Form NPORT-P BERNSTEIN SANFORD C FUND For: Mar 31

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    NPORT-P
    false
    
      
      
        
          0000832808
          XXXXXXXX
        
      
      
      
      
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        C000083498
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      BERNSTEIN SANFORD C FUND INC
      811-05555
      0000832808
      549300GA5IHQHIM7CU60
      ALLIANCEBERNSTEIN LP
      1345 AVENUE OF THE AMERICAS
      NEW YORK
      
      10105
      212-969-1000
      Overlay B Portfolio
      S000027649
      IKSIY75X3JGN52ZWUI76
      2021-09-30
      2021-03-31
      N
    
    
      1265862063.26
      49835195.34
      1216026867.92
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      2328535.12000000
      0.00000000
      0.00000000
      2185815.39000000
      
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CNY
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          JPY
          
          
        
        
          SEK
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AFW94
        
          
        
        585000.00000000
        PA
        USD
        621305.10000000
        0.051093040490
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        17726.26000000
        0.001457719435
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            4768000.00000000
            CAD
            3811978.48000000
            USD
            2021-04-22
            17726.26000000
          
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        549300UF4R84F48NCH34
        FTSE 100 IDX FUT  JUN21 IFLL 20210618
        000000000
        
          
        
        19.00000000
        NC
        
        -7485.26000000
        -0.00061555054
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              549300UF4R84F48NCH34
            
            Long
            
              
                FTSE 100 Index
                Z M1 Index
              
            
            2021-06-18
            1273369.57000000
            GBP
            -7485.26000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -85420.97000000
        -0.00702459561
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7938861.18000000
            USD
            67171000.00000000
            NOK
            2021-04-15
            -85420.97000000
          
        
        
          N
          N
          N
        
      
      
        INEOS QUATTRO FINANCE 2
        213800V48W4Y5MT5Q131
        INEOS Quattro Finance 2 Plc
        45674GAA2
        
          
        
        306000.00000000
        PA
        USD
        305675.64000000
        0.025137243926
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-01-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        China Development Bank
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        37240000.00000000
        PA
        
        6116830.49000000
        0.503017708849
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2028-02-09
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2011-C3
        61760RAJ1
        
          
        
        380000.00000000
        PA
        USD
        371874.95000000
        0.030581145845
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Variable
          5.26100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        Sofi Consumer Loan Program 2017-6 LLC
        83405QAB5
        
          
        
        27118.61000000
        PA
        USD
        27151.79000000
        0.002232828132
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-11-25
          Fixed
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -1633.59000000
        -0.00013433831
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            5254067.24000000
            MXN
            255138.18000000
            USD
            2021-04-16
            -1633.59000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAS4
        
          
        
        51000.00000000
        PA
        USD
        58973.85000000
        0.004849716034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0PU7
        
          
        
        229916.02000000
        PA
        USD
        231463.26000000
        0.019034386994
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-25
          Floating
          2.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SE9
        
          
        
        495000.00000000
        PA
        USD
        592685.16000000
        0.048739479006
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-11-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boardwalk Pipelines LP
        549300W6AQ2GHHCGL606
        Boardwalk Pipelines LP
        096630AG3
        
          
        
        465000.00000000
        PA
        USD
        515136.30000000
        0.042362246558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-03
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K3BF8
        
          
        
        2040587.26000000
        PA
        USD
        2195537.62000000
        0.180550091278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADA HOUSING TRUST
        549300M44WH89JG50067
        Canada Housing Trust No 1
        13509PHJ5
        
          
        
        3065000.00000000
        PA
        
        2517704.70000000
        0.207043509187
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2024-12-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1058000.00000000
        PA
        
        1332231.87000000
        0.109556121262
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2041-03-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        000000000
        
          
        
        430000.00000000
        PA
        
        535373.91000000
        0.044026486924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-27
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TITULOS DE TESORERIA
        549300MHDRBVRF6B9117
        Colombian TES
        000000000
        
          
        
        4470000000.00000000
        PA
        
        1186771.14000000
        0.097594154480
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2027-11-03
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828VM9
        
          
        
        9448459.16000000
        PA
        USD
        10105422.34000000
        0.831019659728
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OA21   CDS USD R F  3.00000 IS1OA21 CMBX / Short: IS1OA21   CDS USD P V 01MEVENT IS1OA32 CMBX
        000000000
        
          
        
        78000.00000000
        OU
        Notional Amount
        USD
        -21013.88000000
        -0.00172807694
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -8668.01000000
            USD
            78000.00000000
            USD
            -12345.87000000
          
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        000000000
        
          
        
        500000.00000000
        PA
        
        617866.32000000
        0.050810252330
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2022-04-25
          Fixed
          6.75000000
          N
          N
          N
          N
          Y
          
            
              Banco Santander SA
              Banco Santander SA
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        SBA Tower Trust
        N/A
        SBA Tower Trust
        78403DAH3
        
          
        
        774000.00000000
        PA
        USD
        819955.55000000
        0.067429065231
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-10-15
          Variable
          3.86900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK43782 NIKKEI 225 INDEX MAR22 22500 PUT
        000000000
        
          
        
        29000.00000000
        NC
        
        161727.88000000
        0.013299696270
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                Nikkei 225 Index
                NIH1 Index
              
            
            1.00000000
            22500.00000000
            JPY
            2022-03-11
            XXXX
            -24972.56000000
          
        
        
          N
          N
          N
        
      
      
        COLBUN SA
        5493003VQJLE2QB8IF36
        Colbun SA
        192714AD5
        
          
        
        1115000.00000000
        PA
        USD
        1140784.38000000
        0.093812432117
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-03-06
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 77 CLO Ltd
        26252VAC5
        
          
        
        730000.00000000
        PA
        USD
        731324.22000000
        0.060140465584
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-20
          Floating
          2.18200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS203I5   CDS USD R F  5.00000 IS203I5 CCPCDX / Short: SS203I5   CDS USD P V 03MEVENT IS203J6 CCPCDX
        000000000
        
          
        
        1764870.00000000
        OU
        Notional Amount
        USD
        168520.35000000
        0.013858275211
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.HY.S33.V2
                2I65BRSP6
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -153969.39000000
            USD
            1764870.00000000
            USD
            322489.74000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT RRB
        4BFD7AQU0A75QLAHK410
        Canadian Government Real Return Bond
        135087ZH0
        
          
        
        2133574.80000000
        PA
        
        2168073.28000000
        0.178291560589
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2044-12-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1IFA6   CDS USD R F  3.00000 IS1IFA6 CMBX / Short: IS1IFA6   CDS USD P V 01MEVENT IS1IFB7 CMBX
        000000000
        
          
        
        8000.00000000
        OU
        Notional Amount
        USD
        -2154.61000000
        -0.00017718440
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1250.84000000
            USD
            8000.00000000
            USD
            -903.77000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SN9
        
          
        
        1210000.00000000
        PA
        USD
        910146.88000000
        0.074845951517
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-05-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LB-UBS Commercial Mortgage Trust
        N/A
        LB-UBS Commercial Mortgage Trust 2006-C6
        50179MAH4
        
          
        
        198004.70000000
        PA
        USD
        114747.72000000
        0.009436281633
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-15
          Variable
          5.45200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796F20
        
          
        
        7760000.00000000
        PA
        USD
        7759915.96000000
        0.638136883708
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-04-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        48393.82000000
        0.003979667002
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            3450023.83000000
            USD
            256561021.83000000
            INR
            2021-04-15
            48393.82000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48127FAA1
        
          
        
        549000.00000000
        PA
        USD
        544695.84000000
        0.044793076071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-01
          Variable
          3.52200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCADOLIBRE INC
        549300DKPDN9M5S8GB14
        MercadoLibre Inc
        58733RAE2
        
          
        
        600000.00000000
        PA
        USD
        592620.00000000
        0.048734120571
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-01-14
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAA5
        
          
        
        355000.00000000
        PA
        USD
        363271.50000000
        0.029873640918
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-01-10
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        N/A
        JP Morgan Madison Avenue Securities Trust Series 2014-1
        46643HAB4
        
          
        
        40129.02000000
        PA
        USD
        39495.96000000
        0.003247951261
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          4.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBERDROLA INTL BV
        549300ZMLFJKWC63XN87
        Iberdrola International BV
        000000000
        
          
        
        200000.00000000
        PA
        
        235834.66000000
        0.019393869183
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-11-09
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAG8
        
          
        
        33000.00000000
        PA
        USD
        36064.38000000
        0.002965755194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        14583.50000000
        0.001199274488
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5781892.74000000
            PLN
            1478285.38000000
            USD
            2021-06-24
            14583.50000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y3ZC1
        
          
        
        321365.97000000
        PA
        USD
        360515.99000000
        0.029647041484
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -14120.44000000
        -0.00116119473
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            113744393.42000000
            INR
            1536876.63000000
            USD
            2021-04-15
            -14120.44000000
          
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2018-850T
        63874PAA3
        
          
        
        830499.00000000
        PA
        USD
        825263.04000000
        0.067865526804
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-15
          Floating
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11513.88000000
        0.000946844210
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            1048280.18000000
            USD
            1331777.07000000
            CAD
            2021-04-22
            11513.88000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS1THN6   IRS CAD R F  1.98000 IS1THN6 CCPVANILLA / Short: SS1THN6   IRS CAD P V 03MCDOR IS1THO7 CCPVANILLA
        000000000
        
          
        
        13360000.00000000
        OU
        Notional Amount
        
        387022.37000000
        0.031826794309
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-05-22
            8.62000000
            CAD
            0.00000000
            CAD
            13360000.00000000
            CAD
            387017.22000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        000000000
        
          
        
        735000.00000000
        PA
        
        898833.93000000
        0.073915630790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-11
          Fixed
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS1IGS1   IRS USD R V 03MLIBOR IS1IGT2 CCPVANILLA / Short: BS1IGS1   IRS USD P F  1.45850 IS1IGS1 CCPVANILLA
        000000000
        
          
        
        840000.00000000
        OU
        Notional Amount
        USD
        -18903.33000000
        -0.00155451581
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-10-04
            37257.33000000
            USD
            0.00000000
            USD
            840000.00000000
            USD
            -56160.66000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FZR2
        
          
        
        8927.71000000
        PA
        USD
        9725.59000000
        0.000799784137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -24445.62000000
        -0.00201028617
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3987000.00000000
            CAD
            3148306.81000000
            USD
            2021-04-22
            -24445.62000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDC3
        
          
        
        381000.00000000
        PA
        USD
        385248.15000000
        0.031680891283
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-23
          Fixed
          6.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -37697.40000000
        -0.00310004663
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            11287722.91000000
            ZAR
            726821.87000000
            USD
            2021-04-08
            -37697.40000000
          
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        000000000
        
          
        
        610000.00000000
        PA
        
        720561.89000000
        0.059255425106
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2021-11-04
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS19123   CDS USD R F  3.00000 IS19123 CMBX-BBB--394233 / Short: IS19123   CDS USD P V 00MEVENT IS19134 CMBX-BBB--394233
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        -188521.67000000
        -0.01550308426
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -51945.74000000
            USD
            700000.00000000
            USD
            -136575.93000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        000000000
        
          
        
        1105000.00000000
        PA
        
        1296520.31000000
        0.106619380229
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2021-04-16
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL GROUP INC
        QUR0DG15Z6FFGYCHH861
        Liberty Mutual Group Inc
        000000000
        
          
        
        365000.00000000
        PA
        
        436587.65000000
        0.035902796354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-05-23
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        1429327.64000000
        0.117540794344
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3566062171.00000000
            JPY
            33650203.75000000
            USD
            2021-05-20
            1429327.64000000
          
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        3774000.00000000
        PA
        
        2811991.46000000
        0.231244188280
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2025-11-21
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2888.52000000
        -0.00023753751
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            186163.88000000
            USD
            156118.76000000
            EUR
            2021-05-27
            -2888.52000000
          
        
        
          N
          N
          N
        
      
      
        VOLCAN CIA MINERA SAA-CM
        549300XKJ91C4SZLG750
        Volcan Cia Minera SAA
        92863UAB2
        
          
        
        319000.00000000
        PA
        USD
        325380.00000000
        0.026757632465
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2026-02-11
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        Sofi Consumer Loan Program 2018-1 Trust
        83405RAC1
        
          
        
        258214.66000000
        PA
        USD
        262612.80000000
        0.021595970198
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-25
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18.96000000
        -0.00000155917
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            6402.83000000
            USD
            706538.00000000
            JPY
            2021-05-20
            -18.96000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        Long: SS24X76   IRS EUR R F   .00000 IS24X76  IRS REC F  -0.0165 / Short: SS24X76   IRS EUR P V 06MEURIB IS24X87 IRS REC F S
        000000000
        
          
        
        2300000.00000000
        OU
        Notional Amount
        
        -386232.76000000
        -0.03176186071
        N/A
        DIR
        
        FR
        N
        
        2
        
          
            
              Citigroup Inc.
              6SHGI4ZSSLCXXQSBB395
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-09-30
            0.00000000
            EUR
            0.00000000
            EUR
            2300000.00000000
            EUR
            -386232.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAV6
        
          
        
        96788.82000000
        PA
        USD
        97037.51000000
        0.007979882070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.65900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        SoFi Consumer Loan Program 2019-3 Trust
        83405TAA1
        
          
        
        121724.18000000
        PA
        USD
        122702.79000000
        0.010090467014
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-05-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        6000000.00000000
        PA
        
        7353743.79000000
        0.604735305115
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2027-09-15
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P7Y5   CDS USD R V 01MEVENT IS1P7Z6 CMBX / Short: IS1P7Y5   CDS USD P F  3.00000 IS1P7Y5 CMBX
        000000000
        
          
        
        302000.00000000
        OU
        Notional Amount
        USD
        33162.23000000
        0.002727096816
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            19955.48000000
            USD
            0.00000000
            USD
            302000.00000000
            USD
            13206.75000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        Long: BS25Q70   IRS EUR R V 06MEURIB IS25Q81 CCPVANILLA / Short: BS25Q70   IRS EUR P F   .02300 IS25Q70 CCPVANILLA
        000000000
        
          
        
        4690000.00000000
        OU
        Notional Amount
        
        719316.53000000
        0.059153012896
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Inc.
              6SHGI4ZSSLCXXQSBB395
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-11-10
            0.00000000
            EUR
            0.00000000
            EUR
            4690000.00000000
            EUR
            719316.53000000
          
        
        
          N
          N
          N
        
      
      
        Discover Bank
        X05BVSK68TQ7YTOSNR22
        Discover Bank
        25466AAN1
        
          
        
        300000.00000000
        PA
        USD
        320079.00000000
        0.026321704597
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-09
          Fixed
          4.68200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AF5
        
          
        
        225000.00000000
        PA
        USD
        240387.75000000
        0.019768292653
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-30
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DZ0
        
          
        
        596000.00000000
        PA
        USD
        519557.04000000
        0.042725786222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-20
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -389264.84000000
        -0.03201120388
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            10404278.39000000
            USD
            87458000.00000000
            SEK
            2021-04-15
            -389264.84000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -157255.34000000
        -0.01293189683
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            9784407.16000000
            GBP
            13331646.13000000
            USD
            2021-04-09
            -157255.34000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31346YA29
        
          
        
        312620.16000000
        PA
        USD
        336163.33000000
        0.027644399878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        785000.00000000
        PA
        USD
        829368.20000000
        0.068203114740
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380B6Y6
        
          
        
        1021079.08000000
        PA
        USD
        223985.85000000
        0.018419481995
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Floating
          6.03900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEIBO CORP
        549300Q9ID4640FE0422
        Weibo Corp
        948596AE1
        
          
        
        2373000.00000000
        PA
        USD
        2347513.98000000
        0.193047871056
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-07-08
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAG6
        
          
        
        12737000.00000000
        PA
        USD
        12737000.00000000
        1.047427514639
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JXTG3
        
          
        
        1418817.85000000
        PA
        USD
        1516800.28000000
        0.124734109090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAB5
        
          
        
        1010797.00000000
        PA
        USD
        1015403.51000000
        0.083501733126
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          1.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        92556HAB3
        
          
        
        264000.00000000
        PA
        USD
        311852.64000000
        0.025645209676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETFLIX INC
        549300Y7VHGU0I7CE873
        Netflix Inc
        000000000
        
          
        
        260000.00000000
        PA
        
        378438.27000000
        0.031120880630
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUST & NZ BANKING GROUP
        JHE42UYNWWTJB8YTTU19
        Australia & New Zealand Banking Group Ltd
        052528AK2
        
          
        
        1405000.00000000
        PA
        USD
        1573937.20000000
        0.129432765140
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2026-05-19
          Fixed
          4.40000000
          N
          N
          N
          N
          Y
          
            
              Australia & New Zealand Banking Group Ltd
              Australia & New Zealand Banking Group Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OF60   CDS USD R V 01MEVENT IS1OF71 CMBX / Short: IS1OF60   CDS USD P F  3.00000 IS1OF60 CMBX
        000000000
        
          
        
        1219000.00000000
        OU
        Notional Amount
        USD
        133856.78000000
        0.011007715662
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            85675.89000000
            USD
            0.00000000
            USD
            1219000.00000000
            USD
            48180.89000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        18903.07000000
        0.001554494435
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            6421777.98000000
            AUD
            4897865.02000000
            USD
            2021-06-04
            18903.07000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AT6
        
          
        
        949000.00000000
        PA
        USD
        1046889.35000000
        0.086090971969
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-30
          Fixed
          6.37500000
          N
          N
          N
          N
          Y
          
            
              HSBC Holdings PLC
              HSBC Holdings PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JAB6
        
          
        
        1719000.00000000
        PA
        USD
        1607265.00000000
        0.132173477609
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2031-02-16
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        628000.00000000
        PA
        USD
        677153.56000000
        0.055685739999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        1770000.00000000
        PA
        
        1316265.16000000
        0.108243098464
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2026-09-21
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        4135000.00000000
        PA
        
        3319478.77000000
        0.272977419954
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2047-03-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABT1
        
          
        
        686000.00000000
        PA
        USD
        663135.62000000
        0.054532974352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEF1
        
          
        
        1307000.00000000
        PA
        USD
        1320070.00000000
        0.108555989577
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2032-09-23
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-3BP Mortgage Trust
        12592TAA3
        
          
        
        280000.00000000
        PA
        USD
        297171.56000000
        0.024437910694
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-10
          Fixed
          3.17800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        19965.20000000
        0.001641838723
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            747917.49000000
            USD
            11337382.06000000
            ZAR
            2021-04-08
            19965.20000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND JUN21 XEUR 20210608
        000000000
        
          
        
        49.00000000
        NC
        
        -79354.29000000
        -0.00652570202
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Buxl (FGBX)
                UBM1 Comdty
              
            
            2021-06-08
            10163628.02000000
            EUR
            -79354.29000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        30566.55000000
        0.002513641006
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1720781137.00000000
            KRW
            1556549.59000000
            USD
            2021-04-22
            30566.55000000
          
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBJ1
        
          
        
        985000.00000000
        PA
        USD
        1028507.45000000
        0.084579335961
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-06
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCA1
        
          
        
        1046000.00000000
        PA
        USD
        1079953.16000000
        0.088809975214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-25
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS20385   IRS USD R F  1.35200 IS20385 CCPINFLATIONZERO / Short: SS20385   IRS USD P V 12MUSCPI IS20396 CCPINFLATIONZERO
        000000000
        
          
        
        17150000.00000000
        OU
        Notional Amount
        USD
        -236950.57000000
        -0.01948563607
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-02-28
            0.00000000
            USD
            0.00000000
            USD
            17150000.00000000
            USD
            -236950.57000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11500.19000000
        -0.00094571841
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            1540691.73000000
            USD
            1109225.44000000
            GBP
            2021-04-09
            -11500.19000000
          
        
        
          N
          N
          N
        
      
      
        ADVANCE AUTO PARTS
        529900UCNQ5H9FSL0Y70
        Advance Auto Parts Inc
        00751YAF3
        
          
        
        308000.00000000
        PA
        USD
        303115.12000000
        0.024926679499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128287D6
        
          
        
        8767851.75000000
        PA
        USD
        9641896.97000000
        0.792901639294
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-07-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2018-EXCL
        12433WAA9
        
          
        
        1483578.17000000
        PA
        USD
        1439152.57000000
        0.118348747709
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Floating
          1.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAC5
        
          
        
        140000.00000000
        PA
        USD
        144200.00000000
        0.011858290618
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.43500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        290000.00000000
        PA
        
        359000.12000000
        0.029522383877
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2031-10-17
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PS1
        
          
        
        4001059.90000000
        PA
        USD
        4897547.38000000
        0.402749931699
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-01-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05367AAH6
        
          
        
        271000.00000000
        PA
        USD
        295788.37000000
        0.024324164029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83367TBJ7
        
          
        
        431000.00000000
        PA
        USD
        465367.94000000
        0.038269544224
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-04-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAM6
        
          
        
        861000.00000000
        PA
        USD
        834050.70000000
        0.068588180245
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2028-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIAN OIL CO
        5586006WD91QHB7J4X50
        Saudi Arabian Oil Co
        80414L2H7
        
          
        
        380000.00000000
        PA
        USD
        381751.80000000
        0.031393368853
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2025-11-24
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        6050.52000000
        0.000497564664
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            217185.52000000
            NZD
            157715.93000000
            USD
            2021-05-27
            6050.52000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL CARIBBEAN CRUISES
        K2NEH8QNVW44JIWK7Z55
        Royal Caribbean Cruises Ltd
        780153AY8
        
          
        
        416000.00000000
        PA
        USD
        478474.88000000
        0.039347393764
        Long
        DBT
        CORP
        LR
        
        N
        
        2
        
          2023-06-01
          Fixed
          10.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -729.06000000
        -0.00005995426
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            106259.01000000
            USD
            99660.37000000
            CHF
            2021-05-06
            -729.06000000
          
        
        
          N
          N
          N
        
      
      
        BP Capital Markets PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        202000.00000000
        PA
        
        255739.11000000
        0.021030712128
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-02-16
          Fixed
          1.57300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBV0
        
          
        
        410000.00000000
        PA
        USD
        436453.20000000
        0.035891739854
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hong Kong Futures Exchange Ltd.
        213800YTVSXYQN17BW16
        HANG SENG IDX FUT APR21 XHKF 20210429
        000000000
        
          
        
        28.00000000
        NC
        
        -1314.05000000
        -0.00010806093
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              Hong Kong Futures Exchange Ltd.
              213800YTVSXYQN17BW16
            
            Long
            
              
                Hang Seng Index
                HIJ1 Index
              
            
            2021-04-29
            39835787.24000000
            HKD
            -1314.05000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1130.41000000
        0.000092959294
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            224386.87000000
            EUR
            264549.00000000
            USD
            2021-05-27
            1130.41000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDD1
        
          
        
        445000.00000000
        PA
        USD
        411180.00000000
        0.033813397618
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-01-23
          Fixed
          7.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900I4ZKD8IMM1O953
        Bellemeade Re 2019-2 Ltd
        07877BAE0
        
          
        
        828669.00000000
        PA
        USD
        832447.98000000
        0.068456380525
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-04-25
          Floating
          2.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBQ2
        
          
        
        201000.00000000
        PA
        USD
        213104.22000000
        0.017524630879
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAV3
        
          
        
        350000.00000000
        PA
        USD
        372589.00000000
        0.030639865765
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2025-12-20
          Fixed
          3.24400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAB9
        
          
        
        535000.00000000
        PA
        USD
        599595.90000000
        0.049307783883
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-07-21
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAR2
        
          
        
        303000.00000000
        PA
        USD
        318486.33000000
        0.026190731340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1328.07000000
        0.000109213869
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            237295.88000000
            EUR
            279901.17000000
            USD
            2021-05-27
            1328.07000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417EJG7
        
          
        
        512138.46000000
        PA
        USD
        555508.50000000
        0.045682255438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AXALTA COATING SYSTEMS
        549300G80QONCHILSF69
        Axalta Coating Systems LLC
        05453GAC9
        
          
        
        1222000.00000000
        PA
        USD
        1191572.20000000
        0.097988969769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB Boligkreditt AS
        5967007LIEEXZX659K67
        DNB Boligkreditt AS
        000000000
        
          
        
        473000.00000000
        PA
        
        559512.88000000
        0.046011555727
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2021-06-16
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05367AAJ2
        
          
        
        109000.00000000
        PA
        USD
        110551.07000000
        0.009091170015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-01-20
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        145089.56000000
        0.011931443607
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            7718887.95000000
            USD
            44263577.00000000
            BRL
            2021-04-05
            145089.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -67417.79000000
        -0.00554410365
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3725586.88000000
            USD
            2653516.00000000
            GBP
            2021-04-09
            -67417.79000000
          
        
        
          N
          N
          N
        
      
      
        CGRBS Commercial Mortgage Trust
        N/A
        CGRBS Commercial Mortgage Trust 2013-VN05
        125354AA8
        
          
        
        2120000.00000000
        PA
        USD
        2210601.38000000
        0.181788859960
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-13
          Fixed
          3.36900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1D6Z3   CDS USD R F  3.00000 IS1D6Z3 CMBX-BBB--413146 / Short: IS1D6Z3   CDS USD P V 00MEVENT IS1D705 CMBX-BBB--413146
        000000000
        
          
        
        34000.00000000
        OU
        Notional Amount
        USD
        -9157.41000000
        -0.00075305984
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4377.09000000
            USD
            34000.00000000
            USD
            -4780.32000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBG0
        
          
        
        339000.00000000
        PA
        USD
        388446.54000000
        0.031943910965
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICG US CLO Ltd
        254900IL8TH4VLG5DO47
        ICG US CLO 2015-1 Ltd
        44931AAJ8
        
          
        
        556737.77000000
        PA
        USD
        556768.95000000
        0.045785908575
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-19
          Floating
          1.36300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENI SPA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        000000000
        
          
        
        483000.00000000
        PA
        
        592440.83000000
        0.048719386522
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2025-10-13
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLD FIELDS OROGEN HOLD
        213800CLGJ2E9KGU2F20
        Gold Fields Orogen Holdings BVI Ltd
        38060AAB0
        
          
        
        276000.00000000
        PA
        USD
        299201.25000000
        0.024604822302
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828QV5
        
          
        
        8668561.50000000
        PA
        USD
        8805362.24000000
        0.724109184779
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-07-15
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3886.38000000
        0.000319596556
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            357929.33000000
            USD
            7403477.73000000
            MXN
            2021-04-16
            3886.38000000
          
        
        
          N
          N
          N
        
      
      
        Husky Energy Inc
        N/A
        Husky Energy Inc
        448055AP8
        
          
        
        2263000.00000000
        PA
        USD
        2417811.83000000
        0.198828816515
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2029-04-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QA9
        
          
        
        188000.00000000
        PA
        USD
        224748.13000000
        0.018482168110
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1CJQ2   CDS USD R F  3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2   CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410
        000000000
        
          
        
        243000.00000000
        OU
        Notional Amount
        USD
        -65447.30000000
        -0.00538206035
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -26970.40000000
            USD
            243000.00000000
            USD
            -38476.90000000
          
        
        
          N
          N
          N
        
      
      
        WEPA HYGIENEPRODUKTE GMB
        529900KQ44OJDIDU6J81
        WEPA Hygieneprodukte GmbH
        000000000
        
          
        
        447000.00000000
        PA
        
        524196.91000000
        0.043107346048
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-12-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Volkswagen Bank GmbH
        529900GJD3OQLRZCKW37
        Volkswagen Bank GmbH
        000000000
        
          
        
        500000.00000000
        PA
        
        607798.69000000
        0.049982340525
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-06-10
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300CFP9NBBMZH1008
        Wells Fargo Commercial Mortgage Trust 2016-NXS6
        95000KBH7
        
          
        
        750000.00000000
        PA
        USD
        782382.38000000
        0.064339234653
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          4.31600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        549300O6TO32N91PEI50
        Sofi Consumer Loan Program 2017-5 LLC
        83405LAB6
        
          
        
        137553.00000000
        PA
        USD
        138284.49000000
        0.011371828505
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-25
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AF0
        
          
        
        201000.00000000
        PA
        USD
        221425.62000000
        0.018208941417
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-04-16
          Fixed
          6.50000000
          N
          N
          N
          N
          Y
          
            
              ING Groep NV
              ING Groep NV
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Eskom Holdings SOC Ltd
        3789001900ED06F65111
        Eskom Holdings SOC Ltd
        000000000
        
          
        
        319000.00000000
        PA
        USD
        337541.88000000
        0.027757764972
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2028-08-10
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        124857AT0
        
          
        
        251000.00000000
        PA
        USD
        267001.25000000
        0.021956854494
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFP9
        
          
        
        1429000.00000000
        PA
        USD
        1566541.25000000
        0.128824559006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0GW3
        
          
        
        283880.73000000
        PA
        USD
        294160.70000000
        0.024190312546
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-25
          Floating
          4.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JBD9
        
          
        
        494000.00000000
        PA
        USD
        527922.98000000
        0.043413759508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300F7COUCG1RROP29
        Magnetite XXVI Ltd
        55954YAA3
        
          
        
        1350608.00000000
        PA
        USD
        1353220.08000000
        0.111282087238
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          1.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -18644.24000000
        -0.00153320954
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1438484.00000000
            GBP
            1964467.11000000
            USD
            2021-04-09
            -18644.24000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HHA1
        
          
        
        609000.00000000
        PA
        USD
        606996.39000000
        0.049916363364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-04-30
          Variable
          3.68200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alliance Bernstein
        5493006YWHO7MNK2U579
        AB Fixed Income Shares, Inc. - Government Money Market Portfolio
        018616748
        
          
        
        208055429.34000000
        NS
        USD
        208055429.34000000
        17.10944345299
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23393.12000000
        -0.00192373381
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            2366330.32000000
            USD
            259305789.00000000
            JPY
            2021-05-20
            -23393.12000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0RL5
        
          
        
        994402.78000000
        PA
        USD
        1006944.19000000
        0.082806080734
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-25
          Floating
          2.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XXD22
        
          
        
        196075.25000000
        PA
        USD
        216245.69000000
        0.017782969743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENA MASTER TRUST
        549300CBCHB6Q73VG753
        ENA Master Trust
        29249BAA3
        
          
        
        1113000.00000000
        PA
        USD
        1122738.75000000
        0.092328449281
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2048-05-19
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C22
        46642NBF2
        
          
        
        14356829.63000000
        PA
        USD
        340469.34000000
        0.027998504719
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-15
          Variable
          0.82900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        1810.78000000
        0.000148909538
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            59109126.00000000
            KRW
            54228.56000000
            USD
            2021-04-22
            1810.78000000
          
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        29000.00000000
        PA
        
        38395.37000000
        0.003157444215
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-09-15
          Fixed
          3.92800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Spectrum Brands Inc
        549300VU3EH2E73C1Q04
        Spectrum Brands Inc
        84762LAU9
        
          
        
        50000.00000000
        PA
        USD
        51599.00000000
        0.004243245059
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAR2
        
          
        
        834000.00000000
        PA
        USD
        889094.04000000
        0.073114670691
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-09-25
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0JU4
        
          
        
        487633.33000000
        PA
        USD
        510250.98000000
        0.041960502145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-25
          Floating
          4.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AH3
        
          
        
        416000.00000000
        PA
        USD
        476141.12000000
        0.039155476952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -10658.24000000
        -0.00087648063
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            3903714.06000000
            BRL
            682885.34000000
            USD
            2021-04-05
            -10658.24000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IYH6   CDS USD R F  3.00000 IS1IYH6 CMBX / Short: IS1IYH6   CDS USD P V 01MEVENT IS1IYI7 CMBX
        000000000
        
          
        
        20000.00000000
        OU
        Notional Amount
        USD
        -5386.43000000
        -0.00044295320
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -2948.63000000
            USD
            20000.00000000
            USD
            -2437.80000000
          
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AU0
        
          
        
        816000.00000000
        PA
        USD
        1062750.24000000
        0.087395292656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-11-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAX8
        
          
        
        561000.00000000
        PA
        USD
        582491.91000000
        0.047901236836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DD8
        
          
        
        460000.00000000
        PA
        USD
        511230.20000000
        0.042041028326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE  JUN21 XEUR 20210608
        000000000
        
          
        
        -24.00000000
        NC
        
        -6219.44000000
        -0.00051145580
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Bund (FGBL)
                RXM1 Comdty
              
            
            2021-06-08
            -4105416.48000000
            EUR
            -6219.44000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-BOCA
        36256QAA5
        
          
        
        750552.00000000
        PA
        USD
        751337.75000000
        0.061786278726
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUNDESREPUB. DEUTSCHLAND
        529900AQBND3S6YJLY83
        Bundesrepublik Deutschland Bundesanleihe
        000000000
        
          
        
        2049000.00000000
        PA
        
        4277671.63000000
        0.351774433842
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2039-07-04
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0GF0
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-25
          Floating
          4.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        246562.77000000
        0.020276095578
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            27462246.04000000
            USD
            34819931.00000000
            CAD
            2021-04-22
            246562.77000000
          
        
        
          N
          N
          N
        
      
      
        NATIONWIDE MUTUAL INSURA
        Z7LVXXWM8HZPKF5T2355
        Nationwide Mutual Insurance Co
        638671AK3
        
          
        
        420000.00000000
        PA
        USD
        682252.20000000
        0.056105026788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-08-15
          Fixed
          9.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
        
        400000.00000000
        PA
        
        468545.25000000
        0.038530830392
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-02
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO BILBAO VIZCAYA ARG
        K8MS7FD7N5Z2WQ51AZ71
        Banco Bilbao Vizcaya Argentaria SA
        05946KAG6
        
          
        
        400000.00000000
        PA
        USD
        431660.00000000
        0.035497570932
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-03-05
          Fixed
          6.50000000
          N
          N
          N
          N
          Y
          
            
              Banco Bilbao Vizcaya Argentaria SA
              Banco Bilbao Vizcaya Argentaria SA
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        BBVA USA
        C90VT034M03BN29IRA40
        BBVA USA
        20453KAB1
        
          
        
        510000.00000000
        PA
        USD
        524478.90000000
        0.043130535503
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-29
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RBG3
        
          
        
        510000.00000000
        PA
        USD
        566355.00000000
        0.046574217637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-UBS5 Mortgage Trust
        12592KBC7
        
          
        
        990000.00000000
        PA
        USD
        1078285.82000000
        0.088672861467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-10
          Fixed
          3.83800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CA3
        
          
        
        213000.00000000
        PA
        USD
        222489.15000000
        0.018296400833
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-30
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        229000.00000000
        PA
        USD
        234747.90000000
        0.019304499447
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DCD9
        
          
        
        178195.27000000
        PA
        USD
        178907.27000000
        0.014712443838
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-03-25
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1312037.21000000
        -0.10789541289
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            30950892.31000000
            USD
            3280295657.00000000
            JPY
            2021-05-20
            -1312037.21000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        6317.96000000
        0.000519557599
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1682750037.00000000
            KRW
            1498575.15000000
            USD
            2021-04-22
            6317.96000000
          
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21684AAC0
        
          
        
        470000.00000000
        PA
        USD
        520755.30000000
        0.042824325164
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-08-04
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS22XY7   IRS USD R V 03MLIBOR IS22XZ8 CCPVANILLA / Short: BS22XY7   IRS USD P F   .55750 IS22XY7 CCPVANILLA
        000000000
        
          
        
        10260000.00000000
        OU
        Notional Amount
        USD
        453546.03000000
        0.037297369158
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-06-05
            0.00000000
            USD
            0.00000000
            USD
            10260000.00000000
            USD
            453546.03000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876MAC1
        
          
        
        602181.00000000
        PA
        USD
        599654.19000000
        0.049312577363
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-03-25
          Floating
          2.96700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN21 XCBT 20210621
        000000000
        
          
        
        56.00000000
        NC
        USD
        -80856.30000000
        -0.00664921985
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYM1 Comdty
              
            
            2021-06-21
            8127356.30000000
            USD
            -80856.30000000
          
        
        
          N
          N
          N
        
      
      
        1011778 BC / NEW RED FIN
        N/A
        1011778 BC ULC / New Red Finance Inc
        68245XAP4
        
          
        
        1691000.00000000
        PA
        USD
        1644497.50000000
        0.135235293181
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2029-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAQ4
        
          
        
        1005000.00000000
        PA
        USD
        1084364.85000000
        0.089172770652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        000000000
        
          
        
        850000.00000000
        PA
        
        1013600.97000000
        0.083353501204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-19
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ALP47
        
          
        
        783225.87000000
        PA
        USD
        150794.09000000
        0.012400555775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS13GW0   IRS USD R V 03MLIBOR IS13GX1 CCPVANILLA / Short: BS13GW0   IRS USD P F  1.77300 IS13GW0 CCPVANILLA
        000000000
        
          
        
        1990000.00000000
        OU
        Notional Amount
        USD
        -84704.18000000
        -0.00696565036
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-04-27
            0.00000000
            USD
            0.00000000
            USD
            1990000.00000000
            USD
            -84704.18000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        575.93000000
        0.000047361618
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            171685.04000000
            USD
            124952.46000000
            GBP
            2021-04-09
            575.93000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        1615000.00000000
        PA
        
        1970632.84000000
        0.162055041051
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2040-10-31
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1CJM8   CDS USD R F  3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8   CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332
        000000000
        
          
        
        242000.00000000
        OU
        Notional Amount
        USD
        -65175.86000000
        -0.00535973848
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -26869.91000000
            USD
            242000.00000000
            USD
            -38305.95000000
          
        
        
          N
          N
          N
        
      
      
        CSC Holdings LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307AF4
        
          
        
        285000.00000000
        PA
        USD
        293193.75000000
        0.024110795389
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        7585.37000000
        0.000623783092
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            653846.14000000
            GBP
            908985.53000000
            USD
            2021-04-09
            7585.37000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR COMPANY
        20S05OYHG0MQM4VUIC57
        Ford Motor Co
        345370CV0
        
          
        
        475000.00000000
        PA
        USD
        529639.25000000
        0.043554897015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-21
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Inc
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AW3
        
          
        
        333000.00000000
        PA
        USD
        363059.91000000
        0.029856240809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ATV27
        
          
        
        1835182.00000000
        PA
        USD
        392781.43000000
        0.032300390753
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-25
          Floating
          5.89100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Inc
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AS2
        
          
        
        263000.00000000
        PA
        USD
        285323.44000000
        0.023463580248
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-13
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 1 1/4% 2041
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        1135000.00000000
        PA
        
        1532211.04000000
        0.126001413325
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2041-10-22
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2010-C1 Mortgage Trust
        12622DAK0
        
          
        
        1070000.00000000
        PA
        USD
        1086690.29000000
        0.089364003269
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-10
          Variable
          5.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD CNY
        000000000
        
          
        
        1.00000000
        NC
        
        783.37000000
        0.000064420451
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            2901077.90000000
            CNY
            442268.50000000
            USD
            2021-04-22
            783.37000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS1ZZM9   IRS USD R V 12MUSCPI IS1ZZN0 CCPINFLATIONZERO / Short: BS1ZZM9   IRS USD P F  1.58900 IS1ZZM9 CCPINFLATIONZERO
        000000000
        
          
        
        28500000.00000000
        OU
        Notional Amount
        USD
        1099130.14000000
        0.090386994645
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-02-26
            0.00000000
            USD
            0.00000000
            USD
            28500000.00000000
            USD
            1099130.14000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        Indonesia Asahan Aluminium Persero PT
        74445PAE2
        
          
        
        762000.00000000
        PA
        USD
        828065.40000000
        0.068095978949
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2025-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALIBABA GROUP HOLDING
        5493001NTNQJDH60PM02
        Alibaba Group Holding Ltd
        01609WAX0
        
          
        
        2429000.00000000
        PA
        USD
        2310999.18000000
        0.190045075562
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-02-09
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -55555.62000000
        -0.00456861780
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2992197.12000000
            USD
            223333104.76000000
            RUB
            2021-05-25
            -55555.62000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS23FW2   CDS USD R V 01MEVENT IS23FX3 CMBX / Short: IS23FW2   CDS USD P F  3.00000 IS23FW2 CMBX
        000000000
        
          
        
        745000.00000000
        OU
        Notional Amount
        USD
        81867.64000000
        0.006732387429
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            129219.46000000
            USD
            0.00000000
            USD
            745000.00000000
            USD
            -47351.82000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAA9
        
          
        
        267000.00000000
        PA
        USD
        274526.73000000
        0.022575712530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        215000.00000000
        PA
        USD
        196019.53000000
        0.016119670968
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOLVAY SA
        549300MMVL80RTBP3O28
        Solvay SA
        000000000
        
          
        
        300000.00000000
        PA
        
        360147.90000000
        0.029616771594
        Long
        DBT
        CORP
        BE
        N
        
        2
        
          2025-12-02
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ballyrock Ltd
        N/A
        Ballyrock CLO 15 Ltd
        05875TAG2
        
          
        
        375000.00000000
        PA
        USD
        375000.00000000
        0.030838134410
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAP9
        
          
        
        411358.67000000
        PA
        USD
        423694.91000000
        0.034842561556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2020-1 Ltd
        43731WAB1
        
          
        
        872897.00000000
        PA
        USD
        889305.37000000
        0.073132049419
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-10-25
          Floating
          3.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neighborly Issuer LLC
        N/A
        Neighborly Issuer LLC
        64016NAA5
        
          
        
        451437.00000000
        PA
        USD
        452800.34000000
        0.037236047323
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-04-30
          Fixed
          3.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -2860.89000000
        -0.00023526536
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            22274933.40000000
            ZAR
            1505823.89000000
            USD
            2021-04-08
            -2860.89000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JM4
        
          
        
        367000.00000000
        PA
        USD
        398198.67000000
        0.032745877620
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT
        4BFD7AQU0A75QLAHK410
        Canadian Government Bond
        135087L51
        
          
        
        1580000.00000000
        PA
        
        1211836.24000000
        0.099655383607
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2026-03-01
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        -310.00000000
        NC
        USD
        36310.97000000
        0.002986033529
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                2 Year US Treasury Note
                TUM1 Comdty
              
            
            2021-06-30
            -68461545.19000000
            USD
            36310.97000000
          
        
        
          N
          N
          N
        
      
      
        Biogen Inc
        W8J5WZB5IY3K0NDQT671
        Biogen Inc
        09062XAF0
        
          
        
        563000.00000000
        PA
        USD
        625599.97000000
        0.051446229232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUNDESREPUB. DEUTSCHLAND
        529900AQBND3S6YJLY83
        Bundesrepublik Deutschland Bundesanleihe
        000000000
        
          
        
        1070000.00000000
        PA
        
        2086663.94000000
        0.171596861471
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2034-07-04
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greywolf CLO Ltd
        5493006V5AX99BBCEZ73
        GREYWOLF CLO VI Ltd
        39809GAC9
        
          
        
        250000.00000000
        PA
        USD
        250024.00000000
        0.020560729914
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-26
          Floating
          1.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3522.58000000
        -0.00028967945
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            366446.68000000
            USD
            263253.25000000
            GBP
            2021-04-09
            -3522.58000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286X3
        
          
        
        8435000.00000000
        PA
        USD
        8920012.50000000
        0.733537451788
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-05-31
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RT7
        
          
        
        854000.00000000
        PA
        USD
        826111.56000000
        0.067935304868
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRUST
        N/A
        WFRBS Commercial Mortgage Trust 2014-C24
        92939KAG3
        
          
        
        142800.00000000
        PA
        USD
        151145.63000000
        0.012429464676
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Fixed
          3.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        000000000
        
          
        
        1263000.00000000
        PA
        USD
        1286820.18000000
        0.105821689795
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2021-08-10
          Fixed
          7.12500000
          N
          N
          N
          N
          Y
          
            
              UBS Group AG
              UBS Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FTV38
        
          
        
        6483107.97000000
        PA
        USD
        1099874.18000000
        0.090448180794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -22.34000000
        -0.00000183713
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1169.33000000
            USD
            126944.00000000
            JPY
            2021-05-20
            -22.34000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        3489.78000000
        0.000286982145
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            557600.00000000
            GBP
            772203.85000000
            USD
            2021-04-09
            3489.78000000
          
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAA0
        
          
        
        453000.00000000
        PA
        USD
        491337.39000000
        0.040405142596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SSE PLC
        549300KI75VYLLMSK856
        SSE PLC
        000000000
        
          
        
        135000.00000000
        PA
        
        169355.36000000
        0.013926942279
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-09-04
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonica Europe BV
        7245007FZS0M65WUGP67
        Telefonica Europe BV
        000000000
        
          
        
        400000.00000000
        PA
        
        482495.69000000
        0.039678045175
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-03-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBF0
        
          
        
        472526.20000000
        PA
        USD
        501222.57000000
        0.041218050622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-25
          Floating
          5.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAK6
        
          
        
        745000.00000000
        PA
        USD
        825785.94000000
        0.067908527499
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2032-04-27
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P7U1   CDS USD R V 01MEVENT IS1P7V2 CMBX / Short: IS1P7U1   CDS USD P F  3.00000 IS1P7U1 CMBX
        000000000
        
          
        
        302000.00000000
        OU
        Notional Amount
        USD
        33162.23000000
        0.002727096816
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            19955.48000000
            USD
            0.00000000
            USD
            302000.00000000
            USD
            13206.75000000
          
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2018-GLKS Mortgage Trust
        23307GAA4
        
          
        
        1631169.00000000
        PA
        USD
        1630174.64000000
        0.134057452430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-12-19
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHUP5
        
          
        
        279901.55000000
        PA
        USD
        303867.20000000
        0.024988526817
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK37172 NIKKEI 225 INDEX MAR22 2250 PUT
        000000000
        
          
        
        28000.00000000
        NC
        
        156151.06000000
        0.012841086337
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                Nikkei 225 Index
                NKY Index
              
            
            1.00000000
            22500.00000000
            JPY
            2022-03-11
            XXXX
            -62354.18000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23S23   CDS USD R V 01MEVENT IS23S34 CMBX / Short: IS23S23   CDS USD P F  3.00000 IS23S23 CMBX
        000000000
        
          
        
        796000.00000000
        OU
        Notional Amount
        USD
        87472.95000000
        0.007193340238
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            160065.37000000
            USD
            0.00000000
            USD
            796000.00000000
            USD
            -72592.42000000
          
        
        
          N
          N
          N
        
      
      
        SPRINT SPECTRUM / SPEC I
        N/A
        Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
        85208NAD2
        
          
        
        1145000.00000000
        PA
        USD
        1231756.65000000
        0.101293539024
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.73800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SS24YZ1   IRS BRL R F  4.59000 IS24YZ1 CCPNDFPREDISWAP / Short: SS24YZ1   IRS BRL P V 00MBRCDI IS24Z03 CCPNDFPREDISWAP
        000000000
        
          
        
        12043000.00000000
        OU
        Notional Amount
        
        -34820.00000000
        -0.00286342357
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            0.00000000
            BRL
            0.00000000
            BRL
            12043000.00000000
            BRL
            -34820.00000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        Uruguay Government International Bond
        917288BK7
        
          
        
        268498.00000000
        PA
        USD
        310954.25000000
        0.025571330552
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2031-01-23
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
        46634SAM7
        
          
        
        374644.00000000
        PA
        USD
        242067.19000000
        0.019906401444
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-15
          Variable
          5.14200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1S4L0   CDS USD R F  3.00000 IS1S4L0 CMBX / Short: IS1S4L0   CDS USD P V 01MEVENT IS1S4M1 CMBX
        000000000
        
          
        
        23000.00000000
        OU
        Notional Amount
        USD
        -6198.12000000
        -0.00050970255
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -2692.27000000
            USD
            23000.00000000
            USD
            -3505.85000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD MYR
        000000000
        
          
        
        1.00000000
        NC
        
        3866.99000000
        0.000318002019
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            3114525.24000000
            MYR
            752937.32000000
            USD
            2021-09-23
            3866.99000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AA5
        
          
        
        488263.00000000
        PA
        USD
        521103.57000000
        0.042852965156
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P7W3   CDS USD R F  3.00000 IS1P7W3 CMBX / Short: IS1P7W3   CDS USD P V 01MEVENT IS1P7X4 CMBX
        000000000
        
          
        
        38000.00000000
        OU
        Notional Amount
        USD
        -10237.70000000
        -0.00084189751
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4680.05000000
            USD
            38000.00000000
            USD
            -5557.65000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XGP3
        
          
        
        538588.28000000
        PA
        USD
        553308.81000000
        0.045501363875
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-09-25
          Floating
          3.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P9M7   CDS USD R V 01MEVENT IS1P9N8 CMBX / Short: IS1P9M7   CDS USD P F  3.00000 IS1P9M7 CMBX
        000000000
        
          
        
        286000.00000000
        OU
        Notional Amount
        USD
        31404.93000000
        0.002582585206
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            19321.84000000
            USD
            0.00000000
            USD
            286000.00000000
            USD
            12083.09000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBK1
        
          
        
        646000.00000000
        PA
        USD
        663551.82000000
        0.054567200569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          2.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4231.11000000
        -0.00034794543
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            256801.26000000
            USD
            238522.20000000
            CHF
            2021-05-06
            -4231.11000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BS28DR8   CDS USD R V 03MEVENT IS28DS9 CCPSOVEREIGN / Short: BS28DR8   CDS USD P F  1.00000 IS28DR8 CCPSOVEREIGN
        000000000
        
          
        
        13820000.00000000
        OU
        Notional Amount
        USD
        -467001.54000000
        -0.03840388336
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2026-06-20
            0.00000000
            USD
            -468297.00000000
            USD
            13820000.00000000
            USD
            1295.46000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        213083.18000000
        0.017522900654
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            8048443.67000000
            NZD
            5833487.83000000
            USD
            2021-05-27
            213083.18000000
          
        
        
          N
          N
          N
        
      
      
        ODEBRECHT HOLDCO FIN LTD
        N/A
        Odebrecht Holdco Finance Ltd
        67577TAA6
        
          
        
        639240.00000000
        PA
        USD
        14782.43000000
        0.001215633502
        Long
        DBT
        CORP
        KY
        N
        
        2
        
          2058-09-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R05
        20754HAE8
        
          
        
        263117.06000000
        PA
        USD
        263116.93000000
        0.021637427341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-25
          Floating
          2.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
        
        905000.00000000
        PA
        USD
        991318.90000000
        0.081521134618
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        90966.70000000
        0.007480648857
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            14472000.00000000
            SEK
            1748188.18000000
            USD
            2021-04-15
            90966.70000000
          
        
        
          N
          N
          N
        
      
      
        RALPH LAUREN CORP
        HO1QNWM0IXBZ0QSMMO20
        Ralph Lauren Corp
        731572AB9
        
          
        
        1542000.00000000
        PA
        USD
        1593286.92000000
        0.131023989850
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CB4
        
          
        
        522000.00000000
        PA
        USD
        566991.18000000
        0.046626533916
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11839.19000000
        -0.00097359608
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            1410021.58000000
            USD
            1191008.46000000
            EUR
            2021-05-27
            -11839.19000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        55327.84000000
        0.004549886310
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            3170000.00000000
            NZD
            2269008.33000000
            USD
            2021-05-27
            55327.84000000
          
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        Baidu Inc
        056752AR9
        
          
        
        401000.00000000
        PA
        USD
        419044.00000000
        0.034460093856
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-04-07
          Fixed
          3.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1PAM4   CDS USD R F  3.00000 IS1PAM4 CMBX / Short: IS1PAM4   CDS USD P V 01MEVENT IS1PAN5 CMBX
        000000000
        
          
        
        8000.00000000
        OU
        Notional Amount
        USD
        -2155.31000000
        -0.00017724197
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1000.10000000
            USD
            8000.00000000
            USD
            -1155.21000000
          
        
        
          N
          N
          N
        
      
      
        STAR ENERGY CO ISSUE
        N/A
        Star Energy Geothermal Darajat II / Star Energy Geothermal Salak
        85513LAB0
        
          
        
        544000.00000000
        PA
        USD
        592280.00000000
        0.048706160663
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2038-10-14
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rexel SA
        969500N6AVPA51648T62
        Rexel SA
        000000000
        
          
        
        450000.00000000
        PA
        
        531847.01000000
        0.043736452214
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-06-15
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AQ1
        
          
        
        263000.00000000
        PA
        USD
        266816.13000000
        0.021941631146
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Fixed
          2.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVERNMENT
        254900GSIL471JOBYY43
        Malaysia Government Bond
        000000000
        
          
        
        4736000.00000000
        PA
        
        1234516.95000000
        0.101520532363
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2030-04-15
          Fixed
          4.49800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        29082HAB8
        
          
        
        853000.00000000
        PA
        USD
        889188.53000000
        0.073122441079
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-02-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SB71
        
          
        
        351580.85000000
        PA
        USD
        370924.90000000
        0.030503018459
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -15393.30000000
        -0.00126586841
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            624556.17000000
            USD
            441866.79000000
            GBP
            2021-04-09
            -15393.30000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -58337.84000000
        -0.00479741373
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1747081.94000000
            USD
            1904319319.00000000
            KRW
            2021-04-22
            -58337.84000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8
        46638UAH9
        
          
        
        1400000.00000000
        PA
        USD
        1441247.64000000
        0.118521035843
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          3.42400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2011-GC5
        36191YAE8
        
          
        
        650000.00000000
        PA
        USD
        653572.14000000
        0.053746521334
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-08-10
          Variable
          5.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        1546.07000000
        0.000127141105
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            50468263.00000000
            KRW
            46301.16000000
            USD
            2021-04-22
            1546.07000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT RRB
        4BFD7AQU0A75QLAHK410
        Canadian Government Real Return Bond
        135087G99
        
          
        
        2769505.75000000
        PA
        
        2362994.23000000
        0.194320889804
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2050-12-01
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AE7
        
          
        
        313000.00000000
        PA
        USD
        326521.60000000
        0.026851511970
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-18
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rumo Luxembourg Sarl
        222100HOIQFT7YOSPB46
        Rumo Luxembourg Sarl
        781467AB1
        
          
        
        615000.00000000
        PA
        USD
        645750.00000000
        0.053103267455
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-01-18
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032XAU8
        
          
        
        460000.00000000
        PA
        USD
        443375.60000000
        0.036461003592
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-06-03
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -323353.56000000
        -0.02659098812
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            9407496.92000000
            USD
            79329000.00000000
            SEK
            2021-04-15
            -323353.56000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SU3
        
          
        
        5320000.00000000
        PA
        USD
        4702381.25000000
        0.386700440101
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        31293.30000000
        0.002573405310
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            164000318.00000000
            JPY
            1513105.36000000
            USD
            2021-05-20
            31293.30000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10224.17000000
        -0.00084078487
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2471136.25000000
            USD
            3239097.00000000
            AUD
            2021-06-04
            -10224.17000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1I2V6   CDS USD R F  3.00000 IS1I2V6 CMBX / Short: IS1I2V6   CDS USD P V 01MEVENT IS1I2W7 CMBX
        000000000
        
          
        
        496000.00000000
        OU
        Notional Amount
        USD
        -133585.56000000
        -0.01098541187
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -74011.11000000
            USD
            496000.00000000
            USD
            -59574.45000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        1259000.00000000
        PA
        
        1446605.44000000
        0.118961634661
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2044-06-25
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        000000000
        
          
        
        311000.00000000
        PA
        
        370734.71000000
        0.030487378180
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK43704 S+P 500 INDEX JAN22 3000 PUT
        000000000
        
          
        
        17400.00000000
        NC
        USD
        1153961.82000000
        0.094896079226
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            1.00000000
            3000.00000000
            USD
            2022-01-21
            XXXX
            -276925.44000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        604000.00000000
        PA
        USD
        588531.56000000
        0.048397907605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BZ5
        
          
        
        1137000.00000000
        PA
        USD
        1110280.50000000
        0.091303944780
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-07-11
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Inc
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AU7
        
          
        
        518000.00000000
        PA
        USD
        572876.92000000
        0.047110547892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        SPI 200 FUTURES   JUN21 XSFE 20210617
        000000000
        
          
        
        -69.00000000
        NC
        
        -54728.94000000
        -0.00450063575
        N/A
        DE
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Short
            
              
                S&P ASX Share Price Index 200
                XPM1 Index
              
            
            2021-06-17
            -11650563.14000000
            AUD
            -54728.94000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BK4
        
          
        
        305000.00000000
        PA
        USD
        334438.60000000
        0.027502566663
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-13
          Fixed
          4.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (10 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Ten Year Bond
        000000000
        
          
        
        1210150000.00000000
        PA
        
        10969549.35000000
        0.902081166081
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2030-03-20
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Israel Electric Corp Ltd
        254900JW7GE35YNJGJ55
        Israel Electric Corp Ltd
        000000000
        
          
        
        776000.00000000
        PA
        USD
        873562.60000000
        0.071837442333
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2024-11-12
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XDK7
        
          
        
        1138122.78000000
        PA
        USD
        1184160.53000000
        0.097379470901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -141192.89000000
        -0.01161100085
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            3531980.43000000
            USD
            49458321981.00000000
            IDR
            2021-04-15
            -141192.89000000
          
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIAN OIL CO
        5586006WD91QHB7J4X50
        Saudi Arabian Oil Co
        80414L2K0
        
          
        
        536000.00000000
        PA
        USD
        514318.80000000
        0.042295019425
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2030-11-24
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGITAL EURO FINCO
        635400OUEAPTXSW3SC91
        Digital Euro Finco LLC
        000000000
        
          
        
        820000.00000000
        PA
        
        1058285.07000000
        0.087028099289
        Long
        DBT
        
        US
        N
        
        2
        
          2026-01-16
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldenTree Loan Management US CLO1, LTD
        549300DO8S88M0JNL340
        Goldentree Loan Management US Clo 7 Ltd
        38138LAA6
        
          
        
        1078965.00000000
        PA
        USD
        1079644.75000000
        0.088784613110
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HFX FUNDING ISSUER
        N/A
        HFX FUNDING ISSUER 03/35 1
        40422GAE0
        
          
        
        1230000.00000000
        PA
        USD
        1269248.56000000
        0.104376687183
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-15
          Variable
          3.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAH8
        
          
        
        800000.00000000
        PA
        USD
        922176.00000000
        0.075835166502
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-25
          Fixed
          4.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS19PK9   IRS USD R V 03MLIBOR IS19PL0 CCPVANILLA / Short: BS19PK9   IRS USD P F  1.67150 IS19PK9 CCPVANILLA
        000000000
        
          
        
        420000.00000000
        OU
        Notional Amount
        USD
        -13866.39000000
        -0.00114030292
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-09
            0.00000000
            USD
            0.00000000
            USD
            420000.00000000
            USD
            -13866.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A2N58
        
          
        
        949363.00000000
        PA
        USD
        187980.61000000
        0.015458590180
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO STOXX 50     JUN21 XEUR 20210618
        000000000
        
          
        
        1132.00000000
        NC
        
        1188726.54000000
        0.097754956848
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EURO STOXX 50 Index
                VGM1 Index
              
            
            2021-06-18
            42809816.12000000
            EUR
            1188726.54000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        945.34000000
        0.000077740058
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            199225.33000000
            EUR
            234825.58000000
            USD
            2021-05-27
            945.34000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE24 Mortgage Trust
        12593JBF2
        
          
        
        655000.00000000
        PA
        USD
        719285.63000000
        0.059150471833
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-10
          Fixed
          3.69600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        207000.00000000
        PA
        USD
        236882.52000000
        0.019480039976
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RC4
        
          
        
        1872600.00000000
        PA
        USD
        2291009.06000000
        0.188401187542
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-08-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y3ZL1
        
          
        
        805805.76000000
        PA
        USD
        888599.00000000
        0.073073961064
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4718.18000000
        -0.00038799965
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2696267.32000000
            USD
            23021000.00000000
            NOK
            2021-04-15
            -4718.18000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        414198.45000000
        0.034061619930
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            70485600.00000000
            SEK
            8485664.06000000
            USD
            2021-04-15
            414198.45000000
          
        
        
          N
          N
          N
        
      
      
        AVANTOR FUNDING INC
        5493003VM0XB4U8YD238
        Avantor Funding Inc
        000000000
        
          
        
        293000.00000000
        PA
        
        351802.86000000
        0.028930517020
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of South Africa
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205AU8
        
          
        
        515000.00000000
        PA
        USD
        507435.94000000
        0.041729007260
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2028-10-12
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505EL4
        
          
        
        189000.00000000
        PA
        USD
        212241.33000000
        0.017453671098
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -858.99000000
        -0.00007063906
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            522325.70000000
            USD
            655294.67000000
            CAD
            2021-04-22
            -858.99000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4521.39000000
        -0.00037181662
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            140346.93000000
            USD
            194502.76000000
            NZD
            2021-05-27
            -4521.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FLTA6
        
          
        
        412851.37000000
        PA
        USD
        431723.76000000
        0.035502814237
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        549300T6W1U156OOG754
        Wells Fargo Credit Risk Transfer Securities Trust 2015
        949771AC3
        
          
        
        266252.39000000
        PA
        USD
        260710.43000000
        0.021439528753
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-11-25
          Floating
          5.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        000000000
        
          
        
        557000.00000000
        PA
        USD
        582794.67000000
        0.047926134312
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-04-02
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Standard Chartered PLC
              Standard Chartered PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XEP5
        
          
        
        863920.99000000
        PA
        USD
        889869.55000000
        0.073178444775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-25
          Floating
          3.65900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lear Corp
        549300UPNBTXA1SYTQ33
        Lear Corp
        521865AY1
        
          
        
        597000.00000000
        PA
        USD
        650968.80000000
        0.053532435604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TWDC Enterprises 18 Corp
        7260JQNI6SCF9FIV2392
        TWDC Enterprises 18 Corp
        25468PDB9
        
          
        
        694000.00000000
        PA
        USD
        791645.80000000
        0.065101012229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-06-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174467X1
        
          
        
        302000.00000000
        PA
        USD
        347073.50000000
        0.028541597982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-24
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBX2
        
          
        
        379000.00000000
        PA
        USD
        367811.92000000
        0.030247022471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVERNMENT
        254900GSIL471JOBYY43
        Malaysia Government Bond
        000000000
        
          
        
        6236000.00000000
        PA
        
        1530914.31000000
        0.125894776701
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2022-03-10
          Fixed
          3.88200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BN3
        
          
        
        130000.00000000
        PA
        USD
        157700.40000000
        0.012968496351
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        549300UF4R84F48NCH34
        FTSE 100 IDX FUT  JUN21 IFLL 20210618
        000000000
        
          
        
        -18.00000000
        NC
        
        -8480.22000000
        -0.00069737110
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              549300UF4R84F48NCH34
            
            Short
            
              
                FTSE 100 Index
                Z M1 Index
              
            
            2021-06-18
            -1195054.95000000
            GBP
            -8480.22000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPBZ5
        
          
        
        725000.00000000
        PA
        USD
        733018.50000000
        0.060279794742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (10 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Ten Year Bond
        000000000
        
          
        
        153450000.00000000
        PA
        
        1388041.69000000
        0.114145643210
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2030-09-20
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transocean Poseidon Ltd
        N/A
        Transocean Poseidon Ltd
        89383JAA6
        
          
        
        375000.00000000
        PA
        USD
        345735.00000000
        0.028431526401
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1BZK5   CDS USD R F  3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5   CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197
        000000000
        
          
        
        35000.00000000
        OU
        Notional Amount
        USD
        -9426.57000000
        -0.00077519422
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3101.06000000
            USD
            35000.00000000
            USD
            -6325.51000000
          
        
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        N/A
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAK1
        
          
        
        241000.00000000
        PA
        USD
        253977.85000000
        0.020885874868
        Long
        DBT
        
        US
        N
        
        2
        
          2025-06-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        000000000
        
          
        
        482000.00000000
        PA
        
        579982.90000000
        0.047694908336
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-07-09
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1YET6   IRS USD R V 03MLIBOR IS1YEU7 CCPVANILLA / Short: BS1YET6   IRS USD P F  1.76350 IS1YET6 CCPVANILLA
        000000000
        
          
        
        1830000.00000000
        OU
        Notional Amount
        USD
        -22027.69000000
        -0.00181144763
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-12-13
            0.00000000
            USD
            0.00000000
            USD
            1830000.00000000
            USD
            -22027.69000000
          
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        435000.00000000
        PA
        
        508084.01000000
        0.041782301312
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2021-05-04
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust
        90278MBD8
        
          
        
        364000.00000000
        PA
        USD
        374165.10000000
        0.030769476388
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-10-15
          Fixed
          3.20300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        N/A
        THL Credit Wind River 2017-4 Clo Ltd
        87249LAE1
        
          
        
        300000.00000000
        PA
        USD
        300023.70000000
        0.024672456498
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-11-20
          Floating
          1.63200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REXFORD INDUSTRIAL REALT
        549300028US163ELJN70
        Rexford Industrial Realty LP
        76169XAA2
        
          
        
        517000.00000000
        PA
        USD
        482945.21000000
        0.039715011464
        Long
        DBT
        
        US
        N
        
        2
        
          2030-12-01
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300W2612MGSLICQ35
        Marlette Funding Trust 2019-3
        57109MAA9
        
          
        
        211774.75000000
        PA
        USD
        212909.93000000
        0.017508653436
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-09-17
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        88970.67000000
        0.007316505280
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            3332934.69000000
            USD
            50522623.85000000
            ZAR
            2021-04-08
            88970.67000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549009SOTYJD2MZFC61
        Bellemeade Re 2018-3 Ltd
        07877TAB7
        
          
        
        360176.14000000
        PA
        USD
        362164.42000000
        0.029782600167
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2028-10-25
          Floating
          1.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -229435.82000000
        -0.01886766041
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            4971311.36000000
            USD
            4478132.42000000
            CHF
            2021-05-06
            -229435.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2018-R07
        20753QAE9
        
          
        
        287109.32000000
        PA
        USD
        287558.39000000
        0.023647371418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-25
          Floating
          2.50900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR 2019-HQA3
        35564XAH4
        
          
        
        195037.22000000
        PA
        USD
        193947.92000000
        0.015949312068
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-25
          Floating
          1.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8889.93000000
        0.000731063616
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            359877.40000000
            USD
            5444654.64000000
            ZAR
            2021-04-08
            8889.93000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SH2
        
          
        
        905000.00000000
        PA
        USD
        990833.59000000
        0.081481225138
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-05-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AU3
        
          
        
        2270000.00000000
        PA
        USD
        2280805.20000000
        0.187562072859
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-09-22
          Fixed
          2.56900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P MID 400 EMINI JUN21 XCME 20210618
        000000000
        
          
        
        77.00000000
        NC
        USD
        -2781.45000000
        -0.00022873261
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                E-mini S&P MidCap 400 Index
                FAM1 Index
              
            
            2021-06-18
            20063591.45000000
            USD
            -2781.45000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        2255000.00000000
        PA
        
        2851841.84000000
        0.234521285280
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2028-02-20
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        549300D5DIOOMKWXVZ20
        Csail 2015-C2 Commercial Mortgage Trust
        12634NAT5
        
          
        
        735765.00000000
        PA
        USD
        794191.88000000
        0.065310389182
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-15
          Fixed
          3.50400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816BJ7
        
          
        
        117000.00000000
        PA
        USD
        117017.55000000
        0.009622941160
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-15
          Variable
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK INC
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680BE2
        
          
        
        650000.00000000
        PA
        USD
        815503.00000000
        0.067062909670
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK43566 EURO STOXX 50 INDEX MAR22 2975 PUT
        000000000
        
          
        
        2190.00000000
        NC
        
        196835.05000000
        0.016186735276
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                EURO STOXX 50 Index
                SX5E Index
              
            
            1.00000000
            2975.00000000
            EUR
            2022-03-18
            XXXX
            -52758.45000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBV9
        
          
        
        1720000.00000000
        PA
        USD
        2218129.20000000
        0.182407910426
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-01-23
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AL5
        
          
        
        1594000.00000000
        PA
        USD
        1592852.32000000
        0.130988250508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE ASSRNCES
        969500K2MUPSI57XK083
        Credit Agricole Assurances SA
        000000000
        
          
        
        400000.00000000
        PA
        
        522630.18000000
        0.042978505967
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-13
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS0ZA58   IRS USD R V 03MLIBOR IS0ZA69 CCPVANILLA / Short: BS0ZA58   IRS USD P F  2.61250 IS0ZA58 CCPVANILLA
        000000000
        
          
        
        1010000.00000000
        OU
        Notional Amount
        USD
        -85793.43000000
        -0.00705522486
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-11-10
            0.00000000
            USD
            0.00000000
            USD
            1010000.00000000
            USD
            -85793.43000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380GHH0
        
          
        
        905684.76000000
        PA
        USD
        200720.12000000
        0.016506224105
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P9K5   CDS USD R F  3.00000 IS1P9K5 CMBX / Short: IS1P9K5   CDS USD P V 01MEVENT IS1P9L6 CMBX
        000000000
        
          
        
        38000.00000000
        OU
        Notional Amount
        USD
        -10237.31000000
        -0.00084186544
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4834.17000000
            USD
            38000.00000000
            USD
            -5403.14000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FTBB2
        
          
        
        4598298.80000000
        PA
        USD
        838823.97000000
        0.068980710223
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA FEMSA SAB CV
        5493008KEVFYPMGTXO33
        Coca-Cola Femsa SAB de CV
        191241AH1
        
          
        
        447000.00000000
        PA
        USD
        449235.00000000
        0.036942851498
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-22
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        22546DAB2
        
          
        
        223000.00000000
        PA
        USD
        241520.15000000
        0.019861415596
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-11
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE  JUN21 XEUR 20210608
        000000000
        
          
        
        -26.00000000
        NC
        
        -2469.10000000
        -0.00020304650
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Bobl (FGBM)
                OEM1 Comdty
              
            
            2021-06-08
            -3509974.52000000
            EUR
            -2469.10000000
          
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAS7
        
          
        
        340000.00000000
        PA
        USD
        332758.34000000
        0.027364390440
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        176850000.00000000
        PA
        
        1863980.63000000
        0.153284493885
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2033-03-20
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1BYG4   CDS USD R F  3.00000 IS1BYG4 CMBX-BBB--407892 / Short: IS1BYG4   CDS USD P V 00MEVENT IS1BYH5 CMBX-BBB--407892
        000000000
        
          
        
        209000.00000000
        OU
        Notional Amount
        USD
        -56287.19000000
        -0.00462877848
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -17530.76000000
            USD
            209000.00000000
            USD
            -38756.43000000
          
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAE1
        
          
        
        39000.00000000
        PA
        USD
        40170.00000000
        0.003303380958
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AR7
        
          
        
        173000.00000000
        PA
        USD
        192851.75000000
        0.015859168500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -6667.87000000
        -0.00054833245
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            22068292.34000000
            ZAR
            1488021.08000000
            USD
            2021-04-08
            -6667.87000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1HYN9   IRS USD R V 03MLIBOR IS1HYO0 CCPVANILLA / Short: BS1HYN9   IRS USD P F  2.43600 IS1HYN9 CCPVANILLA
        000000000
        
          
        
        1040000.00000000
        OU
        Notional Amount
        USD
        -82527.31000000
        -0.00678663540
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-04
            0.00000000
            USD
            -8664.13000000
            USD
            1040000.00000000
            USD
            -73863.18000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAL5
        
          
        
        1090000.00000000
        PA
        USD
        1190116.50000000
        0.097869260243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -894.03000000
        -0.00007352057
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            342741.98000000
            CAD
            271851.25000000
            USD
            2021-04-22
            -894.03000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7282.46000000
        0.000598873280
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            745862.88000000
            USD
            15410869.69000000
            MXN
            2021-04-16
            7282.46000000
          
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        000000000
        
          
        
        400000.00000000
        PA
        USD
        438120.00000000
        0.036028809194
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-17
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN21 XCBT 20210621
        000000000
        
          
        
        -51.00000000
        NC
        USD
        366090.60000000
        0.030105469678
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNM1 Comdty
              
            
            2021-06-21
            -9608246.85000000
            USD
            366090.60000000
          
        
        
          N
          N
          N
        
      
      
        ADVANCE AUTO PARTS
        529900UCNQ5H9FSL0Y70
        Advance Auto Parts Inc
        00751YAE6
        
          
        
        459000.00000000
        PA
        USD
        498487.77000000
        0.040993154275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAW3
        
          
        
        51000.00000000
        PA
        USD
        52489.20000000
        0.004316450679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BF6
        
          
        
        719000.00000000
        PA
        USD
        778633.86000000
        0.064030975017
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-02-19
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFCRE Commercial Mortgage Trust
        N/A
        CFCRE Commercial Mortgage Trust 2016-C4
        12531YAN8
        
          
        
        1250000.00000000
        PA
        USD
        1351733.50000000
        0.111159838294
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-05-10
          Fixed
          3.28300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAT8
        
          
        
        365000.00000000
        PA
        USD
        395145.35000000
        0.032494787773
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1P8O2   CDS USD R F  3.00000 IS1P8O2 CMBX / Short: IS1P8O2   CDS USD P V 01MEVENT IS1P8P3 CMBX
        000000000
        
          
        
        103000.00000000
        OU
        Notional Amount
        USD
        -27740.50000000
        -0.00228124071
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -12758.58000000
            USD
            103000.00000000
            USD
            -14981.92000000
          
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BE6
        
          
        
        864000.00000000
        PA
        USD
        915952.32000000
        0.075323362021
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newell Brands Inc
        549300LWGYFM1TVO1Z12
        Newell Brands Inc
        651229AW6
        
          
        
        278000.00000000
        PA
        USD
        306600.64000000
        0.025213311324
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAA6
        
          
        
        1628000.00000000
        PA
        USD
        1682945.00000000
        0.138397024309
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Volkswagen Leasing GmbH
        5299004GLEUX88BSNB74
        Volkswagen Leasing GmbH
        000000000
        
          
        
        228000.00000000
        PA
        
        286204.19000000
        0.023536008747
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-01-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568QAL1
        
          
        
        294000.00000000
        PA
        USD
        295561.88000000
        0.024305538619
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2030-02-05
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSTAR Commercial Mortgage Trust
        N/A
        LSTAR Commercial Mortgage Trust 2016-4
        50219QAC8
        
          
        
        1165877.15000000
        PA
        USD
        1183506.03000000
        0.097325648077
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-10
          Fixed
          2.57900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK DE MEXICO
        549300JGHL56QT00KT54
        Kimberly-Clark de Mexico SAB de CV
        494386AD7
        
          
        
        497000.00000000
        PA
        USD
        486438.75000000
        0.040002302813
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-07-01
          Fixed
          2.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GD7
        
          
        
        491000.00000000
        PA
        USD
        515304.50000000
        0.042376078489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-30
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2017-SCH
        054966AA4
        
          
        
        1935000.00000000
        PA
        USD
        1888877.53000000
        0.155331891081
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-15
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900JBDDKUTX6TX151
        Radnor RE 2019-1 Ltd
        75049SAB9
        
          
        
        809161.70000000
        PA
        USD
        811346.60000000
        0.066721108012
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-02-25
          Floating
          2.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FR4
        
          
        
        1566532.66000000
        PA
        USD
        1834067.07000000
        0.150824551527
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973AZ9
        
          
        
        423000.00000000
        PA
        USD
        463189.23000000
        0.038090377952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WPC EUROBOND BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
        
        240000.00000000
        PA
        
        290693.57000000
        0.023905193024
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2028-04-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700BD7
        
          
        
        1285000.00000000
        PA
        USD
        1253877.30000000
        0.103112631231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5917.30000000
        -0.00048660931
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            560823.64000000
            USD
            402510.88000000
            GBP
            2021-04-09
            -5917.30000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1BT81   CDS USD R F  2.00000 IS1BT81 CMBX-A-407015 / Short: IS1BT81   CDS USD P V 00MEVENT IS1BT92 CMBX-A-407015
        000000000
        
          
        
        370000.00000000
        OU
        Notional Amount
        USD
        -29123.11000000
        -0.00239493968
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.A.6
                137BEOAF1
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -7987.55000000
            USD
            370000.00000000
            USD
            -21135.56000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAC7
        
          
        
        250000.00000000
        PA
        USD
        276162.50000000
        0.022710230117
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-07-11
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        46186.47000000
        0.003798145519
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2693000.00000000
            CHF
            2897792.81000000
            USD
            2021-05-06
            46186.47000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9034.82000000
        -0.00074297864
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            261110.63000000
            USD
            2201299.67000000
            SEK
            2021-04-15
            -9034.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBD5
        
          
        
        324857.76000000
        PA
        USD
        329019.77000000
        0.027056949042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAB6
        
          
        
        675000.00000000
        PA
        USD
        732759.75000000
        0.060258516430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        N/A
        Marlette Funding Trust 2020-1
        57109JAA6
        
          
        
        121472.83000000
        PA
        USD
        121933.08000000
        0.010027169893
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAF9
        
          
        
        240000.00000000
        PA
        USD
        318194.40000000
        0.026166724469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GUSAP III LP
        549300WY05UJ7WTHIN64
        GUSAP III LP
        36258GAA5
        
          
        
        905000.00000000
        PA
        USD
        952512.50000000
        0.078329889341
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2030-01-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566AAH2
        
          
        
        1610879.00000000
        PA
        USD
        1620196.49000000
        0.133236899014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.81700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL FUNDING LLC
        549300XAGH9TOLX5XM67
        GE Capital Funding LLC
        36166NAB9
        
          
        
        2119000.00000000
        PA
        USD
        2402522.20000000
        0.197571473409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AX4B8
        
          
        
        821605.27000000
        PA
        USD
        193289.87000000
        0.015895197310
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-10-25
          Floating
          6.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746TD3
        
          
        
        389000.00000000
        PA
        USD
        393216.76000000
        0.032336190126
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -5017.97000000
        -0.00041265288
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1450824.91000000
            CAD
            1149511.32000000
            USD
            2021-04-22
            -5017.97000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        286601.62000000
        0.023568691413
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            878584000.00000000
            JPY
            8224978.70000000
            USD
            2021-05-20
            286601.62000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS27X86   IRS CAD R V 03MCDOR IS27X97 CCPVANILLA / Short: BS27X86   IRS CAD P F  2.29700 IS27X86 CCPVANILLA
        000000000
        
          
        
        2930000.00000000
        OU
        Notional Amount
        
        123231.62000000
        0.010133955363
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-03
            148.87000000
            CAD
            0.00000000
            CAD
            2930000.00000000
            CAD
            123113.97000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1WFR5   CDS USD R F  3.00000 IS1WFR5 CMBX / Short: IS1WFR5   CDS USD P V 01MEVENT IS1WFS6 CMBX
        000000000
        
          
        
        2473000.00000000
        OU
        Notional Amount
        USD
        -666020.12000000
        -0.05477018128
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -201732.27000000
            USD
            2473000.00000000
            USD
            -464287.85000000
          
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corporation
        N/A
        Chase Mortgage Reference Notes 2019-CL1
        46591HAC4
        
          
        
        188195.72000000
        PA
        USD
        190972.64000000
        0.015704639842
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          2.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        549300UF4R84F48NCH34
        LONG GILT FUTURE  JUN21 IFLL 20210628
        000000000
        
          
        
        -175.00000000
        NC
        
        395407.06000000
        0.032516309501
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              549300UF4R84F48NCH34
            
            Short
            
              
                United Kingdom Gilt
                G M1 Comdty
              
            
            2021-06-28
            -22615068.00000000
            GBP
            395407.06000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1C6B6   CDS USD R F  3.00000 IS1C6B6 CMBX-BBB--409425 / Short: IS1C6B6   CDS USD P V 00MEVENT IS1C6C7 CMBX-BBB--409425
        000000000
        
          
        
        218000.00000000
        OU
        Notional Amount
        USD
        -58712.10000000
        -0.00482819101
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -26665.34000000
            USD
            218000.00000000
            USD
            -32046.76000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0AD1
        
          
        
        220598.78000000
        PA
        USD
        220046.25000000
        0.018095508890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-11-25
          Floating
          4.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OEC FINANCE LTD
        N/A
        OEC Finance Ltd
        67614CAF7
        
          
        
        411326.00000000
        PA
        USD
        66207.03000000
        0.005444536773
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2046-12-26
          Fixed
          7.12500000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300BL200YC56BUV20
        STACR Trust 2018-DNA3
        35563WAH7
        
          
        
        483459.00000000
        PA
        USD
        481648.30000000
        0.039608360037
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-25
          Floating
          2.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PZ5
        
          
        
        6115364.00000000
        PA
        USD
        7816199.61000000
        0.642765371078
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AU4
        
          
        
        520000.00000000
        PA
        USD
        589191.20000000
        0.048452153117
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2060-06-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HESS MIDSTREAM OPERATION
        N/A
        Hess Midstream Operations LP
        428102AC1
        
          
        
        546000.00000000
        PA
        USD
        562298.10000000
        0.046240598364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALFA S.A.
        549300ZCGJ6T8YDJ4M34
        Alfa SAB de CV
        015398AB6
        
          
        
        668000.00000000
        PA
        USD
        728120.00000000
        0.059876966472
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2024-03-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nasdaq Nordic
        N/A
        OMXS30 IND FUTURE APR21 XSTO 20210416
        000000000
        
          
        
        765.00000000
        NC
        
        295552.36000000
        0.024304755741
        N/A
        DE
        
        SE
        N
        
        1
        
          
            
              Nasdaq Nordic
              N/A
            
            Long
            
              
                OMXS30 Index
                QCJ1 Index
              
            
            2021-04-16
            164885475.17000000
            SEK
            295552.36000000
          
        
        
          N
          N
          N
        
      
      
        CANADA HOUSING TRUST
        549300M44WH89JG50067
        Canada Housing Trust No 1
        13509PFA6
        
          
        
        835000.00000000
        PA
        
        687514.56000000
        0.056537777095
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2025-12-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -54256.17000000
        -0.00446175750
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2998260.11000000
            USD
            2135484.00000000
            GBP
            2021-04-09
            -54256.17000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828U65
        
          
        
        8919000.00000000
        PA
        USD
        9019338.75000000
        0.741705548449
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-11-30
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -35723.85000000
        -0.00293775170
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            893642.40000000
            USD
            12513674535.00000000
            IDR
            2021-04-15
            -35723.85000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        174000.00000000
        PA
        
        198030.33000000
        0.016285029157
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2033-03-12
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENGIZCHEVROIL FIN CO IN
        5493001VEV2XTJIBZH31
        Tengizchevroil Finance Co International Ltd
        88034QAC1
        
          
        
        438000.00000000
        PA
        USD
        436686.00000000
        0.035910884168
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2030-08-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AF7
        
          
        
        94000.00000000
        PA
        USD
        100470.96000000
        0.008262231916
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        000000000
        
          
        
        928000.00000000
        PA
        
        1171365.57000000
        0.096327277044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-04
          Fixed
          1.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2020-1
        32060KAA3
        
          
        
        410683.02000000
        PA
        USD
        413131.06000000
        0.033973843086
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        5702.12000000
        0.000468913981
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            239203.50000000
            CHF
            258993.70000000
            USD
            2021-05-06
            5702.12000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        19059.34000000
        0.001567345303
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            13149195.60000000
            BRL
            2355178.23000000
            USD
            2021-04-05
            19059.34000000
          
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2020-1R
        730151AA5
        
          
        
        401183.74000000
        PA
        USD
        398599.72000000
        0.032778857977
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-02-27
          Floating
          2.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH METAL PACKAGING
        N/A
        Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        586496.59000000
        0.048230561796
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-09-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRESNILLO PLC
        549300JXWH1UV5J0XV81
        Fresnillo PLC
        358070AB6
        
          
        
        1956000.00000000
        PA
        USD
        1921770.00000000
        0.158036804177
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2050-10-02
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        101276.37000000
        0.008328464828
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            256177000.00000000
            JPY
            2415943.64000000
            USD
            2021-05-20
            101276.37000000
          
        
        
          N
          N
          N
        
      
      
        CLARIOS GLOBAL LP/US FIN
        N/A
        Clarios Global LP / Clarios US Finance Co
        000000000
        
          
        
        385000.00000000
        PA
        
        467548.99000000
        0.038448902925
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-05-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCANADA PIPELINES
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        893526DJ9
        
          
        
        1255000.00000000
        PA
        USD
        1650739.15000000
        0.135748575426
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2040-06-01
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH TELECOMMUNICATIO
        549300OWFMSO9NYV4H90
        British Telecommunications PLC
        111021AE1
        
          
        
        466000.00000000
        PA
        USD
        720431.34000000
        0.059244689324
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-12-15
          Fixed
          9.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23VL3   CDS USD R V 01MEVENT IS23VM4 CMBX / Short: IS23VL3   CDS USD P F  3.00000 IS23VL3 CMBX
        000000000
        
          
        
        654000.00000000
        OU
        Notional Amount
        USD
        71922.88000000
        0.005914579841
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            128852.56000000
            USD
            0.00000000
            USD
            654000.00000000
            USD
            -56929.68000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254AL4
        
          
        
        750000.00000000
        PA
        USD
        823702.50000000
        0.067737195758
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-26
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1C069   CDS USD R F  3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069   CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481
        000000000
        
          
        
        35000.00000000
        OU
        Notional Amount
        USD
        -9426.57000000
        -0.00077519422
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3355.70000000
            USD
            35000.00000000
            USD
            -6070.87000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Y38
        
          
        
        13399477.00000000
        PA
        USD
        15269122.78000000
        1.255656694997
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-07-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rolls-Royce PLC
        X57JK1U580XATGR67572
        Rolls-Royce PLC
        000000000
        
          
        
        531000.00000000
        PA
        
        599999.93000000
        0.049341009300
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-09
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2016-LC25
        95000JBB3
        
          
        
        125000.00000000
        PA
        USD
        131374.75000000
        0.010803605863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-12-15
          Variable
          4.41700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        835000.00000000
        PA
        USD
        869093.05000000
        0.071469888776
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-04-16
          Fixed
          6.87500000
          N
          N
          N
          N
          Y
          
            
              ING Groep NV
              ING Groep NV
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        126000.00000000
        PA
        
        151946.25000000
        0.012495303681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-03
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Naturgy Finance BV
        2138005FTXOJUBQ5J563
        Naturgy Finance BV
        000000000
        
          
        
        400000.00000000
        PA
        
        493781.76000000
        0.040606155425
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-11-18
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        80413TAS8
        
          
        
        428000.00000000
        PA
        USD
        453546.25000000
        0.037297387250
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-10-22
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48126HAC4
        
          
        
        360000.00000000
        PA
        USD
        389181.60000000
        0.032004358642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R02
        20754WAA3
        
          
        
        84243.54000000
        PA
        USD
        84216.64000000
        0.006925557503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-25
          Floating
          0.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        84521.65000000
        0.006950640008
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1229876.77000000
            CHF
            1386832.98000000
            USD
            2021-05-06
            84521.65000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        4623736.95000000
        PA
        
        5947944.14000000
        0.489129335618
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2026-03-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lincoln Financing SARL
        222100831I4WRVCLV609
        Lincoln Financing SARL
        000000000
        
          
        
        344000.00000000
        PA
        
        407567.95000000
        0.033516360596
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-04-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        50104.75000000
        0.004120365373
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            17021657.52000000
            AUD
            12982351.81000000
            USD
            2021-06-04
            50104.75000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -47585.49000000
        -0.00391319396
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            6469000.00000000
            CAD
            5100278.94000000
            USD
            2021-04-22
            -47585.49000000
          
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAT4
        
          
        
        400000.00000000
        PA
        USD
        436028.00000000
        0.035856773522
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-06-26
          Fixed
          5.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KA8
        
          
        
        1029000.00000000
        PA
        USD
        1157316.30000000
        0.095171934973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-29
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        100283.31000000
        0.008246800514
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            17621400.00000000
            SEK
            2118149.71000000
            USD
            2021-04-15
            100283.31000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FBCZ7
        
          
        
        2070419.63000000
        PA
        USD
        447365.30000000
        0.036789096672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-15
          Floating
          6.09400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WENA3
        
          
        
        145194.71000000
        PA
        USD
        152870.37000000
        0.012571298713
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        239750.34000000
        PA
        USD
        249589.43000000
        0.020524993039
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11746.06000000
        -0.00096593753
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1348668.45000000
            USD
            1507586105.00000000
            KRW
            2021-04-22
            -11746.06000000
          
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBD4
        
          
        
        200000.00000000
        PA
        USD
        229522.00000000
        0.018874747429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-14
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -281397.54000000
        -0.02314073376
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            6097194.22000000
            USD
            5492322.07000000
            CHF
            2021-05-06
            -281397.54000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBB9
        
          
        
        549135.18000000
        PA
        USD
        563221.54000000
        0.046316537476
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAA7
        
          
        
        1800000.00000000
        PA
        USD
        2045232.00000000
        0.168189704845
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-11-19
          Fixed
          5.17900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERNATIONAL GAME TECH
        549300UQ6KHRCZDRGZ76
        International Game Technology PLC
        460599AC7
        
          
        
        200000.00000000
        PA
        USD
        219538.00000000
        0.018053712939
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intertrust Group BV
        724500E2H60ZHP192G28
        Intertrust Group BV
        000000000
        
          
        
        555000.00000000
        PA
        
        667809.62000000
        0.054917340859
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-11-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        8012.17000000
        0.000658881001
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1623017.69000000
            SEK
            193867.60000000
            USD
            2021-04-15
            8012.17000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1BZI3   CDS USD R F  3.00000 IS1BZI3 CMBX-BBB--408196 / Short: IS1BZI3   CDS USD P V 00MEVENT IS1BZJ4 CMBX-BBB--408196
        000000000
        
          
        
        18000.00000000
        OU
        Notional Amount
        USD
        -4847.94000000
        -0.00039867046
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1565.84000000
            USD
            18000.00000000
            USD
            -3282.10000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        064058AH3
        
          
        
        236000.00000000
        PA
        USD
        255805.12000000
        0.021036140462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-20
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BX6
        
          
        
        561000.00000000
        PA
        USD
        621245.79000000
        0.051088163131
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-09-12
          Fixed
          4.29200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AC5
        
          
        
        2205000.00000000
        PA
        USD
        2402060.85000000
        0.197533534280
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-17
          Fixed
          4.34500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        000000000
        
          
        
        660000.00000000
        PA
        USD
        686208.60000000
        0.056430381441
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-03-14
          Fixed
          6.75000000
          N
          N
          N
          N
          Y
          
            
              BNP Paribas SA
              BNP Paribas SA
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23UB6   CDS USD R V 01MEVENT IS23UC7 CMBX / Short: IS23UB6   CDS USD P F  3.00000 IS23UB6 CMBX
        000000000
        
          
        
        3272000.00000000
        OU
        Notional Amount
        USD
        359552.95000000
        0.029567845866
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            662781.59000000
            USD
            0.00000000
            USD
            3272000.00000000
            USD
            -303228.64000000
          
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        Baidu Inc
        056752AQ1
        
          
        
        496000.00000000
        PA
        USD
        521360.48000000
        0.042874092156
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-04-07
          Fixed
          3.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAL9
        
          
        
        454000.00000000
        PA
        USD
        492721.66000000
        0.040518978075
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-04-03
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGLOGOLD HOLDINGS PLC
        213800745ZIXC4L6A131
        AngloGold Ashanti Holdings PLC
        03512TAE1
        
          
        
        228000.00000000
        PA
        USD
        228498.75000000
        0.018790600440
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2030-10-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAS0
        
          
        
        104000.00000000
        PA
        USD
        109515.12000000
        0.009005978641
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0QG7
        
          
        
        974865.00000000
        PA
        USD
        979430.00000000
        0.080543450629
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-25
          Floating
          2.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0LJ6
        
          
        
        1181973.87000000
        PA
        USD
        1228142.01000000
        0.100996289012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-25
          Floating
          3.90900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -5045.20000000
        -0.00041489214
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            1847867.39000000
            BRL
            323251.53000000
            USD
            2021-04-05
            -5045.20000000
          
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC CI
        549300G475ACIABB4385
        Inversiones CMPC SA/Cayman Islands Branch
        000000000
        
          
        
        467000.00000000
        PA
        USD
        491225.63000000
        0.040395952010
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2023-05-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FINANCE EUROPE
        213800WHKNIC1JQQG433
        Glencore Finance Europe Ltd
        000000000
        
          
        
        219000.00000000
        PA
        
        321857.61000000
        0.026467968635
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2026-03-26
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900MN6N176YEZLX15
        OCP CLO 2020-18 Ltd
        671078AA1
        
          
        
        1088608.00000000
        PA
        USD
        1088608.00000000
        0.089521706198
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-20
          Floating
          2.02400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN21 XCBT 20210621
        000000000
        
          
        
        97.00000000
        NC
        USD
        -685772.48000000
        -0.05639451710
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNM1 Comdty
              
            
            2021-06-21
            18263991.23000000
            USD
            -685772.48000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B0DZ6
        
          
        
        823789.28000000
        PA
        USD
        186147.71000000
        0.015307861603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-25
          Floating
          6.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFM1
        
          
        
        413000.00000000
        PA
        USD
        363332.62000000
        0.029878667123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2056-10-30
          Fixed
          2.98700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358W4V3
        
          
        
        745000.00000000
        PA
        USD
        756095.06000000
        0.062177496233
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        N/A
        THL Credit Wind River 2014-2 CLO Ltd
        88390AAT7
        
          
        
        722353.00000000
        PA
        USD
        722351.56000000
        0.059402598664
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.38100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        487.83000000
        0.000040116712
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            102807.50000000
            EUR
            121178.52000000
            USD
            2021-05-27
            487.83000000
          
        
        
          N
          N
          N
        
      
      
        CKE Restaurants Holdings Inc
        N/A
        Hardee's Funding LLC
        411707AH5
        
          
        
        436688.55000000
        PA
        USD
        450701.89000000
        0.037063481234
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-12-20
          Fixed
          3.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-2 Ltd
        078782AB5
        
          
        
        583851.00000000
        PA
        USD
        588384.25000000
        0.048385793564
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-08-26
          Floating
          3.30900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        CCUBS Commercial Mortgage Trust 2017-C1
        12508GAU0
        
          
        
        615000.00000000
        PA
        USD
        672933.37000000
        0.055338692569
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-15
          Variable
          3.54400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140KG3T8
        
          
        
        1249636.65000000
        PA
        USD
        1291728.29000000
        0.106225308344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        145583.65000000
        0.011972075111
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            884313000.00000000
            JPY
            8135724.67000000
            USD
            2021-05-20
            145583.65000000
          
        
        
          N
          N
          N
        
      
      
        Marble Point CLO XI Ltd
        549300DBVCVH5X7MO467
        Marble Point CLO XI Ltd
        56607FAA3
        
          
        
        677885.00000000
        PA
        USD
        677958.89000000
        0.055751966332
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-12-18
          Floating
          1.40300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21685WDF1
        
          
        
        285000.00000000
        PA
        USD
        300033.75000000
        0.024673282960
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-11-09
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        1875000.00000000
        PA
        
        1523135.13000000
        0.125255055639
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2035-06-21
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        47957.28000000
        0.003943768124
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            43113372.00000000
            TWD
            1566414.71000000
            USD
            2021-04-27
            47957.28000000
          
        
        
          N
          N
          N
        
      
      
        TOTAL SE
        529900S21EQ1BO4ESM68
        TOTAL SE
        000000000
        
          
        
        358000.00000000
        PA
        
        443299.11000000
        0.036454713435
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-02-26
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DCH0
        
          
        
        83634.50000000
        PA
        USD
        83851.99000000
        0.006895570501
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-05-25
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        387400000.00000000
        PA
        
        4031444.12000000
        0.331525908378
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2034-09-20
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E.ON INTL FINANCE BV
        549300TG53AWJ719M814
        E.ON International Finance BV
        000000000
        
          
        
        201000.00000000
        PA
        
        250946.81000000
        0.020636617217
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-10-19
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRF GMBH
        5299002S6DY5RA2IOQ11
        BRF GmbH
        000000000
        
          
        
        473000.00000000
        PA
        USD
        483790.31000000
        0.039784508283
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2026-09-29
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FS2
        
          
        
        3287811.20000000
        PA
        USD
        3882185.82000000
        0.319251648332
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300KB1O80CETXGJ21
        Freddie Mac STACR Trust 2019-DNA3
        35564TAH3
        
          
        
        131036.43000000
        PA
        USD
        130770.88000000
        0.010753946598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-25
          Floating
          2.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAC5
        
          
        
        584000.00000000
        PA
        USD
        610052.24000000
        0.050167661265
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -224626.31000000
        -0.01847215023
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            5117337.73000000
            USD
            541503373.00000000
            JPY
            2021-05-20
            -224626.31000000
          
        
        
          N
          N
          N
        
      
      
        NYSE Liffe
        N/A
        MSCI EMGMKT       JUN21 XNLI 20210618
        000000000
        
          
        
        625.00000000
        NC
        USD
        -329431.25000000
        -0.02709078711
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              NYSE Liffe
              N/A
            
            Long
            
              
                MSCI Emerging Markets Index
                MESH1 Index
              
            
            2021-06-18
            41657556.25000000
            USD
            -329431.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R07
        20753WAF3
        
          
        
        924475.46000000
        PA
        USD
        925140.16000000
        0.076078924274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-25
          Floating
          2.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS20363   IRS USD R V 12MUSCPI IS20374 CCPINFLATIONZERO / Short: BS20363   IRS USD P F  1.52700 IS20363 CCPINFLATIONZERO
        000000000
        
          
        
        17150000.00000000
        OU
        Notional Amount
        USD
        716332.86000000
        0.058907650718
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-02-28
            0.00000000
            USD
            0.00000000
            USD
            17150000.00000000
            USD
            716332.86000000
          
        
        
          N
          N
          N
        
      
      
        WPC Eurobond BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
        
        601000.00000000
        PA
        
        762740.76000000
        0.062724005539
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2027-04-15
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H36P6
        
          
        
        545134.65000000
        PA
        USD
        582781.21000000
        0.047925027429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRASKEM NETHERLANDS
        N/A
        Braskem Netherlands Finance BV
        10554TAD7
        
          
        
        295000.00000000
        PA
        USD
        295722.75000000
        0.024318767767
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-31
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE CREDITO DEL PER
        549300EQYQ8SCQZ4BY14
        Banco de Credito del Peru
        05971U2C0
        
          
        
        1095000.00000000
        PA
        USD
        1093193.25000000
        0.089898774347
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2030-07-01
          Fixed
          3.12500000
          N
          N
          N
          N
          Y
          
            
              Banco de Credito del Peru
              Banco de Credito del Peru
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        SIGMA ALIMENTOS SA
        549300FW3RGHPHT21D10
        Sigma Alimentos SA de CV
        82655AAC7
        
          
        
        207000.00000000
        PA
        USD
        224400.94000000
        0.018453616932
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-05-02
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAR5
        
          
        
        259953.63000000
        PA
        USD
        262268.91000000
        0.021567690395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRF SA
        254900MTXR9LUVQFU480
        BRF SA
        000000000
        
          
        
        290000.00000000
        PA
        USD
        295517.25000000
        0.024301868469
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-01-24
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828Z94
        
          
        
        3867000.00000000
        PA
        USD
        3816849.84000000
        0.313878742377
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -34459.70000000
        -0.00283379429
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1493231.69000000
            USD
            21277775110.00000000
            IDR
            2021-04-15
            -34459.70000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2015-UBS7
        06054ABB4
        
          
        
        85000.00000000
        PA
        USD
        92843.91000000
        0.007635021268
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Variable
          3.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN21 XCBT 20210621
        000000000
        
          
        
        -172.00000000
        NC
        USD
        640371.11000000
        0.052660934301
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYM1 Comdty
              
            
            2021-06-21
            -25354621.11000000
            USD
            640371.11000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAN3
        
          
        
        375000.00000000
        PA
        USD
        432573.75000000
        0.035572713186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        12045000.00000000
        PA
        USD
        12350829.78000000
        1.015670796906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AG2
        
          
        
        137000.00000000
        PA
        USD
        142841.68000000
        0.011746589139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-08
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cenovus Energy Inc
        549300EIRQ0Z2B9C1W06
        Cenovus Energy Inc
        15135UAM1
        
          
        
        54000.00000000
        PA
        USD
        58400.46000000
        0.004802563293
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cencosud SA
        549300NLTGCFV7482429
        Cencosud SA
        000000000
        
          
        
        997000.00000000
        PA
        USD
        1112589.69000000
        0.091493841077
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2025-02-12
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        278563.09000000
        0.022907642696
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            49887972.45000000
            SEK
            5991347.74000000
            USD
            2021-04-15
            278563.09000000
          
        
        
          N
          N
          N
        
      
      
        Brown Brothers Harriman & Co.
        5493006KMX1VFTPYPW14
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -217265.95000000
        -0.01786687085
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Brown Brothers Harriman & Co.
              5493006KMX1VFTPYPW14
            
            5933962.44000000
            USD
            8186334.00000000
            NZD
            2021-05-27
            -217265.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17913.10000000
        -0.00147308422
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            738996.82000000
            USD
            6297000.00000000
            SEK
            2021-04-15
            -17913.10000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AJ7
        
          
        
        436000.00000000
        PA
        USD
        460642.72000000
        0.037880965639
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        ASR Nederland NV
        7245000G0HS48PZWUD53
        ASR Nederland NV
        000000000
        
          
        
        219000.00000000
        PA
        
        286723.01000000
        0.023578673922
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2049-05-02
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAV8
        
          
        
        525000.00000000
        PA
        USD
        481598.25000000
        0.039604244174
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2050-06-03
          Fixed
          3.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -108.42000000
        -0.00000891592
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            99294.39000000
            AUD
            75330.74000000
            USD
            2021-06-04
            -108.42000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900K56RF3Z7VQ3U81
        Bellemeade Re 2019-1 Ltd
        07876RAB2
        
          
        
        1469490.00000000
        PA
        USD
        1453943.97000000
        0.119565118860
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-03-25
          Floating
          1.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -60211.05000000
        -0.00495145720
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1483311.41000000
            USD
            12427493.04000000
            SEK
            2021-04-15
            -60211.05000000
          
        
        
          N
          N
          N
        
      
      
        ALPEK SA DE CV
        549300PWKJTP62D4IQ66
        Alpek SAB de CV
        020564AE0
        
          
        
        1289000.00000000
        PA
        USD
        1269987.25000000
        0.104437433374
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1SR33   IRS USD R V 03MLIBOR IS1SR44 CCPVANILLA / Short: BS1SR33   IRS USD P F  2.50750 IS1SR33 CCPVANILLA
        000000000
        
          
        
        1220000.00000000
        OU
        Notional Amount
        USD
        -14514.40000000
        -0.00119359204
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2021-04-18
            0.00000000
            USD
            0.00000000
            USD
            1220000.00000000
            USD
            -14514.40000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1D987   CDS USD R F  3.00000 IS1D987 CMBX-BBB--413312 / Short: IS1D987   CDS USD P V 00MEVENT IS1D998 CMBX-BBB--413312
        000000000
        
          
        
        25000.00000000
        OU
        Notional Amount
        USD
        -6733.39000000
        -0.00055372049
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3294.87000000
            USD
            25000.00000000
            USD
            -3438.52000000
          
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        S+P/TSX 60 IX FUT JUN21 XMOD 20210617
        000000000
        
          
        
        72.00000000
        NC
        
        43418.87000000
        0.003570551864
        N/A
        DE
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                S&P/TSX 60 Index
                PTM1 Index
              
            
            2021-06-17
            15945275.51000000
            CAD
            43418.87000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        660.70000000
        0.000054332681
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            100605.59000000
            USD
            570976.99000000
            BRL
            2021-05-04
            660.70000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        492000.00000000
        PA
        
        876715.03000000
        0.072096682493
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2037-01-31
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        470000.00000000
        PA
        
        611797.60000000
        0.050311190989
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-07-30
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAX2
        
          
        
        486209.11000000
        PA
        USD
        492011.72000000
        0.040460596141
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBH6
        
          
        
        266261.69000000
        PA
        USD
        280865.24000000
        0.023096960059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-25
          Floating
          5.65900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brex Inc
        N/A
        Brex Commercial Charge Card Master Trust
        05601DAA1
        
          
        
        602000.00000000
        PA
        USD
        601955.52000000
        0.049501827293
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-17
          Fixed
          2.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        40140.18000000
        0.003300928709
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            6054695.75000000
            USD
            7659000.00000000
            CAD
            2021-04-22
            40140.18000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P8M0   CDS USD R F  3.00000 IS1P8M0 CMBX / Short: IS1P8M0   CDS USD P V 01MEVENT IS1P8N1 CMBX
        000000000
        
          
        
        53000.00000000
        OU
        Notional Amount
        USD
        -14278.83000000
        -0.00117421994
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -6527.44000000
            USD
            53000.00000000
            USD
            -7751.39000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -45547.93000000
        -0.00374563516
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            22527829.06000000
            ZAR
            1480265.52000000
            USD
            2021-04-08
            -45547.93000000
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAE2
        
          
        
        830000.00000000
        PA
        USD
        832176.26000000
        0.068434035624
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.17300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTINGHOUSE AIR BRAKE
        06BTX5UWZD0GQ5N5Y745
        Westinghouse Air Brake Technologies Corp
        960386AQ3
        
          
        
        210000.00000000
        PA
        USD
        222921.30000000
        0.018331938699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CZ1
        
          
        
        1155000.00000000
        PA
        USD
        1417797.15000000
        0.116592584210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-25
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XEC4
        
          
        
        253252.61000000
        PA
        USD
        263561.74000000
        0.021674006303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-05-25
          Floating
          4.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BCF21
        
          
        
        7551909.51000000
        PA
        USD
        1252697.91000000
        0.103015644065
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortgage Trust
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C4
        90270RBE3
        
          
        
        2030333.00000000
        PA
        USD
        2091947.31000000
        0.172031339535
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-SMP
        36259NAA9
        
          
        
        820000.00000000
        PA
        USD
        819504.15000000
        0.067391944340
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          1.25600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        337.81000000
        0.000027779813
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            134086.81000000
            USD
            168923.03000000
            CAD
            2021-04-22
            337.81000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAF9
        
          
        
        266824.00000000
        PA
        USD
        291914.10000000
        0.024005563339
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Variable
          3.78900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0HJ1
        
          
        
        419457.57000000
        PA
        USD
        434838.53000000
        0.035758957426
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-25
          Floating
          4.90900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        5025.90000000
        0.000413305012
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1770002502.00000000
            IDR
            126374.59000000
            USD
            2021-04-15
            5025.90000000
          
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAL2
        
          
        
        865000.00000000
        PA
        USD
        910377.90000000
        0.074864949452
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-09-10
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR3 Trust
        46187VAE9
        
          
        
        581502.00000000
        PA
        USD
        583306.52000000
        0.047968226310
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-17
          Floating
          1.40800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBJ0
        
          
        
        217000.00000000
        PA
        USD
        238198.73000000
        0.019588278539
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tenneco Inc
        549300U0EXXFAQFAD785
        Tenneco Inc
        000000000
        
          
        
        260000.00000000
        PA
        
        312524.55000000
        0.025700464212
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Black Diamond CLO Ltd
        549300K8V8PYC7UZSI28
        Black Diamond CLO 2016-1 Ltd
        09203WAQ8
        
          
        
        250000.00000000
        PA
        USD
        245582.25000000
        0.020195462491
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-26
          Floating
          1.96500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST FINANCIAL CORP
        549300DRQQI75D2JP341
        Truist Financial Corp
        89832QAF6
        
          
        
        1295000.00000000
        PA
        USD
        1412223.40000000
        0.116134226739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063BJA1
        
          
        
        935000.00000000
        PA
        USD
        964734.78000000
        0.079334988843
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2021-11-01
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBP9
        
          
        
        625000.00000000
        PA
        USD
        704068.75000000
        0.057899111325
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-04-02
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
        
        1614000.00000000
        PA
        USD
        1587385.14000000
        0.130538656823
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SJ8
        
          
        
        590000.00000000
        PA
        USD
        568796.88000000
        0.046775025700
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254AA8
        
          
        
        1100000.00000000
        PA
        USD
        1031635.00000000
        0.084836530114
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-30
          Variable
          1.72200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Z37
        
          
        
        8310459.75000000
        PA
        USD
        8983087.59000000
        0.738724433397
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-01-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        3415000.00000000
        PA
        USD
        3404594.84000000
        0.279976942106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -144771.30000000
        -0.01190527148
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            18365714.30000000
            CAD
            14470193.51000000
            USD
            2021-04-22
            -144771.30000000
          
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        600000.00000000
        PA
        
        719557.00000000
        0.059172787952
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-12-29
          Fixed
          3.25000000
          N
          N
          N
          N
          Y
          
            
              Cooperatieve Rabobank UA
              Cooperatieve Rabobank UA
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        ALLISON TRANSMISSION INC
        MWKQ3I0U1GXP2YDSZW75
        Allison Transmission Inc
        019736AG2
        
          
        
        1262000.00000000
        PA
        USD
        1225465.10000000
        0.100776153251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-30
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CABLE ONE INC
        549300648QS85T0XSH18
        Cable One Inc
        12685JAC9
        
          
        
        792000.00000000
        PA
        USD
        783177.12000000
        0.064404590117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Loan Funding Ltd
        549300HJJWTCMWFILG24
        Octagon Loan Funding Ltd
        67590RAY1
        
          
        
        460687.00000000
        PA
        USD
        460746.89000000
        0.037889532061
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-11-18
          Floating
          1.36900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAV2
        
          
        
        169000.00000000
        PA
        USD
        199080.31000000
        0.016371374288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        147.00000000
        NC
        USD
        -8877.98000000
        -0.00073008090
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUM1 Comdty
              
            
            2021-06-30
            32455682.59000000
            USD
            -8877.98000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BS2
        
          
        
        517000.00000000
        PA
        USD
        583630.96000000
        0.047994906642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-07-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAN9
        
          
        
        88283.48000000
        PA
        USD
        87890.08000000
        0.007227642934
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-16
          Floating
          1.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23YB4   CDS USD R V 01MEVENT IS23YC5 CMBX / Short: IS23YB4   CDS USD P F  3.00000 IS23YB4 CMBX
        000000000
        
          
        
        647000.00000000
        OU
        Notional Amount
        USD
        70990.66000000
        0.005837918706
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            131886.76000000
            USD
            0.00000000
            USD
            647000.00000000
            USD
            -60896.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        AK43577 FTSE 100 INDEX MAR22 5100 PUT
        000000000
        
          
        
        470.00000000
        NC
        
        79148.37000000
        0.006508768193
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                FTSE 100 Index
                UKX Index
              
            
            1.00000000
            5100.00000000
            GBP
            2022-03-18
            XXXX
            -8891.87000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Senegal
        549300NP14ZLQGWIUZ97
        Senegal Government International Bond
        000000000
        
          
        
        415000.00000000
        PA
        USD
        446125.00000000
        0.036687100570
        Long
        DBT
        NUSS
        SN
        N
        
        2
        
          2024-07-30
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AL6
        
          
        
        189000.00000000
        PA
        USD
        199706.85000000
        0.016422897821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Multifamily Structured Credit Risk
        N/A
        Freddie Mac Multifamily Structured Credit Risk
        35563FAA9
        
          
        
        208379.66000000
        PA
        USD
        208896.32000000
        0.017178594117
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-25
          Floating
          2.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA CINDA 2020 I MNGMN
        549300ZIBIB6Z9RSNU64
        China Cinda 2020 I Management Ltd
        000000000
        
          
        
        870000.00000000
        PA
        USD
        874621.88000000
        0.071924552250
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2030-03-18
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAC4
        
          
        
        675000.00000000
        PA
        USD
        763931.25000000
        0.062821905514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG STAMFORD CT
        254900R882POXXVAK772
        UBS AG/Stamford CT
        90261AAB8
        
          
        
        280000.00000000
        PA
        USD
        305270.00000000
        0.025103886110
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-08-17
          Fixed
          7.62500000
          N
          N
          N
          N
          Y
          
            
              UBS AG
              UBS AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966QRQ5
        
          
        
        885000.00000000
        PA
        USD
        824077.75000000
        0.067768054451
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-08-01
          Fixed
          1.92300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        296000000.00000000
        PA
        
        2626079.39000000
        0.215955704538
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2050-09-20
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        Radnor RE 2020-1 Ltd
        750493AA6
        
          
        
        416931.00000000
        PA
        USD
        416974.32000000
        0.034289893669
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-02-25
          Floating
          1.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVTE2
        
          
        
        3537363.74000000
        PA
        USD
        653707.30000000
        0.053757636220
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1VK11   CDS USD R F  3.00000 IS1VK11 CMBX / Short: IS1VK11   CDS USD P V 01MEVENT IS1VK22 CMBX
        000000000
        
          
        
        40000.00000000
        OU
        Notional Amount
        USD
        -10776.16000000
        -0.00088617778
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3788.99000000
            USD
            40000.00000000
            USD
            -6987.17000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        165830.01000000
        0.013637035033
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            33963824.39000000
            BRL
            6199927.78000000
            USD
            2021-04-05
            165830.01000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQKW1
        
          
        
        177946.64000000
        PA
        USD
        193850.03000000
        0.015941262081
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900KXN235YISGF415
        Bellemeade Re 2019-4 Ltd
        07876LAB5
        
          
        
        910000.00000000
        PA
        USD
        911217.67000000
        0.074934007959
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-10-25
          Floating
          2.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        93.00000000
        NC
        USD
        -63271.50000000
        -0.00520313339
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVM1 Comdty
              
            
            2021-06-30
            11539326.23000000
            USD
            -63271.50000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAG4
        
          
        
        200000.00000000
        PA
        USD
        190142.00000000
        0.015636332141
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-12-03
          Fixed
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMISION FEDERAL DE ELEC
        4469000001BFPONMPF32
        Comision Federal de Electricidad
        200447AH3
        
          
        
        1672000.00000000
        PA
        USD
        1604597.50000000
        0.131954115680
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-02-09
          Fixed
          3.34800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2020-3
        91680EAA3
        
          
        
        582441.96000000
        PA
        USD
        587030.55000000
        0.048274472010
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-11-20
          Fixed
          1.70200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Host Hotels & Resorts LP
        FXB7X4WXVA8QPMNOGS12
        Host Hotels & Resorts LP
        44107TAU0
        
          
        
        25000.00000000
        PA
        USD
        26381.75000000
        0.002169503873
        Long
        DBT
        
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1I1T7   IRS USD R V 03MLIBOR IS1I1U8 CCPVANILLA / Short: BS1I1T7   IRS USD P F  2.28650 IS1I1T7 CCPVANILLA
        000000000
        
          
        
        580000.00000000
        OU
        Notional Amount
        USD
        -39622.58000000
        -0.00325836386
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-26
            17.02000000
            USD
            0.00000000
            USD
            580000.00000000
            USD
            -39639.60000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF CHILE
        549300FLZTJM5YJF8D34
        Chile Government International Bond
        000000000
        
          
        
        438000.00000000
        PA
        
        545424.24000000
        0.044852976064
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2025-01-30
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESA ELECTRICA COCHRA
        5493000S11JF8TJHYT07
        Empresa Electrica Cochrane SpA
        000000000
        
          
        
        451400.00000000
        PA
        USD
        472559.38000000
        0.038860932473
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2027-05-14
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWELL BRANDS INC
        549300LWGYFM1TVO1Z12
        Newell Brands Inc
        651229BB1
        
          
        
        171000.00000000
        PA
        USD
        188775.45000000
        0.015523953868
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1S8V8   CDS USD R F  3.00000 IS1S8V8 CMBX / Short: IS1S8V8   CDS USD P V 01MEVENT IS1S8W9 CMBX
        000000000
        
          
        
        220000.00000000
        OU
        Notional Amount
        USD
        -59251.90000000
        -0.00487258148
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -26420.79000000
            USD
            220000.00000000
            USD
            -32831.11000000
          
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        850000.00000000
        PA
        USD
        885859.38000000
        0.072848668345
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2025-02-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
        
        522000.00000000
        PA
        USD
        564433.38000000
        0.046416193168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773DB3
        
          
        
        518000.00000000
        PA
        USD
        551379.92000000
        0.045342741558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        1670000.00000000
        PA
        
        1182384.29000000
        0.097233401760
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2030-12-21
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -1680.66000000
        -0.00013820911
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            354737.07000000
            CAD
            280610.01000000
            USD
            2021-04-22
            -1680.66000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS0UVH2   IRS USD R V 03MLIBOR IS0UVI3 CCPVANILLA / Short: BS0UVH2   IRS USD P F  1.97150 IS0UVH2 CCPVANILLA
        000000000
        
          
        
        610000.00000000
        OU
        Notional Amount
        USD
        -28756.40000000
        -0.00236478327
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-04-21
            0.00000000
            USD
            0.00000000
            USD
            610000.00000000
            USD
            -28756.40000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -34872.14000000
        -0.00286771130
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            3527490.14000000
            USD
            386547308.00000000
            JPY
            2021-05-20
            -34872.14000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -15112.91000000
        -0.00124281053
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            13171653.18000000
            NOK
            1524878.91000000
            USD
            2021-04-15
            -15112.91000000
          
        
        
          N
          N
          N
        
      
      
        CYRUSONE LP/CYRUSONE FIN
        N/A
        CyrusOne LP / CyrusOne Finance Corp
        000000000
        
          
        
        227000.00000000
        PA
        
        268204.75000000
        0.022055824346
        Long
        DBT
        
        US
        N
        
        2
        
          2027-01-22
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        N/A
        Hertz Vehicle Financing LLC 2018-2
        42806DBV0
        
          
        
        79100.39000000
        PA
        USD
        79467.00000000
        0.006534970739
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-06-27
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -270721.36000000
        -0.02226277783
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            16520760.69000000
            USD
            13842210.00000000
            EUR
            2021-05-27
            -270721.36000000
          
        
        
          N
          N
          N
        
      
      
        KINGDOM OF BAHRAIN
        549300RODM1WN85LFQ95
        Bahrain Government International Bond
        05675M2A1
        
          
        
        490000.00000000
        PA
        USD
        483568.75000000
        0.039766288291
        Long
        DBT
        NUSS
        BH
        N
        
        2
        
          2031-09-30
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        90334.33000000
        0.007428645894
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            3412051.55000000
            NZD
            2473044.73000000
            USD
            2021-05-27
            90334.33000000
          
        
        
          N
          N
          N
        
      
      
        Enel Chile SA
        549300YM5CWCAUVOPB53
        Enel Chile SA
        29278DAA3
        
          
        
        756000.00000000
        PA
        USD
        873416.25000000
        0.071825407237
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2028-06-12
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -55683.08000000
        -0.00457909948
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2999061.69000000
            USD
            223845466.01000000
            RUB
            2021-05-25
            -55683.08000000
          
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDC5
        
          
        
        500000.00000000
        PA
        USD
        542000.35000000
        0.044571412383
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0QQ5
        
          
        
        1040000.00000000
        PA
        USD
        1059742.42000000
        0.087147944503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-25
          Floating
          2.60900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18511.34000000
        -0.00152228050
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            463066.43000000
            USD
            6484319250.00000000
            IDR
            2021-04-15
            -18511.34000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y3U58
        
          
        
        150540.98000000
        PA
        USD
        157328.47000000
        0.012937910678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QEDJ8
        
          
        
        1917411.69000000
        PA
        USD
        1994579.07000000
        0.164024259876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128282L3
        
          
        
        17398770.84000000
        PA
        USD
        19285450.05000000
        1.585939468836
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        112650000.00000000
        PA
        
        989193.66000000
        0.081346365454
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2039-12-20
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-SMP
        36259NAG6
        
          
        
        230000.00000000
        PA
        USD
        224345.80000000
        0.018449082493
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          2.05600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2015-C33
        46645JAF9
        
          
        
        440000.00000000
        PA
        USD
        483070.59000000
        0.039725322091
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-15
          Fixed
          4.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARDWALK PIPELINES LP
        549300W6AQ2GHHCGL606
        Boardwalk Pipelines LP
        096630AH1
        
          
        
        559000.00000000
        PA
        USD
        562762.07000000
        0.046278752949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Oil Corp
        1FRVQX2CRLGC1XLP5727
        Marathon Oil Corp
        565849AL0
        
          
        
        341000.00000000
        PA
        USD
        365920.28000000
        0.030091463408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCZ2
        
          
        
        261000.00000000
        PA
        USD
        268083.54000000
        0.022045856639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        161907.53000000
        0.013314469792
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            13535314.40000000
            USD
            9935516.00000000
            GBP
            2021-04-09
            161907.53000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1I153   IRS USD R V 03MLIBOR IS1I164 CCPVANILLA / Short: BS1I153   IRS USD P F  2.22650 IS1I153 CCPVANILLA
        000000000
        
          
        
        6030000.00000000
        OU
        Notional Amount
        USD
        -353903.62000000
        -0.02910327307
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-07-20
            24496.97000000
            USD
            0.00000000
            USD
            6030000.00000000
            USD
            -378400.59000000
          
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        09857LAR9
        
          
        
        1321000.00000000
        PA
        USD
        1535490.77000000
        0.126271122004
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-13
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEAR CORP
        549300UPNBTXA1SYTQ33
        Lear Corp
        521865BB0
        
          
        
        411000.00000000
        PA
        USD
        430329.33000000
        0.035388143251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493008J93RJW7PJFN93
        Freddie Mac STACR Trust 2019-FTR2
        35564WAH6
        
          
        
        482035.00000000
        PA
        USD
        477773.86000000
        0.039289745366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-25
          Floating
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAF8
        
          
        
        290000.00000000
        PA
        USD
        308417.90000000
        0.025362753746
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-30
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1PBA9   CDS USD R F  3.00000 IS1PBA9 CMBX / Short: IS1PBA9   CDS USD P V 01MEVENT IS1PBB0 CMBX
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        USD
        -40411.10000000
        -0.00332320782
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -18673.03000000
            USD
            150000.00000000
            USD
            -21738.07000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OFS2   CDS USD R V 01MEVENT IS1OFT3 CMBX / Short: IS1OFS2   CDS USD P F  3.00000 IS1OFS2 CMBX
        000000000
        
          
        
        1502000.00000000
        OU
        Notional Amount
        USD
        164930.78000000
        0.013563086832
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            102003.05000000
            USD
            0.00000000
            USD
            1502000.00000000
            USD
            62927.73000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        41287.85000000
        0.003395307380
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            21659411820.00000000
            IDR
            1526224.28000000
            USD
            2021-04-15
            41287.85000000
          
        
        
          N
          N
          N
        
      
      
        TELECOM ITALIA SPA
        549300W384M3RI3VXU42
        Telecom Italia SpA/Milano
        000000000
        
          
        
        153000.00000000
        PA
        
        175529.62000000
        0.014434682705
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-01-18
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        109798.59000000
        0.009029289804
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            5298733.30000000
            EUR
            6330237.71000000
            USD
            2021-05-27
            109798.59000000
          
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DAH2
        
          
        
        104021.43000000
        PA
        USD
        104323.36000000
        0.008579034127
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2021-09-25
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7004.90000000
        0.000576048127
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            637760.08000000
            USD
            810235.92000000
            CAD
            2021-04-22
            7004.90000000
          
        
        
          N
          N
          N
        
      
      
        BHMS Mortgage Trust
        N/A
        BHMS 2018-ATLS
        05549GAA9
        
          
        
        1511581.00000000
        PA
        USD
        1510643.82000000
        0.124227832447
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-15
          Floating
          1.35600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        46080.68000000
        0.003789445876
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            27054695055.00000000
            IDR
            1900909.54000000
            USD
            2021-04-15
            46080.68000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc.
        6SHGI4ZSSLCXXQSBB395
        Long: BS24Y73   IRS EUR R V 06MEURIB IS24Y84 CCPVANILLA / Short: BS24Y73   IRS EUR P F   .12200 IS24Y73 CCPVANILLA
        000000000
        
          
        
        2300000.00000000
        OU
        Notional Amount
        
        278234.05000000
        0.022880584084
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Inc.
              6SHGI4ZSSLCXXQSBB395
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-09-30
            0.00000000
            EUR
            0.00000000
            EUR
            2300000.00000000
            EUR
            278234.05000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        97.55000000
        0.000008022026
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5077158192.00000000
            IDR
            348179.82000000
            USD
            2021-04-15
            97.55000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OF26   CDS USD R F  3.00000 IS1OF26 CMBX / Short: IS1OF26   CDS USD P V 01MEVENT IS1OF37 CMBX
        000000000
        
          
        
        58000.00000000
        OU
        Notional Amount
        USD
        -15625.88000000
        -0.00128499463
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -6179.31000000
            USD
            58000.00000000
            USD
            -9446.57000000
          
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DBQ1
        
          
        
        70810.65000000
        PA
        USD
        71003.46000000
        0.005838971314
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-02-25
          Fixed
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        29082HAC6
        
          
        
        652000.00000000
        PA
        USD
        714135.60000000
        0.058726958987
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-17
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        50460.80000000
        0.004149645154
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            22189030554.00000000
            IDR
            1571707.08000000
            USD
            2021-04-15
            50460.80000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAH4
        
          
        
        828000.00000000
        PA
        USD
        928105.20000000
        0.076322754413
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAZ0
        
          
        
        436000.00000000
        PA
        USD
        448521.92000000
        0.036884211347
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2022-07-14
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AP3
        
          
        
        593000.00000000
        PA
        USD
        644911.22000000
        0.053034290360
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Fixed
          4.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128283W8
        
          
        
        2236000.00000000
        PA
        USD
        2437240.00000000
        0.200426492563
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adani Transmission Ltd
        549300PLH866JQ6LXE52
        Adani Transmission Ltd
        000000000
        
          
        
        328000.00000000
        PA
        USD
        349989.12000000
        0.028781364066
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2026-08-03
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
        
        450000.00000000
        PA
        USD
        445710.94000000
        0.036653050336
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-11-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD MYR
        000000000
        
          
        
        1.00000000
        NC
        
        4552.91000000
        0.000374408668
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            3666961.90000000
            MYR
            886489.04000000
            USD
            2021-09-23
            4552.91000000
          
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAJ1
        
          
        
        384000.00000000
        PA
        USD
        396441.60000000
        0.032601384924
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2031-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equate Petrochemical BV
        635400Y3Z5R4NJSMQ630
        Equate Petrochemical BV
        29441WAB1
        
          
        
        625000.00000000
        PA
        USD
        633906.25000000
        0.052129296376
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-03-03
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        910000.00000000
        PA
        USD
        908680.05000000
        0.074725326715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
        
        630000.00000000
        PA
        
        740551.97000000
        0.060899309837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
        
        272000.00000000
        PA
        USD
        272524.96000000
        0.022411096924
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD MYR
        000000000
        
          
        
        1.00000000
        NC
        
        6852.11000000
        0.000563483437
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            5518764.20000000
            MYR
            1334162.75000000
            USD
            2021-09-23
            6852.11000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QG3
        
          
        
        2041653.60000000
        PA
        USD
        2192218.82000000
        0.180277169677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -5863.98000000
        -0.00048222454
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            1219189.59000000
            GBP
            1674925.46000000
            USD
            2021-04-09
            -5863.98000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DRX3
        
          
        
        505935.98000000
        PA
        USD
        549096.97000000
        0.045155003107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IS26CZ3   TRS USD R V 03MLIBOR IS26D05 IBOXXTRS / Short: IS26CZ3   TRS USD P F  1.00000 IS26CZ3 IBOXXTRS
        000000000
        
          
        
        10440000.00000000
        OU
        Notional Amount
        USD
        -112319.39000000
        -0.00923658785
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Markit iBoxx USD Liquid High Yield Index
                IBOXHY Index
              
            
            Y
            
              
                
              
            
            equity-performance leg
            2021-06-20
            0.00000000
            USD
            0.00000000
            USD
            10440000.00000000
            USD
            -112319.39000000
          
        
        
          N
          N
          N
        
      
      
        MICRON TECHNOLOGY INC
        B3DXGBC8GAIYWI2Z0172
        Micron Technology Inc
        595112BP7
        
          
        
        1417000.00000000
        PA
        USD
        1573535.99000000
        0.129399771626
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          4.18500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL CARIBBEAN CRUISES
        K2NEH8QNVW44JIWK7Z55
        Royal Caribbean Cruises Ltd
        780153AZ5
        
          
        
        747000.00000000
        PA
        USD
        871009.47000000
        0.071627485623
        Long
        DBT
        CORP
        LR
        
        N
        
        2
        
          2025-06-01
          Fixed
          11.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13831.89000000
        -0.00113746582
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2053939.87000000
            USD
            2563676.40000000
            CAD
            2021-04-22
            -13831.89000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAA8
        
          
        
        712167.00000000
        PA
        USD
        709456.49000000
        0.058342172259
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1E3T9   CDS USD R F  3.00000 IS1E3T9 CMBX-BBB--416265 / Short: IS1E3T9   CDS USD P V 00MEVENT IS1E3U0 CMBX-BBB--416265
        000000000
        
          
        
        239000.00000000
        OU
        Notional Amount
        USD
        -64370.00000000
        -0.00529346856
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -24717.11000000
            USD
            239000.00000000
            USD
            -39652.89000000
          
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        68205LAS2
        
          
        
        586000.00000000
        PA
        USD
        612919.38000000
        0.050403440595
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2031-01-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        000000000
        
          
        
        268000.00000000
        PA
        
        330940.63000000
        0.027214911013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-11
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1S733   CDS USD R F  3.00000 IS1S733 CMBX / Short: IS1S733   CDS USD P V 01MEVENT IS1S744 CMBX
        000000000
        
          
        
        637000.00000000
        OU
        Notional Amount
        USD
        -171561.19000000
        -0.01410833876
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -75830.77000000
            USD
            637000.00000000
            USD
            -95730.42000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WTF43
        
          
        
        9957.85000000
        PA
        USD
        10400.60000000
        0.000855293602
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1UPY6   CDS USD R F  3.00000 IS1UPY6 CMBX / Short: IS1UPY6   CDS USD P V 01MEVENT IS1UPZ7 CMBX
        000000000
        
          
        
        165000.00000000
        OU
        Notional Amount
        USD
        -44439.62000000
        -0.00365449326
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -15583.09000000
            USD
            165000.00000000
            USD
            -28856.53000000
          
        
        
          N
          N
          N
        
      
      
        CARNIVAL PLC
        4DR1VPDQMHD3N3QW8W95
        Carnival PLC
        000000000
        
          
        
        490000.00000000
        PA
        
        442074.72000000
        0.036354025693
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2029-10-28
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix Inc
        549300Y7VHGU0I7CE873
        Netflix Inc
        000000000
        
          
        
        275000.00000000
        PA
        
        369253.92000000
        0.030365605377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KD2
        
          
        
        416000.00000000
        PA
        USD
        416520.00000000
        0.034252532652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-15
          Variable
          4.67200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        549300A2KXZJ0K08VV65
        Flagship Credit Auto Trust 2016-4
        33844FAE7
        
          
        
        424167.06000000
        PA
        USD
        429214.10000000
        0.035296432284
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23728.37000000
        -0.00195130310
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            623324.00000000
            USD
            66360557.00000000
            JPY
            2021-05-20
            -23728.37000000
          
        
        
          N
          N
          N
        
      
      
        Romark CLO Ltd
        254900GSE9VJ5J2MGY69
        Romark CLO III Ltd
        77587MAA8
        
          
        
        650000.00000000
        PA
        USD
        650247.00000000
        0.053473078363
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-15
          Floating
          1.61100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -114844.02000000
        -0.00944420086
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            35811691.78000000
            BRL
            6236580.37000000
            USD
            2021-05-04
            -114844.02000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828WU0
        
          
        
        8033239.50000000
        PA
        USD
        8683429.82000000
        0.714082069161
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-07-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIC
        2549006I3Q3M98KHOT11
        CITIC Ltd
        000000000
        
          
        
        626000.00000000
        PA
        USD
        620326.88000000
        0.051012596544
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2030-02-25
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3UZ4
        
          
        
        48035.80000000
        PA
        USD
        50141.56000000
        0.004123392444
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6601.40000000
        -0.00054286629
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            555381.86000000
            USD
            467465.60000000
            EUR
            2021-05-27
            -6601.40000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPG65
        
          
        
        1793544.64000000
        PA
        USD
        1945429.53000000
        0.159982446220
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEX BONOS DESARR FIX RT
        254900EGTWEU67VP6075
        Mexican Bonos
        000000000
        
          
        
        11735000.00000000
        PA
        
        611810.92000000
        0.050312286359
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2031-05-29
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AF4
        
          
        
        877000.00000000
        PA
        USD
        901047.34000000
        0.074097650616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-08
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS0VVP3   IRS USD R V 03MLIBOR IS0VVQ4 CCPVANILLA / Short: BS0VVP3   IRS USD P F  2.47000 IS0VVP3 CCPVANILLA
        000000000
        
          
        
        370000.00000000
        OU
        Notional Amount
        USD
        -27847.76000000
        -0.00229006124
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-06-09
            0.00000000
            USD
            0.00000000
            USD
            370000.00000000
            USD
            -27847.76000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        10939.37000000
        0.000899599366
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            1668536.02000000
            EUR
            1969714.45000000
            USD
            2021-05-27
            10939.37000000
          
        
        
          N
          N
          N
        
      
      
        STATE OF ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government International Bond
        46513JB42
        
          
        
        766000.00000000
        PA
        USD
        841403.13000000
        0.069192807510
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2050-07-03
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Notas do Tesouro Nacional Serie F
        000000000
        
          
        
        73426000.00000000
        PA
        
        13736192.32000000
        1.129596120149
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2023-01-01
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -210.27000000
        -0.00001729155
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            4624.01000000
            USD
            38543.81000000
            SEK
            2021-04-15
            -210.27000000
          
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973AY2
        
          
        
        198000.00000000
        PA
        USD
        197754.48000000
        0.016262344625
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-04-15
          Variable
          3.72700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAU5
        
          
        
        1492000.00000000
        PA
        USD
        1423114.36000000
        0.117029845108
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2028-01-26
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        TOPIX INDX FUTR   JUN21 XOSE 20210610
        000000000
        
          
        
        223.00000000
        NC
        
        1149544.05000000
        0.094532783799
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                TOPIX Index
                TPM1 Index
              
            
            2021-06-10
            4248849240.00000000
            JPY
            1149544.05000000
          
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956PAT9
        
          
        
        90000.00000000
        PA
        USD
        96337.80000000
        0.007922341400
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-20
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        Sofi Consumer Loan Program 2018-3 Trust
        83405XAB0
        
          
        
        73508.14000000
        PA
        USD
        73722.36000000
        0.006062560124
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-25
          Fixed
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        400000.00000000
        PA
        
        595058.55000000
        0.048934654792
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-02-18
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OA09   CDS USD R F  3.00000 IS1OA09 CMBX / Short: IS1OA09   CDS USD P V 01MEVENT IS1OA10 CMBX
        000000000
        
          
        
        54000.00000000
        OU
        Notional Amount
        USD
        -14548.47000000
        -0.00119639379
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -6000.92000000
            USD
            54000.00000000
            USD
            -8547.55000000
          
        
        
          N
          N
          N
        
      
      
        PT PERTAMINA (PERSERO)
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69370RAA5
        
          
        
        525000.00000000
        PA
        USD
        650994.75000000
        0.053534569603
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2044-05-30
          Fixed
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AH0
        
          
        
        723000.00000000
        PA
        USD
        742166.73000000
        0.061032099666
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        602.62000000
        0.000049556470
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            126997.50000000
            EUR
            149691.12000000
            USD
            2021-05-27
            602.62000000
          
        
        
          N
          N
          N
        
      
      
        TENGIZCHEVROIL FIN CO IN
        5493001VEV2XTJIBZH31
        Tengizchevroil Finance Co International Ltd
        88034QAA5
        
          
        
        363000.00000000
        PA
        USD
        386595.00000000
        0.031791649526
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OEC FINANCE LTD
        N/A
        OEC Finance Ltd
        67614CAE0
        
          
        
        111689.00000000
        PA
        USD
        18272.32000000
        0.001502624693
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2033-12-27
          Fixed
          5.25000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368JKF6
        
          
        
        508000.00000000
        PA
        USD
        552907.20000000
        0.045468337467
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-08-19
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        69374.29000000
        0.005704996479
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1003505.00000000
            CHF
            1131981.50000000
            USD
            2021-05-06
            69374.29000000
          
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AT3
        
          
        
        676000.00000000
        PA
        USD
        738989.68000000
        0.060770834879
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-11-26
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        2505000.00000000
        PA
        
        2948188.94000000
        0.242444391466
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2045-04-30
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUNDESREPUB. DEUTSCHLAND
        529900AQBND3S6YJLY83
        Bundesrepublik Deutschland Bundesanleihe
        000000000
        
          
        
        885000.00000000
        PA
        
        962865.99000000
        0.079181308851
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2050-08-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XCT9
        
          
        
        335872.33000000
        PA
        USD
        355205.68000000
        0.029210348008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-25
          Floating
          6.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335AY51
        
          
        
        795610.54000000
        PA
        USD
        879247.59000000
        0.072304947628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAG5
        
          
        
        695000.00000000
        PA
        USD
        732312.81000000
        0.060221762307
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2025-04-16
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2N2
        
          
        
        508000.00000000
        PA
        USD
        524057.88000000
        0.043095912913
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        2900000.00000000
        PA
        
        2628872.47000000
        0.216185393542
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2037-04-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        8230.99000000
        0.000676875669
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1995041.26000000
            SEK
            236687.68000000
            USD
            2021-04-15
            8230.99000000
          
        
        
          N
          N
          N
        
      
      
        LEVIATHAN BOND LTD
        254900D9T8VKYVQNZ220
        Leviathan Bond Ltd
        000000000
        
          
        
        196151.00000000
        PA
        USD
        213135.72000000
        0.017527221282
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2025-06-30
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANNER HEALTH
        PLD0E0WJKFN8IZJ2WD85
        Banner Health
        06654DAD9
        
          
        
        310000.00000000
        PA
        USD
        294236.50000000
        0.024196545961
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-01
          Fixed
          1.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133A7S26
        
          
        
        558939.56000000
        PA
        USD
        577766.38000000
        0.047512632758
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dufry One BV
        7245003K5MN9U7XW0808
        Dufry One BV
        000000000
        
          
        
        242000.00000000
        PA
        
        279218.65000000
        0.022961552689
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-10-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2018-B2
        17327FAD8
        
          
        
        450000.00000000
        PA
        USD
        501882.21000000
        0.041272296134
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-10
          Fixed
          4.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INRETAIL CONSUMER
        N/A
        InRetail Consumer
        45790TAB1
        
          
        
        602000.00000000
        PA
        USD
        600871.25000000
        0.049412662322
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2028-03-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        600000.00000000
        PA
        
        703113.40000000
        0.057820548093
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-11-18
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        4422.72000000
        0.000363702490
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            269919.10000000
            GBP
            376536.44000000
            USD
            2021-04-09
            4422.72000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHQK6
        
          
        
        15018.30000000
        PA
        USD
        15704.82000000
        0.001291486266
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        551000.00000000
        PA
        USD
        651981.77000000
        0.053615737217
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAG7
        
          
        
        500000.00000000
        PA
        USD
        501142.50000000
        0.041211466063
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          3.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK39521 S+P 500 INDEX JAN22 3000 PUT
        000000000
        
          
        
        35400.00000000
        NC
        USD
        2347715.43000000
        0.193064437302
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            1.00000000
            3000.00000000
            USD
            2022-01-21
            XXXX
            -2226424.77000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900KXN235YISGF415
        Bellemeade Re 2019-4 Ltd
        07876LAC3
        
          
        
        235000.00000000
        PA
        USD
        236181.35000000
        0.019422379244
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-10-25
          Floating
          2.60900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAU4
        
          
        
        239000.00000000
        PA
        USD
        297153.48000000
        0.024436423884
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        AK41634 FTSE 100 INDEX MAR22 5100 PUT
        000000000
        
          
        
        950.00000000
        NC
        
        159980.75000000
        0.013156020991
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                FTSE 100 Index
                UKX Index
              
            
            1.00000000
            5100.00000000
            GBP
            2022-03-18
            XXXX
            -29307.98000000
          
        
        
          N
          N
          N
        
      
      
        Kayne CLO
        N/A
        Kayne CLO 7 Ltd
        48661CAE2
        
          
        
        250000.00000000
        PA
        USD
        250786.75000000
        0.020623454679
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828SA9
        
          
        
        10521464.85000000
        PA
        USD
        10748333.94000000
        0.883889511288
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-01-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re 2018-1 Ltd.
        549300BLEDGL5R7YKU33
        Eagle RE 2018-1 Ltd
        269826AB9
        
          
        
        295000.00000000
        PA
        USD
        297571.04000000
        0.024470761942
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-11-25
          Floating
          3.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS24398   CDS USD R V 01MEVENT IS243A9 CMBX / Short: IS24398   CDS USD P F  3.00000 IS24398 CMBX
        000000000
        
          
        
        344000.00000000
        OU
        Notional Amount
        USD
        37746.90000000
        0.003104117268
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            69399.34000000
            USD
            0.00000000
            USD
            344000.00000000
            USD
            -31652.44000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        549300MGZ5FI5VFL1177
        COMM 2013-CCRE12 Mortgage Trust
        12591KAE5
        
          
        
        500000.00000000
        PA
        USD
        537473.25000000
        0.044199126201
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-10-10
          Fixed
          4.04600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2015-XLF1
        61765VAA6
        
          
        
        245802.91000000
        PA
        USD
        209139.73000000
        0.017198610944
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-11-15
          Floating
          2.05600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SS274P0   IRS BRL R F  4.91000 IS274P0 CCPNDFPREDISWAP / Short: SS274P0   IRS BRL P V 00MBRCDI IS274Q1 CCPNDFPREDISWAP
        000000000
        
          
        
        15065000.00000000
        OU
        Notional Amount
        
        -47764.21000000
        -0.00392789100
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            0.00000000
            BRL
            0.00000000
            BRL
            15065000.00000000
            BRL
            -47764.21000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BK9
        
          
        
        36000.00000000
        PA
        USD
        39715.92000000
        0.003266039677
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT Credit Risk Transfer Trust
        N/A
        PMT Credit Risk Transfer Trust 2019-3R
        69349MAA4
        
          
        
        182122.84000000
        PA
        USD
        182393.53000000
        0.014999136516
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-10-27
          Floating
          2.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HBC0
        
          
        
        600000.00000000
        PA
        USD
        625590.00000000
        0.051445409349
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-01-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        203.26000000
        0.000016715091
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            10578048745.00000000
            IDR
            725418.24000000
            USD
            2021-04-15
            203.26000000
          
        
        
          N
          N
          N
        
      
      
        China Development Bank
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        19350000.00000000
        PA
        
        2986999.43000000
        0.245635973085
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-02-26
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN21 XCBT 20210621
        000000000
        
          
        
        35.00000000
        NC
        USD
        -210736.14000000
        -0.01732989176
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USM1 Comdty
              
            
            2021-06-21
            5621517.39000000
            USD
            -210736.14000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        153853.72000000
        0.012652164525
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            383853177.00000000
            JPY
            3622129.11000000
            USD
            2021-05-20
            153853.72000000
          
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BD6
        
          
        
        478000.00000000
        PA
        USD
        528448.12000000
        0.043456944409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INFOR INC
        549300Q3IIYBYI4RHD64
        Infor Inc
        45674CAA1
        
          
        
        398000.00000000
        PA
        USD
        401816.82000000
        0.033043416276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABV6
        
          
        
        567000.00000000
        PA
        USD
        573679.26000000
        0.047176528342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AG6
        
          
        
        575000.00000000
        PA
        USD
        546641.00000000
        0.044953036353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C26
        46643TBE1
        
          
        
        770000.00000000
        PA
        USD
        831018.65000000
        0.068338839537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-01-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Asset Securitization Trust 2020-A
        N/A
        Affirm Asset Securitization Trust 2020-A
        00833LAA4
        
          
        
        815000.00000000
        PA
        USD
        823704.85000000
        0.067737389010
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-02-18
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Traingle Re 2021-1 Ltd
        89600FAB9
        
          
        
        867566.00000000
        PA
        USD
        867564.96000000
        0.071344226257
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2033-08-25
          Floating
          3.10700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: IS23U16   CDS USD R V 01MEVENT IS23U27 CMBX / Short: IS23U16   CDS USD P F  3.00000 IS23U16 CMBX
        000000000
        
          
        
        396000.00000000
        OU
        Notional Amount
        USD
        43516.72000000
        0.003578598561
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            76832.99000000
            USD
            0.00000000
            USD
            396000.00000000
            USD
            -33316.27000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OD00   CDS USD R V 01MEVENT IS1OD11 CMBX / Short: IS1OD00   CDS USD P F  3.00000 IS1OD00 CMBX
        000000000
        
          
        
        153000.00000000
        OU
        Notional Amount
        USD
        16801.87000000
        0.001381702201
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            11132.52000000
            USD
            0.00000000
            USD
            153000.00000000
            USD
            5669.35000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23VJ1   CDS USD R V 01MEVENT IS23VK2 CMBX / Short: IS23VJ1   CDS USD P F  3.00000 IS23VJ1 CMBX
        000000000
        
          
        
        1636000.00000000
        OU
        Notional Amount
        USD
        179911.34000000
        0.014795013559
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            325255.75000000
            USD
            0.00000000
            USD
            1636000.00000000
            USD
            -145344.41000000
          
        
        
          N
          N
          N
        
      
      
        COCA-COLA FEMSA SAB CV
        5493008KEVFYPMGTXO33
        Coca-Cola Femsa SAB de CV
        191241AJ7
        
          
        
        520000.00000000
        PA
        USD
        475962.50000000
        0.039140788131
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2032-09-01
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIMA METRO LINE 2 FIN LT
        5493009BVQNQT1UKQ352
        Lima Metro Line 2 Finance Ltd
        532522AB5
        
          
        
        422000.00000000
        PA
        USD
        446265.00000000
        0.036698613474
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2036-04-05
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FAXY9
        
          
        
        744115.81000000
        PA
        USD
        143973.02000000
        0.011839624912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-09-15
          Floating
          6.04400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        549300T6W1U156OOG754
        Wells Fargo Credit Risk Transfer Securities Trust 2015
        949771AG4
        
          
        
        82569.42000000
        PA
        USD
        81580.45000000
        0.006708770353
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-11-25
          Floating
          5.60900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1650.95000000
        0.000135765914
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            135441.66000000
            GBP
            188372.45000000
            USD
            2021-04-09
            1650.95000000
          
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAR5
        
          
        
        384000.00000000
        PA
        USD
        422246.40000000
        0.034723443300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2013-WBRK
        05525BAL4
        
          
        
        500000.00000000
        PA
        USD
        448304.00000000
        0.036866290690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-10
          Variable
          3.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Traingle Re 2020-1 Ltd
        89600MAB4
        
          
        
        1869774.00000000
        PA
        USD
        1899873.25000000
        0.156236124391
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-10-25
          Floating
          4.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS24KF3   CDS USD R F  5.00000 IS24KF3 CCPCDX / Short: SS24KF3   CDS USD P V 03MEVENT IS24KG4 CCPCDX
        000000000
        
          
        
        1570440.00000000
        OU
        Notional Amount
        USD
        146050.43000000
        0.012010460776
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.HY.S34.V8
                2I65BRYD6
              
            
            Y
            
            sell protection
            2025-06-20
            83265.24000000
            USD
            0.00000000
            USD
            1570440.00000000
            USD
            62785.19000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1IXF7   CDS USD R F  3.00000 IS1IXF7 CMBX / Short: IS1IXF7   CDS USD P V 01MEVENT IS1IXG8 CMBX
        000000000
        
          
        
        36000.00000000
        OU
        Notional Amount
        USD
        -9695.84000000
        -0.00079733764
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5207.92000000
            USD
            36000.00000000
            USD
            -4487.92000000
          
        
        
          N
          N
          N
        
      
      
        NETHERLANDS GOVERNMENT
        254900G14ALGVKORFN62
        Netherlands Government Bond
        000000000
        
          
        
        2755000.00000000
        PA
        
        3384832.53000000
        0.278351788048
        Long
        DBT
        NUSS
        NL
        N
        
        2
        
          2029-07-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        565000.00000000
        PA
        
        710638.73000000
        0.058439393795
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBL5
        
          
        
        189000.00000000
        PA
        USD
        207503.10000000
        0.017064022635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAQ5
        
          
        
        172000.00000000
        PA
        USD
        198219.68000000
        0.016300600359
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE GRID OVERSEAS INV
        N/A
        State Grid Overseas Investment 2014 Ltd
        857004AC9
        
          
        
        951000.00000000
        PA
        USD
        1043128.13000000
        0.085781667948
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-07
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1434500.60000000
        0.117966192840
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            68434465.43000000
            EUR
            81773027.09000000
            USD
            2021-05-27
            1434500.60000000
          
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XAV6
        
          
        
        96000.00000000
        PA
        USD
        101388.48000000
        0.008337684197
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBP4
        
          
        
        1736000.00000000
        PA
        USD
        1549518.88000000
        0.127424723982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-04
          Fixed
          2.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        197058.99000000
        0.016205150987
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            40359862.94000000
            BRL
            7367492.92000000
            USD
            2021-04-05
            197058.99000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        680000.00000000
        PA
        USD
        775118.40000000
        0.063741881075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust 2018-KEYS
        04410CAA7
        
          
        
        600000.00000000
        PA
        USD
        599445.90000000
        0.049295448629
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re 2018-1 Ltd.
        549300BLEDGL5R7YKU33
        Eagle RE 2018-1 Ltd
        269826AA1
        
          
        
        207616.60000000
        PA
        USD
        208592.85000000
        0.017153638254
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-11-25
          Floating
          1.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eastman Chemical Co
        FDPVHDGJ1IQZFK9KH630
        Eastman Chemical Co
        277432AR1
        
          
        
        216000.00000000
        PA
        USD
        234854.64000000
        0.019313277214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX
        46637WAQ6
        
          
        
        102984.00000000
        PA
        USD
        43277.73000000
        0.003558945212
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-06-15
          Variable
          5.13500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        59562VAM9
        
          
        
        209000.00000000
        PA
        USD
        283414.45000000
        0.023306594408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        000000000
        
          
        
        768000.00000000
        PA
        
        1038034.27000000
        0.085362774243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SR0
        
          
        
        2275000.00000000
        PA
        USD
        1851636.72000000
        0.152269392136
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-05-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2011-GC5
        36191YAL2
        
          
        
        114470.00000000
        PA
        USD
        69855.53000000
        0.005744571262
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-08-10
          Variable
          5.40600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAKER HUGHES LLC/CO-OBL
        N/A
        Baker Hughes a GE Co LLC / Baker Hughes Co-Obligor Inc
        05723KAE0
        
          
        
        1017000.00000000
        PA
        USD
        1088118.81000000
        0.089481477647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.33700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -141948.26000000
        -0.01167311872
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            44263577.00000000
            BRL
            7708470.10000000
            USD
            2021-05-04
            -141948.26000000
          
        
        
          N
          N
          N
        
      
      
        PNC FINANCIAL SERVICES
        CFGNEKW0P8842LEUIA51
        PNC Financial Services Group Inc/The
        693475AK1
        
          
        
        56000.00000000
        PA
        USD
        56855.68000000
        0.004675528271
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        73441.79000000
        0.006039487443
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            25457000.00000000
            SEK
            2988580.49000000
            USD
            2021-04-15
            73441.79000000
          
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BK0
        
          
        
        1867000.00000000
        PA
        USD
        1895994.51000000
        0.155917156110
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1SCR2   IRS USD R V 03MLIBOR IS1SCS3 CCPVANILLA / Short: BS1SCR2   IRS USD P F  2.40300 IS1SCR2 CCPVANILLA
        000000000
        
          
        
        4550000.00000000
        OU
        Notional Amount
        USD
        -53081.69000000
        -0.00436517410
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2021-04-02
            0.00000000
            USD
            0.00000000
            USD
            4550000.00000000
            USD
            -53081.69000000
          
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        549300SDDOLWC85Q9Q65
        OZLM XXII Ltd
        67111VAC0
        
          
        
        301790.11000000
        PA
        USD
        300882.93000000
        0.024743115299
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-17
          Floating
          1.29300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BB6
        
          
        
        1335000.00000000
        PA
        USD
        1370617.80000000
        0.112712789179
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2021-08-15
          Fixed
          8.62500000
          N
          N
          N
          N
          Y
          
            
              Natwest Group PLC
              Natwest Group PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BFN5
        
          
        
        875000.00000000
        PA
        USD
        946557.50000000
        0.077840179766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBN4
        
          
        
        170000.00000000
        PA
        USD
        193927.50000000
        0.015947632829
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2030-04-02
          Fixed
          4.90600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493003FQV7GR462GO02
        Freddie Mac Stacr Remic Trust 2020-DNA1
        35565HAH8
        
          
        
        891361.63000000
        PA
        USD
        888390.99000000
        0.073056855357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          1.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB Bank ASA
        549300GKFG0RYRRQ1414
        DNB Bank ASA
        000000000
        
          
        
        800000.00000000
        PA
        USD
        830648.00000000
        0.068308359125
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2022-03-26
          Fixed
          6.50000000
          N
          N
          N
          N
          Y
          
            
              DNB Bank ASA
              DNB Bank ASA
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1IXL3   CDS USD R F  3.00000 IS1IXL3 CMBX / Short: IS1IXL3   CDS USD P V 01MEVENT IS1IXM4 CMBX
        000000000
        
          
        
        301000.00000000
        OU
        Notional Amount
        USD
        -81065.73000000
        -0.00666644234
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -43345.85000000
            USD
            301000.00000000
            USD
            -37719.88000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AGLD5
        
          
        
        1210000.00000000
        PA
        USD
        1215904.80000000
        0.099989961741
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-07-07
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        87963.41000000
        0.007233673228
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            12742810.40000000
            SEK
            1547171.47000000
            USD
            2021-04-15
            87963.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAZ7
        
          
        
        302867.12000000
        PA
        USD
        306770.65000000
        0.025227292101
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tyson Foods Inc
        WD6L6041MNRW1JE49D58
        Tyson Foods Inc
        902494AX1
        
          
        
        630000.00000000
        PA
        USD
        688879.80000000
        0.056650047640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2867.82000000
        0.000235835249
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            296632.32000000
            USD
            376363.14000000
            CAD
            2021-04-22
            2867.82000000
          
        
        
          N
          N
          N
        
      
      
        Tobacco Settlement Finance Authority
        N/A
        TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED
        88880LAV5
        
          
        
        875000.00000000
        PA
        USD
        898374.84000000
        0.073877877512
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World Financial Network Credit Card Master Trust
        N/A
        World Financial Network Credit Card Master Trust
        981464GT1
        
          
        
        445000.00000000
        PA
        USD
        451322.07000000
        0.037114481752
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDBL FUNDING 1
        254900PLOF8VWTAH3F83
        CDBL Funding 1
        000000000
        
          
        
        850000.00000000
        PA
        USD
        901531.25000000
        0.074137444967
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-10-24
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baxalta Inc
        5493000JW8DCO3T45R55
        Baxalta Inc
        07177MAL7
        
          
        
        56000.00000000
        PA
        USD
        57719.76000000
        0.004746585912
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-23
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BL2
        
          
        
        521000.00000000
        PA
        USD
        517900.05000000
        0.042589523608
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-15
          Variable
          3.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KLABIN AUSTRIA GMBH
        984500578YEA8DD41B09
        Klabin Austria GmbH
        49836AAC8
        
          
        
        213000.00000000
        PA
        USD
        202350.00000000
        0.016640257328
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2031-01-12
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danske Bank A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAT8
        
          
        
        1030000.00000000
        PA
        USD
        1148439.70000000
        0.094441967549
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2024-01-12
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BYRV4
        
          
        
        2038591.58000000
        PA
        USD
        487524.90000000
        0.040091622386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-15
          Floating
          6.04400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        32755.23000000
        0.002693627161
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            3715615.81000000
            USD
            2718945.54000000
            GBP
            2021-04-09
            32755.23000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZX9
        
          
        
        411000.00000000
        PA
        USD
        473237.73000000
        0.038916716602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER MEXICO
        SCRYQ25DTVRHYYMM6P89
        Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
        05969BAD5
        
          
        
        537000.00000000
        PA
        USD
        602943.60000000
        0.049583082077
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-04-17
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHLAND I/L BOND
        529900AQBND3S6YJLY83
        Deutsche Bundesrepublik Inflation Linked Bond
        000000000
        
          
        
        4604507.55000000
        PA
        
        5959979.56000000
        0.490119068684
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2026-04-15
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kingdom Of Bahrain
        549300RODM1WN85LFQ95
        Bahrain Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        197375.00000000
        0.016231138078
        Long
        DBT
        NUSS
        BH
        N
        
        2
        
          2031-09-30
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828TE0
        
          
        
        21139056.18000000
        PA
        USD
        21964800.56000000
        1.806275925265
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRUST
        N/A
        WFRBS Commercial Mortgage Trust 2011-C3
        92935VAQ1
        
          
        
        410000.00000000
        PA
        USD
        408556.76000000
        0.033597675411
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-15
          Variable
          5.33500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAT3
        
          
        
        930000.00000000
        PA
        USD
        933022.50000000
        0.076727128702
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-26
          Fixed
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLEGHANY CORP
        549300DCJE6AYX159479
        Alleghany Corp
        017175AE0
        
          
        
        1655000.00000000
        PA
        USD
        1784520.30000000
        0.146750071653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AV5
        
          
        
        252000.00000000
        PA
        USD
        252201.60000000
        0.020739804905
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-04-01
          Fixed
          1.72600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9T37
        
          
        
        547915.83000000
        PA
        USD
        604356.42000000
        0.049699265365
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300FK0U6W6777SM18
        Marlette Funding Trust 2019-1
        57109XAA5
        
          
        
        71751.67000000
        PA
        USD
        72157.48000000
        0.005933872178
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-04-16
          Fixed
          3.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        10568.39000000
        0.000869091816
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            3281359.35000000
            SEK
            386324.28000000
            USD
            2021-04-15
            10568.39000000
          
        
        
          N
          N
          N
        
      
      
        CommScope Inc
        549300Z6K4JXMFE8QY54
        CommScope Inc
        20338QAB9
        
          
        
        225000.00000000
        PA
        USD
        232006.50000000
        0.019079060349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HKK5
        
          
        
        601000.00000000
        PA
        USD
        601378.63000000
        0.049454386729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-01
          Variable
          4.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        549300SSCQUZ3RRV2T53
        GS Mortgage Securities Trust 2013-GCJ12
        36197XAQ7
        
          
        
        465000.00000000
        PA
        USD
        486362.70000000
        0.039996048839
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-10
          Variable
          3.77700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OD66   CDS USD R F  3.00000 IS1OD66 CMBX / Short: IS1OD66   CDS USD P V 01MEVENT IS1OD77 CMBX
        000000000
        
          
        
        49000.00000000
        OU
        Notional Amount
        USD
        -13201.39000000
        -0.00108561663
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5325.01000000
            USD
            49000.00000000
            USD
            -7876.38000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAK4
        
          
        
        875000.00000000
        PA
        USD
        953513.75000000
        0.078412227159
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-22
          Fixed
          3.59100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -119485.16000000
        -0.00982586513
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2334381.36000000
            USD
            19342000.00000000
            SEK
            2021-04-15
            -119485.16000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CBF7
        
          
        
        4514754.26000000
        PA
        USD
        4857593.41000000
        0.399464315974
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-01-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAQ4
        
          
        
        331000.00000000
        PA
        USD
        349684.95000000
        0.028756350638
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-05-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR Trust 2019-DNA4
        35565AAH3
        
          
        
        787696.28000000
        PA
        USD
        786957.74000000
        0.064715489497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-25
          Floating
          2.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHILE ELEC PEC SPA
        N/A
        Chile Electricity PEC SpA
        168831AA3
        
          
        
        910000.00000000
        PA
        USD
        738237.50000000
        0.060708979338
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2028-01-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT Credit Risk Transfer Trust
        N/A
        PMT Credit Risk Transfer Trust 2019-1R
        73021CAA3
        
          
        
        428395.67000000
        PA
        USD
        406686.29000000
        0.033443857264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-03-27
          Floating
          2.11500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM CORP
        N/A
        SLM Corp
        78442PGD2
        
          
        
        1428000.00000000
        PA
        USD
        1499100.12000000
        0.123278535988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-29
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        000000000
        
          
        
        422000.00000000
        PA
        
        497442.88000000
        0.040907227720
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2028-03-18
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        H&E EQUIPMENT SERVICES
        N/A
        H&E Equipment Services Inc
        404030AJ7
        
          
        
        503000.00000000
        PA
        USD
        488634.32000000
        0.040182855567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBC4
        
          
        
        443000.00000000
        PA
        USD
        480931.88000000
        0.039549445220
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2025-04-16
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAT1
        
          
        
        817338.91000000
        PA
        USD
        827065.49000000
        0.068013751325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505EU4
        
          
        
        223000.00000000
        PA
        USD
        255687.34000000
        0.021026454821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-10
          Fixed
          6.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3215.42000000
        0.000264420144
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            4740276.28000000
            USD
            5960850.02000000
            CAD
            2021-04-22
            3215.42000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL EURO FUNDING
        YHZHHIVHTKEV7XROHS46
        GE Capital European Funding Unlimited Co
        000000000
        
          
        
        400000.00000000
        PA
        
        585655.77000000
        0.048161416943
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2027-02-22
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGK4
        
          
        
        1641000.00000000
        PA
        USD
        1666812.93000000
        0.137070403127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-22
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS15983   CDS USD R F  3.00000 IS15983 CMBX-BBB--331914 / Short: IS15983   CDS USD P V 00MEVENT IS15994 CMBX-BBB--331914
        000000000
        
          
        
        198000.00000000
        OU
        Notional Amount
        USD
        -53324.70000000
        -0.00438515804
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -13288.51000000
            USD
            198000.00000000
            USD
            -40036.19000000
          
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BE1
        
          
        
        464000.00000000
        PA
        USD
        474913.28000000
        0.039054505498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        639057AA6
        
          
        
        1300000.00000000
        PA
        USD
        1286259.00000000
        0.105775541144
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-09-30
          Variable
          2.52300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16775.22000000
        -0.00137951063
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            1320869.63000000
            USD
            1231560.68000000
            CHF
            2021-05-06
            -16775.22000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R04
        20753TAB9
        
          
        
        285140.29000000
        PA
        USD
        285720.98000000
        0.023496271960
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-25
          Floating
          2.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABC5
        
          
        
        269000.00000000
        PA
        USD
        313559.85000000
        0.025785602133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        22483.26000000
        0.001848911450
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            167640409.00000000
            JPY
            1537185.08000000
            USD
            2021-05-20
            22483.26000000
          
        
        
          N
          N
          N
        
      
      
        CNP ASSURANCES
        969500QKVPV2H8UXM738
        CNP Assurances
        000000000
        
          
        
        600000.00000000
        PA
        
        844906.91000000
        0.069480940947
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2047-06-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23257.52000000
        -0.00191258274
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1562915.20000000
            USD
            13168795.26000000
            NOK
            2021-04-15
            -23257.52000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5368.88000000
        -0.00044150998
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            255621.75000000
            USD
            213171.96000000
            EUR
            2021-05-27
            -5368.88000000
          
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR4 Trust
        46187XAA3
        
          
        
        841062.58000000
        PA
        USD
        843406.12000000
        0.069357523443
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-01-17
          Floating
          1.20800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTINGHOUSE AIR BRAKE
        06BTX5UWZD0GQ5N5Y745
        Westinghouse Air Brake Technologies Corp
        960386AN0
        
          
        
        210000.00000000
        PA
        USD
        228364.50000000
        0.018779560388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        46659.56000000
        0.003837050087
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3539406.18000000
            USD
            2601214.59000000
            GBP
            2021-04-09
            46659.56000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDE9
        
          
        
        131000.00000000
        PA
        USD
        125105.00000000
        0.010288012814
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-01-28
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9T45
        
          
        
        2136926.49000000
        PA
        USD
        2357050.43000000
        0.193832101262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAC3
        
          
        
        441000.00000000
        PA
        USD
        439338.18000000
        0.036128986257
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          2.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN MACAU LTD
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAH9
        
          
        
        587000.00000000
        PA
        USD
        609188.60000000
        0.050096639808
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-26
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2013-G1
        36197QAA7
        
          
        
        118352.16000000
        PA
        USD
        119278.08000000
        0.009808835902
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-04-10
          Fixed
          2.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        Oaktown Re V Ltd
        67401JAB8
        
          
        
        1625921.00000000
        PA
        USD
        1651610.39000000
        0.135820221869
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          3.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        124857AX1
        
          
        
        212000.00000000
        PA
        USD
        229716.84000000
        0.018890770102
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        4211.79000000
        0.000346356656
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            257045.75000000
            GBP
            358578.15000000
            USD
            2021-04-09
            4211.79000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC18
        36252RAG4
        
          
        
        100230.00000000
        PA
        USD
        32729.62000000
        0.002691521122
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-10
          Variable
          4.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        2596.56000000
        0.000213528176
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            14950000.00000000
            NOK
            1750507.58000000
            USD
            2021-04-15
            2596.56000000
          
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BF8
        
          
        
        464000.00000000
        PA
        USD
        467405.76000000
        0.038437124403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAR0
        
          
        
        220000.00000000
        PA
        USD
        233576.20000000
        0.019208144668
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Parking Meters LLC
        N/A
        CHICAGO PARKING METERS 4.93 30
        000000000
        
          
        
        800000.00000000
        PA
        USD
        864683.23000000
        0.071107247118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-30
          Fixed
          4.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARNIVAL CORP
        F1OF2ZSX47CR0BCWA982
        Carnival Corp
        143658BC5
        
          
        
        170000.00000000
        PA
        USD
        194039.70000000
        0.015956859598
        Long
        DBT
        CORP
        PA
        
        N
        
        2
        
          2023-04-01
          Fixed
          11.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -45158.19000000
        -0.00371358488
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2452167.87000000
            USD
            183054331.46000000
            RUB
            2021-05-25
            -45158.19000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -17907.64000000
        -0.00147263522
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            5420806.21000000
            ZAR
            349244.43000000
            USD
            2021-04-08
            -17907.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -35931.53000000
        -0.00295483027
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            15340271.10000000
            MXN
            713763.58000000
            USD
            2021-04-16
            -35931.53000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS1VO75   IRS SEK R F   .00000 SS1VO75/-0.165/LCH / Short: SS1VO75   IRS SEK P V 03MLIBOR IS1VO86 IRSLV511135 LCH
        000000000
        
          
        
        204850000.00000000
        OU
        Notional Amount
        
        -264891.60000000
        -0.02178336737
        N/A
        DIR
        
        SE
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-08-30
            0.00000000
            SEK
            0.00000000
            SEK
            204850000.00000000
            SEK
            -264946.43000000
          
        
        
          N
          N
          N
        
      
      
        SPECTRA ENERGY PARTNERS
        2HKVXE7U4NF5B6UGSU72
        Spectra Energy Partners LP
        84756NAF6
        
          
        
        675000.00000000
        PA
        USD
        724855.50000000
        0.059608510232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEPLAPHARM ARZNEIMITTEL
        529900ONXKBELT7EW052
        Cheplapharm Arzneimittel GmbH
        000000000
        
          
        
        123000.00000000
        PA
        
        146133.12000000
        0.012017260790
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-02-11
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1070.36000000
        0.000088021081
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            191250.74000000
            EUR
            225588.85000000
            USD
            2021-05-27
            1070.36000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300ZJL46M82UL2Z22
        Wells Fargo Commercial Mortgage Trust 2015-SG1
        94989QBB5
        
          
        
        360779.00000000
        PA
        USD
        341247.44000000
        0.028062491792
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Variable
          4.46300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CB3
        
          
        
        455000.00000000
        PA
        USD
        492346.40000000
        0.040488118559
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-11-26
          Fixed
          3.96100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -136539.84000000
        -0.01122835716
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            17321468.85000000
            CAD
            13647441.20000000
            USD
            2021-04-22
            -136539.84000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0EW5
        
          
        
        281385.91000000
        PA
        USD
        286824.34000000
        0.023587006797
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-25
          Floating
          3.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0NX3
        
          
        
        433617.00000000
        PA
        USD
        449347.50000000
        0.036952102939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-25
          Floating
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IED2   CDS USD R F  3.00000 IS1IED2 CMBX / Short: IS1IED2   CDS USD P V 01MEVENT IS1IEE3 CMBX
        000000000
        
          
        
        483000.00000000
        OU
        Notional Amount
        USD
        -130084.73000000
        -0.01069752103
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -77733.08000000
            USD
            483000.00000000
            USD
            -52351.65000000
          
        
        
          N
          N
          N
        
      
      
        Tenet Healthcare Corp
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCS7
        
          
        
        426000.00000000
        PA
        USD
        434848.02000000
        0.035759737837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-3 Ltd
        07877KAC4
        
          
        
        392333.00000000
        PA
        USD
        395643.43000000
        0.032535747394
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          2.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        583000.00000000
        PA
        USD
        603399.17000000
        0.049620545887
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD CRESCENT LTD
        21380096JRTWB8TL9236
        DP World Crescent Ltd
        000000000
        
          
        
        219000.00000000
        PA
        USD
        229402.50000000
        0.018864920344
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2029-07-18
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBT1
        
          
        
        973000.00000000
        PA
        USD
        1020579.70000000
        0.083927397241
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PV4
        
          
        
        4438239.75000000
        PA
        USD
        5333515.92000000
        0.438601815527
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JPMCC Commercial Mortgage Securities Trust 2017-JP7
        465968AG0
        
          
        
        4232963.16000000
        PA
        USD
        198957.73000000
        0.016361293919
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Variable
          1.05100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5
        46636VAR7
        
          
        
        115704.00000000
        PA
        USD
        103702.63000000
        0.008527988380
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-15
          Variable
          5.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1C4Z6   CDS USD R F  3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6   CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304
        000000000
        
          
        
        35000.00000000
        OU
        Notional Amount
        USD
        -9426.57000000
        -0.00077519422
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3982.54000000
            USD
            35000.00000000
            USD
            -5444.03000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Long: SELS49857 TRS CHF R E SELS49857/ZERO RATE / Short: SELS49857 TRS CHF P F   .00000 SELS49857/SMM1
        000000000
        
          
        
        2577048.63000000
        OU
        Notional Amount
        
        46036.48000000
        0.003785811088
        N/A
        DE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley
              IGJSJL3JD5P30I6NJZ34
            
            
              
                Swiss Market Index
                SMM1 Index
              
            
            Y
            equity-performance leg
            
            2021-06-18
            0.01000000
            CHF
            0.00000000
            CHF
            2577048.63000000
            CHF
            46036.47000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAD3
        
          
        
        12000.00000000
        PA
        USD
        12782.52000000
        0.001051170852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAT6
        
          
        
        407000.00000000
        PA
        USD
        437406.97000000
        0.035970173154
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        750000.00000000
        PA
        USD
        812287.50000000
        0.066798482947
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-11
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31334WWA5
        
          
        
        643778.31000000
        PA
        USD
        702368.38000000
        0.057759281355
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        JPN 10Y BOND(OSE) JUN21 XOSE 20210614
        000000000
        
          
        
        -24.00000000
        NC
        
        -55409.71000000
        -0.00455661889
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Short
            
              
                Japan Government Ten Year Bond
                JBM1 Comdty
              
            
            2021-06-14
            -3621704760.00000000
            JPY
            -55409.71000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QD3
        
          
        
        5290000.00000000
        PA
        USD
        7052231.25000000
        0.579940413821
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-11-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS19M42   IRS USD R V 03MLIBOR IS19M53 CCPVANILLA / Short: BS19M42   IRS USD P F  1.65700 IS19M42 CCPVANILLA
        000000000
        
          
        
        420000.00000000
        OU
        Notional Amount
        USD
        -13520.85000000
        -0.00111188743
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-08
            0.00000000
            USD
            0.00000000
            USD
            420000.00000000
            USD
            -13520.85000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300REQJRID6TODX95
        Wells Fargo Commercial Mortgage Trust 2018-C48
        95001RAX7
        
          
        
        152424.00000000
        PA
        USD
        173042.10000000
        0.014230121436
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-15
          Fixed
          4.30200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BM4
        
          
        
        70000.00000000
        PA
        USD
        74524.10000000
        0.006128491233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-30
          Fixed
          2.90100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1C2T6   CDS USD R F  3.00000 IS1C2T6 CMBX-BBB--408891 / Short: IS1C2T6   CDS USD P V 00MEVENT IS1C2U7 CMBX-BBB--408891
        000000000
        
          
        
        69000.00000000
        OU
        Notional Amount
        USD
        -18583.19000000
        -0.00152818909
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -7230.72000000
            USD
            69000.00000000
            USD
            -11352.47000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SQ2
        
          
        
        6945000.00000000
        PA
        USD
        5631960.94000000
        0.463144449236
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-08-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568PAE9
        
          
        
        618000.00000000
        PA
        USD
        713983.13000000
        0.058714420613
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2028-05-21
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -2573.53000000
        -0.00021163430
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            1308464.18000000
            CAD
            1038668.73000000
            USD
            2021-04-22
            -2573.53000000
          
        
        
          N
          N
          N
        
      
      
        SK HYNIX INC
        988400XAIK6XISWQV045
        SK Hynix Inc
        78392BAC1
        
          
        
        468000.00000000
        PA
        USD
        443313.00000000
        0.036455855680
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2031-01-19
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -33998.22000000
        -0.00279584447
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            1398050.24000000
            USD
            1953328.37000000
            NZD
            2021-05-27
            -33998.22000000
          
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        000000000
        
          
        
        526000.00000000
        PA
        
        644998.96000000
        0.053041505662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-01
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        117385.51000000
        0.009653200360
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            6245008.99000000
            USD
            35811691.78000000
            BRL
            2021-04-05
            117385.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1UQ09   CDS USD R F  3.00000 IS1UQ09 CMBX / Short: IS1UQ09   CDS USD P V 01MEVENT IS1UQ10 CMBX
        000000000
        
          
        
        39000.00000000
        OU
        Notional Amount
        USD
        -10503.91000000
        -0.00086378930
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3693.11000000
            USD
            39000.00000000
            USD
            -6810.80000000
          
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83367TBR9
        
          
        
        416000.00000000
        PA
        USD
        460503.68000000
        0.037869531681
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-11-24
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IDZ7   CDS USD R F  3.00000 IS1IDZ7 CMBX / Short: IS1IDZ7   CDS USD P V 01MEVENT IS1IE09 CMBX
        000000000
        
          
        
        345000.00000000
        OU
        Notional Amount
        USD
        -92917.68000000
        -0.00764108774
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -54736.02000000
            USD
            345000.00000000
            USD
            -38181.66000000
          
        
        
          N
          N
          N
        
      
      
        Valero Energy Corp
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAL4
        
          
        
        120000.00000000
        PA
        USD
        155953.20000000
        0.012824815315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-06-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1G5L1   CDS USD R F  3.00000 IS1G5L1 CMBX / Short: IS1G5L1   CDS USD P V 01MEVENT IS1G5M2 CMBX
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        -538633.33000000
        -0.04429452540
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -198870.89000000
            USD
            2000000.00000000
            USD
            -339762.44000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        28133.96000000
        0.002313596906
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            79718450.00000000
            JPY
            748423.79000000
            USD
            2021-05-20
            28133.96000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XYX6
        
          
        
        252930.35000000
        PA
        USD
        253088.71000000
        0.020812756418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-25
          Floating
          2.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT JUN21 XSFE 20210615
        000000000
        
          
        
        436.00000000
        NC
        
        -201480.06000000
        -0.01656871779
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                10 Year Commonwealth Treasury Bond
                XMM1 Comdty
              
            
            2021-06-15
            60483123.36000000
            AUD
            -201480.06000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128283R9
        
          
        
        2189581.45000000
        PA
        USD
        2436935.73000000
        0.200401470912
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABIC Capital II BV
        2138005PCUTH59D4RJ83
        SABIC Capital II BV
        78520LAA8
        
          
        
        467000.00000000
        PA
        USD
        502462.81000000
        0.041320041789
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-10-10
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        N/A
        Elevation CLO 2020-11 Ltd
        28621YAE5
        
          
        
        670000.00000000
        PA
        USD
        651360.60000000
        0.053564655287
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        7486.93000000
        0.000615687876
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            5998312.10000000
            PLN
            1525975.96000000
            USD
            2021-06-24
            7486.93000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
        
        503000.00000000
        PA
        USD
        534553.19000000
        0.043958994994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYONDELLBASELL IND NV
        BN6WCCZ8OVP3ITUUVN49
        LyondellBasell Industries NV
        552081AK7
        
          
        
        485000.00000000
        PA
        USD
        547856.00000000
        0.045052951908
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-04-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        240000.00000000
        PA
        USD
        239092.80000000
        0.019661802408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128285W6
        
          
        
        5034085.20000000
        PA
        USD
        5767173.86000000
        0.474263687106
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-01-15
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saudi Arabian Oil Co
        5586006WD91QHB7J4X50
        Saudi Arabian Oil Co
        80414L2C8
        
          
        
        440000.00000000
        PA
        USD
        462008.80000000
        0.037993305262
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2024-04-16
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B9ZB6
        
          
        
        1539622.36000000
        PA
        USD
        266786.53000000
        0.021939196989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Floating
          5.89100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Group AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        000000000
        
          
        
        400000.00000000
        PA
        USD
        460400.00000000
        0.037861005553
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-02-19
          Fixed
          7.00000000
          N
          N
          N
          N
          Y
          
            
              UBS Group AG
              UBS Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JQK8
        
          
        
        147000.00000000
        PA
        USD
        146877.99000000
        0.012078515193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-15
          Variable
          3.85100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-2R
        69345WAA6
        
          
        
        675228.27000000
        PA
        USD
        668077.74000000
        0.054939389714
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-27
          Floating
          2.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Corp
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAD0
        
          
        
        1140000.00000000
        PA
        USD
        1161591.60000000
        0.095523514376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-26
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERTICAL MIDCO GMBH
        254900K869UN2ZWVB351
        Vertical Midco GmbH
        000000000
        
          
        
        605000.00000000
        PA
        
        745908.39000000
        0.061339795170
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-07-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LTD
        549300G7YFX3540OYR85
        Petronas Capital Ltd
        716743AR0
        
          
        
        647000.00000000
        PA
        USD
        758827.48000000
        0.062402196860
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2050-04-21
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -19662.16000000
        -0.00161691822
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            141707921.93000000
            INR
            1912640.31000000
            USD
            2021-04-15
            -19662.16000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23OK3   CDS USD R V 01MEVENT IS23OL4 CMBX / Short: IS23OK3   CDS USD P F  3.00000 IS23OK3 CMBX
        000000000
        
          
        
        795000.00000000
        OU
        Notional Amount
        USD
        87362.11000000
        0.007184225308
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            159987.84000000
            USD
            0.00000000
            USD
            795000.00000000
            USD
            -72625.73000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        14555.45000000
        0.001196967796
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            625245.39000000
            EUR
            748561.23000000
            USD
            2021-05-27
            14555.45000000
          
        
        
          N
          N
          N
        
      
      
        Synchrony Financial
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAM5
        
          
        
        242000.00000000
        PA
        USD
        260791.30000000
        0.021446179100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E6KU5
        
          
        
        1141808.00000000
        PA
        USD
        1200741.96000000
        0.098743045213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        428040CU1
        
          
        
        219940.69000000
        PA
        USD
        220888.50000000
        0.018164771340
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2021-10-25
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2019-3
        30167EAB1
        
          
        
        330696.25000000
        PA
        USD
        332001.31000000
        0.027302136059
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133KGSG4
        
          
        
        1084140.67000000
        PA
        USD
        1166125.23000000
        0.095896337553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FLCM8
        
          
        
        576645.20000000
        PA
        USD
        603004.98000000
        0.049588129662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31346YAV5
        
          
        
        432525.86000000
        PA
        USD
        462395.75000000
        0.038025126105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CX6
        
          
        
        81000.00000000
        PA
        USD
        91944.72000000
        0.007561076356
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-25
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419LZY2
        
          
        
        352821.39000000
        PA
        USD
        387143.50000000
        0.031836755437
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2019-2 Ltd
        75049TAB7
        
          
        
        1148071.00000000
        PA
        USD
        1147377.91000000
        0.094354651222
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-06-25
          Floating
          1.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBM3
        
          
        
        83000.00000000
        PA
        USD
        82990.87000000
        0.006824756277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS1VTD6   IRS USD R V 12MUSCPI IS1VTE7 CCPINFLATIONZERO / Short: BS1VTD6   IRS USD P F  1.48400 IS1VTD6 CCPINFLATIONZERO
        000000000
        
          
        
        5000000.00000000
        OU
        Notional Amount
        USD
        96226.25000000
        0.007913168083
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-07-15
            0.00000000
            USD
            0.00000000
            USD
            5000000.00000000
            USD
            96226.25000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1S4J8   CDS USD R F  3.00000 IS1S4J8 CMBX / Short: IS1S4J8   CDS USD P V 01MEVENT IS1S4K9 CMBX
        000000000
        
          
        
        76000.00000000
        OU
        Notional Amount
        USD
        -20481.05000000
        -0.00168425966
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -8896.19000000
            USD
            76000.00000000
            USD
            -11584.86000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT  JUN21 XCME 20210618
        000000000
        
          
        
        1338.00000000
        NC
        USD
        5268427.73000000
        0.433249286589
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                E-mini S&P 500 Index
                ESM1 Index
              
            
            2021-06-18
            260150632.27000000
            USD
            5268427.73000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828B25
        
          
        
        11283281.38000000
        PA
        USD
        12228256.20000000
        1.005590955479
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-01-15
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Suncor Energy Inc
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        71644EAJ1
        
          
        
        436000.00000000
        PA
        USD
        594952.52000000
        0.048925935412
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2038-05-15
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF
        39152TAA8
        
          
        
        570000.00000000
        PA
        USD
        569312.12000000
        0.046817396475
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -33.30000000
        -0.00000273842
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1743.12000000
            USD
            189235.00000000
            JPY
            2021-05-20
            -33.30000000
          
        
        
          N
          N
          N
        
      
      
        Tyson Foods Inc
        WD6L6041MNRW1JE49D58
        Tyson Foods Inc
        902494BJ1
        
          
        
        65000.00000000
        PA
        USD
        72086.95000000
        0.005928072142
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29279FAA7
        
          
        
        1125000.00000000
        PA
        USD
        1326937.50000000
        0.109120738612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AB3
        
          
        
        563000.00000000
        PA
        USD
        612555.26000000
        0.050373497178
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-10-20
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVI STRAUSS & CO
        MB0UERO0RDFKU8258G77
        Levi Strauss & Co
        52736RBJ0
        
          
        
        756000.00000000
        PA
        USD
        729940.68000000
        0.060026690137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hardee's Funding
        N/A
        Hardee's Funding LLC
        411707AF9
        
          
        
        576037.80000000
        PA
        USD
        639471.08000000
        0.052586920311
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-06-20
          Fixed
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2016-C1
        17290YAR9
        
          
        
        1411000.00000000
        PA
        USD
        1517050.62000000
        0.124754695806
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-10
          Fixed
          3.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABU8
        
          
        
        538000.00000000
        PA
        USD
        545537.38000000
        0.044862280134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDUSTRIAS PENOLES SAB D
        549300WA2HB7776CB324
        Industrias Penoles SAB de CV
        456472AD1
        
          
        
        495000.00000000
        PA
        USD
        507993.75000000
        0.041774878779
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-08-06
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMC3
        
          
        
        1499000.00000000
        PA
        USD
        1386230.23000000
        0.113996677751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT JUN21 XMOD 20210621
        000000000
        
          
        
        208.00000000
        NC
        
        -490349.35000000
        -0.04032389110
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                10 Year Canadian Bond
                CNM1 Comdty
              
            
            2021-06-21
            29480382.03000000
            CAD
            -490349.35000000
          
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493007115G809OI4R97
        Starwood Retail Property Trust 2014-STAR
        85571XAA5
        
          
        
        1908606.38000000
        PA
        USD
        1402825.69000000
        0.115361405821
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-11-15
          Floating
          1.57600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        31520000.00000000
        PA
        
        4478417.38000000
        0.368282765631
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2050-03-16
          Fixed
          3.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        26874RAJ7
        
          
        
        775000.00000000
        PA
        USD
        865985.00000000
        0.071214298207
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-05-09
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2580.21000000
        -0.00021218363
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            138403.07000000
            USD
            128268.39000000
            CHF
            2021-05-06
            -2580.21000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN21 XCBT 20210621
        000000000
        
          
        
        317.00000000
        NC
        USD
        -1005224.79000000
        -0.08266468583
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYM1 Comdty
              
            
            2021-06-21
            42512412.29000000
            USD
            -1005224.79000000
          
        
        
          N
          N
          N
        
      
      
        ONTARIO (PROVINCE OF)
        C7PVKCRGLG18EBQGZV36
        Province of Ontario Canada
        68323AEE0
        
          
        
        885000.00000000
        PA
        
        744464.79000000
        0.061221080688
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2027-06-02
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        17591.45000000
        0.001446633332
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1477858.99000000
            USD
            5480640074.52000000
            COP
            2021-05-20
            17591.45000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CFJ8
        
          
        
        54310.18000000
        PA
        USD
        56792.82000000
        0.004670358977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        54431.60000000
        0.004476183991
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5317920296.57000000
            COP
            1505482.24000000
            USD
            2021-05-20
            54431.60000000
          
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LAY1
        
          
        
        1669000.00000000
        PA
        USD
        1751915.92000000
        0.144068849646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-08
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        813.93000000
        0.000066933553
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            123939.48000000
            USD
            703406.11000000
            BRL
            2021-05-04
            813.93000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        -116.00000000
        NC
        USD
        51238.87000000
        0.004213629760
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVM1 Comdty
              
            
            2021-06-30
            -14365457.68000000
            USD
            51238.87000000
          
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        5493002SZMQH8ZTTHX49
        OZLM XVIII Ltd
        67112GAA6
        
          
        
        745000.00000000
        PA
        USD
        742144.42000000
        0.061030265003
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.26100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -801.54000000
        -0.00006591466
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            306433.36000000
            NZD
            213187.59000000
            USD
            2021-05-27
            -801.54000000
          
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCC4
        
          
        
        588000.00000000
        PA
        USD
        499917.60000000
        0.041110736381
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-09-21
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHP Trust
        N/A
        BHP Trust 2019-BXHP
        05550TAE9
        
          
        
        234500.02000000
        PA
        USD
        234429.44000000
        0.019278310881
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-15
          Floating
          1.62800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS0WZC1   IRS USD R V 03MLIBOR IS0WZD2 CCPVANILLA / Short: BS0WZC1   IRS USD P F  2.28500 IS0WZC1 CCPVANILLA
        000000000
        
          
        
        484000.00000000
        OU
        Notional Amount
        USD
        -30835.70000000
        -0.00253577456
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-08-04
            0.00000000
            USD
            0.00000000
            USD
            484000.00000000
            USD
            -30835.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R02
        20754WAB1
        
          
        
        750017.00000000
        PA
        USD
        747679.72000000
        0.061485460537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MU2
        
          
        
        574000.00000000
        PA
        USD
        578942.14000000
        0.047609321411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-10
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS1ZZK7   IRS USD R F  1.44000 IS1ZZK7 CCPINFLATIONZERO / Short: SS1ZZK7   IRS USD P V 12MUSCPI IS1ZZL8 CCPINFLATIONZERO
        000000000
        
          
        
        28500000.00000000
        OU
        Notional Amount
        USD
        -341062.06000000
        -0.02804724706
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-02-26
            0.00000000
            USD
            0.00000000
            USD
            28500000.00000000
            USD
            -341062.06000000
          
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCD5
        
          
        
        486000.00000000
        PA
        USD
        505731.60000000
        0.041588850817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-11
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC SA
        549300G475ACIABB4385
        Inversiones CMPC SA
        46128MAN1
        
          
        
        665000.00000000
        PA
        USD
        705939.06000000
        0.058052916314
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-01-13
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SS276B0   IRS BRL R F  4.91500 IS276B0 CCPNDFPREDISWAP / Short: SS276B0   IRS BRL P V 00MBRCDI IS276C1 CCPNDFPREDISWAP
        000000000
        
          
        
        4981000.00000000
        OU
        Notional Amount
        
        -15907.32000000
        -0.00130813885
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            0.00000000
            BRL
            0.00000000
            BRL
            4981000.00000000
            BRL
            -15907.32000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        000000000
        
          
        
        370000.00000000
        PA
        
        457433.69000000
        0.037617070976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-24
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK43351 EURO STOXX 50 INDEX MAR22 2975 PUT
        000000000
        
          
        
        4270.00000000
        NC
        
        383783.40000000
        0.031560437530
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                EURO STOXX 50 Index
                SX5E Index
              
            
            1.00000000
            2975.00000000
            EUR
            2022-03-18
            XXXX
            -98090.51000000
          
        
        
          N
          N
          N
        
      
      
        MERCADOLIBRE INC
        549300DKPDN9M5S8GB14
        MercadoLibre Inc
        58733RAF9
        
          
        
        307000.00000000
        PA
        USD
        292264.00000000
        0.024034337374
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-01-14
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R03
        20753MAF5
        
          
        
        192664.57000000
        PA
        USD
        193117.16000000
        0.015880994498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-25
          Floating
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triangle Re 2019-1 Ltd.
        N/A
        Mortgage Insurance-Linked Notes Series 2019-1
        89600TAA1
        
          
        
        875084.00000000
        PA
        USD
        876300.63000000
        0.072062604299
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-11-26
          Floating
          2.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBN1
        
          
        
        177000.00000000
        PA
        USD
        180311.67000000
        0.014827934707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X6P58
        
          
        
        990315.99000000
        PA
        USD
        1091585.41000000
        0.089766553585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06738CAG4
        
          
        
        205000.00000000
        PA
        USD
        283412.50000000
        0.023306434049
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-06-15
          Fixed
          6.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAA9
        
          
        
        71815.01000000
        PA
        USD
        71815.01000000
        0.005905709149
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH METAL PACKAGING
        N/A
        Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
        03969YAA6
        
          
        
        652000.00000000
        PA
        USD
        644632.40000000
        0.053011361591
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-09-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413LMZ9
        
          
        
        200477.68000000
        PA
        USD
        232345.39000000
        0.019106928977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INEOS QUATTRO FINANCE 2
        213800V48W4Y5MT5Q131
        INEOS Quattro Finance 2 Plc
        000000000
        
          
        
        709000.00000000
        PA
        
        831735.31000000
        0.068397774090
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        254900SAV74IHXQ8XY35
        Eagle RE 2020-1 Ltd
        26982LAA8
        
          
        
        1045000.00000000
        PA
        USD
        1041989.15000000
        0.085688003899
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-01-25
          Floating
          1.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK37763 NIKKEI 225 INDEX MAR22 22500 PUT
        000000000
        
          
        
        26000.00000000
        NC
        
        144997.41000000
        0.011923865650
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                Nikkei 225 Index
                NKY Index
              
            
            1.00000000
            22500.00000000
            JPY
            2022-03-11
            XXXX
            -60872.05000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -17870.80000000
        -0.00146960568
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            7369527.75000000
            MXN
            342285.74000000
            USD
            2021-04-16
            -17870.80000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AG5
        
          
        
        320000.00000000
        PA
        USD
        356982.40000000
        0.029356456622
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBU7
        
          
        
        93536.78000000
        PA
        USD
        99725.52000000
        0.008200930639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-25
          Floating
          7.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Heathrow Funding Ltd
        7TI96JO3DYEIQWZ7Z726
        Heathrow Funding Ltd
        000000000
        
          
        
        414000.00000000
        PA
        
        719058.28000000
        0.059131775700
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2026-12-03
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FH6
        
          
        
        3500156.00000000
        PA
        USD
        4906781.19000000
        0.403509274296
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10019.37000000
        -0.00082394314
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            326561.94000000
            USD
            2764267.82000000
            SEK
            2021-04-15
            -10019.37000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        9127964Z9
        
          
        
        10230000.00000000
        PA
        USD
        10229880.62000000
        0.841254489507
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-04-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        33872.71000000
        0.002785523156
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            5053113185.15000000
            COP
            1412667.93000000
            USD
            2021-05-20
            33872.71000000
          
        
        
          N
          N
          N
        
      
      
        Province of Quebec
        549300WN65YFEQH74Y36
        Province of Quebec Canada
        74814ZFB4
        
          
        
        1735000.00000000
        PA
        
        1476441.23000000
        0.121415181600
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2027-09-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCR5
        
          
        
        498000.00000000
        PA
        USD
        550952.34000000
        0.045307579506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-17
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828UH1
        
          
        
        17231203.77000000
        PA
        USD
        18057763.08000000
        1.484980600049
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-01-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT NETHERLANDS FINANCE
        2138009B37VJ9VOWAO51
        BAT Netherlands Finance BV
        000000000
        
          
        
        520000.00000000
        PA
        
        695365.61000000
        0.057183408388
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-04-07
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS27XM0   IRS CAD R V 03MCDOR IS27XN1 CCPVANILLA / Short: BS27XM0   IRS CAD P F  2.33250 IS27XM0 CCPVANILLA
        000000000
        
          
        
        2930000.00000000
        OU
        Notional Amount
        
        105055.27000000
        0.008639222764
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-04
            0.00000000
            CAD
            0.00000000
            CAD
            2930000.00000000
            CAD
            105055.27000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FR3C3
        
          
        
        2575887.39000000
        PA
        USD
        481773.37000000
        0.039618645172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          5.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0NE5
        
          
        
        506598.69000000
        PA
        USD
        519435.60000000
        0.042715799601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-25
          Floating
          3.65900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC SA
        549300G475ACIABB4385
        Inversiones CMPC SA
        000000000
        
          
        
        935000.00000000
        PA
        USD
        1023497.75000000
        0.084167363156
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2027-04-04
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132VMWS0
        
          
        
        573466.09000000
        PA
        USD
        635613.13000000
        0.052269661696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL LTD
        N/A
        CLNY Trust 2019-IKPR
        12564NAL6
        
          
        
        915000.00000000
        PA
        USD
        889782.14000000
        0.073171256612
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          2.13100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASSICURAZIONI GENERALI
        549300X5UKJVE386ZB61
        Assicurazioni Generali SpA
        000000000
        
          
        
        331000.00000000
        PA
        
        474580.59000000
        0.039027146728
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2047-10-27
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        5493001QI7ZD0IPL4A34
        SOUND POINT CLO XIX Ltd
        83610JAA4
        
          
        
        1050000.00000000
        PA
        USD
        1048170.90000000
        0.086196360265
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.24100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        407.63000000
        0.000033521463
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            139400.00000000
            GBP
            192586.15000000
            USD
            2021-04-09
            407.63000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        E-MINI RUSS 2000  JUN21 XCME 20210618
        000000000
        
          
        
        255.00000000
        NC
        USD
        -765191.54000000
        -0.06292554549
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                E-mini Russell 2000 Index
                RTYM1 Index
              
            
            2021-06-18
            29102066.54000000
            USD
            -765191.54000000
          
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568QAC1
        
          
        
        495000.00000000
        PA
        USD
        531738.90000000
        0.043727561785
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2027-05-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Credit Trust
        N/A
        Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1
        21055JAB4
        
          
        
        350000.00000000
        PA
        USD
        356487.15000000
        0.029315729726
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS17GU0   CDS USD R F  3.00000 IS17GU0 CMBX-BBB--379352 / Short: IS17GU0   CDS USD P V 00MEVENT IS17GV1 CMBX-BBB--379352
        000000000
        
          
        
        940000.00000000
        OU
        Notional Amount
        USD
        -253162.47000000
        -0.02081882207
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -72640.87000000
            USD
            940000.00000000
            USD
            -180521.60000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        9976.26000000
        0.000820397991
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            433214.22000000
            EUR
            518547.37000000
            USD
            2021-05-27
            9976.26000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -41680.64000000
        -0.00342760847
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1549249.70000000
            USD
            42804220.00000000
            TWD
            2021-04-27
            -41680.64000000
          
        
        
          N
          N
          N
        
      
      
        Prosper Marketplace Issuance Trust
        N/A
        Prosper Marketplace Issuance Trust Series 2019-3
        74362DAA6
        
          
        
        11402.62000000
        PA
        USD
        11413.65000000
        0.000938601794
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: IS23JM0   CDS USD R V 01MEVENT IS23JN1 CMBX / Short: IS23JM0   CDS USD P F  3.00000 IS23JM0 CMBX
        000000000
        
          
        
        795000.00000000
        OU
        Notional Amount
        USD
        87362.11000000
        0.007184225308
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            162277.80000000
            USD
            0.00000000
            USD
            795000.00000000
            USD
            -74915.69000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R06
        20754JAB0
        
          
        
        634285.05000000
        PA
        USD
        635281.83000000
        0.052242417232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-25
          Floating
          2.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-LC21 Mortgage Trust
        12593FBE3
        
          
        
        4858558.58000000
        PA
        USD
        118486.64000000
        0.009743751813
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-10
          Variable
          0.68600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        NIKKEI 225  (OSE) JUN21 XOSE 20210610
        000000000
        
          
        
        12.00000000
        NC
        
        52830.36000000
        0.004344505980
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                Nikkei 225 Index
                NKM1 Index
              
            
            2021-06-10
            345814085.00000000
            JPY
            52830.36000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -1155.32000000
        -0.00009500776
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            13033000.00000000
            CAD
            10370172.10000000
            USD
            2021-04-22
            -1155.32000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        215000.00000000
        PA
        
        261895.52000000
        0.021536984659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          1.33800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        000000000
        
          
        
        160000.00000000
        PA
        
        188857.24000000
        0.015530679870
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-08
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179R7H6
        
          
        
        133380.01000000
        PA
        USD
        140718.60000000
        0.011571997602
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1O9Y6   CDS USD R V 01MEVENT IS1O9Z7 CMBX / Short: IS1O9Y6   CDS USD P F  3.00000 IS1O9Y6 CMBX
        000000000
        
          
        
        76000.00000000
        OU
        Notional Amount
        USD
        8346.03000000
        0.000686335986
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            5873.22000000
            USD
            0.00000000
            USD
            76000.00000000
            USD
            2472.81000000
          
        
        
          N
          N
          N
        
      
      
        CIT Group Inc
        N8O96ZZJQRFYQUJY7K79
        CIT Group Inc
        125581GW2
        
          
        
        565000.00000000
        PA
        USD
        636918.85000000
        0.052377037613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-07
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XDA9
        
          
        
        215119.21000000
        PA
        USD
        223808.24000000
        0.018404876232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JZ5
        
          
        
        915000.00000000
        PA
        USD
        913755.60000000
        0.075142714697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-15
          Variable
          4.28900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AES PANAMA GENERATION HL
        N/A
        AES Panama Generation Holdings SRL
        00109AAB3
        
          
        
        731000.00000000
        PA
        USD
        756329.15000000
        0.062196746630
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2030-05-31
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -86067.40000000
        -0.00707775479
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            2581632.17000000
            USD
            14046660.65000000
            BRL
            2021-04-05
            -86067.40000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAV3
        
          
        
        1011000.00000000
        PA
        USD
        934227.19000000
        0.076826196414
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-11-15
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Long: SS25Q14   IRS EUR R F   .00000 IS25Q14 IRS R F-0.043 / Short: SS25Q14   IRS EUR P V 06MEURIB IS25Q25 IRS P V 06EURIB
        000000000
        
          
        
        4690000.00000000
        OU
        Notional Amount
        
        -824720.30000000
        -0.06782089456
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              Morgan Stanley
              IGJSJL3JD5P30I6NJZ34
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-11-10
            0.00000000
            EUR
            0.00000000
            EUR
            4690000.00000000
            EUR
            -824720.30000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2020-2 Ltd
        75049UAC2
        
          
        
        654197.00000000
        PA
        USD
        666585.27000000
        0.054816656406
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          4.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHIRE ACQ INV IRELAND DA
        549300XK5HGW68R8K327
        Shire Acquisitions Investments Ireland DAC
        82481LAD1
        
          
        
        285000.00000000
        PA
        USD
        306608.70000000
        0.025213974138
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2026-09-23
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BS28AX3   CDS USD R V 03MEVENT IS28AY4 CCPSOVEREIGN / Short: BS28AX3   CDS USD P F  1.00000 IS28AX3 CCPSOVEREIGN
        000000000
        
          
        
        26220000.00000000
        OU
        Notional Amount
        USD
        -743755.94000000
        -0.06116278839
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Thailand Government International Bond
                Thailand Government International Bond
                
                  
                
              
            
            Y
            buy protection
            
            2026-06-20
            0.00000000
            USD
            -751094.48000000
            USD
            26220000.00000000
            USD
            7338.54000000
          
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AP1
        
          
        
        675000.00000000
        PA
        USD
        743654.25000000
        0.061154425911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133A1B92
        
          
        
        1779739.36000000
        PA
        USD
        1923781.14000000
        0.158202190325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AXSW6
        
          
        
        928184.73000000
        PA
        USD
        194624.37000000
        0.016004939951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-08-25
          Floating
          6.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2849.72000000
        -0.00023434679
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            128829.13000000
            USD
            107312.57000000
            EUR
            2021-05-27
            -2849.72000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BL6
        
          
        
        102000.00000000
        PA
        
        130184.62000000
        0.010705735492
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-28
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YQ7
        
          
        
        5260000.00000000
        PA
        USD
        5408759.38000000
        0.444789463348
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-10-31
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BD4
        
          
        
        77000.00000000
        PA
        USD
        88226.60000000
        0.007255316665
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS 2020-BID Mortgage Trust
        05493BAA6
        
          
        
        1089000.00000000
        PA
        USD
        1094456.87000000
        0.090002688170
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          2.24600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        6238.09000000
        0.000512989487
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            604000.00000000
            GBP
            838919.76000000
            USD
            2021-04-09
            6238.09000000
          
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAP6
        
          
        
        60000.00000000
        PA
        USD
        63969.00000000
        0.005260492320
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BJ6
        
          
        
        605000.00000000
        PA
        USD
        688308.50000000
        0.056603066770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2013-G1
        36197QAC3
        
          
        
        1093562.00000000
        PA
        USD
        1062025.64000000
        0.087335705157
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-04-10
          Variable
          3.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        22850.27000000
        0.001879092526
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            7762727.53000000
            AUD
            5920602.01000000
            USD
            2021-06-04
            22850.27000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        34900000.00000000
        PA
        
        5349421.95000000
        0.439909848303
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2030-11-19
          Fixed
          3.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P8K8   CDS USD R F  3.00000 IS1P8K8 CMBX / Short: IS1P8K8   CDS USD P V 01MEVENT IS1P8L9 CMBX
        000000000
        
          
        
        33000.00000000
        OU
        Notional Amount
        USD
        -8890.26000000
        -0.00073109075
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4064.26000000
            USD
            33000.00000000
            USD
            -4826.00000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAA1
        
          
        
        480000.00000000
        PA
        USD
        536126.40000000
        0.044088367958
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-22
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -27.06000000
        -0.00000222527
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            9137.84000000
            USD
            1008340.00000000
            JPY
            2021-05-20
            -27.06000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -13866.21000000
        -0.00114028812
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1710102170.00000000
            KRW
            1502646.76000000
            USD
            2021-04-22
            -13866.21000000
          
        
        
          N
          N
          N
        
      
      
        World Financial Network Credit Card Master Trust
        N/A
        World Financial Network Credit Card Master Trust
        981464HD5
        
          
        
        1065000.00000000
        PA
        USD
        1092497.98000000
        0.089841598801
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Board of Administration Finance Corp
        549300S34SOJ0RULXM35
        FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
        341271AE4
        
          
        
        652000.00000000
        PA
        USD
        654395.58000000
        0.053814236943
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          1.70500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
        
        705000.00000000
        PA
        
        855698.15000000
        0.070368358839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS15961   CDS USD R F  3.00000 IS15961 CMBX-BBB--331911 / Short: IS15961   CDS USD P V 00MEVENT IS15972 CMBX-BBB--331911
        000000000
        
          
        
        257000.00000000
        OU
        Notional Amount
        USD
        -69214.38000000
        -0.00569184627
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -17484.14000000
            USD
            257000.00000000
            USD
            -51730.24000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        102970.69000000
        0.008467797276
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            256903941.00000000
            JPY
            2424206.18000000
            USD
            2021-05-20
            102970.69000000
          
        
        
          N
          N
          N
        
      
      
        Danske Bank A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAP6
        
          
        
        542000.00000000
        PA
        USD
        580601.24000000
        0.047745757541
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN21 XCBT 20210621
        000000000
        
          
        
        -37.00000000
        NC
        USD
        119442.61000000
        0.009822366030
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                10 Year US Treasury Note
                TYM1 Comdty
              
            
            2021-06-21
            -4964130.11000000
            USD
            119442.61000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZT0
        
          
        
        5615000.00000000
        PA
        USD
        5506209.38000000
        0.452803266544
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-05-31
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BS288B7   CDS USD R V 03MEVENT IS288C8 CCPCDX / Short: BS288B7   CDS USD P F  1.00000 IS288B7 CCPCDX
        000000000
        
          
        
        44580000.00000000
        OU
        Notional Amount
        USD
        -1057797.26000000
        -0.08698798422
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S36.V1
                2I65BYDY8
              
            
            Y
            buy protection
            
            2026-06-20
            0.00000000
            USD
            -961577.38000000
            USD
            44580000.00000000
            USD
            -96219.88000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -172799.93000000
        -0.01421020658
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            10317229.48000000
            USD
            1122740000.00000000
            JPY
            2021-05-20
            -172799.93000000
          
        
        
          N
          N
          N
        
      
      
        BUNDESREPUB. DEUTSCHLAND
        529900AQBND3S6YJLY83
        Bundesrepublik Deutschland Bundesanleihe
        000000000
        
          
        
        2015000.00000000
        PA
        
        2437897.33000000
        0.200480548112
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2030-08-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVER FINANCIAL SVS
        Z1YLO2USPORE63VVUL20
        Discover Financial Services
        254709AQ1
        
          
        
        2363000.00000000
        PA
        USD
        2621701.24000000
        0.215595667263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-23
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -16699.88000000
        -0.00137331505
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            1415000.00000000
            GBP
            1934036.15000000
            USD
            2021-04-09
            -16699.88000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828N71
        
          
        
        9172383.09000000
        PA
        USD
        10195677.08000000
        0.838441760537
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-01-15
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19257.58000000
        -0.00158364757
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            3187945.51000000
            USD
            27102000.00000000
            NOK
            2021-04-15
            -19257.58000000
          
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KAP1
        
          
        
        358000.00000000
        PA
        USD
        395743.94000000
        0.032544012837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-13
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        000000000
        
          
        
        495000.00000000
        PA
        
        606811.57000000
        0.049901164687
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-04-08
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        278000.00000000
        PA
        
        344700.79000000
        0.028346478116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-26
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828H45
        
          
        
        27512388.75000000
        PA
        USD
        29876734.66000000
        2.456914024531
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        248150000.00000000
        PA
        
        2089749.09000000
        0.171850568859
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-12-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAE8
        
          
        
        132000.00000000
        PA
        USD
        138477.24000000
        0.011387679306
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD CNY
        000000000
        
          
        
        1.00000000
        NC
        
        149893.49000000
        0.012326494911
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            86744882.00000000
            CNY
            13350702.63000000
            USD
            2021-04-22
            149893.49000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2N3
        
          
        
        575000.00000000
        PA
        USD
        562873.25000000
        0.046287895839
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENOVUS ENERGY INC
        549300EIRQ0Z2B9C1W06
        Cenovus Energy Inc
        15135UAS8
        
          
        
        406000.00000000
        PA
        USD
        456879.92000000
        0.037571531686
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-07-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJL71
        
          
        
        938210.77000000
        PA
        USD
        981098.54000000
        0.080680663057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C21
        46642EBD7
        
          
        
        149500.00000000
        PA
        USD
        156396.48000000
        0.012861268457
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-15
          Variable
          4.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRIFOLS SA
        959800HSSNXWRKBK4N60
        Grifols SA
        000000000
        
          
        
        537000.00000000
        PA
        
        631182.01000000
        0.051905268432
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-02-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335A6X1
        
          
        
        602142.98000000
        PA
        USD
        665018.75000000
        0.054687833595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        167000.00000000
        PA
        USD
        179803.89000000
        0.014786177406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OLEODUCTO CENTRAL SA
        254900W4CPYCQFVH5E92
        Oleoducto Central SA
        680617AC1
        
          
        
        1046000.00000000
        PA
        USD
        1104837.50000000
        0.090856339538
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2027-07-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD CRESCENT LTD
        21380096JRTWB8TL9236
        DP World Crescent Ltd
        000000000
        
          
        
        226000.00000000
        PA
        USD
        234475.00000000
        0.019282057509
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-01-30
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ENG29
        
          
        
        546868.58000000
        PA
        USD
        634362.47000000
        0.052166813639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        25703.81000000
        0.002113753460
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            27870452.85000000
            ZAR
            1913374.02000000
            USD
            2021-04-08
            25703.81000000
          
        
        
          N
          N
          N
        
      
      
        GLOBO COMMUNICACOES PART
        52990054HEKS017PVR75
        Globo Comunicacao e Participacoes SA
        37959DAB0
        
          
        
        1127000.00000000
        PA
        USD
        1134395.94000000
        0.093287078593
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-01-22
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 1 3/4% 2037
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        2663000.00000000
        PA
        
        3936491.22000000
        0.323717454264
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2037-09-07
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix Inc
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAT3
        
          
        
        1118000.00000000
        PA
        USD
        1352746.46000000
        0.111243139085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12414.54000000
        0.001020910008
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            1271486.49000000
            USD
            26271199.66000000
            MXN
            2021-04-16
            12414.54000000
          
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBH5
        
          
        
        912000.00000000
        PA
        USD
        1001129.76000000
        0.082327930937
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: IS1AAR4   CDS USD R F  3.00000 IS1AAR4 CMBX-BBB--398690 / Short: IS1AAR4   CDS USD P V 00MEVENT IS1AAS5 CMBX-BBB--398690
        000000000
        
          
        
        272000.00000000
        OU
        Notional Amount
        USD
        -73254.13000000
        -0.00602405521
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -18618.47000000
            USD
            272000.00000000
            USD
            -54635.66000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -1868.85000000
        -0.00015368492
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            119481.36000000
            GBP
            162849.59000000
            USD
            2021-04-09
            -1868.85000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828YL8
        
          
        
        1478144.50000000
        PA
        USD
        1598474.70000000
        0.131450607068
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-10-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-MILE
        63875FAA4
        
          
        
        372323.00000000
        PA
        USD
        373407.32000000
        0.030707160330
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-15
          Floating
          1.60600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE ENERGY PARTNERS
        CZ6VG2MNE1J6YDI02G48
        Enbridge Energy Partners LP
        29250RAX4
        
          
        
        946000.00000000
        PA
        USD
        1355135.54000000
        0.111439605139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900KXN235YISGF415
        Bellemeade Re 2019-4 Ltd
        07876LAD1
        
          
        
        330000.00000000
        PA
        USD
        330001.49000000
        0.027137680811
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-10-25
          Floating
          2.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380GQ64
        
          
        
        743434.92000000
        PA
        USD
        149088.51000000
        0.012260297361
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEDANTA RESOURCES
        8945002DGA3BBXO3N634
        Vedanta Resources Finance II PLC
        92243XAD3
        
          
        
        661000.00000000
        PA
        USD
        713260.31000000
        0.058654979492
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2024-01-21
          Fixed
          13.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B0CN4
        
          
        
        1566043.43000000
        PA
        USD
        389015.99000000
        0.031990739700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-25
          Floating
          6.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-4 Ltd
        07876UAA7
        
          
        
        570000.00000000
        PA
        USD
        569999.49000000
        0.046873922364
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-06-25
          Floating
          2.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTKL4
        
          
        
        117865.18000000
        PA
        USD
        123253.07000000
        0.010135719304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -29549.94000000
        -0.00243004005
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1013541.75000000
            USD
            108903804.00000000
            JPY
            2021-05-20
            -29549.94000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VCK8
        
          
        
        368000.00000000
        PA
        USD
        443377.44000000
        0.036461154905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-21
          Fixed
          4.86200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        106929.39000000
        0.008793341070
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            4038869.92000000
            NZD
            2927360.80000000
            USD
            2021-05-27
            106929.39000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        3769.89000000
        0.000310016998
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1327666562.00000000
            IDR
            94792.70000000
            USD
            2021-04-15
            3769.89000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        4847.89000000
        0.000398666355
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            236114.11000000
            NZD
            169731.55000000
            USD
            2021-05-27
            4847.89000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS171J4   CDS USD R F  3.00000 IS171J4 CMBX / Short: IS171J4   CDS USD P V 00MEVENT IS171K5 CMBX
        000000000
        
          
        
        36000.00000000
        OU
        Notional Amount
        USD
        -9695.40000000
        -0.00079730146
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -2005.84000000
            USD
            36000.00000000
            USD
            -7689.56000000
          
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AW3
        
          
        
        1304000.00000000
        PA
        USD
        1302800.32000000
        0.107135817009
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2032-04-01
          Fixed
          2.72700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND JUN21 XEUR 20210608
        000000000
        
          
        
        -3.00000000
        NC
        
        4781.17000000
        0.000393179634
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Buxl (FGBX)
                UBM1 Comdty
              
            
            2021-06-08
            -622197.06000000
            EUR
            4781.17000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        183993.22000000
        0.015130687064
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            8879266.93000000
            EUR
            10607793.82000000
            USD
            2021-05-27
            183993.22000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137F7A96
        
          
        
        3890945.61000000
        PA
        USD
        583798.65000000
        0.048008696633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        161750000.00000000
        PA
        
        1408134.36000000
        0.115797964432
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-03-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBD2
        
          
        
        713000.00000000
        PA
        USD
        812620.36000000
        0.066825855697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828ZZ6
        
          
        
        7640623.90000000
        PA
        USD
        8284107.69000000
        0.681243803779
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-07-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAC4
        
          
        
        280000.00000000
        PA
        USD
        273982.80000000
        0.022530982433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 0 5/8% 2050
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        782000.00000000
        PA
        
        877673.92000000
        0.072175536836
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2050-10-22
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -73931.94000000
        -0.00607979494
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            9379020.01000000
            CAD
            7389651.84000000
            USD
            2021-04-22
            -73931.94000000
          
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBS3
        
          
        
        313000.00000000
        PA
        USD
        304204.70000000
        0.025016281138
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-03-25
          Fixed
          2.72600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GUARDIAN LIFE INSURANCE
        N1YIDVMMKBHFYCCAIX69
        Guardian Life Insurance Co of America/The
        401378AC8
        
          
        
        423000.00000000
        PA
        USD
        491894.01000000
        0.040450916256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2077-01-24
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R02
        20753KAB8
        
          
        
        307689.59000000
        PA
        USD
        308184.72000000
        0.025343578183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESA DE TRANSPORTE ME
        959800T4M5QUPYMSCH69
        Empresa de Transporte de Pasajeros Metro SA
        29246QAD7
        
          
        
        200000.00000000
        PA
        USD
        216500.00000000
        0.017803882933
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-05-07
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUTTER HEALTH
        549300MJCC12LU768G81
        Sutter Health
        86944BAF0
        
          
        
        337000.00000000
        PA
        USD
        335611.56000000
        0.027599025058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          1.32100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AJWQ5
        
          
        
        2637753.86000000
        PA
        USD
        645537.50000000
        0.053085792512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-25
          Floating
          5.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1D675   CDS USD R F  3.00000 IS1D675 CMBX-BBB--413180 / Short: IS1D675   CDS USD P V 00MEVENT IS1D686 CMBX-BBB--413180
        000000000
        
          
        
        353000.00000000
        OU
        Notional Amount
        USD
        -95070.53000000
        -0.00781812742
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -46634.14000000
            USD
            353000.00000000
            USD
            -48436.39000000
          
        
        
          N
          N
          N
        
      
      
        INGEVITY CORP
        5493009UTFC4B5IMGF87
        Ingevity Corp
        45688CAB3
        
          
        
        1125000.00000000
        PA
        USD
        1091182.50000000
        0.089733420271
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1WGR2   IRS USD R V 03MLIBOR IS1WGS3 CCPVANILLA / Short: BS1WGR2   IRS USD P F  1.59300 IS1WGR2 CCPVANILLA
        000000000
        
          
        
        1360000.00000000
        OU
        Notional Amount
        USD
        6827.80000000
        0.000561484304
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-09-27
            0.00000000
            USD
            0.00000000
            USD
            1360000.00000000
            USD
            6827.80000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XLT9
        
          
        
        462118.00000000
        PA
        USD
        467675.99000000
        0.038459346774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-11-25
          Floating
          2.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XBC7
        
          
        
        114000.00000000
        PA
        USD
        121226.46000000
        0.009969060980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-03
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR2 Trust
        46185HAE2
        
          
        
        312789.00000000
        PA
        USD
        313613.73000000
        0.025790032956
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-17
          Floating
          1.38600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SACI FALABELLA
        5493004CKJQ7H391LM41
        Falabella SA
        000000000
        
          
        
        420000.00000000
        PA
        USD
        452156.25000000
        0.037183080565
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2027-10-30
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XGN8
        
          
        
        1069953.00000000
        PA
        USD
        1098700.39000000
        0.090351654143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-09-25
          Floating
          3.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FNVE1
        
          
        
        12952.77000000
        PA
        USD
        13541.43000000
        0.001113579835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMC Corp
        KDMDXRWU7UTJ30FC8R59
        EMC Corp
        268648AN2
        
          
        
        645000.00000000
        PA
        USD
        666207.60000000
        0.054785598704
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADANI PORTS AND SPECIAL
        335800QOAXP5TM7OYP69
        Adani Ports & Special Economic Zone Ltd
        000000000
        
          
        
        245000.00000000
        PA
        USD
        258245.31000000
        0.021236809548
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2027-07-30
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BL7
        
          
        
        140000.00000000
        PA
        USD
        162450.40000000
        0.013359112720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RCY8
        
          
        
        1240000.00000000
        PA
        USD
        1321707.20000000
        0.108690624760
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-20
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828XL9
        
          
        
        12548685.91000000
        PA
        USD
        13819240.36000000
        1.136425577803
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300JRCMNFIBT50883
        Marlette Funding Trust 2018-4
        57109GAA2
        
          
        
        10155.29000000
        PA
        USD
        10167.21000000
        0.000836100769
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AB All Market Real Return Portfolio
        549300VY0SNSR79V5F27
        AB All Market Real Return Portfolio
        018528125
        
          
        
        5123656.43500000
        NS
        USD
        47188875.77000000
        3.880578383166
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UTAH ACQUISITION SUB
        254900JOFV74IJ7H9933
        Utah Acquisition Sub Inc
        62854AAN4
        
          
        
        745000.00000000
        PA
        USD
        821332.70000000
        0.067542315196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SILGAN HOLDINGS INC
        KAF673KJXD92C8KSLU49
        Silgan Holdings Inc
        000000000
        
          
        
        122000.00000000
        PA
        
        143427.08000000
        0.011794729523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        146.37000000
        0.000012036740
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            261464.30000000
            USD
            189763.81000000
            GBP
            2021-04-09
            146.37000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE  JUN21 XEUR 20210608
        000000000
        
          
        
        13.00000000
        NC
        
        2729.18000000
        0.000224434185
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Bund (FGBL)
                RXM1 Comdty
              
            
            2021-06-08
            2224312.74000000
            EUR
            2729.18000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDS0
        
          
        
        37000.00000000
        PA
        USD
        45697.59000000
        0.003757942460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          5.01200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -41237.76000000
        -0.00339118822
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            34013682.29000000
            MXN
            1621046.50000000
            USD
            2021-04-16
            -41237.76000000
          
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBH7
        
          
        
        709000.00000000
        PA
        USD
        708673.86000000
        0.058277812661
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-01
          Variable
          3.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCFF LTD
        N/A
        SCFF I Ltd
        78434TAC2
        
          
        
        250000.00000000
        PA
        USD
        250183.75000000
        0.020573866959
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.49100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lincoln Financing SARL
        222100831I4WRVCLV609
        Lincoln Financing SARL
        000000000
        
          
        
        101000.00000000
        PA
        
        119663.85000000
        0.009840559707
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-04-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TERRAFORM GLOBAL OPERATI
        549300LC7QMVR79H5O86
        Terraform Global Operating LLC
        88104UAC7
        
          
        
        133000.00000000
        PA
        USD
        136327.66000000
        0.011210908541
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -110434.70000000
        -0.00908160032
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            8520516.00000000
            GBP
            11636051.20000000
            USD
            2021-04-09
            -110434.70000000
          
        
        
          N
          N
          N
        
      
      
        ROSS STORES INC
        549300ENZFLPGRDFZQ60
        Ross Stores Inc
        778296AC7
        
          
        
        1186000.00000000
        PA
        USD
        1353071.82000000
        0.111269895073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAT8
        
          
        
        849000.00000000
        PA
        USD
        925002.48000000
        0.076067602156
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-08-11
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828S50
        
          
        
        15393662.04000000
        PA
        USD
        16815170.52000000
        1.382795969694
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-07-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -106148.59000000
        -0.00872913196
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2321408.60000000
            USD
            19345177.00000000
            SEK
            2021-04-15
            -106148.59000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RME9
        
          
        
        352000.00000000
        PA
        USD
        322178.56000000
        0.026494361966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        MSCI SING IX ETS  APR21 XSIM 20210429
        000000000
        
          
        
        399.00000000
        NC
        
        82175.91000000
        0.006757738021
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                MSCI Singapore Index
                QZJ1 Index
              
            
            2021-04-29
            14201313.26000000
            SGD
            82175.91000000
          
        
        
          N
          N
          N
        
      
      
        ALPEK SA DE CV
        549300PWKJTP62D4IQ66
        Alpek SAB de CV
        020564AD2
        
          
        
        478000.00000000
        PA
        USD
        506231.88000000
        0.041629991355
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-09-18
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        617474AA9
        
          
        
        1584000.00000000
        PA
        USD
        1584538.56000000
        0.130304568246
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-04-15
          Variable
          4.05100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        35600000.00000000
        PA
        
        416261.98000000
        0.034231314371
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2042-03-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1147.50000000
        0.000094364691
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            298771.06000000
            USD
            217551.10000000
            GBP
            2021-04-09
            1147.50000000
          
        
        
          N
          N
          N
        
      
      
        Synchrony Financial
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAG8
        
          
        
        1238000.00000000
        PA
        USD
        1371245.94000000
        0.112764444287
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
        
        130000.00000000
        PA
        USD
        107940.63000000
        0.008876500416
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1U5X5   CDS USD R F  3.00000 IS1U5X5 CMBX / Short: IS1U5X5   CDS USD P V 01MEVENT IS1U5Y6 CMBX
        000000000
        
          
        
        17000.00000000
        OU
        Notional Amount
        USD
        -4578.53000000
        -0.00037651552
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1678.43000000
            USD
            17000.00000000
            USD
            -2900.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19019.76000000
        -0.00156409044
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2115577.65000000
            USD
            17932000.00000000
            NOK
            2021-04-15
            -19019.76000000
          
        
        
          N
          N
          N
        
      
      
        Voya Financial Inc
        549300T065Z4KJ686G75
        Voya Financial Inc
        45685EAG1
        
          
        
        895000.00000000
        PA
        USD
        955725.75000000
        0.078594131035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-05-15
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XCB8
        
          
        
        349966.84000000
        PA
        USD
        368647.89000000
        0.030315768485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-09-25
          Floating
          6.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT JUN21 XMOD 20210621
        000000000
        
          
        
        -134.00000000
        NC
        
        -33568.82000000
        -0.00276053275
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Short
            
              
                10 Year Canadian Bond
                CNM1 Comdty
              
            
            2021-06-21
            -18552994.06000000
            CAD
            -33568.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MFS99
        
          
        
        2750851.35000000
        PA
        USD
        2985524.28000000
        0.245514664088
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2228.50000000
        -0.00018326075
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            143625.80000000
            USD
            120445.93000000
            EUR
            2021-05-27
            -2228.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FGBW8
        
          
        
        442374.43000000
        PA
        USD
        462596.38000000
        0.038041624918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AD3
        
          
        
        236000.00000000
        PA
        USD
        241458.68000000
        0.019856360609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2021-04-19
      BERNSTEIN SANFORD C FUND INC
      Joseph Mantineo
      Joseph Mantineo
      Treasurer and Chief Financial Officer
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Form NPORT-P BERNSTEIN SANFORD C FUND For: Mar 31

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