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

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May 10, 2022 10:12 AM EDT
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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
      Tax-Aware Overlay B Portfolio
      S000027650
      LUC3N2ZMPZNMBTZW4051
      2022-09-30
      2022-03-31
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        UNITED AIRLINES INC
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        United Airlines Inc
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          Fixed
          4.37500000
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          N
          N
        
        
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          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063CUD0
        
          
        
        1415000.00000000
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        1433665.69000000
        0.088732944171
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        DBT
        MUN
        US
        N
        
        2
        
          2022-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        4521525F4
        
          
        
        5740000.00000000
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        0.388597598327
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        US
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          2026-11-01
          Fixed
          5.00000000
          N
          N
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          N
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        Arizona Industrial Development Authority
        N/A
        ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
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        850000.00000000
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        USD
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        0.059657145520
        Long
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        MUN
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
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        PURCHASED NOK / SOLD USD
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        1.00000000
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              Morgan Stanley & Co. LLC
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            17545202.38000000
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            NOK
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          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2C1M1   IRS USD R F  3.32000 IS2C1M1 CCPINFLATIONZERO / Short: SS2C1M1   IRS USD P V 12MUSCPI IS2C1N2 CCPINFLATIONZERO
        000000000
        
          
        
        7300000.00000000
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        Notional Amount
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        -403385.08000000
        -0.02496645210
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2027-01-15
            0.00000000
            USD
            0.00000000
            USD
            7300000.00000000
            USD
            -403385.08000000
          
        
        
          N
          N
          N
        
      
      
        City of Atlanta GA Department of Aviation
        N/A
        ATLANTA GA ARPT REVENUE
        04780MZU6
        
          
        
        2350000.00000000
        PA
        USD
        2725475.95000000
        0.168686121875
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        County of Cuyahoga OH
        549300GHDK9DGLUNJU89
        CUYAHOGA CNTY OH HOSP REVENUE
        2322655J3
        
          
        
        4000000.00000000
        PA
        USD
        4458532.40000000
        0.275949064900
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Glendale AZ
        5493002BC35ZY7XRQ949
        GLENDALE AZ COPS
        37828AAJ8
        
          
        
        2250000.00000000
        PA
        USD
        2051297.55000000
        0.126959633792
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-07-01
          Fixed
          2.44200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arizona Industrial Development Authority
        N/A
        ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
        04052FBS3
        
          
        
        750000.00000000
        PA
        USD
        785751.30000000
        0.048631997488
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Hope Cultural Education Facilities Finance Corp
        N/A
        NEW HOPE CULTURAL EDU FACS FIN CORP TX HOSP REVENUE
        645424AD4
        
          
        
        1160000.00000000
        PA
        USD
        1211412.24000000
        0.074977155002
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Bridgeport CT
        N/A
        BRIDGEPORT CT
        108152BD0
        
          
        
        1000000.00000000
        PA
        USD
        1092639.50000000
        0.067626030551
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS281C9   IRS USD R V 12MUSCPI IS281D0 CCPINFLATIONZERO / Short: BS281C9   IRS USD P F  2.58500 IS281C9 CCPINFLATIONZERO
        000000000
        
          
        
        2355000.00000000
        OU
        Notional Amount
        USD
        226540.14000000
        0.014021102503
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-01-15
            0.00000000
            USD
            0.00000000
            USD
            2355000.00000000
            USD
            226540.14000000
          
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        549300UF4R84F48NCH34
        FTSE 100 IDX FUT JUN22
        000000000
        
          
        
        197.00000000
        NC
        
        -13859.70000000
        -0.00085780945
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              549300UF4R84F48NCH34
            
            Long
            
              
                FTSE 100 Index Future
                Z M2 INDEX
              
            
            2022-06-17
            14681777.98000000
            GBP
            -13859.70000000
          
        
        
          N
          N
          N
        
      
      
        Puerto Rico Electric Power Authority
        5493003BRB67HF8ST418
        PUERTO RICO ELEC PWR AUTH PWR REVENUE
        74526QPP1
        
          
        
        1010000.00000000
        PA
        USD
        1049932.77000000
        0.064982810507
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2031-07-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago O'Hare International Airport
        N/A
        CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE
        167593RE4
        
          
        
        6690000.00000000
        PA
        USD
        7157507.90000000
        0.442995011547
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Atlanta GA Department of Aviation
        N/A
        ATLANTA GA ARPT REVENUE
        04780MZY8
        
          
        
        1000000.00000000
        PA
        USD
        1051629.30000000
        0.065087812742
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6X1
        
          
        
        200000.00000000
        PA
        USD
        223626.22000000
        0.013840753135
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renewable Water Resources
        N/A
        RENEWABLE WTR RESOURCES SC SWR SYS REVENUE
        75972EBU8
        
          
        
        7220000.00000000
        PA
        USD
        7822685.89000000
        0.484164443070
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOVANT HEALTH INC
        549300ZUXEGFGE8EP917
        Novant Health Inc
        66988AAG9
        
          
        
        3525000.00000000
        PA
        USD
        3098122.50000000
        0.191750094004
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-11-01
          Fixed
          2.63700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Municipal Finance Authority
        5493000UQOV6R4ZWS346
        CALIFORNIA ST MUNI FIN AUTH SOL WST DISP REVENUE
        13048RAG2
        
          
        
        4710000.00000000
        PA
        USD
        4540088.63000000
        0.280996771945
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2044-10-01
          Floating
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461363N9
        
          
        
        1675000.00000000
        PA
        USD
        1852574.96000000
        0.114660224936
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        392.00000000
        NC
        USD
        -1656447.16000000
        -0.10252141374
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            49823447.16000000
            USD
            -1656447.16000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286B1
        
          
        
        7796000.00000000
        PA
        USD
        7898322.50000000
        0.488845770899
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-02-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegheny County Airport Authority
        N/A
        ALLEGHENY CNTY PA ARPT AUTH ARPT REVENUE
        01728LFE7
        
          
        
        2000000.00000000
        PA
        USD
        2078428.40000000
        0.128638825960
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greater Richmond Convention Center Authority
        N/A
        GTR RICHMOND VA CONVENTION CENTER AUTH HOTEL TAX REVENUE
        392329CK2
        
          
        
        2065000.00000000
        PA
        USD
        2144033.13000000
        0.132699257123
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IS0QGL9   IRS USD R V 12MLIBOR IS0QGM0 CPI SWAP 10212014 05 / Short: IS0QGL9   IRS USD P F  2.31000 IS0QGL9 CPI SWAP 10212014 05
        000000000
        
          
        
        12000000.00000000
        OU
        Notional Amount
        USD
        846830.64000000
        0.052412341612
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-10-23
            0.00000000
            USD
            0.00000000
            USD
            12000000.00000000
            USD
            846830.64000000
          
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224N54
        
          
        
        1355000.00000000
        PA
        USD
        1577436.26000000
        0.097631243161
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        University of Hawaii
        N/A
        UNIV OF HAWAII HI REVENUE
        91428LJK3
        
          
        
        6035000.00000000
        PA
        USD
        6323363.77000000
        0.391367867901
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Puerto Rico Highway & Transportation Authority
        549300J6QBXVWJXB7Y41
        PUERTO RICO HIGHWAY & TRANSPRTN AUTH TRANSPRTN REVENUE
        745190ZR2
        
          
        
        1005000.00000000
        PA
        USD
        1053635.87000000
        0.065212004082
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2034-07-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Future Tax Secured Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
        64971WAZ3
        
          
        
        3350000.00000000
        PA
        USD
        3553310.50000000
        0.219922750763
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indiana Finance Authority
        549300PS0PAS7NDSSI20
        INDIANA FIN AUTH IN WSTWTR UTIL REVENUE
        45505MJP2
        
          
        
        1000000.00000000
        PA
        USD
        1201871.00000000
        0.074386625200
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -862352.33000000
        -0.05337301554
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            26900047.57000000
            USD
            23508356.00000000
            EUR
            2022-05-12
            -862352.33000000
          
        
        
          N
          N
          N
        
      
      
        City of Atlanta GA Department of Aviation
        N/A
        ATLANTA GA ARPT REVENUE
        04780MYR4
        
          
        
        600000.00000000
        PA
        USD
        698287.92000000
        0.043218683025
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington State Housing Finance Commission
        549300YL1HU59NREG764
        WASHINGTON ST HSG FIN COMMISSION
        93978TS59
        
          
        
        988203.43000000
        PA
        USD
        976293.50000000
        0.060425102752
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS249F6   IRS USD R V 12MUSCPI IS249G7 CCPINFLATIONZERO / Short: BS249F6   IRS USD P F  1.71400 IS249F6 CCPINFLATIONZERO
        000000000
        
          
        
        1130000.00000000
        OU
        Notional Amount
        USD
        205440.58000000
        0.012715201070
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2030-01-15
            0.00000000
            USD
            0.00000000
            USD
            1130000.00000000
            USD
            205440.58000000
          
        
        
          N
          N
          N
        
      
      
        State of Florida
        5493004G5XFOOUT0LQ57
        FLORIDA ST BRD OF EDU PUBLIC EDU
        34153QVU7
        
          
        
        1000000.00000000
        PA
        USD
        1206296.50000000
        0.074660529812
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Florida
        5493004G5XFOOUT0LQ57
        FLORIDA ST BRD OF EDU PUBLIC EDU
        34153QVV5
        
          
        
        2000000.00000000
        PA
        USD
        2450286.00000000
        0.151653968117
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Seattle WA
        549300T9UCDUJ3GZL429
        PORT OF SEATTLE WA REVENUE
        735389C55
        
          
        
        6000000.00000000
        PA
        USD
        6622514.40000000
        0.409883004544
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Polk County Industrial Development Authority
        549300UTRO4TAORRAL04
        POLK CNTY FL INDL DEV AUTH
        731120NQ0
        
          
        
        1000000.00000000
        PA
        USD
        1114220.60000000
        0.068961735629
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-01-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Washington
        549300X3TODFMUKLQ364
        WASHINGTON ST
        93974DSB5
        
          
        
        3755000.00000000
        PA
        USD
        4010924.65000000
        0.248245567656
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IS1ISL8   IRS USD R V 12MUSCPI IS1ISM9 INFLATIONZERO / Short: IS1ISL8   IRS USD P F  2.17000 IS1ISL8 INFLATIONZERO
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        1268612.30000000
        0.078517401355
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-12-04
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            1268612.30000000
          
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3E5
        
          
        
        643444.00000000
        PA
        USD
        659058.13000000
        0.040790658982
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2023-07-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Economic Development Authority
        5493006JS6QWDVU4R678
        NEW JERSEY ST ECON DEV AUTH REVENUE
        64577BD68
        
          
        
        5025000.00000000
        PA
        USD
        5120611.18000000
        0.316926679021
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Philadelphia PA
        549300IVFOPB4AG7UL47
        PHILADELPHIA PA
        717813XG9
        
          
        
        2890000.00000000
        PA
        USD
        3341764.80000000
        0.206829689446
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCP6
        
          
        
        1546000.00000000
        PA
        USD
        1340598.44000000
        0.082972793003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        17951.75000000
        0.001111076063
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1737356.00000000
            EUR
            1942235.44000000
            USD
            2022-05-12
            17951.75000000
          
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6Q6
        
          
        
        100000.00000000
        PA
        USD
        109874.52000000
        0.006800392669
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nasdaq Stockholm AB
        549300KBQIVNEJEZVL96
        OMXS30 IND FUTURE APR22
        000000000
        
          
        
        665.00000000
        NC
        
        -415983.30000000
        -0.02574618559
        N/A
        DE
        
        SE
        N
        
        1
        
          
            
              Nasdaq Stockholm AB
              549300KBQIVNEJEZVL96
            
            Long
            
              
                OML Stockholm OMXS30 Index Future
                QCJ2 INDEX
              
            
            2022-04-13
            141628668.92000000
            SEK
            -415983.30000000
          
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224XU8
        
          
        
        2905000.00000000
        PA
        USD
        3303165.98000000
        0.204440717621
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Seattle WA
        549300T9UCDUJ3GZL429
        PORT OF SEATTLE WA REVENUE
        735389Q84
        
          
        
        1000000.00000000
        PA
        USD
        1045386.30000000
        0.064701418777
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -42394.10000000
        -0.00262387063
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2196000.00000000
            CAD
            1714029.21000000
            USD
            2022-04-22
            -42394.10000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        2296.82000000
        0.000142155596
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4276000.00000000
            AUD
            3202932.67000000
            USD
            2022-04-28
            2296.82000000
          
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Future Tax Secured Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
        64971WAG5
        
          
        
        5275000.00000000
        PA
        USD
        5561977.41000000
        0.344243873900
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: IS1FYS8   IRS USD R V 12MUSCPI IS1FYT9 INFLATIONZERO / Short: IS1FYS8   IRS USD P F  2.10400 IS1FYS8 INFLATIONZERO
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        1351361.80000000
        0.083638962689
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-07-20
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            1351361.80000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -353.23000000
        -0.00002186223
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5039107.00000000
            EUR
            5580927.41000000
            USD
            2022-05-12
            -353.23000000
          
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461363E9
        
          
        
        2750000.00000000
        PA
        USD
        2921705.05000000
        0.180831202766
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital Region Water Water Revenue
        N/A
        CAPITAL REGION WTR PA WTR REVENUE
        14045AAT2
        
          
        
        1500000.00000000
        PA
        USD
        1754319.00000000
        0.108578932293
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -277010.83000000
        -0.01714485230
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            9071000.00000000
            AUD
            6512738.43000000
            USD
            2022-04-28
            -277010.83000000
          
        
        
          N
          N
          N
        
      
      
        Washington Metropolitan Area Transit Authority
        549300ADKOK76HQMJS30
        WASHINGTON DC MET AREA TRANSIT AUTH GROSS REVENUE
        938782EJ4
        
          
        
        3015000.00000000
        PA
        USD
        3044794.83000000
        0.188449518983
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington State Housing Finance Commission
        549300YL1HU59NREG764
        WASHINGTON ST HSG FIN COMMISSION NONPROFIT HSG REVENUE
        939783ZC3
        
          
        
        120000.00000000
        PA
        USD
        116078.87000000
        0.007184394495
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-01-01
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1C8Y3   IRS USD R V 12MUSCPI IS1C8Z4 INFLATIONZERO / Short: IS1C8Y3   IRS USD P F  2.17500 IS1C8Y3 INFLATIONZERO
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        981410.10000000
        0.060741781169
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-03-02
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            981410.10000000
          
        
        
          N
          N
          N
        
      
      
        City of Ashland KY
        N/A
        ASHLAND KY MED CENTER REVENUE
        044293BN7
        
          
        
        225000.00000000
        PA
        USD
        247230.72000000
        0.015301691201
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Patriots Energy Group Financing Agency
        5493008X0DFBVFH4HL19
        PATRIOTS ENERGY GROUP FING AGY SC GAS SPLY REVENUE
        70342PAK0
        
          
        
        7390000.00000000
        PA
        USD
        7610827.24000000
        0.471052012540
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2048-10-01
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tobacco Settlement Financing Corp
        N/A
        TOBACCO SETTLEMENT FING CORP NJ
        888808HD7
        
          
        
        3450000.00000000
        PA
        USD
        3875484.02000000
        0.239862828260
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1NBC5   CDS USD R F  3.00000 IS1NBC5 CMBX / Short: IS1NBC5   CDS USD P V 01MEVENT IS1NBD6 CMBX
        000000000
        
          
        
        92778.50000000
        OU
        Notional Amount
        USD
        -22593.11000000
        -0.00139834075
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -8776.67000000
            USD
            92778.50000000
            USD
            -13816.44000000
          
        
        
          N
          N
          N
        
      
      
        Dallas Fort Worth International Airport
        N/A
        DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE
        2350365T3
        
          
        
        2500000.00000000
        PA
        USD
        2798213.75000000
        0.173188035530
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Beaumont Navigation District
        549300G8PKBXALUKJY33
        PORT BEAUMONT TX NAV DIST DOCK& WHARF FAC REVENUE
        73360CAC8
        
          
        
        300000.00000000
        PA
        USD
        288260.82000000
        0.017841140669
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-01-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2C596   IRS USD R F  3.46600 IS2C596 CCPINFLATIONZERO / Short: SS2C596   IRS USD P V 12MUSCPI IS2C5A7 CCPINFLATIONZERO
        000000000
        
          
        
        7200000.00000000
        OU
        Notional Amount
        USD
        -330863.47000000
        -0.02047791895
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2027-01-15
            0.00000000
            USD
            -9395.45000000
            USD
            7200000.00000000
            USD
            -321468.02000000
          
        
        
          N
          N
          N
        
      
      
        Ohio Water Development Authority Water Pollution Control Loan Fund
        N/A
        OHIO ST WTR DEV AUTH WTR POLLCONTROL REVENUE
        67766WXN7
        
          
        
        425000.00000000
        PA
        USD
        426085.11000000
        0.026371410393
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Floating
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152S44
        
          
        
        3810000.00000000
        PA
        USD
        4129087.50000000
        0.255558944579
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224XF1
        
          
        
        11050000.00000000
        PA
        USD
        12318751.06000000
        0.762436499452
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        North Broward Hospital District
        549300HZL14T4Q7UDP41
        NORTH BROWARD FL HOSP DIST
        657883DA9
        
          
        
        7070000.00000000
        PA
        USD
        7905763.08000000
        0.489306285909
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1PAG8   CDS USD R F  3.00000 IS1PAG8 CMBX / Short: IS1PAG8   CDS USD P V 01MEVENT IS1PAH9 CMBX
        000000000
        
          
        
        1285508.25000000
        OU
        Notional Amount
        USD
        -313042.68000000
        -0.01937494831
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -159731.22000000
            USD
            1285508.25000000
            USD
            -153311.46000000
          
        
        
          N
          N
          N
        
      
      
        Puerto Rico Highway & Transportation Authority
        549300J6QBXVWJXB7Y41
        PUERTO RICO HIGHWAY & TRANSPRTN AUTH TRANSPRTN REVENUE
        745190UR7
        
          
        
        905000.00000000
        PA
        USD
        945229.60000000
        0.058502484861
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2041-07-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Colorado Health Facilities Authority
        5493002JB6DRFRZPEQ21
        COLORADO ST HLTH FACS AUTH HOSP REVENUE
        19648FKL7
        
          
        
        1500000.00000000
        PA
        USD
        1706239.95000000
        0.105603206718
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vauxmont Metropolitan District
        549300M7XL6MB0OW8D56
        VAUXMONT MET DIST CO
        92242SBB8
        
          
        
        110000.00000000
        PA
        USD
        128966.39000000
        0.007982033443
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23107.08000000
        -0.00143015157
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            4728747.02000000
            USD
            4347000.00000000
            CHF
            2022-04-13
            -23107.08000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        37431.25000000
        0.002316708169
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6350332.82000000
            USD
            59950317.00000000
            SEK
            2022-06-17
            37431.25000000
          
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966KRW5
        
          
        
        2510000.00000000
        PA
        USD
        2616099.46000000
        0.161916553454
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Transportation Development Corp
        N/A
        NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE
        650116CX2
        
          
        
        6500000.00000000
        PA
        USD
        6733792.65000000
        0.416770277368
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3G0
        
          
        
        453285.00000000
        PA
        USD
        494938.17000000
        0.030632888345
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2027-07-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224ZP7
        
          
        
        1065000.00000000
        PA
        USD
        1208487.02000000
        0.074796106250
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204ET32
        
          
        
        3020000.00000000
        PA
        USD
        3503002.49000000
        0.216809069607
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Atlanta GA Airport Passenger Facility Charge
        N/A
        ATLANTA GA ARPT PASSENGER FAC CHARGE REVENUE
        04780TDV3
        
          
        
        4000000.00000000
        PA
        USD
        4356770.80000000
        0.269650799946
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        SPI 200 FUTURES JUN22
        000000000
        
          
        
        -118.00000000
        NC
        
        -464908.55000000
        -0.02877428447
        N/A
        DE
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Short
            
              
                SFE S&P ASX Share Price Index 200 Future
                XPM2 INDEX
              
            
            2022-06-16
            -21342833.16000000
            AUD
            -464908.55000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2BYW9   IRS USD R F  2.90900 IS2BYW9 CCPINFLATIONZERO / Short: SS2BYW9   IRS USD P V 12MUSCPI IS2BYX0 CCPINFLATIONZERO
        000000000
        
          
        
        3800000.00000000
        OU
        Notional Amount
        USD
        -257119.17000000
        -0.01591371064
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2032-04-15
            0.00000000
            USD
            0.00000000
            USD
            3800000.00000000
            USD
            -257119.17000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1N8C4   CDS USD R F  3.00000 IS1N8C4 CMBX / Short: IS1N8C4   CDS USD P V 01MEVENT IS1N8D5 CMBX
        000000000
        
          
        
        951696.96000000
        OU
        Notional Amount
        USD
        -231754.07000000
        -0.01434380490
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -88633.51000000
            USD
            951696.96000000
            USD
            -143120.56000000
          
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTJ4
        
          
        
        1500000.00000000
        PA
        USD
        1764630.60000000
        0.109217141489
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Houston TX Airport System Revenue
        N/A
        HOUSTON TX ARPT SYS REVENUE
        4423487H5
        
          
        
        375000.00000000
        PA
        USD
        389883.94000000
        0.024130834770
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Ashland KY
        N/A
        ASHLAND KY MED CENTER REVENUE
        044293BT4
        
          
        
        195000.00000000
        PA
        USD
        223001.38000000
        0.013802080317
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS283G7   IRS USD R V 12MUSCPI IS283H8 CCPINFLATIONZERO / Short: BS283G7   IRS USD P F  2.61250 IS283G7 CCPINFLATIONZERO
        000000000
        
          
        
        2355000.00000000
        OU
        Notional Amount
        USD
        223918.20000000
        0.013858824465
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-01-15
            0.00000000
            USD
            0.00000000
            USD
            2355000.00000000
            USD
            223918.20000000
          
        
        
          N
          N
          N
        
      
      
        New York Liberty Development Corp
        N/A
        NEW YORK ST LIBERTY DEV CORP LIBERTY REVENUE
        649519DH5
        
          
        
        2370000.00000000
        PA
        USD
        2263897.23000000
        0.140117928412
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2069-09-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Texas
        549300X9CH74QB747L76
        TEXAS ST
        882723QZ5
        
          
        
        1790000.00000000
        PA
        USD
        1790000.00000000
        0.110787313370
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6L7
        
          
        
        100000.00000000
        PA
        USD
        101294.36000000
        0.006269346370
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Development Finance Corp
        549300HC854CNBLMWC48
        FLORIDA DEV FIN CORP HLTHCAREFACS REVENUE
        34061QAN7
        
          
        
        1520000.00000000
        PA
        USD
        1552889.00000000
        0.096111955459
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        646136G62
        
          
        
        2500000.00000000
        PA
        USD
        2519418.50000000
        0.155932741269
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Salt Lake City UT Airport Revenue
        N/A
        SALT LAKE CITY UT ARPT REVENUE
        795576JS7
        
          
        
        3000000.00000000
        PA
        USD
        3474950.40000000
        0.215072859727
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lakewood Ranch Stewardship District
        N/A
        LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE
        51265KDJ4
        
          
        
        1830000.00000000
        PA
        USD
        1664499.92000000
        0.103019818012
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK85922 ALLIANCE
        000000000
        
          
        
        4750.00000000
        NC
        
        865305.23000000
        0.053555777473
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                EURO STOXX 50 Index
                SX5E Index
              
            
            1.00000000
            3350.00000000
            EUR
            2022-12-16
            XXXX
            335044.59000000
          
        
        
          N
          N
          N
        
      
      
        New York Transportation Development Corp
        N/A
        NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE
        650116DA1
        
          
        
        1355000.00000000
        PA
        USD
        1386743.45000000
        0.085828816290
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-10-01
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOZART DEBT MERGER SUB
        N/A
        Mozart Debt Merger Sub Inc
        62482BAA0
        
          
        
        1150000.00000000
        PA
        USD
        1063692.50000000
        0.065834432585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        North Broward Hospital District
        549300HZL14T4Q7UDP41
        NORTH BROWARD FL HOSP DIST
        657883DF8
        
          
        
        2950000.00000000
        PA
        USD
        3297424.16000000
        0.204085342865
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        104966.13000000
        0.006496600859
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            6026518.87000000
            USD
            7666000.00000000
            CAD
            2022-04-22
            104966.13000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Education
        54930099NR6T9V7LVB43
        CHICAGO IL BRD OF EDU
        167505NG7
        
          
        
        1000000.00000000
        PA
        USD
        1090246.80000000
        0.067477940716
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-11-01
          Fixed
          6.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        6461397E9
        
          
        
        1565000.00000000
        PA
        USD
        1785656.24000000
        0.110518467839
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDK7
        
          
        
        110198.18000000
        PA
        USD
        114421.15000000
        0.007081794302
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3J4
        
          
        
        12695.00000000
        PA
        USD
        14459.62000000
        0.000894939917
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2031-07-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City Of South Miami Health Facilities Authority Inc
        N/A
        S MIAMI FL HLTH FACS AUTH
        838810DR7
        
          
        
        2625000.00000000
        PA
        USD
        2985980.55000000
        0.184809364755
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mississippi Development Bank
        549300122LOI8CB50V38
        MISSISSIPPI ST DEV BANK SPL OBLG
        60534WCM8
        
          
        
        3725000.00000000
        PA
        USD
        3735818.52000000
        0.231218601715
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triborough Bridge & Tunnel Authority
        54930020ZN4LQF7K3456
        TRIBOROUGH NY BRIDGE & TUNNEL AUTH PAYROLL MOBILITY TAX
        89602HAG2
        
          
        
        3000000.00000000
        PA
        USD
        2734698.60000000
        0.169256933392
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-05-15
          Fixed
          2.41100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Multifamily
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily ML Certificates
        35833JAJ6
        
          
        
        993761.05000000
        PA
        USD
        870683.74000000
        0.053888666117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-25
          Fixed
          2.04600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS2AU39   IRS USD R V 12MUSCPI IS2AU40 CCPINFLATIONZERO / Short: BS2AU39   IRS USD P F  2.68000 IS2AU39 CCPINFLATIONZERO
        000000000
        
          
        
        4150000.00000000
        OU
        Notional Amount
        USD
        406750.59000000
        0.025174751440
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2031-01-15
            0.00000000
            USD
            0.00000000
            USD
            4150000.00000000
            USD
            406750.59000000
          
        
        
          N
          N
          N
        
      
      
        Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue
        N/A
        HARRIS CNTY TX MET TRANSIT AUTH SALES & USE TAX
        41422EJA2
        
          
        
        1185000.00000000
        PA
        USD
        1382336.15000000
        0.085556038119
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN DEERE CAPITAL CORP
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EVT3
        
          
        
        1000000.00000000
        PA
        USD
        995930.00000000
        0.061640451958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-10
          Floating
          0.21500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Future Tax Secured Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
        64971WCD0
        
          
        
        10665000.00000000
        PA
        USD
        11303299.18000000
        0.699587792389
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PMQ5
        
          
        
        805000.00000000
        PA
        USD
        868188.72000000
        0.053734243456
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Washington
        549300X3TODFMUKLQ364
        WASHINGTON ST
        93974DNZ7
        
          
        
        3735000.00000000
        PA
        USD
        3889735.45000000
        0.240744882809
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XEP5
        
          
        
        382259.15000000
        PA
        USD
        389124.41000000
        0.024083825670
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-25
          Floating
          4.00700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        Long: IS1FXG9   IRS USD R V 12MUSCPI IS1FXH0 INFLATIONZERO / Short: IS1FXG9   IRS USD P F  1.93900 IS1FXG9 INFLATIONZERO
        000000000
        
          
        
        56000000.00000000
        OU
        Notional Amount
        USD
        4973639.44000000
        0.307830252085
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2022-07-20
            0.00000000
            USD
            0.00000000
            USD
            56000000.00000000
            USD
            4973639.44000000
          
        
        
          N
          N
          N
        
      
      
        Commonwealth of Pennsylvania
        N/A
        PENNSYLVANIA ST
        70914PJ94
        
          
        
        1000000.00000000
        PA
        USD
        1106316.80000000
        0.068472550842
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Colorado Health Facilities Authority
        5493002JB6DRFRZPEQ21
        COLORADO ST HLTH FACS AUTH HOSP REVENUE
        19648FJV7
        
          
        
        4100000.00000000
        PA
        USD
        4659315.03000000
        0.288375974481
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        89.00000000
        NC
        USD
        -542471.91000000
        -0.03357486340
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            16306596.91000000
            USD
            -542471.91000000
          
        
        
          N
          N
          N
        
      
      
        San Francisco City & County Airport Comm-San Francisco International Airport
        54930055TIDYHNDP4F84
        SAN FRANCISCO CALIF CITY &CNTY ARPTS COMMN INTL ARPT REV
        79766DSH3
        
          
        
        3755000.00000000
        PA
        USD
        3962449.86000000
        0.245245348802
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Massachusetts Transportation Fund Revenue
        N/A
        MASSACHUSETTS ST TRANSPRTN FUND REVENUE
        57604TJY3
        
          
        
        2000000.00000000
        PA
        USD
        2385999.20000000
        0.147675106744
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204ET57
        
          
        
        1725000.00000000
        PA
        USD
        2002197.15000000
        0.123920694462
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1NCU0   CDS USD R F  3.00000 IS1NCU0 CMBX / Short: IS1NCU0   CDS USD P V 01MEVENT IS1NCV1 CMBX
        000000000
        
          
        
        50693.40000000
        OU
        Notional Amount
        USD
        -12344.69000000
        -0.00076404192
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4839.70000000
            USD
            50693.40000000
            USD
            -7504.99000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152RF0
        
          
        
        1970000.00000000
        PA
        USD
        1970000.00000000
        0.121927937061
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Seattle WA
        549300T9UCDUJ3GZL429
        PORT OF SEATTLE WA REVENUE
        735389F52
        
          
        
        5340000.00000000
        PA
        USD
        5994336.90000000
        0.371003620441
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: IS1WUB4   IRS USD R V 01MMUNIP IS1WUC5 VANILLA / Short: IS1WUB4   IRS USD P F  1.12500 IS1WUB4 VANILLA
        000000000
        
          
        
        12470000.00000000
        OU
        Notional Amount
        USD
        820553.39000000
        0.050785980757
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-10-09
            0.00000000
            USD
            0.00000000
            USD
            12470000.00000000
            USD
            820553.39000000
          
        
        
          N
          N
          N
        
      
      
        Municipal Electric Authority of Georgia
        JA0WNILDDF2KUPS83B16
        MUNI ELEC AUTH OF GEORGIA
        626207X74
        
          
        
        180000.00000000
        PA
        USD
        205239.22000000
        0.012702738425
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063CMU1
        
          
        
        50000.00000000
        PA
        USD
        53646.30000000
        0.003320295781
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBM5
        
          
        
        147481.31000000
        PA
        USD
        157773.18000000
        0.009764953482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-25
          Floating
          7.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Ashland KY
        N/A
        ASHLAND KY MED CENTER REVENUE
        044293BP2
        
          
        
        240000.00000000
        PA
        USD
        268678.15000000
        0.016629123128
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1QI56   IRS USD R V 12MUSCPI IS1QI67 INFLATIONZERO / Short: IS1QI56   IRS USD P F  2.00900 IS1QI56 INFLATIONZERO
        000000000
        
          
        
        28000000.00000000
        OU
        Notional Amount
        USD
        4043081.56000000
        0.250235834509
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2028-12-27
            0.00000000
            USD
            0.00000000
            USD
            28000000.00000000
            USD
            4043081.56000000
          
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204FGX7
        
          
        
        1000000.00000000
        PA
        USD
        1228777.20000000
        0.076051913250
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sacramento County Water Financing Authority
        N/A
        SACRAMENTO CNTY CA WTR FING AUTH REVENUE
        78615RCV3
        
          
        
        3675000.00000000
        PA
        USD
        3442227.34000000
        0.213047552519
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-06-01
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        South Lyon Community Schools
        N/A
        SOUTH LYON MI CMNTY SCHS
        838736XB7
        
          
        
        3640000.00000000
        PA
        USD
        4058188.68000000
        0.251170849725
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204EL71
        
          
        
        6775000.00000000
        PA
        USD
        7668670.60000000
        0.474632074245
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK78137 ALLIANCE
        000000000
        
          
        
        104000.00000000
        NC
        
        575933.12000000
        0.035645856450
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                Nikkei 225 Index
                NKY Index
              
            
            1.00000000
            23000.00000000
            JPY
            2022-12-09
            XXXX
            -34835.37000000
          
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224A33
        
          
        
        2000000.00000000
        PA
        USD
        2292226.60000000
        0.141871299804
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Education
        54930099NR6T9V7LVB43
        CHICAGO IL BRD OF EDU
        167505XC5
        
          
        
        160000.00000000
        PA
        USD
        174066.64000000
        0.010773394074
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IS1IRW2   IRS USD R V 12MUSCPI IS1IRX3 INFLATIONZERO / Short: IS1IRW2   IRS USD P F  2.23250 IS1IRW2 INFLATIONZERO
        000000000
        
          
        
        13000000.00000000
        OU
        Notional Amount
        USD
        1932292.18000000
        0.119594111323
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2032-12-04
            0.00000000
            USD
            0.00000000
            USD
            13000000.00000000
            USD
            1932292.18000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1N5S9   CDS USD R F  3.00000 IS1N5S9 CMBX / Short: IS1N5S9   CDS USD P V 01MEVENT IS1N5T0 CMBX
        000000000
        
          
        
        825441.67000000
        OU
        Notional Amount
        USD
        -201008.80000000
        -0.01244090777
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -74617.02000000
            USD
            825441.67000000
            USD
            -126391.78000000
          
        
        
          N
          N
          N
        
      
      
        Palm Beach County Health Facilities Authority
        N/A
        PALM BEACH CNTY FL HLTH FACS AUTH REVENUE
        696507UT7
        
          
        
        200000.00000000
        PA
        USD
        206727.42000000
        0.012794846626
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2055-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Thruway Authority
        N/A
        NEW YORK ST THRUWAY AUTH PERSONAL INCOME TAX REVENUE
        650028XA6
        
          
        
        1500000.00000000
        PA
        USD
        1600312.95000000
        0.099047135353
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Public School Building Authority
        5493006JN0UR7OGWTO86
        STATE PUBLIC SCH BLDG AUTH PA LEASE REVENUE
        85732GPJ3
        
          
        
        1110000.00000000
        PA
        USD
        1110000.00000000
        0.068700512760
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59259YQL6
        
          
        
        3065000.00000000
        PA
        USD
        3123963.24000000
        0.193349438228
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lower Colorado River Authority
        549300QJFPW2NNBYR215
        LOWER COLORADO RIVER TX AUTH TRANSMISSION CONTRACT REVENUE
        54811BYL9
        
          
        
        5255000.00000000
        PA
        USD
        6189405.74000000
        0.383076890109
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTF2
        
          
        
        1300000.00000000
        PA
        USD
        1538201.73000000
        0.095202925747
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Snohomish County Public Utility District No 1
        549300LU0VT11TQC1877
        SNOHOMISH CNTY WA PUBLIC UTILITY DIST #1 ELEC REVENUE
        833102YJ9
        
          
        
        6065000.00000000
        PA
        USD
        6211537.68000000
        0.384446687971
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Transportation Development Corp
        N/A
        NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE
        650116CQ7
        
          
        
        265000.00000000
        PA
        USD
        270634.11000000
        0.016750182096
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comanche County Hospital Authority
        N/A
        COMANCHE CNTY OK HOSP AUTH REVENUE
        199875HN8
        
          
        
        1000000.00000000
        PA
        USD
        1049634.30000000
        0.064964337496
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYLOR SCOTT & WHITE HOL
        549300JQDKSBWYRGGV95
        Baylor Scott & White Holdings
        072863AH6
        
          
        
        1000000.00000000
        PA
        USD
        882830.00000000
        0.054640426739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          1.77700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        18417.39000000
        0.001139895618
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            1217794.66000000
            USD
            150430886.00000000
            JPY
            2022-04-28
            18417.39000000
          
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461363L3
        
          
        
        1630000.00000000
        PA
        USD
        1803766.80000000
        0.111639373027
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTA3
        
          
        
        1000000.00000000
        PA
        USD
        1191881.40000000
        0.073768345342
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dallas Fort Worth International Airport
        N/A
        DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE
        2350365U0
        
          
        
        1225000.00000000
        PA
        USD
        1393037.05000000
        0.086218342008
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        371218.67000000
        0.022975597275
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13368000.00000000
            EUR
            15177524.56000000
            USD
            2022-05-12
            371218.67000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBD5
        
          
        
        1193.30000000
        PA
        USD
        1193.30000000
        0.000073856145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MSY2
        
          
        
        3390000.00000000
        PA
        USD
        4092302.23000000
        0.253282217632
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Texas Water Development Board
        N/A
        TEXAS ST WTR DEV BRD
        8828544C3
        
          
        
        1255000.00000000
        PA
        USD
        1447465.17000000
        0.089587026470
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224L31
        
          
        
        3900000.00000000
        PA
        USD
        4306171.74000000
        0.266519105020
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Housing Finance Agency
        549300BOPCVLBA552Z14
        CALIFORNIA HSG FIN AGY MUNI CTFS
        13033DAH8
        
          
        
        2000000.00000000
        PA
        USD
        123190.20000000
        0.007624531447
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-03-25
          Variable
          0.82300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Michigan Finance Authority
        54930022O46HOX5J1D14
        MICHIGAN ST FIN AUTH REVENUE
        59447TDZ3
        
          
        
        900000.00000000
        PA
        USD
        922911.84000000
        0.057121186162
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vauxmont Metropolitan District
        549300M7XL6MB0OW8D56
        VAUXMONT MET DIST CO
        92242SAN3
        
          
        
        206000.00000000
        PA
        USD
        201015.52000000
        0.012441323690
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-12-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT JUN22
        000000000
        
          
        
        204.00000000
        NC
        USD
        2741598.58000000
        0.169683989396
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                CME E-Mini Standard & Poor's 500 Index Future
                ESM2 INDEX
              
            
            2022-06-17
            43472051.42000000
            USD
            2741598.58000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0AD1
        
          
        
        97694.00000000
        PA
        USD
        98843.35000000
        0.006117647592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-11-25
          Floating
          4.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vauxmont Metropolitan District
        549300M7XL6MB0OW8D56
        VAUXMONT MET DIST CO
        92242SAV5
        
          
        
        105000.00000000
        PA
        USD
        119563.37000000
        0.007400058402
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        University of Hawaii
        N/A
        UNIV OF HAWAII HI REVENUE
        91428LJN7
        
          
        
        7010000.00000000
        PA
        USD
        7890630.55000000
        0.488369698008
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        667009.08000000
        0.041282761992
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1505190000.00000000
            JPY
            13036370.60000000
            USD
            2022-04-28
            667009.08000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-SBT1
        20753VCZ9
        
          
        
        250000.00000000
        PA
        USD
        248878.38000000
        0.015403668757
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-25
          Floating
          4.10700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        56991.07000000
        0.003527311470
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            9710343.86000000
            USD
            7437457.00000000
            GBP
            2022-06-09
            56991.07000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -28415.18000000
        -0.00175868237
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            5371639.56000000
            USD
            4935991.00000000
            CHF
            2022-04-13
            -28415.18000000
          
        
        
          N
          N
          N
        
      
      
        City of Philadelphia PA Water & Wastewater Revenue
        N/A
        PHILADELPHIA PA WTR & WSTWTR REVENUE
        717893P96
        
          
        
        1655000.00000000
        PA
        USD
        1939960.38000000
        0.120068714271
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063CQT0
        
          
        
        2085000.00000000
        PA
        USD
        2264380.68000000
        0.140147850271
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Education
        54930099NR6T9V7LVB43
        CHICAGO IL BRD OF EDU
        167505YK6
        
          
        
        2000000.00000000
        PA
        USD
        1986368.40000000
        0.122941015866
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PMN2
        
          
        
        730000.00000000
        PA
        USD
        772092.82000000
        0.047786642011
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        28070.54000000
        0.001737351794
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2716644.00000000
            EUR
            3037006.96000000
            USD
            2022-05-12
            28070.54000000
          
        
        
          N
          N
          N
        
      
      
        Town of Enfield CT
        N/A
        ENFIELD CT
        292749VQ8
        
          
        
        1440000.00000000
        PA
        USD
        1444137.84000000
        0.089381090184
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-04
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        3574.97000000
        0.000221263308
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            23448756.00000000
            CHF
            25386920.44000000
            USD
            2022-04-13
            3574.97000000
          
        
        
          N
          N
          N
        
      
      
        City of Bridgeport CT
        N/A
        BRIDGEPORT CT
        108152AK5
        
          
        
        1890000.00000000
        PA
        USD
        2139697.35000000
        0.132430905493
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK86055 ALLIANCE
        000000000
        
          
        
        62600.00000000
        NC
        USD
        7926647.88000000
        0.490598895341
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            1.00000000
            3700.00000000
            USD
            2023-01-20
            XXXX
            -271135.12000000
          
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTE5
        
          
        
        1210000.00000000
        PA
        USD
        1433120.13000000
        0.088699178178
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Housing Finance Agency
        549300BOPCVLBA552Z14
        CALIFORNIA HSG FIN AGY MUNI CTFS
        13033DAE5
        
          
        
        985612.02000000
        PA
        USD
        1028254.03000000
        0.063641062260
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Economic Development Authority
        5493006JS6QWDVU4R678
        NEW JERSEY ST ECON DEV AUTH SPL FAC REVENUE
        64578CAH4
        
          
        
        1185000.00000000
        PA
        USD
        1205821.04000000
        0.074631102473
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-09-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MSN6
        
          
        
        2500000.00000000
        PA
        USD
        3017922.00000000
        0.186786296280
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        South Dakota Health & Educational Facilities Authority
        549300ZW6LKR8UI2C378
        SOUTH DAKOTA ST HLTH & EDUCTNL FACS AUTH
        83755VC77
        
          
        
        2000000.00000000
        PA
        USD
        2245397.00000000
        0.138972905631
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBB9
        
          
        
        44023.41000000
        PA
        USD
        44755.12000000
        0.002769999723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAH0
        
          
        
        500000.00000000
        PA
        USD
        476000.00000000
        0.029460760427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Health Care Facilities Financing Authority
        N/A
        NEW JERSEY ST HLTH CARE FACS FING AUTH REVENUE
        645790LB0
        
          
        
        1325000.00000000
        PA
        USD
        1505385.63000000
        0.093171860075
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Municipal Power Agency
        549300M3I10QJUPNU131
        FLORIDA ST MUNI PWR AGY
        342816S22
        
          
        
        500000.00000000
        PA
        USD
        468074.50000000
        0.028970232576
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-10-01
          Fixed
          1.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSCDA Community Improvement Authority
        N/A
        CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
        126292AL5
        
          
        
        2000000.00000000
        PA
        USD
        1707647.60000000
        0.105690329490
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Connecticut
        5493007GRO6CU0IKP741
        CONNECTICUT ST
        20772KCK3
        
          
        
        1415000.00000000
        PA
        USD
        1607091.20000000
        0.099466657200
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Massachusetts
        5493001N1YCXNI1O7K10
        MASSACHUSETTS ST
        57582PCU2
        
          
        
        2775000.00000000
        PA
        USD
        2683307.62000000
        0.166076224674
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-05-01
          Floating
          0.78200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        University of Michigan
        N/A
        UNIV OF MICHIGAN MI
        914455QJ2
        
          
        
        1955000.00000000
        PA
        USD
        2020568.35000000
        0.125057731272
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        AK45692 FTSE 100 INDEX
        000000000
        
          
        
        1900.00000000
        NC
        
        4005.08000000
        0.000247883828
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                FTSE 100 Index
                UKX Index
              
            
            1.00000000
            5600.00000000
            GBP
            2022-04-14
            XXXX
            -421146.72000000
          
        
        
          N
          N
          N
        
      
      
        City Of South Miami Health Facilities Authority Inc
        N/A
        S MIAMI FL HLTH FACS AUTH
        838810DS5
        
          
        
        2750000.00000000
        PA
        USD
        3126680.98000000
        0.193517645553
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS19KK4   IRS USD R V 03MLIBOR IS19KL5 CPILV506025 / Short: IS19KK4   IRS USD P F  2.01500 IS19KK4 CPILV506025
        000000000
        
          
        
        13000000.00000000
        OU
        Notional Amount
        USD
        1837538.69000000
        0.113729594793
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-11-04
            0.00000000
            USD
            0.00000000
            USD
            13000000.00000000
            USD
            1837538.69000000
          
        
        
          N
          N
          N
        
      
      
        SPDR S&P 500 ETF Trust
        549300NZAMSJ8FXPQQ63
        SPDR S&P 500 ETF Trust
        78462F103
        
          
        
        631420.00000000
        NS
        USD
        285174528.80000000
        17.65012284218
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth
        N/A
        PUERTO RICO INDL TOURIST EDUCTNL MED & ENVRNMNTL CONTROL FAC
        74527JAC1
        
          
        
        3680000.00000000
        PA
        USD
        3804030.72000000
        0.235440415334
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2026-06-01
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -32738.66000000
        -0.00202627272
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2083000.00000000
            CAD
            1633304.03000000
            USD
            2022-04-22
            -32738.66000000
          
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6T0
        
          
        
        100000.00000000
        PA
        USD
        113831.43000000
        0.007045295143
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461364B4
        
          
        
        5975000.00000000
        PA
        USD
        6688807.56000000
        0.413986044260
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kansas Development Finance Authority
        549300WTL7BL8KBDPR87
        KANSAS ST DEV FIN AUTH REVENUE
        48542RSJ4
        
          
        
        2000000.00000000
        PA
        USD
        1850121.40000000
        0.114508368332
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-05-01
          Fixed
          1.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegheny County Sanitary Authority
        N/A
        ALLEGHENY CNTY PA SAN AUTH
        017357YS7
        
          
        
        3105000.00000000
        PA
        USD
        3271503.14000000
        0.202481029924
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Puerto Rico Highway & Transportation Authority
        549300J6QBXVWJXB7Y41
        PUERTO RICO HIGHWAY & TRANSPRTN AUTH TRANSPRTN REVENUE
        745190ZS0
        
          
        
        1110000.00000000
        PA
        USD
        1164155.90000000
        0.072052348885
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2036-07-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300KB1O80CETXGJ21
        Freddie Mac STACR Trust 2019-DNA3
        35564TAH3
        
          
        
        134686.96000000
        PA
        USD
        134686.87000000
        0.008336087415
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-25
          Floating
          2.50700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Future Tax Secured Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
        64971WAJ9
        
          
        
        2500000.00000000
        PA
        USD
        2634160.75000000
        0.163034409206
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224A58
        
          
        
        2540000.00000000
        PA
        USD
        2902417.87000000
        0.179637473796
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        University of Houston
        N/A
        UNIV OF HOUSTON TX UNIV REVENUES
        914302BZ6
        
          
        
        13870000.00000000
        PA
        USD
        14290181.94000000
        0.884452997045
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        S+P/TSX 60 IX FUT JUN22
        000000000
        
          
        
        14.00000000
        NC
        
        -13756.58000000
        -0.00085142711
        N/A
        DE
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                Montreal Exchange S&P/TSX 60 Index Future
                PTM2 INDEX
              
            
            2022-06-16
            3705077.79000000
            CAD
            -13756.58000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -12863.63000000
        -0.00079616033
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3083547.00000000
            CHF
            3325084.82000000
            USD
            2022-04-13
            -12863.63000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        116326.34000000
        0.007199710996
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            234177654.00000000
            JPY
            2040753.20000000
            USD
            2022-04-28
            116326.34000000
          
        
        
          N
          N
          N
        
      
      
        County of Osceola FL Transportation Revenue
        N/A
        OSCEOLA CNTY FL TRANSPRTN REVENUE
        688031EK5
        
          
        
        100000.00000000
        PA
        USD
        74489.46000000
        0.004610328015
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-10-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Housing Finance Agency
        549300BOPCVLBA552Z14
        CALIFORNIA HSG FIN AGY MUNI CTFS
        13033DAC9
        
          
        
        2195213.35000000
        PA
        USD
        2325220.03000000
        0.143913340848
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        383746.45000000
        0.023750971067
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            22618697.90000000
            USD
            28759222.00000000
            CAD
            2022-04-22
            383746.45000000
          
        
        
          N
          N
          N
        
      
      
        Metropolitan Washington Airports Authority Aviation Revenue
        N/A
        MET WASHINGTON DC ARPTS AUTH ARPT SYS REVENUE
        592647FC0
        
          
        
        4270000.00000000
        PA
        USD
        4833490.55000000
        0.299156107395
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Centerra Metropolitan District No 1
        549300SHE5ZPSMGZH793
        CENTERRA CO MET DIST #1 SPL REVENUE
        15200XAE3
        
          
        
        2375000.00000000
        PA
        USD
        2461560.68000000
        0.152351784601
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        28989.69000000
        0.001794240151
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            833295.74000000
            USD
            1152000.00000000
            AUD
            2022-04-28
            28989.69000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS21YN0   IRS USD R V 12MUSCPI IS21YO1 CCPINFLATIONZERO / Short: BS21YN0   IRS USD P F  1.23000 IS21YN0 CCPINFLATIONZERO
        000000000
        
          
        
        20920000.00000000
        OU
        Notional Amount
        USD
        4134107.26000000
        0.255869629341
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2028-01-15
            0.00000000
            USD
            0.00000000
            USD
            20920000.00000000
            USD
            4134107.26000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily VRD Certificates
        N/A
        FEDERAL HOME LOAN MTGE CORP VA MF VARIABLE RATE CTFS
        31350ACN6
        
          
        
        4860000.00000000
        PA
        USD
        4625723.70000000
        0.286296927999
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2035-06-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greater Richmond Convention Center Authority
        N/A
        GTR RICHMOND VA CONVENTION CENTER AUTH HOTEL TAX REVENUE
        392329CJ5
        
          
        
        1500000.00000000
        PA
        USD
        1511601.75000000
        0.093556590373
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3Q8
        
          
        
        6192.00000000
        PA
        USD
        5650.17000000
        0.000349702320
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2024-07-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        646139ZX6
        
          
        
        11070000.00000000
        PA
        USD
        12344471.39000000
        0.764028391217
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-01-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -57911.66000000
        -0.00358428895
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            7277000.00000000
            CAD
            5762440.07000000
            USD
            2022-04-22
            -57911.66000000
          
        
        
          N
          N
          N
        
      
      
        Tennessee Energy Acquisition Corp
        549300OJ2Z8PGEY46K92
        TENNESSEE ST ENERGY ACQUISITION CORP GAS REVENUE
        880443JE7
        
          
        
        6500000.00000000
        PA
        USD
        6716243.95000000
        0.415684147018
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-01
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Glendale AZ
        5493002BC35ZY7XRQ949
        GLENDALE AZ COPS
        37828AAF6
        
          
        
        1000000.00000000
        PA
        USD
        925184.50000000
        0.057261846439
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-01
          Fixed
          2.06200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Seattle WA
        549300T9UCDUJ3GZL429
        PORT OF SEATTLE WA REVENUE
        735389F45
        
          
        
        4925000.00000000
        PA
        USD
        5435980.57000000
        0.336445632897
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Future Tax Secured Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
        64971WBA7
        
          
        
        6000000.00000000
        PA
        USD
        6359099.40000000
        0.393579630158
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Beaver County Industrial Development Authority
        N/A
        BEAVER CNTY PA INDL DEV AUTH
        074876HR7
        
          
        
        1245000.00000000
        PA
        USD
        1249340.94000000
        0.077324651523
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-01-01
          Floating
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        112042.79000000
        0.006934592003
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            230621654.00000000
            JPY
            2007247.12000000
            USD
            2022-04-28
            112042.79000000
          
        
        
          N
          N
          N
        
      
      
        Parish of St James LA
        N/A
        SAINT JAMES PARISH LA REVENUE
        790103AU9
        
          
        
        585000.00000000
        PA
        USD
        690737.76000000
        0.042751385851
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2038-06-01
          Floating
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golden State Tobacco Securitization Corp
        N/A
        GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT
        38122NZT2
        
          
        
        1380000.00000000
        PA
        USD
        1385654.14000000
        0.085761396330
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coatesville School District
        549300FB4I8E5MPRFX97
        COATESVILLE PA AREA SCH DIST
        190684QD5
        
          
        
        1020000.00000000
        PA
        USD
        1032442.78000000
        0.063900313857
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Dormitory Authority
        549300C8XO7EXTX2XU71
        NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
        64990FB86
        
          
        
        1390000.00000000
        PA
        USD
        1425557.87000000
        0.088231132107
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2B560   IRS USD R F  2.74800 IS2B560 CCPINFLATIONZERO / Short: SS2B560   IRS USD P V 12MUSCPI IS2B571 CCPINFLATIONZERO
        000000000
        
          
        
        3350000.00000000
        OU
        Notional Amount
        USD
        -290165.24000000
        -0.01795900970
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2032-04-15
            0.00000000
            USD
            0.00000000
            USD
            3350000.00000000
            USD
            -290165.24000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Education
        54930099NR6T9V7LVB43
        CHICAGO IL BRD OF EDU
        167505XA9
        
          
        
        310000.00000000
        PA
        USD
        338264.81000000
        0.020936005311
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        NIKKEI 225 (OSE) JUN22
        000000000
        
          
        
        19.00000000
        NC
        
        389986.37000000
        0.024137174404
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                OSE Nikkei 225 Index Future
                NKM2 INDEX
              
            
            2022-06-09
            476127294.00000000
            JPY
            389986.37000000
          
        
        
          N
          N
          N
        
      
      
        University of Hawaii
        N/A
        UNIV OF HAWAII HI REVENUE
        91428LJJ6
        
          
        
        5740000.00000000
        PA
        USD
        5848104.29000000
        0.361952940000
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vauxmont Metropolitan District
        549300M7XL6MB0OW8D56
        VAUXMONT MET DIST CO
        92242SBE2
        
          
        
        100000.00000000
        PA
        USD
        114825.26000000
        0.007106805621
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Town of Oyster Bay NY
        N/A
        OYSTER BAY NY
        692160TX2
        
          
        
        9675000.00000000
        PA
        USD
        9703090.40000000
        0.600547104362
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-26
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6W3
        
          
        
        100000.00000000
        PA
        USD
        112254.26000000
        0.006947680379
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Development Finance Corp
        549300HC854CNBLMWC48
        FLORIDA ST DEV FIN CORP
        340618DB0
        
          
        
        2150000.00000000
        PA
        USD
        2146002.51000000
        0.132821146687
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2056-12-01
          Floating
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arizona Industrial Development Authority
        N/A
        ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
        04052FBQ7
        
          
        
        1100000.00000000
        PA
        USD
        1156099.67000000
        0.071553729848
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Philadelphia PA Water & Wastewater Revenue
        N/A
        PHILADELPHIA PA WTR & WSTWTR REVENUE
        717893P88
        
          
        
        685000.00000000
        PA
        USD
        805346.21000000
        0.049844772591
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Seattle WA
        549300T9UCDUJ3GZL429
        PORT OF SEATTLE WA REVENUE
        735389F60
        
          
        
        5775000.00000000
        PA
        USD
        6550104.33000000
        0.405401374870
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI EXEMPT FACS REVENUE
        74443QAB8
        
          
        
        3245000.00000000
        PA
        USD
        3396468.16000000
        0.210215409159
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MSL0
        
          
        
        3800000.00000000
        PA
        USD
        4444961.46000000
        0.275109127480
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tobacco Settlement Finance Authority
        N/A
        TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED
        88880LAW3
        
          
        
        3070000.00000000
        PA
        USD
        3022209.92000000
        0.187051685742
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XJX3
        
          
        
        358861.60000000
        PA
        USD
        366408.96000000
        0.022677913001
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-25
          Floating
          3.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tuscaloosa County Industrial Development Authority
        N/A
        TUSCALOOSA CNTY AL INDL DEV AUTH GULF OPPORTUNITY ZONE
        90068FAZ9
        
          
        
        785000.00000000
        PA
        USD
        805002.43000000
        0.049823495238
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2044-05-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palm Beach County Health Facilities Authority
        N/A
        PALM BEACH CNTY FL HLTH FACS AUTH REVENUE
        696507UV2
        
          
        
        455000.00000000
        PA
        USD
        445581.55000000
        0.027578090956
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-06-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461364A6
        
          
        
        160000.00000000
        PA
        USD
        179881.89000000
        0.011133313584
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTH8
        
          
        
        1500000.00000000
        PA
        USD
        1769589.30000000
        0.109524047104
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Detroit MI
        549300BQRJP7MKKHOY28
        DETROIT MI
        2510933E8
        
          
        
        1200000.00000000
        PA
        USD
        1292813.04000000
        0.080015242118
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -53647.62000000
        -0.00332037747
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7506000.00000000
            EUR
            8259946.93000000
            USD
            2022-05-12
            -53647.62000000
          
        
        
          N
          N
          N
        
      
      
        New York State Dormitory Authority
        549300C8XO7EXTX2XU71
        NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
        64990FX33
        
          
        
        5000000.00000000
        PA
        USD
        5311251.00000000
        0.328725826216
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2042-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS1WU92   IRS USD R F  1.47300 IS1WU92 CCPVANILLA / Short: SS1WU92   IRS USD P V 03MLIBOR IS1WUA3 CCPVANILLA
        000000000
        
          
        
        9275000.00000000
        OU
        Notional Amount
        USD
        -541453.72000000
        -0.03351184522
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2029-10-09
            0.00000000
            USD
            0.00000000
            USD
            9275000.00000000
            USD
            -541453.72000000
          
        
        
          N
          N
          N
        
      
      
        CMFA Special Finance Agency VIII
        N/A
        CMFA SPL FIN AGY VIII CA ESSENTIAL HSG REVENUE
        12574VAB8
        
          
        
        1100000.00000000
        PA
        USD
        912562.20000000
        0.056480622581
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2047-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Indiana Finance Authority
        549300PS0PAS7NDSSI20
        INDIANA ST FIN AUTH POLL CONTROL REVENUE
        45505VAE6
        
          
        
        330000.00000000
        PA
        USD
        296582.45000000
        0.018356185937
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PTT2
        
          
        
        1000000.00000000
        PA
        USD
        944170.30000000
        0.058436922291
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Housing Finance Agency
        549300BOPCVLBA552Z14
        CALIFORNIA HSG FIN AGY MUNI CTFS
        13033DAG0
        
          
        
        2982150.81000000
        PA
        USD
        3189896.08000000
        0.197430176891
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-03-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        County of Osceola FL Transportation Revenue
        N/A
        OSCEOLA CNTY FL TRANSPRTN REVENUE
        688031EP4
        
          
        
        100000.00000000
        PA
        USD
        63398.89000000
        0.003923906532
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-10-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTG0
        
          
        
        1450000.00000000
        PA
        USD
        1713131.79000000
        0.106029758918
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2038-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2CQM6   IRS USD R F  3.29000 IS2CQM6 CCPINFLATIONZERO / Short: SS2CQM6   IRS USD P V 12MUSCPI IS2CQN7 CCPINFLATIONZERO
        000000000
        
          
        
        30110000.00000000
        OU
        Notional Amount
        USD
        -1332535.51000000
        -0.08247375928
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2029-01-15
            0.00000000
            USD
            0.00000000
            USD
            30110000.00000000
            USD
            -1332535.51000000
          
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        646140DH3
        
          
        
        4840000.00000000
        PA
        USD
        5378764.60000000
        0.332904401836
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Connecticut
        5493007GRO6CU0IKP741
        CONNECTICUT ST
        20772JU91
        
          
        
        24370000.00000000
        PA
        USD
        25169360.37000000
        1.557790957906
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3M7
        
          
        
        9287.00000000
        PA
        USD
        8917.05000000
        0.000551897213
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2037-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        42055.79000000
        0.002602931835
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3407000.00000000
            CHF
            3730143.04000000
            USD
            2022-04-13
            42055.79000000
          
        
        
          N
          N
          N
        
      
      
        CSCDA Community Improvement Authority
        N/A
        CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
        126292BS9
        
          
        
        1000000.00000000
        PA
        USD
        888650.10000000
        0.055000646427
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Municipal Power Inc
        EARKGGZJJEMVD66XQ486
        AMERICAN MUNI PWR-OHIO INC OH REVENUE
        02765UPV0
        
          
        
        3085000.00000000
        PA
        USD
        3590712.33000000
        0.222237638060
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCHSNER LSU HEALTH SYST
        N/A
        Ochsner LSU Health System of North Louisiana
        67555JAA4
        
          
        
        2000000.00000000
        PA
        USD
        1754740.00000000
        0.108604988974
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          2.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California State University
        N/A
        CALIFORNIA ST UNIV REVENUE
        13077DQP0
        
          
        
        1000000.00000000
        PA
        USD
        859553.60000000
        0.053199795554
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-11-01
          Fixed
          2.37400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        185.00000000
        NC
        USD
        -511766.70000000
        -0.03167444567
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            39717313.76000000
            USD
            -511766.70000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST SALES TAX REVENUE
        452227LR0
        
          
        
        1340000.00000000
        PA
        USD
        1386651.43000000
        0.085823120956
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Bridgeport CT
        N/A
        BRIDGEPORT CT
        108152AH2
        
          
        
        1735000.00000000
        PA
        USD
        1973967.10000000
        0.122173470218
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PMS1
        
          
        
        200000.00000000
        PA
        USD
        218379.88000000
        0.013516044804
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington State Convention Center Public Facilities District
        N/A
        WASHINGTON ST CONVENTION CENTER PUBLIC FACS DIST
        93976ACR1
        
          
        
        1960000.00000000
        PA
        USD
        1975651.97000000
        0.122277750788
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Parish of St James LA
        N/A
        SAINT JAMES PARISH LA REVENUE
        790103AX3
        
          
        
        500000.00000000
        PA
        USD
        590374.15000000
        0.036539645788
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-12-01
          Floating
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -41818.15000000
        -0.00258822373
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            5165304.19000000
            USD
            4733000.00000000
            CHF
            2022-04-13
            -41818.15000000
          
        
        
          N
          N
          N
        
      
      
        American Municipal Power Inc
        EARKGGZJJEMVD66XQ486
        AMERICAN MUNI PWR-OHIO INC OH REVENUE
        02765UPU2
        
          
        
        5260000.00000000
        PA
        USD
        6127540.74000000
        0.379247919639
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City & County of Honolulu HI
        N/A
        HONOLULU CITY & CNTY HI
        438687UJ2
        
          
        
        1180000.00000000
        PA
        USD
        1375967.32000000
        0.085161856239
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN AIRLINES/AADVAN
        N/A
        American Airlines Inc/AAdvantage Loyalty IP Ltd
        00253XAB7
        
          
        
        620000.00000000
        PA
        USD
        617879.60000000
        0.038242022832
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2029-04-20
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kentucky Public Energy Authority
        N/A
        KENTUCKY ST PUBLIC ENERGY AUTH GAS SPLY REVENUE
        74440DDS0
        
          
        
        5500000.00000000
        PA
        USD
        5886585.10000000
        0.364334607909
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2052-08-01
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Community Housing Agency
        N/A
        CALIFORNIA CMNTY HSG AGY ESSENTIAL HSG REVENUE
        13013FAM6
        
          
        
        3385000.00000000
        PA
        USD
        2905991.02000000
        0.179858624461
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2047-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Lakes Water Authority Water Supply System Revenue
        N/A
        GREAT LAKES MI WTR AUTH WTR SPLY SYS REVENUE
        39081JBT4
        
          
        
        1745000.00000000
        PA
        USD
        1982564.47000000
        0.122705581684
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kentucky Public Energy Authority
        N/A
        KENTUCKY ST PUBLIC ENERGY AUTH GAS SPLY REVENUE
        74440DCZ5
        
          
        
        6370000.00000000
        PA
        USD
        6705683.71000000
        0.415030548907
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-12-01
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        798228.78000000
        0.049404258095
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            1959030114.00000000
            JPY
            16897160.94000000
            USD
            2022-04-28
            798228.78000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152SN2
        
          
        
        460000.00000000
        PA
        USD
        463919.61000000
        0.028713076654
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Dormitory Authority
        549300C8XO7EXTX2XU71
        NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
        64990FC28
        
          
        
        8610000.00000000
        PA
        USD
        8829394.85000000
        0.546472030235
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS20V36   IRS USD R V 12MUSCPI IS20V47 CCPINFLATIONZERO / Short: BS20V36   IRS USD P F   .73500 IS20V36 CCPINFLATIONZERO
        000000000
        
          
        
        16190000.00000000
        OU
        Notional Amount
        USD
        3804507.20000000
        0.235469905803
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2028-01-15
            0.00000000
            USD
            0.00000000
            USD
            16190000.00000000
            USD
            3804507.20000000
          
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Future Tax Secured Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
        64971WAH3
        
          
        
        2000000.00000000
        PA
        USD
        2108437.00000000
        0.130496128849
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Economic Development Authority
        5493006JS6QWDVU4R678
        NEW JERSEY ST ECON DEV AUTH REVENUE
        64577BCE2
        
          
        
        1610000.00000000
        PA
        USD
        1665773.62000000
        0.103098650303
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Black Belt Energy Gas District
        549300I8V0Z68JQCB679
        BLACK BELT ENERGY GAS DIST AL GAS PROJECT REVENUE
        09182TAM9
        
          
        
        1000000.00000000
        PA
        USD
        1041920.10000000
        0.064486887500
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2052-10-01
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Suburban Sanitary Commission
        549300EZUWNTQF827C24
        WASHINGTON MD SUBURBAN SAN DIST
        940157VA5
        
          
        
        2350000.00000000
        PA
        USD
        2365298.97000000
        0.146393920784
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152P88
        
          
        
        12010000.00000000
        PA
        USD
        12784999.30000000
        0.791293700499
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Hampshire Business Finance Authority
        N/A
        NATIONAL FIN AUTH NH MUNI CTFS
        63607WAA2
        
          
        
        1740726.89000000
        PA
        USD
        1858486.54000000
        0.115026106537
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-01-20
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        646136Z79
        
          
        
        7340000.00000000
        PA
        USD
        7396180.36000000
        0.457767011893
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        TOPIX INDX FUTR JUN22
        000000000
        
          
        
        -188.00000000
        NC
        
        538802.98000000
        0.033347784687
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Short
            
              
                TSE TOPIX (Tokyo Price Index) Future
                TPM2 INDEX
              
            
            2022-06-09
            -3689263537.00000000
            JPY
            538802.98000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAM6
        
          
        
        81676.12000000
        PA
        USD
        81676.01000000
        0.005055120511
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-25
          Floating
          3.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allentown Neighborhood Improvement Zone Development Authority
        N/A
        ALLENTOWN PA NEIGHBORHOOD IMPTZONE DEV AUTH TAX REV
        018444AV1
        
          
        
        480000.00000000
        PA
        USD
        480955.68000000
        0.029767479127
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citizens Property Insurance Inc
        254900K60HH43SRST947
        CITIZENS PROPERTY INSURANCE CORP FL
        176553GR0
        
          
        
        7660000.00000000
        PA
        USD
        7709124.35000000
        0.477135852054
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Lakes Water Authority Water Supply System Revenue
        N/A
        GREAT LAKES MI WTR AUTH WTR SPLY SYS REVENUE
        39081JBR8
        
          
        
        2500000.00000000
        PA
        USD
        2722981.75000000
        0.168531749966
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Lakes Water Authority Water Supply System Revenue
        N/A
        GREAT LAKES MI WTR AUTH WTR SPLY SYS REVENUE
        39081JBQ0
        
          
        
        3000000.00000000
        PA
        USD
        3190831.50000000
        0.197488072236
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        6461395N1
        
          
        
        8955000.00000000
        PA
        USD
        9185771.25000000
        0.568529004483
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        South Carolina Public Service Authority
        EMBXY64GWKA9MZGFUD26
        SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE
        837151YR4
        
          
        
        3000000.00000000
        PA
        USD
        3215065.20000000
        0.198987952971
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2038-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PMP7
        
          
        
        770000.00000000
        PA
        USD
        823565.67000000
        0.050972417856
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Dormitory Authority
        549300C8XO7EXTX2XU71
        NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
        64990EQN0
        
          
        
        14000000.00000000
        PA
        USD
        14825036.80000000
        0.917556423292
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Private Colleges & Universities Authority
        N/A
        PRIV CLGS & UNIVS AUTH GA
        74265LT57
        
          
        
        5000000.00000000
        PA
        USD
        5477081.00000000
        0.338989435253
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS249D4   IRS USD R V 12MUSCPI IS249E5 CCPINFLATIONZERO / Short: BS249D4   IRS USD P F  1.73100 IS249D4 CCPINFLATIONZERO
        000000000
        
          
        
        1130000.00000000
        OU
        Notional Amount
        USD
        203542.93000000
        0.012597751044
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2030-01-15
            0.00000000
            USD
            0.00000000
            USD
            1130000.00000000
            USD
            203542.93000000
          
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3H8
        
          
        
        313070.00000000
        PA
        USD
        349134.60000000
        0.021608762200
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2029-07-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224L23
        
          
        
        4000000.00000000
        PA
        USD
        4314850.40000000
        0.267056247716
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kentucky Public Energy Authority
        N/A
        KENTUCKY ST PUBLIC ENERGY AUTH GAS SPLY REVENUE
        74440DBR4
        
          
        
        8500000.00000000
        PA
        USD
        8820411.75000000
        0.545916045031
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-12-01
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        64613CAS7
        
          
        
        1865000.00000000
        PA
        USD
        2141910.35000000
        0.132567873272
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Irving Hospital Authority
        N/A
        IRVING TX HOSP AUTH
        463794JV0
        
          
        
        1100000.00000000
        PA
        USD
        1201339.48000000
        0.074353728176
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3N5
        
          
        
        12626.00000000
        PA
        USD
        11990.03000000
        0.000742091179
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2041-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204ET40
        
          
        
        2450000.00000000
        PA
        USD
        2844051.39000000
        0.176025034964
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Louisiana Local Government Environmental Facilities & Community Development Auth
        5493004WIZ1HV87IVF85
        LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH
        546282H56
        
          
        
        1550000.00000000
        PA
        USD
        1629828.72000000
        0.100873935834
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3T2
        
          
        
        83647.00000000
        PA
        USD
        44960.26000000
        0.002782696320
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2043-11-01
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comanche County Hospital Authority
        N/A
        COMANCHE CNTY OK HOSP AUTH REVENUE
        199875HF5
        
          
        
        250000.00000000
        PA
        USD
        251916.80000000
        0.015591723723
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vauxmont Metropolitan District
        549300M7XL6MB0OW8D56
        VAUXMONT MET DIST CO
        92242SAS2
        
          
        
        115000.00000000
        PA
        USD
        123247.21000000
        0.007628059930
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6181.77000000
        -0.00038260429
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            6090527.90000000
            USD
            4633000.00000000
            GBP
            2022-06-09
            -6181.77000000
          
        
        
          N
          N
          N
        
      
      
        Philadelphia Authority for Industrial Development
        549300DIY68KQZEW7M79
        PHILADELPHIA PA AUTH FOR INDLDEV CITY SVC AGREEMENT REVENUE
        71783DBR5
        
          
        
        3205000.00000000
        PA
        USD
        3690133.80000000
        0.228391066860
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT JUN22
        000000000
        
          
        
        -281.00000000
        NC
        USD
        -3749246.62000000
        -0.23204969843
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                CME E-Mini Standard & Poor's 500 Index Future
                ESM2 INDEX
              
            
            2022-06-17
            -59907790.88000000
            USD
            -3749246.62000000
          
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59259YTR0
        
          
        
        2615000.00000000
        PA
        USD
        2669375.53000000
        0.165213934830
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Howard Bend Levee District
        N/A
        HOWARD BEND MO LEVEE DIST
        442499CC1
        
          
        
        185000.00000000
        PA
        USD
        194979.75000000
        0.012067755678
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828U57
        
          
        
        1698000.00000000
        PA
        USD
        1696142.81000000
        0.104978270956
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-30
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: IS19KI2   IRS USD R V 03MLIBOR IS19KJ3 CPILV506024 / Short: IS19KI2   IRS USD P F  1.90000 IS19KI2 CPILV506024
        000000000
        
          
        
        22000000.00000000
        OU
        Notional Amount
        USD
        2598757.04000000
        0.160843190259
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2023-11-04
            0.00000000
            USD
            0.00000000
            USD
            22000000.00000000
            USD
            2598757.04000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4948.00000000
        0.000306243366
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            2095171.50000000
            USD
            19710000.00000000
            SEK
            2022-06-17
            4948.00000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS0XPM4   IRS USD R V 12MLIBOR IS0XPN5 CPILV503714 / Short: IS0XPM4   IRS USD P F  1.81750 IS0XPM4 CPILV503714
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        1404181.40000000
        0.086908092062
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-09-04
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            1404181.40000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        161644.09000000
        0.010004533214
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            742433000.00000000
            JPY
            6262815.49000000
            USD
            2022-04-28
            161644.09000000
          
        
        
          N
          N
          N
        
      
      
        Wisconsin Health & Educational Facilities Authority
        549300ISNGXS0VHGVD41
        WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE
        97712D4G8
        
          
        
        515000.00000000
        PA
        USD
        516365.47000000
        0.031959074379
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-11-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS1VWY8   IRS USD R F  1.34100 IS1VWY8 CCPVANILLA / Short: SS1VWY8   IRS USD P V 03MLIBOR IS1VWZ9 CCPVANILLA
        000000000
        
          
        
        32500000.00000000
        OU
        Notional Amount
        USD
        -935271.70000000
        -0.05788616699
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-09-10
            0.00000000
            USD
            0.00000000
            USD
            32500000.00000000
            USD
            -935271.70000000
          
        
        
          N
          N
          N
        
      
      
        Colorado Health Facilities Authority
        5493002JB6DRFRZPEQ21
        COLORADO ST HLTH FACS AUTH HOSP REVENUE
        19648FJT2
        
          
        
        845000.00000000
        PA
        USD
        962235.64000000
        0.059555028706
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Texas Transportation Commission State Highway Fund
        N/A
        TEXAS ST TRANSPRTN COMMISSIONST HIGHWAY FUND REVENUE
        88283LJU1
        
          
        
        10035000.00000000
        PA
        USD
        10223994.17000000
        0.632787064811
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Main Street Natural Gas Inc
        549300NY5M0QVZ6X4U26
        MAIN STREET NATURAL GAS INC GA GAS SUPPLY REVENUE
        56035DAK8
        
          
        
        6465000.00000000
        PA
        USD
        6642140.35000000
        0.411097700786
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2048-04-01
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital Trust Agency Inc
        549300F49UWS7X0OGQ59
        CAPITAL TRUST AGY FL EDUCTNL FACS LEASE REVENUE
        14054DAB3
        
          
        
        385000.00000000
        PA
        USD
        392384.42000000
        0.024285595363
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224N47
        
          
        
        2650000.00000000
        PA
        USD
        3090009.98000000
        0.191247991046
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IS0QGN1   IRS USD R V 12MLIBOR IS0QGO2 CPI SWAP 10212014 06 / Short: IS0QGN1   IRS USD P F  2.38800 IS0QGN1 CPI SWAP 10212014 06
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        711547.10000000
        0.044039324885
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2029-10-23
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            711547.10000000
          
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3P0
        
          
        
        13131.00000000
        PA
        USD
        12352.18000000
        0.000764505495
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2046-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Township of North Brunswick NJ
        N/A
        NORTH BRUNSWICK TWP NJ
        658017N87
        
          
        
        13795000.00000000
        PA
        USD
        13786731.28000000
        0.853293250656
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-07-14
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Philadelphia Authority for Industrial Development
        549300DIY68KQZEW7M79
        PHILADELPHIA PA AUTH FOR INDL DEV CHRT SCH REVENUE
        71780CBB5
        
          
        
        1000000.00000000
        PA
        USD
        1099364.70000000
        0.068042269009
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK87973 ALLIANCE
        000000000
        
          
        
        1730.00000000
        NC
        
        327504.39000000
        0.020270017589
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                FTSE 100 Index
                UKX Index
              
            
            1.00000000
            6000.00000000
            GBP
            2023-01-20
            XXXX
            -67318.09000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST SALES TAX REVENUE
        452227LQ2
        
          
        
        15625000.00000000
        PA
        USD
        15727829.69000000
        0.973432400283
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        14400.15000000
        0.000891259179
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8487000.00000000
            CHF
            9201601.93000000
            USD
            2022-04-13
            14400.15000000
          
        
        
          N
          N
          N
        
      
      
        CSCDA Community Improvement Authority
        N/A
        CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
        126292BP5
        
          
        
        2500000.00000000
        PA
        USD
        2194554.25000000
        0.135826128158
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Michigan Finance Authority
        54930022O46HOX5J1D14
        MICHIGAN ST FIN AUTH REVENUE
        59447TXA6
        
          
        
        5000000.00000000
        PA
        USD
        5032088.50000000
        0.311447801988
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-09-01
          Floating
          2.36600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kentucky Economic Development Finance Authority
        N/A
        KENTUCKY ST ECON DEV FIN AUTH
        49126KJU6
        
          
        
        4265000.00000000
        PA
        USD
        4697527.72000000
        0.290741047811
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Territory of Guam
        N/A
        GUAM GOVT
        40065BCQ4
        
          
        
        195000.00000000
        PA
        USD
        209032.82000000
        0.012937533259
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2031-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2CQK4   IRS USD R F  3.72000 IS2CQK4 CCPINFLATIONZERO / Short: SS2CQK4   IRS USD P V 12MUSCPI IS2CQL5 CCPINFLATIONZERO
        000000000
        
          
        
        11470000.00000000
        OU
        Notional Amount
        USD
        -463525.30000000
        -0.02868867188
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2026-01-15
            0.00000000
            USD
            0.00000000
            USD
            11470000.00000000
            USD
            -463525.30000000
          
        
        
          N
          N
          N
        
      
      
        Pima County Regional Transportation Authority
        N/A
        PIMA CNTY AZ REGL TRANSPRTN EXCISE TAX REVENUE
        72178RBG9
        
          
        
        1685000.00000000
        PA
        USD
        1695969.69000000
        0.104967556152
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hong Kong Futures Exchange Ltd.
        213800YTVSXYQN17BW16
        HANG SENG IDX FUT APR22
        000000000
        
          
        
        101.00000000
        NC
        
        -44615.38000000
        -0.00276135088
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              Hong Kong Futures Exchange Ltd.
              213800YTVSXYQN17BW16
            
            Long
            
              
                HKG Hang Seng Index Future
                HIJ2 INDEX
              
            
            2022-04-28
            110659051.77000000
            HKD
            -44615.38000000
          
        
        
          N
          N
          N
        
      
      
        Central Plains Energy Project
        SVQOT7V5CPLIGNP5BE29
        CENTRL PLAINS ENERGY PROJ NE GAS PROJ REVENUE
        154871CT2
        
          
        
        17000000.00000000
        PA
        USD
        17681130.50000000
        1.094326785168
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-03-01
          Floating
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS23W54   IRS USD R V 12MUSCPI IS23W65 CCPINFLATIONZERO / Short: BS23W54   IRS USD P F  1.58700 IS23W54 CCPINFLATIONZERO
        000000000
        
          
        
        5125000.00000000
        OU
        Notional Amount
        USD
        995642.92000000
        0.061622683901
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2030-01-15
            0.00000000
            USD
            0.00000000
            USD
            5125000.00000000
            USD
            995642.92000000
          
        
        
          N
          N
          N
        
      
      
        Alliance Bernstein
        5493006YWHO7MNK2U579
        AB Fixed Income Shares, Inc. - Government Money Market Portfolio
        018616748
        
          
        
        52484760.34000000
        NS
        USD
        52484760.34000000
        3.248405358086
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59259YTS8
        
          
        
        11220000.00000000
        PA
        USD
        11440653.64000000
        0.708088983229
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        549300O2GEH6GH9NO762
        Bellemeade Re 2018-1 Ltd
        078768AE8
        
          
        
        196264.19000000
        PA
        USD
        195552.07000000
        0.012103177910
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2028-04-25
          Floating
          3.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kentucky Economic Development Finance Authority
        N/A
        KENTUCKY ST ECON DEV FIN AUTH
        49126KJZ5
        
          
        
        6195000.00000000
        PA
        USD
        6881697.78000000
        0.425924474008
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -17144.62000000
        -0.00106112088
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            4349000.00000000
            GBP
            5694234.90000000
            USD
            2022-06-09
            -17144.62000000
          
        
        
          N
          N
          N
        
      
      
        Colorado Health Facilities Authority
        5493002JB6DRFRZPEQ21
        COLORADO ST HLTH FACS AUTH HOSP REVENUE
        19648FKN3
        
          
        
        8975000.00000000
        PA
        USD
        10190679.91000000
        0.630725166843
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN AIRLINES/AADVAN
        N/A
        American Airlines Inc/AAdvantage Loyalty IP Ltd
        00253XAA9
        
          
        
        700000.00000000
        PA
        USD
        699475.00000000
        0.043292154201
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-04-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS23XF1   IRS USD R V 12MUSCPI IS23XG2 CCPINFLATIONZERO / Short: BS23XF1   IRS USD P F  1.57200 IS23XF1 CCPINFLATIONZERO
        000000000
        
          
        
        5125000.00000000
        OU
        Notional Amount
        USD
        1003141.41000000
        0.062086783097
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2030-01-15
            0.00000000
            USD
            0.00000000
            USD
            5125000.00000000
            USD
            1003141.41000000
          
        
        
          N
          N
          N
        
      
      
        County of Osceola FL Transportation Revenue
        N/A
        OSCEOLA CNTY FL TRANSPRTN REVENUE
        688031EM1
        
          
        
        100000.00000000
        PA
        USD
        68510.74000000
        0.004240290961
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-10-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -106746.68000000
        -0.00660680328
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2031173.54000000
            USD
            234177654.00000000
            JPY
            2022-04-28
            -106746.68000000
          
        
        
          N
          N
          N
        
      
      
        State of Connecticut Special Tax Revenue
        N/A
        CONNECTICUT ST SPL TAX OBLIG REVENUE
        207758ZW6
        
          
        
        2835000.00000000
        PA
        USD
        3316828.66000000
        0.205286333046
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        North Broward Hospital District
        549300HZL14T4Q7UDP41
        NORTH BROWARD FL HOSP DIST
        657883DE1
        
          
        
        3590000.00000000
        PA
        USD
        4024590.32000000
        0.249091368140
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Snohomish & Island Counties School District No 401 Stanwood-Camano
        N/A
        SNOHOMISH & ISLAND CNTYS WA SCH DIST #401 STANWOOD
        833068NF2
        
          
        
        1000000.00000000
        PA
        USD
        1155550.50000000
        0.071519740424
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PML6
        
          
        
        195000.00000000
        PA
        USD
        200762.56000000
        0.012425667401
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204EL63
        
          
        
        20130000.00000000
        PA
        USD
        22818200.46000000
        1.412272136825
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        St Lucie County School Board
        N/A
        SAINT LUCIE CNTY FL SCH DIST SALES TAX REVENUE
        79207QCS4
        
          
        
        1565000.00000000
        PA
        USD
        1634108.05000000
        0.101138793640
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SS1X4F9   IRS USD R F  1.56600 IS1X4F9 CCPVANILLA / Short: SS1X4F9   IRS USD P V 03MLIBOR IS1X4G0 CCPVANILLA
        000000000
        
          
        
        13760000.00000000
        OU
        Notional Amount
        USD
        -344250.16000000
        -0.02130645271
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-01-15
            0.00000000
            USD
            0.00000000
            USD
            13760000.00000000
            USD
            -344250.16000000
          
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI HOSP REVENUE
        74442CDP6
        
          
        
        1000000.00000000
        PA
        USD
        1055000.40000000
        0.065296458056
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6R4
        
          
        
        100000.00000000
        PA
        USD
        111360.82000000
        0.006892383275
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iShares Core MSCI EAFE ETF
        5493009FT582MI7Y3I36
        iShares Core MSCI EAFE ETF
        46432F842
        
          
        
        1670856.00000000
        NS
        USD
        116141200.56000000
        7.188252280275
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -72159.06000000
        -0.00446609407
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            4568260.32000000
            USD
            39602000.00000000
            NOK
            2022-06-17
            -72159.06000000
          
        
        
          N
          N
          N
        
      
      
        Oklahoma Development Finance Authority
        549300PXGPHUWC32DJ91
        OKLAHOMA ST DEV FIN AUTH
        6789083U6
        
          
        
        610000.00000000
        PA
        USD
        604860.69000000
        0.037436251848
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-06
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Maryland Department of Transportation
        N/A
        MARYLAND ST DEPT OF TRANSPRTN CONSOL TRANSPRTN
        574204L43
        
          
        
        4860000.00000000
        PA
        USD
        5231647.60000000
        0.323798984416
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures U.S., Inc.
        5493004R83R1LVX2IL36
        MSCI EMGMKT JUN22
        000000000
        
          
        
        -49.00000000
        NC
        USD
        -5881.81000000
        -0.00036403906
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              ICE Futures U.S., Inc.
              5493004R83R1LVX2IL36
            
            Short
            
              
                ICE US MSCI Emerging Markets EM Index Futures
                MESM2 INDEX
              
            
            2022-06-17
            -2751593.19000000
            USD
            -5881.81000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1PDS1   CDS USD R F  3.00000 IS1PDS1 CMBX / Short: IS1PDS1   CDS USD P V 01MEVENT IS1PDT2 CMBX
        000000000
        
          
        
        956.48000000
        OU
        Notional Amount
        USD
        -232.92000000
        -0.00001441596
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -113.22000000
            USD
            956.48000000
            USD
            -119.70000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO STOXX 50 JUN22
        000000000
        
          
        
        342.00000000
        NC
        
        26161.57000000
        0.001619201147
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Eurex EURO STOXX 50 Future
                VGM2 INDEX
              
            
            2022-06-17
            12966286.02000000
            EUR
            26161.57000000
          
        
        
          N
          N
          N
        
      
      
        State of North Carolina
        N/A
        NORTH CAROLINA ST GRANT ANTICIPATION REVENUE
        658268DD6
        
          
        
        1850000.00000000
        PA
        USD
        2003310.24000000
        0.123989586222
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Louisville and Jefferson County Metropolitan Sewer District
        5493004O4I11L8BK0A22
        LOUISVILLE & JEFFERSON CNTY KY MET SWR DIST SWR & DRAIN SYS
        546589S86
        
          
        
        6000000.00000000
        PA
        USD
        6059354.40000000
        0.375027706557
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-10-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS2BFX7   IRS USD R V 12MUSCPI IS2BFY8 CCPINFLATIONZERO / Short: BS2BFX7   IRS USD P F  2.78200 IS2BFX7 CCPINFLATIONZERO
        000000000
        
          
        
        4400000.00000000
        OU
        Notional Amount
        USD
        383764.17000000
        0.023752067800
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2031-01-15
            0.00000000
            USD
            0.00000000
            USD
            4400000.00000000
            USD
            383764.17000000
          
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PMR3
        
          
        
        440000.00000000
        PA
        USD
        477763.04000000
        0.029569879122
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Corpus Christi TX Utility System Revenue
        N/A
        CORPUS CHRISTI TX UTILITY SYSREVENUE
        220245WY6
        
          
        
        2000000.00000000
        PA
        USD
        2022264.40000000
        0.125162703799
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        95418.31000000
        0.005905663805
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            234177654.00000000
            JPY
            2019845.17000000
            USD
            2022-04-28
            95418.31000000
          
        
        
          N
          N
          N
        
      
      
        iShares Core MSCI Emerging Markets ETF
        5493007C24Z3ZDJ0VD06
        iShares Core MSCI Emerging Markets ETF
        46434G103
        
          
        
        950834.00000000
        NS
        USD
        52818828.70000000
        3.269081635230
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State of Florida Department of Transportation Turnpike System Revenue
        N/A
        FLORIDA ST TURNPIKE AUTH
        3431367F8
        
          
        
        3795000.00000000
        PA
        USD
        4051921.88000000
        0.250782982722
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        E-MINI RUSS 2000 JUN22
        000000000
        
          
        
        223.00000000
        NC
        USD
        593355.04000000
        0.036724140087
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                CME E-mini Russell 2000 Index Futures
                RTYM2 INDEX
              
            
            2022-06-17
            22447004.96000000
            USD
            593355.04000000
          
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6Y9
        
          
        
        100000.00000000
        PA
        USD
        111272.67000000
        0.006886927464
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Parish of St James LA
        N/A
        SAINT JAMES PARISH LA REVENUE
        790103AY1
        
          
        
        435000.00000000
        PA
        USD
        468938.53000000
        0.029023709427
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-08-01
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Arizona
        N/A
        ARIZONA ST COPS
        040588G58
        
          
        
        7000000.00000000
        PA
        USD
        7131136.60000000
        0.441362829717
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966QRL6
        
          
        
        3415000.00000000
        PA
        USD
        3133340.36000000
        0.193929810257
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-08-01
          Fixed
          1.39600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        AK54386 ALLIANCE
        000000000
        
          
        
        -1900.00000000
        NC
        
        -4005.08000000
        -0.00024788382
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                FTSE 100 Index
                UKX Index
              
            
            1.00000000
            5600.00000000
            GBP
            2022-04-14
            XXXX
            272393.24000000
          
        
        
          N
          N
          N
        
      
      
        CSCDA Community Improvement Authority
        N/A
        CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
        126292BE0
        
          
        
        1000000.00000000
        PA
        USD
        844663.30000000
        0.052278199837
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Texas A&M University
        N/A
        TEXAS ST A & M UNIV REVENUE
        8821356L5
        
          
        
        3950000.00000000
        PA
        USD
        4097133.16000000
        0.253581215261
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Corpus Christi TX Utility System Revenue
        N/A
        CORPUS CHRISTI TX UTILITY SYSREVENUE
        220245XC3
        
          
        
        1030000.00000000
        PA
        USD
        1125625.82000000
        0.069667631541
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063DH84
        
          
        
        6960000.00000000
        PA
        USD
        7669301.26000000
        0.474671107277
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Corpus Christi TX Utility System Revenue
        N/A
        CORPUS CHRISTI TX UTILITY SYSREVENUE
        220245WD2
        
          
        
        1290000.00000000
        PA
        USD
        1376648.78000000
        0.085204033402
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Connecticut
        5493007GRO6CU0IKP741
        CONNECTICUT ST
        20772JV25
        
          
        
        3060000.00000000
        PA
        USD
        3240329.47000000
        0.200551618110
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Portland OR Airport Revenue
        N/A
        PORT OF PORTLAND OR ARPT REVENUE
        7352402N2
        
          
        
        3000000.00000000
        PA
        USD
        3160624.80000000
        0.195618508472
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Seattle WA
        549300T9UCDUJ3GZL429
        PORT OF SEATTLE WA REVENUE
        735389C89
        
          
        
        1875000.00000000
        PA
        USD
        2085800.25000000
        0.129095087109
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegheny County Sanitary Authority
        N/A
        ALLEGHENY CNTY PA SAN AUTH
        017357YU2
        
          
        
        4365000.00000000
        PA
        USD
        4599069.63000000
        0.284647244867
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Washington Airports Authority Aviation Revenue
        N/A
        MET WASHINGTON DC ARPTS AUTH ARPT SYS REVENUE
        592647FD8
        
          
        
        1910000.00000000
        PA
        USD
        2161878.77000000
        0.133803765788
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ohio Air Quality Development Authority
        549300DZUU80AYOR6M80
        OHIO ST AIR QUALITY DEV AUTH
        677525WA1
        
          
        
        475000.00000000
        PA
        USD
        476212.77000000
        0.029473929263
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Floating
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of North Carolina
        N/A
        NORTH CAROLINA ST GRANT ANTICIPATION REVENUE
        658268DA2
        
          
        
        3500000.00000000
        PA
        USD
        3608731.35000000
        0.223352877621
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port of Seattle WA
        549300T9UCDUJ3GZL429
        PORT OF SEATTLE WA REVENUE
        735389C63
        
          
        
        6500000.00000000
        PA
        USD
        7296477.50000000
        0.451596167203
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Detroit MI
        549300BQRJP7MKKHOY28
        DETROIT MI
        2510933G3
        
          
        
        2475000.00000000
        PA
        USD
        2721445.16000000
        0.168436646794
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -115474.16000000
        -0.00714696756
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9778000.00000000
            CHF
            10469238.82000000
            USD
            2022-04-13
            -115474.16000000
          
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        MSCI SING IX ETS APR22
        000000000
        
          
        
        49.00000000
        NC
        
        -1458.45000000
        -0.00009026690
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                SGX MSCI Singapore Index Future
                QZJ2 INDEX
              
            
            2022-04-28
            1633208.21000000
            SGD
            -1458.45000000
          
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI HOSP REVENUE
        74442CDM3
        
          
        
        1000000.00000000
        PA
        USD
        1058395.90000000
        0.065506613543
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2038-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSCDA Community Improvement Authority
        N/A
        CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
        126292AN1
        
          
        
        1000000.00000000
        PA
        USD
        823421.60000000
        0.050963501025
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3K1
        
          
        
        312038.00000000
        PA
        USD
        304615.93000000
        0.018853396924
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2033-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2EQS8   IRS USD R F  3.73500 IS2EQS8 CCPINFLATIONZERO / Short: SS2EQS8   IRS USD P V 12MUSCPI IS2EQT9 CCPINFLATIONZERO
        000000000
        
          
        
        5860000.00000000
        OU
        Notional Amount
        USD
        -29774.31000000
        -0.00184280212
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2029-01-15
            0.00000000
            USD
            0.00000000
            USD
            5860000.00000000
            USD
            -29774.31000000
          
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTB1
        
          
        
        1400000.00000000
        PA
        USD
        1664597.06000000
        0.103025830235
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Moon Industrial Development Authority
        549300CGX4T1GTNHL435
        MOON INDL DEV AUTH PA REVENUE
        61543RAQ9
        
          
        
        2080000.00000000
        PA
        USD
        2159329.33000000
        0.133645974945
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of San Antonio TX Electric & Gas Systems Revenue
        5493002G2FEH20Q4GQ04
        SAN ANTONIO TX ELEC & GAS REVENUE
        79625GDQ3
        
          
        
        1750000.00000000
        PA
        USD
        2066881.60000000
        0.127924167329
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461365F4
        
          
        
        1570000.00000000
        PA
        USD
        1747309.05000000
        0.108145069987
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI HOSP REVENUE
        74442CED2
        
          
        
        1000000.00000000
        PA
        USD
        1154144.10000000
        0.071432695017
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mississippi Development Bank
        549300122LOI8CB50V38
        MISSISSIPPI ST DEV BANK SPL OBLG
        60534WCW6
        
          
        
        3695000.00000000
        PA
        USD
        3703334.81000000
        0.229208108442
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Florida
        5493004G5XFOOUT0LQ57
        FLORIDA ST BRD OF EDU PUBLIC EDU
        34153QGL4
        
          
        
        1310000.00000000
        PA
        USD
        1360236.27000000
        0.084188224526
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Infirmary Health System Special Care Facilities Financing Authority of Mobile
        N/A
        INFIRMARY HLTH SYS AL SPL CARE FACS FING AUTH REVENUE
        45663NCA8
        
          
        
        1000000.00000000
        PA
        USD
        1077679.70000000
        0.066700133316
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        330742.58000000
        0.020470436790
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            21869360.98000000
            USD
            2701463114.00000000
            JPY
            2022-04-28
            330742.58000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS281O1   IRS USD R V 12MUSCPI IS281P2 CCPINFLATIONZERO / Short: BS281O1   IRS USD P F  2.56500 IS281O1 CCPINFLATIONZERO
        000000000
        
          
        
        4710000.00000000
        OU
        Notional Amount
        USD
        456891.38000000
        0.028278082956
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-01-15
            0.00000000
            USD
            0.00000000
            USD
            4710000.00000000
            USD
            456891.38000000
          
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966QXU9
        
          
        
        10000000.00000000
        PA
        USD
        10560872.00000000
        0.653637226666
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATERPILLAR FINL SERVICE
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14913R2R7
        
          
        
        1800000.00000000
        PA
        USD
        1790712.00000000
        0.110831380726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-13
          Floating
          0.52500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Puerto Rico Sales Tax Financing Corp Sales Tax Revenue
        N/A
        PUERTO RICO SALES TAX FING CORP SALES TAX REVENUE
        74529JQB4
        
          
        
        1323000.00000000
        PA
        USD
        1240183.51000000
        0.076757876625
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2024-07-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vanguard Mid-Cap ETF
        F7RXEPKL33W3OZ8V3S02
        Vanguard Mid-Cap ETF
        922908629
        
          
        
        68109.00000000
        NS
        USD
        16199044.56000000
        1.002596997751
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        City Of South Miami Health Facilities Authority Inc
        N/A
        S MIAMI FL HLTH FACS AUTH
        838810DU0
        
          
        
        2000000.00000000
        PA
        USD
        2271785.20000000
        0.140606133443
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Colorado Health Facilities Authority
        5493002JB6DRFRZPEQ21
        COLORADO ST HLTH FACS AUTH HOSP REVENUE
        19648FJU9
        
          
        
        1500000.00000000
        PA
        USD
        1706239.95000000
        0.105603206718
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Parish of St John the Baptist LA
        N/A
        SAINT JOHN THE BAPTIST PARISH LA REVENUE
        79020FAX4
        
          
        
        1570000.00000000
        PA
        USD
        1546588.95000000
        0.095722030535
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-06-01
          Floating
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        210713.44000000
        0.013041550786
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            15253170.08000000
            USD
            19334000.00000000
            CAD
            2022-04-22
            210713.44000000
          
        
        
          N
          N
          N
        
      
      
        New York State Dormitory Authority
        549300C8XO7EXTX2XU71
        NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
        64990EQQ3
        
          
        
        8340000.00000000
        PA
        USD
        8826547.26000000
        0.546295786187
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MSZ9
        
          
        
        3500000.00000000
        PA
        USD
        4189320.80000000
        0.259286925296
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        28918.12000000
        0.001789810515
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            58215346.00000000
            JPY
            507320.62000000
            USD
            2022-04-28
            28918.12000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        316248.60000000
        0.019573370252
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8403000.00000000
            EUR
            9623354.25000000
            USD
            2022-05-12
            316248.60000000
          
        
        
          N
          N
          N
        
      
      
        City of Bridgeport CT
        N/A
        BRIDGEPORT CT
        108152AL3
        
          
        
        2015000.00000000
        PA
        USD
        2275527.81000000
        0.140837772385
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coatesville School District
        549300FB4I8E5MPRFX97
        COATESVILLE PA AREA SCH DIST
        190684QC7
        
          
        
        105000.00000000
        PA
        USD
        106332.95000000
        0.006581196566
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Bridgeport CT
        N/A
        BRIDGEPORT CT
        108152AM1
        
          
        
        1335000.00000000
        PA
        USD
        1505206.49000000
        0.093160772678
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        87507.93000000
        0.005416071767
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            12489000.00000000
            EUR
            13920239.40000000
            USD
            2022-05-12
            87507.93000000
          
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59261AQA8
        
          
        
        4340000.00000000
        PA
        USD
        4811095.72000000
        0.297770038652
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comanche County Hospital Authority
        N/A
        COMANCHE CNTY OK HOSP AUTH REVENUE
        199875HK4
        
          
        
        1000000.00000000
        PA
        USD
        1053796.50000000
        0.065221945851
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Finance Authority
        549300ZG6UBPNNNRN315
        ILLINOIS ST FIN AUTH REVENUE
        45204E6M5
        
          
        
        100000.00000000
        PA
        USD
        103819.22000000
        0.006425615899
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Michigan Finance Authority
        54930022O46HOX5J1D14
        MICHIGAN ST FIN AUTH REVENUE
        59447PZF1
        
          
        
        10115000.00000000
        PA
        USD
        10765300.43000000
        0.666289783390
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mississippi Development Bank
        549300122LOI8CB50V38
        MISSISSIPPI DEV BK SPL OBLIG
        60534XLT1
        
          
        
        1100000.00000000
        PA
        USD
        1142330.20000000
        0.070701504938
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Future Tax Secured Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
        64971WBB5
        
          
        
        1155000.00000000
        PA
        USD
        1223157.71000000
        0.075704109787
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walled Lake Consolidated School District
        N/A
        WALLED LAKE MI CONSOL SCH DIST
        932423TF3
        
          
        
        2000000.00000000
        PA
        USD
        2006114.80000000
        0.124163167042
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461367X3
        
          
        
        1000000.00000000
        PA
        USD
        1143641.90000000
        0.070782689139
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        129574.52000000
        0.008019672040
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            4464041.53000000
            USD
            6137000.00000000
            AUD
            2022-04-28
            129574.52000000
          
        
        
          N
          N
          N
        
      
      
        Via Metropolitan Transit
        549300JAPHDC9HLZQY91
        VIA MET TRANSIT AUTH TX SALES TAX REVENUE
        92555RAG1
        
          
        
        2580000.00000000
        PA
        USD
        2746743.34000000
        0.170002410702
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        County of Cuyahoga OH
        549300GHDK9DGLUNJU89
        CUYAHOGA CNTY OH HOSP REVENUE
        2322655F1
        
          
        
        1500000.00000000
        PA
        USD
        1615482.15000000
        0.099985992847
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comanche County Hospital Authority
        N/A
        COMANCHE CNTY OK HOSP AUTH REVENUE
        199875HM0
        
          
        
        1000000.00000000
        PA
        USD
        1050861.40000000
        0.065040285603
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Atlanta GA Department of Aviation
        N/A
        ATLANTA GA ARPT REVENUE
        04780MXU8
        
          
        
        640000.00000000
        PA
        USD
        744840.45000000
        0.046099928684
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -28207.77000000
        -0.00174584528
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            506610.27000000
            USD
            58215346.00000000
            JPY
            2022-04-28
            -28207.77000000
          
        
        
          N
          N
          N
        
      
      
        Pennsylvania Turnpike Commission
        549300J8LLBYEYEXZJ24
        PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
        709224A41
        
          
        
        2500000.00000000
        PA
        USD
        2859564.75000000
        0.176985193330
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS2APJ0   IRS USD R F  2.72150 IS2APJ0 CCPINFLATIONZERO / Short: SS2APJ0   IRS USD P V 12MUSCPI IS2APK1 CCPINFLATIONZERO
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        -179415.64000000
        -0.01110445627
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2032-04-15
            0.00000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            -179415.64000000
          
        
        
          N
          N
          N
        
      
      
        Michigan Strategic Fund
        N/A
        MICHIGAN ST STRATEGIC FUND LTD OBLG REVENUE
        594698QP0
        
          
        
        1090000.00000000
        PA
        USD
        1201609.57000000
        0.074370444682
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arizona Industrial Development Authority
        N/A
        ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
        04052FBR5
        
          
        
        600000.00000000
        PA
        USD
        629595.30000000
        0.038967135082
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2038-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966LV65
        
          
        
        7220000.00000000
        PA
        USD
        7534903.91000000
        0.466352938936
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        166692.70000000
        0.010317003570
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            13016027.15000000
            USD
            12178000.00000000
            CHF
            2022-04-13
            166692.70000000
          
        
        
          N
          N
          N
        
      
      
        Parish of St John the Baptist LA
        N/A
        SAINT JOHN THE BAPTIST PARISH LA REVENUE
        79020FAW6
        
          
        
        4885000.00000000
        PA
        USD
        4859322.97000000
        0.300754936674
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-06-01
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461364L2
        
          
        
        3075000.00000000
        PA
        USD
        3465015.47000000
        0.214457963524
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City Of South Miami Health Facilities Authority Inc
        N/A
        S MIAMI FL HLTH FACS AUTH
        838810DQ9
        
          
        
        3550000.00000000
        PA
        USD
        4015183.13000000
        0.248509135007
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Long: SELS97778 TRS CHF R F   .00000 SELS97778/SMM2 / Short: SELS97778 TRS CHF P E SELS97778/ZERO RATE
        000000000
        
          
        
        7862191.35000000
        OU
        Notional Amount
        
        79261.25000000
        0.004905665330
        N/A
        DE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley
              IGJSJL3JD5P30I6NJZ34
            
            
              
                Eurex Swiss Market New Index Future
                SMM2 INDEX
              
            
            Y
            equity-performance leg
            equity-performance leg
            2022-06-17
            0.00000000
            CHF
            0.00000000
            CHF
            7862191.35000000
            CHF
            79261.25000000
          
        
        
          N
          N
          N
        
      
      
        BAYLOR SCOTT & WHITE HOL
        549300JQDKSBWYRGGV95
        Baylor Scott & White Holdings
        072863AG8
        
          
        
        1075000.00000000
        PA
        USD
        990988.75000000
        0.061334626364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          0.82700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        40795.41000000
        0.002524923950
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            11670000.00000000
            EUR
            12966408.05000000
            USD
            2022-05-12
            40795.41000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -909076.92000000
        -0.05626491039
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            22531653.00000000
            AUD
            15956128.05000000
            USD
            2022-04-28
            -909076.92000000
          
        
        
          N
          N
          N
        
      
      
        Austin Community College District Public Facility Corp
        N/A
        AUSTIN TX CMNTY CLG DIST PUBLIC FAC CORP LEASE REVENUE
        052405CM7
        
          
        
        1000000.00000000
        PA
        USD
        1012794.00000000
        0.062684204613
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -841073.31000000
        -0.05205600690
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            15105639.16000000
            USD
            1735811654.00000000
            JPY
            2022-04-28
            -841073.31000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1FYQ6   IRS USD R V 12MUSCPI IS1FYR7 INFLATIONZERO / Short: IS1FYQ6   IRS USD P F  1.99500 IS1FYQ6 INFLATIONZERO
        000000000
        
          
        
        33000000.00000000
        OU
        Notional Amount
        USD
        3933755.10000000
        0.243469362562
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-07-20
            0.00000000
            USD
            0.00000000
            USD
            33000000.00000000
            USD
            3933755.10000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1NQY2   CDS USD R F  3.00000 IS1NQY2 CMBX / Short: IS1NQY2   CDS USD P V 01MEVENT IS1NQZ3 CMBX
        000000000
        
          
        
        633189.33000000
        OU
        Notional Amount
        USD
        -154192.16000000
        -0.00954331572
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -60524.78000000
            USD
            633189.33000000
            USD
            -93667.38000000
          
        
        
          N
          N
          N
        
      
      
        State of Wisconsin
        549300VTAT608CNZ5827
        WISCONSIN ST
        97705MTD7
        
          
        
        750000.00000000
        PA
        USD
        889074.08000000
        0.055026887547
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XNX8
        
          
        
        170761.39000000
        PA
        USD
        171602.58000000
        0.010620887600
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-01-25
          Floating
          2.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966LMQ1
        
          
        
        1290000.00000000
        PA
        USD
        1306888.55000000
        0.080886408563
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3R6
        
          
        
        145491.00000000
        PA
        USD
        84021.33000000
        0.005200277886
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2033-07-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -16043.93000000
        -0.00099299659
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            1393000.00000000
            NZD
            948294.50000000
            USD
            2022-06-10
            -16043.93000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Education
        54930099NR6T9V7LVB43
        CHICAGO IL BRD OF EDU
        167505WZ5
        
          
        
        270000.00000000
        PA
        USD
        295419.02000000
        0.018284178516
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        12839.09000000
        0.000794641501
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            31053692.00000000
            JPY
            268032.35000000
            USD
            2022-04-28
            12839.09000000
          
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI REVENUE
        74442PMK8
        
          
        
        175000.00000000
        PA
        USD
        176960.67000000
        0.010952512403
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966QXM7
        
          
        
        2500000.00000000
        PA
        USD
        2677266.75000000
        0.165702341010
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Liberty Development Corp
        N/A
        NEW YORK ST LIBERTY DEV CORP LIBERTY REVENUE
        649519DF9
        
          
        
        855000.00000000
        PA
        USD
        831201.93000000
        0.051445043962
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2069-09-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Samoa Economic Development Authority
        N/A
        AMERICAN SAMOA AS ECON DEV AUTH GEN REVENUE
        02936TAF8
        
          
        
        400000.00000000
        PA
        USD
        458309.48000000
        0.028365852503
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2028-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tuscaloosa County Industrial Development Authority
        N/A
        TUSCALOOSA CNTY AL INDL DEV AUTH GULF OPPORTUNITY ZONE
        90068FAY2
        
          
        
        1946255.00000000
        PA
        USD
        1906061.72000000
        0.117970646412
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Franklin County School District No 1 Pasco
        N/A
        FRANKLIN CNTY WA SCH DIST #1 PASCO
        353442ZY5
        
          
        
        8615000.00000000
        PA
        USD
        9302426.17000000
        0.575749052069
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Public Finance Authority
        5493004S6D3NA627K012
        PUBLIC FIN AUTH WI EXEMPT FACS REVENUE
        74443QAC6
        
          
        
        2510000.00000000
        PA
        USD
        2740864.03000000
        0.169638526367
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        646140DS9
        
          
        
        1225000.00000000
        PA
        USD
        1115471.89000000
        0.069039180912
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-01-01
          Fixed
          1.71300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSCDA Community Improvement Authority
        N/A
        CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
        126292BL4
        
          
        
        1700000.00000000
        PA
        USD
        1526305.56000000
        0.094466643785
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -128997.26000000
        -0.00798394406
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2308617.38000000
            USD
            265231346.00000000
            JPY
            2022-04-28
            -128997.26000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        118102.30000000
        0.007309629340
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            8310138.98000000
            USD
            11260000.00000000
            AUD
            2022-04-28
            118102.30000000
          
        
        
          N
          N
          N
        
      
      
        Howard Bend Levee District
        N/A
        HOWARD BEND MO LEVEE DIST
        442499CE7
        
          
        
        155000.00000000
        PA
        USD
        166505.42000000
        0.010305412370
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Bridgeport CT
        N/A
        BRIDGEPORT CT
        108152AG4
        
          
        
        1650000.00000000
        PA
        USD
        1861374.41000000
        0.115204843609
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3F2
        
          
        
        323407.00000000
        PA
        USD
        341209.81000000
        0.021118278293
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2025-07-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS2CZ96   IRS USD R V 12MUSCPI IS2CZA7 CCPINFLATIONZERO / Short: BS2CZ96   IRS USD P F  2.98850 IS2CZ96 CCPINFLATIONZERO
        000000000
        
          
        
        3500000.00000000
        OU
        Notional Amount
        USD
        227749.27000000
        0.014095938405
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2031-01-15
            0.00000000
            USD
            0.00000000
            USD
            3500000.00000000
            USD
            227749.27000000
          
        
        
          N
          N
          N
        
      
      
        Commonwealth of Puerto Rico
        549300X44HXPLJU48U63
        PUERTO RICO CMWLTH
        74514L3L9
        
          
        
        10820.00000000
        PA
        USD
        10441.26000000
        0.000646234158
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2035-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mississippi Development Bank
        549300122LOI8CB50V38
        MISSISSIPPI ST DEV BANK SPL OBLG
        60534WCN6
        
          
        
        1720000.00000000
        PA
        USD
        1723879.80000000
        0.106694978556
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago O'Hare International Airport
        N/A
        CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE
        167593RA2
        
          
        
        11425000.00000000
        PA
        USD
        12013002.48000000
        0.743513000153
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Ashland KY
        N/A
        ASHLAND KY MED CENTER REVENUE
        044293BS6
        
          
        
        155000.00000000
        PA
        USD
        180656.96000000
        0.011181284491
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coatesville School District
        549300FB4I8E5MPRFX97
        COATESVILLE PA AREA SCH DIST
        190684PL8
        
          
        
        1250000.00000000
        PA
        USD
        1301160.38000000
        0.080531878639
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Tempe AZ
        N/A
        TEMPE AZ COPS
        87971LAQ8
        
          
        
        1475000.00000000
        PA
        USD
        1308672.36000000
        0.080996812763
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-07-01
          Fixed
          2.17100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XCB8
        
          
        
        76530.86000000
        PA
        USD
        80673.83000000
        0.004993093231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-09-25
          Floating
          6.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Transportation Trust Fund Authority
        549300YUVD5TEXR6L889
        NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
        6461365X5
        
          
        
        1250000.00000000
        PA
        USD
        1391169.63000000
        0.086102762989
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Education
        54930099NR6T9V7LVB43
        CHICAGO IL BRD OF EDU
        167505XB7
        
          
        
        200000.00000000
        PA
        USD
        217949.14000000
        0.013489385291
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2022-04-19
      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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