NPORT-P
false
0001039001
XXXXXXXX
S000007598
C000020707
C000020709
C000020708
Voya Partners Inc
811-08319
0001039001
5493008K4FXFGU5VMN14
7337 East Doubletree Ranch Road
Suite 100
Scottsdale
85258
1-800-992-0180
VOYA GLOBAL BOND PORTFOLIO
S000007598
FVTA0XO1Q4APDMG7KO58
2022-12-31
2022-06-30
N
154764168.02
27559761.27
127204406.75
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
376526.42000000
21881595.67000000
0.00000000
4276795.02000000
AUD
CAD
CNY
EUR
GBP
JPY
MYR
USD
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MAC4
639000.00000000
PA
USD
627529.50000000
0.493323711051
Long
DBT
CORP
JP
N
2
2026-03-09
Fixed
3.78400000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
886.26000000
0.000696721145
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-34940598.00000000
JPY
258471.88000000
USD
2022-07-08
886.26000000
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-13T1
12668BZK2
59264.91000000
PA
USD
32713.79000000
0.025717497401
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
ALBEMARLE CORP
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp
012653AF8
11000.00000000
PA
USD
11026.00000000
0.008667938699
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
5.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3129112B5
19389.60290000
PA
USD
19425.85000000
0.015271365588
Long
ABS-MBS
USGSE
US
N
2
2022-09-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJX3
322522.83000000
PA
USD
325658.65000000
0.256012081908
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
4.62357000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0FW4
5565.17000000
PA
USD
5557.83000000
0.004369211839
Long
ABS-MBS
CORP
US
N
2
2027-12-25
Floating
5.52357000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BM60
341680.05000000
PA
USD
334785.08000000
0.263186699701
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
27000.00000000
PA
USD
22701.80000000
0.017846708757
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-45650.63000000
-0.03588761676
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1271940.43000000
USD
1963537.67000000
NZD
2022-07-08
-45650.63000000
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBH4
154000.00000000
PA
USD
124119.82000000
0.097575094425
Long
DBT
CORP
US
N
2
2045-02-15
Fixed
4.90000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ2
36257LAA5
15119.97000000
PA
USD
14899.48000000
0.011713021883
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2013-2 CLO Ltd
88432ABA7
250000.00000000
PA
USD
236303.50000000
0.185766756071
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
3.04429000
N
N
N
N
N
N
Voya High Yield Bond Fund
OTPD0VW0B2EUAT57PE57
Voya High Yield Bond Fund
92913L593
1424806.77300000
NS
USD
9474965.04000000
7.448613835070
Long
EC
RF
US
N
1
N
N
N
UBS AG STAMFORD CT
254900R882POXXVAK772
UBS AG/Stamford CT
90261AAB8
250000.00000000
PA
USD
250745.10000000
0.197119821872
Long
DBT
CORP
CH
N
2
2022-08-17
Fixed
7.62500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
1550.51000000
0.001218912174
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-445161.66000000
USD
60594960.00000000
JPY
2022-07-08
1550.51000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5696.29000000
0.004478060269
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-15364885.00000000
JPY
118967.77000000
USD
2022-07-08
5696.29000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GC47
36258RBC6
860822.26130000
PA
USD
60364.30000000
0.047454566663
Long
ABS-MBS
CORP
US
N
2
2053-05-12
Variable
1.24528700
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXVII Ltd
55820YAD9
250000.00000000
PA
USD
234592.75000000
0.184421873419
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
2.86271000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
438000.00000000
PA
477960.43000000
0.375742037726
Long
DBT
NUSS
IT
N
2
2049-09-01
Fixed
3.85000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-29881.07000000
-0.02349059341
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-922959.90000000
USD
733602.91000000
GBP
2022-07-08
-29881.07000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
-1604000.00000000
NC
USD
-76180.41000000
-0.05988818465
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
JPY
2022-08-11
1.00000000
USD
129.50000000
USD
2022-08-11
XXXX
-42199.67000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
12215.66000000
0.009603173594
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-36754136.00000000
JPY
283170.86000000
USD
2022-07-08
12215.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397Q5R5
29333.18000000
PA
USD
30954.76000000
0.024334660088
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
5.00000000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
0010EPAN8
153000.00000000
PA
USD
152056.96000000
0.119537493931
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.85000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAB9
287000.00000000
PA
USD
287226.52000000
0.225799189932
Long
DBT
CORP
FR
N
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAY8
43000.00000000
PA
USD
35186.71000000
0.027661549547
Long
DBT
CORP
US
N
2
2039-08-16
Fixed
2.99500000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDE8
92000.00000000
PA
USD
78789.09000000
0.061938962660
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust
93362FAD5
78379.89000000
PA
USD
73369.43000000
0.057678371272
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Variable
2.85292600
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FASW1
29859.58930000
PA
USD
5832.18000000
0.004584888329
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Fixed
6.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
8916.74000000
0.007009772874
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-14
0.00000000
USD
0.00000000
USD
818000.00000000
USD
8916.74000000
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBD6
1554841.06000000
PA
USD
65206.77000000
0.051261408048
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.50379500
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
28081.47000000
0.022075862556
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-6801455.85000000
SEK
693044.53000000
USD
2022-07-08
28081.47000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-56438.22000000
-0.04436813271
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-05-20
0.00000000
JPY
0.00000000
JPY
250000000.00000000
JPY
-56438.22000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1237031.00000000
0.972474957122
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-05-19
10.00000000
USD
0.00000000
USD
16000000.00000000
USD
1237021.00000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
92922F2Q0
3470637.01500000
PA
USD
15623.59000000
0.012282271030
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Variable
1.01719000
N
N
N
N
N
N
Shackleton CLO LTD
549300O6RVX5OXLL7335
Shackleton 2019-XV CLO Ltd
81883MAQ6
440000.00000000
PA
USD
415386.84000000
0.326550668025
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
3.19429000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEM3
117000.00000000
PA
USD
111771.03000000
0.087867262507
Long
DBT
CORP
US
N
2
2026-02-18
Fixed
2.63000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJZ3
68000.00000000
PA
USD
58295.91000000
0.045828530228
Long
DBT
CORP
US
N
2
2029-06-14
Fixed
2.08700000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
133000.00000000
PA
USD
118824.27000000
0.093412070411
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBE5
130000.00000000
PA
USD
107265.41000000
0.084325231130
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460DAH2
17000.00000000
PA
USD
14714.65000000
0.011567720314
Long
DBT
CORP
US
N
2
2028-11-09
Fixed
1.95000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - THB
000000000
1.00000000
NC
USD
-2739.07000000
-0.00215328231
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-469428.46000000
USD
16476000.00000000
THB
2022-08-05
-2739.07000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397YPL9
1159407.12000000
PA
USD
154812.04000000
0.121703362293
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Floating
4.67600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TKAQ3
30330.74000000
PA
USD
3116.40000000
0.002449915124
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Floating
6.32600000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032674
1900000.00000000
PA
USD
1827710.95000000
1.436829899762
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
295000.00000000
PA
USD
294464.32000000
0.231489087149
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCT0
25000.00000000
PA
USD
24578.89000000
0.019322357320
Long
DBT
CORP
US
N
2
2033-05-10
Fixed
5.26800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEUR8
24811.93000000
PA
USD
24344.81000000
0.019138338538
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 2016-C3 Mortgage Trust
23312VAS5
290000.00000000
PA
USD
225721.18000000
0.177447610320
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
3.62412500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392RNB3
3187.28000000
PA
USD
3243.92000000
0.002550163223
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
2.32400000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
10298.06000000
0.008095678650
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-739566.95000000
GBP
910637.44000000
USD
2022-07-08
10298.06000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XPY4
455705.04000000
PA
USD
36255.07000000
0.028501426111
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
4.92643000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
43931.12000000
0.034535847556
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-95577113.00000000
JPY
748535.25000000
USD
2022-07-08
43931.12000000
N
N
N
SUMITOMO MITSUI TR BK LT
5493006GGLR4BTEL8O61
Sumitomo Mitsui Trust Bank Ltd
86563VBA6
43000.00000000
PA
USD
40357.68000000
0.031726636703
Long
DBT
CORP
JP
N
2
2027-03-10
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022675
2475000.00000000
PA
USD
2226533.22000000
1.750358558234
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
2.50000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EF3
46000.00000000
PA
USD
34008.69000000
0.026735465278
Long
DBT
CORP
US
N
2
2051-02-08
Fixed
2.65000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCQE9
7014.34400000
PA
USD
1439.99000000
0.001132028391
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE16 Mortgage Trust
12591VAF8
10261872.50000000
PA
USD
132633.68000000
0.104268148713
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
1.10651400
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
6880000.00000000
PA
1053848.15000000
0.828468271599
Long
DBT
NUSS
CN
N
2
2026-06-06
Fixed
3.25000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QS84
342150.84000000
PA
USD
37960.23000000
0.029841914262
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Variable
3.50000000
N
N
N
N
N
N
Resolute Forest Products Inc
N/A
Resolute Forest Products Inc
76117W109
4988.00000000
NS
USD
63646.88000000
0.050035121916
Long
EC
CORP
CA
N
1
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
0.02000000
0.000000015722
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1.03000000
USD
1.00000000
CHF
2022-08-31
0.02000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392MW99
3107.38340000
PA
USD
3162.60000000
0.002486234620
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
2.32400000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
1.00000000
NC
USD
4440.90000000
0.003491152636
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Y
2023-06-19
0.00000000
USD
0.00000000
USD
1716000.00000000
USD
4440.90000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-4051.03000000
-0.00318466168
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-300762.50000000
USD
40247884.00000000
JPY
2022-07-08
-4051.03000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
17488.98000000
0.013748721798
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-861317.36000000
AUD
612031.53000000
USD
2022-07-08
17488.98000000
N
N
N
Bluemountain CLO Ltd
5493001GLQHON6UV2U40
BlueMountain CLO XXVIII Ltd
09630PAG8
250000.00000000
PA
USD
230292.00000000
0.181040897783
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
3.04429000
N
N
N
N
N
N
CIFC Funding Ltd
549300PC4RPZFE70AI24
CIFC Funding 2013-I Ltd
12549AAQ3
400000.00000000
PA
USD
386686.80000000
0.303988525145
Long
ABS-CBDO
CORP
KY
N
2
2030-07-16
Floating
3.44429000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AJ4
319000.00000000
PA
USD
282446.66000000
0.222041568540
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
RECKITT BENCKISER TSY
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services PLC
75625QAE9
200000.00000000
PA
USD
189331.66000000
0.148840488185
Long
DBT
CORP
GB
N
2
2027-06-26
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-12143.81000000
-0.00954668970
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-672202.14000000
USD
1056886.71000000
NZD
2022-07-08
-12143.81000000
N
N
N
Cedar Funding Ltd
549300PTCF9P2JDL1E69
Cedar Funding VIII Clo Ltd
15032EAN9
250000.00000000
PA
USD
237334.00000000
0.186576869515
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
2.49429000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAB0
368435.70000000
PA
USD
327041.32000000
0.257099048968
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
2.04357000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-848500.00000000
NC
USD
-854.23000000
-0.00067154120
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2032-07-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.07000000
USD
2022-07-12
XXXX
8161.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392CE67
3451.00000000
PA
USD
3518.22000000
0.002765800407
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
2.62357000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAZ4
20000.00000000
PA
USD
18460.73000000
0.014512649735
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392FJ73
9474.65300000
PA
USD
9645.92000000
0.007583007732
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Floating
2.62357000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TJZY2
25795.25000000
PA
USD
1847.37000000
0.001452284592
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Floating
6.37600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393AHH3
11775.31000000
PA
USD
2345.87000000
0.001844173531
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
7.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Commercial Mortgage Pass Through Certificates
12624NAE0
8578017.03000000
PA
USD
190.00000000
0.000149365894
Long
ABS-MBS
CORP
US
N
2
2030-10-05
Variable
0.95100300
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AT0
20000.00000000
PA
USD
19483.53000000
0.015316709929
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.10000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
133000.00000000
PA
USD
107885.71000000
0.084812871469
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
182830.46000000
0.143729658956
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-12-18
0.00000000
USD
0.00000000
USD
2250000.00000000
USD
182830.46000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKQ1
14000.00000000
PA
USD
13641.43000000
0.010724023128
Long
DBT
CORP
US
N
2
2033-04-27
Fixed
4.57100000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CL6
90000.00000000
PA
USD
79814.64000000
0.062745184730
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.87500000
N
N
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
7864000.00000000
PA
1654109.00000000
1.300355107390
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
517.90000000
0.000407139982
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-318976.91000000
USD
43338366.00000000
JPY
2022-07-08
517.90000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-17941.16000000
-0.01410419690
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-842389.84000000
USD
786508.27000000
EUR
2022-07-08
-17941.16000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BTP
000000000
13.00000000
NC
-1096.09000000
-0.00086167612
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2022-09-08
1678409.97000000
USD
-1096.09000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - CZK
000000000
1.00000000
NC
USD
-1904.10000000
-0.00149688210
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-225000.00000000
USD
5286798.00000000
CZK
2022-07-29
-1904.10000000
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAE7
27000.00000000
PA
USD
23700.61000000
0.018631909542
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
15122.61000000
0.011888432473
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1794504.67000000
NZD
1135846.09000000
USD
2022-07-08
15122.61000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCE9
238000.00000000
PA
USD
196276.14000000
0.154299795907
Long
ABS-MBS
CORP
US
N
2
2050-11-27
Fixed
2.03788000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-132899.14000000
-0.10447683645
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-6720066.44000000
USD
5410905.44000000
GBP
2022-07-08
-132899.14000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - HUF
000000000
1.00000000
NC
USD
1415.87000000
0.001113066784
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-190214.94000000
USD
72802000.00000000
HUF
2022-07-29
1415.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397UGJ2
1598753.33000000
PA
USD
229896.25000000
0.180729784347
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Floating
4.93643000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
908000.00000000
PA
898546.42000000
0.706379946227
Long
DBT
NUSS
ES
N
2
2048-10-31
Fixed
2.70000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
209000.00000000
PA
USD
191886.60000000
0.150849019230
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
-182043.74000000
-0.14311118981
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-12-31
0.00000000
NZD
0.00000000
NZD
28413000.00000000
NZD
-182043.74000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-4090.25000000
-0.00321549394
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-596892.14000000
USD
949195.57000000
NZD
2022-07-08
-4090.25000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDU6
618000.00000000
PA
USD
620702.91000000
0.487957080936
Long
DBT
CORP
US
N
2
2023-05-22
Fixed
4.10000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCX5
154000.00000000
PA
USD
152959.83000000
0.120247272801
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 8 Ltd
67707GAJ8
250000.00000000
PA
USD
234261.75000000
0.184161662308
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
2.94429000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GE1
15000.00000000
PA
USD
11186.88000000
0.008794412305
Long
DBT
CORP
US
N
2
2051-12-04
Fixed
2.87500000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBC1
153000.00000000
PA
USD
138368.65000000
0.108776616734
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-30537.27000000
-0.02400645604
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-888851.43000000
USD
705046.12000000
GBP
2022-07-08
-30537.27000000
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XBQ8
45000.00000000
PA
USD
37757.44000000
0.029682493684
Long
DBT
CORP
US
N
2
2048-02-15
Fixed
4.05000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-13655.47000000
-0.01073506048
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-1327786.50000000
USD
178257329.00000000
JPY
2022-07-08
-13655.47000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-27850.86000000
-0.02189457166
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1024338.30000000
USD
1443617.32000000
AUD
2022-07-08
-27850.86000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-4193.68000000
-0.00329680402
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-168801.77000000
USD
157032.97000000
EUR
2022-07-08
-4193.68000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAJ0
31000.00000000
PA
USD
29682.93000000
0.023334828374
Long
ABS-MBS
CORP
US
N
2
2045-12-27
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-3
46647SCQ1
259366.47000000
PA
USD
243751.31000000
0.191621749770
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Variable
3.76459100
N
N
N
N
N
N
RIO TINTO FIN USA LTD
213800RX94ZKEZXPKH58
Rio Tinto Finance USA Ltd
767201AT3
6000.00000000
PA
USD
4400.05000000
0.003459038969
Long
DBT
CORP
AU
N
2
2051-11-02
Fixed
2.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHR3
150000.00000000
PA
USD
147966.24000000
0.116321630500
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.45800000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
9819.22000000
0.007719245151
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5368980.76000000
SEK
534732.41000000
USD
2022-07-08
9819.22000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1650.92000000
0.001297848118
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1836117.25000000
CZK
79132.65000000
USD
2022-07-29
1650.92000000
N
N
N
Galaxy CLO Ltd
549300BW4412X0TZDD77
Galaxy XXI CLO Ltd
36320WAQ9
400000.00000000
PA
USD
371647.60000000
0.292165664299
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
2.81271000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-6090.47000000
-0.00478793947
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-1254853.26000000
USD
1025772.85000000
GBP
2022-07-08
-6090.47000000
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PAA0
18750000.00000000
PA
USD
195313.13000000
0.153542738801
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
0.57504900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AHX27
32913.30000000
PA
USD
34478.41000000
0.027104729215
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCV6
77000.00000000
PA
USD
73275.45000000
0.057604490184
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.59500000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
200000.00000000
PA
193677.06000000
0.152256564806
Long
DBT
NUSS
DE
N
2
2048-08-15
Fixed
1.25000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-93.03000000
-0.00007313425
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-4560.06000000
USD
5750.00000000
CAD
2022-07-08
-93.03000000
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2012-C8
92936YAK7
365061.75000000
PA
USD
12.05000000
0.000009472942
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Variable
1.49083900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394EVY1
6056.64000000
PA
USD
6063.71000000
0.004766902464
Long
ABS-MBS
USGSE
US
N
2
2025-08-25
Fixed
4.50000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAL6
45000.00000000
PA
USD
44583.30000000
0.035048549919
Long
DBT
CORP
US
N
2
2025-05-13
Fixed
5.12500000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-810701.89000000
-0.63732217358
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-16279869.77000000
USD
2098339114.00000000
JPY
2022-07-08
-810701.89000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-3221.71000000
-0.00253270313
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-569905.84000000
USD
5796227.35000000
SEK
2022-07-08
-3221.71000000
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DD6
36000.00000000
PA
USD
36332.75000000
0.028562493177
Long
DBT
CORP
US
N
2
2027-08-01
Variable
5.11300000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
151709.12000000
0.119264044285
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-02-17
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
151709.12000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5487.70000000
0.004314080101
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-545213.07000000
GBP
669223.14000000
USD
2022-07-08
5487.70000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WESG5
33570.28000000
PA
USD
33827.19000000
0.026592781542
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XZW7
729562.80000000
PA
USD
101544.89000000
0.079828122778
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
4.82643000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-59833.49000000
-0.04703727766
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-1442303.82000000
USD
2213614.24000000
NZD
2022-07-08
-59833.49000000
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
38000.00000000
PA
USD
33662.16000000
0.026463045471
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.27300000
N
N
N
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
Credit Suisse AG
22546DAA4
400000.00000000
PA
USD
401000.00000000
0.315240651047
Long
DBT
CORP
CH
N
2
2023-08-08
Fixed
6.50000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
DUALDIGI AUDUSD 0.6728 USDJPY 126.25
000000000
77000.00000000
NC
USD
557.10000000
0.000437956525
N/A
DFE
CORP
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
Call
Purchased
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
GB
US
N/A
JPY
N/A
USD
2022-08-10
1.00000000
USD
0.67280000
USD
2022-08-10
XXXX
-5217.90000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAD8
313000.00000000
PA
USD
325456.55000000
0.255853203764
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
64000.00000000
PA
USD
53905.27000000
0.042376888802
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DC6
223000.00000000
PA
USD
192710.74000000
0.151496905589
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.62500000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EF0
20000.00000000
PA
USD
17118.14000000
0.013457191018
Long
DBT
CORP
US
N
2
2062-04-01
Fixed
4.45000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS6
36253PAE2
2262838.71000000
PA
USD
92589.36000000
0.072787855677
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.16389700
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2716.41000000
-0.00213546847
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5098027.57000000
NOK
514905.47000000
USD
2022-07-08
-2716.41000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
ULTRA LONG TERM US TREASURY BOND
000000000
-4.00000000
NC
USD
-30995.08000000
-0.02436635710
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-586379.92000000
USD
-30995.08000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-10562.09000000
-0.00830324221
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-584614.68000000
USD
831633.43000000
AUD
2022-07-08
-10562.09000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CK0
17000.00000000
PA
USD
15415.19000000
0.012118440228
Long
DBT
CORP
US
N
2
2062-04-13
Fixed
4.10000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
14581.56000000
0.011463093435
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1068337.00000000
CAD
844546.53000000
USD
2022-07-08
14581.56000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - PHP
000000000
1.00000000
NC
USD
-51.51000000
-0.00004049388
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-17582.32000000
USD
966183.60000000
PHP
2022-08-05
-51.51000000
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBJ9
57000.00000000
PA
USD
55238.41000000
0.043424918531
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
4.45000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
870000.00000000
PA
880735.51000000
0.692378143574
Long
DBT
NUSS
ES
N
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXXI Ltd
09631BAC7
250000.00000000
PA
USD
237953.75000000
0.187064077479
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Floating
2.44429000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
TRS GOVERNMENT OF JAPAN
000000000
1.00000000
NC
-24447.22000000
-0.01921884675
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Japan Government Two Year Bond
JAPAN (2 YEAR ISSUE)
Y
2022-07-14
0.00000000
JPY
0.00000000
JPY
345000000.00000000
JPY
-24447.22000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-6951.75000000
-0.00546502293
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-3474904.56000000
USD
4463974.29000000
CAD
2022-07-08
-6951.75000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
153000.00000000
PA
USD
136264.04000000
0.107122106443
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-23819.43000000
-0.01872531825
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-344086.71000000
USD
43443149.00000000
JPY
2022-07-08
-23819.43000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
44728.41000000
0.035162626156
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-12043586.29000000
SEK
1222202.79000000
USD
2022-07-08
44728.41000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
26521.86000000
0.020849796542
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1108116.58000000
NZD
718574.82000000
USD
2022-07-08
26521.86000000
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2021-C20 Commercial Mortgage Trust
22945EAU5
500000.00000000
PA
USD
442276.40000000
0.347689526880
Long
ABS-MBS
CORP
US
N
2
2054-03-15
Fixed
2.80480000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAL1
27000.00000000
PA
USD
26919.94000000
0.021162741675
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
4.70000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - RON
000000000
1.00000000
NC
USD
-1365.75000000
-0.00107366563
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-185006.09000000
USD
870000.00000000
RON
2022-07-29
-1365.75000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAQ6
134000.00000000
PA
USD
100918.16000000
0.079335427583
Long
DBT
CORP
US
N
2
2043-05-02
Fixed
4.50000000
N
N
N
N
N
N
SWISS RE TREASURY (US)
549300G1I1ZMYS87KM16
Swiss Re Treasury US Corp
87089HAB9
19000.00000000
PA
USD
17616.33000000
0.013848836255
Long
DBT
CORP
US
N
2
2042-12-06
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
17124.71000000
0.013462355933
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-9932963.89000000
NOK
1025655.83000000
USD
2022-07-08
17124.71000000
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2006-2
007034AA9
147438.45000000
PA
USD
135594.03000000
0.106595387270
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.22332400
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
9371.68000000
0.007367417717
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-941842.87000000
PLN
218760.59000000
USD
2022-07-29
9371.68000000
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAQ6
43000.00000000
PA
USD
36148.32000000
0.028417506062
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2020-II Ltd
12547LAL2
500000.00000000
PA
USD
485683.50000000
0.381813423299
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
2.23271000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAP3
29000.00000000
PA
USD
26109.66000000
0.020525751164
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.37500000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2006-2
576438AA3
32722.59560000
PA
USD
30731.97000000
0.024159516784
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
2.64808100
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSYA0
39357.31000000
PA
USD
39697.30000000
0.031207488022
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HN0
20000.00000000
PA
USD
14644.94000000
0.011512918753
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040677
6200000.00000000
PA
USD
6115597.66000000
4.807693236618
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392JDD8
12871.92000000
PA
USD
2632.47000000
0.002069480191
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
7.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
15288.06000000
0.012018498722
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-02-02
0.00000000
USD
0.00000000
USD
1690000.00000000
USD
15288.06000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-25.00000000
NC
USD
54382.00000000
0.042751663554
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-3238757.00000000
USD
54382.00000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
15206.45000000
0.011954342139
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-703004542.30000000
COP
183521.91000000
USD
2022-08-05
15206.45000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395VZ51
24814.53000000
PA
USD
1915.98000000
0.001506221402
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Floating
4.82600000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TCA2
109000.00000000
PA
USD
69014.63000000
0.054254904970
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
1780000.00000000
PA
299325.85000000
0.235310912292
Long
DBT
NUSS
CN
N
2
2048-10-22
Fixed
4.08000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
248000.00000000
PA
USD
226360.22000000
0.177949982853
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - PEN
000000000
1.00000000
NC
USD
-506.24000000
-0.00039797363
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-52293.72000000
USD
198984.79000000
PEN
2022-08-05
-506.24000000
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAP5
83000.00000000
PA
USD
78656.27000000
0.061834548039
Long
DBT
CORP
GB
N
2
2028-03-16
Fixed
4.44800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2716.14000000
-0.00213525621
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-04-30
0.00000000
USD
0.00000000
USD
530000.00000000
USD
-2716.14000000
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2E1
34000.00000000
PA
USD
33651.87000000
0.026454956129
Long
DBT
CORP
CA
N
2
2032-06-08
Fixed
4.45600000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2455.76000000
0.001930562047
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-4936330.00000000
JPY
38846.88000000
USD
2022-07-08
2455.76000000
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
Nucor Corp
670346AW5
19000.00000000
PA
USD
15481.65000000
0.012170686846
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
3.85000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
59026.95000000
0.046403227300
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-12773241.90000000
SEK
1307838.12000000
USD
2022-07-08
59026.95000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
155.84000000
0.000122511478
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-5410591.00000000
JPY
40043.26000000
USD
2022-07-08
155.84000000
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAD1
353000.00000000
PA
USD
339293.50000000
0.266730932259
Long
DBT
CORP
IE
N
2
2026-09-23
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297BWX6
2102.02000000
PA
USD
2208.15000000
0.001735906841
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.50000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TKD6
38000.00000000
PA
USD
38500.72000000
0.030266813063
Long
DBT
CORP
US
N
2
2029-06-29
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392BYW0
19105.30000000
PA
USD
3156.09000000
0.002481116873
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Floating
6.12643000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDM8
103000.00000000
PA
USD
85232.50000000
0.067004361073
Long
DBT
CORP
US
N
2
N/A
Fixed
4.35000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
45009.88000000
0.035383899937
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2037644.24000000
NZD
1317581.52000000
USD
2022-07-08
45009.88000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
42000.00000000
PA
USD
29212.43000000
0.022964951251
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBR5
100000.00000000
PA
USD
83869.84000000
0.065933124600
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBJ9
49000.00000000
PA
USD
40937.71000000
0.032182619333
Long
ABS-MBS
CORP
US
N
2
2047-10-27
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-36632.76000000
-0.02879834192
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1152821.82000000
USD
11416740.33000000
SEK
2022-07-08
-36632.76000000
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BM5
20000.00000000
PA
USD
17151.25000000
0.013483219990
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042673
6100000.00000000
PA
USD
6125019.52000000
4.815100102654
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6868.28000000
0.005399404136
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-86857643.00000000
JPY
647191.60000000
USD
2022-07-08
6868.28000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-18197.48000000
-0.01430569935
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-741100.62000000
USD
1157513.95000000
NZD
2022-07-08
-18197.48000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-1850.54000000
-0.00145477664
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-863485.42000000
USD
1109102.73000000
CAD
2022-07-08
-1850.54000000
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXI Ltd
55819DAJ5
400000.00000000
PA
USD
380018.40000000
0.298746253930
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
3.33400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Z5
40000.00000000
PA
USD
37083.16000000
0.029152417708
Long
DBT
CORP
US
N
2
2053-04-25
Fixed
4.61100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395D7F0
17815.94010000
PA
USD
22013.72000000
0.017305784101
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
18.24635200
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-727.03000000
-0.00057154466
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1129211.23000000
CAD
876529.65000000
USD
2022-07-08
-727.03000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6984.28000000
-0.00549059594
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-941896.93000000
CHF
979908.66000000
USD
2022-07-08
-6984.28000000
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XCA2
45000.00000000
PA
USD
44878.30000000
0.035280460124
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAF8
72000.00000000
PA
USD
78454.55000000
0.061675968627
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.65000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-11897.08000000
-0.00935272629
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-10-18
0.00000000
USD
0.00000000
USD
520000.00000000
USD
-11897.08000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-38408.03000000
-0.03019394609
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-679914.08000000
USD
87018076.00000000
JPY
2022-07-08
-38408.03000000
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAX2
44000.00000000
PA
USD
43590.95000000
0.034268427575
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397YQ61
3809090.69000000
PA
USD
465134.16000000
0.365658841453
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Floating
4.67600000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2005-1 Trust
05946XPV9
201849.40000000
PA
USD
184503.94000000
0.145045242310
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
5.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
36766.78000000
0.028903699910
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-10344239.32000000
ZAR
670911.87000000
USD
2022-07-29
36766.78000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-48201.37000000
-0.03789284603
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-760043.38000000
USD
96558906.00000000
JPY
2022-07-08
-48201.37000000
N
N
N
DELTA AIRLINES 2015B
N/A
Delta Air Lines 2015-1 Class B Pass Through Trust
24737AAA5
99503.08000000
PA
USD
97289.16000000
0.076482538998
Long
DBT
CORP
US
N
2
2023-07-30
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
29599.15000000
PA
USD
29606.30000000
0.023274586750
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Floating
3.92357000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
8810.60000000
0.006926332369
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-811348.45000000
AUD
568861.06000000
USD
2022-07-08
8810.60000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Euro-OAT
000000000
45.00000000
NC
-109097.38000000
-0.08576540922
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2022-09-08
6641887.87000000
USD
-109097.38000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
93363NAA3
23297.63000000
PA
USD
22366.24000000
0.017582912865
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.01137000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-4370.44000000
-0.00343576147
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-14
0.00000000
USD
0.00000000
USD
310800.00000000
USD
-4370.44000000
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAK7
40000.00000000
PA
USD
34248.21000000
0.026923760642
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-1587.90000000
-0.00124830580
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1367689.94000000
USD
1122158.98000000
GBP
2022-07-08
-1587.90000000
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QO1 Trust
761118RX8
1430530.97000000
PA
USD
82739.34000000
0.065044397528
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Variable
1.37498700
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-912.56000000
-0.00071739652
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-1411293.57000000
CAD
1095487.01000000
USD
2022-07-08
-912.56000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392HMC4
9473.38730000
PA
USD
9440.66000000
0.007421645398
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Floating
2.62357000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
36000.00000000
PA
USD
29611.77000000
0.023278886916
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
Ingevity Corp
5493009UTFC4B5IMGF87
Ingevity Corp
45688C107
18.00000000
NS
USD
1136.52000000
0.000893459612
Long
EC
CORP
US
N
1
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NQ4
267000.00000000
PA
USD
260199.09000000
0.204551946467
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.90000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
6028.79000000
0.004739450585
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1690535.27000000
USD
1619211.59000000
CHF
2022-07-08
6028.79000000
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
95709TAQ3
85000.00000000
PA
USD
66001.73000000
0.051886354951
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.25000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAR1
41000.00000000
PA
USD
36238.84000000
0.028488667119
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
-1604000.00000000
NC
USD
-8523.22000000
-0.00670041252
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
JPY
N/A
USD
2022-08-11
1.00000000
USD
129.50000000
USD
2022-08-11
XXXX
25457.52000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-7621.06000000
-0.00599119181
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-281521.69000000
USD
37153673.00000000
JPY
2022-07-08
-7621.06000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4611.55000000
-0.00362530679
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-170875438.00000000
JPY
1255099.44000000
USD
2022-07-08
-4611.55000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CJ3
17000.00000000
PA
USD
15735.14000000
0.012369964533
Long
DBT
CORP
US
N
2
2052-04-13
Fixed
3.95000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAJ2
143000.00000000
PA
USD
122019.26000000
0.095923767986
Long
DBT
CORP
GB
N
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396X6M1
4546480.50000000
PA
USD
574102.28000000
0.451322634701
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Floating
4.31643000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BX1
16000.00000000
PA
USD
15421.66000000
0.012123526530
Long
DBT
CORP
US
N
2
2052-04-22
Fixed
4.37500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-950.13000000
-0.00074693167
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-616514.87000000
USD
505644.15000000
GBP
2022-07-08
-950.13000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392CPT5
8119.95000000
PA
USD
8788.01000000
0.006908573550
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-PJ1
36263NAD7
192899.93000000
PA
USD
161831.51000000
0.127221622375
Long
ABS-MBS
CORP
US
N
2
2052-05-28
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XUE2
28471.85750000
PA
USD
4310.77000000
0.003388852721
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
4.91643000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
747500.00000000
NC
USD
17031.57000000
0.013389135199
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
JPY
N/A
USD
2025-02-27
1.00000000
USD
107.50000000
USD
2025-02-27
XXXX
-20044.43000000
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PBG8
330000.00000000
PA
USD
289475.80000000
0.227567430559
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
4.09023700
N
N
N
N
N
N
SOUTHWEST GAS CORP
OQQR1IQTGBKH0UR88X59
Southwest Gas Corp
845011AE5
12000.00000000
PA
USD
10902.71000000
0.008571015956
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B36U9
10022270.31000000
PA
USD
1364416.85000000
1.072617596245
Long
ABS-MBS
USGSE
US
N
2
2049-04-25
Floating
4.37643000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDF6
19000.00000000
PA
USD
16458.89000000
0.012938930671
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
3.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-11825.04000000
-0.00929609303
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-06-10
0.00000000
JPY
0.00000000
JPY
90000000.00000000
JPY
-11825.04000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-659.12000000
-0.00051815814
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-43085063.00000000
JPY
316968.32000000
USD
2022-07-08
-659.12000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4BX6
642177.04000000
PA
USD
52840.45000000
0.041539795161
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
4.35643000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
-33.65000000
-0.00002645348
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-569420.85000000
USD
543426.79000000
CHF
2022-07-08
-33.65000000
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAL7
25000.00000000
PA
USD
24778.22000000
0.019479057866
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.40000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T7ZF9
12322.26080000
PA
USD
12875.97000000
0.010122267246
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
7.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
26842.43000000
0.021101808251
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-590234.68000000
GBP
745386.60000000
USD
2022-07-08
26842.43000000
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612KAA0
16000.00000000
PA
USD
16083.23000000
0.012643610713
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.20000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-9233.72000000
-0.00725896235
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-197909.27000000
CHF
198130.01000000
USD
2022-07-08
-9233.72000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDY7
219000.00000000
PA
USD
218639.94000000
0.171880790600
Long
DBT
CORP
US
N
2
2027-03-16
Fixed
4.12500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-GC16
36248GAF7
3651447.71000000
PA
USD
35495.72000000
0.027904473521
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
1.17903800
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
6732.46000000
0.005292631106
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1772686.47000000
USD
2290481.10000000
CAD
2022-07-08
6732.46000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-52434.08000000
-0.04122033295
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1294220.25000000
USD
12701387.97000000
SEK
2022-07-08
-52434.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABHN6
1200911.81000000
PA
USD
176633.47000000
0.138857980248
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Floating
4.47643000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAG4
96000.00000000
PA
USD
86218.80000000
0.067779727293
Long
DBT
CORP
US
N
2
2032-04-05
Fixed
3.90000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAYU8
16179.09080000
PA
USD
3036.11000000
0.002386796242
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-7
12544TAG9
185915.11000000
PA
USD
109533.88000000
0.086108557713
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.75000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RBH9
90000.00000000
PA
USD
88146.90000000
0.069295476667
Long
DBT
CORP
US
N
2
2033-06-13
Fixed
4.28900000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
18559.10000000
0.014589981962
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1020327.73000000
GBP
1260693.07000000
USD
2022-07-08
18559.10000000
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAF6
11000.00000000
PA
USD
10562.94000000
0.008303910430
Long
DBT
CORP
GB
N
2
2062-04-27
Fixed
4.95000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KAJ2
199704.79000000
PA
USD
189141.74000000
0.148691185181
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
27503.73000000
0.021621680178
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-10-27
0.00000000
USD
0.00000000
USD
23590000.00000000
USD
27503.73000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
29640000.00000000
PA
4549217.10000000
3.576304639304
Long
DBT
NUSS
CN
N
2
2028-11-22
Fixed
3.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRV4
119000.00000000
PA
USD
113308.96000000
0.089076285087
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.95000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607HR53
14000.00000000
PA
USD
12723.58000000
0.010002467937
Long
DBT
CORP
CA
N
2
2032-04-07
Fixed
3.60000000
N
N
N
N
N
N
INVEX/CREDITO Y CASA
N/A
Banco Invex SA / Hipotecaria Credito y Casa SA de CV
000000000
1007436.90450000
PA
0.00000000
0.000000
Long
DBT
CORP
MX
N
3
2034-03-13
Fixed
6.45000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
1307000.00000000
NC
USD
-10399.58000000
-0.00817548720
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2062-06-07
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-06-03
XXXX
-10399.59000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395XLV5
6344.10040000
PA
USD
8792.55000000
0.006912142609
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
19.89532300
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1322.60000000
0.001039743853
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-129358.68000000
EUR
136921.42000000
USD
2022-07-08
1322.60000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-21418.94000000
-0.01683820596
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-537363.87000000
USD
826132.05000000
NZD
2022-07-08
-21418.94000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
51362.48000000
0.040377909313
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-03-24
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
51362.48000000
N
N
N
MOSAIC CO
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945CAF0
150000.00000000
PA
USD
150174.67000000
0.118057757460
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBH3
99000.00000000
PA
USD
97393.39000000
0.076564477983
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.25000000
N
N
N
N
N
N
ADVANCED MICRO DEVICES
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903BG1
29000.00000000
PA
USD
28275.71000000
0.022228561668
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
4.39300000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK5
06541WAY8
5840020.94000000
PA
USD
209248.83000000
0.164498098254
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Variable
1.11305500
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGC7
222000.00000000
PA
USD
215956.38000000
0.169771146705
Long
DBT
CORP
US
N
2
2027-11-25
Fixed
4.18300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394V7G9
7893.85560000
PA
USD
10740.89000000
0.008443803382
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
18.61358000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBG4
31000.00000000
PA
USD
22571.13000000
0.017743984329
Long
DBT
CORP
US
N
2
2050-02-24
Fixed
3.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-8945.69000000
-0.00703253152
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-191687.48000000
USD
1869141.74000000
SEK
2022-07-08
-8945.69000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-0.06000000
-0.00000004716
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-12.92000000
CHF
13.48000000
USD
2022-07-08
-0.06000000
N
N
N
Winwater Mortgage Loan Trust
N/A
WinWater Mortgage Loan Trust 2015-5
97654DCC8
101291.82000000
PA
USD
93239.20000000
0.073298718481
Long
ABS-MBS
CORP
US
N
2
2045-08-20
Variable
3.75388200
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2070.91000000
-0.00162801749
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-53162399.00000000
JPY
389847.66000000
USD
2022-07-08
-2070.91000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-45256.12000000
-0.03557747813
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1862784.64000000
USD
1733887.45000000
EUR
2022-07-08
-45256.12000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
248103.79000000
PA
USD
246670.82000000
0.193916882521
Long
ABS-MBS
CORP
US
N
2
2031-07-25
Floating
4.07357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE4G1
14739.26000000
PA
USD
14461.66000000
0.011368835694
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-WF1
17307G4K1
223536.21000000
PA
USD
118028.28000000
0.092786313788
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
4.71369500
N
N
N
N
N
N
MONTREAL EXCHANGE
N/A
MONTREAL EXCHANGE 10 YEAR CANADIAN BOND
000000000
20.00000000
NC
-68380.10000000
-0.05375607791
N/A
DIR
CORP
CA
N
1
MONTREAL EXCHANGE
N/A
Long
CANADIAN GOVERNMENT
Canadian Government Bond
2022-09-20
1994887.25000000
USD
-68380.10000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-8487.67000000
-0.00667246537
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-14
0.00000000
USD
0.00000000
USD
466100.00000000
USD
-8487.67000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBU4
95000.00000000
PA
USD
80421.52000000
0.063222275119
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
38000.00000000
PA
USD
37028.76000000
0.029109651894
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKL2
155000.00000000
PA
USD
134148.99000000
0.105459388890
Long
DBT
CORP
US
N
2
2037-03-08
Fixed
3.84600000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PED0
256000.00000000
PA
USD
221970.16000000
0.174498797385
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAN8
48000.00000000
PA
USD
42924.02000000
0.033744129701
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CL1
22000.00000000
PA
USD
19719.65000000
0.015502332430
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
1.91500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-44461.99000000
-0.03495318372
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-842522.66000000
USD
108254169.00000000
JPY
2022-07-08
-44461.99000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-30808.35000000
-0.02421956187
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-10-27
0.00000000
USD
0.00000000
USD
690000.00000000
USD
-30808.35000000
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAD1
15000.00000000
PA
USD
14444.97000000
0.011355715080
Long
DBT
CORP
GB
N
2
2042-04-27
Fixed
4.62500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
10125.17000000
0.007959763548
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1549201.61000000
CAD
1213662.14000000
USD
2022-07-08
10125.17000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-9034.53000000
-0.00710237186
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-607263.45000000
USD
6118877.61000000
SEK
2022-07-08
-9034.53000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394JMS3
6549.79000000
PA
USD
6585.32000000
0.005176959012
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TD0
174000.00000000
PA
USD
143250.94000000
0.112614762066
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
99019.77000000
0.077843034317
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-10-27
0.00000000
USD
0.00000000
USD
3590000.00000000
USD
99019.77000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5614.84000000
0.004414029469
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1024218.65000000
NZD
645270.96000000
USD
2022-07-08
5614.84000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - SGD
000000000
1.00000000
NC
USD
-3580.36000000
-0.00281465091
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-390168.92000000
USD
537065.68000000
SGD
2022-08-05
-3580.36000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-23606.65000000
-0.01855804417
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-808360.77000000
USD
644621.60000000
GBP
2022-07-08
-23606.65000000
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AK1
38000.00000000
PA
USD
31595.81000000
0.024838612755
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
1.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392UKB9
3665.33460000
PA
USD
3668.12000000
0.002883642236
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
1.82400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9JM1
474588.25000000
PA
USD
67431.59000000
0.053010419782
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1455.88000000
-0.00114452009
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-775417.84000000
EUR
811367.37000000
USD
2022-07-08
-1455.88000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
40000.00000000
PA
USD
37367.77000000
0.029376159957
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DW5
86000.00000000
PA
USD
74407.65000000
0.058494553688
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TJC27
10120.75320000
PA
USD
10117.52000000
0.007953749605
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Floating
1.77400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QS6V5
50604.98000000
PA
USD
51042.65000000
0.040126479344
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TLPZ5
38428.80000000
PA
USD
4405.37000000
0.003463221214
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Floating
7.62600000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BZ8
40000.00000000
PA
USD
34295.21000000
0.026960709047
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
1307000.00000000
NC
USD
-10548.12000000
-0.00829225989
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-06-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-06-14
XXXX
-10548.12000000
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AZ9
209000.00000000
PA
USD
194025.54000000
0.152530517579
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
6.15000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAR5
4000.00000000
PA
USD
3529.69000000
0.002774817390
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
3.87500000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
5 YEAR EURO BOBL
000000000
45.00000000
NC
-12397.73000000
-0.00974630542
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESOBLIGATION
Bundesobligation
2022-09-08
5868943.25000000
USD
-12397.73000000
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KY8
7000000.00000000
PA
USD
139221.25000000
0.109446876532
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Variable
1.84886500
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659BE0
31000.00000000
PA
USD
29777.60000000
0.023409251896
Long
DBT
CORP
US
N
2
2053-05-01
Fixed
4.60000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
USD CALL VERSUS AUD PUT
000000000
3590000.00000000
NC
USD
15380.89000000
0.012091475753
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
USD CALL VERSUS AUD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
AUD
2022-08-18
1.00000000
USD
0.65000000
USD
2022-08-18
XXXX
-10172.73000000
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2020-PJ3
36258WBE1
475682.31000000
PA
USD
419367.71000000
0.329680174385
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.42633100
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAG8
71000.00000000
PA
USD
66658.07000000
0.052402327641
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-12781.58000000
-0.01004806384
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-828776.78000000
USD
110686926.00000000
JPY
2022-07-08
-12781.58000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QS2P2
73695.09000000
PA
USD
74332.00000000
0.058435082477
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-49021.65000000
-0.03853769790
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-10-27
0.00000000
USD
0.00000000
USD
800000.00000000
USD
-49021.65000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-2100.24000000
-0.00165107487
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-612100.53000000
USD
883711.07000000
AUD
2022-07-08
-2100.24000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394RH77
158748.05000000
PA
USD
166863.28000000
0.131177279359
Long
ABS-MBS
USGSE
US
N
2
2034-02-15
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGB4
38000.00000000
PA
USD
30531.51000000
0.024001927904
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAD8
30000.00000000
PA
USD
27193.34000000
0.021377671336
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.60000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAS0
163000.00000000
PA
USD
127969.91000000
0.100601789882
Long
ABS-MBS
CORP
US
N
2
2049-11-27
None
0.00000000
N
N
N
N
N
N
WESTROCK CO
5493004Z9TCQW68YVL89
WESTROCK CO
96145D105
120.00000000
NS
USD
4780.80000000
0.003758360360
Long
EC
CORP
US
N
1
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-53T2
12668AKU8
37028.32000000
PA
USD
19263.31000000
0.015143586996
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.12357000
N
N
N
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC Corp
302491AT2
119000.00000000
PA
USD
113424.69000000
0.089167264639
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
3.20000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond Future
000000000
6.00000000
NC
USD
23612.58000000
0.018562705965
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
808137.42000000
USD
23612.58000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-2207.44000000
-0.00173534868
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-109131.05000000
USD
102003.08000000
EUR
2022-07-08
-2207.44000000
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAN4
200000.00000000
PA
USD
188787.37000000
0.148412602065
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
9835.28000000
0.007731870499
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-358513.97000000
EUR
385643.62000000
USD
2022-07-08
9835.28000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-26422.16000000
-0.02077141875
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1107344.43000000
USD
1031179.17000000
EUR
2022-07-08
-26422.16000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020679
3615000.00000000
PA
USD
3138271.88000000
2.467109403031
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
2.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
605.02000000
0.000475628176
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-824103.17000000
EUR
864462.14000000
USD
2022-07-08
605.02000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377GTD1
828275.18000000
PA
USD
95362.55000000
0.074967960966
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Floating
4.25486000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392BKZ8
6126.69450000
PA
USD
6474.81000000
0.005090083091
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
6.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
15695.14000000
0.012338519082
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-5657605.55000000
SEK
568826.53000000
USD
2022-07-08
15695.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FX34
197786.24000000
PA
USD
241111.77000000
0.189546711596
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Floating
17.88023900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GQH9
43469.51370000
PA
USD
44802.58000000
0.035220933884
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
2.31000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
4760.45000000
0.003742362486
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-514892.47000000
USD
5118031.15000000
NOK
2022-07-08
4760.45000000
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JAX5
6619464.68000000
PA
USD
269815.34000000
0.212111629536
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
1.03036900
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3594.11000000
0.002825460290
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-398171.10000000
CAD
312923.53000000
USD
2022-07-08
3594.11000000
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AV6
63000.00000000
PA
USD
62669.05000000
0.049266414270
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
3.85000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BJ8
16000.00000000
PA
USD
11179.45000000
0.008788571312
Long
DBT
CORP
US
N
2
2055-08-18
Fixed
2.75000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KR1
11000.00000000
PA
USD
10931.86000000
0.008593931829
Long
DBT
CORP
US
N
2
2052-05-15
Fixed
5.12500000
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AU7
11000.00000000
PA
USD
10372.02000000
0.008153821290
Long
DBT
CORP
US
N
2
2052-05-15
Fixed
4.55000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2501.66000000
-0.00196664570
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-864371.39000000
CHF
903162.21000000
USD
2022-07-08
-2501.66000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5122.29000000
0.004026818041
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-382406.16000000
NZD
243946.72000000
USD
2022-07-08
5122.29000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
11467.47000000
0.009014994285
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-14
0.00000000
USD
0.00000000
USD
776900.00000000
USD
11467.47000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
242956.65000000
0.190997038709
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-10-30
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
242956.65000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NRN3
17257.17000000
PA
USD
18177.51000000
0.014290000216
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.00000000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AC7
23000.00000000
PA
USD
23166.62000000
0.018212120626
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.70000000
N
N
N
N
N
N
Deutsche Alt-A Securities INC
5299003GGM6YEXXXJ012
Deutsche ALT-A Securities Inc
25152DAB0
286.53000000
PA
USD
349.44000000
0.000274707464
Long
ABS-MBS
CORP
US
N
2
2037-01-27
Floating
1.52300000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAB2
131000.00000000
PA
USD
101587.77000000
0.079861832302
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX
46637WAE3
782713.22000000
PA
USD
1.17000000
0.000000919779
Long
ABS-MBS
CORP
US
N
3
2045-06-15
Variable
0.55182700
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-31528.32000000
-0.02478555641
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-14
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
-31528.32000000
N
N
N
ENRGY TRANS LP/REG FIN
N/A
Energy Transfer LP / Regency Energy Finance Corp
75886AAJ7
280000.00000000
PA
USD
281521.22000000
0.221314046574
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBE3
12000.00000000
PA
USD
10208.24000000
0.008025067889
Long
DBT
CORP
US
N
2
2062-03-01
Fixed
3.90000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBN3
36000.00000000
PA
USD
34154.52000000
0.026850107533
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-2
61772LBL4
167656.96000000
PA
USD
141277.08000000
0.111063039095
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GRB6
33812.54340000
PA
USD
32952.86000000
0.025905439003
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
2.93268400
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
19273.41000000
0.015151526973
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-87599883.00000000
JPY
665068.60000000
USD
2022-07-08
19273.41000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
1.00000000
NC
USD
-838.79000000
-0.00065940325
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Y
2028-06-19
0.00000000
USD
0.00000000
USD
910000.00000000
USD
-838.79000000
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBN1
156000.00000000
PA
USD
138056.43000000
0.108531169263
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393JC55
12170.31340000
PA
USD
12192.24000000
0.009584762282
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Floating
1.82400000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MBT6
200000.00000000
PA
USD
192775.46000000
0.151547784330
Long
DBT
CORP
JP
N
2
2024-09-27
Fixed
2.44800000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
76.00000000
NC
9549.02000000
0.007506831126
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2022-09-08
8683253.63000000
USD
9549.02000000
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
95709TAH3
55000.00000000
PA
USD
49063.27000000
0.038570416901
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297CRC6
5366.39000000
PA
USD
5640.09000000
0.004433879410
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAW48
16170.20480000
PA
USD
2785.37000000
0.002189680429
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Fixed
5.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-C4
17326FAF4
3010771.34000000
PA
USD
126486.27000000
0.099435446641
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Variable
1.22483600
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BB8
35000.00000000
PA
USD
30124.75000000
0.023682159108
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
3.10000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
38607.83000000
0.030351016121
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-81730660.00000000
JPY
641134.51000000
USD
2022-07-08
38607.83000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-53610.88000000
-0.04214545814
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1281761.11000000
USD
12095979.60000000
NOK
2022-07-08
-53610.88000000
N
N
N
Bank
N/A
BANK 2017-BNK6
060352AX9
900000.00000000
PA
USD
576769.32000000
0.453419291623
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Variable
2.77144500
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDW3
18000.00000000
PA
USD
17672.32000000
0.013892852025
Long
DBT
CORP
US
N
2
2027-04-09
Fixed
5.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-5246.40000000
-0.00412438541
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-331158.34000000
USD
44208827.00000000
JPY
2022-07-08
-5246.40000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HG27
17656.31000000
PA
USD
597.10000000
0.000469401976
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Fixed
7.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2E3
572000.00000000
PA
USD
570724.44000000
0.448667192105
Long
DBT
CORP
FR
N
2
2023-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GXT3
613881.15000000
PA
USD
62848.91000000
0.049407808743
Long
ABS-MBS
USGA
US
N
2
2041-07-16
Floating
5.19071000
N
N
N
N
N
N
US AIRWAYS 2012-1A PTT
N/A
US Airways 2012-1 Class A Pass Through Trust
90345WAA2
62938.75000000
PA
USD
62808.30000000
0.049375883748
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAXJ4
13853.31000000
PA
USD
2599.22000000
0.002043341159
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JRN7
185477.00000000
PA
USD
244460.27000000
0.192179088952
Long
ABS-MBS
USGA
US
N
2
2037-03-20
Floating
16.87640000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4TZ6
3034.09020000
PA
USD
3107.84000000
0.002443185797
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBW0
157000.00000000
PA
USD
146461.71000000
0.115138864872
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.35000000
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
222000.00000000
PA
USD
210628.19000000
0.165582463203
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2006-AR3
39538WHF8
99987.18000000
PA
USD
85744.49000000
0.067406854990
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.04357000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - PLN
000000000
1.00000000
NC
USD
-1454.28000000
-0.00114326227
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-186934.44000000
USD
834300.00000000
PLN
2022-07-29
-1454.28000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - ILS
000000000
1.00000000
NC
USD
-11463.11000000
-0.00901156673
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-238614.99000000
USD
792295.79000000
ILS
2022-07-29
-11463.11000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HS24
9068.48000000
PA
USD
1311.63000000
0.001031119937
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Fixed
7.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-17309.61000000
-0.01360771253
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-691147.84000000
USD
91403825.00000000
JPY
2022-07-08
-17309.61000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335HUK7
51.42330000
PA
USD
51.50000000
0.000040486018
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6431.08000000
0.005055705351
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-621796.75000000
GBP
763398.52000000
USD
2022-07-08
6431.08000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395WA56
29424.45000000
PA
USD
31449.46000000
0.024723561709
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Floating
8.00000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
30000.00000000
PA
30430.74000000
0.023922708951
Long
DBT
NUSS
DE
N
2
2028-02-15
Fixed
0.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-7450.60000000
-0.00585718701
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-916907.28000000
USD
867604.28000000
EUR
2022-07-08
-7450.60000000
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBD5
30000.00000000
PA
USD
25652.15000000
0.020166085952
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
3.70000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
22617.14000000
0.017780154459
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-03-01
0.00000000
USD
0.00000000
USD
4110000.00000000
USD
22617.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DQD5
5969.72000000
PA
USD
513.99000000
0.000404066190
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
5.12643000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-10057.21000000
-0.00790633772
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-505007.51000000
USD
4874736.49000000
NOK
2022-07-08
-10057.21000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
21138.73000000
0.016617922712
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1229180.95000000
CAD
976059.45000000
USD
2022-07-08
21138.73000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAC0
152000.00000000
PA
USD
135189.67000000
0.106277505201
Long
ABS-MBS
CORP
US
N
2
2051-09-27
Fixed
1.75000000
N
N
N
N
N
N
SUN COMMUNITIES OPER LP
549300PUNBPJCGT6X741
Sun Communities Operating LP
866677AH0
46000.00000000
PA
USD
41880.64000000
0.032923890822
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
4.20000000
N
N
N
N
N
N
CBRE SERVICES INC
549300CTE3HOMEUMM603
CBRE Services Inc
12505BAE0
133000.00000000
PA
USD
108345.27000000
0.085174148261
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5592.99000000
0.004396852391
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-558586.70000000
EUR
591125.38000000
USD
2022-07-08
5592.99000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDY5
73000.00000000
PA
USD
56976.03000000
0.044790924666
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TH1
34800.00000000
PA
USD
33973.50000000
0.026707801143
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397BZJ3
491938.20000000
PA
USD
46162.55000000
0.036290055650
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
4.62600000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-6882.80000000
-0.00541081883
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1000717.26000000
USD
1279271.01000000
CAD
2022-07-08
-6882.80000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
73000.00000000
PA
USD
67691.40000000
0.053214665851
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2475.08000000
0.001945750200
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-383603.65000000
NZD
242047.38000000
USD
2022-07-08
2475.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392F7E1
366275.47000000
PA
USD
58604.62000000
0.046071218362
Long
ABS-MBS
USGSE
US
N
2
2032-12-18
Floating
6.40486000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KQD9
10870.37000000
PA
USD
11516.19000000
0.009053294845
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGN8
38000.00000000
PA
USD
31539.89000000
0.024794652013
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTJ8
100000.00000000
PA
USD
93562.03000000
0.073552506859
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
6.17566000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCP9
60000.00000000
PA
USD
52665.89000000
0.041402567210
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
1.47000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300FCX3YXSYSLU895
WFRBS Commercial Mortgage Trust 2014-C19
92938VAW5
7705458.92000000
PA
USD
83465.53000000
0.065615281838
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
1.14210100
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV3
46651HBH9
12160.33000000
PA
USD
12022.54000000
0.009451354954
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBW0
95000.00000000
PA
USD
78737.08000000
0.061898075712
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAG2
49000.00000000
PA
USD
38898.62000000
0.030579616692
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-J4
126694RQ3
31420.83000000
PA
USD
28005.10000000
0.022015825328
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
10 YEAR EURO BUND
000000000
4.00000000
NC
-7388.08000000
-0.00580803777
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-09-08
631046.70000000
USD
-7388.08000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FZ6
50000.00000000
PA
USD
40848.21000000
0.032112260135
Long
DBT
CORP
US
N
2
2053-02-14
Fixed
3.50000000
N
N
N
N
N
N
ARES CLO Ltd
635400KWVNFDFINX3H10
Ares XXVIIIR CLO Ltd
04017QAC9
350000.00000000
PA
USD
338519.30000000
0.266122305546
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
2.44429000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BV7
222000.00000000
PA
USD
222281.35000000
0.174743435136
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25000000
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AS3
64000.00000000
PA
USD
63735.64000000
0.050104899372
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AYLF6
340897.79000000
PA
USD
50577.81000000
0.039761051753
Long
ABS-MBS
USGSE
US
N
2
2043-02-15
Fixed
4.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAZ5
44000.00000000
PA
USD
34465.04000000
0.027094218573
Long
DBT
CORP
US
N
2
2049-08-16
Fixed
3.09500000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DD7
2000.00000000
PA
USD
1798.07000000
0.001413528073
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.10000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
171239AJ5
11000.00000000
PA
USD
7878.62000000
0.006193669072
Long
DBT
CORP
US
N
2
2061-12-15
Fixed
3.05000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
57000.00000000
PA
USD
46708.54000000
0.036719278202
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2015-3
12649XBB4
127966.84000000
PA
USD
124221.76000000
0.097655233158
Long
ABS-MBS
CORP
US
N
2
2045-03-25
Variable
3.84193100
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBB9
48000.00000000
PA
USD
43712.98000000
0.034364359786
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
2.70000000
N
N
N
N
N
N
American Money Management Corp
549300I1YCI83LUUYL82
AMMC CLO 16 Ltd
00176JAX4
500000.00000000
PA
USD
482248.50000000
0.379113045153
Long
ABS-CBDO
CORP
KY
N
2
2029-04-14
Floating
2.98843000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEE8
36000.00000000
PA
USD
29078.29000000
0.022859498930
Long
DBT
CORP
US
N
2
2041-05-15
Fixed
3.05000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCS2
26000.00000000
PA
USD
25771.12000000
0.020259612586
Long
DBT
CORP
US
N
2
2028-05-10
Fixed
4.92700000
N
N
N
N
N
N
RFM FREDDIE V FING 3.75
N/A
RFM FREDDIE V FING 3.75
000000000
600000.00000000
PA
USD
600000.00000000
0.471681772141
Long
ABS-MBS
USGSE
US
N
2
2027-05-27
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGS5
529753.92000000
PA
USD
24619.78000000
0.019354502433
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
4.72600000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-8393.76000000
-0.00659863931
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1430340.31000000
USD
1356509.82000000
EUR
2022-07-08
-8393.76000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-8458.76000000
-0.00664973817
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-06-28
0.00000000
JPY
0.00000000
JPY
82000000.00000000
JPY
-8458.76000000
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
230000.00000000
PA
USD
201514.35000000
0.158417742866
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
197000.00000000
PA
USD
177416.83000000
0.139473807970
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-10606.25000000
-0.00833795799
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-10-18
0.00000000
USD
0.00000000
USD
780000.00000000
USD
-10606.25000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
66000.00000000
PA
USD
54611.37000000
0.042931979634
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.51100000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
46430.65000000
0.036500818789
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1920958.63000000
EUR
2060054.48000000
USD
2022-07-08
46430.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392EQ29
1062.17300000
PA
USD
1080.99000000
0.000849805464
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
2.62357000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
200000.00000000
PA
USD
178312.34000000
0.140177800876
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AP6
51000.00000000
PA
USD
36722.40000000
0.028868811182
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.25000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBG5
75000.00000000
PA
USD
65105.48000000
0.051181780304
Long
ABS-MBS
CORP
US
N
2
2047-10-27
None
0.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
8000.00000000
PA
USD
7669.51000000
0.006029280113
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2011-LC2 Mortgage Trust
23305XAL5
171228.22000000
PA
USD
171038.84000000
0.134459838593
Long
ABS-MBS
CORP
US
N
3
2044-07-10
Floating
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
22664.83000000
0.017817645299
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1109249.73000000
NZD
715425.48000000
USD
2022-07-08
22664.83000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCG4
80000.00000000
PA
USD
60199.41000000
0.047324940651
Long
ABS-MBS
CORP
US
N
2
2050-11-27
Fixed
1.41113000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAF4
46000.00000000
PA
USD
44463.62000000
0.034954465129
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.60000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
SFE 10 YEAR AUSTRALIAN BOND
000000000
4.00000000
NC
6940.95000000
0.005456532660
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2022-09-15
321328.11000000
USD
6940.95000000
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CS6
34000.00000000
PA
USD
28734.79000000
0.022589461115
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.53900000
N
N
N
N
N
MISSISSIPPI POWER CO
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417BZ6
130000.00000000
PA
USD
113605.70000000
0.089309563168
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
53240.27000000
0.041854108171
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-12137749.74000000
SEK
1239920.80000000
USD
2022-07-08
53240.27000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
15006.30000000
0.011796996962
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-46610767.00000000
JPY
358625.58000000
USD
2022-07-08
15006.30000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-13813.90000000
-0.01085960805
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1108907.60000000
CHF
1148068.09000000
USD
2022-07-08
-13813.90000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CM9
26000.00000000
PA
USD
20970.56000000
0.016485718172
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.37500000
N
N
N
N
N
N
Octagon Investment Partners 31
N/A
OCTAGON INVESTMENT PARTNERS 31 LLC
67575XAS0
550000.00000000
PA
USD
520625.60000000
0.409282676050
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
3.11271000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAH9
383480.03000000
PA
USD
380801.42000000
0.299361814365
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
4.72357000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CZ1
33000.00000000
PA
USD
26896.22000000
0.021144094522
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.00000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAN3
18000.00000000
PA
USD
15342.00000000
0.012060902913
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-7773.25000000
-0.00611083389
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-863889.14000000
USD
816718.19000000
EUR
2022-07-08
-7773.25000000
N
N
N
BROOKFIELD FINANCE LLC
549300E643C5WZF8BL44
Brookfield Finance LLC
11271RAB5
61000.00000000
PA
USD
43785.03000000
0.034421000906
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.45000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV3
46591LBH3
44496.27000000
PA
USD
41926.73000000
0.032960123844
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DLW7
9835.00000000
PA
USD
10687.35000000
0.008401713645
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
60454.43000000
0.047525421126
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1967586.30000000
NZD
1289272.73000000
USD
2022-07-08
60454.43000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
28457.99000000
0.022371858591
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-9022704.90000000
NOK
944567.10000000
USD
2022-07-08
28457.99000000
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
-2279.39000000
-0.00179191119
N/A
DFE
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
-298000.00000000
USD
4425100340.00000000
IDR
2022-08-05
-2279.39000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAV1
287000.00000000
PA
USD
270040.50000000
0.212288635983
Long
DBT
CORP
US
N
2
2036-05-14
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393Y5U5
238781.04130000
PA
USD
35355.33000000
0.027794107848
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Floating
5.92643000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
7356.17000000
0.005782952169
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-43915194.00000000
JPY
331103.42000000
USD
2022-07-08
7356.17000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - KRW
000000000
1.00000000
NC
USD
-39616.21000000
-0.03114374023
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1578639.57000000
USD
1982649000.00000000
KRW
2022-08-05
-39616.21000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
24403.21000000
0.019184248897
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-700127.92000000
GBP
876730.01000000
USD
2022-07-08
24403.21000000
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAG6
145000.00000000
PA
USD
133481.50000000
0.104934650780
Long
DBT
CORP
CA
N
2
2037-05-04
Fixed
4.58800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1JS2
4346521.20000000
PA
USD
648979.08000000
0.510186004228
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust
92926UAA9
172146.13000000
PA
USD
161736.26000000
0.127146742893
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
3.19625000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A4
466247RX3
486328.94000000
PA
USD
455467.04000000
0.358059167631
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.25294500
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
55456.82000000
0.043596618558
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1544667.18000000
AUD
1121696.06000000
USD
2022-07-08
55456.82000000
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AM2
37000.00000000
PA
USD
37268.30000000
0.029297962981
Long
DBT
CORP
US
N
2
2052-07-15
Fixed
4.95000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAG2
1183852.90000000
PA
USD
62718.99000000
0.049305673916
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.20185400
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAE9
95000.00000000
PA
USD
87879.58000000
0.069085326715
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.85000000
N
N
N
N
N
N
BBVA SECURITIES INC.
549300RJFN0Z663VE860
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1003.96000000
0.000789249386
N/A
DFE
CORP
US
N
2
BBVA SECURITIES INC.
549300RJFN0Z663VE860
-907334.12000000
CNY
136508.20000000
USD
2022-08-05
1003.96000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
3070500.00000000
NC
USD
-35875.64000000
-0.02820314241
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-05-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-05-25
XXXX
-35875.65000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
8633.58000000
0.006787170523
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-285148.99000000
GBP
355770.33000000
USD
2022-07-08
8633.58000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
26972.79000000
0.021204288977
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-820143.91000000
USD
808493.60000000
CHF
2022-07-08
26972.79000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAY5
1026000.00000000
PA
USD
1032571.60000000
0.811742003584
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.90000000
N
N
N
N
N
N
Galaxy CLO Ltd
549300MJK1HWQWCLYA68
Galaxy XV CLO Ltd
36318WAM2
500000.00000000
PA
USD
471073.50000000
0.370327972147
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
2.89429000
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677AG0
23000.00000000
PA
USD
21188.11000000
0.016656742121
Long
DBT
CORP
US
N
2
2030-04-03
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2044.81000000
-0.00160749934
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-872939.05000000
EUR
913003.98000000
USD
2022-07-08
-2044.81000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
11031.95000000
0.008672616210
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-570232.31000000
AUD
404646.88000000
USD
2022-07-08
11031.95000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
7274.53000000
0.005718772003
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1262400.72000000
CAD
988002.88000000
USD
2022-07-08
7274.53000000
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBC7
48000.00000000
PA
USD
42814.64000000
0.033658142114
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.90000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-848500.00000000
NC
USD
-21221.60000000
-0.01668306982
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2032-07-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.07000000
USD
2022-07-12
XXXX
-12206.29000000
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BL1
140000.00000000
PA
USD
137518.02000000
0.108107905624
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR 2019-HQA3
35564XAH4
212767.89000000
PA
USD
209501.65000000
0.164696849230
Long
ABS-MBS
CORP
US
N
2
2049-09-25
Floating
3.47357000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAS3
6000.00000000
PA
USD
4754.70000000
0.003737842203
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.25000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
8342.52000000
0.006558357696
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-2481940.65000000
CAD
1936501.71000000
USD
2022-07-08
8342.52000000
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TJZ9
40000.00000000
PA
USD
38488.71000000
0.030257371567
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.05000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
17994000.00000000
PA
515077.37000000
0.404921011118
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BS2
47000.00000000
PA
USD
39234.43000000
0.030843609118
Long
DBT
CORP
US
N
2
2031-11-10
Fixed
2.12500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBE5
310000.00000000
PA
USD
280653.63000000
0.220632002593
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Variable
3.66801300
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
74.44000000
0.000058519985
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-821756.00000000
JPY
6132.51000000
USD
2022-07-08
74.44000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
3332.49000000
0.002619791314
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-615954.60000000
USD
591051.56000000
CHF
2022-07-08
3332.49000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
6452000000.00000000
PA
459728.01000000
0.361408870766
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
SINGAPORE EXCHANGE LIMITED
549300IQ650PPXM76X03
10YR MINI JGB
000000000
21.00000000
NC
-6860.36000000
-0.00539317793
N/A
DIR
CORP
SG
N
1
SINGAPORE EXCHANGE LIMITED
549300IQ650PPXM76X03
Long
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2022-09-09
2307604.76000000
USD
-6860.36000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - MYR
000000000
1.00000000
NC
USD
-218.56000000
-0.00017181794
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-439008.88000000
USD
1933000.00000000
MYR
2022-08-05
-218.56000000
N
N
N
FORTIS INC
549300MQYQ9Y065XPR71
Fortis Inc/Canada
349553AM9
177000.00000000
PA
USD
166680.61000000
0.131033675843
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
3.05500000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BJ8
153000.00000000
PA
USD
119242.34000000
0.093740730409
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-9043.44000000
-0.00710937634
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-340893.58000000
USD
272592.09000000
GBP
2022-07-08
-9043.44000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-4753.94000000
-0.00373724473
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-929643.55000000
USD
882327.00000000
EUR
2022-07-08
-4753.94000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
13606.19000000
0.010696319685
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-501685.49000000
EUR
539492.51000000
USD
2022-07-08
13606.19000000
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SWOP IRS USD
000000000
-2545500.00000000
NC
USD
-2562.69000000
-0.00201462360
N/A
DIR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
Put
Written
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
CH
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2032-07-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.07000000
USD
2022-07-12
XXXX
24324.15000000
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
35000.00000000
PA
USD
27282.24000000
0.021447558851
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2002.20000000
-0.00157400207
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-85685100.00000000
JPY
629677.01000000
USD
2022-07-08
-2002.20000000
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6
61761DAS1
1090000.00000000
PA
USD
1058116.63000000
0.831823878617
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
4.73744800
N
N
N
N
N
N
Carlyle Global Market Strategi
549300N3CJKPCWZ7KX23
Carlyle Global Market Strategies CLO 2016-1 Ltd
14312HAU0
500000.00000000
PA
USD
482512.00000000
0.379320192065
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
2.20271000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
42250PAA1
115000.00000000
PA
USD
101637.05000000
0.079900573098
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
7282.98000000
0.005725414854
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-749928.85000000
EUR
793387.68000000
USD
2022-07-08
7282.98000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QH52
233612.58000000
PA
USD
33070.48000000
0.025997904353
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
3.50000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EWE5
47000.00000000
PA
USD
45119.12000000
0.035469777465
Long
DBT
CORP
US
N
2
2029-04-18
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAWW1
1434447.78000000
PA
USD
120205.72000000
0.094498078385
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
4.57643000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBG0
202000.00000000
PA
USD
202563.09000000
0.159242195435
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
9876.18000000
0.007764023473
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-597425.02000000
GBP
737173.78000000
USD
2022-07-08
9876.18000000
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AU5
34000.00000000
PA
USD
26909.61000000
0.021154620887
Long
DBT
CORP
US
N
2
2062-02-15
Fixed
3.87500000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
94000.00000000
PA
USD
91425.43000000
0.071872848068
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395DU31
4120260.49270000
PA
USD
538437.08000000
0.423284926801
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
4.94643000
N
N
N
N
N
N
LSEGA FINANCING PLC
2138009YFYTGEHZNNZ09
LSEGA Financing PLC
50220PAE3
200000.00000000
PA
USD
156811.37000000
0.123275108155
Long
DBT
CORP
GB
N
2
2041-04-06
Fixed
3.20000000
N
N
N
N
N
N
Allegro CLO Ltd
635400THLJMIHHPCEN50
Allegro CLO IV Ltd
01749TAS9
600000.00000000
PA
USD
573154.20000000
0.450577314610
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
3.04429000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DPF1
24046.14500000
PA
USD
25250.78000000
0.019850554430
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
6.50000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAZ3
52000.00000000
PA
USD
45284.31000000
0.035599639318
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
1.57300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392DRP9
9928.30000000
PA
USD
1160.51000000
0.000912319022
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Floating
6.32643000
N
N
N
N
N
N
INTERSTATE POWER & LIGHT
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co
461070AT1
21000.00000000
PA
USD
15438.96000000
0.012137126688
Long
DBT
CORP
US
N
2
2051-11-30
Fixed
3.10000000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trus
N/A
LSTAR Commercial Mortgage Trust 2017-5
54910TBA9
2281666.92000000
PA
USD
50997.42000000
0.040090922400
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
0.94248800
N
N
N
N
N
N
PECO ENERGY CO
YH65D4JBECK76IFEJ279
PECO Energy Co
693304AS6
129000.00000000
PA
USD
117659.06000000
0.092496056548
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.15000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CQ3
13000.00000000
PA
USD
11183.41000000
0.008791684412
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
3.62500000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017BT5
122000.00000000
PA
USD
116554.83000000
0.091627981276
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGK4
66000.00000000
PA
USD
53845.28000000
0.042329728486
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308GZ4
26000.00000000
PA
USD
19567.58000000
0.015382784684
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDF3
59398.87620000
PA
USD
63987.96000000
0.050303257280
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GQY6
7789513.86000000
PA
USD
821553.80000000
0.645853253822
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Floating
4.00486000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAG6
125000.00000000
PA
USD
120825.42000000
0.094985247042
Long
ABS-MBS
CORP
US
N
2
2045-12-27
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F82T9
4080863.59000000
PA
USD
238520.97000000
0.187509989704
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.97314100
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CNY
000000000
1.00000000
NC
USD
-149.30000000
-0.00011737014
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-569595.17000000
USD
3813000.00000000
CNY
2022-08-05
-149.30000000
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAG3
44653.27000000
PA
USD
36053.46000000
0.028342933174
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.05357000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAF8
4000.00000000
PA
USD
3655.18000000
0.002873469633
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0J73
1169570.63000000
PA
USD
125315.98000000
0.098515439206
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
4.32643000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
46000.00000000
PA
USD
39265.83000000
0.030868293798
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
36207.22000000
0.028463809489
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-75923308.00000000
JPY
595921.51000000
USD
2022-07-08
36207.22000000
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
Hess Corp
42809HAD9
100000.00000000
PA
USD
97617.19000000
0.076740415284
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
5.60000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 YEAR US TREASURY NOTE
000000000
-60.00000000
NC
USD
100669.80000000
0.079140182775
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-7212544.80000000
USD
100669.80000000
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AT2
41000.00000000
PA
USD
36047.88000000
0.028338546533
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
2.75000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAX8
620000.00000000
PA
USD
567532.31000000
0.446157742880
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
19155.23000000
0.015058621386
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-23053642.73000000
THB
672159.02000000
USD
2022-08-05
19155.23000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CD9
20000.00000000
PA
USD
18188.23000000
0.014298427597
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3123.41000000
-0.00245542593
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-893432.96000000
TRY
49591.97000000
USD
2022-07-29
-3123.41000000
N
N
N
NOMURA GLOBAL FINANCIAL PRODUCTS INC
0Z3VO5H2G7GRS05BHJ91
SWOP IRS USD
000000000
1050000.00000000
NC
USD
-12268.17000000
-0.00964445361
N/A
DIR
CORP
US
N
2
NOMURA GLOBAL FINANCIAL PRODUCTS INC
0Z3VO5H2G7GRS05BHJ91
Call
Purchased
NOMURA GLOBAL FINANCIAL PRODUCTS INC
0Z3VO5H2G7GRS05BHJ91
NOMURA GLOBAL FINANCIAL PRODUCTS INC
0Z3VO5H2G7GRS05BHJ91
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-05-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-05-25
XXXX
-12268.18000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
88000.00000000
PA
USD
83723.71000000
0.065818246505
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396KV58
37122.50000000
PA
USD
4565.17000000
0.003588845792
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
Floating
5.60643000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A1H97
1123079.64000000
PA
USD
56996.85000000
0.044807292024
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Floating
3.12600000
N
N
N
N
N
N
TRANSNET SOC LTD
378900B07CD6F01EA796
Transnet SOC Ltd
000000000
1000000.00000000
PA
63378.71000000
0.049824303748
Long
DBT
CORP
ZA
N
2
2023-11-06
Fixed
10.80000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
358.16000000
0.000281562572
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-499747.39000000
USD
4925510.28000000
NOK
2022-07-08
358.16000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296UGH8
10602.37000000
PA
USD
11367.57000000
0.008936459270
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
72000.00000000
PA
USD
57608.04000000
0.045287770661
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.89800000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV2
46651AAT9
5809.38000000
PA
USD
5771.31000000
0.004537036213
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDD47
15897186.21000000
PA
USD
2253992.09000000
1.771944972338
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BM0
65000.00000000
PA
USD
52257.76000000
0.041081721408
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.12500000
N
N
N
N
N
N
Marble Point CLO Ltd.
254900N4UCG37B1HFL93
Marble Point CLO XIV Ltd
56608KAN3
250000.00000000
PA
USD
244238.75000000
0.192004944042
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
2.34271000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-193.23000000
-0.00015190511
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-72007.88000000
NZD
44777.91000000
USD
2022-07-08
-193.23000000
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AV5
31000.00000000
PA
USD
30458.57000000
0.023944587124
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.50000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAJ8
9000.00000000
PA
USD
7692.54000000
0.006047384832
Long
DBT
CORP
US
N
2
2042-04-05
Fixed
4.35000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
38000.00000000
PA
USD
27968.92000000
0.021987382917
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
9848.43000000
0.007742208192
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-906223.24000000
EUR
959787.01000000
USD
2022-07-08
9848.43000000
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAC1
200000.00000000
PA
USD
193169.02000000
0.151857176127
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-9770.64000000
-0.00768105465
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-910847.07000000
USD
1305394.82000000
AUD
2022-07-08
-9770.64000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDD8
92000.00000000
PA
USD
82214.74000000
0.064631990432
Long
DBT
CORP
US
N
2
N/A
Fixed
4.65000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
USD CALL VERSUS AUD PUT
000000000
1682000.00000000
NC
USD
5016.31000000
0.003943503317
N/A
DFE
CORP
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
Call
Purchased
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
USD CALL VERSUS AUD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
AUD
2022-08-18
1.00000000
USD
0.64000000
USD
2022-08-18
XXXX
-7309.60000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-12358.33000000
-0.00971533165
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-779040.16000000
CHF
803897.89000000
USD
2022-07-08
-12358.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392BP83
30151.39000000
PA
USD
4713.95000000
0.003705807149
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
6.12643000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-45307.47000000
-0.03561784623
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1142871.23000000
USD
1590047.20000000
AUD
2022-07-08
-45307.47000000
N
N
N
ESSENTIAL UTILITIES INC
549300ILTEOF3E3QY357
Essential Utilities Inc
29670GAD4
100000.00000000
PA
USD
87113.77000000
0.068483295685
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70400000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAW4
87000.00000000
PA
USD
86911.46000000
0.068324252453
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.60000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
10000.00000000
PA
10669.80000000
0.008387916953
Long
DBT
NUSS
DE
N
2
2023-08-15
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-13657.30000000
-0.01073649911
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-01-07
0.00000000
USD
0.00000000
USD
584000.00000000
USD
-13657.30000000
N
N
N
Citimortgage Alternative Loan
N/A
CitiMortgage Alternative Loan Trust Series 2006-A3
17309KAG2
174175.12000000
PA
USD
156650.94000000
0.123148988311
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CA2
131000.00000000
PA
USD
105019.45000000
0.082559600475
Long
DBT
CORP
US
N
2
2041-05-12
Fixed
2.87500000
N
N
N
N
N
N
SANTOS FINANCE LTD
213800BKUBSWG53XNS94
Santos Finance Ltd
803014AA7
160000.00000000
PA
USD
135885.81000000
0.106824766116
Long
DBT
CORP
AU
N
2
2031-04-29
Fixed
3.64900000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761J3R8
191000.00000000
PA
USD
182572.33000000
0.143526733597
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.12500000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAA6
22000.00000000
PA
USD
20325.59000000
0.015978683851
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.20000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
469000.00000000
PA
USD
482590.01000000
0.379381518557
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84J9
2109000.00000000
PA
USD
164496.20000000
0.129316431877
Long
ABS-MBS
USGSE
US
N
2
2029-12-25
Fixed
1.36401000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2099.82000000
0.001650744697
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-509853.99000000
RON
109720.23000000
USD
2022-07-29
2099.82000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-55305.13000000
-0.04347736954
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1275507.56000000
USD
165516239.00000000
JPY
2022-07-08
-55305.13000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - DKK
000000000
1.00000000
NC
USD
659.81000000
0.000518700583
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-291769.48000000
USD
2074953.94000000
DKK
2022-07-08
659.81000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2782.12000000
-0.00218712548
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-954078.74000000
CHF
996874.57000000
USD
2022-07-08
-2782.12000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-8306.37000000
-0.00652993886
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-564814.93000000
USD
5692148.38000000
SEK
2022-07-08
-8306.37000000
N
N
N
PUGET SOUND ENERGY INC
8MNFJR7KOMBQ7X62LK44
Puget Sound Energy Inc
745332CJ3
34000.00000000
PA
USD
26088.05000000
0.020508762759
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
322000.00000000
PA
USD
286384.89000000
0.225137554049
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
28056.22000000
0.022056012615
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1007006.40000000
AUD
723163.72000000
USD
2022-07-08
28056.22000000
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
3875000.00000000
NS
USD
3875000.00000000
3.046278111744
Long
STIV
RF
US
N
1
N
N
N
NESTLE HOLDINGS INC
549300EAEU8YV8MQXP30
Nestle Holdings Inc
641062AW4
150000.00000000
PA
USD
131539.78000000
0.103408194229
Long
DBT
CORP
US
N
2
2028-09-14
Fixed
1.50000000
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48126HAA8
478000.00000000
PA
USD
449305.66000000
0.353215483236
Long
DBT
CORP
US
N
2
N/A
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DBG4
15143.75000000
PA
USD
21173.83000000
0.016645516095
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Floating
21.01629300
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - TRY
000000000
1.00000000
NC
USD
-201.55000000
-0.00015844576
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-48820.17000000
USD
824000.00000000
TRY
2022-07-29
-201.55000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-19674.44000000
-0.01546679120
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-321715.99000000
USD
40970892.00000000
JPY
2022-07-08
-19674.44000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4306.53000000
-0.00338551950
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1192286.83000000
CAD
921952.05000000
USD
2022-07-08
-4306.53000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GBB0
30345.31670000
PA
USD
29320.83000000
0.023050168425
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
2.80825000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAN3
33000.00000000
PA
USD
32735.21000000
0.025734336440
Long
DBT
CORP
US
N
2
2062-06-01
Fixed
5.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
133832.40000000
0.105210506003
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-01-24
0.00000000
USD
0.00000000
USD
2000000.00000000
USD
133832.40000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GT4
27000.00000000
PA
USD
20691.06000000
0.016265993080
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393T4V5
2001.26680000
PA
USD
1997.94000000
0.001570653133
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
2.02357000
N
N
N
N
N
N
MIZUHO BANK LTD
RB0PEZSDGCO3JS6CEU02
Mizuho Bank Ltd
60688XAU4
200000.00000000
PA
USD
195260.69000000
0.153501513814
Long
DBT
CORP
JP
N
2
2025-03-26
Fixed
3.20000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEWE5
32672.30000000
PA
USD
32057.11000000
0.025201257424
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
203000.00000000
PA
USD
180401.86000000
0.141820448370
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
8757.54000000
0.006884619977
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-550203.58000000
USD
533476.07000000
CHF
2022-07-08
8757.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LMM9
102398.69000000
PA
USD
158382.00000000
0.124509837392
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
25.33215000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3000.10000000
-0.00235848747
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-803574.40000000
EUR
839337.96000000
USD
2022-07-08
-3000.10000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
38034.27000000
0.029900119792
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1915198.85000000
NZD
1234134.99000000
USD
2022-07-08
38034.27000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAF9
41000.00000000
PA
USD
38053.31000000
0.029915087827
Long
DBT
CORP
NO
N
2
2030-04-06
Fixed
3.12500000
N
N
N
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC Technology Co
23355LAM8
38000.00000000
PA
USD
32736.52000000
0.025735366278
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
2.37500000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
16000.00000000
PA
USD
12237.75000000
0.009620539345
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.26800000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-54652.25000000
-0.04296411688
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1223845.87000000
USD
11958888.00000000
SEK
2022-07-08
-54652.25000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAFG5
2854693.44000000
PA
USD
128490.89000000
0.101011351165
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Fixed
3.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-19248.06000000
-0.01513159841
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-1057825.36000000
USD
10622902.29000000
SEK
2022-07-08
-19248.06000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3337.80000000
-0.00262396569
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-86789235.00000000
JPY
636481.21000000
USD
2022-07-08
-3337.80000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEP2
932500.00000000
PA
USD
922155.08000000
0.724939570538
Long
DBT
UST
US
N
2
2032-05-15
Fixed
2.87500000
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2H5
240000.00000000
PA
USD
228747.15000000
0.179826435140
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
2.40600000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CB6
234000.00000000
PA
USD
231084.33000000
0.181663777147
Long
DBT
CORP
NL
N
2
2028-11-13
Fixed
3.87500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-7764.19000000
-0.00610371149
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1952572.84000000
USD
2503371.96000000
CAD
2022-07-08
-7764.19000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABL8
96000.00000000
PA
USD
71743.75000000
0.056400365233
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCH6
48000.00000000
PA
USD
42138.76000000
0.033126808321
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
1.87800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392EXR6
2277.06680000
PA
USD
2278.91000000
0.001791533845
Long
ABS-MBS
USGSE
US
N
2
2032-10-18
Floating
2.09514000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163AAF0
2981736.22000000
PA
USD
266984.96000000
0.209886565113
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
1.91597800
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - HKD
000000000
1.00000000
NC
USD
-29.95000000
-0.00002354478
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-48437.44000000
USD
379428.96000000
HKD
2022-08-05
-29.95000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HL4
16000.00000000
PA
USD
11658.95000000
0.009165523662
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
66000.00000000
PA
USD
63407.66000000
0.049847062393
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
Nucor Corp
670346AY1
22000.00000000
PA
USD
21938.03000000
0.017246281446
Long
DBT
CORP
US
N
2
2027-05-23
Fixed
4.30000000
N
N
N
N
N
N
JP MORGAN (SU CASITA)
N/A
JP Morgan / Hipotecaria su Casita
000000000
25098.31000000
PA
1213.07000000
0.000953638345
Long
ABS-MBS
CORP
MX
N
3
2035-09-25
Fixed
6.10000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
12880000.00000000
PA
1985700.63000000
1.561031320166
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEWZ6
728637.48000000
PA
USD
72268.38000000
0.056812795913
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
3.00000000
N
N
N
N
N
N
ALBEMARLE CORP
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp
012653AE1
11000.00000000
PA
USD
10756.47000000
0.008456051385
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.05000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114TZT2
29000.00000000
PA
USD
27157.50000000
0.021349496211
Long
DBT
CORP
CA
N
2
2027-03-10
Fixed
2.80000000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HA4
50000.00000000
PA
USD
46426.00000000
0.036497163255
Long
DBT
CORP
US
N
2
2054-08-01
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
2150.69000000
0.001690735450
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-06-20
0.00000000
JPY
0.00000000
JPY
50000000.00000000
JPY
2150.69000000
N
N
N
TAKE-TWO INTERACTIVE SOF
BOMSTHHJK882EWYX3334
Take-Two Interactive Software Inc
874054AH2
25000.00000000
PA
USD
23496.86000000
0.018471734274
Long
DBT
CORP
US
N
2
2032-04-14
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359VVE0
3779.31270000
PA
USD
3939.23000000
0.003096771645
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Fixed
6.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUXL 30Y BND
000000000
2.00000000
NC
-14162.77000000
-0.01113386742
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-09-08
356969.61000000
USD
-14162.77000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
1862.71000000
0.001464343922
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-06-10
0.00000000
JPY
0.00000000
JPY
260000000.00000000
JPY
1862.71000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
49742.38000000
0.039104289914
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-11857009.31000000
NOK
1253629.06000000
USD
2022-07-08
49742.38000000
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CV9
17000.00000000
PA
USD
12325.07000000
0.009689184765
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.13200000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-2199.28000000
-0.00172893381
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-573701.77000000
USD
11561945.00000000
MXN
2022-08-05
-2199.28000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
14098.68000000
0.011083483945
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-11167778.02000000
SEK
1105947.25000000
USD
2022-07-08
14098.68000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
500000.00000000
PA
USD
449900.25000000
0.353682912011
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
2.77566000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBC9
410000.00000000
PA
USD
377322.02000000
0.296626531769
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Variable
3.66801300
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
18970.09000000
0.014913076114
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-5701683.80000000
SEK
576410.91000000
USD
2022-07-08
18970.09000000
N
N
N
BBCCRE Trust
N/A
BBCCRE Trust 2015-GTP
05490TAN2
8020000.00000000
PA
USD
141180.87000000
0.110987404923
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
0.74868700
N
N
N
N
N
N
Carlyle Global Market Strategi
549300VC6J79YJCFU884
Carlyle US Clo 2017-2 Ltd
14315JAS8
250000.00000000
PA
USD
239586.25000000
0.188347444967
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
2.46271000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAK0
29000.00000000
PA
USD
24351.58000000
0.019143660681
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CQ1
286000.00000000
PA
USD
272370.24000000
0.214120129136
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.20000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EJ2
34000.00000000
PA
USD
29520.41000000
0.023207065505
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAL0
73000.00000000
PA
USD
62019.35000000
0.048755661525
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
3.96400000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CF4
19000.00000000
PA
USD
16050.25000000
0.012617683938
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.62500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L5
61691YAP6
1706487.09810000
PA
USD
135274.43000000
0.106344138112
Long
ABS-MBS
CORP
US
N
2
2054-05-15
Variable
1.42155000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6135.25000000
0.004823142654
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-5176877.68000000
MXN
262026.32000000
USD
2022-08-05
6135.25000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS GBP
000000000
1.00000000
NC
-12945.92000000
-0.01017725747
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Y
2023-04-21
0.00000000
GBP
0.00000000
GBP
3000000.00000000
GBP
-12945.92000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
13594.39000000
0.010687043277
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-57188052.00000000
JPY
435190.49000000
USD
2022-07-08
13594.39000000
N
N
N
OCP CLO Ltd
254900NXH68CRC058O44
OCP CLO 2014-5 Ltd
67102SAQ7
500000.00000000
PA
USD
464652.00000000
0.365279797981
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
3.01371000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398KC65
7041935.52000000
PA
USD
917631.80000000
0.721383655995
Long
ABS-MBS
USGSE
US
N
2
2039-10-15
Floating
4.82600000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2987.91000000
-0.00234890447
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-828321.84000000
CHF
864904.26000000
USD
2022-07-08
-2987.91000000
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087H72
575000.00000000
PA
347899.12000000
0.273496122413
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAK1
77000.00000000
PA
USD
72208.98000000
0.056766099418
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAC9
133000.00000000
PA
USD
107648.09000000
0.084626069764
Long
DBT
CORP
BM
N
2
2031-06-15
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HS97
1357.37960000
PA
USD
1457.83000000
0.001146053063
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
REXFORD INDUSTRIAL REALT
549300028US163ELJN70
Rexford Industrial Realty LP
76169XAB0
13000.00000000
PA
USD
10233.84000000
0.008045192978
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
2.15000000
N
N
N
N
N
N
AMCOR FLEXIBLES NORTH AM
PTVU09TE3QPJPL7K4E13
Amcor Flexibles North America Inc
02343JAA8
37000.00000000
PA
USD
36631.73000000
0.028797532204
Long
DBT
CORP
US
N
2
2025-05-17
Fixed
4.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341RW1
8784.30640000
PA
USD
8637.23000000
0.006790039921
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.93278600
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAL3
26000.00000000
PA
USD
21735.61000000
0.017087151738
Long
DBT
CORP
US
N
2
2052-04-05
Fixed
4.40000000
N
N
N
N
N
N
Sound Point CLO LTD
549300YVZ0M0XDDYS744
Sound Point Clo XV Ltd
83609RAQ4
400000.00000000
PA
USD
385414.80000000
0.302988559789
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
3.23400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A3ZG9
267069.84000000
PA
USD
36375.18000000
0.028595848940
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
4.82643000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCJ7
32000.00000000
PA
USD
32813.60000000
0.025795961663
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NTP9
248774.22000000
PA
USD
402522.21000000
0.316437315564
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
19.69145000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FTBB2
6251190.44000000
PA
USD
1319513.16000000
1.037317176120
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2307.88000000
0.001814308213
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-7721050.23000000
MYR
1754983.57000000
USD
2022-08-05
2307.88000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-15008.68000000
-0.01179886796
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-678956.73000000
USD
961865.52000000
AUD
2022-07-08
-15008.68000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LU98
4131.63000000
PA
USD
4293.51000000
0.003375284009
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
-3910.00000000
-0.00307379288
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-505308.41000000
USD
7502819331.00000000
IDR
2022-08-05
-3910.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339DYV4
2434.04000000
PA
USD
2477.51000000
0.001947660512
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
2.27400000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAL7
32000.00000000
PA
USD
28630.39000000
0.022507388487
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS GBP
000000000
1.00000000
NC
-133262.60000000
-0.10476256554
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Y
2052-04-14
0.00000000
GBP
0.00000000
GBP
1000000.00000000
GBP
-133262.60000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
32205.66000000
0.025318037969
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-940449.57000000
USD
928308.37000000
CHF
2022-07-08
32205.66000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAU5
113000.00000000
PA
USD
83969.77000000
0.066011683199
Long
ABS-MBS
CORP
US
N
2
2049-11-27
None
0.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCQ5
55000.00000000
PA
USD
52780.80000000
0.041492902131
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-5336.97000000
-0.00419558577
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-955261.90000000
USD
1222750.33000000
CAD
2022-07-08
-5336.97000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
103000.00000000
PA
USD
85681.05000000
0.067356982504
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-4820.54000000
-0.00378960141
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-582535.66000000
USD
925038.60000000
NZD
2022-07-08
-4820.54000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-58046.41000000
-0.04563238922
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1222765.50000000
USD
11471250.06000000
NOK
2022-07-08
-58046.41000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-30852.94000000
-0.02425461569
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-749986.88000000
CHF
754962.08000000
USD
2022-07-08
-30852.94000000
N
N
N
ADVANCED MICRO DEVICES
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903BF3
51000.00000000
PA
USD
50246.07000000
0.039500258901
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
3.92400000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 YEAR US TREASURY NOTE
000000000
-3.00000000
NC
USD
-5982.29000000
-0.00470289524
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
-624064.59000000
USD
-5982.29000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
124000.00000000
PA
USD
126277.28000000
0.099271152019
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSYY8
36331.22000000
PA
USD
36645.10000000
0.028808042847
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300YJIXJB9DCDOI21
COMM 2013-CCRE10 Mortgage Trust
12626BAY0
110000.00000000
PA
USD
103209.93000000
0.081137071141
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
5.06282000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBV1
29000.00000000
PA
USD
27565.74000000
0.021670428489
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.65000000
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
342000.00000000
PA
USD
287419.84000000
0.225951165799
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAQ9
129000.00000000
PA
USD
109781.85000000
0.086303495928
Long
ABS-MBS
CORP
US
N
2
2051-09-27
Fixed
1.05000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EL0
34000.00000000
PA
USD
24723.42000000
0.019435977598
Long
DBT
CORP
US
N
2
2061-08-05
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJYD6
53161.86000000
PA
USD
53610.40000000
0.042145080795
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Octagon Investment Partners 32
N/A
Octagon Investment Partners 32 Ltd
67578BAC0
350000.00000000
PA
USD
337720.25000000
0.265494143346
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
2.24429000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CH7
45000.00000000
PA
USD
43377.38000000
0.034100532448
Long
DBT
CORP
US
N
2
2032-04-13
Fixed
3.60000000
N
N
N
N
N
AMER AIRLINE 21-1A EETC
N/A
American Airlines 2021-1 Class A Pass Through Trust
02379KAA2
203000.00000000
PA
USD
173501.34000000
0.136395699200
Long
DBT
CORP
US
N
2
2034-07-11
Fixed
2.87500000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
77000.00000000
PA
USD
68752.97000000
0.054049204549
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EW9
22000.00000000
PA
USD
19216.34000000
0.015106662175
Long
DBT
CORP
AU
N
2
2028-11-20
Fixed
1.95300000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAR0
38000.00000000
PA
USD
36589.63000000
0.028764435867
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
10806.17000000
0.008495122359
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-228521350.00000000
JPY
1695488.64000000
USD
2022-07-08
10806.17000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCD6
55000.00000000
PA
USD
42811.18000000
0.033655422083
Long
DBT
CORP
US
N
2
2042-04-22
Fixed
3.15700000
N
N
N
N
N
N
ALLEGHANY CORP
549300DCJE6AYX159479
Alleghany Corp
017175AF7
6000.00000000
PA
USD
4372.02000000
0.003437003569
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
3.25000000
N
N
N
N
N
N
PARTNERRE FINANCE B LLC
549300O0FAGHK2F79881
PartnerRe Finance B LLC
70213BAC5
96000.00000000
PA
USD
80286.83000000
0.063116390423
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-16834.46000000
-0.01323417987
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-405019.30000000
USD
3970479.25000000
SEK
2022-07-08
-16834.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C5V9
19944.51000000
PA
USD
21530.12000000
0.016925608593
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
7.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCS8
92000.00000000
PA
USD
59059.97000000
0.046429185520
Long
ABS-MBS
CORP
US
N
2
2052-01-27
None
0.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAS5
129000.00000000
PA
USD
101978.18000000
0.080168747770
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-1690.74000000
-0.00132915206
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-836799.16000000
USD
113279569.00000000
JPY
2022-07-08
-1690.74000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392R6E6
4508.56170000
PA
USD
4588.52000000
0.003607202075
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
2.32400000
N
N
N
N
N
N
FORTUNE BRANDS HOME & SE
54930032LHW54PQUJD44
Fortune Brands Home & Security Inc
34964CAF3
19000.00000000
PA
USD
16825.91000000
0.013227458411
Long
DBT
CORP
US
N
2
2032-03-25
Fixed
4.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CJ7
103000.00000000
PA
USD
81480.69000000
0.064054927090
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
3.20000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-3470.67000000
-0.00272841962
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-569314.56000000
USD
5572963.30000000
NOK
2022-07-08
-3470.67000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
-136.00000000
NC
USD
-342777.12000000
-0.26946953235
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
-14923222.88000000
USD
-342777.12000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
312000.00000000
PA
USD
294598.65000000
0.231594688837
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBU8
222000.00000000
PA
USD
202662.58000000
0.159320408135
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAN8
19000.00000000
PA
USD
13196.23000000
0.010374035253
Long
DBT
CORP
N/A
N
2
2051-11-30
Fixed
3.25000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
40000.00000000
PA
USD
33924.29000000
0.026669115376
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC42
36257UAN7
5119879.89000000
PA
USD
220875.20000000
0.173638009596
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Variable
0.93168900
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CP2
52000.00000000
PA
USD
45583.01000000
0.035834458227
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
2.27200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T3Q27
3946.97520000
PA
USD
4014.47000000
0.003155920539
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Fixed
6.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-24598.64000000
-0.01933788351
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-771704.83000000
USD
613696.41000000
GBP
2022-07-08
-24598.64000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-17
12669G5U1
19275.98000000
PA
USD
18426.74000000
0.014485928963
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Fixed
5.50000000
N
N
N
N
N
N
AMERICAN MEDIA OP R/B/R
N/A
AMERICAN MEDIA OP R/B/R
000000000
2149.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
31395.66000000
0.024681267577
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-97539711.00000000
JPY
750468.26000000
USD
2022-07-08
31395.66000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
189000.00000000
PA
USD
187187.62000000
0.147154980540
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK16
065405AJ1
964570.06000000
PA
USD
46357.96000000
0.036443674542
Long
ABS-MBS
CORP
US
N
2
2052-02-15
Variable
1.10265500
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-4114.28000000
-0.00323438480
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-559419.75000000
USD
889156.22000000
NZD
2022-07-08
-4114.28000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
72000.00000000
PA
USD
59461.16000000
0.046744575537
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
AGL CLO Ltd.
549300G9RL3BICT9HA62
AGL CLO 11 Ltd
00851TAC0
700000.00000000
PA
USD
663225.50000000
0.521385631948
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
2.39429000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAH6
150000.00000000
PA
USD
133884.34000000
0.105251337921
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
27964.06000000
0.021983562295
N/A
DFE
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
-11336669763.22000000
IDR
785571.03000000
USD
2022-08-05
27964.06000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1610.85000000
0.001266347637
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-217075.84000000
EUR
229158.22000000
USD
2022-07-08
1610.85000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCQ2
176000.00000000
PA
USD
120646.59000000
0.094844662289
Long
ABS-MBS
CORP
US
N
2
2052-01-27
None
0.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBY1
171000.00000000
PA
USD
136942.46000000
0.107655437023
Long
ABS-MBS
CORP
US
N
2
2051-09-27
Fixed
2.43000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-2822.56000000
-0.00221891683
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-95769.88000000
USD
12607982.00000000
JPY
2022-07-08
-2822.56000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-40784.09000000
-0.03206185307
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-678204.14000000
USD
86463825.00000000
JPY
2022-07-08
-40784.09000000
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BA3
36000.00000000
PA
USD
34196.90000000
0.026883423989
Long
DBT
CORP
US
N
2
2035-08-15
Fixed
5.70000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ3
36257QAA4
12083.00000000
PA
USD
11820.17000000
0.009292264554
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CET4
190000.00000000
PA
USD
186430.08000000
0.146559450858
Long
DBT
UST
US
N
2
2027-05-31
Fixed
2.62500000
N
N
N
N
N
N
DTE ELECTRIC CO
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAD8
83000.00000000
PA
USD
77546.76000000
0.060962321967
Long
DBT
CORP
US
N
2
2044-07-01
Fixed
4.30000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-14839.07000000
-0.01166553139
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-932971.20000000
CHF
962701.74000000
USD
2022-07-08
-14839.07000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WFG8
2015591.38000000
PA
USD
1853053.18000000
1.456752346356
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-2292.23000000
-0.00180200518
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-558286.02000000
USD
805471.54000000
AUD
2022-07-08
-2292.23000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-16345.22000000
-0.01284957055
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-728582.35000000
USD
1031822.20000000
AUD
2022-07-08
-16345.22000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2407.43000000
0.001892568081
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1219612.44000000
CAD
949894.61000000
USD
2022-07-08
2407.43000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAE6
159000.00000000
PA
USD
131291.73000000
0.103213193123
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
17914.67000000
0.014083372154
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-43211025.00000000
JPY
336470.71000000
USD
2022-07-08
17914.67000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-17161.47000000
-0.01349125430
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-709885.73000000
USD
93965650.00000000
JPY
2022-07-08
-17161.47000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1.04000000
USD
0.99000000
CHF
2022-07-08
0.00000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-284683.39000000
-0.22379994315
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-12-20
0.00000000
EUR
0.00000000
EUR
700000.00000000
EUR
-284683.39000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-22219.44000000
-0.01746750805
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-939978.22000000
USD
1181345.83000000
CAD
2022-07-08
-22219.44000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDF0
136000.00000000
PA
USD
133637.69000000
0.105057437406
Long
DBT
CORP
US
N
2
2030-06-14
Fixed
4.56500000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
45000.00000000
PA
USD
44263.70000000
0.034797300762
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030674
2805000.00000000
PA
USD
2645246.50000000
2.079524261450
Long
ABS-MBS
USGA
US
N
2
2052-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AWMC6
570556.30000000
PA
USD
50423.88000000
0.039640041794
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
Floating
4.92600000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-18695.56000000
-0.01469725811
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-877528.56000000
USD
819310.26000000
EUR
2022-07-08
-18695.56000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-255844.14000000
-0.20112836224
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-06-25
0.00000000
USD
0.00000000
USD
3950000.00000000
USD
-255844.14000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
23.00000000
NC
-112220.60000000
-0.08822068579
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UK TSY 4 1/4% 2032
United Kingdom Gilt
2022-09-28
3303421.95000000
USD
-112220.60000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1721.12000000
0.001353034886
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2565329.10000000
SEK
252527.58000000
USD
2022-07-08
1721.12000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-9140.49000000
-0.00718567086
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-273300.46000000
USD
422973.47000000
NZD
2022-07-08
-9140.49000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-5134.20000000
-0.00403618092
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-577260.87000000
USD
828843.33000000
AUD
2022-07-08
-5134.20000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
4309.83000000
0.003388113753
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-14
0.00000000
USD
0.00000000
USD
776900.00000000
USD
4309.83000000
N
N
N
SFO Commerical Mortgage Trust
N/A
SFO Commercial Mortgage Trust 2021-555
78432WAE3
700000.00000000
PA
USD
660337.93000000
0.519115608390
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
3.12400000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
99000.00000000
PA
USD
110848.37000000
0.087141926000
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBN1
90000.00000000
PA
USD
80885.50000000
0.063587026634
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.61000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAA83
13106.62000000
PA
USD
2526.12000000
0.001985874597
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
6.00000000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAE9
25000.00000000
PA
USD
24196.20000000
0.019021510825
Long
DBT
CORP
GB
N
2
2052-04-27
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AVDL8
476758.59000000
PA
USD
45365.58000000
0.035663528614
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TDBM7
3686.77000000
PA
USD
510.96000000
0.000401684197
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
43651.35000000
0.034315910207
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1640290.79000000
EUR
1763068.20000000
USD
2022-07-08
43651.35000000
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09261BAF7
64000.00000000
PA
USD
43726.99000000
0.034375373555
Long
DBT
CORP
US
N
2
2051-08-05
Fixed
2.85000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C11
92937EAN4
550000.00000000
PA
USD
486227.89000000
0.382241388032
Long
ABS-MBS
CORP
US
N
2
2045-03-15
Variable
4.37067800
N
N
N
N
N
N
RBC CAPITAL MARKETS, LLC
549300LCO2FLSSVFFR64
RBC DOMINION SECURITIES INC
000000000
604414.00000000
PA
USD
604414.00000000
0.475151777711
Long
RA
CORP
US
N
2
Repurchase
Y
1.55000000
2022-07-01
1131179.06679401
USD
548497.60844735
USD
AMBS
113096.77914626
USD
68004.67786810
USD
UST
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
21605.90000000
0.016985182001
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-06-20
0.00000000
JPY
0.00000000
JPY
2000000000.00000000
JPY
21605.90000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
29000.00000000
PA
USD
23463.90000000
0.018445823222
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.29900000
N
N
N
N
N
N
Babson CLO Ltd
549300QO1I8V07FLPQ13
Barings Clo Ltd 2019-IV
06761VAJ6
500000.00000000
PA
USD
489006.00000000
0.384425361112
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
3.84429000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-206377.83000000
-0.16224110097
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-12-14
0.00000000
EUR
0.00000000
EUR
500000.00000000
EUR
-206377.83000000
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CK4
22000.00000000
PA
USD
16838.43000000
0.013237300837
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.40000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3561.20000000
0.002799588544
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1050310.19000000
AUD
728560.06000000
USD
2022-07-08
3561.20000000
N
N
N
Bluemountain CLO Ltd
549300KGXMRFX2DKIX03
BlueMountain CLO 2013-2 Ltd
09626YAU4
412500.00000000
PA
USD
390306.68000000
0.306834244168
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
3.08629000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
-13168.26000000
-0.01035204702
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-570300.63000000
USD
9088000.00000000
ZAR
2022-07-29
-13168.26000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YES0
126000.00000000
PA
USD
122152.28000000
0.096028339835
Long
DBT
CORP
US
N
2
2037-04-20
Fixed
5.29700000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAF4
17000.00000000
PA
USD
13729.86000000
0.010793541160
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.30000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150BA1
22000.00000000
PA
USD
21955.82000000
0.017260266810
Long
DBT
CORP
US
N
2
2033-05-17
Fixed
5.02300000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-3868.74000000
-0.00304135689
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-914538.92000000
USD
868761.94000000
EUR
2022-07-08
-3868.74000000
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CC3
20000.00000000
PA
USD
18312.35000000
0.014396002833
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
N
SALESFORCE INC
RCGZFPDMRW58VJ54VR07
Salesforce Inc
79466LAK0
103000.00000000
PA
USD
79799.39000000
0.062733196151
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
2.70000000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AZ8
56000.00000000
PA
USD
52180.88000000
0.041021283250
Long
DBT
CORP
CA
N
2
2043-02-01
Fixed
5.40000000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AN0
24000.00000000
PA
USD
24777.86000000
0.019478774857
Long
DBT
CORP
US
N
2
2062-07-15
Fixed
5.25000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
45899.37000000
0.036083160302
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-26509121.40000000
USD
25332981.98000000
EUR
2022-07-08
45899.37000000
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-C2
17291CBX2
7900000.00000000
PA
USD
237756.82000000
0.186909263660
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
0.98380800
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
1032.47000000
0.000811662132
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-907774.30000000
USD
867370.99000000
CHF
2022-07-08
1032.47000000
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAB5
37000.00000000
PA
USD
36357.23000000
0.028581737794
Long
DBT
CORP
GB
N
2
2029-04-27
Fixed
4.05000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAP9
4000.00000000
PA
USD
3357.66000000
0.002639578365
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
3.75000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
31.01000000
0.000024378086
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-213849.72000000
USD
2187640.81000000
SEK
2022-07-08
31.01000000
N
N
N
ALLEGHANY CORP
549300DCJE6AYX159479
Alleghany Corp
017175AE0
37000.00000000
PA
USD
34658.74000000
0.027246493172
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TDQN9
20874.88000000
PA
USD
2870.98000000
0.002256981556
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
7.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
130000.00000000
PA
USD
122429.50000000
0.096246272537
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust
933636AA0
53197.13000000
PA
USD
49361.93000000
0.038805204364
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
2.74249700
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
14796.25000000
0.011631869035
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-33186544.00000000
JPY
259450.80000000
USD
2022-07-08
14796.25000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DL8
45000.00000000
PA
USD
42191.19000000
0.033168025446
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
4.75000000
N
N
N
N
N
N
Voya Emerging Markets Corporate Debt Fund
5493007WQXO53JSF1B65
Voya Emerging Markets Corporate Debt Fund
92913M302
800766.56600000
NS
USD
6470193.85000000
5.086454168774
Long
EC
RF
US
N
1
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4965.06000000
0.003903213832
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-43692116.95000000
HUF
119972.28000000
USD
2022-07-29
4965.06000000
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHG8
2096359.24000000
PA
USD
258513.17000000
0.203226583579
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Variable
1.44279800
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
14195.93000000
0.011159935699
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-46720690.00000000
JPY
358625.58000000
USD
2022-07-08
14195.93000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBC9
130000.00000000
PA
USD
109945.11000000
0.086431840538
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
77000.00000000
PA
USD
67715.73000000
0.053233792547
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-69662.74000000
-0.05476440775
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1326083.43000000
USD
12851074.52000000
SEK
2022-07-08
-69662.74000000
N
N
N
QUEENSLAND TREASURY CORP
98INKCEEHOU5YJS0HQ88
Queensland Treasury Corp
000000000
558000.00000000
PA
291545.34000000
0.229194371051
Long
DBT
NUSS
AU
N
2
2034-07-20
Fixed
1.75000000
N
N
N
N
N
N
ADVANCE AUTO PARTS
529900UCNQ5H9FSL0Y70
Advance Auto Parts Inc
00751YAE6
90000.00000000
PA
USD
81926.81000000
0.064405638211
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395JSP2
135736.06000000
PA
USD
141618.73000000
0.111331622557
Long
ABS-MBS
USGSE
US
N
2
2034-11-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QM65
651626.56000000
PA
USD
652013.93000000
0.512571809938
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-43250.25000000
-0.03400059094
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-2386558.40000000
USD
3016323.43000000
CAD
2022-07-08
-43250.25000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAQ3
36000.00000000
PA
USD
33727.60000000
0.026514490230
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
4.05000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
SFE 3 YEAR AUSTRALIAN BOND
000000000
16.00000000
NC
11439.38000000
0.008992911717
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2022-09-15
1175344.92000000
USD
11439.38000000
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AU0
72000.00000000
PA
USD
60153.83000000
0.047289108559
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.45000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2016-K60 Mortgage Trust
302947AJ5
543000.00000000
PA
USD
387313.40000000
0.304481118143
Long
ABS-MBS
CORP
US
N
2
2049-12-25
None
0.00000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612KAC6
23000.00000000
PA
USD
23112.87000000
0.018169865801
Long
DBT
CORP
US
N
2
2052-07-01
Fixed
6.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6459.07000000
0.005077709306
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1624990.20000000
NOK
171450.43000000
USD
2022-07-08
6459.07000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAN9
104000.00000000
PA
USD
104074.65000000
0.081816858911
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XWX8
337194.16000000
PA
USD
336694.07000000
0.264687426011
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
4.12357000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAY3
210000.00000000
PA
USD
162671.50000000
0.127881968994
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
3.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
94000.00000000
PA
USD
70609.72000000
0.055508863099
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEK4
11000.00000000
PA
USD
11012.84000000
0.008657593145
Long
DBT
CORP
US
N
2
2052-05-15
Fixed
4.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-5665.10000000
-0.00445354067
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-659192.09000000
USD
6436549.04000000
NOK
2022-07-08
-5665.10000000
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
81000.00000000
PA
USD
76892.15000000
0.060447709292
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAD8
72000.00000000
PA
USD
57849.11000000
0.045477284535
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
2.70000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
222000.00000000
PA
USD
213948.53000000
0.168192702962
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QTS0
34793.54240000
PA
USD
37463.16000000
0.029451149498
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
184545.79000000
0.145078142113
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-03-01
164.00000000
USD
0.00000000
USD
2000000.00000000
USD
184381.79000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
103000.00000000
PA
USD
88400.96000000
0.069495202452
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAU3
7745.76000000
PA
USD
7552.93000000
0.005937632345
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339DKU1
21217.18200000
PA
USD
23114.70000000
0.018171304430
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
549300KB1O80CETXGJ21
Freddie Mac STACR Trust 2019-DNA3
35564TAH3
184348.51000000
PA
USD
183470.37000000
0.144232715428
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
3.67357000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBH5
3893532.31000000
PA
USD
70859.56000000
0.055705271389
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
0.77575400
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2005-5N
86359DUM7
138105.03000000
PA
USD
131852.44000000
0.103653987600
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
1.98357000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEJ7
26000.00000000
PA
USD
26000.96000000
0.020440298150
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.20000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCYY6
7525.46000000
PA
USD
1402.58000000
0.001102619033
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
6726.98000000
0.005288323079
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-730107.39000000
USD
703239.44000000
CHF
2022-07-08
6726.98000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-10728.19000000
-0.00843381945
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-12-27
0.00000000
USD
0.00000000
USD
1250000.00000000
USD
-10728.19000000
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBE8
9024997.12000000
PA
USD
428670.22000000
0.336993215056
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Variable
0.98712500
N
N
N
N
N
N
Voya Emerging Markets Hard Currency Debt Fund
N/A
Voya Emerging Markets Hard Currency Debt Fund
92913M401
1215875.95660000
NS
USD
8839418.20000000
6.948987402120
Long
EC
RF
US
N
1
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAC3
63000.00000000
PA
USD
61826.38000000
0.048603960805
Long
DBT
CORP
GB
N
2
2032-04-27
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
10008.48000000
0.007868029304
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-6280491.98000000
NOK
647690.41000000
USD
2022-07-08
10008.48000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDC2
92000.00000000
PA
USD
80799.76000000
0.063519623308
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
14829.20000000
0.011657772225
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-01-24
0.00000000
USD
0.00000000
USD
1210000.00000000
USD
14829.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401NXS3
80.44080000
PA
USD
81.69000000
0.000064219473
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
7.00000000
N
N
N
N
N
N
METROPOLITAN EDISON CO
N/A
Metropolitan Edison Co
591894CB4
380000.00000000
PA
USD
374271.71000000
0.294228572391
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ECR8
7941.44000000
PA
USD
8576.31000000
0.006742148498
Long
ABS-MBS
USGA
US
N
2
2035-02-20
Fixed
6.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
18258.70000000
0.014353826621
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-12-11
0.00000000
USD
0.00000000
USD
400000.00000000
USD
18258.70000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
732.64000000
0.000575954889
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-698535.45000000
USD
94853297.00000000
JPY
2022-07-08
732.64000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - PLN
000000000
1.00000000
NC
USD
-1695.76000000
-0.00133309846
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-211000.00000000
USD
941462.00000000
PLN
2022-07-29
-1695.76000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
21319.77000000
0.016760244825
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1130940.75000000
EUR
1206816.02000000
USD
2022-07-08
21319.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FFH3
76656.87000000
PA
USD
95559.98000000
0.075123167853
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
17.50582300
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
3920.77000000
0.003082259569
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1975294.57000000
USD
1888975.78000000
CHF
2022-07-08
3920.77000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578AAN8
265000.00000000
PA
USD
230974.88000000
0.181577734530
Long
DBT
CORP
FR
N
2
2029-10-01
Fixed
2.70000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAQ1
51000.00000000
PA
USD
47922.46000000
0.037673584763
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAM5
23000.00000000
PA
USD
22870.41000000
0.017979259197
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
5.05000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
13660000.00000000
PA
2058798.21000000
1.618495980289
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
120000.00000000
PA
121059.73000000
0.095169446635
Long
DBT
NUSS
DE
N
2
2026-08-15
None
0.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK6
060352AP6
1948000.00000000
PA
USD
121285.01000000
0.095346547418
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Variable
1.50000000
N
N
N
N
N
N
NATIONAL BANK FINANCIAL INC.
549300D83GR71RNG0O65
NATIONAL BANK FINANCIAL
000000000
1000000.00000000
PA
USD
1000000.00000000
0.786136286901
Long
RA
CORP
US
N
2
Repurchase
Y
1.59000000
2022-07-01
1070501.63636363
USD
1020000.75884979
USD
UST
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SWOP IRS USD
000000000
-2545500.00000000
NC
USD
-63664.81000000
-0.05004921733
N/A
DIR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
Call
Written
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
CH
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2032-07-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.07000000
USD
2022-07-12
XXXX
-36777.97000000
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAG2
91000.00000000
PA
USD
90852.51000000
0.071422454867
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.35000000
N
N
N
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC Technology Co
23355LAL0
38000.00000000
PA
USD
34176.71000000
0.026867551897
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
1.80000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAHB9
85668.39000000
PA
USD
16297.97000000
0.012812425619
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CURRENCY CONTRACT - PEN
000000000
1.00000000
NC
USD
-4581.33000000
-0.00360154975
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-187536.97000000
USD
702976.69000000
PEN
2022-08-05
-4581.33000000
N
N
N
CLEVELAND ELECTRIC ILLUM
N/A
Cleveland Electric Illuminating Co/The
186108CK0
265000.00000000
PA
USD
249591.37000000
0.196212832854
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.50000000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CQ0
109000.00000000
PA
USD
91800.74000000
0.072167892878
Long
DBT
CORP
US
N
2
2047-09-15
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133994L8
5594.44700000
PA
USD
5690.63000000
0.004473610738
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Floating
2.27400000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
165000.00000000
PA
USD
151922.46000000
0.119431758601
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAV9
28000.00000000
PA
USD
27348.58000000
0.021499711133
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
4.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1048.11000000
0.000823957303
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-39482802.00000000
JPY
292119.31000000
USD
2022-07-08
1048.11000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-708.51000000
-0.00055698542
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1190350.44000000
CAD
924045.73000000
USD
2022-07-08
-708.51000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-13732.95000000
-0.01079597032
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-582994.28000000
USD
911502.38000000
NZD
2022-07-08
-13732.95000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
13285.42000000
0.010444150748
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-833505.17000000
AUD
588630.02000000
USD
2022-07-08
13285.42000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CLP
000000000
1.00000000
NC
USD
-203.18000000
-0.00015972717
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-185818.37000000
USD
171602000.00000000
CLP
2022-08-05
-203.18000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - COP
000000000
1.00000000
NC
USD
-1578.40000000
-0.00124083751
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-277951.55000000
USD
1154330000.00000000
COP
2022-08-05
-1578.40000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
15423.71000000
0.012125138109
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-88122083.00000000
JPY
665068.61000000
USD
2022-07-08
15423.71000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
11377.75000000
0.008944462138
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-848050.38000000
EUR
900337.27000000
USD
2022-07-08
11377.75000000
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
2000.00000000
PA
USD
1847.23000000
0.001452174533
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
36288.16000000
0.028527439360
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-107355233.00000000
JPY
827721.78000000
USD
2022-07-08
36288.16000000
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JPN 10Y BOND(OSE)
000000000
1.00000000
NC
581.12000000
0.000456839519
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Long
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2022-09-12
1094716.64000000
USD
581.12000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
4699.11000000
0.003694140887
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-574996.44000000
USD
78633696.00000000
JPY
2022-07-08
4699.11000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
VOL USD VS CNH - 5.65
000000000
1.00000000
NC
USD
-12476.84000000
-0.00980849666
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
2022-11-03
0.00000000
USD
0.00000000
USD
1531500.00000000
USD
-12476.84
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
171239AH9
27000.00000000
PA
USD
19791.76000000
0.015559020717
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
2.85000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
22270.45000000
0.017507608870
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-681819.89000000
GBP
852309.29000000
USD
2022-07-08
22270.45000000
N
N
N
2022-08-18
Voya Partners Inc
Tin Bui
Tin Bui
Vice President