
108181.27000000
0.012746931742
Long
DBT
CORP
NL
N
2
2025-11-24
Fixed
3.25000000
N
N
N
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
LLOYDS BANKING GROUP PLC
000000000
-143.00000000
NC
-6293.04000000
-0.00074150498
N/A
DE
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Put
Written
Lloyds Banking Group PLC
Lloyds Banking Group PLC
1000.00000000
0.44000000
GBP
2022-05-20
XXXX
-1917.78000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.569000 27-AUG-2024
000000000
8086390.00000000
OU
Notional Amount
USD
375910.11000000
0.044293254399
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-27
0.00000000
USD
-49.62000000
USD
8086390.00000000
USD
375959.73000000
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
300000.00000000
PA
276848.07000000
0.032620835854
Long
DBT
CORP
LU
N
2
2026-11-13
Fixed
2.75000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
000000000
640000.00000000
PA
709727.36000000
0.083626733291
Long
DBT
CORP
GB
N
2
2026-03-22
Fixed
3.25000000
N
N
N
N
N
N
SUMMIT DIGITEL INFRASTR
3358004TNI1SSIQ9BQ37
Summit Digitel Infrastructure Pvt Ltd
000000000
200000.00000000
PA
USD
173628.00000000
0.020458479222
Long
DBT
CORP
IN
N
2
2031-08-12
Fixed
2.88000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-14045.29000000
-0.00165494778
N/A
DFE
CL
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
763000.00000000
USD
590943500.00000000
CLP
2022-04-20
-14045.29000000
N
N
N
Nidda BondCo GmbH
391200JPUEK6AMI9PQ76
Nidda BondCo GmbH
000000000
100000.00000000
PA
99914.27000000
0.011772836275
Long
DBT
CORP
DE
N
2
2025-09-30
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-420K
17328QAN1
20000000.00000000
PA
USD
1170200.00000000
0.137883937992
Long
ABS-MBS
CORP
US
N
2
2042-11-10
Variable
0.89000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-CX12 Commercial Mortgage Trust
12595XAZ6
750000.00000000
PA
USD
750914.25000000
0.088479758917
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
4.74000000
N
N
N
N
N
N
Davis-Standard, LLC
N/A
Davis-Standard, LLC Term Loan
000000000
219225.00000000
PA
USD
212648.25000000
0.025056211004
Long
LON
CORP
US
N
3
2028-12-10
Floating
6.76000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBP4
588000.00000000
PA
USD
501882.60000000
0.059136514525
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.94000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES RUSSELL 2000 ETF
000000000
47.00000000
NC
USD
11632.50000000
0.001370650238
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
iShares Russell 2000 ETF
iShares Russell 2000 ETF
100.00000000
202.00000000
USD
2022-04-14
XXXX
-5580.27000000
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JT9
100000.00000000
PA
110862.82000000
0.013062897110
Long
DBT
CORP
US
N
2
2025-01-31
Fixed
0.88000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1204.66000000
-0.00014194433
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
899687.25000000
USD
810000.00000000
EUR
2022-06-15
-1204.66000000
N
N
N
Eaton Vance CDO Ltd
549300R0C8KS2AMEHL81
Eaton Vance CLO 2018-1 Ltd
27831BAC7
250000.00000000
PA
USD
247957.18000000
0.029216640259
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.69000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2W4
25813.53000000
PA
USD
24061.60000000
0.002835163358
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
1200000.00000000
PA
1368102.62000000
0.161202680587
Long
DBT
CORP
CH
N
2
2026-04-02
Fixed
3.25000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
310000.00000000
PA
311794.59000000
0.036738562565
Long
DBT
CORP
GB
N
2
2029-08-09
Fixed
0.58000000
N
N
N
N
N
N
BANCO DAVIVIENDA SA
549300P161V4IPKAQS70
Banco Davivienda SA
059501AD8
230000.00000000
PA
USD
210708.75000000
0.024827680925
Long
DBT
CORP
CO
N
2
2031-04-22
Fixed
6.65000000
N
N
N
N
N
N
GAMMA BIDCO SPA
549300JS6XODWD0TZD48
Gamma Bidco SpA
000000000
100000.00000000
PA
109106.09000000
0.012855902707
Long
DBT
CORP
IT
N
2
2025-07-15
Fixed
5.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEP9
10697.56000000
PA
USD
10599.23000000
0.001248900676
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES RUSSELL 2000 ETF
000000000
-97.00000000
NC
USD
-17411.50000000
-0.00205158621
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares Russell 2000 ETF
iShares Russell 2000 ETF
100.00000000
182.00000000
USD
2022-05-20
XXXX
4391.60000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
90000.00000000
PA
USD
75197.09000000
0.008860426332
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.88000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SNAP INC
000000000
47.00000000
NC
USD
141.00000000
0.000016613942
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
Snap Inc
Snap Inc
100.00000000
26.00000000
USD
2022-04-14
XXXX
-18763.77000000
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAZ6
400000.00000000
PA
442608.76000000
0.052152314834
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QR37
28557.84000000
PA
USD
31165.89000000
0.003672257429
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
5.00000000
N
N
N
N
N
N
AMS-OSRAM AG
5299001JPPT2QFTV5D76
ams-OSRAM AG
000000000
100000.00000000
PA
113452.55000000
0.013368043385
Long
DBT
CORP
AT
N
2
2025-07-31
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEQC9
133135.47000000
PA
USD
134207.60000000
0.015813598014
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Voya CLO 2017-4, Ltd.
N/A
Voya Clo 2017-4 Ltd
92916QAA0
400000.00000000
PA
USD
398179.76000000
0.046917273404
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.37000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2S3
132616.60000000
PA
USD
123492.53000000
0.014551047982
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
000000000
100000.00000000
PA
111703.57000000
0.013161962159
Long
DBT
CORP
ES
N
2
2027-01-22
Fixed
1.45000000
N
N
N
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT JUN22
000000000
2.00000000
NC
USD
10457.93000000
0.001232251385
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
ICE US MSCI Emerging Markets EM Index Futures
MESM2 INDEX
2022-06-17
102092.07000000
USD
10457.93000000
N
N
N
BP CAPITAL MARKETS BV
7245003VD7E4T30HJD24
BP Capital Markets BV
000000000
210000.00000000
PA
199090.38000000
0.023458695616
Long
DBT
CORP
NL
N
2
2041-09-21
Fixed
1.47000000
N
N
N
N
N
N
County of Fairfax VA Sewer Revenue
N/A
FAIRFAX CNTY VA SWR REVENUE
303867ME2
1650000.00000000
PA
USD
1785073.95000000
0.210334152994
Long
DBT
MUN
US
N
2
2051-07-15
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXR0
325000.00000000
PA
USD
281541.00000000
0.033173800877
Long
DBT
CORP
US
N
2
2032-01-27
Fixed
1.99000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDV0
14000.00000000
PA
USD
11456.56000000
0.001349919337
Long
DBT
CORP
US
N
2
2063-11-01
Fixed
2.99000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
2000000.00000000
PA
2091431.54000000
0.246432077232
Long
DBT
CORP
FR
N
2
2027-04-13
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWM6
31204.61000000
PA
USD
31618.48000000
0.003725585827
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-3022.96000000
-0.00035619349
N/A
DFE
GB
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
580000.00000000
EUR
487588.60000000
GBP
2022-06-15
-3022.96000000
N
N
N
LOUIS DREYFUS FINANCE BV
5493001HHX62PQCEEH95
Louis Dreyfus Co Finance BV
000000000
500000.00000000
PA
513034.39000000
0.060450523003
Long
DBT
CORP
NL
N
2
2028-04-28
Fixed
1.63000000
N
N
N
N
N
N
Palo Alto Unified School District
N/A
PALO ALTO CA UNIF SCH DIST
697379YG4
1285000.00000000
PA
USD
1306751.20000000
0.153973680937
Long
DBT
MUN
US
N
2
2033-08-01
Fixed
3.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BK0
130000.00000000
PA
USD
124475.00000000
0.014666811811
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5EJ4
1139.98000000
PA
USD
1129.33000000
0.000133068251
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT JUN22
000000000
-59.00000000
NC
USD
-1066966.05000000
-0.12571994588
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-Mini Standard & Poor's 500 Index Future
ESM2 INDEX
2022-06-17
-12298746.45000000
USD
-1066966.05000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AN7
58000.00000000
PA
USD
55535.00000000
0.006543654500
Long
DBT
CORP
CA
N
2
2028-06-01
Fixed
4.88000000
N
N
N
N
N
N
Jo-Ann Stores, Inc.
549300GM65RR2EMGLI48
Jo-Ann Stores, Inc. 2021 Term Loan B1
47759DAE5
760969.01000000
PA
USD
660414.57000000
0.077816237924
Long
LON
CORP
US
N
2
2028-07-07
Floating
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (INDON)
000000000
7061000.00000000
OU
Notional Amount
USD
-56491.20000000
-0.00665632295
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
buy protection
2027-06-22
86469.32000000
USD
0.00000000
USD
7061000.00000000
USD
-142960.52000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
USD C TRY P @15.00000 EO
000000000
-1620000.00000000
OU
Notional Amount
USD
-48655.08000000
-0.00573299780
N/A
DFE
LU
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
FX Contract
N/A
1.00000000
NC
USD
-48655.08000000
-0.01000000
DFE
US
-1620000.00000000
EUR
-24300000.00000000
USD
2022-04-28
1.00000000
15.00000000
USD
2022-04-28
XXXX
33252.12000000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AU7
540000.00000000
PA
USD
499571.21000000
0.058864164879
Long
DBT
CORP
NL
N
2
2026-07-01
Fixed
1.40000000
N
N
N
N
N
N
Deere & Co
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199105
395.00000000
NS
USD
164106.70000000
0.019336590366
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
8328.47000000
0.000981338438
N/A
DFE
KR
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
600000.00000000
USD
739551000.00000000
KRW
2022-06-15
8328.47000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-209538.70000000
-0.02468981466
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
76488782.35000000
RUB
815011.00000000
USD
2022-05-25
-209538.70000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BAA4
7576.01000000
PA
USD
7913.43000000
0.000932434533
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4G6
36574.37000000
PA
USD
37987.36000000
0.004476026996
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BTER9
12836.82000000
PA
USD
13269.79000000
0.001563571100
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
Red & Black Auto Germany UG
391200E3OPA9K4R22Z70
Red & Black Auto Germany 8 UG
000000000
100000.00000000
PA
109775.38000000
0.012934764731
Long
ABS-O
CORP
DE
N
3
2030-09-15
Floating
0.20000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
000000000
269000.00000000
PA
USD
294218.75000000
0.034667612272
Long
DBT
CORP
NL
N
2
2081-01-23
Fixed
8.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CF INDUSTRIES HOLDINGS INC
000000000
-49.00000000
NC
USD
-81095.00000000
-0.00955537339
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
CF Industries Holdings Inc
CF Industries Holdings Inc
100.00000000
90.00000000
USD
2022-05-20
XXXX
-76202.69000000
N
N
N
CMA CGM SA
969500BZJ49IICIBZZ08
CMA CGM SA
000000000
100000.00000000
PA
119424.97000000
0.014071769918
Long
DBT
CORP
FR
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YBA3
639000.00000000
PA
USD
623921.01000000
0.073516224453
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
5.65000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAH4
500000.00000000
PA
USD
496370.88000000
0.058487071987
Long
DBT
US
N
2
2027-09-01
Fixed
3.65000000
N
N
N
N
N
N
MCM 2021 VFN1
N/A
MCM 2021 VFN1
000000000
464738.00000000
PA
USD
307981.87000000
0.036289312139
Long
ABS-MBS
CORP
US
N
3
2028-08-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWF0
2182.78000000
PA
USD
2161.99000000
0.000254745936
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN22
000000000
60.00000000
NC
USD
-214306.96000000
-0.02525165577
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT US Long Bond Future
USM2 COMDTY
2022-06-21
9223681.96000000
USD
-214306.96000000
N
N
N
LVMH MOET HENNESSY VUITT
IOG4E947OATN0KJYSD45
LVMH Moet Hennessy Louis Vuitton SE
000000000
100000.00000000
PA
110917.47000000
0.013069336485
Long
DBT
CORP
FR
N
2
2023-02-28
Fixed
0.13000000
N
N
N
N
N
N
Las Vegas Valley Water District
N/A
LAS VEGAS VLY NV WTR DIST
517845AZ6
790000.00000000
PA
USD
868558.39000000
0.102341694744
Long
DBT
MUN
US
N
2
2038-06-01
Fixed
5.00000000
N
N
N
N
N
N
RED SUN PROPERTIES GRP
549300TYWIIKAOK07L47
Redsun Properties Group Ltd
000000000
200000.00000000
PA
USD
34000.00000000
0.004006198847
Long
DBT
CORP
KY
N
2
2023-04-16
Fixed
9.70000000
N
N
N
N
N
N
Sarcos Technology and Robotics Corp
N/A
Sarcos Technology and Robotics Corp
80359A114
28519.00000000
NS
USD
30230.14000000
0.003561998589
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Sarcos Technology and Robotics Corp
Sarcos Technology and Robotics Corp
11.50000000
11.50000000
USD
2027-06-15
XXXX
84.98000000
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
300000.00000000
PA
USD
270147.00000000
0.031831252945
Long
DBT
CORP
KY
N
2
2030-06-18
Fixed
4.38000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
B4TYDEB6GKMZO031MB27
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-4520.36000000
-0.00053263120
N/A
DFE
GB
N
2
JPMorgan Chase Bank N.A.
B4TYDEB6GKMZO031MB27
570000.00000000
EUR
478002.00000000
GBP
2022-06-15
-4520.36000000
N
N
N
Citibank N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-690041.73000000
-0.08130718775
N/A
DFE
US
N
2
Citibank N.A.
B4TYDEB6GKMZO031MB27
224722781.63000000
MXN
10464920.00000000
USD
2022-06-15
-690041.73000000
N
N
N
NATIONAL GRID NA INC
5Q3U0WRKWZZGRMPYFT08
National Grid North America Inc
000000000
100000.00000000
PA
106930.10000000
0.012599507159
Long
DBT
CORP
US
N
2
2026-01-20
Fixed
0.41000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
26000000.00000000
PA
5010823.51000000
0.590422216838
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
145000.00000000
PA
205508.00000000
0.024214879788
Long
DBT
CORP
NL
N
2
2029-05-23
Fixed
4.63000000
N
N
N
N
N
N
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
3071.07000000
0.000361862267
N/A
DFE
US
N
2
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
6782000.00000000
CNY
1065889.65000000
USD
2022-06-15
3071.07000000
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953101
348.00000000
NS
USD
14595.12000000
0.001719733909
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM5X8
13759.40000000
PA
USD
13471.18000000
0.001587300758
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417C3C7
6121.72000000
PA
USD
6065.55000000
0.000714699982
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.540000 28-MAY-2031
000000000
1390840.00000000
OU
Notional Amount
USD
93417.94000000
0.011007377752
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-05-28
0.00000000
USD
-20.96000000
USD
1390840.00000000
USD
93438.90000000
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAB7
1655000.00000000
PA
USD
1547425.00000000
0.182332125062
Long
DBT
CORP
LU
N
2
2046-11-30
Fixed
4.39000000
N
N
N
N
N
N
LOXAM SAS
969500BNA2YRNE1R5K91
Loxam SAS
000000000
100000.00000000
PA
109185.97000000
0.012865314918
Long
DBT
CORP
FR
N
2
2026-07-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XGBJ6
9184.46000000
PA
USD
9497.52000000
0.001119086872
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BRY0G0TD6 BLACKROCK
000000000
2630000.00000000
OU
Notional Amount
USD
20619.20000000
0.002429547508
N/A
DFE
LU
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
20619.20000000
0.00000000
DFE
US
302450000.00000000
JPY
2630000.00000000
USD
2022-09-21
1.00000000
115.00000000
USD
2022-09-21
XXXX
-499.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 0.789500 15-FEB-2031
000000000
2320000.00000000
OU
Notional Amount
-75920.25000000
-0.00894563582
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-17
35.61000000
EUR
0.00000000
EUR
2320000.00000000
EUR
-75960.16000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CG0
0.00000000
PA
USD
0.00000000
0.000000
Long
DBT
NUSS
PH
N
2
2029-01-14
Fixed
3.75000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
1701000.00000000
PA
USD
1492532.31000000
0.175864153549
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
RRAM
549300YH0VOGWM5JZF65
RR 3 Ltd
74988LAA2
400000.00000000
PA
USD
397644.48000000
0.046854201694
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.33000000
N
N
N
N
N
N
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-417.64000000
-0.00004921026
N/A
DFE
GB
N
2
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
78646.84000000
USD
59568.30000000
GBP
2022-06-15
-417.64000000
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
000000000
100000.00000000
PA
116156.22000000
0.013686615139
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
4.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.847460 20-MAR-2027
000000000
19660000.00000000
OU
Notional Amount
-16406.10000000
-0.00193312055
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-22
9607.64000000
EUR
0.00000000
EUR
19660000.00000000
EUR
-27068.18000000
N
N
N
KLABIN AUSTRIA GMBH
984500578YEA8DD41B09
Klabin Austria GmbH
49836AAC8
490000.00000000
PA
USD
424462.50000000
0.050014152307
Long
DBT
CORP
AT
N
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-24357.76000000
-0.00287005970
N/A
DFE
JP
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
779000.00000000
USD
91847628.00000000
JPY
2022-04-18
-24357.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BUEC9
42511.72000000
PA
USD
44273.26000000
0.005216690682
Long
ABS-MBS
USGA
US
N
2
2047-10-15
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
1319000.00000000
PA
USD
1409275.33000000
0.166054035392
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
300000.00000000
PA
344287.05000000
0.040567128912
Long
DBT
CORP
FR
N
2
2025-01-29
Fixed
5.38000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AM5
9000.00000000
PA
USD
9601.69000000
0.001131361159
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.60000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CHEVRON CORP
000000000
18.00000000
NC
USD
20880.00000000
0.002460277410
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Chevron Corp
Chevron Corp
100.00000000
155.00000000
USD
2022-05-20
XXXX
9676.17000000
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044DN8
88000.00000000
PA
USD
89021.28000000
0.010489322040
Long
DBT
CORP
US
N
2
2050-01-15
Fixed
3.95000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
APPLE INC
000000000
27.00000000
NC
USD
1282.50000000
0.000151116177
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Apple Inc
Apple Inc
100.00000000
185.00000000
USD
2022-04-14
XXXX
-9093.23000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBG2
7000000.00000000
PA
USD
7343000.00000000
0.865221121757
Long
DBT
NUSS
MX
N
2
2026-01-21
Fixed
4.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022648
2305000.00000000
PA
USD
2235579.88000000
0.263416986456
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
2.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FP4
130000.00000000
PA
USD
130975.00000000
0.015432702767
Long
DBT
CORP
US
N
2
2024-06-20
Fixed
5.13000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
2812000.00000000
PA
USD
2635324.43000000
0.310518638093
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.32000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK SWAPTION 0.0130000 CALL USD 20
000000000
10217016.00000000
NC
USD
20.13000000
0.000002371905
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
10217016.00000000
OU
Notional Amount
N/A
20.13000000
0.00000000
DIR
US
N/A
N/A
2032-04-25
0.00000000
N/A
0.00000000
N/A
10217016.00000000
USD
1.00000000
0.01300000
USD
2022-04-21
XXXX
-121834.69000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XDTP5
39900.22000000
PA
USD
41568.26000000
0.004897962215
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
NETHERLANDS GOVERNMENT
254900G14ALGVKORFN62
Netherlands Government Bond
000000000
311000.00000000
PA
495323.12000000
0.058363615078
Long
DBT
NUSS
NL
N
2
2047-01-15
Fixed
2.75000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAG2
91376.27000000
PA
USD
90346.24000000
0.010645441252
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
1.61000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BJRG1
38720.07000000
PA
USD
40036.69000000
0.004717498274
Long
ABS-MBS
USGA
US
N
2
2047-10-15
Fixed
4.00000000
N
N
N
N
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower 2017-OT Mortgage Trust
68162MAN2
160000.00000000
PA
USD
132938.72000000
0.015664086673
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJC71
21752.17000000
PA
USD
21552.18000000
0.002539479961
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
070830104
2864.00000000
NS
USD
136899.20000000
0.016130747567
Long
EC
CORP
US
N
1
N
N
N
Deutsche Bank AG
571474TGEMMWANRLN572
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-38871.10000000
-0.00458015753
N/A
DFE
US
N
2
Deutsche Bank AG
571474TGEMMWANRLN572
15255000.00000000
ZAR
995641.90000000
USD
2022-06-15
-38871.10000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
300000.00000000
PA
328376.97000000
0.038692454084
Long
DBT
CORP
IT
N
2
2031-09-01
Fixed
5.88000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
000000000
390000.00000000
PA
370863.59000000
0.043698626087
Long
DBT
CORP
NL
N
2
2034-09-28
Fixed
0.88000000
N
N
N
N
N
N
Edwards Lifesciences Corp
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176E108
1931.00000000
NS
USD
227317.32000000
0.026784658396
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJP5
180000.00000000
PA
USD
165088.00000000
0.019452216335
Long
DBT
CORP
US
N
2
2032-03-11
Fixed
2.65000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
1465000.00000000
PA
USD
1469074.14000000
0.173100091972
Long
DBT
CORP
US
N
2
2028-07-22
Fixed
3.59000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
-2014.00000000
NC
USD
2312099.93000000
0.272433296343
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
-233025239.55000000
USD
2312099.93000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
000000000
100000.00000000
PA
111797.38000000
0.013173015733
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.855000 1-MAR-2024
000000000
24394973.00000000
OU
Notional Amount
-82379.66000000
-0.00970674408
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-01
69.24000000
MXN
0.00000000
MXN
24394973.00000000
MXN
-82383.74000000
N
N
N
BANCO DE SABADELL SA
SI5RG2M0WQQLZCXKRM20
Banco de Sabadell SA
000000000
100000.00000000
PA
107762.44000000
0.012697581263
Long
DBT
CORP
ES
N
2
2025-07-22
Fixed
0.88000000
N
N
N
N
N
N
BASF SE
529900PM64WH8AF1E917
BASF SE
000000000
995000.00000000
PA
1116755.98000000
0.131586662364
Long
DBT
CORP
DE
N
2
2022-12-05
Fixed
2.00000000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAA9
1576000.00000000
PA
USD
1505080.00000000
0.177342640056
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.55000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XCB0
690000.00000000
PA
700632.18000000
0.082555053890
Long
DBT
CORP
US
N
2
2029-05-04
Fixed
0.45000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-3093.55000000
-0.00036451107
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
2275000.00000000
CNY
353425.51000000
USD
2022-06-15
-3093.55000000
N
N
N
Italian Derivatives Market
N/A
FTSE/MIB IDX FUT JUN22
000000000
3.00000000
NC
23333.03000000
0.002749316408
N/A
DE
IT
N
2
Italian Derivatives Market
N/A
Long
FTSE/MIB Index Future
STM2 INDEX
2022-06-17
342230.94000000
EUR
23333.03000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040644
1075000.00000000
PA
USD
1097171.88000000
0.129279080045
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5YR4
13130.42000000
PA
USD
13572.58000000
0.001599248657
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1826000.00000000
PA
2382772.67000000
0.280760621330
Long
DBT
NUSS
GB
N
2
2023-07-22
Fixed
0.75000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
730000.00000000
PA
758134.66000000
0.089330535335
Long
DBT
CORP
GB
N
2
2027-03-13
Fixed
1.25000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BX7
609000.00000000
PA
USD
538562.27000000
0.063458457222
Long
DBT
CORP
US
N
2
2061-08-12
Fixed
3.20000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN MAY22P 121.5
000000000
-10.00000000
NC
USD
-3906.25000000
-0.00046027100
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note Future
N/A
10.00000000
NC
N/A
-3906.25000000
0.00000000
DIR
US
Short
CBOT 10 Year US Treasury Note
TYM2 Comdty
2022-06-21
10.00000000
USD
1000.00000000
121.50000000
USD
2022-04-22
XXXX
7953.55000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ALCOA CORP
000000000
-8.00000000
NC
USD
-6660.00000000
-0.00078474365
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Alcoa Corp
Alcoa Corp
100.00000000
90.00000000
USD
2022-05-20
XXXX
-3757.85000000
N
N
N
Motorola Solutions Inc
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BE8
59000.00000000
PA
USD
64875.92000000
0.007644289292
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.50000000
N
N
N
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
Sweden Government Bond
000000000
960000.00000000
PA
101330.72000000
0.011939735697
Long
DBT
NUSS
SE
N
2
2026-11-12
Fixed
1.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
1342.26000000
0.000158157660
N/A
DFE
MX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
269000.00000000
USD
5392148.01000000
MXN
2022-04-20
1342.26000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CC6
300000.00000000
PA
USD
261142.31000000
0.030770235924
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.40000000
N
N
N
N
N
N
REKEEP SPA
8156008737CA044FCB79
Rekeep SpA
000000000
140000.00000000
PA
161069.96000000
0.018978773181
Long
DBT
CORP
IT
N
2
2026-02-01
Fixed
7.25000000
N
N
N
N
N
N
NEW METRO GLOBAL LTD
549300HJRNTCANEH0D47
New Metro Global Ltd
000000000
200000.00000000
PA
USD
152000.00000000
0.017910065437
Long
DBT
CORP
VG
N
2
2023-08-05
Fixed
6.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE40
90950.33000000
PA
USD
87440.18000000
0.010303022010
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
TVC DSCR 21 1 A
N/A
TVC DSCR 21 1 A
000000000
1256767.21000000
PA
USD
1256767.21000000
0.148084098491
Long
ABS-MBS
CORP
US
N
3
2051-02-01
None
0.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.552500 20-JUL-2024
000000000
7927079.00000000
OU
Notional Amount
USD
352479.39000000
0.041532427238
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-22
0.00000000
USD
-46.57000000
USD
7927079.00000000
USD
352525.96000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129414T1
1051.24000000
PA
USD
1100.40000000
0.000129659447
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.00000000
N
N
N
N
N
N
JERROLD FINCO PLC
213800F7AYNHLL1BPR31
Jerrold Finco Plc
000000000
100000.00000000
PA
126284.81000000
0.014880060597
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
4.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRM9
35857.58000000
PA
USD
37416.18000000
0.004408725211
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L2
61768HAW6
589000.00000000
PA
USD
606421.32000000
0.071454246867
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
4.07000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
31628.01000000
0.003726708741
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
91814735.00000000
JPY
786000.00000000
USD
2022-04-18
31628.01000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-184964.22000000
-0.02179421897
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
72543346.00000000
ZAR
4734539.83000000
USD
2022-06-15
-184964.22000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
30Y RTR 1.520000 05-JUL-2022
000000000
10355235.00000000
NC
USD
42318.01000000
0.004986304791
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
10355235.00000000
OU
Notional Amount
N/A
42318.01000000
0.00000000
DIR
US
N/A
N/A
2052-07-07
0.00000000
N/A
0.00000000
N/A
10355235.00000000
USD
1.00000000
0.01520000
USD
2022-07-05
XXXX
-231733.60000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
90000.00000000
PA
65622.09000000
0.007732210039
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJC97
17129.15000000
PA
USD
16981.27000000
0.002000892479
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Y8
1332000.00000000
PA
USD
1108181.28000000
0.130576310798
Long
DBT
CORP
US
N
2
2052-01-25
Fixed
2.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-6277.75000000
-0.00073970337
N/A
DFE
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
762000.00000000
USD
2857500000.00000000
COP
2022-04-20
-6277.75000000
N
N
N
UNITED AIR 2014-1 B PTT
N/A
United Airlines 2014-1 Class B Pass Through Trust
90932PAB4
2058.54000000
PA
USD
2060.01000000
0.000242729696
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
4.75000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CE8
3900000.00000000
PA
USD
3517800.00000000
0.414500185498
Long
DBT
NUSS
BR
N
2
2031-09-12
Fixed
3.75000000
N
N
N
N
N
N
RUBIS TERMINAL INFRA SAS
9695008ZRGYKYMV0NH30
Rubis Terminal Infra SAS
000000000
150000.00000000
PA
170085.90000000
0.020041115782
Long
DBT
CORP
FR
N
2
2025-05-15
Fixed
5.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WTY4
1743299.97000000
PA
USD
1693104.42000000
0.199497440490
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.660000 04-FEB-2051
000000000
5469310.00000000
OU
Notional Amount
USD
747691.85000000
0.088100065529
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-06
0.00000000
USD
-165.48000000
USD
5469310.00000000
USD
747857.33000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QTHA7
4672.00000000
PA
USD
4950.13000000
0.000583270738
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED AIR 2016-2 B PTT
N/A
United Airlines 2016-2 Class B Pass Through Trust
90933JAA9
3944.44000000
PA
USD
3697.26000000
0.000435645845
Long
DBT
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617ALXR6
11696.74000000
PA
USD
12722.73000000
0.001499111360
Long
ABS-MBS
USGA
US
N
2
2047-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHFF4
2000.29000000
PA
USD
1988.58000000
0.000234313144
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CSX CORP
000000000
-50.00000000
NC
USD
-625.00000000
-0.00007364336
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
CSX Corp
CSX Corp
100.00000000
30.00000000
USD
2022-05-20
XXXX
1325.59000000
N
N
N
Octagon Investments Partners 36, Ltd.
549300S890TBOLY1D042
Octagon Investment Partners 36 Ltd
67591UAC1
750000.00000000
PA
USD
742398.08000000
0.087476303904
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.21000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
123000.00000000
PA
USD
102687.93000000
0.012099654907
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERA91
5811.46000000
PA
USD
5777.35000000
0.000680741556
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335ARP5
21836.81000000
PA
USD
23920.07000000
0.002818486966
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM7D1
404324.89000000
PA
USD
376660.72000000
0.044381698308
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y8EH9
6100.61000000
PA
USD
6164.25000000
0.000726329742
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0160000 CALL USD 20
000000000
4714000.00000000
NC
USD
280.25000000
0.000033021683
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
IRS Swap
N/A
4714000.00000000
OU
Notional Amount
N/A
280.25000000
0.00000000
DIR
US
N/A
N/A
2052-04-22
0.00000000
N/A
0.00000000
N/A
4714000.00000000
USD
1.00000000
0.01600000
USD
2022-04-20
XXXX
-145766.71000000
N
N
N
PROMIGAS/GASES PACIFICO
N/A
Promigas SA ESP / Gases del Pacifico SAC
000000000
450000.00000000
PA
USD
405697.50000000
0.047803084031
Long
DBT
CORP
XX
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
BHARTI AIRTEL LTD
335800KQ1FPKOQ84OR26
Bharti Airtel Ltd
000000000
200000.00000000
PA
USD
183962.00000000
0.021676128013
Long
DBT
CORP
IN
N
2
2031-06-03
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CLH5
180512.20000000
PA
USD
185900.62000000
0.021904554401
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
000000000
130000.00000000
PA
160480.33000000
0.018909297445
Long
DBT
CORP
PA
N
2
2026-02-01
Fixed
10.13000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
2386000.00000000
PA
USD
2328440.68000000
0.274358716749
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.95000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX INVESTMENT GRA
000000000
-306.00000000
NC
USD
-5508.00000000
-0.00064900421
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
100.00000000
116.00000000
USD
2022-04-14
XXXX
14311.77000000
N
N
N
SHRIRAM TRANSPORT FIN
335800TM2YO24B76XL26
Shriram Transport Finance Co Ltd
000000000
200000.00000000
PA
USD
200000.00000000
0.023565875575
Long
DBT
CORP
IN
N
2
2023-07-16
Fixed
5.10000000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
100000.00000000
PA
111771.94000000
0.013170018154
Long
DBT
CORP
NL
N
2
2024-01-15
Fixed
0.88000000
N
N
N
N
N
N
OQ SAOC
549300YK417GKI6EQ392
OQ SAOC
67624L2A5
358000.00000000
PA
USD
353368.38000000
0.041637176377
Long
DBT
CORP
OM
N
2
2028-05-06
Fixed
5.13000000
N
N
N
N
N
N
AUTOSTRADE PER L'ITALIA
815600149448CEB9B230
Autostrade per l'Italia SpA
000000000
100000.00000000
PA
107598.50000000
0.012678264315
Long
DBT
CORP
IT
N
2
2028-12-04
Fixed
2.00000000
N
N
N
N
N
N
Grupo Aval Ltd
549300J4FW1ELLQ80113
Grupo Aval Ltd
000000000
200000.00000000
PA
USD
200875.00000000
0.023668976281
Long
DBT
CORP
KY
N
2
2022-09-26
Fixed
4.75000000
N
N
N
N
N
N
UNITED AIR 2014-2 B PTT
N/A
United Airlines 2014-2 Class B Pass Through Trust
90932QAB2
7593.58000000
PA
USD
7635.39000000
0.000899673253
Long
DBT
CORP
US
N
2
2022-09-03
Fixed
4.63000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
EUR P USD C @1.105000 EO
000000000
-17187465.00000000
OU
Notional Amount
-110241.02000000
-0.01298963080
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
-110241.02000000
-0.01000000
DFE
US
-17187465.00000000
EUR
-18992148.83000000
USD
2022-04-13
1.00000000
1.10500000
EUR
2022-04-13
XXXX
-72139.95000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
AMAZON.COM INC
000000000
2.00000000
NC
USD
4755.00000000
0.000560278691
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Amazon.com Inc
Amazon.com Inc
100.00000000
3400.00000000
USD
2022-04-14
XXXX
-13037.52000000
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAC6
35000.00000000
PA
USD
33824.32000000
0.003985498582
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.15000000
N
N
N
N
N
N
SHERWOOD FINANCING PLC
259400SSZWSSPNYW7K08
Sherwood Financing PLC
000000000
100000.00000000
PA
124139.89000000
0.014627326008
Long
DBT
CORP
GB
N
2
2026-11-15
Fixed
6.00000000
N
N
N
N
N
N
Oi SA
254900YEMWCRRAGD4978
Oi SA
000000000
1075000.00000000
PA
USD
810281.25000000
0.095474935593
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10.00000000
N
N
N
N
N
N
Euronext N.V.
724500QJ4QSZ3H9QU415
BNP PARIBAS SA
000000000
41.00000000
NC
45.36000000
0.000005344740
N/A
DE
FR
N
1
Euronext N.V.
724500QJ4QSZ3H9QU415
Call
Purchased
BNP Paribas SA
BNP Paribas SA
100.00000000
68.00000000
EUR
2022-04-14
XXXX
-10654.85000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
000000000
1105000.00000000
PA
1226476.59000000
0.144514973581
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.63000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-H4
61691RAK2
400000.00000000
PA
USD
394372.56000000
0.046468673396
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
5.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q83T0
85037.86000000
PA
USD
88561.42000000
0.010435137022
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
TE Connectivity Ltd
894500ZRIX9K13RHXR17
TE Connectivity Ltd
000000000
1825.00000000
NS
USD
239038.50000000
0.028165757743
Long
EC
CORP
CH
N
1
N
N
N
INTRUM AB
549300UNCO2FCUWXX470
Intrum AB
000000000
100000.00000000
PA
111341.83000000
0.013119338560
Long
DBT
CORP
SE
N
2
2025-08-15
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6U44
119650.31000000
PA
USD
111328.04000000
0.013117713693
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
000000000
500000.00000000
PA
656824.80000000
0.077393257558
Long
DBT
CORP
GB
N
2
2077-09-16
Fixed
3.63000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
100000.00000000
PA
101150.17000000
0.011918461603
Long
DBT
CORP
US
N
2
2028-01-26
Fixed
0.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CHEVRON CORP
000000000
-18.00000000
NC
USD
-999.00000000
-0.00011771154
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Chevron Corp
Chevron Corp
100.00000000
130.00000000
USD
2022-05-20
XXXX
4629.35000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7UK3
9039.02000000
PA
USD
8985.87000000
0.001058799471
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
BAYER AG
549300J4U55H3WP1XT59
Bayer AG
000000000
600000.00000000
PA
667068.60000000
0.078600278139
Long
DBT
CORP
DE
N
2
2075-04-02
Fixed
2.38000000
N
N
N
N
N
N
ENCORE CAPITAL GROUP INC
5493000UVC6H49CIH830
Encore Capital Group Inc
000000000
130000.00000000
PA
144531.53000000
0.017030060263
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.88000000
N
N
N
N
N
N
Allegheny County Airport Authority
N/A
ALLEGHENY CNTY PA ARPT AUTH ARPT REVENUE
01728LFL1
1000000.00000000
PA
USD
1019359.00000000
0.120110436804
Long
DBT
MUN
US
N
2
2056-01-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042640
1214000.00000000
PA
USD
1258007.50000000
0.148230241090
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
4.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC
000000000
22.00000000
NC
USD
14410.00000000
0.001697921335
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
135.00000000
USD
2022-04-14
XXXX
901.08000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD C CHF P @0.936300 EO
000000000
2210000.00000000
OU
Notional Amount
USD
1624.35000000
0.000191396149
N/A
DFE
LU
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
FX Contract
N/A
1.00000000
NC
USD
1624.35000000
0.00000000
DFE
US
2069223.00000000
EUR
2210000.00000000
USD
2022-04-07
1.00000000
0.93630000
USD
2022-04-07
XXXX
-9315.15000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8EV5
57363.07000000
PA
USD
56994.29000000
0.006715601733
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.161500 18-JUN-2031
000000000
12100000.00000000
OU
Notional Amount
USD
60178.93000000
0.007090845883
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-18
0.00000000
USD
-112.60000000
USD
12100000.00000000
USD
60291.53000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
7812.08000000
0.000920492526
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
340353.30000000
GBP
410000.00000000
EUR
2022-06-15
7812.08000000
N
N
N
JPMorgan Chase Bank N.A.
JHE42UYNWWTJB8YTTU19
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
224505.76000000
0.026453374030
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
JHE42UYNWWTJB8YTTU19
522760000.00000000
JPY
4526515.22000000
USD
2022-06-15
224505.76000000
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2021-A
76042UAB9
136000.00000000
PA
USD
127940.03000000
0.015075094140
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
2.80000000
N
N
N
N
N
N
SoftBank Group Corp
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
2200.00000000
NS
98361.19000000
0.011589837825
Long
EC
CORP
JP
N
2
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
SWP: CLP 1.420000 01-APR-2023
000000000
5282574000.00000000
OU
Notional Amount
506056.23000000
0.059628290752
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-04-03
0.00000000
CLP
0.00000000
CLP
5282574000.00000000
CLP
506056.23000000
N
N
N
PPG INDUSTRIES INC
549300BKPEP01R3V6C59
PPG Industries Inc
693506BK2
825000.00000000
PA
906426.26000000
0.106803642307
Long
DBT
CORP
US
N
2
2027-03-13
Fixed
1.40000000
N
N
N
N
N
N
United Group BV
213800PC85O8BJ7DU398
United Group BV
000000000
100000.00000000
PA
110209.47000000
0.012985913286
Long
DBT
CORP
NL
N
2
2024-07-01
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8GB3
64328.70000000
PA
USD
63673.33000000
0.007502588861
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED AIR 2016-2 AA PTT
N/A
United Airlines 2016-2 Class AA Pass Through Trust
90932EAA1
6308.42000000
PA
USD
5978.39000000
0.000704429974
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.88000000
N
N
N
N
N
N
Advance Auto Parts Inc
529900UCNQ5H9FSL0Y70
Advance Auto Parts Inc
00751Y106
1038.00000000
NS
USD
214824.48000000
0.025312634831
Long
EC
CORP
US
N
1
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAG1
130000.00000000
PA
USD
141602.47000000
0.016684930946
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.30000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
214985.48000000
0.025331605361
Long
DBT
CORP
ES
N
2
2026-01-14
Fixed
4.38000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
32667.75000000
0.003849220659
N/A
DFE
RU
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
66646.00000000
USD
7414367.50000000
RUB
2022-05-25
32667.75000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRY8
2005000.00000000
PA
USD
2030655.82000000
0.239270911954
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.78000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
ICE 3MTH SONIA FU SEP22
000000000
32.00000000
NC
-90692.69000000
-0.01068626324
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
ICF Three Month SONIA Index Future
SFIU2 INDEX
2022-12-20
7917038.72000000
GBP
-90692.69000000
N
N
N
Carrier Global Corp
549300JE3W6CWY2NAN77
Carrier Global Corp
14448C104
4273.00000000
NS
USD
196002.51000000
0.023094853815
Long
EC
CORP
US
N
1
N
N
N
MOVIDA EUROPE SA
549300YRJE0V6QKU7C86
Movida Europe SA
000000000
200000.00000000
PA
USD
178400.00000000
0.021020761013
Long
DBT
CORP
LU
N
2
2031-02-08
Fixed
5.25000000
N
N
N
N
N
N
LINDE PLC
8945002PAZHZLBGKGF02
Linde PLC
000000000
200000.00000000
PA
176515.42000000
0.020798702124
Long
DBT
CORP
IE
N
2
2051-09-30
Fixed
1.00000000
N
N
N
N
N
N
Devon Energy Corp
54930042348RKR3ZPN35
Devon Energy Corp
25179M103
6628.00000000
NS
USD
391913.64000000
0.046178940383
Long
EC
CORP
US
N
1
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DY1
1025000.00000000
PA
USD
1052675.00000000
0.124036040357
Long
DBT
NUSS
CL
N
2
2042-03-07
Fixed
4.34000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-CC
05607CAN9
220000.00000000
PA
USD
200436.72000000
0.023617334021
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.55000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAZ8
51000.00000000
PA
USD
51594.45000000
0.006079341945
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
000000000
337.00000000
NS
USD
34650.34000000
0.004082828005
Long
EC
CORP
NL
N
1
N
N
N
NATL GRID ELECT TRANS
5XJXCCYG4SDKFJ5WLB02
National Grid Electricity Transmission PLC
000000000
1462000.00000000
PA
1581137.91000000
0.186304496274
Long
DBT
CORP
GB
N
2
2025-01-20
Fixed
0.19000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND JUN22
000000000
-85.00000000
NC
1332710.54000000
0.157032453819
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 30 Year Euro BUXL Future
UBM2 COMDTY
2022-06-08
-17031710.36000000
EUR
1332710.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRX74
37781.38000000
PA
USD
39160.26000000
0.004614229073
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GNNQ2
45221.22000000
PA
USD
46702.82000000
0.005502964225
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JNVH7
3962.86000000
PA
USD
4184.40000000
0.000493045248
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
000000000
100000.00000000
PA
120560.19000000
0.014205532184
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.50000000
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05973KAB3
435000.00000000
PA
USD
401505.00000000
0.047309084364
Long
DBT
CORP
MX
N
2
2032-01-24
Fixed
6.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A24Y5
13297.50000000
PA
USD
13214.33000000
0.001557036282
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGJ99
728854.53000000
PA
USD
721429.11000000
0.085005543214
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUY5
49417.90000000
PA
USD
46098.13000000
0.005431713979
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBG4
162000.00000000
PA
USD
137872.96000000
0.016245485102
Long
DBT
US
N
2
2030-10-15
Fixed
1.88000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
701000.00000000
PA
USD
618258.33000000
0.072848994391
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
88515.00000000
OU
Notional Amount
USD
-552.54000000
-0.00006510544
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-1645.08000000
USD
88515.00000000
USD
1092.54000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAK6
36000.00000000
PA
USD
34198.29000000
0.004029563235
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4345.32000000
-0.00051200635
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
270000.00000000
EUR
295148.88000000
USD
2022-06-15
-4345.32000000
N
N
N
Cordatus CLO PLC
2138005AFEIY5AMT4165
CVC Cordatus Loan Fund IV DAC
000000000
100000.00000000
PA
106374.41000000
0.012534030552
Long
ABS-CBDO
CORP
IE
N
2
2034-02-22
Floating
1.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
2102000.00000000
PA
USD
1926099.39000000
0.226951092854
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244109
1436.00000000
NS
USD
130632.92000000
0.015392395693
Long
EC
CORP
US
N
1
N
N
N
EAST JAPAN RAILWAY CO
353800SENYJ2DSM6PS44
East Japan Railway Co
000000000
300000.00000000
PA
297717.53000000
0.035079871343
Long
DBT
CORP
JP
N
2
2039-09-15
Fixed
1.10000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DW5
390000.00000000
PA
USD
391926.27000000
0.046180428568
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.462000 06-FEB-2027
000000000
4110000.00000000
OU
Notional Amount
20713.53000000
0.002440662353
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-02-08
0.00000000
EUR
-20.76000000
EUR
4110000.00000000
EUR
20737.26000000
N
N
N
AUTOSTRADE PER L'ITALIA
815600149448CEB9B230
Autostrade per l'Italia SpA
000000000
100000.00000000
PA
104215.81000000
0.012279684057
Long
DBT
CORP
IT
N
2
2030-01-15
Fixed
2.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX INVESTMENT GRA
000000000
155.00000000
NC
USD
27435.00000000
0.003232648982
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
100.00000000
122.00000000
USD
2022-04-14
XXXX
-2825.52000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS: (CMBX.NA.9.BBB-)
000000000
70000.00000000
OU
Notional Amount
USD
-7105.60000000
-0.00083724842
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-345.20000000
USD
70000.00000000
USD
-6760.40000000
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAJ2
150000.00000000
PA
USD
140946.38000000
0.016607624269
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
3.45000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
101669.00000000
NS
197082.83000000
0.023222147249
Long
EC
CORP
GB
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83E5
71106.05000000
PA
USD
73938.07000000
0.008712076789
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Apidos CLO
549300M5NMLBQJXUO195
Apidos CLO XII
03764DAH4
500000.00000000
PA
USD
496544.45000000
0.058507523632
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.32000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBK5
100000.00000000
PA
USD
97819.87000000
0.011526054426
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
4.67000000
N
N
N
N
N
N
SELP FINANCE SARL
549300Y4VYEJE1MH6D45
SELP Finance Sarl
000000000
590000.00000000
PA
582281.97000000
0.068609922274
Long
DBT
LU
N
2
2029-05-27
Fixed
0.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.626000 23-AUG-2051
000000000
1027655.00000000
OU
Notional Amount
USD
149217.61000000
0.017582218154
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-08-23
0.00000000
USD
-31.30000000
USD
1027655.00000000
USD
149248.91000000
N
N
N
ASTM SPA
8156003F2286CFA55E20
ASTM SpA
000000000
1290000.00000000
PA
1363258.24000000
0.160631870306
Long
DBT
CORP
IT
N
2
2026-11-25
Fixed
1.00000000
N
N
N
N
N
N
REDE D'OR FINANCE SARL
549300FDE772OLJUCP79
Rede D'or Finance Sarl
75735GAA6
222000.00000000
PA
USD
203685.00000000
0.024000076833
Long
DBT
CORP
LU
N
2
2030-01-22
Fixed
4.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-3822.43000000
-0.00045039454
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1000000.00000000
SEK
102721.09000000
USD
2022-06-15
-3822.43000000
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAR0
900000.00000000
PA
USD
855417.51000000
0.100793313029
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312942H40
5590.95000000
PA
USD
5853.00000000
0.000689655348
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
140863.36000000
PA
USD
143521.17000000
0.016911010173
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-345827.42000000
-0.04074862975
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
4PQUHN3JPFGFNF3BB653
55000000.00000000
EUR
60662250.00000000
USD
2022-06-15
-345827.42000000
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
000000000
350000.00000000
PA
376772.07000000
0.044394818609
Long
DBT
CORP
US
N
2
2025-03-08
Fixed
0.10000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-6856.94000000
-0.00080794897
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3463205.91000000
MXN
167261.00000000
USD
2022-04-01
-6856.94000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX INVESTMENT GRA
000000000
306.00000000
NC
USD
34425.00000000
0.004056276333
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
100.00000000
121.00000000
USD
2022-04-14
XXXX
-34495.12000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-GC44 Mortgage Trust
12655TAY5
1000000.00000000
PA
USD
913482.30000000
0.107635051111
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Variable
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QL4T0
225180.01000000
PA
USD
228164.76000000
0.026884511724
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
3.00000000
N
N
N
N
N
N
GOL EQUITY FINANCE SA
222100H9BH197YU7RY14
GOL Equity Finance SA
36256KAA8
282000.00000000
PA
USD
230182.50000000
0.027122260773
Long
DBT
CORP
LU
N
2
2024-07-15
Fixed
3.75000000
N
N
N
N
Y
GOL Equity Finance SA
GOL Equity Finance SA
USD
XXXX
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 JUN22
000000000
4.00000000
NC
6409.23000000
0.000755195583
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex EURO STOXX 50 Future
VGM2 INDEX
2022-06-17
146135.40000000
EUR
6409.23000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 JUN22
000000000
-2.00000000
NC
USD
-12952.02000000
-0.00152612845
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-mini Russell 2000 Index Futures
RTYM2 INDEX
2022-06-17
-193687.98000000
USD
-12952.02000000
N
N
N
Gores Holdings VIII Inc
N/A
Gores Holdings VIII Inc
382863116
1786.00000000
NS
USD
2339.66000000
0.000275680682
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Gores Holdings VIII Inc
Gores Holdings VIII Inc
11.50000000
11.50000000
USD
2027-12-31
XXXX
-670.16000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030645
-5164566.00000000
PA
USD
-5051591.12000000
-0.59522583896
Short
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
400000.00000000
PA
401469.54000000
0.047304906135
Long
DBT
CORP
FR
N
2
2030-01-19
Fixed
0.50000000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AZ9
154000.00000000
PA
USD
141669.00000000
0.016692770134
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
2.60000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
17644200.00000000
PA
846781.88000000
0.099775782118
Long
DBT
CORP
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.682000 19-FEB-2026
000000000
12034300.00000000
OU
Notional Amount
USD
843367.62000000
0.099373481986
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-02-19
0.00000000
USD
-86.62000000
USD
12034300.00000000
USD
843454.24000000
N
N
N
BRF GmbH
5299002S6DY5RA2IOQ11
BRF GmbH
05583BAA7
549000.00000000
PA
USD
534520.13000000
0.062982174381
Long
DBT
CORP
AT
N
2
2026-09-29
Fixed
4.35000000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
260000.00000000
PA
259497.41000000
0.030576418381
Long
DBT
CORP
IT
N
2
2030-02-11
Fixed
2.75000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
000000000
100000.00000000
PA
103953.53000000
0.012248779768
Long
DBT
CORP
XX
N
2
2026-08-15
Fixed
2.13000000
N
N
N
N
N
N
Hartnell Community College District/CA
N/A
HARTNELL CA CMNTY CLG DIST
417123GN0
740000.00000000
PA
USD
664244.72000000
0.078267542116
Long
DBT
MUN
US
N
2
2048-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MRS9
16487.11000000
PA
USD
17765.68000000
0.002093319021
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
GENNEIA SA
529900YZ70LX0XWS9P67
Genneia SA
372319AB9
264120.00000000
PA
USD
249230.24000000
0.029366644127
Long
DBT
CORP
AR
N
2
2027-09-02
Fixed
8.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 8.290000 17-MAR-2032
000000000
35197000.00000000
OU
Notional Amount
15404.16000000
0.001815062589
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-03-30
568.50000000
MXN
0.00000000
MXN
35197000.00000000
MXN
15375.68000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CAPRI HOLDINGS LTD
000000000
-35.00000000
NC
USD
-455.00000000
-0.00005361236
N/A
DE
VG
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Capri Holdings Ltd
Capri Holdings Ltd
100.00000000
80.00000000
USD
2022-05-20
XXXX
5766.94000000
N
N
N
LendingPoint Pass-Through Trust
N/A
LendingPoint Pass-Through Trust Series 2022-ST2
52607QAA8
100000.00000000
PA
USD
100000.00000000
0.011782937787
Long
ABS-O
CORP
US
N
3
2028-04-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040640
467000.00000000
PA
USD
476194.06000000
0.056109649838
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
4.00000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1000000.00000000
PA
1925678.96000000
0.226901553849
Long
DBT
NUSS
GB
N
2
2052-07-22
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2T1
168545.92000000
PA
USD
157002.15000000
0.018499465659
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LQ2K9
1703.17000000
PA
USD
1734.15000000
0.000204333815
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Stoneway Capital Corp
549300CV1RKODDF74O91
Stoneway Capital Corp
000000000
553489.37000000
PA
USD
153697.08000000
0.018110031318
Long
DBT
CORP
CA
N
2
2027-03-01
None
0.00000000
Y
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.565000 27-AUG-2024
000000000
8168070.00000000
OU
Notional Amount
USD
380499.80000000
0.044834054716
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-08-27
0.00000000
USD
-50.12000000
USD
8168070.00000000
USD
380549.92000000
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
000000000
302000.00000000
PA
USD
264778.50000000
0.031198685930
Long
DBT
CORP
MX
N
2
2031-02-09
Fixed
3.35000000
N
N
N
N
N
N
VIRGIN MEDIA VENDOR FIN
635400SSKC2QCGEPIQ43
Virgin Media Vendor Financing Notes III DAC
000000000
100000.00000000
PA
123647.27000000
0.014569280900
Long
DBT
CORP
IE
N
2
2028-07-15
Fixed
4.88000000
N
N
N
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
000000000
100000.00000000
PA
109242.16000000
0.012871935750
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.38000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
886000.00000000
PA
USD
854547.00000000
0.100690741377
Long
DBT
CORP
ZA
N
2
2025-02-11
Fixed
7.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: EUR 0.772530 17-MAR-2027
000000000
1980000.00000000
OU
Notional Amount
22984.29000000
0.002708224591
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-17
1135.68000000
EUR
0.00000000
EUR
1980000.00000000
EUR
21740.43000000
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AS0
39000.00000000
PA
USD
34400.92000000
0.004053439002
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.47000000
N
N
N
N
N
N
Shell PLC
21380068P1DRHMJ8KU70
Shell PLC
000000000
9739.00000000
NS
265979.31000000
0.031340176625
Long
EC
CORP
GB
N
2
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
30000.00000000
PA
56226.54000000
0.006625138228
Long
DBT
NUSS
GB
N
2
2038-12-07
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
341847.00000000
PA
USD
365656.11000000
0.043085031958
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
1195000.00000000
PA
1002300.62000000
0.118100458501
Long
DBT
NUSS
GR
N
2
2052-01-24
Fixed
1.88000000
N
N
N
N
N
N
Latam Finance Ltd
N/A
Latam Finance Ltd
000000000
200000.00000000
PA
USD
176912.50000000
0.020845489813
Long
DBT
CORP
KY
N
2
2024-04-11
None
0.00000000
Y
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
770000.00000000
PA
USD
788396.69000000
0.092896291503
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22000000
N
N
N
N
N
N
IMCD NV
724500NSJPNFJPDAUP02
IMCD NV
000000000
330000.00000000
PA
365080.67000000
0.043017228221
Long
DBT
CORP
NL
N
2
2027-03-31
Fixed
2.13000000
N
N
N
N
N
N
LLPL Capital Pte Ltd
254900VXZ8FXTUQNON22
LLPL Capital Pte Ltd
000000000
174340.00000000
PA
USD
173392.03000000
0.020430675023
Long
DBT
CORP
SG
N
2
2039-02-04
Fixed
6.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2614.69000000
-0.00030808729
N/A
DFE
US
N
2
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
2265000.00000000
CNY
352337.25000000
USD
2022-06-15
-2614.69000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMR23
5056.66000000
PA
USD
5267.58000000
0.000620675674
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.444000 11-MAR-2024
000000000
100000000.00000000
OU
Notional Amount
USD
3896045.16000000
0.459068577386
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-11
0.00000000
USD
-286.79000000
USD
100000000.00000000
USD
3896331.95000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
2Y RTP 2.700000 15-FEB-2023
000000000
-49553356.00000000
NC
USD
-505151.37000000
-0.05952167166
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
49553356.00000000
OU
Notional Amount
N/A
-505151.37000000
-0.06000000
DIR
US
N/A
N/A
2025-02-17
0.00000000
N/A
0.00000000
N/A
49553356.00000000
USD
1.00000000
2.70000000
USD
2023-02-15
XXXX
-318661.62000000
N
N
N
JPMorgan AG
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-284.47000000
-0.00003351892
N/A
DFE
XX
N
2
JPMorgan AG
G5GSEF7VJP5I7OUK5573
44454.75000000
CHF
43244.16000000
EUR
2022-06-15
-284.47000000
N
N
N
JPMorgan Chase Bank N.A.
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1185.42000000
0.000139677301
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
4PQUHN3JPFGFNF3BB653
864020.04000000
USD
780000.00000000
EUR
2022-06-15
1185.42000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-14045.29000000
-0.00165494778
N/A
DFE
CL
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
763000.00000000
USD
590943500.00000000
CLP
2022-04-20
-14045.29000000
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
000000000
100000.00000000
PA
109253.23000000
0.012873240122
Long
DBT
CORP
DE
N
2
2025-05-15
Fixed
3.63000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2020-2 Ltd
53948KAA7
96792.31000000
PA
USD
91771.91000000
0.010813427061
Long
ABS-O
CORP
US
N
2
2047-07-20
Fixed
2.75000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087D35
210000.00000000
PA
179498.22000000
0.021150163592
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.130000 08-MAR-2024
000000000
78484037.00000000
OU
Notional Amount
USD
-1604135.52000000
-0.18901429035
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-08
335.93000000
USD
0.00000000
USD
78484037.00000000
USD
-1604471.45000000
N
N
N
ALM Loan Funding
N/A
ALM 2020 Ltd
00166FAG1
250000.00000000
PA
USD
249198.30000000
0.029362880657
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
2.09000000
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
100000.00000000
PA
96874.29000000
0.011414637323
Long
DBT
CORP
LU
N
2
2025-08-05
Fixed
3.25000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
165000.00000000
PA
272479.17000000
0.032106051085
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2372.77000000
-0.00027958201
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1000000.00000000
EUR
1106865.00000000
USD
2022-06-15
-2372.77000000
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BU2
221000.00000000
PA
USD
199956.72000000
0.023560775920
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAU7
977000.00000000
PA
USD
980663.75000000
0.115550999569
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.38000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBF5
342615.66000000
PA
USD
340608.38000000
0.040133673515
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Fixed
3.53000000
N
N
N
N
N
N
TOTALENERGIES CAPITAL
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
000000000
100000.00000000
PA
110814.75000000
0.013057233052
Long
DBT
CORP
FR
N
2
2023-07-12
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNQV8
69973.11000000
PA
USD
65009.34000000
0.007660010088
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED CNH / SOLD AUD
000000000
1.00000000
NC
N/A
-37.30000000
-0.00000439503
N/A
DFE
XX
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
2278.00000000
AUD
10652.53000000
CNY
2022-06-15
-37.30000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
LYONDELLBASELL INDUSTRIES NV
000000000
31.00000000
NC
USD
4882.50000000
0.000575301937
N/A
DE
NL
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
LyondellBasell Industries NV
LyondellBasell Industries NV
100.00000000
115.00000000
USD
2022-06-17
XXXX
-3618.47000000
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EF3
1149000.00000000
PA
USD
991108.42000000
0.116781688538
Long
DBT
CORP
US
N
2
2051-02-08
Fixed
2.65000000
N
N
N
N
N
N
ProGroup AG
529900YI5W5TQ8F2FP82
ProGroup AG
000000000
100000.00000000
PA
106015.23000000
0.012491708596
Long
DBT
CORP
DE
N
2
2026-03-31
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
JHE42UYNWWTJB8YTTU19
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
7113.78000000
0.000838212271
N/A
DFE
SG
N
2
JPMorgan Chase Bank N.A.
JHE42UYNWWTJB8YTTU19
1800000.00000000
USD
2449337.40000000
SGD
2022-06-15
7113.78000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDC2
8719236.48000000
PA
USD
9165075.54000000
1.079915149081
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.13000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033G407
548.00000000
NS
USD
47106.08000000
0.005550480100
Long
EC
CORP
US
N
1
N
N
N
EASY TACTIC LTD
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
200000.00000000
PA
USD
43000.00000000
0.005066663248
Long
DBT
CORP
VG
N
2
2023-08-02
Fixed
11.75000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
000000000
100000.00000000
PA
142923.24000000
0.016840556453
Long
DBT
CORP
US
N
2
2029-09-14
Fixed
4.38000000
N
N
N
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
3702.00000000
NS
USD
381528.12000000
0.044955221022
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 7.675000 30-JAN-2032
000000000
29564000.00000000
OU
Notional Amount
-49786.70000000
-0.00586633588
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-30
471.90000000
MXN
0.00000000
MXN
29564000.00000000
MXN
-49809.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFKC4
192857.08000000
PA
USD
179661.31000000
0.021169380386
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
UNITED AIR 2015-1 AA PTT
N/A
United Airlines 2015-1 Class AA Pass Through Trust
90932LAA5
734.06000000
PA
USD
724.89000000
0.000085413337
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.397750 08-MAR-2024
000000000
92780000.00000000
OU
Notional Amount
USD
3651456.00000000
0.430248788828
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-08
0.00000000
USD
-264.93000000
USD
92780000.00000000
USD
3651720.93000000
N
N
N
GS Mortgage Securities Trust
54930070360RBP384M53
GS Mortgage Securities Trust 2015-GC34
36250VAJ1
1100000.00000000
PA
USD
1098058.06000000
0.129383498083
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
4.47000000
N
N
N
N
N
N
Valcour Packaging LLC
N/A
Valcour Packaging LLC 2021 1st Lien Term Loan
91889CAB4
60000.00000000
PA
USD
58500.00000000
0.006893018605
Long
LON
CORP
US
N
3
2028-10-04
Floating
4.25000000
N
N
N
N
N
N
Shopify Inc
549300HGQ43STJLLP808
Shopify Inc
82509L107
123.00000000
NS
USD
83143.08000000
0.009796697391
Long
EC
CORP
CA
N
1
N
N
N
LIQUID TELECOM FINANCE
635400MXAVJRJJCWVI87
Liquid Telecommunications Financing Plc
536333AB3
697000.00000000
PA
USD
660407.50000000
0.077815404870
Long
DBT
CORP
GB
N
2
2026-09-04
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD C ZAR P @16.25000 EO
000000000
-5580000.00000000
OU
Notional Amount
USD
-368.28000000
-0.00004339420
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-368.28000000
0.00000000
DFE
US
-5580000.00000000
EUR
-90675000.00000000
USD
2022-04-12
1.00000000
16.25000000
USD
2022-04-12
XXXX
38022.12000000
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
304000.00000000
PA
USD
277764.80000000
0.032728853580
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
Jeld-Wen Inc.
549300XWE6NM0N1HFW16
Jeld-Wen Inc. 2021 Term Loan B
47579SAU4
194510.04000000
PA
USD
192516.31000000
0.022684077038
Long
LON
CORP
US
N
2
2028-07-28
Floating
2.71000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2022-1
69546MAA5
990000.00000000
PA
USD
971904.58000000
0.114518912018
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
2.03000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
HILTON WORLDWIDE HOLDINGS INC
000000000
12.00000000
NC
USD
6000.00000000
0.000706976267
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Hilton Worldwide Holdings Inc
Hilton Worldwide Holdings Inc
100.00000000
150.00000000
USD
2022-04-14
XXXX
-2141.66000000
N
N
N
HOLCIM FINANCE LUX SA
529900XU3Z9D2HLBR716
Holcim Finance Luxembourg SA
000000000
240000.00000000
PA
244883.34000000
0.028854451604
Long
DBT
CORP
LU
N
2
2027-07-19
Fixed
0.13000000
N
N
N
N
N
N
LBM Acquisition LLC
549300FAEB3VWZL4NI86
LBM Acquisition LLC Term Loan B
50179JAB4
376836.59000000
PA
USD
367087.83000000
0.043253730635
Long
LON
CORP
US
N
2
2027-12-17
Floating
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-2406.93000000
-0.00028360706
N/A
DFE
GB
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
737837.52000000
USD
560000.00000000
GBP
2022-06-15
-2406.93000000
N
N
N
Pinewood Finance Co Ltd
N/A
Pinewood Finance Co Ltd
000000000
100000.00000000
PA
127095.60000000
0.014975595479
Long
DBT
CORP
GB
N
2
2025-09-30
Fixed
3.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP
46651MAQ9
1250000.00000000
PA
USD
1211032.38000000
0.142695191925
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DEV0
264438.85000000
PA
USD
274713.68000000
0.032369342008
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
39525.21000000
0.004657230904
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
103800000.00000000
CNY
16306197.08000000
USD
2022-06-15
39525.21000000
N
N
N
Park Avenue Institutional Advisers CLO
549300ZWX1MRCB6KO574
Park Avenue Institutional Advisers CLO Ltd 2017-1
70018FAE9
250000.00000000
PA
USD
239557.73000000
0.028226938291
Long
ABS-CBDO
CORP
KY
N
2
2034-02-14
Floating
7.20000000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Mariner CLO 2016-3 LLC
56845AAY4
250000.00000000
PA
USD
246270.58000000
0.029017909231
Long
ABS-CBDO
CORP
KY
N
2
2029-07-23
Floating
2.31000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 4.285000 15-FEB-2032
000000000
280000.00000000
OU
Notional Amount
-16159.53000000
-0.00190406736
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2032-02-15
5.83000000
GBP
0.00000000
GBP
280000.00000000
GBP
-16167.42000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
EUR C USD P @1.210000 EO
000000000
4810000.00000000
OU
Notional Amount
3799.24000000
0.000447662085
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Call
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FX Contract
N/A
1.00000000
NC
USD
3799.24000000
0.00000000
DFE
RU
5820100.00000000
USD
4810000.00000000
RUB
2022-08-10
1.00000000
1.21000000
EUR
2022-08-10
XXXX
-18194.96000000
N
N
N
VACA MORADA
N/A
VACA MORADA
000000000
666001.00000000
PA
USD
666001.00000000
0.078474483496
Long
LON
CORP
MX
N
2
2024-03-25
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BKV7
23628.49000000
PA
USD
24156.93000000
0.002846396033
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
1545000.00000000
PA
USD
1465445.77000000
0.172672563392
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.98000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6686.84000000
-0.00078790619
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
395911.97000000
USD
351842.00000000
EUR
2022-04-01
-6686.84000000
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
92243XAE1
1450000.00000000
PA
USD
1406500.00000000
0.165727019985
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
8.95000000
N
N
N
N
N
N
Genius Sports Ltd
N/A
Genius Sports Ltd
000000000
5890.00000000
NS
USD
6184.50000000
0.000728715787
N/A
DE
GG
N
1
N/A
N/A
Call
Purchased
Genius Sports Ltd
Genius Sports Ltd
11.50000000
11.50000000
USD
2028-12-31
XXXX
-7813.92000000
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
200000.00000000
PA
226745.80000000
0.026717316550
Long
DBT
CORP
DE
N
2
2025-10-09
Fixed
6.13000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES RUSSELL 2000 ETF
000000000
97.00000000
NC
USD
48597.00000000
0.005726154276
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
iShares Russell 2000 ETF
iShares Russell 2000 ETF
100.00000000
199.00000000
USD
2022-05-20
XXXX
-9035.79000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
746000.00000000
PA
USD
614777.50000000
0.072438850358
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
537000.00000000
PA
USD
579570.03000000
0.068290376071
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
MERCEDES-BENZ GROUP AG
000000000
13.00000000
NC
2617.39000000
0.000308405435
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Call
Purchased
Mercedes-Benz Group AG
Mercedes-Benz Group AG
100.00000000
66.00000000
EUR
2022-06-17
XXXX
-593.69000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
000000000
400000.00000000
PA
441441.44000000
0.052014770244
Long
DBT
CORP
FR
N
2
2032-03-02
Fixed
2.25000000
N
N
N
N
N
N
Citibank N.A.
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-7076.54000000
-0.00083382430
N/A
DFE
XX
N
2
Citibank N.A.
4PQUHN3JPFGFNF3BB653
997795.35000000
CHF
970000.00000000
EUR
2022-06-15
-7076.54000000
N
N
N
REPUBLIC OF VENEZUELA
529900XM8PJTJK5OJI77
Venezuela Government International Bond
000000000
3000.00000000
PA
USD
17550.00000000
0.002067905581
Long
DBT
CORP
VE
N
2
2020-04-15
Fixed
1.00000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FSWP: CNY 2.240000 15-JUN-2024
000000000
15595000.00000000
OU
Notional Amount
-672.33000000
-0.00007922022
N/A
DIR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
N/A
N/A
Y
2024-06-17
0.00000000
CNY
0.00000000
CNY
15595000.00000000
CNY
-672.33000000
N
N
N
ADANI ELECTRICITY MUMBAI
335800AIC1B5EBFVUC38
Adani Electricity Mumbai Ltd
000000000
200000.00000000
PA
USD
180743.00000000
0.021296835245
Long
DBT
CORP
IN
N
2
2030-02-12
Fixed
3.95000000
N
N
N
N
N
N
INFORMA PLC
5493006VM2LKUPSEDU20
Informa PLC
000000000
125000.00000000
PA
129263.07000000
0.015230987120
Long
DBT
CORP
GB
N
2
2028-04-22
Fixed
1.25000000
N
N
N
N
N
N
FERROVIAL NL BV
72450048UYBX1IY3XM22
Ferrovial Netherlands BV
000000000
100000.00000000
PA
107611.11000000
0.012679750144
Long
DBT
CORP
NL
N
2
2023-02-14
Fixed
2.12000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7JB6
3803.09000000
PA
USD
3773.04000000
0.000444574955
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE JUN22
000000000
121.00000000
NC
-804590.02000000
-0.09480434150
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
French Government Bond Futures
OATM2 COMDTY
2022-06-08
19060023.17000000
EUR
-804590.02000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CK3
260000.00000000
PA
266722.66000000
0.031427765093
Long
DBT
CORP
US
N
2
2026-08-03
Fixed
0.13000000
N
N
N
N
N
N
HCA Healthcare Inc
529900PH4ZGUH2MNEU89
HCA Healthcare Inc
40412C101
401.00000000
NS
USD
100498.62000000
0.011841689872
Long
EC
CORP
US
N
1
N
N
N
LendingPoint Pass-Through Trust
N/A
LendingPoint Pass-Through Trust Series 2022-ST1
52607NAA5
95867.00000000
PA
USD
93784.81000000
0.011050605816
Long
ABS-O
CORP
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5XZ7
6667.25000000
PA
USD
6607.60000000
0.000778569397
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1300000.00000000
PA
1716979.97000000
0.202310681693
Long
DBT
CORP
GB
N
2
2024-01-17
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMQ73
41679.32000000
PA
USD
43590.78000000
0.005136274488
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
RRAM
549300YH0VOGWM5JZF65
RR 3 Ltd
74988LAC8
1125000.00000000
PA
USD
1113763.61000000
0.131234073269
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.64000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A8RR0
52625.09000000
PA
USD
49007.69000000
0.005774545623
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
EUR C USD P @1.160000 EO
000000000
13824832.00000000
OU
Notional Amount
107.05000000
0.000012613634
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Call
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
107.05000000
0.00000000
DFE
XX
16036805.12000000
USD
13824832.00000000
EUR
2022-04-07
1.00000000
1.16000000
EUR
2022-04-07
XXXX
-97106.52000000
N
N
N
AXALTA COATING
5493007DMEBZH3CQ5E51
Axalta Coating Systems Dutch Holding B BV
000000000
100000.00000000
PA
108666.91000000
0.012804154401
Long
DBT
CORP
NL
N
2
2025-01-15
Fixed
3.75000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AW5
44000.00000000
PA
USD
35619.61000000
0.004197036486
Long
DBT
CORP
US
N
2
2050-09-04
Fixed
2.63000000
N
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
000000000
200000.00000000
PA
USD
222250.00000000
0.026187579233
Long
DBT
CORP
CA
N
2
2030-05-18
Fixed
5.88000000
N
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
58518N2B7
520000.00000000
PA
USD
534235.00000000
0.062948577690
Long
DBT
CORP
CA
N
2
2025-05-18
Fixed
5.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-7971.45000000
-0.00093927099
N/A
DFE
US
N
2
State Street Bank & Trust Co.
E57ODZWZ7FF32TWEFA76
2926503000.00000000
COP
766000.00000000
USD
2022-04-20
-7971.45000000
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
000000000
200000.00000000
PA
USD
184000.00000000
0.021680605529
Long
DBT
CORP
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBU3
65000.00000000
PA
USD
64783.93000000
0.007633450168
Long
DBT
CORP
GB
N
2
2050-09-17
Fixed
4.25000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CX5
2106000.00000000
PA
USD
1962237.55000000
0.231209229765
Long
DBT
CORP
GB
N
2
2027-11-22
Fixed
2.25000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAT7
116000.00000000
PA
USD
128910.25000000
0.015189414559
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MARATHON OIL CORP
000000000
84.00000000
NC
USD
20160.00000000
0.002375440258
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Marathon Oil Corp
Marathon Oil Corp
100.00000000
26.00000000
USD
2022-07-15
XXXX
2108.50000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BRY03VSX9 BLACKROCK
000000000
25853032.00000000
OU
Notional Amount
USD
44544.77000000
0.005248682536
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
FX Contract
N/A
1.00000000
NC
USD
44544.77000000
0.01000000
DFE
XX
2998951712.00000000
USD
25853032.00000000
EUR
2022-05-12
1.00000000
116.00000000
USD
2022-05-12
XXXX
-128463.72000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
509000.00000000
OU
Notional Amount
USD
2941.10000000
0.000346547983
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2024-12-21
6866.30000000
USD
0.00000000
USD
509000.00000000
USD
-3925.20000000
N
N
N
MCM TR 2021 VFN1
N/A
MCM TR 2021 VFN1
55293CAA1
1120522.00000000
PA
USD
1120522.00000000
0.132030410158
Long
DBT
CORP
US
N
3
2059-01-01
Variable
1.00000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DQ7
149000.00000000
PA
USD
150089.43000000
0.017684944162
Long
DBT
CORP
US
N
2
2047-05-03
Fixed
4.05000000
N
N
N
N
N
N
ATENTO LUXCO 1 SA
549300MLFF3HYCZQTC48
Atento Luxco 1 SA
04684LAC2
255000.00000000
PA
USD
257836.88000000
0.030380759164
Long
DBT
CORP
LU
N
2
2026-02-10
Fixed
8.00000000
N
N
N
N
N
N
Deutsche Bank AG
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1687.93000000
-0.00019888774
N/A
DFE
US
N
2
Deutsche Bank AG
7H6GLXDRUGQFU57RNE97
210000.00000000
EUR
231252.00000000
USD
2022-06-15
-1687.93000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
507000.00000000
PA
USD
407095.65000000
0.047967827176
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.200000 22-DEC-2050
000000000
7691201.00000000
OU
Notional Amount
USD
-1807280.84000000
-0.21295077702
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-12-22
213.93000000
USD
0.00000000
USD
7691201.00000000
USD
-1807494.77000000
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
000000000
520000.00000000
PA
582379.52000000
0.068621416530
Long
DBT
CORP
NL
N
2
2022-07-13
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJVE9
123993.25000000
PA
USD
121645.50000000
0.014333413586
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030447
247000.00000000
PA
USD
248698.13000000
0.029303945937
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
3.00000000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567RAP1
200000.00000000
PA
USD
196037.50000000
0.023098976665
Long
DBT
NUSS
ID
N
2
2030-06-23
Fixed
2.80000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBE1
358000.00000000
PA
USD
269932.00000000
0.031805919629
Long
DBT
CORP
MX
N
2
2044-06-27
Fixed
5.50000000
N
N
N
N
N
N
Twin River Worldwide Holdings, Inc.
549300NS4D5IK406VT62
Twin River Worldwide Holdings, Inc. 2021 Term Loan B
05875CAB0
323190.00000000
PA
USD
321170.06000000
0.037843268362
Long
LON
CORP
US
N
2
2028-10-02
Floating
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKL3
95166.36000000
PA
USD
94449.75000000
0.011128955283
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.810000 23-NOV-2030
000000000
5480659.00000000
OU
Notional Amount
USD
681159.06000000
0.080260548275
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-11-25
0.00000000
USD
-101.79000000
USD
5480659.00000000
USD
681260.85000000
N
N
N
THERMO FISHER SC FNCE I
549300SM0PJC1F3RPL91
Thermo Fisher Scientific Finance I BV
000000000
250000.00000000
PA
248729.20000000
0.029307606896
Long
DBT
CORP
NL
N
2
2041-10-18
Fixed
1.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERGZ7
27461.53000000
PA
USD
27289.67000000
0.003215524838
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM7F6
302805.40000000
PA
USD
282274.83000000
0.033260267609
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
PVH Corp
123WALMHY1GZXG2YDL90
PVH Corp
693656100
1558.00000000
NS
USD
119358.38000000
0.014063923659
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1277.52000000
-0.00015052938
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
75415.06000000
USD
67017.00000000
EUR
2022-04-01
-1277.52000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.660000 25-SEP-2030
000000000
1243000.00000000
OU
Notional Amount
USD
-170898.96000000
-0.02013691813
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-09-25
22.31000000
USD
0.00000000
USD
1243000.00000000
USD
-170921.27000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBK5
80000.00000000
PA
USD
62864.37000000
0.007407269607
Long
DBT
US
N
2
2051-01-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRC0
384281.72000000
PA
USD
388545.68000000
0.045782095751
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAG5
1000000.00000000
PA
USD
988594.10000000
0.116485427776
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Fixed
3.90000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
6898.05000000
0.000812792940
N/A
DFE
XX
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
1290910.14000000
USD
1170000.00000000
EUR
2022-06-15
6898.05000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-PANW Mortgage Trust
12595HAG3
750000.00000000
PA
USD
730583.63000000
0.086084214610
Long
ABS-MBS
CORP
US
N
2
2029-10-10
Variable
3.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMDA1
16779.19000000
PA
USD
16765.55000000
0.001975474326
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
100000.00000000
PA
102794.94000000
0.012112263829
Long
DBT
CORP
DE
N
2
2027-05-25
Fixed
2.75000000
N
N
N
N
N
N
SRS Distribution Inc.
549300ZQ3XP75BCYM468
SRS Distribution Inc. 2021 Term Loan B
78466YAN8
231000.00000000
PA
USD
227920.77000000
0.026855762534
Long
LON
CORP
US
N
2
2028-06-02
Floating
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-K104 Mortgage Trust
302984AS8
750000.00000000
PA
USD
730928.78000000
0.086124883420
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Variable
3.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7R56
18918.98000000
PA
USD
19132.64000000
0.002254387068
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
Axtel SAB de CV
549300BVRDR8XTSXAD13
Axtel SAB de CV
05462GAJ3
439000.00000000
PA
USD
448136.69000000
0.052803667386
Long
DBT
CORP
MX
N
2
2024-11-14
Fixed
6.38000000
N
N
N
N
N
N
State of New Hampshire
N/A
NEW HAMPSHIRE ST
6446826F8
1000000.00000000
PA
USD
1178214.00000000
0.138828222626
Long
DBT
MUN
US
N
2
2028-12-01
Fixed
5.00000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
225000.00000000
PA
USD
234744.75000000
0.027659827852
Long
DBT
CORP
CH
N
2
2024-01-31
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.590000 14-OCT-2031
000000000
32337452.00000000
OU
Notional Amount
USD
-2067491.24000000
-0.24361120657
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-10-14
502.72000000
USD
0.00000000
USD
32337452.00000000
USD
-2067993.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8YB3
3139.08000000
PA
USD
3110.05000000
0.000366455256
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED CNH / SOLD JPY
000000000
1.00000000
NC
N/A
219.11000000
0.000025817594
N/A
DFE
XX
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
534673.00000000
JPY
29475.56000000
CNY
2022-06-15
219.11000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-46.30000000
-0.00000545550
N/A
DFE
ID
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
50647.54000000
USD
727480998.00000000
IDR
2022-06-15
-46.30000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCSC0
121572.55000000
PA
USD
128294.15000000
0.015116819879
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.444000 22-MAR-2024
000000000
52000000.00000000
OU
Notional Amount
USD
2081178.34000000
0.245223949055
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-22
0.00000000
USD
-262.60000000
USD
52000000.00000000
USD
2081440.94000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFAF3
1040.79000000
PA
USD
1030.72000000
0.000121449096
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
United Overseas Bank Ltd
IO66REGK3RCBAMA8HR66
United Overseas Bank Ltd
000000000
200000.00000000
PA
USD
198162.50000000
0.023349364093
Long
DBT
CORP
SG
N
2
2023-10-19
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.470000 14-JAN-2027
000000000
5754793.00000000
OU
Notional Amount
USD
-261490.64000000
-0.03081127943
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-01-14
50.84000000
USD
0.00000000
USD
5754793.00000000
USD
-261541.48000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJET1
7649.72000000
PA
USD
7583.65000000
0.000893576761
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
BNP Paribas SA
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-7765.82000000
-0.00091504173
N/A
DFE
US
N
2
BNP Paribas SA
W22LROWP2IHZNBB6K528
710000.00000000
EUR
779793.00000000
USD
2022-06-15
-7765.82000000
N
N
N
JPMorgan Chase Bank N.A.
ES7IP3U3RHIGC71XBU11
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
24786.39000000
0.002920564913
N/A
DFE
CZ
N
2
JPMorgan Chase Bank N.A.
ES7IP3U3RHIGC71XBU11
530000.00000000
USD
12344998.50000000
CZK
2022-06-15
24786.39000000
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
000000000
100000.00000000
PA
108352.52000000
0.012767110023
Long
DBT
CORP
FR
N
2
2026-06-08
Fixed
0.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 3.580000 15-DEC-2029
000000000
330000.00000000
OU
Notional Amount
-63839.00000000
-0.00752210965
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2029-12-17
13.46000000
GBP
0.00000000
GBP
330000.00000000
GBP
-63856.76000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
138000000.00000000
PA
8434339.01000000
0.993812918359
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6686.84000000
-0.00078790619
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
395911.97000000
USD
351842.00000000
EUR
2022-04-01
-6686.84000000
N
N
N
PCF GMBH
5299001ZMR76CCHGY076
PCF GmbH
000000000
100000.00000000
PA
109142.60000000
0.012860204657
Long
DBT
CORP
DE
N
2
2026-04-15
Floating
4.75000000
N
N
N
N
N
N
JAGUAR LAND ROVER AUTOMO
529900L73GEWN1O5NH84
Jaguar Land Rover Automotive PLC
000000000
150000.00000000
PA
149872.06000000
0.017659331591
Long
DBT
CORP
GB
N
2
2028-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ4W5
13839.13000000
PA
USD
13732.67000000
0.001618111962
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087ZS6
140000.00000000
PA
133484.62000000
0.015728409730
Long
DBT
NUSS
CA
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
WESTERN ALLIANCE BK PHOENIX AZ
N/A
WESTERN ALLIANCE BK PHOENIX AZ
95763PEH0
2260000.00000000
PA
USD
2259798.09000000
0.266270603074
Long
ABS-MBS
CORP
US
N
2
2024-12-30
Variable
5.65000000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAA6
200000.00000000
PA
USD
181500.00000000
0.021386032084
Long
DBT
CORP
XX
N
2
2028-09-01
Fixed
3.25000000
N
N
N
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
055622104
6105.00000000
NS
USD
179487.00000000
0.021148841547
Long
EC
CORP
GB
N
1
N
N
N
Danaher Corp
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851102
211.00000000
NS
USD
61892.63000000
0.007292770088
Long
EC
CORP
US
N
1
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
000000000
135000.00000000
PA
152544.15000000
0.017974182293
Long
DBT
CORP
US
N
2
2026-04-27
Fixed
2.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
RR3QWICWWIPCS8A4S074
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
448529.36000000
0.052849935448
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
RR3QWICWWIPCS8A4S074
17250000.00000000
USD
22129921.50000000
CAD
2022-06-15
448529.36000000
N
N
N
ODBRCHT OFFSHRE DRLL FIN
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
67576GAD9
99.00000000
PA
USD
20.63000000
0.000002430820
Long
DBT
CORP
KY
N
2
2026-12-01
Fixed
7.72000000
N
N
Y
N
N
N
NOBEL BIDCO BV
549300NZZFLYK83VVT71
Nobel Bidco BV
000000000
150000.00000000
PA
147476.92000000
0.017377113734
Long
DBT
CORP
NL
N
2
2028-06-15
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLP8
161869.83000000
PA
USD
155537.34000000
0.018326868008
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6174.86000000
-0.00072757991
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
B4TYDEB6GKMZO031MB27
454000.00000000
EUR
496921.52000000
USD
2022-05-24
-6174.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNFD9
62772.65000000
PA
USD
60466.69000000
0.007124752465
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2080.79000000
-0.00024517819
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
140000.00000000
EUR
153212.50000000
USD
2022-06-15
-2080.79000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (ITRAXX.XO.37.V1)
000000000
139237.00000000
OU
Notional Amount
-11466.21000000
-0.00135105639
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S27
2I667KJP4
Y
buy protection
2027-06-22
0.00000000
EUR
-9589.20000000
EUR
139237.00000000
EUR
-929.73000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAQ6
160000.00000000
PA
USD
149493.36000000
0.017614709605
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
3.06000000
N
N
N
N
N
N
ANSYS Inc
549300VJV8H15Z5FJ571
ANSYS Inc
03662Q105
241.00000000
NS
USD
76553.65000000
0.009020268953
Long
EC
CORP
US
N
1
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AV0
33000.00000000
PA
USD
34074.06000000
0.004014925291
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
4.40000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCF0
190000.00000000
PA
USD
176719.00000000
0.020822689829
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
3.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION MAR23 0.8 CALL
000000000
123604533.00000000
NC
USD
39028.13000000
0.004598660277
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
123604533.00000000
OU
Notional Amount
N/A
39028.13000000
0.00000000
DIR
US
N/A
N/A
2024-03-20
0.00000000
N/A
0.00000000
N/A
123604533.00000000
USD
1.00000000
0.80000000
USD
2023-03-16
XXXX
-354034.28000000
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
EUR C USD P @1.185000 EO
000000000
-13824832.00000000
OU
Notional Amount
-15.29000000
-0.00000180161
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Call
Written
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
-15.29000000
0.00000000
DFE
US
-13824832.00000000
EUR
-16382425.92000000
USD
2022-04-07
1.00000000
1.18500000
EUR
2022-04-07
XXXX
28558.55000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 5.885000 22-OCT-2030
000000000
100000000.00000000
OU
Notional Amount
730398.28000000
0.086062374935
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-10-22
0.00000000
MXN
-1845.82000000
MXN
100000000.00000000
MXN
730483.37000000
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
BHG Securitization Trust 2021-A
08861YAB2
100000.00000000
PA
USD
93559.30000000
0.011024034113
Long
ABS-O
CORP
US
N
2
2033-11-17
Fixed
2.79000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BEU6
36630.82000000
PA
USD
38657.91000000
0.004555037485
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
FRIGORIFICO CONCEPCION
529900Q6VZVL47QJCQ91
Frigorifico Concepcion SA
358648AA1
330000.00000000
PA
USD
292627.50000000
0.034480116274
Long
DBT
CORP
PY
N
2
2028-07-21
Fixed
7.70000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PED0
800000.00000000
PA
USD
751334.86000000
0.088529319131
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
37996.30000000
0.004477080390
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
514000.00000000
USD
2628082.00000000
BRL
2022-04-04
37996.30000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
209000.00000000
PA
USD
205230.51000000
0.024182183314
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.13000000
N
N
N
N
N
N
GARFUNKELUX HOLDCO 3 SA
2221007QVSNJV7EWBX69
Garfunkelux Holdco 3 SA
000000000
100000.00000000
PA
110100.61000000
0.012973086380
Long
DBT
CORP
LU
N
2
2025-11-01
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEN4
17252.64000000
PA
USD
17097.19000000
0.002014551261
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
MAF GLOBAL SECURITIES
54930037VUDNYTS17017
MAF Global Securities Ltd
000000000
202000.00000000
PA
USD
206292.50000000
0.024307316935
Long
DBT
CORP
KY
N
2
2024-05-07
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJTW1
9264.49000000
PA
USD
9204.98000000
0.001084617066
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
PROOF ACQUISITION CORP
N/A
PROOF ACQUISITION CORP
000000000
4080.00000000
NS
USD
4324.80000000
0.000509588493
Long
STIV
CORP
US
N
3
N
N
N
Citibank N.A.
B4TYDEB6GKMZO031MB27
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
72974.01000000
0.008598482199
N/A
DFE
CA
N
2
Citibank N.A.
B4TYDEB6GKMZO031MB27
2806146.27000000
USD
3600000.00000000
CAD
2022-06-15
72974.01000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
EXXON MOBIL CORP
000000000
37.00000000
NC
USD
9731.00000000
0.001146597676
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Exxon Mobil Corp
Exxon Mobil Corp
100.00000000
85.00000000
USD
2022-05-20
XXXX
-1669.58000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJN0
150000.00000000
PA
USD
141448.50000000
0.016666788756
Long
DBT
CORP
US
N
2
2052-03-13
Fixed
3.48000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.551000 20-JUL-2024
000000000
15854159.00000000
OU
Notional Amount
USD
705539.10000000
0.083133233221
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-22
0.00000000
USD
-93.15000000
USD
15854159.00000000
USD
705632.25000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
1450000.00000000
OU
Notional Amount
USD
168.06000000
0.000019802405
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2027-06-22
0.00000000
USD
-3122.19000000
USD
1450000.00000000
USD
3290.25000000
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
000000000
100000.00000000
PA
108202.29000000
0.012749408515
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.520000 08-JAN-2051
000000000
2119537.00000000
OU
Notional Amount
USD
352662.60000000
0.041554014758
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-09
0.00000000
USD
-63.97000000
USD
2119537.00000000
USD
352726.57000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-6277.75000000
-0.00073970337
N/A
DFE
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
762000.00000000
USD
2857500000.00000000
COP
2022-04-20
-6277.75000000
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAQ7
770000.00000000
PA
USD
766552.56000000
0.090322411255
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKLB9
13333.69000000
PA
USD
13218.45000000
0.001557521740
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
4PQUHN3JPFGFNF3BB653
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
228534.46000000
0.026928073245
N/A
DFE
BR
N
2
State Street Bank & Trust Co.
4PQUHN3JPFGFNF3BB653
3681528.42000000
USD
19000000.00000000
BRL
2022-06-15
228534.46000000
N
N
N
JPMorgan Chase Bank N.A.
MP6I5ZYZBEU3UXPYFY54
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-3553.15000000
-0.00041866545
N/A
DFE
GB
N
2
JPMorgan Chase Bank N.A.
MP6I5ZYZBEU3UXPYFY54
210000.00000000
EUR
174668.55000000
GBP
2022-06-15
-3553.15000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
30Y RTR 1.550000 06-JUL-2022
000000000
2175361.00000000
NC
USD
9994.41000000
0.001177635112
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
2175361.00000000
OU
Notional Amount
N/A
9994.41000000
0.00000000
DIR
US
N/A
N/A
2052-07-06
0.00000000
N/A
0.00000000
N/A
2175361.00000000
USD
1.00000000
0.01550000
USD
2022-07-06
XXXX
-49376.03000000
N
N
N
VNO Mortgage Trust
N/A
VNDO 2012-6AVE Mortgage Trust
91830CAJ7
1000000.00000000
PA
USD
1004624.10000000
0.118374232704
Long
ABS-MBS
CORP
US
N
2
2030-11-15
Variable
3.34000000
N
N
N
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
918367AA1
276000.00000000
PA
USD
261561.75000000
0.030819658279
Long
DBT
CORP
CL
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
BNP Paribas SA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
415.81000000
0.000048994633
N/A
DFE
US
N
2
BNP Paribas SA
7H6GLXDRUGQFU57RNE97
820000.00000000
GBP
1077296.32000000
USD
2022-06-15
415.81000000
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2020-ST5
91680WAA3
53820.56000000
PA
USD
52511.89000000
0.006187443329
Long
ABS-O
CORP
US
N
2
2026-12-20
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.874000 13-JUL-2026
000000000
9304210.00000000
OU
Notional Amount
USD
-625908.42000000
-0.07375039973
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-07-13
73.01000000
USD
0.00000000
USD
9304210.00000000
USD
-625981.43000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.390000 07-JAN-2027
000000000
40270358.00000000
OU
Notional Amount
USD
-1971730.86000000
-0.23232782057
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-01-07
354.37000000
USD
0.00000000
USD
40270358.00000000
USD
-1972085.23000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MQM3
15376.53000000
PA
USD
16507.28000000
0.001945042532
Long
ABS-MBS
USGA
US
N
2
2047-03-15
Fixed
4.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBW9
575000.00000000
PA
USD
529776.04000000
0.062423181207
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.90000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 3YR BOND FUT JUN22
000000000
84.00000000
NC
-110264.14000000
-0.01299235501
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE 3 Year Australian Bond Future
YMM2 COMDTY
2022-06-15
9377961.60000000
AUD
-110264.14000000
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAF2
452000.00000000
PA
USD
494375.00000000
0.058251898688
Long
DBT
CORP
NL
N
2
2081-01-23
Fixed
8.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.178750 17-JUN-2031
000000000
12100000.00000000
OU
Notional Amount
USD
51162.83000000
0.006028484429
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-17
0.00000000
USD
-112.60000000
USD
12100000.00000000
USD
51275.43000000
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
61763MAF7
375000.00000000
PA
USD
378489.94000000
0.044597234163
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
3.89000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAZ4
10000.00000000
PA
USD
9667.65000000
0.001139133185
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
ALLIANZ FINANCE II B.V.
529900C9NVPTCPDI1D65
Allianz Finance II BV
000000000
100000.00000000
PA
108610.72000000
0.012797533568
Long
DBT
CORP
NL
N
2
2025-01-14
None
0.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
100000.00000000
PA
109938.66000000
0.012954003912
Long
DBT
CORP
IT
N
2
2024-12-04
Fixed
0.75000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
82.81000000
0.000009757450
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
450000.00000000
HKD
57587.31000000
USD
2022-06-15
82.81000000
N
N
N
AGL CLO 3 Ltd.
549300LS0REDUXQSHW18
AGL CLO 3 LTD
00119MAA7
250000.00000000
PA
USD
248556.85000000
0.029287299002
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.54000000
N
N
N
N
N
N
Alcoa Corp
549300T12EZ1F6PWWU29
Alcoa Corp
013872106
5629.00000000
NS
USD
506778.87000000
0.059713438973
Long
EC
CORP
US
N
1
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
000000000
165000.00000000
PA
185883.57000000
0.021902545410
Long
DBT
CORP
US
N
2
2033-06-03
Fixed
3.13000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
200000.00000000
PA
223768.66000000
0.026366521996
Long
DBT
CORP
NL
N
2
2023-09-20
Fixed
1.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
4312.23000000
0.000508107378
N/A
DFE
ID
N
2
State Street Bank & Trust Co.
G5GSEF7VJP5I7OUK5573
583442.66000000
USD
8450000000.00000000
IDR
2022-06-15
4312.23000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.630000 26-MAY-2026
000000000
55869000.00000000
OU
Notional Amount
USD
4157826.10000000
0.489914062687
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-05-26
0.00000000
USD
-433.59000000
USD
55869000.00000000
USD
4158259.69000000
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 5 Ltd
67113GAE7
300000.00000000
PA
USD
297270.27000000
0.035027170975
Long
ABS-CBDO
CORP
KY
N
2
2033-04-18
Floating
1.69000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
BRY0KEFE4 BLACKROCK
000000000
-13830000.00000000
OU
Notional Amount
USD
-32196.24000000
-0.00379366292
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
-32196.24000000
0.00000000
DFE
US
-13830000.00000000
MXN
-1604280000.00000000
USD
2022-05-27
1.00000000
116.00000000
USD
2022-05-27
XXXX
-802.14000000
N
N
N
Citibank N.A.
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1993.42000000
0.000234883438
N/A
DFE
XX
N
2
Citibank N.A.
7LTWFZYICNSX8D621K86
1035040.84000000
USD
937000.00000000
EUR
2022-04-20
1993.42000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCU8
340000.00000000
PA
USD
320536.13000000
0.037768572785
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
2.96000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N2J6
53041.35000000
PA
USD
54456.59000000
0.006416586121
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AY4
470000.00000000
PA
503438.73000000
0.059319872355
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
1.63000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
EUR P USD C @1.052500 EO
000000000
-21960591.00000000
OU
Notional Amount
-777.41000000
-0.00009160173
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-777.41000000
0.00000000
DFE
US
-21960591.00000000
EUR
-23113522.03000000
USD
2022-04-08
1.00000000
1.05250000
EUR
2022-04-08
XXXX
81127.19000000
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAH7
753000.00000000
PA
USD
760989.33000000
0.089666899325
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J57D5
184532.63000000
PA
USD
186822.60000000
0.022013190731
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
3.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKF8
152000.00000000
PA
USD
129194.97000000
0.015222962940
Long
DBT
CORP
US
N
2
2061-02-01
Fixed
3.50000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares LV CLO Ltd
04018DAE3
500000.00000000
PA
USD
491411.40000000
0.057902699544
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
6.59000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
STARBUCKS CORP
000000000
32.00000000
NC
USD
384.00000000
0.000045246481
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Starbucks Corp
Starbucks Corp
100.00000000
100.00000000
USD
2022-04-14
XXXX
-5153.16000000
N
N
N
TEXAS EASTERN TRANSMISSI
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AC4
20000.00000000
PA
USD
20057.96000000
0.002363416948
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.535000 15-DEC-2030
000000000
55000.00000000
OU
Notional Amount
-13212.51000000
-0.00155682183
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2030-12-16
2.24000000
GBP
0.00000000
GBP
55000.00000000
GBP
-13215.54000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMUR1
14785395.06000000
PA
USD
674734.46000000
0.079503541654
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Variable
0.80000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
91000.00000000
PA
USD
87911.81000000
0.010358593880
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Signal Parent, Inc
N/A
Signal Parent, Inc Term Loan B
82666KAB4
918161.00000000
PA
USD
815446.33000000
0.096083533756
Long
LON
CORP
US
N
2
2028-04-03
Floating
4.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
000000000
600000.00000000
PA
607092.17000000
0.071533292705
Long
DBT
CORP
US
N
2
2029-09-14
Fixed
0.25000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EH7
2540000.00000000
PA
USD
2523724.04000000
0.297368833568
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.75000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
100000.00000000
PA
100253.88000000
0.011812852310
Long
DBT
CORP
FR
N
2
2029-10-15
Fixed
4.25000000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
34000.00000000
PA
USD
33028.62000000
0.003891741746
Long
DBT
US
N
2
2029-06-01
Fixed
4.88000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
508.38000000
0.000059902099
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
603202500.00000000
CLP
765000.00000000
USD
2022-04-20
508.38000000
N
N
N
Societe Generale SA
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-2724.39000000
-0.00032101317
N/A
DFE
XX
N
2
Societe Generale SA
G5GSEF7VJP5I7OUK5573
687205.60000000
CHF
670000.00000000
EUR
2022-06-15
-2724.39000000
N
N
N
DIOCLE SPA
98450058C8B4646FKE32
Diocle Spa
000000000
68723.41000000
PA
75645.13000000
0.008913218607
Long
DBT
CORP
IT
N
2
2026-06-30
Floating
3.88000000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
000000000
100000.00000000
PA
106730.98000000
0.012576044973
Long
DBT
CORP
NL
N
2
2026-02-20
None
0.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020448
4682000.00000000
PA
USD
4547209.62000000
0.535794880604
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
2.00000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CU2
430000.00000000
PA
USD
405417.09000000
0.047770043495
Long
DBT
CORP
US
N
2
2030-02-21
Fixed
2.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.870000 25-MAR-2027
000000000
19910000.00000000
OU
Notional Amount
-11621.82000000
-0.00136939182
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-25
127.42000000
EUR
0.00000000
EUR
19910000.00000000
EUR
-11762.04000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-420K
17328QAG6
360000.00000000
PA
USD
318626.10000000
0.037543515138
Long
ABS-MBS
CORP
US
N
2
2042-11-10
Variable
3.31000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
220000.00000000
PA
181150.29000000
0.021344825973
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
900000.00000000
PA
897446.22000000
0.105745529781
Long
DBT
CORP
DE
N
2
2031-12-29
Fixed
1.38000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
Suzano Austria GmbH
05674XAA9
200000.00000000
PA
USD
214500.00000000
0.025274401554
Long
DBT
CORP
AT
N
2
2026-07-14
Fixed
5.75000000
N
N
N
N
N
N
Deutsche Bank AG
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-15972.33000000
-0.00188200970
N/A
DFE
US
N
2
Deutsche Bank AG
E57ODZWZ7FF32TWEFA76
6529659716.25000000
COP
1710925.00000000
USD
2022-04-20
-15972.33000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
1755000.00000000
PA
USD
1530209.18000000
0.180303595702
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.63000000
N
N
N
N
N
N
VONOVIA FINANCE BV
5299009XLZLD9TALOZ03
Vonovia Finance BV
000000000
900000.00000000
PA
831615.51000000
0.097988738176
Long
DBT
CORP
NL
N
2
2039-10-07
Fixed
1.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAUJ5
185220.75000000
PA
USD
195951.29000000
0.023088818595
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
000000000
200000.00000000
PA
USD
186475.00000000
0.021972233239
Long
DBT
CORP
TH
N
2
2034-09-25
Fixed
3.73000000
N
N
N
N
N
N
AMADEUS IT GROUP SA
9598004A3FTY3TEHHN09
Amadeus IT Group SA
000000000
300000.00000000
PA
349553.24000000
0.041187640804
Long
DBT
CORP
ES
N
2
2027-05-20
Fixed
2.88000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
200000.00000000
PA
206489.04000000
0.024330475121
Long
DBT
CORP
IT
N
2
2028-03-16
Fixed
0.75000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
00787CAE2
315000.00000000
PA
USD
287201.25000000
0.033840744613
Long
DBT
CORP
PA
N
2
2061-08-11
Fixed
5.13000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
000000000
300000.00000000
PA
313565.39000000
0.036947214827
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
2.00000000
N
N
N
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
BARCLAYS PLC
000000000
148.00000000
NC
972.10000000
0.000114541938
N/A
DE
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Call
Purchased
Barclays PLC
Barclays PLC
1000.00000000
2.10000000
GBP
2022-04-14
XXXX
-13311.81000000
N
N
N
State Street Bank & Trust Co.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-3967.41000000
-0.00046747745
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
7H6GLXDRUGQFU57RNE97
698570.12000000
CHF
680000.00000000
EUR
2022-06-15
-3967.41000000
N
N
N
AVIANCA MIDCO 2 LTD
N/A
Avianca Midco 2 Ltd
05368PAA7
924496.00000000
PA
USD
885378.26000000
0.104323569562
Long
DBT
CORP
GB
N
2
2028-12-01
Fixed
9.00000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBE5
147000.00000000
PA
USD
140678.44000000
0.016576053066
Long
DBT
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
GEOPARK LTD
529900ZR5QI19AH4KZ07
Geopark Ltd
37255BAB5
255000.00000000
PA
USD
241580.63000000
0.028465295340
Long
DBT
CORP
BM
N
2
2027-01-17
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7LM5
54690.92000000
PA
USD
54616.91000000
0.006435476526
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3619.09000000
0.000426435123
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
184951.33000000
USD
170000.00000000
EUR
2022-06-15
3619.09000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYA6
157000.00000000
PA
USD
144675.64000000
0.017047040655
Long
DBT
CORP
US
N
2
2027-03-09
Fixed
1.43000000
N
N
N
N
N
N
Chenango Park CLO, Ltd.
N/A
Chenango Park CLO Ltd
16409TAE9
1018000.00000000
PA
USD
1007389.28000000
0.118700052143
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
1.79000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 7.600000 01-JAN-2032
000000000
60938000.00000000
OU
Notional Amount
-118251.41000000
-0.01393349007
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-02
397.37000000
MXN
0.00000000
MXN
60938000.00000000
MXN
-118271.17000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 1.560000 07-MAR-2027
000000000
26572761.00000000
OU
Notional Amount
USD
-827877.46000000
-0.09754828607
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-03-08
241.62000000
USD
0.00000000
USD
26572761.00000000
USD
-828119.08000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-6856.94000000
-0.00080794897
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3463205.91000000
MXN
167261.00000000
USD
2022-04-01
-6856.94000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
BRY0G3S90 BLACKROCK
000000000
12250.00000000
NC
USD
36321.25000000
0.004279710291
N/A
DE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
Mosaic Co/The
Mosaic Co/The
1.00000000
75.00000000
USD
2022-05-20
XXXX
-15741.25000000
N
N
N
BANCO GNB SUDAMERIS SA
549300SO7QUETMQD9D84
Banco GNB Sudameris SA
059593AE3
187000.00000000
PA
USD
172629.05000000
0.020340773565
Long
DBT
CORP
CO
N
2
2031-04-16
Fixed
7.50000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
10000000.00000000
PA
1619814.79000000
0.190861768983
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.575000 01-FEB-2051
000000000
4957074.00000000
OU
Notional Amount
USD
768656.41000000
0.090570306592
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-01
0.00000000
USD
-149.96000000
USD
4957074.00000000
USD
768806.37000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
100000.00000000
PA
106693.36000000
0.012571612232
Long
DBT
CORP
DE
N
2
2028-01-17
Fixed
1.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
1241000.00000000
PA
USD
1284223.38000000
0.151319241921
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08000000
N
N
N
N
N
N
JDE PEET'S NV
724500EHG519SE5ZRT89
JDE Peet's NV
000000000
430000.00000000
PA
438078.60000000
0.051618528899
Long
DBT
CORP
NL
N
2
2028-02-09
Fixed
0.63000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-5BP Mortgage Trust
33830CAG5
1000000.00000000
PA
USD
979892.50000000
0.115460123662
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
1.90000000
N
N
N
N
N
N
Toronto-Dominion Bank
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3169.94000000
-0.00037351205
N/A
DFE
US
N
2
Toronto-Dominion Bank
MP6I5ZYZBEU3UXPYFY54
590000.00000000
EUR
651280.35000000
USD
2022-06-15
-3169.94000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
EUR P USD C @1.130000 EO
000000000
17187465.00000000
OU
Notional Amount
414040.79000000
0.048786168701
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
414040.79000000
0.05000000
DFE
XX
19421835.45000000
USD
17187465.00000000
EUR
2022-04-13
1.00000000
1.13000000
EUR
2022-04-13
XXXX
286514.06000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEJ7
112665.22000000
PA
USD
104990.78000000
0.012370998290
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGT2
454994.08000000
PA
USD
436157.30000000
0.051392143315
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
PHOENIX PIB DUTCH FINANC
529900UUYBCBB7HMVI56
Phoenix PIB Dutch Finance BV
000000000
100000.00000000
PA
108194.55000000
0.012748496516
Long
DBT
CORP
NL
N
2
2025-08-05
Fixed
2.38000000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
100000.00000000
PA
109130.65000000
0.012858796596
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.38000000
N
N
N
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361702
3352.00000000
NS
USD
132638.64000000
0.015628728433
Long
EC
CORP
US
N
1
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAR1
580000.00000000
PA
USD
589995.27000000
0.069518775614
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
Republic Finance Issuance Trust
N/A
Republic Finance Issuance Trust 2021-A
76042UAA1
600000.00000000
PA
USD
569349.54000000
0.067086102093
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
2.30000000
N
N
N
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
125000.00000000
PA
114731.31000000
0.013518718880
Long
DBT
US
N
2
2049-09-10
Fixed
1.50000000
N
N
N
N
N
N
CHANEL CERES PLC
549300FLG0WWSVNA4480
Chanel Ceres PLC
000000000
170000.00000000
PA
179482.30000000
0.021148287749
Long
DBT
CORP
GB
N
2
2026-07-31
Fixed
0.50000000
N
N
N
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
200000.00000000
PA
195823.02000000
0.023073704620
Long
DBT
US
N
2
2031-09-10
Fixed
0.63000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
12080000.00000000
PA
1868281.52000000
0.220138449202
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196BY7
400000.00000000
PA
USD
346470.94000000
0.040824455312
Long
DBT
CORP
US
N
2
2051-12-13
Fixed
2.61000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
41845.61000000
0.004930642193
N/A
DFE
ZA
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
810000.00000000
USD
12447594.00000000
ZAR
2022-04-01
41845.61000000
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust 2020-MF1
03881BAW3
14966974.77000000
PA
USD
913211.46000000
0.107603138202
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Variable
0.97000000
N
N
N
N
N
N
HEIMSTADEN BOSTAD AB
549300TJR3PR8EXILG79
Heimstaden Bostad AB
000000000
100000.00000000
PA
93451.55000000
0.011011337998
Long
DBT
CORP
SE
N
2
2027-02-01
Fixed
2.63000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
11382.80000000
0.001341228242
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
793739.25000000
GBP
950000.00000000
EUR
2022-06-15
11382.80000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LS8
143000.00000000
PA
USD
141655.60000000
0.016691191220
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
3.52000000
N
N
N
N
N
N
DIGICEL GROUP HOLDINGS
N/A
Digicel Group Holdings Ltd
25381YAB7
139642.00000000
PA
USD
121689.28000000
0.014338572156
Long
DBT
CORP
BM
N
2
2025-04-01
Fixed
8.00000000
N
N
Y
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE65
385596.56000000
PA
USD
370117.14000000
0.043610672348
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Kronos Acquisition Holdings Inc.
N/A
Kronos Acquisition Holdings Inc. 2021 1st Lien Term Loan
50106JAF3
73000.00000000
PA
USD
72300.66000000
0.008519141787
Long
LON
CORP
US
N
2
2026-12-22
Floating
7.00000000
N
N
N
N
N
N
ERSTE GROUP BANK AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
100000.00000000
PA
105961.91000000
0.012485425934
Long
DBT
CORP
AT
N
2
2031-09-08
Fixed
1.63000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RGQ9
1340000.00000000
PA
USD
1415811.72000000
0.166824214159
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 5.805000 17-OCT-2030
000000000
60000000.00000000
OU
Notional Amount
453286.21000000
0.053410432124
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-10-17
0.00000000
MXN
-1106.06000000
MXN
60000000.00000000
MXN
453336.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.703000 24-MAR-2025
000000000
4900000.00000000
OU
Notional Amount
28693.88000000
0.003380982029
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-24
0.00000000
EUR
-23.28000000
EUR
4900000.00000000
EUR
28719.52000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ECKY8
830.54000000
PA
USD
847.11000000
0.000099814444
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BRY0KG5Y6 BLACKROCK
000000000
-4600000.00000000
OU
Notional Amount
USD
-35088.80000000
-0.00413449147
N/A
DFE
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
FX Contract
N/A
1.00000000
NC
USD
-35088.80000000
0.00000000
DFE
ZA
-4600000.00000000
USD
-95220000.00000000
ZAR
2022-05-27
1.00000000
20.70000000
USD
2022-05-27
XXXX
12931.56000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5M5
25957.83000000
PA
USD
26837.63000000
0.003162261246
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
4.00000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
549300D98ZLKNSI8CN63
Benefit Street Partners CLO VIII Ltd
08180XAN2
500000.00000000
PA
USD
497131.35000000
0.058576677694
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.35000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAE3
432000.00000000
PA
USD
394200.00000000
0.046448340759
Long
DBT
CORP
QA
N
2
2041-07-12
Fixed
3.13000000
N
N
N
N
N
N
Toast Inc
549300TN1PZNLCD4I551
Toast Inc
888787108
7613.00000000
NS
USD
165430.49000000
0.019492571718
Long
EC
CORP
US
N
1
N
N
N
PREMIER FOODS FINANCE
2138003G41QDLK9DB177
Premier Foods Finance PLC
000000000
100000.00000000
PA
122022.55000000
0.014377841153
Long
DBT
CORP
GB
N
2
2026-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWP9
57003.27000000
PA
USD
58025.95000000
0.006837161589
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
105600000.00000000
PA
17110520.02000000
2.016121929123
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEK4
256357.69000000
PA
USD
238815.90000000
0.028139528924
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-25861.01000000
-0.00304718671
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
16949455.00000000
MXN
818806.42000000
USD
2022-05-24
-25861.01000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
BRY05VAT5 BLACKROCK
000000000
2150000.00000000
OU
Notional Amount
USD
1573.80000000
0.000185439874
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
1573.80000000
0.00000000
DFE
JP
2042500.00000000
USD
2150000.00000000
JPY
2022-04-19
1.00000000
0.95000000
USD
2022-04-19
XXXX
-10079.20000000
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
163000.00000000
0.019206188594
Long
DBT
CORP
KY
N
2
2025-10-20
Fixed
5.95000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-127328.03000000
-0.01500298256
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
9365382.00000000
BRL
1800000.00000000
USD
2022-06-15
-127328.03000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7UC1
33049.60000000
PA
USD
32677.58000000
0.003850378921
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Deutsche Bank AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
84236.93000000
0.009925585056
N/A
DFE
MX
N
2
Deutsche Bank AG
BFM8T61CT2L1QCEMIK50
1528341.00000000
USD
32163890.49000000
MXN
2022-04-20
84236.93000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGB4
78000.00000000
PA
USD
73296.35000000
0.008636463321
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTJF6
7603.36000000
PA
USD
7935.80000000
0.000935070376
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-D
64034YAD3
100000.00000000
PA
USD
93534.54000000
0.011021116658
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
3.50000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO XV Ltd
87250RAA2
1750000.00000000
PA
USD
1740861.85000000
0.205124668756
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.53000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
000000000
100000.00000000
PA
109816.03000000
0.012939554495
Long
DBT
CORP
MX
N
2
2026-03-19
Fixed
3.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.620000 19-NOV-2031
000000000
22175114.00000000
OU
Notional Amount
USD
-1398545.17000000
-0.16478970731
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-11-19
348.01000000
USD
0.00000000
USD
22175114.00000000
USD
-1398893.18000000
N
N
N
Dryden Senior Loan Fund
549300VCB8LYR1RGV869
Dryden 49 Senior Loan Fund
26244QAN3
750000.00000000
PA
USD
743753.70000000
0.087636035765
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
1.19000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-CC
05607CAL3
110000.00000000
PA
USD
102771.34000000
0.012109483055
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.55000000
N
N
N
N
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower 2017-OT Mortgage Trust
68162MAL6
130000.00000000
PA
USD
114553.97000000
0.013497823018
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XQM73
1544.67000000
PA
USD
1560.73000000
0.000183899844
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.00000000
N
N
N
N
N
N
PROLOGIS INTL FUND II
213800JNRWW2C9DWI388
Prologis International Funding II SA
000000000
440000.00000000
PA
499191.22000000
0.058819390894
Long
DBT
CORP
LU
N
2
2030-11-14
Fixed
2.38000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 26 Ltd
50200FAC3
600000.00000000
PA
USD
596179.38000000
0.070247445449
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.32000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2587.23000000
-0.00030485170
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1111825.00000000
USD
1000000.00000000
EUR
2022-06-15
-2587.23000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.510000 13-JUL-2024
000000000
15788963.00000000
OU
Notional Amount
USD
712580.50000000
0.083962917002
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-07-15
0.00000000
USD
-91.99000000
USD
15788963.00000000
USD
712672.49000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
46649XAA5
1200000.00000000
PA
USD
1209805.44000000
0.142550622348
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
4.13000000
N
N
N
N
N
N
American Auto Auction Group, LLC
5493002VI1KML1L8HW19
American Auto Auction Group, LLC 2021 2nd Lien Term Loan
02403MAP5
225000.00000000
PA
USD
220500.00000000
0.025981377822
Long
LON
CORP
US
N
3
2029-01-02
Floating
9.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2N3
700000.00000000
PA
USD
637397.24000000
0.075104120250
Long
DBT
CORP
FR
N
2
2027-01-13
Fixed
1.32000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBH3
1100000.00000000
PA
USD
981285.89000000
0.115624305939
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.45000000
N
N
N
N
N
N
FLORIDA POWER LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GE1
741000.00000000
PA
USD
664283.83000000
0.078272150423
Long
DBT
CORP
US
N
2
2051-12-04
Fixed
2.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZE7
2493.41000000
PA
USD
2541.99000000
0.000299521100
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM3K8
226894.10000000
PA
USD
211353.96000000
0.024903705618
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
200000.00000000
PA
USD
39100.00000000
0.004607128675
Long
DBT
CORP
KY
N
2
2023-07-23
Fixed
10.88000000
Y
Y
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030641
2809000.00000000
PA
USD
2775972.31000000
0.327091090293
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.00000000
N
N
N
N
N
N
Citibank N.A.
G5GSEF7VJP5I7OUK5573
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-4430.73000000
-0.00052207015
N/A
DFE
MY
N
2
Citibank N.A.
G5GSEF7VJP5I7OUK5573
454328.07000000
USD
1900000.00000000
MYR
2022-06-15
-4430.73000000
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2014-3-R Ltd
14315LAC8
1000000.00000000
PA
USD
982185.50000000
0.115730306425
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
1.57000000
N
N
N
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167735
1087.00000000
NS
USD
94569.00000000
0.011143006436
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
1000000.00000000
PA
USD
1020937.80000000
0.120296465825
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.28000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
30Y RTR 1.550000 06-JUL-2022
000000000
2175361.00000000
NC
USD
9994.41000000
0.001177635112
N/A
DIR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
2175361.00000000
OU
Notional Amount
N/A
9994.41000000
0.00000000
DIR
US
N/A
N/A
2052-07-06
0.00000000
N/A
0.00000000
N/A
2175361.00000000
USD
1.00000000
0.01550000
USD
2022-07-06
XXXX
-48602.13000000
N
N
N
Vaco Holdings, LLC
54930076HTNXBP03T379
Vaco Holdings, LLC 2022 Term Loan
000000000
161595.00000000
PA
USD
160248.91000000
0.018882029370
Long
LON
CORP
US
N
2
2029-01-21
Floating
5.75000000
N
N
N
N
N
N
TEREOS FINANCE GROUPE I
969500183Z46A3QF8W69
Tereos Finance Groupe I SA
000000000
120000.00000000
PA
137551.01000000
0.016207549934
Long
DBT
CORP
FR
N
2
2025-10-30
Fixed
7.50000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
60000.00000000
PA
78078.08000000
0.009199891592
Long
DBT
NUSS
GB
N
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
100000.00000000
PA
109474.03000000
0.012899256848
Long
DBT
CORP
FR
N
2
2026-04-22
Fixed
1.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.500000 06-FEB-2025
000000000
12290000.00000000
OU
Notional Amount
74265.01000000
0.008750599926
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-06
0.00000000
EUR
-971.49000000
EUR
12290000.00000000
EUR
75377.76000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YKYR8
30972.26000000
PA
USD
30696.57000000
0.003616957746
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
AMER AIRLINE 16-2 B PTT
N/A
American Airlines 2016-2 Class B Pass Through Trust
02376GAA4
55000.00000000
PA
USD
52383.31000000
0.006172292828
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
4.38000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-2790.89000000
-0.00032884883
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
697486.20000000
CHF
680000.00000000
EUR
2022-06-15
-2790.89000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.994000 02-JUL-2031
000000000
11674062.00000000
OU
Notional Amount
USD
142385.08000000
0.016777145395
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-07-02
0.00000000
USD
-108.63000000
USD
11674062.00000000
USD
142493.71000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST
000000000
49.00000000
NC
USD
15165.50000000
0.001786941430
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
410.00000000
USD
2022-05-20
XXXX
-38990.73000000
N
N
N
LEG IMMOBILIEN SE
391200SO40AKONBO0Z96
LEG Immobilien SE
000000000
100000.00000000
PA
104052.52000000
0.012260443698
Long
DBT
CORP
DE
N
2
2027-11-28
Fixed
0.88000000
N
N
N
N
N
N
Citibank N.A.
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-8431.69000000
-0.00099350078
N/A
DFE
US
N
2
Citibank N.A.
MP6I5ZYZBEU3UXPYFY54
12124593.00000000
CZK
540000.00000000
USD
2022-04-20
-8431.69000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BX0
320000.00000000
PA
USD
318400.00000000
0.037516873916
Long
DBT
CORP
MX
N
2
2030-09-17
Fixed
5.20000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 7.610000 28-JAN-2032
000000000
50000000.00000000
OU
Notional Amount
-95515.73000000
-0.01125455904
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-28
797.70000000
MXN
0.00000000
MXN
50000000.00000000
MXN
-95554.44000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE JUN22
000000000
82.00000000
NC
-157273.52000000
-0.01853144101
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
Long Gilt Future
G M2 COMDTY
2022-06-28
10060582.58000000
GBP
-157273.52000000
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBE3
19000.00000000
PA
USD
19543.76000000
0.002302829082
Long
DBT
CORP
US
N
2
2062-03-01
Fixed
3.90000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
STARBUCKS CORP
000000000
-32.00000000
NC
USD
-416.00000000
-0.00004901702
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Starbucks Corp
Starbucks Corp
100.00000000
80.00000000
USD
2022-04-14
XXXX
2371.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGB1
1634435.36000000
PA
USD
1564744.51000000
0.184372872151
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
NBK TIER 1 FNC LTD
5493000G4QCCEE8YHF19
NBK Tier 1 Ltd
62879NAA5
1206000.00000000
PA
USD
1126856.25000000
0.132776770895
Long
DBT
CORP
AE
N
2
2026-08-24
Fixed
3.63000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBF1
35000.00000000
PA
USD
35170.53000000
0.004144121669
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617B9SG2
24684.92000000
PA
USD
25572.83000000
0.003013230649
Long
ABS-MBS
USGA
US
N
2
2047-09-15
Fixed
4.00000000
N
N
N
N
N
N
VERISURE HOLDING AB
549300VQQCWGISM3N408
Verisure Holding AB
000000000
180000.00000000
PA
194146.83000000
0.022876200195
Long
DBT
CORP
SE
N
2
2026-07-15
Fixed
3.88000000
N
N
N
N
N
N
DOBANK SPA
8156007AF7DB5FE05555
doValue SpA
000000000
200000.00000000
PA
212408.80000000
0.025027996759
Long
DBT
CORP
IT
N
2
2026-07-31
Fixed
3.38000000
N
N
N
N
N
N
Bunge Ltd
5493007M0RIN8HY3MM77
Bunge Ltd
000000000
1761.00000000
NS
USD
195136.41000000
0.022992801791
Long
EC
CORP
BM
N
1
N
N
N
ADEVINTA ASA
529900W8V3YLHRSZH763
Adevinta ASA
000000000
100000.00000000
PA
106956.65000000
0.012602635529
Long
DBT
CORP
NO
N
2
2027-11-15
Fixed
3.00000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
000000000
980000.00000000
PA
993207.89000000
0.117029067782
Long
DBT
CORP
NO
N
2
2029-05-12
Fixed
1.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMA1
45778.22000000
PA
USD
48097.56000000
0.005667305572
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
17228.34000000
0.002030004584
N/A
DFE
TR
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
518468.26000000
USD
8276587.25000000
TRY
2022-06-08
17228.34000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R4E6
349005.51000000
PA
USD
356502.44000000
0.042006460717
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.300000 19-NOV-2050
000000000
5221800.00000000
OU
Notional Amount
USD
1104041.50000000
0.130088523096
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-11-21
0.00000000
USD
-144.75000000
USD
5221800.00000000
USD
1104186.25000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
266450.00000000
PA
303774.60000000
0.035793572133
Long
DBT
NUSS
FR
N
2
2050-05-25
Fixed
1.50000000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2022-X1
00834HAA2
689000.00000000
PA
USD
680948.48000000
0.080235735765
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK61
5826.35000000
PA
USD
5773.84000000
0.000680327975
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DA2
790.09000000
PA
USD
782.86000000
0.000092243906
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.680000 05-FEB-2051
000000000
2857139.00000000
OU
Notional Amount
USD
378479.93000000
0.044596054691
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-06
0.00000000
USD
-86.61000000
USD
2857139.00000000
USD
378566.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8XE2
255089.31000000
PA
USD
237576.24000000
0.027993460557
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
District of Columbia Water & Sewer Authority
549300OT2FIJQJ5PSH71
DIST OF COLUMBIA WTR & SWR AUTH PUBLIC UTILITY REVENUE
254845SK7
495000.00000000
PA
USD
601276.01000000
0.070847978191
Long
DBT
MUN
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
1719000.00000000
PA
USD
1725599.48000000
0.203326313194
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.88000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
74.00000000
NS
USD
241236.30000000
0.028424723150
Long
EC
CORP
US
N
1
N
N
N
VOLKSWAGEN FIN SERV NV
529900ZTQC8D1TW6BL41
Volkswagen Financial Services NV
000000000
200000.00000000
PA
262178.19000000
0.030892293020
Long
DBT
CORP
NL
N
2
2022-11-30
Fixed
1.63000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2021-C59
95003CBU3
1004356.80000000
PA
USD
100730.26000000
0.011868983869
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
1.55000000
N
N
N
N
N
N
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-7997.53000000
-0.00094234398
N/A
DFE
US
N
2
State Street Bank & Trust Co.
7LTWFZYICNSX8D621K86
2629711.37000000
BRL
544341.00000000
USD
2022-04-04
-7997.53000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
357000.00000000
PA
USD
409621.97000000
0.048265501890
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86000000
N
N
N
N
N
N
TELEFONICA EUROPE BV
7245007FZS0M65WUGP67
Telefonica Europe BV
000000000
600000.00000000
PA
686981.10000000
0.080946555626
Long
DBT
CORP
NL
N
2
2024-12-14
Fixed
4.38000000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAC9
1265000.00000000
PA
USD
1214400.00000000
0.143091996494
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
4.38000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
GENERAL MOTORS CO
000000000
-125.00000000
NC
USD
-125.00000000
-0.00001472867
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
General Motors Co
General Motors Co
100.00000000
70.00000000
USD
2022-04-14
XXXX
9891.21000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
410000.00000000
PA
USD
391673.00000000
0.046150585921
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.13000000
N
N
N
N
N
N
AVIS BUDGET FINANCE PLC
549300W3BJJPGKCIOI13
Avis Budget Finance Plc
000000000
100000.00000000
PA
110790.91000000
0.013054423999
Long
DBT
CORP
JE
N
2
2024-11-15
Fixed
4.13000000
N
N
N
N
N
N
YANGO JUSTICE INTL
3003007ELD2HAYCXPT77
Yango Justice International Ltd
000000000
200000.00000000
PA
USD
10000.00000000
0.001178293778
Long
DBT
CORP
HK
N
2
2024-04-15
None
0.00000000
Y
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
32000.00000000
PA
USD
35045.14000000
0.004129347043
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
200000.00000000
PA
209888.77000000
0.024731063192
Long
DBT
CORP
FR
N
2
2028-09-22
Fixed
0.88000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
1000000.00000000
PA
1123485.13000000
0.132379553922
Long
DBT
CORP
FR
N
2
2030-11-20
Fixed
2.38000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GV9
2690000.00000000
PA
USD
2473804.94000000
0.291486897071
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
1.20000000
N
N
N
N
N
N
Deutsche Bank AG
HPFHU0OQ28E4N0NFVK49
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
23477.03000000
0.002766283839
N/A
DFE
CZ
N
2
Deutsche Bank AG
HPFHU0OQ28E4N0NFVK49
1228000.00000000
EUR
30565705.92000000
CZK
2022-04-20
23477.03000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.000000 17-FEB-2025
000000000
13939574.00000000
OU
Notional Amount
USD
193992.54000000
0.022858020301
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-02-18
0.00000000
USD
-61.68000000
USD
13939574.00000000
USD
194054.22000000
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
10552TAH0
295000.00000000
PA
USD
258803.50000000
0.030494655397
Long
DBT
CORP
BR
N
2
2050-09-21
Fixed
5.75000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412HHJ5
1000000.00000000
PA
USD
1067826.00000000
0.125821273261
Long
DBT
MUN
US
N
2
2050-05-15
Fixed
4.00000000
N
N
N
N
N
N
Altice USA Inc
54930064K3612MGCER95
Altice USA Inc
02156K103
2786.00000000
NS
USD
34769.28000000
0.004096842631
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 4.110000 15-SEP-2031
000000000
397500.00000000
OU
Notional Amount
-50265.63000000
-0.00592276791
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI)
2031-09-15
8.27000000
GBP
0.00000000
GBP
397500.00000000
GBP
-50276.94000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CK6
552000.00000000
PA
USD
504298.72000000
0.059421204442
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
1.75000000
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
Full House Resorts Inc
359678AC3
67000.00000000
PA
USD
68507.50000000
0.008072196104
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C7
46648KAU0
1113000.00000000
PA
USD
1115146.53000000
0.131397021872
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.41000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMW84
539746.02000000
PA
USD
501424.53000000
0.059082540422
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SCHLUMBERGER NV
000000000
19.00000000
NC
USD
2660.00000000
0.000313426145
N/A
DE
CW
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Schlumberger NV
Schlumberger NV
100.00000000
45.00000000
USD
2022-05-20
XXXX
-499.59000000
N
N
N
Whitebox CLO I Ltd
549300E4AC0513DYO913
Whitebox Clo I Ltd
96467FAQ3
500000.00000000
PA
USD
489487.10000000
0.057675960472
Long
ABS-CBDO
CORP
KY
N
2
2032-07-24
Floating
3.31000000
N
N
N
N
N
N
CITGO HOLDING INC
549300NYHOALWZ2BSL72
Citgo Holding Inc
17302WAB4
402000.00000000
PA
USD
406020.00000000
0.047841084005
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
9.25000000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAS4
682500.00000000
PA
USD
660226.27000000
0.077794050652
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
2.45000000
N
N
N
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
PANDORA A/S
000000000
7.00000000
NC
209.25000000
0.000024655797
N/A
DE
DK
N
1
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Call
Purchased
Pandora A/S
Pandora A/S
100.00000000
760.00000000
DKK
2022-04-13
XXXX
-3870.52000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CONOCOPHILLIPS
000000000
-17.00000000
NC
USD
-535.50000000
-0.00006309763
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
ConocoPhillips
ConocoPhillips
100.00000000
110.00000000
USD
2022-04-14
XXXX
1383.47000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
56372.77000000
0.006642368418
N/A
DFE
RU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
312624.78000000
USD
27510981.00000000
RUB
2022-05-24
56372.77000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MGM RESORTS INTERNATIONAL
000000000
55.00000000
NC
USD
1485.00000000
0.000174976626
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
MGM Resorts International
MGM Resorts International
100.00000000
55.00000000
USD
2022-06-17
XXXX
-10012.23000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032647
1905000.00000000
PA
USD
1915417.97000000
0.225692507781
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7X91
3374.79000000
PA
USD
3344.56000000
0.000394087424
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5JU4
15591.75000000
PA
USD
15845.87000000
0.001867109004
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZK3
1397000.00000000
PA
USD
1335709.17000000
0.157385780526
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.64000000
N
N
N
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
Sweden Government Bond
000000000
250000.00000000
PA
35218.14000000
0.004149731526
Long
DBT
NUSS
SE
N
2
2039-03-30
Fixed
3.50000000
N
N
N
N
N
N
Credit Suisse Securities SA
B4TYDEB6GKMZO031MB27
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
28898.90000000
0.003405139408
N/A
DFE
NO
N
2
Credit Suisse Securities SA
B4TYDEB6GKMZO031MB27
2300000.00000000
USD
20513141.10000000
NOK
2022-06-15
28898.90000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU JUN22
000000000
-47.00000000
NC
46997.70000000
0.005537709752
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX Short term Euro-BTP Futures
BTSM2 COMDTY
2022-06-08
-5258073.81000000
EUR
46997.70000000
N
N
N
BANK 2021-BN35
N/A
BANK 2021-BNK35
06540CBF3
27000.00000000
PA
USD
24683.90000000
0.002908488580
Long
ABS-MBS
CORP
US
N
2
2064-06-15
Fixed
2.29000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 7.565000 12-JAN-2032
000000000
69665000.00000000
OU
Notional Amount
-145047.28000000
-0.01709083076
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-01-12
455.47000000
MXN
0.00000000
MXN
69665000.00000000
MXN
-145069.25000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
249000.00000000
PA
USD
246840.82000000
0.029085100255
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.79000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TAPESTRY INC
000000000
-29.00000000
NC
USD
-797.50000000
-0.00009396892
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Tapestry Inc
Tapestry Inc
100.00000000
27.50000000
USD
2022-05-20
XXXX
1815.59000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1040000.00000000
PA
1281828.64000000
0.151037071197
Long
DBT
NUSS
GB
N
2
2047-07-22
Fixed
1.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
48039.70000000
0.005660487964
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
543341.00000000
USD
2815593.06000000
BRL
2022-04-04
48039.70000000
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BP4
76000.00000000
PA
USD
64944.51000000
0.007652371209
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
3.25000000
N
N
N
N
N
N
Apex Tool Group, LLC
549300LWC59TPOM4ZR02
Apex Tool Group, LLC 2022 Term Loan
03759DAK4
282791.94000000
PA
USD
275015.16000000
0.032404865209
Long
LON
CORP
US
N
2
2029-02-08
Floating
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4R3
2640.18000000
PA
USD
2615.42000000
0.000308173311
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED AIR 2019-2 AA PTT
N/A
United Airlines 2019-2 Class AA Pass Through Trust
90932JAA0
71103.95000000
PA
USD
65090.43000000
0.007669564872
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KP5
275000.00000000
PA
USD
261979.09000000
0.030868833191
Long
DBT
CORP
US
N
2
2052-02-09
Fixed
3.43000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.870000 08-APR-2026
000000000
22427103.00000000
OU
Notional Amount
USD
-1389118.50000000
-0.16367896865
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
168.48000000
USD
0.00000000
USD
22427103.00000000
USD
-1389286.98000000
N
N
N
JPMorgan Chase Bank N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
3660.74000000
0.000431342716
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
B4TYDEB6GKMZO031MB27
816512.05000000
GBP
970000.00000000
EUR
2022-06-15
3660.74000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
762000.00000000
PA
USD
548640.00000000
0.064645909878
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.63000000
N
N
N
N
N
N
SCIENTIFIC GAMES HOLDINGS LP
N/A
SCIENTIFIC GAMES HOLDINGS LP
000000000
226000.00000000
PA
USD
223658.64000000
0.026353558408
Long
LON
CORP
US
N
2
2029-02-04
None
0.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.520000 20-FEB-2025
000000000
2010000.00000000
OU
Notional Amount
12306.77000000
0.001450099052
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-20
132.17000000
EUR
0.00000000
EUR
2010000.00000000
EUR
12157.08000000
N
N
N
Floor & Decor Holdings Inc
549300M5FR3N688XGQ36
Floor & Decor Holdings Inc
339750101
985.00000000
NS
USD
79785.00000000
0.009401016913
Long
EC
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
8965224.02000000
PA
USD
9422590.48000000
1.110257974256
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TF5
2818000.00000000
PA
USD
2718049.06000000
0.320266029781
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.38000000
N
N
N
N
N
N
Henley CLO
6354009HFM8XXW6PPK55
Henley CLO IV DAC
000000000
100000.00000000
PA
106875.22000000
0.012593040683
Long
ABS-CBDO
CORP
IE
N
2
2034-04-25
Floating
1.35000000
N
N
N
N
N
N
Heathrow Funding Ltd
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
000000000
120000.00000000
PA
125242.69000000
0.014757268246
Long
DBT
CORP
JE
N
2
2030-02-11
Fixed
1.50000000
N
N
N
N
N
N
Trestles CLO LTD
254900QSBDX181YYBH38
TRESTLES CLO 2017-1 Ltd
89531FAL1
250000.00000000
PA
USD
246289.40000000
0.029020126779
Long
ABS-CBDO
CORP
KY
N
2
2032-04-25
Floating
1.25000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568QAG2
200000.00000000
PA
USD
214772.00000000
0.025306451145
Long
DBT
CORP
ID
N
2
2029-01-25
Fixed
5.38000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
1240000.00000000
PA
USD
1202048.92000000
0.141636676422
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45000000
N
N
N
N
N
N
Freedom Mortgage Corp
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAA5
112000.00000000
PA
USD
111580.00000000
0.013147401983
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
8.13000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DN7
161000.00000000
PA
USD
141099.80000000
0.016625701652
Long
DBT
CORP
US
N
2
2030-08-21
Fixed
1.75000000
N
N
N
N
N
N
Dryden Senior Loan Fund
254900I0IPNA482LDS44
Dryden 37 Senior Loan Fund
26249MAN7
750000.00000000
PA
USD
745557.53000000
0.087848579932
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.34000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAB9
210000.00000000
PA
USD
195539.48000000
0.023040295278
Long
DBT
CORP
US
N
2
2031-05-28
Fixed
2.25000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
492000.00000000
PA
USD
510426.73000000
0.060143264048
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Element Solutions Inc
549300FLGN6P5CU20J91
Element Solutions Inc
28618M106
6664.00000000
NS
USD
145941.60000000
0.017196207934
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 5.520000 11-FEB-2031
000000000
120000000.00000000
OU
Notional Amount
1024889.02000000
0.120762035620
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-02-11
0.00000000
MXN
-153891.20000000
MXN
120000000.00000000
MXN
1032604.21000000
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
BHG Securitization Trust 2022-A
054977AC7
200000.00000000
PA
USD
189778.50000000
0.022361482589
Long
ABS-O
CORP
US
N
2
2035-02-20
Fixed
3.08000000
N
N
N
N
N
N
TICP CLO LTD
N/A
TICP CLO XII Ltd
87250FAN0
325000.00000000
PA
USD
318903.68000000
0.037576222217
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.89000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.642500 20-FEB-2025
000000000
8020000.00000000
OU
Notional Amount
35696.07000000
0.004206045720
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-20
0.00000000
EUR
-588.87000000
EUR
8020000.00000000
EUR
36366.29000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
2080000.00000000
PA
USD
1931664.74000000
0.227606854582
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C5
46590TAE5
1200000.00000000
PA
USD
1217411.52000000
0.143446842022
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.69000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC
000000000
23.00000000
NC
USD
12765.00000000
0.001504092008
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
150.00000000
USD
2022-05-20
XXXX
-2499.16000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFTR3
19879.58000000
PA
USD
20936.06000000
0.002466882925
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
000000000
100000.00000000
PA
102397.13000000
0.012065390124
Long
DBT
CORP
LU
N
2
2026-05-27
Fixed
2.88000000
N
N
N
N
N
N
Mercedes-Benz Group AG
529900R27DL06UVNT076
Mercedes-Benz Group AG
000000000
3574.00000000
NS
250857.21000000
0.029558348990
Long
EC
CORP
DE
N
2
N
N
N
Societe Generale SA
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-14750.77000000
-0.00173807405
N/A
DFE
US
N
2
Societe Generale SA
B4TYDEB6GKMZO031MB27
52675578.80000000
MXN
2600000.00000000
USD
2022-06-15
-14750.77000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
25505.32000000
0.003005275988
N/A
DFE
BR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
415000.00000000
USD
2140528.50000000
BRL
2022-06-15
25505.32000000
N
N
N
Schaeffler AG
549300Q7E782X7GC1P43
Schaeffler AG
000000000
10000.00000000
PA
11151.00000000
0.001313915392
Long
DBT
CORP
DE
N
2
2024-03-26
Fixed
1.88000000
N
N
N
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
000000000
240000.00000000
PA
205340.84000000
0.024195183430
Long
DBT
CORP
US
N
2
2061-09-14
Fixed
1.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CSG0
186582.60000000
PA
USD
188526.12000000
0.022213915433
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
NEXI SPA
5493000P70CQRQG8SN85
Nexi SpA
000000000
100000.00000000
PA
90423.00000000
0.010654485835
Long
DBT
CORP
IT
N
1
2028-02-24
None
0.00000000
N
N
N
N
N
Nexi SpA
Nexi SpA
EUR
XXXX
N
N
N
ALTUS POWER INC
N/A
ALTUS POWER INC
000000000
15350.00000000
NS
USD
114050.50000000
0.013438499461
Long
STIV
CORP
US
Y
2
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MRR1
20240.85000000
PA
USD
21907.62000000
0.002581361235
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3472.81000000
0.000409199041
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
11785378.50000000
ZAR
810000.00000000
USD
2022-04-01
3472.81000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRH0
214819.68000000
PA
USD
221343.00000000
0.026080707987
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
DRAFTKINGS INC
5493008P45UYYL683Z97
DraftKings Inc
26142RAB0
174000.00000000
PA
USD
125019.00000000
0.014730910992
Long
DBT
CORP
US
N
2
2028-03-15
None
0.00000000
N
N
N
N
Y
DraftKings Inc
DraftKings Inc
USD
XXXX
N
N
N
SOFTBANK GROUP CORP
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
100000.00000000
PA
98456.23000000
0.011601036329
Long
DBT
CORP
JP
N
2
2027-01-06
Fixed
2.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWBS9
4991.88000000
PA
USD
5069.98000000
0.000597392589
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022659
10040000.00000000
PA
USD
9558931.39000000
1.126322938860
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
70585.01000000
PA
USD
73391.67000000
0.008647694817
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJNC8
50541.27000000
PA
USD
50182.78000000
0.005913005747
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
210000.00000000
PA
USD
75600.00000000
0.008907900967
Long
DBT
CORP
KY
N
2
2027-01-14
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWH8
104693.57000000
PA
USD
98252.60000000
0.011577042732
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
ENGIE SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
100000.00000000
PA
112714.68000000
0.013281100622
Long
DBT
CORP
FR
N
2
2032-03-30
Fixed
2.13000000
N
N
N
N
N
N
AIR FRANCE-KLM
969500AQW31GYO8JZD66
Air France-KLM
000000000
100000.00000000
PA
100668.73000000
0.011861733827
Long
DBT
CORP
FR
N
2
2026-07-01
Fixed
3.88000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BRY0869Y8 BLACKROCK
000000000
2730000.00000000
NC
58044.29000000
0.006839322580
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
Federal Reserve Bank of Boston
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2730000.00000000
OU
Notional Amount
N/A
58044.29000000
0.01000000
DIR
US
N/A
N/A
2032-09-20
0.00000000
N/A
0.00000000
N/A
2730000.00000000
EUR
1.00000000
1.36000000
EUR
2022-09-16
XXXX
16256.51000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD C CLP P @855.00 EO
000000000
-2142000.00000000
OU
Notional Amount
USD
-5213.63000000
-0.00061431877
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
-5213.63000000
0.00000000
DFE
CH
-2142000.00000000
USD
-1831410000.00000000
CHF
2022-05-06
1.00000000
855.00000000
USD
2022-05-06
XXXX
25609.75000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.700000 22-FEB-2026
000000000
3288877.00000000
OU
Notional Amount
USD
228578.86000000
0.026933304869
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-02-23
0.00000000
USD
-23.69000000
USD
3288877.00000000
USD
228602.55000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.680000 27-FEB-2024
000000000
24394973.00000000
OU
Notional Amount
-84771.67000000
-0.00998859313
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-02-27
68.94000000
MXN
0.00000000
MXN
24394973.00000000
MXN
-84775.95000000
N
N
N
BANCO DE SABADELL SA
SI5RG2M0WQQLZCXKRM20
Banco de Sabadell SA
000000000
1100000.00000000
PA
1185588.88000000
0.139697200149
Long
DBT
CORP
ES
N
2
2025-11-07
Fixed
0.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050656
237000.00000000
PA
USD
247202.11000000
0.029127670831
Long
ABS-MBS
USGA
US
N
2
2052-05-19
Fixed
5.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST
000000000
84.00000000
NC
USD
126.00000000
0.000014846501
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
500.00000000
USD
2022-03-31
XXXX
-35678.13000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZF4
2756.82000000
PA
USD
2810.42000000
0.000331150040
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
4PQUHN3JPFGFNF3BB653
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
253673.25000000
0.029890161231
N/A
DFE
BR
N
2
State Street Bank & Trust Co.
4PQUHN3JPFGFNF3BB653
4086496.54000000
USD
21090000.00000000
BRL
2022-06-15
253673.25000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020642
3930400.00000000
PA
USD
3738793.00000000
0.440539653204
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
2.00000000
N
N
N
N
N
N
JERROLD FINCO PLC
213800F7AYNHLL1BPR31
Jerrold Finco PLC
000000000
100000.00000000
PA
126176.04000000
0.014867244296
Long
DBT
CORP
GB
N
2
2027-01-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LSK41
2086.34000000
PA
USD
2167.07000000
0.000255344509
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
IPS CORPORATION
25490024F0AS5UR7DB02
IPS Corporation 2021 Delayed Draw Term Loan
12659EAD0
52607.61000000
PA
USD
51259.80000000
0.006039910344
Long
LON
CORP
US
N
2
2028-10-02
None
0.00000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
1500000000.00000000
PA
10834154.76000000
1.276581715203
Long
DBT
NUSS
JP
N
2
2049-09-20
Fixed
0.40000000
N
N
N
N
N
N
BURGAN BANK
558600NC81HKXMFSTY52
Burgan Bank SAK
000000000
395000.00000000
PA
USD
380755.31000000
0.044864161300
Long
DBT
CORP
KW
N
2
2024-07-09
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXB27
32539.58000000
PA
USD
35114.33000000
0.004137499658
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
6.00000000
N
N
N
N
N
N
Venture CDO Ltd
549300VI1BOFEK7C6D74
Venture 39 CLO Ltd
92332TAB8
335000.00000000
PA
USD
332565.92000000
0.039186035456
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.52000000
N
N
N
N
N
N
Kingdom of Denmark
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
500000.00000000
PA
77846.79000000
0.009172638835
Long
DBT
NUSS
DK
N
2
2025-11-15
Fixed
1.75000000
N
N
N
N
N
N
MAVERICK GAMING LLC
N/A
Maverick Gaming LLC Term Loan B
000000000
123380.00000000
PA
USD
121220.85000000
0.014283377341
Long
LON
CORP
US
N
2
2026-09-03
Floating
8.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JMFR5
2949.18000000
PA
USD
3010.42000000
0.000354715915
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
DT Midstream, Inc
N/A
DT Midstream, Inc Term Loan B
23345NAB1
177000.00000000
PA
USD
176532.72000000
0.020800740572
Long
LON
CORP
US
N
2
2028-06-26
Floating
2.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/JPY One-touch barrier option; Barrier price USD 105.00000
000000000
170000.00000000
OU
Notional Amount
USD
10155.29000000
0.001196591502
N/A
DFE
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
USD/JPY One-touch barrier option; Barrier price USD 105.00000
N/A
1.00000000
NC
USD
10155.29000000
0.00000000
DFE
US
17850000.00000000
JPY
170000.00000000
USD
2023-03-28
1.00000000
105.00000000
USD
2023-03-28
XXXX
-44.71000000
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
2027.00000000
NS
USD
202700.00000000
0.023884014895
Long
EC
CORP
US
N
1
N
N
N
FCA BANK SPA IRELAND
549300V1VN70Q7PQ7234
FCA Bank SpA/Ireland
000000000
639000.00000000
PA
708066.51000000
0.083431036369
Long
DBT
CORP
IT
N
2
2023-02-28
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FG5Z8
3627.26000000
PA
USD
3600.84000000
0.000424284737
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172BV0
100000.00000000
PA
95819.37000000
0.011290336755
Long
DBT
CORP
US
N
2
2036-05-09
Fixed
2.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST
000000000
-74.00000000
NC
USD
-9324.00000000
-0.00109864111
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
380.00000000
USD
2022-05-20
XXXX
29508.84000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BRY03VTV2 BLACKROCK
000000000
-25853032.00000000
OU
Notional Amount
USD
-13159.19000000
-0.00155053917
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
FX Contract
N/A
1.00000000
NC
USD
-13159.19000000
0.00000000
DFE
US
-25853032.00000000
EUR
-2895539584.00000000
USD
2022-05-12
1.00000000
112.00000000
USD
2022-05-12
XXXX
34513.80000000
N
N
N
JPMorgan Chase Bank N.A.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
379187.65000000
0.044679444898
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
571474TGEMMWANRLN572
1776652500.00000000
JPY
15000000.00000000
USD
2022-06-15
379187.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJH27
7987.59000000
PA
USD
7994.83000000
0.000942025845
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-3373.50000000
-0.00039749740
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1730499.56000000
MXN
83630.00000000
USD
2022-04-01
-3373.50000000
N
N
N
2022-05-05
BlackRock Strategic Global Bond Fund, Inc.
Ann Frechette
Ann Frechette
Assistant Treasurer
XXXX