Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2022 12:37 PM EDT

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    NPORT-P
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      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Global Core Fixed Income Fund
      S000009308
      S7AVHSYYPK5PCOCQSV77
      2022-03-31
      2022-03-31
      N
    
    
      708716664.20
      67927022.27
      640789641.93
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
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      0.00000000
      0.00000000
      0.00000000
      0.00000000
      5277226.57000000
      0.00000000
      0.00000000
      26585328.96000000
      
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          CLP
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          DKK
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          HUF
          
          
        
        
          IDR
          
          
        
        
          ILS
          
          
        
        
          INR
          
          
        
        
          JPY
          
          
        
        
          KRW
          
          
        
        
          MXN
          
          
        
        
          MYR
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          PLN
          
          
        
        
          RUB
          
          
        
        
          SEK
          
          
        
        
          SGD
          
          
        
        
          THB
          
          
        
        
          TRY
          
          
        
        
          TWD
          
          
        
        
          USD
          
          
        
        
          ZAR
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        21256.33000000
        PA
        USD
        21353.75000000
        0.003332411856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EM1
        
          
        
        1200000.00000000
        PA
        USD
        1158144.00000000
        0.180737003880
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-02-04
          Fixed
          2.89400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNP ASSURANCES
        969500QKVPV2H8UXM738
        CNP Assurances
        000000000
        
          
        
        1000000.00000000
        PA
        
        993722.03000000
        0.155077729878
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-03-08
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAC5
        
          
        
        360000.00000000
        PA
        USD
        332053.20000000
        0.051819376948
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-05-17
          Fixed
          3.79800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEF8
        
          
        
        775000.00000000
        PA
        USD
        665337.50000000
        0.103830876228
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-16
          Fixed
          2.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        33098.84000000
        PA
        USD
        33250.53000000
        0.005188993052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WTZ1
        
          
        
        984227.23000000
        PA
        USD
        973951.00000000
        0.151992313275
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217241  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217241  IRS USD P F  1.50000 2 CCPOIS
        000000000
        
          
        
        19230000.00000000
        OU
        Notional Amount
        USD
        397347.57000000
        0.062009050084
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            213038.62000000
            USD
            0.00000000
            USD
            19230000.00000000
            USD
            184308.95000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04813A SWAPTION SOFRRATE
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -1604.36000000
        -0.00025037233
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1604.36000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3800000.00000000
                  USD
                
              
            
            1.00000000
            1.83000000
            USD
            2022-04-11
            XXXX
            40385.64000000
          
        
        
          N
          N
          N
        
      
      
        KOREA TREASURY BOND
        549300O0QCVSQGPGDT58
        Korea Treasury Bond
        000000000
        
          
        
        2641660000.00000000
        PA
        
        1940470.31000000
        0.302824855931
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2029-12-10
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659T2A8
        
          
        
        950000.00000000
        PA
        USD
        944366.50000000
        0.147375431530
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2033-03-01
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BG3
        
          
        
        700000.00000000
        PA
        USD
        697816.00000000
        0.108899388245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1161.21000000
        -0.00018121547
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            353193.44000000
            EUR
            389622.52000000
            USD
            2022-04-06
            -1161.21000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        64369.91000000
        0.010045404261
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217076  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR217076  IRS NOK P F  2.00000 2 CCPVANILLA
        000000000
        
          
        
        2750000.00000000
        OU
        Notional Amount
        
        12221.03000000
        0.001907182825
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            17906.49000000
            NOK
            0.00000000
            NOK
            2750000.00000000
            NOK
            19987.54000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        2890000.00000000
        PA
        
        504599.13000000
        0.078746455463
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2048-10-22
          Fixed
          4.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2011-1
        64032TAA2
        
          
        
        139168.53000000
        PA
        USD
        136933.97000000
        0.021369566709
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-02-25
          Floating
          1.30700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2983.72000000
        -0.00046563174
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            365825.66000000
            EUR
            3778137.67000000
            SEK
            2022-04-25
            -2983.72000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00772BAP6
        
          
        
        2149000.00000000
        PA
        USD
        2159143.28000000
        0.336950402864
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXRK5
        
          
        
        10794.26000000
        PA
        USD
        10843.73000000
        0.001692244894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04850A SWAPTION SOFRRATE
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -30232.42000000
        -0.00471799449
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -30232.42000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3800000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            14417.58000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        17915.01000000
        0.002795770847
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            312970.57000000
            USD
            442074.43000000
            AUD
            2022-04-21
            17915.01000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        460.00000000
        NC
        USD
        -1263077.18000000
        -0.19711260877
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            57706514.68000000
            USD
            -1263077.18000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OA1
        126694A32
        
          
        
        161909.55000000
        PA
        USD
        136683.86000000
        0.021330535179
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-20
          Floating
          0.86900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAD9
        
          
        
        200000.00000000
        PA
        USD
        202156.00000000
        0.031547950649
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-04-26
          Fixed
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217010  IRS GBP R F  1.00000 2 CCPOIS / Short: SR217010  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        960000.00000000
        OU
        Notional Amount
        
        -112626.26000000
        -0.01757616737
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2042-03-16
            63185.18000000
            GBP
            0.00000000
            GBP
            960000.00000000
            GBP
            -196303.51000000
          
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PAY7
        
          
        
        950000.00000000
        PA
        USD
        1161375.00000000
        0.181241225513
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2048-04-23
          Fixed
          5.10300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQL3
        
          
        
        434995.18000000
        PA
        USD
        55127.37000000
        0.008603037001
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03962A SWAPTION SONIO
        000000000
        
          
        
        -1810000.00000000
        NC
        
        -3267.91000000
        -0.00050998171
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1810000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3267.91000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1810000.00000000
                  GBP
                
              
            
            1.00000000
            0.37900000
            GBP
            2022-10-10
            XXXX
            34744.74000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2017-BNK4
        06541FBF5
        
          
        
        900000.00000000
        PA
        USD
        881006.02000000
        0.137487556344
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-15
          Variable
          4.37200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSCN202204136420
        000000000
        
          
        
        1757000.00000000
        OU
        Notional Amount
        USD
        787.14000000
        0.000122839064
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    787.14000000
                    0.00000000
                    DFE
                    
                    US
                  
                  11279940.00000000
                  CNY
                  1757000.00000000
                  USD
                  2022-04-13
                
              
            
            1.00000000
            6.42000000
            USD
            2022-04-13
            XXXX
            -8491.58000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        196000.00000000
        0.030587260962
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2026-06-03
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -3708.47000000
        -0.00057873438
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            4022605.00000000
            NOK
            453062.08000000
            USD
            2022-04-25
            -3708.47000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        15394.90000000
        PA
        USD
        15455.83000000
        0.002411997477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAN5
        
          
        
        1250000.00000000
        PA
        USD
        1188512.50000000
        0.185476234668
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-15
          Fixed
          1.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (5 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Five Year Bond
        000000000
        
          
        
        793000000.00000000
        PA
        
        6508475.52000000
        1.015696118369
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2026-12-20
          Fixed
          0.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BD9
        
          
        
        575000.00000000
        PA
        USD
        531639.25000000
        0.082966267744
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-27
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KFW
        549300GDPG70E3MBBU98
        Kreditanstalt fuer Wiederaufbau
        000000000
        
          
        
        3000000.00000000
        PA
        
        3291668.28000000
        0.513689370834
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-01-07
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        947.88000000
        0.000147923739
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            632600.89000000
            NZD
            438794.12000000
            USD
            2022-06-15
            947.88000000
          
        
        
          N
          N
          N
        
      
      
        KOREA DEVELOPMENT BANK
        549300ML2LNRZUCS7149
        Korea Development Bank/The
        500630DQ8
        
          
        
        200000.00000000
        PA
        USD
        195078.00000000
        0.030443375990
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2025-02-24
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B06N1
        
          
        
        1053621.84000000
        PA
        USD
        45987.64000000
        0.007176714008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-25
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QT50
        
          
        
        213927.13000000
        PA
        USD
        222133.52000000
        0.034665591555
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397S7M0
        
          
        
        213390.18000000
        PA
        USD
        226332.74000000
        0.035320911136
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        454.02000000
        0.000070853205
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            136156.00000000
            USD
            104022.43000000
            GBP
            2022-06-15
            454.02000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1847.32000000
        -0.00028828805
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            419304.18000000
            USD
            3676983.18000000
            NOK
            2022-06-15
            -1847.32000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-C38
        95001MAP5
        
          
        
        500000.00000000
        PA
        USD
        409308.18000000
        0.063875592427
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSCN2022041364850
        000000000
        
          
        
        -1757000.00000000
        OU
        Notional Amount
        USD
        -142.32000000
        -0.00002221009
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -142.32000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1757000.00000000
                  USD
                  -11394145.00000000
                  CNY
                  2022-04-13
                
              
            
            1.00000000
            6.48500000
            USD
            2022-04-13
            XXXX
            3338.30000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTCHAUSCN2022042663905
        000000000
        
          
        
        -581000.00000000
        OU
        Notional Amount
        USD
        -3688.77000000
        -0.00057566005
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -3688.77000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -581000.00000000
                  USD
                  -3712880.50000000
                  CNY
                  2022-04-26
                
              
            
            1.00000000
            6.39050000
            USD
            2022-04-26
            XXXX
            -1353.15000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        000000000
        
          
        
        600000.00000000
        PA
        
        791973.08000000
        0.123593302415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -36525.91000000
        -0.00570014051
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            7569812.21000000
            SEK
            770157.54000000
            USD
            2022-06-15
            -36525.91000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378WUZ4
        
          
        
        303730.30000000
        PA
        USD
        50227.12000000
        0.007838316463
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI CRUDE OIL
        549300DONDFW2383FV66
        Abu Dhabi Crude Oil Pipeline LLC
        00401MAB2
        
          
        
        1260000.00000000
        PA
        USD
        1331898.75000000
        0.207852727767
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2047-11-02
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -38272.99000000
        -0.00597278537
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            281047626.49000000
            CNY
            43978463.67000000
            USD
            2022-06-22
            -38272.99000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        9329.60000000
        0.001455953621
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1071706794.00000000
            KRW
            891250.79000000
            USD
            2022-04-11
            9329.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5660.35000000
        0.000883339809
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            403211.36000000
            EUR
            4251279.13000000
            SEK
            2022-06-15
            5660.35000000
          
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AF5
        
          
        
        1400000.00000000
        PA
        USD
        1421952.00000000
        0.221906208676
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-30
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BC6
        
          
        
        225000.00000000
        PA
        USD
        231507.00000000
        0.036128392978
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2033-03-28
          Fixed
          4.25200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        582.29000000
        0.000090870694
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            257888.00000000
            USD
            238048.68000000
            CHF
            2022-06-15
            582.29000000
          
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C7
        46648KAC0
        
          
        
        250000.00000000
        PA
        USD
        203178.07000000
        0.031707452290
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Volkswagen Leasing GmbH
        5299004GLEUX88BSNB74
        Volkswagen Leasing GmbH
        000000000
        
          
        
        600000.00000000
        PA
        
        663192.30000000
        0.103496101778
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-08-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1.87000000
        -0.00000029182
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            226590.00000000
            USD
            1442607.89000000
            CNY
            2022-04-28
            -1.87000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAUSCN2022042064440
        000000000
        
          
        
        -1773000.00000000
        OU
        Notional Amount
        USD
        -959.19000000
        -0.00014968874
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -959.19000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1773000.00000000
                  USD
                  -11425212.00000000
                  CNY
                  2022-04-20
                
              
            
            1.00000000
            6.44400000
            USD
            2022-04-20
            XXXX
            1854.56000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        12964000000.00000000
        PA
        
        1019970.06000000
        0.159173930609
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2031-05-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYN1
        
          
        
        105406.39000000
        PA
        USD
        15754.48000000
        0.002458604036
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        000000000
        
          
        
        160000.00000000
        PA
        
        167353.46000000
        0.026116754867
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-05-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03898A SWAPTION SONIO SEP22 0.281 CALL
        000000000
        
          
        
        14550000.00000000
        NC
        
        1437.34000000
        0.000224307620
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    14550000.00000000
                    OU
                    Notional Amount
                    N/A
                    1437.34000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  14550000.00000000
                  GBP
                
              
            
            1.00000000
            0.28100000
            GBP
            2022-09-08
            XXXX
            -26359.88000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FEG0
        
          
        
        114221.12000000
        PA
        USD
        16519.97000000
        0.002578064456
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217013  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217013  IRS CAD P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        4860000.00000000
        OU
        Notional Amount
        
        126777.13000000
        0.019784516119
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            99096.81000000
            CAD
            0.00000000
            CAD
            4860000.00000000
            CAD
            48953.88000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBC2
        
          
        
        300000.00000000
        PA
        USD
        305922.00000000
        0.047741408409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PT PERTAMINA (PERSERO)
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        000000000
        
          
        
        200000.00000000
        PA
        USD
        232882.00000000
        0.036342971977
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2041-05-27
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (2 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Two Year Bond
        000000000
        
          
        
        2919550000.00000000
        PA
        
        24003190.40000000
        3.745876779110
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2024-03-01
          Fixed
          0.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        220.30000000
        0.000034379457
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            438454.11000000
            USD
            6300585560.70000000
            IDR
            2022-05-13
            220.30000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2055.50000000
        0.000320776096
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            193405.63000000
            USD
            623481.73000000
            ILS
            2022-04-26
            2055.50000000
          
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BG7
        
          
        
        700000.00000000
        PA
        USD
        639835.00000000
        0.099851021011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        505000.00000000
        PA
        USD
        508095.65000000
        0.079292113472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032XAG9
        
          
        
        200000.00000000
        PA
        USD
        194970.00000000
        0.030426521785
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-01-19
          Fixed
          3.59500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -4843.64000000
        -0.00075588612
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            61570774.26000000
            HUF
            178574.71000000
            USD
            2022-06-15
            -4843.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1663.04000000
        -0.00025952978
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            444602.00000000
            USD
            399208.05000000
            EUR
            2022-06-15
            -1663.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -6378.80000000
        -0.00099545928
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            882909.40000000
            EUR
            970471.94000000
            USD
            2022-04-05
            -6378.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1321.10000000
        -0.00020616750
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            408276.33000000
            USD
            1955543.99000000
            BRL
            2022-05-03
            -1321.10000000
          
        
        
          N
          N
          N
        
      
      
        Macquarie Group Ltd
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAK4
        
          
        
        380000.00000000
        PA
        USD
        374220.20000000
        0.058399851606
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2028-11-28
          Fixed
          3.76300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XBA1
        
          
        
        1150000.00000000
        PA
        USD
        1133635.50000000
        0.176912269771
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296XPM1
        
          
        
        1068.25000000
        PA
        USD
        1149.47000000
        0.000179383361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217685  IRS EUR R F  1.48900 2 CCPVANILLA / Short: SR217685  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        2350000.00000000
        OU
        Notional Amount
        
        198.10000000
        0.000030914981
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-29
            0.00000000
            EUR
            -6129.16000000
            EUR
            2350000.00000000
            EUR
            6993.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        25880.13000000
        PA
        USD
        28158.24000000
        0.004394303240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -72.78000000
        -0.00001135786
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            175527.98000000
            USD
            2572037.82000000
            ZAR
            2022-04-25
            -72.78000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6UY2
        
          
        
        2424.76000000
        PA
        USD
        2593.54000000
        0.000404741248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        549300FFTJ3WPTJK8589
        Madison Park Funding XXX LTD
        55821TAA5
        
          
        
        2776778.75000000
        PA
        USD
        2763544.62000000
        0.431271737114
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          0.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        549300N8C3A3L0UVQB07
        GSK Consumer Healthcare Capital US LLC
        36264FAD3
        
          
        
        975000.00000000
        PA
        USD
        975399.75000000
        0.152218401511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-24
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAQ6
        
          
        
        775000.00000000
        PA
        USD
        793398.50000000
        0.123815749831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          5.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MP3
        
          
        
        25000.00000000
        PA
        USD
        26032.00000000
        0.004062487639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-31
          Fixed
          4.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        JPN 10Y BOND(OSE) JUN22
        000000000
        
          
        
        10.00000000
        NC
        
        -79545.84000000
        -0.01241372125
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                TSE Japanese 10 Year Bond Futures
                JBM2 COMDTY
              
            
            2022-06-13
            1508783910.00000000
            JPY
            -79545.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -263.31000000
        -0.00004109148
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            526977.45000000
            SGD
            388534.75000000
            USD
            2022-04-06
            -263.31000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003004  CDS USD R F  3.00000 2 CMBX / Short: CX003004  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        900000.00000000
        OU
        Notional Amount
        USD
        -98156.25000000
        -0.01531801445
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -197158.18000000
            USD
            900000.00000000
            USD
            99001.93000000
          
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust
        26828WAA2
        
          
        
        2786446.87000000
        PA
        USD
        2813022.89000000
        0.438993189953
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CMS ENERGY CORP
        549300IA9XFBAGNIBW29
        CMS Energy Corp
        125896BV1
        
          
        
        550000.00000000
        PA
        USD
        485012.00000000
        0.075689737827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DR0
        
          
        
        100000.00000000
        PA
        USD
        76143.75000000
        0.011882799754
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2121-07-28
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -112281.36000000
        -0.01752234316
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            10234843.73000000
            CAD
            8073559.84000000
            USD
            2022-04-26
            -112281.36000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2412.90000000
        0.000376551030
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            436998.04000000
            USD
            12582484.44000000
            TWD
            2022-04-15
            2412.90000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        CTCITEUPL2022042147230
        000000000
        
          
        
        -526000.00000000
        OU
        Notional Amount
        
        -4156.42000000
        -0.00064864032
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -4156.42000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -526000.00000000
                  EUR
                  -2484298.00000000
                  PLN
                  2022-04-21
                
              
            
            1.00000000
            4.72300000
            EUR
            2022-04-21
            XXXX
            2682.55000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        18480000.00000000
        PA
        
        2983641.01000000
        0.465619419348
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-06-06
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        375000.00000000
        PA
        USD
        346410.00000000
        0.054059862602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3054.22000000
        0.000476633796
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            913131.80000000
            USD
            843798.62000000
            CHF
            2022-06-15
            3054.22000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (40 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Forty Year Bond
        000000000
        
          
        
        988000000.00000000
        PA
        
        7497649.09000000
        1.170064027161
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2061-03-20
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ARZ31
        
          
        
        91622.86000000
        PA
        USD
        97234.03000000
        0.015174095153
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        960000.00000000
        PA
        
        1574000.48000000
        0.245634507333
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2041-03-28
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
        
        900000.00000000
        PA
        USD
        906507.00000000
        0.141467174355
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        358.79000000
        0.000055991853
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            89596.56000000
            USD
            121920.76000000
            SGD
            2022-06-15
            358.79000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAE6
        
          
        
        1075000.00000000
        PA
        USD
        1128449.00000000
        0.176102877787
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD89
        
          
        
        20152.58000000
        PA
        USD
        20913.05000000
        0.003263637336
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        000000000
        
          
        
        500000.00000000
        PA
        
        515772.36000000
        0.080490121289
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-10-22
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312938XT5
        
          
        
        10679.79000000
        PA
        USD
        11455.68000000
        0.001787744253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        10504.06000000
        0.001639236859
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1672080.82000000
            EUR
            1862298.41000000
            USD
            2022-05-05
            10504.06000000
          
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        000000000
        
          
        
        675000.00000000
        PA
        
        737877.44000000
        0.115151274570
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2031-05-30
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAK6
        
          
        
        970000.00000000
        PA
        USD
        940900.00000000
        0.146834458367
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2027-02-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AGL89
        
          
        
        27986.60000000
        PA
        USD
        29700.56000000
        0.004634993772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1944.05000000
        0.000303383493
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            459029.07000000
            USD
            350967.83000000
            GBP
            2022-04-25
            1944.05000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBP5
        
          
        
        3193000.00000000
        PA
        USD
        2815076.52000000
        0.439313674222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005903  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005903  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        17875.60000000
        0.002789620622
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF CHILE
                REPUBLIC OF CHILE
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            13785.57000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            4090.03000000
          
        
        
          N
          N
          N
        
      
      
        LEGAL & GENERAL GROUP
        213800JH9QQWHLO99821
        Legal & General Group PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        641015.03000000
        0.100035173488
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2049-11-26
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CK HUTCHISON INTNTL 21
        254900E16YL0NL5TFN79
        CK Hutchison International 21 Ltd
        12565WAB7
        
          
        
        200000.00000000
        PA
        USD
        183936.00000000
        0.028704583839
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217031  IRS AUD R F  2.00000 2 CCPVANILLA / Short: SR217031  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        2310000.00000000
        OU
        Notional Amount
        
        -161841.68000000
        -0.02525660051
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            2410.22000000
            AUD
            0.00000000
            AUD
            2310000.00000000
            AUD
            -163539.87000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217521  IRS SEK R F   .75000 2 CCPVANILLA / Short: SR217521  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        59880000.00000000
        OU
        Notional Amount
        
        -102794.08000000
        -0.01604178239
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-15
            0.00000000
            SEK
            -1030980.33000000
            SEK
            59880000.00000000
            SEK
            7762.07000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAY5
        
          
        
        250000.00000000
        PA
        USD
        292970.00000000
        0.045720152266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TV77
        
          
        
        141980.92000000
        PA
        USD
        148147.92000000
        0.023119587194
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2006-6
        41161UAE2
        
          
        
        211501.24000000
        PA
        USD
        191387.92000000
        0.029867511500
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-19
          Variable
          2.93400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2K28
        
          
        
        151988.41000000
        PA
        USD
        22307.20000000
        0.003481204835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.09300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217016  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217016  IRS CAD P F  1.75000 2 CCPVANILLA
        000000000
        
          
        
        2010000.00000000
        OU
        Notional Amount
        
        78101.15000000
        0.012188266615
        N/A
        DIR
        
        CA
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            6759.41000000
            CAD
            0.00000000
            CAD
            2010000.00000000
            CAD
            108918.32000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        450000.00000000
        PA
        USD
        481446.00000000
        0.075133236946
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419LZL0
        
          
        
        5607.04000000
        PA
        USD
        5953.17000000
        0.000929036552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MBC9
        
          
        
        400000.00000000
        PA
        
        444893.83000000
        0.069428998362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-21
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        689675.18000000
        PA
        USD
        83971.82000000
        0.013104428427
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        4995.35000000
        PA
        USD
        5260.50000000
        0.000820940236
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        36288.47000000
        0.005663086233
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1312786.14000000
            USD
            1800455.80000000
            AUD
            2022-06-15
            36288.47000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXM1
        
          
        
        515312.33000000
        PA
        USD
        61334.23000000
        0.009571663770
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2535.38000000
        -0.00039566494
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            441491.80000000
            EUR
            485944.28000000
            USD
            2022-04-06
            -2535.38000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003022  CDS USD R F  3.00000 2 CMBX / Short: CX003022  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        300000.00000000
        OU
        Notional Amount
        USD
        -39187.50000000
        -0.00611550147
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -46319.63000000
            USD
            300000.00000000
            USD
            7132.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2947.54000000
        -0.00045998558
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            499398.36000000
            EUR
            551157.00000000
            USD
            2022-06-15
            -2947.54000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAC1
        
          
        
        125000.00000000
        PA
        USD
        110577.50000000
        0.017256443107
        Long
        DBT
        
        US
        N
        
        2
        
          2031-07-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        N/A
        Mountain View CLO 2016-1 LLC
        62432FAM6
        
          
        
        1800000.00000000
        PA
        USD
        1782316.80000000
        0.278143821837
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-14
          Floating
          1.59800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3504.25000000
        0.000546864332
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            238902.00000000
            USD
            350228.91000000
            NZD
            2022-06-15
            3504.25000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5734.00000000
        0.000894833440
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            409705.01000000
            EUR
            614336.27000000
            AUD
            2022-06-15
            5734.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -654.43000000
        -0.00010212867
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            362811.61000000
            USD
            27489437.52000000
            INR
            2022-04-04
            -654.43000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A1MA0
        
          
        
        198900.58000000
        PA
        USD
        210729.93000000
        0.032885976334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        162000000.00000000
        PA
        
        1564230.16000000
        0.244109776070
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2045-06-20
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KFW
        549300GDPG70E3MBBU98
        Kreditanstalt fuer Wiederaufbau
        000000000
        
          
        
        2950000.00000000
        PA
        
        3847868.21000000
        0.600488515764
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-12-29
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04846A SWAPTION EUR006M
        000000000
        
          
        
        -3290000.00000000
        NC
        
        -53707.92000000
        -0.00838152124
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3290000.00000000
                    OU
                    Notional Amount
                    N/A
                    -53707.92000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3290000.00000000
                  EUR
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-25
            XXXX
            -22347.05000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        210000.00000000
        PA
        
        265835.14000000
        0.041485555103
        Long
        DBT
        NUSS
        FR
        N
        
        1
        
          2048-05-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        600000.00000000
        PA
        USD
        587268.00000000
        0.091647548832
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1000000.00000000
        PA
        
        1119723.88000000
        0.174741257774
        Long
        DBT
        NUSS
        IT
        N
        
        1
        
          2067-03-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VHU4
        
          
        
        306160.52000000
        PA
        USD
        46270.80000000
        0.007220903237
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAN3
        
          
        
        975000.00000000
        PA
        USD
        994685.25000000
        0.155228047538
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CM9
        
          
        
        1000000.00000000
        PA
        USD
        971620.00000000
        0.151628543350
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-11-08
          Fixed
          0.96200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        59802.24000000
        PA
        USD
        60038.93000000
        0.009369522550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        681.83000000
        0.000106404653
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            388534.75000000
            USD
            527544.71000000
            SGD
            2022-04-06
            681.83000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AWRQ8
        
          
        
        74341.28000000
        PA
        USD
        78894.09000000
        0.012312010812
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2106.99000000
        -0.00032881149
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2817164.66000000
            CNY
            439252.00000000
            USD
            2022-06-15
            -2106.99000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        275000000.00000000
        PA
        
        2530478.89000000
        0.394900092701
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2035-06-20
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCS3
        
          
        
        200000.00000000
        PA
        USD
        216568.00000000
        0.033797050674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBT7
        
          
        
        5570000.00000000
        PA
        USD
        5194025.00000000
        0.810566316951
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-03-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AP6
        
          
        
        200000.00000000
        PA
        USD
        181896.00000000
        0.028386226633
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04658A SWAPTION SOFRRATE
        000000000
        
          
        
        15000000.00000000
        NC
        USD
        4749.00000000
        0.000741116848
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    15000000.00000000
                    OU
                    Notional Amount
                    N/A
                    4749.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15000000.00000000
                  USD
                
              
            
            1.00000000
            1.36100000
            USD
            2022-07-12
            XXXX
            -89639.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04768A SWAPTION SOFRRATE
        000000000
        
          
        
        -44400000.00000000
        NC
        USD
        -14918.40000000
        -0.00232812752
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    44400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14918.40000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  44400000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-11-16
            XXXX
            38361.60000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        529900FZRK8FGMPEOM08
        European Union
        000000000
        
          
        
        1100000.00000000
        PA
        
        1185686.23000000
        0.185035174168
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-07-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -2351.56000000
        -0.00036697846
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            33867014.75000000
            INR
            439289.38000000
            USD
            2022-06-15
            -2351.56000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASU83
        
          
        
        17534.42000000
        PA
        USD
        18608.26000000
        0.002903957676
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9300.78000000
        -0.00145145604
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1617729.84000000
            USD
            1452333.72000000
            EUR
            2022-05-05
            -9300.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7037.02000000
        0.001098179424
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            440050.01000000
            USD
            9015744.60000000
            MXN
            2022-06-15
            7037.02000000
          
        
        
          N
          N
          N
        
      
      
        WINTERSHALL DEA FINANCE
        529900SUC9JUI6M74U66
        Wintershall Dea Finance BV
        000000000
        
          
        
        1300000.00000000
        PA
        
        1274667.43000000
        0.198921353684
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-09-25
          Fixed
          1.33200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03951A SWAPTION SONIO
        000000000
        
          
        
        -1650000.00000000
        NC
        
        -3377.00000000
        -0.00052700602
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1650000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3377.00000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1650000.00000000
                  GBP
                
              
            
            1.00000000
            0.42450000
            GBP
            2022-10-10
            XXXX
            31881.23000000
          
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT JUN22
        000000000
        
          
        
        66.00000000
        NC
        
        -272219.71000000
        -0.04248191484
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SFE 10 Year Australian Bond Future
                XMM2 COMDTY
              
            
            2022-06-15
            8751840.90000000
            AUD
            -272219.71000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WJS8
        
          
        
        959834.61000000
        PA
        USD
        949813.06000000
        0.148225407817
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -432.00000000
        -0.00006741682
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            175527.98000000
            USD
            2566771.98000000
            ZAR
            2022-04-25
            -432.00000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBJ8
        
          
        
        268617.73000000
        PA
        USD
        278984.12000000
        0.043537551443
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EML8
        
          
        
        526181.36000000
        PA
        USD
        78555.19000000
        0.012259122941
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TUC7
        
          
        
        39887.45000000
        PA
        USD
        41972.11000000
        0.006550060621
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAB7
        
          
        
        390000.00000000
        PA
        USD
        362898.90000000
        0.056633078354
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-05-17
          Fixed
          2.63400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAG8
        
          
        
        250000.00000000
        PA
        USD
        267915.00000000
        0.041810132759
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        3206020.78000000
        0.500323440051
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            89276776.83000000
            EUR
            102078173.86000000
            USD
            2022-05-05
            3206020.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        8393.81000000
        0.001309916617
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            286654.00000000
            EUR
            325857.09000000
            USD
            2022-05-05
            8393.81000000
          
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAD2
        
          
        
        700000.00000000
        PA
        USD
        712215.00000000
        0.111146459523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-06
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04769A SWAPTION SOFRRATE
        000000000
        
          
        
        44400000.00000000
        NC
        USD
        44280.12000000
        0.006910242785
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    44400000.00000000
                    OU
                    Notional Amount
                    N/A
                    44280.12000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  44400000.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2022-11-16
            XXXX
            -100019.88000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE JUN22
        000000000
        
          
        
        39.00000000
        NC
        
        -257472.79000000
        -0.04018054805
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX 10 Year Euro BUND Future
                RXM2 COMDTY
              
            
            2022-06-08
            6420483.82000000
            EUR
            -257472.79000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        200000.00000000
        PA
        USD
        176750.00000000
        0.027583154975
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAM4
        
          
        
        400000.00000000
        PA
        USD
        323132.43000000
        0.050427224295
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMQE8
        
          
        
        1929022.66000000
        PA
        USD
        1846502.54000000
        0.288160484997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-8
        92538GAA0
        
          
        
        162389.71000000
        PA
        USD
        153285.77000000
        0.023921386984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AK6U8
        
          
        
        25271.82000000
        PA
        USD
        26819.52000000
        0.004185386005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN TREASURY DISC BILL
        353800WZS8AXZXFUC241
        Japan Treasury Discount Bill
        000000000
        
          
        
        1734950000.00000000
        PA
        
        14253125.87000000
        2.224306533275
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2022-05-23
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAE8
        
          
        
        200000.00000000
        PA
        USD
        144875.00000000
        0.022608823632
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2051-02-08
          Fixed
          3.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MT5
        
          
        
        1575000.00000000
        PA
        USD
        1521859.50000000
        0.237497518751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          0.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04851A SWAPTION SOFRRATE
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -43315.44000000
        -0.00675969728
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -43315.44000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3800000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            1334.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -23042.29000000
        -0.00359592110
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            11226219.73000000
            RUB
            110060.98000000
            USD
            2022-04-21
            -23042.29000000
          
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        590000.00000000
        PA
        
        95729.83000000
        0.014939353531
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-05-21
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQC3
        
          
        
        234048.38000000
        PA
        USD
        27239.14000000
        0.004250870834
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAUSCN2022042063870
        000000000
        
          
        
        1773000.00000000
        OU
        Notional Amount
        USD
        3085.02000000
        0.000481440366
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    3085.02000000
                    0.00000000
                    DFE
                    
                    US
                  
                  11324151.00000000
                  CNY
                  1773000.00000000
                  USD
                  2022-04-20
                
              
            
            1.00000000
            6.38700000
            USD
            2022-04-20
            XXXX
            -4991.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -7622.30000000
        -0.00118951673
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            962063.34000000
            ILS
            294575.98000000
            USD
            2022-06-15
            -7622.30000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR216975  IRS BRL R F 11.81400 CCPNDFPREDISWAP / Short: SR216975  IRS BRL P V 01MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        20820000.00000000
        OU
        Notional Amount
        
        12218.43000000
        0.001906777076
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-02
            130799.58000000
            BRL
            0.00000000
            BRL
            20820000.00000000
            BRL
            -10487.88000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        12128.53000000
        0.001892747511
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            51711159.00000000
            JPY
            437773.84000000
            USD
            2022-06-15
            12128.53000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BUQ4
        
          
        
        981946.02000000
        PA
        USD
        146368.28000000
        0.022841861107
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04659A SWAPTION SOFRRATE
        000000000
        
          
        
        -4810000.00000000
        NC
        USD
        -19779.20000000
        -0.00308669159
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    4810000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19779.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4810000.00000000
                  USD
                
              
            
            1.00000000
            1.59400000
            USD
            2022-07-12
            XXXX
            74647.88000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4093.68000000
        0.000638849277
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            264613.13000000
            USD
            212454442.00000000
            CLP
            2022-04-27
            4093.68000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -815.45000000
        -0.00012725705
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            4151005.94000000
            SEK
            441540.01000000
            USD
            2022-06-15
            -815.45000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        Uruguay Government International Bond
        917288BK7
        
          
        
        190000.00000000
        PA
        USD
        206720.00000000
        0.032260196868
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2031-01-23
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRELAND GOVERNMENT BOND
        549300KXBEJAOJ9OVF93
        Ireland Government Bond
        000000000
        
          
        
        430000.00000000
        PA
        
        449462.75000000
        0.070142012384
        Long
        DBT
        NUSS
        IE
        N
        
        2
        
          2030-10-18
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022042132230
        000000000
        
          
        
        -1764000.00000000
        OU
        Notional Amount
        USD
        -6140.48000000
        -0.00095826767
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -6140.48000000
                    0.00000000
                    DFE
                    
                    IL
                  
                  -1764000.00000000
                  USD
                  -5685372.00000000
                  ILS
                  2022-04-21
                
              
            
            1.00000000
            3.22300000
            USD
            2022-04-21
            XXXX
            10298.24000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5297.16000000
        0.000826661302
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            279301.00000000
            USD
            2670632.03000000
            SEK
            2022-06-15
            5297.16000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANNR0
        
          
        
        185886.97000000
        PA
        USD
        197271.07000000
        0.030785620910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022041432700
        000000000
        
          
        
        -1768000.00000000
        OU
        Notional Amount
        USD
        -1106.77000000
        -0.00017271970
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1106.77000000
                    0.00000000
                    DFE
                    
                    IL
                  
                  -1768000.00000000
                  USD
                  -5781360.00000000
                  ILS
                  2022-04-14
                
              
            
            1.00000000
            3.27000000
            USD
            2022-04-14
            XXXX
            19739.72000000
          
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AU2
        
          
        
        1375000.00000000
        PA
        USD
        1340033.75000000
        0.209122255154
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-17
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        450000.00000000
        PA
        
        507305.67000000
        0.079168831205
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2086-11-02
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217580  IRS EUR R V 03MEURIB 1 CCPVANILLA / Short: BR217580  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        10040000.00000000
        OU
        Notional Amount
        
        62017.85000000
        0.009678347766
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            43220.48000000
            EUR
            0.00000000
            EUR
            10040000.00000000
            EUR
            14218.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1613.75000000
        -0.00025183771
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            579584.53000000
            PLN
            122847.99000000
            EUR
            2022-04-25
            -1613.75000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003048  CDS USD R F  3.00000 2 CMBX / Short: CX003048  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        -91437.50000000
        -0.01426950344
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -103656.27000000
            USD
            700000.00000000
            USD
            12218.77000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        19134.72000000
        PA
        USD
        19959.58000000
        0.003114841235
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KRY73
        
          
        
        3653.16000000
        PA
        USD
        3930.90000000
        0.000613446245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        73641.55000000
        PA
        USD
        73979.04000000
        0.011544980623
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
        
        170000.00000000
        PA
        USD
        173736.60000000
        0.027112891443
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAJ0
        
          
        
        750000.00000000
        PA
        USD
        749340.00000000
        0.116940092499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBB3
        
          
        
        1500000.00000000
        PA
        USD
        1551930.00000000
        0.242190244418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        12180000.00000000
        PA
        
        1928436.08000000
        0.300946824638
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2028-10-14
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216977  IRS EUR R F   .00000 CCPVANILLA / Short: SR216977  IRS EUR P V 06MEURIB CCPVANILLA
        000000000
        
          
        
        230000.00000000
        OU
        Notional Amount
        
        -4982.72000000
        -0.00077759059
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            EUR
            -3512.02000000
            EUR
            230000.00000000
            EUR
            -1151.56000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217233  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217233  IRS CAD P F  1.96000 2 CCPVANILLA
        000000000
        
          
        
        5170000.00000000
        OU
        Notional Amount
        
        170095.33000000
        0.026544644118
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-12-18
            70486.08000000
            CAD
            0.00000000
            CAD
            5170000.00000000
            CAD
            114491.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        305000.00000000
        PA
        USD
        308098.80000000
        0.048081114275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3333.35000000
        0.000520194113
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            387450.38000000
            USD
            353193.44000000
            EUR
            2022-04-06
            3333.35000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379M4U5
        
          
        
        126726.74000000
        PA
        USD
        22306.94000000
        0.003481164260
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNC FINANCIAL SERVICES
        CFGNEKW0P8842LEUIA51
        PNC Financial Services Group Inc/The
        693475AV7
        
          
        
        600000.00000000
        PA
        USD
        609246.00000000
        0.095077379553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-23
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217061  IRS SEK R F   .50000 2 CCPVANILLA / Short: SR217061  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        105040000.00000000
        OU
        Notional Amount
        
        -177120.38000000
        -0.02764095553
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            SEK
            -1312393.05000000
            SEK
            105040000.00000000
            SEK
            123437.49000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR211059  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR211059  IRS EUR P F  1.50000 2 CCPVANILLA
        000000000
        
          
        
        5050000.00000000
        OU
        Notional Amount
        
        -60595.19000000
        -0.00945633106
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-06-21
            8322.46000000
            EUR
            0.00000000
            EUR
            5050000.00000000
            EUR
            -1438.58000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        550000.00000000
        PA
        USD
        522626.50000000
        0.081559760926
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -861.31000000
        -0.00013441384
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            350967.83000000
            GBP
            460111.81000000
            USD
            2022-04-25
            -861.31000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AF5
        
          
        
        2800000.00000000
        PA
        USD
        2739436.00000000
        0.427509407260
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-01-12
          Fixed
          3.86900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAM0
        
          
        
        695000.00000000
        PA
        USD
        588074.25000000
        0.091773370154
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2051-11-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
        
        100000.00000000
        PA
        USD
        108300.00000000
        0.016901022256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        3642208.88000000
        0.568393844355
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            7608310945.00000000
            JPY
            66165013.61000000
            USD
            2022-04-22
            3642208.88000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1723.21000000
        0.000268919765
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            175920.76000000
            USD
            140455135.00000000
            CLP
            2022-04-27
            1723.21000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416NFG2
        
          
        
        4316.44000000
        PA
        USD
        4540.90000000
        0.000708641292
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        GGDZP1UYGU9STUHRDP48
        Long: SR216672  IRS KRW R F  1.50000 CCPNDF / Short: SR216672  IRS KRW P V 03MLIBOT CCPNDF
        000000000
        
          
        
        310570000.00000000
        OU
        Notional Amount
        
        -5224.84000000
        -0.00081537522
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              Merrill Lynch International
              GGDZP1UYGU9STUHRDP48
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            KRW
            -4693863.00000000
            KRW
            310570000.00000000
            KRW
            -1297.96000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1539.31000000
        -0.00024022079
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            438000.00000000
            USD
            33469770.00000000
            INR
            2022-06-15
            -1539.31000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        400000.00000000
        PA
        USD
        368044.00000000
        0.057436009560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGEAS
        5493005DJBML6LY3RV36
        Ageas SA/NV
        000000000
        
          
        
        600000.00000000
        PA
        
        599352.84000000
        0.093533478193
        Long
        DBT
        CORP
        BE
        N
        
        2
        
          2051-11-24
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAB2
        
          
        
        318000.00000000
        PA
        USD
        308503.06000000
        0.048144202061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.64900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216987  IRS EUR R F   .50000 2 CCPVANILLA / Short: SR216987  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        620000.00000000
        OU
        Notional Amount
        
        -91661.96000000
        -0.01430453209
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-03-16
            45652.98000000
            EUR
            0.00000000
            EUR
            620000.00000000
            EUR
            -143023.63000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMM1
        
          
        
        431582.60000000
        PA
        USD
        448372.93000000
        0.069971937849
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DU9
        
          
        
        725000.00000000
        PA
        USD
        710543.50000000
        0.110885609489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636ABC4
        
          
        
        1275000.00000000
        PA
        USD
        1285480.50000000
        0.200608813857
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2028-04-01
          Fixed
          4.29800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        47120000.00000000
        OU
        Notional Amount
        USD
        13042.82000000
        0.002035429280
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            15822.89000000
            USD
            0.00000000
            USD
            47120000.00000000
            USD
            -2780.07000000
          
        
        
          N
          N
          N
        
      
      
        SINGAPORE GOVERNMENT
        549300ZSV6VOGFH1ER70
        Singapore Government Bond
        000000000
        
          
        
        2150000.00000000
        PA
        
        1607530.90000000
        0.250867179306
        Long
        DBT
        NUSS
        SG
        N
        
        2
        
          2023-07-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTJPMUSCN2022041363500
        000000000
        
          
        
        -1757000.00000000
        OU
        Notional Amount
        USD
        -2985.14000000
        -0.00046585334
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2985.14000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1757000.00000000
                  USD
                  -11156950.00000000
                  CNY
                  2022-04-13
                
              
            
            1.00000000
            6.35000000
            USD
            2022-04-13
            XXXX
            103.67000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        596200000.00000000
        PA
        
        6188990.88000000
        0.965838158893
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2034-09-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04070A SWAPTION SONIO
        000000000
        
          
        
        16210000.00000000
        NC
        
        4554.84000000
        0.000710816733
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    16210000.00000000
                    OU
                    Notional Amount
                    N/A
                    4554.84000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  16210000.00000000
                  GBP
                
              
            
            1.00000000
            0.54400000
            GBP
            2022-11-16
            XXXX
            -33619.45000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        15028.29000000
        0.002345276673
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            209339553.24000000
            THB
            6318063.39000000
            USD
            2022-06-15
            15028.29000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        600000.00000000
        PA
        
        620559.65000000
        0.096842958967
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-03-12
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBL4
        
          
        
        175000.00000000
        PA
        USD
        162078.00000000
        0.025293480011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-04-15
          Fixed
          3.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITEUPL2022042147230
        000000000
        
          
        
        -526000.00000000
        OU
        Notional Amount
        
        -11720.37000000
        -0.00182905110
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -11720.37000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -526000.00000000
                  EUR
                  -2484298.00000000
                  PLN
                  2022-04-21
                
              
            
            1.00000000
            4.72300000
            EUR
            2022-04-21
            XXXX
            -4881.40000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        499051.72000000
        PA
        USD
        25490.01000000
        0.003977906060
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -11822.89000000
        -0.00184505011
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            399879.12000000
            AUD
            287805.00000000
            USD
            2022-06-15
            -11822.89000000
          
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AV0
        
          
        
        775000.00000000
        PA
        USD
        816842.25000000
        0.127474321766
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-03-12
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANZ SE
        529900K9B0N5BT694847
        Allianz SE
        018820AB6
        
          
        
        800000.00000000
        PA
        USD
        696928.00000000
        0.108760809226
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-10-30
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPJOHN FINANCE BV
        254900OG32E8F3XO5O83
        Upjohn Finance BV
        000000000
        
          
        
        500000.00000000
        PA
        
        497508.17000000
        0.077639858300
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2032-06-23
          Fixed
          1.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA HOLDINGS INC
        549300B3CEAHYG7K8164
        Nomura Holdings Inc
        65535HAX7
        
          
        
        400000.00000000
        PA
        USD
        359240.00000000
        0.056062079736
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2031-07-14
          Fixed
          2.60800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300TRQQDPEF728F16
        Wells Fargo Commercial Mortgage Trust 2016-C37
        95000PAX2
        
          
        
        250000.00000000
        PA
        USD
        213377.99000000
        0.033299225836
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Variable
          3.19200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        00084DAU4
        
          
        
        1200000.00000000
        PA
        USD
        1099848.00000000
        0.171639478548
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-06-16
          Fixed
          1.54200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003007  CDS USD R F  3.00000 2 CMBX / Short: CX003007  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        550000.00000000
        OU
        Notional Amount
        USD
        -43914.09000000
        -0.00685312107
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -81875.83000000
            USD
            550000.00000000
            USD
            37961.74000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QCY9
        
          
        
        188023.07000000
        PA
        USD
        29702.83000000
        0.004635348023
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412MRD2
        
          
        
        6652.00000000
        PA
        USD
        7069.32000000
        0.001103220079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        524748.11000000
        0.081890853981
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1162960444.00000000
            JPY
            10089808.81000000
            USD
            2022-05-23
            524748.11000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        752.76000000
        0.000117473808
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            216775.65000000
            EUR
            1013903.07000000
            PLN
            2022-04-25
            752.76000000
          
        
        
          N
          N
          N
        
      
      
        SMURFIT KAPPA ACQUISITIO
        6354002XN4LUSDRPTR29
        Smurfit Kappa Acquisitions ULC
        000000000
        
          
        
        185000.00000000
        PA
        
        213902.57000000
        0.033381090455
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELIANCE INDUSTRIES LTD
        5493003UOETFYRONLG31
        Reliance Industries Ltd
        759470BD8
        
          
        
        250000.00000000
        PA
        USD
        221191.25000000
        0.034518543298
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2052-01-12
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2022-BNK40
        06541LBG0
        
          
        
        1150000.00000000
        PA
        USD
        1156818.81000000
        0.180530198103
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-03-15
          Variable
          3.50700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        JPMorgan Chase Bank NA
        000000000
        
          
        
        15414000000.00000000
        PA
        
        1101651.59000000
        0.171920942211
        Long
        SN
        CORP
        US
        N
        
        2
        
          2035-06-17
          Variable
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
        
        1350000.00000000
        PA
        USD
        1340631.00000000
        0.209215460468
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN MEDICAL SYST EU
        549300AA2JE6ZQ5D2493
        American Medical Systems Europe BV
        000000000
        
          
        
        1325000.00000000
        PA
        
        1449320.21000000
        0.226177221846
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-03-08
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        6568.40000000
        0.001025047780
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            414276.61000000
            EUR
            4375009.57000000
            SEK
            2022-06-15
            6568.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        10207.51000000
        0.001592958021
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3031608.00000000
            EUR
            3367649.62000000
            USD
            2022-05-05
            10207.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        3023.15000000
        0.000471785091
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2315413.84000000
            ILS
            728842.51000000
            USD
            2022-04-21
            3023.15000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ECUR2
        
          
        
        3398.00000000
        PA
        USD
        3614.93000000
        0.000564136771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        34350.09000000
        0.005360587586
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            145102280.00000000
            JPY
            1228717.15000000
            USD
            2022-06-15
            34350.09000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -901.00000000
        -0.00014060776
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            537967031.00000000
            KRW
            441644.39000000
            USD
            2022-06-15
            -901.00000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAP5
        
          
        
        360000.00000000
        PA
        USD
        286200.00000000
        0.044663643303
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2071-04-19
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2985.02000000
        0.000465834621
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            829915.65000000
            USD
            5300671.26000000
            CNY
            2022-04-22
            2985.02000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        15555.77000000
        PA
        USD
        15627.06000000
        0.002438719195
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        24.00000000
        NC
        USD
        -61190.81000000
        -0.00954928201
        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
            4300190.81000000
            USD
            -61190.81000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296XES0
        
          
        
        577.72000000
        PA
        USD
        621.64000000
        0.000097011555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217088  IRS NZD R F  2.75000 2 CCPVANILLA / Short: SR217088  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        9840000.00000000
        OU
        Notional Amount
        
        -197520.56000000
        -0.03082455568
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            NZD
            -13128.42000000
            NZD
            9840000.00000000
            NZD
            -157434.77000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN TREASURY DISC BILL
        353800WZS8AXZXFUC241
        Japan Treasury Discount Bill
        000000000
        
          
        
        3204400000.00000000
        PA
        
        26326670.25000000
        4.108473128670
        Long
        STIV
        NUSS
        JP
        N
        
        1
        
          2022-06-13
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITGBUS2022042113050
        000000000
        
          
        
        5299000.00000000
        OU
        Notional Amount
        
        34798.18000000
        0.005430515370
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    34798.18000000
                    0.01000000
                    DFE
                    
                    GB
                  
                  6915195.00000000
                  USD
                  5299000.00000000
                  GBP
                  2022-04-21
                
              
            
            1.00000000
            1.30500000
            GBP
            2022-04-21
            XXXX
            4709.83000000
          
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABZ9
        
          
        
        2425000.00000000
        PA
        USD
        2211454.50000000
        0.345113958668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-17
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003003  CDS USD R F  3.00000 2 CMBX / Short: CX003003  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1800000.00000000
        OU
        Notional Amount
        USD
        -143718.84000000
        -0.02242839624
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -379785.42000000
            USD
            1800000.00000000
            USD
            236066.58000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03895A SWAPTION SONIO SEP22 0.300 CALL
        000000000
        
          
        
        19020000.00000000
        NC
        
        1938.88000000
        0.000302576676
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    19020000.00000000
                    OU
                    Notional Amount
                    N/A
                    1938.88000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19020000.00000000
                  GBP
                
              
            
            1.00000000
            0.30000000
            GBP
            2022-09-08
            XXXX
            -35079.75000000
          
        
        
          N
          N
          N
        
      
      
        ASIAN DEVELOPMENT BANK
        549300X0MVH42CY8Q105
        Asian Development Bank
        000000000
        
          
        
        4200000.00000000
        PA
        
        5404885.20000000
        0.843472622890
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2025-06-10
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQHG1
        
          
        
        15110.19000000
        PA
        USD
        15169.99000000
        0.002367390014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        2075000.00000000
        PA
        
        2804006.28000000
        0.437586080754
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2026-07-30
          Fixed
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -44993.77000000
        -0.00702161318
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2245091.46000000
            CAD
            1750516.33000000
            USD
            2022-06-15
            -44993.77000000
          
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        000000000
        
          
        
        375000.00000000
        PA
        
        387596.73000000
        0.060487358820
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-11-17
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAL7
        
          
        
        1300000.00000000
        PA
        USD
        1307319.00000000
        0.204016874564
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          4.27900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON NATIONAL BANK
        2WHM8VNJH63UN14OL754
        Huntington National Bank/The
        44644MAA9
        
          
        
        300000.00000000
        PA
        USD
        299271.00000000
        0.046703470283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-03
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAM7
        
          
        
        1000000.00000000
        PA
        USD
        922220.00000000
        0.143919305128
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-08-21
          Fixed
          1.53200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297CWV8
        
          
        
        33005.25000000
        PA
        USD
        35302.68000000
        0.005509246356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAB9
        
          
        
        365000.00000000
        PA
        USD
        355398.71000000
        0.055462617799
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR217314  IRS CNY R F  2.25000 CCPVANILLA / Short: SR217314  IRS CNY P V 03MCNRR CCPVANILLA
        000000000
        
          
        
        10320000.00000000
        OU
        Notional Amount
        
        -15945.62000000
        -0.00248843285
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-06-15
            0.00000000
            CNY
            -50628.64000000
            CNY
            10320000.00000000
            CNY
            -7964.47000000
          
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        575000.00000000
        PA
        
        568216.06000000
        0.088674351584
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2031-02-24
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -2844.60000000
        -0.00044392103
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            631426.00000000
            ILS
            195080.25000000
            USD
            2022-04-18
            -2844.60000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
        
        560000.00000000
        PA
        USD
        561400.00000000
        0.087610654615
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE JUN22
        000000000
        
          
        
        34.00000000
        NC
        
        -35097.90000000
        -0.00547728891
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            4415346.92000000
            EUR
            -35097.90000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAX3
        
          
        
        325000.00000000
        PA
        USD
        293767.50000000
        0.045844608086
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2032-01-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXT6
        
          
        
        500822.78000000
        PA
        USD
        58185.19000000
        0.009080232605
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -1583.95000000
        -0.00024718720
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            123994.75000000
            CHF
            133048.00000000
            USD
            2022-06-15
            -1583.95000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BZ7
        
          
        
        80000.00000000
        PA
        USD
        68368.00000000
        0.010669336007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        236923.65000000
        PA
        
        311335.81000000
        0.048586273814
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.95200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAR6
        
          
        
        1150000.00000000
        PA
        USD
        1097318.50000000
        0.171244731218
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04857A SWAPTION EUR006M
        000000000
        
          
        
        -3230000.00000000
        NC
        
        -33480.41000000
        -0.00522486753
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3230000.00000000
                    OU
                    Notional Amount
                    N/A
                    -33480.41000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3230000.00000000
                  EUR
                
              
            
            1.00000000
            1.22600000
            EUR
            2022-05-03
            XXXX
            2631.92000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        710000.00000000
        PA
        
        1505718.05000000
        0.234978525162
        Long
        DBT
        NUSS
        GB
        N
        
        1
        
          2068-07-22
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003067  CDS EUR R F  1.00000 2 CCPCDX / Short: SX003067  CDS EUR P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        37115000.00000000
        OU
        Notional Amount
        
        658265.65000000
        0.102727261323
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S36
                2I666VCZ6
              
            
            Y
            
            sell protection
            2026-12-20
            442177.57000000
            EUR
            0.00000000
            EUR
            37115000.00000000
            EUR
            164920.67000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGZ6
        
          
        
        2900000.00000000
        PA
        USD
        2899594.00000000
        0.452503256960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-23
          Fixed
          3.36600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -161.31000000
        -0.00002517362
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            482893.02000000
            USD
            1832902549.22000000
            COP
            2022-05-16
            -161.31000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -16247.44000000
        -0.00253553411
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            4916346.42000000
            SGD
            3610977.91000000
            USD
            2022-04-06
            -16247.44000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBVK5
        
          
        
        196908.91000000
        PA
        USD
        36700.65000000
        0.005727409995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        2980000.00000000
        PA
        
        5155275.75000000
        0.804519207656
        Long
        DBT
        NUSS
        GB
        N
        
        1
        
          2045-01-22
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUNDESSCHATZANWEISUNGEN
        529900AQBND3S6YJLY83
        Bundesschatzanweisungen
        000000000
        
          
        
        6470000.00000000
        PA
        
        7181556.49000000
        1.120735420811
        Long
        DBT
        NUSS
        DE
        N
        
        1
        
          2023-12-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        000000000
        
          
        
        975000.00000000
        PA
        
        1000470.99000000
        0.156130955392
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2031-08-11
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBW0
        
          
        
        3760000.00000000
        PA
        USD
        3502381.27000000
        0.546572703555
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-04-30
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BTP FUTURE JUN22
        000000000
        
          
        
        20.00000000
        NC
        
        -133311.50000000
        -0.02080425326
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-BTP Italian Bond Futures
                IKM2 COMDTY
              
            
            2022-06-08
            2890907.60000000
            EUR
            -133311.50000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -5677.84000000
        -0.00088606925
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1532381.82000000
            ILS
            474722.91000000
            USD
            2022-04-26
            -5677.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        46607.37000000
        0.007273427494
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            828527.13000000
            USD
            12800744.16000000
            ZAR
            2022-04-08
            46607.37000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (10 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Ten Year Bond
        000000000
        
          
        
        698400000.00000000
        PA
        
        5677497.49000000
        0.886015802767
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2031-12-20
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        19547.04000000
        0.003050461293
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            437713.50000000
            USD
            9220898.85000000
            MXN
            2022-06-15
            19547.04000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BQ6
        
          
        
        900000.00000000
        PA
        USD
        922113.00000000
        0.143902606980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAA6
        
          
        
        210000.00000000
        PA
        USD
        185062.50000000
        0.028880382560
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217001  IRS GBP R F   .25000 2 CCPOIS / Short: SR217001  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        5050000.00000000
        OU
        Notional Amount
        
        -220576.19000000
        -0.03442255860
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            GBP
            -164203.32000000
            GBP
            5050000.00000000
            GBP
            113066.15000000
          
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MBL9
        
          
        
        550000.00000000
        PA
        
        593621.92000000
        0.092639125409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-03
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217064  IRS SEK R F   .75000 2 CCPVANILLA / Short: SR217064  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        102510000.00000000
        OU
        Notional Amount
        
        -542051.17000000
        -0.08459112546
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            SEK
            -1064369.55000000
            SEK
            102510000.00000000
            SEK
            -317284.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -3260.27000000
        -0.00050878943
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2364903.64000000
            GBP
            3102507.63000000
            USD
            2022-06-15
            -3260.27000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3605.44000000
        0.000562655786
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1808213.77000000
            USD
            2455742.35000000
            SGD
            2022-04-06
            3605.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        16331.40000000
        0.002548636702
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1564590.47000000
            USD
            1428849.74000000
            EUR
            2022-04-06
            16331.40000000
          
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AK1
        
          
        
        250000.00000000
        PA
        USD
        222800.00000000
        0.034769600727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        17688.91000000
        PA
        USD
        17758.92000000
        0.002771411839
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -1327.50000000
        -0.00020716627
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            33969078.26000000
            INR
            441644.39000000
            USD
            2022-06-15
            -1327.50000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        14387.77000000
        0.002245318753
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            443583.66000000
            USD
            9235234.37000000
            MXN
            2022-06-15
            14387.77000000
          
        
        
          N
          N
          N
        
      
      
        WPC EUROBOND BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
        
        1775000.00000000
        PA
        
        1857775.28000000
        0.289919680100
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2028-04-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CE4
        
          
        
        200000.00000000
        PA
        USD
        205272.00000000
        0.032034225675
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2048-01-11
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217055  IRS CHF R F   .00000 CCPVANILLA / Short: SR217055  IRS CHF P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        10970000.00000000
        OU
        Notional Amount
        
        -712771.62000000
        -0.11123332422
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CHF
            -347872.19000000
            CHF
            10970000.00000000
            CHF
            -339056.83000000
          
        
        
          N
          N
          N
        
      
      
        BP Capital Markets PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        05565QCP1
        
          
        
        250000.00000000
        PA
        USD
        255040.00000000
        0.039800893040
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-02-10
          Fixed
          3.81400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216980  IRS EUR R F   .00000 CCPVANILLA / Short: SR216980  IRS EUR P V 06MEURIB CCPVANILLA
        000000000
        
          
        
        9140000.00000000
        OU
        Notional Amount
        
        -601655.28000000
        -0.09389279111
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            EUR
            -213418.38000000
            EUR
            9140000.00000000
            EUR
            -315364.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        2584.82000000
        0.000403380427
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            131784511.18000000
            INR
            1734791.95000000
            USD
            2022-04-13
            2584.82000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040111000
        000000000
        
          
        
        3192000.00000000
        OU
        Notional Amount
        
        1239.43000000
        0.000193422290
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1239.43000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  3511200.00000000
                  USD
                  3192000.00000000
                  EUR
                  2022-04-01
                
              
            
            1.00000000
            1.10000000
            EUR
            2022-04-01
            XXXX
            -21345.07000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        -96.00000000
        NC
        USD
        216534.80000000
        0.033791869567
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            -20548284.75000000
            USD
            216534.80000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR217040  IRS JPY R F   .00000 CCPVANILLA / Short: SR217040  IRS JPY P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        35570000.00000000
        OU
        Notional Amount
        
        -1487.14000000
        -0.00023207928
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            JPY
            -310251.00000000
            JPY
            35570000.00000000
            JPY
            1037.76000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        3400000.00000000
        PA
        USD
        3520598.00000000
        0.549415560057
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAX6
        
          
        
        1500000.00000000
        PA
        USD
        1509960.00000000
        0.235640513078
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PTBOAUSCN2022042063300
        000000000
        
          
        
        -1773000.00000000
        OU
        Notional Amount
        USD
        -2051.36000000
        -0.00032013001
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2051.36000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1773000.00000000
                  USD
                  -11223090.00000000
                  CNY
                  2022-04-20
                
              
            
            1.00000000
            6.33000000
            USD
            2022-04-20
            XXXX
            705.66000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216981  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR216981  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        1920000.00000000
        OU
        Notional Amount
        
        152900.36000000
        0.023861240880
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-03-16
            0.00000000
            EUR
            -807.03000000
            EUR
            1920000.00000000
            EUR
            153813.91000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        19000000.00000000
        PA
        
        3013502.16000000
        0.470279474387
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-06-04
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        635400C39IXGGYE6DH05
        Apidos CLO XXIII
        03765YAU8
        
          
        
        2100000.00000000
        PA
        USD
        2086822.50000000
        0.325664206074
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.46100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        000000000
        
          
        
        625000.00000000
        PA
        
        643574.62000000
        0.100434616586
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-05-10
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216674  IRS KRW R F  1.50000 CCPNDF / Short: SR216674  IRS KRW P V 03MKWCDC CCPNDF
        000000000
        
          
        
        723730000.00000000
        OU
        Notional Amount
        
        -62621.14000000
        -0.00977249566
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            KRW
            -41182442.00000000
            KRW
            723730000.00000000
            KRW
            -27934.29000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        800000.00000000
        PA
        
        960640.74000000
        0.149915147989
        Long
        DBT
        NUSS
        FR
        N
        
        1
        
          2066-05-25
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4197.41000000
        -0.00065503711
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            890300.41000000
            USD
            798618.95000000
            EUR
            2022-06-15
            -4197.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5235.69000000
        0.000817068450
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            414198.12000000
            CHF
            410048.43000000
            EUR
            2022-06-15
            5235.69000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216992  IRS EUR R F   .00000 CCPVANILLA / Short: SR216992  IRS EUR P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        2960000.00000000
        OU
        Notional Amount
        
        -155184.41000000
        -0.02421768390
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            EUR
            -17765.54000000
            EUR
            2960000.00000000
            EUR
            -135085.51000000
          
        
        
          N
          N
          N
        
      
      
        Commerzbank AG
        851WYGNLUQLFZBSYGB56
        Commerzbank AG
        000000000
        
          
        
        550000.00000000
        PA
        
        630225.51000000
        0.098351388468
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-03-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        10700000.00000000
        PA
        
        1714255.49000000
        0.267522347089
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-09-20
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3381.83000000
        -0.00052775977
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            923234.52000000
            USD
            700258.81000000
            GBP
            2022-04-05
            -3381.83000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        1700000.00000000
        PA
        
        2910586.26000000
        0.454218681068
        Long
        DBT
        NUSS
        FR
        N
        
        1
        
          2041-04-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AT4
        
          
        
        150000.00000000
        PA
        USD
        139212.00000000
        0.021725070271
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        62251.66000000
        PA
        USD
        62536.95000000
        0.009759357191
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EW52
        
          
        
        611563.90000000
        PA
        USD
        70499.37000000
        0.011001952183
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217647  IRS CAD R F  2.50000 2 CCPVANILLA / Short: SR217647  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        16250000.00000000
        OU
        Notional Amount
        
        -52278.43000000
        -0.00815843867
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-22
            0.00000000
            CAD
            -17520.52000000
            CAD
            16250000.00000000
            CAD
            -38339.13000000
          
        
        
          N
          N
          N
        
      
      
        MOODY'S CORPORATION
        549300GCEDD8YCF5WU84
        Moody's Corp
        615369AX3
        
          
        
        710000.00000000
        PA
        USD
        594170.60000000
        0.092724751013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-11-29
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
        
        300000.00000000
        PA
        USD
        299064.00000000
        0.046671166390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        000000000
        
          
        
        165000.00000000
        PA
        
        188209.76000000
        0.029371535943
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-09-11
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        540000.00000000
        PA
        USD
        512325.00000000
        0.079952135065
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
        
        26160000.00000000
        PA
        
        0.00000000
        0.000000
        Long
        DBT
        NUSS
        RU
        N
        
        3
        
          2028-01-19
          Fixed
          7.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -176815.91000000
        -0.02759344072
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3403634.90000000
            USD
            392007523.00000000
            JPY
            2022-06-16
            -176815.91000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
        
        750000.00000000
        PA
        USD
        833310.00000000
        0.130044236902
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAF6
        
          
        
        1400000.00000000
        PA
        USD
        1351994.00000000
        0.210988741317
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-05-28
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF AUSTRIA
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        280000.00000000
        PA
        
        200017.92000000
        0.031214287327
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2120-06-30
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217577  IRS MXN R V 01MTIIE 1 CCPVANILLA / Short: BR217577  IRS MXN P F  8.70000 2 CCPVANILLA
        000000000
        
          
        
        91650000.00000000
        OU
        Notional Amount
        
        3558.64000000
        0.000555352297
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-12
            504.08000000
            MXN
            0.00000000
            MXN
            91650000.00000000
            MXN
            3534.58000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217108  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217108  IRS USD P F  1.75000 2 CCPOIS
        000000000
        
          
        
        710000.00000000
        OU
        Notional Amount
        USD
        36853.05000000
        0.005751193151
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-03-16
            0.00000000
            USD
            -65258.84000000
            USD
            710000.00000000
            USD
            102111.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        3137.33000000
        0.000489603731
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            131784511.18000000
            INR
            1739320.81000000
            USD
            2022-04-04
            3137.33000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJQ6
        
          
        
        600000.00000000
        PA
        
        610278.17000000
        0.095238457376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-09-14
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        26490000.00000000
        PA
        
        4264927.72000000
        0.665573761016
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-08-13
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P7
        17325HAA2
        
          
        
        200000.00000000
        PA
        USD
        156612.31000000
        0.024440518346
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        190.00000000
        PA
        USD
        203.23000000
        0.000031715556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04066A SWAPTION SONIO
        000000000
        
          
        
        17810000.00000000
        NC
        
        4744.73000000
        0.000740450483
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    17810000.00000000
                    OU
                    Notional Amount
                    N/A
                    4744.73000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  17810000.00000000
                  GBP
                
              
            
            1.00000000
            0.51600000
            GBP
            2022-11-15
            XXXX
            -37077.37000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DVLL7
        
          
        
        3003494.72000000
        PA
        USD
        2961882.50000000
        0.462223841677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBB0
        
          
        
        50000.00000000
        PA
        USD
        48656.50000000
        0.007593209505
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-08-15
          Fixed
          3.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13696.58000000
        -0.00213745340
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            26967873.10000000
            USD
            3274506571.00000000
            JPY
            2022-06-16
            -13696.58000000
          
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887CN7
        
          
        
        185000.00000000
        PA
        
        196846.52000000
        0.030719366718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-13
          Fixed
          0.03400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        1000000.00000000
        PA
        USD
        989560.00000000
        0.154428214073
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -24667.47000000
        -0.00384954256
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            10694535.39000000
            CZK
            410617.60000000
            EUR
            2022-06-15
            -24667.47000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040110830
        000000000
        
          
        
        -4788000.00000000
        OU
        Notional Amount
        
        -5.30000000
        -0.00000082710
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -5.30000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -4788000.00000000
                  EUR
                  -5185404.00000000
                  USD
                  2022-04-01
                
              
            
            1.00000000
            1.08300000
            EUR
            2022-04-01
            XXXX
            12431.87000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        650000.00000000
        PA
        
        732005.46000000
        0.114234908322
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2023-06-14
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        148150.07000000
        0.023119922718
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3204992814.00000000
            JPY
            26527093.40000000
            USD
            2022-06-13
            148150.07000000
          
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAQ1
        
          
        
        675000.00000000
        PA
        USD
        555390.00000000
        0.086672749317
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2041-07-12
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        370000.00000000
        PA
        USD
        370925.00000000
        0.057885611084
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-11-19
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        7420000.00000000
        PA
        
        1225138.26000000
        0.191191957521
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-04-10
          Fixed
          4.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005913  CDS EUR R F  1.00000 2 CCPCORPORATE / Short: SS005913  CDS EUR P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1200000.00000000
        OU
        Notional Amount
        
        11678.55000000
        0.001822524778
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                UNIBAIL-RODAMCO SE
                UNIBAIL-RODAMCO SE
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            10138.50000000
            EUR
            0.00000000
            EUR
            1200000.00000000
            EUR
            1056.09000000
          
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DF9
        
          
        
        250000.00000000
        PA
        USD
        292500.00000000
        0.045646805263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        SWAPTION USD OPS04800A
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -145698.84000000
        -0.02273739000
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -145698.84000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3800000.00000000
                  USD
                
              
            
            1.00000000
            1.69000000
            USD
            2022-04-04
            XXXX
            -100041.84000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBU8
        
          
        
        1025000.00000000
        PA
        USD
        953321.75000000
        0.148772965044
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-11-24
          Fixed
          2.27900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        1450000.00000000
        PA
        USD
        1445563.00000000
        0.225590881220
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        1219.39000000
        0.000190294898
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            27489437.52000000
            INR
            363376.57000000
            USD
            2022-04-04
            1219.39000000
          
        
        
          N
          N
          N
        
      
      
        LOGICOR FINANCING SARL
        254900IS16Q1A2TQFN22
        Logicor Financing Sarl
        000000000
        
          
        
        600000.00000000
        PA
        
        672179.48000000
        0.104898618207
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2025-05-13
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04832A SWAPTION SOFRRATE
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -16193.32000000
        -0.00252708828
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -16193.32000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3800000.00000000
                  USD
                
              
            
            1.00000000
            2.01000000
            USD
            2022-04-19
            XXXX
            20951.68000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        529900FZRK8FGMPEOM08
        European Union
        000000000
        
          
        
        820000.00000000
        PA
        
        786685.84000000
        0.122768189203
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2036-06-04
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMEREN CORP
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AH5
        
          
        
        150000.00000000
        PA
        USD
        147763.50000000
        0.023059595588
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217418  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR217418  IRS PLN P F  4.75000 2 CCPVANILLA
        000000000
        
          
        
        27874752.00000000
        OU
        Notional Amount
        
        138077.13000000
        0.021547965348
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            642781.87000000
            PLN
            0.00000000
            PLN
            27874752.00000000
            PLN
            -12932.46000000
          
        
        
          N
          N
          N
        
      
      
        Aviva PLC
        YF0Y5B0IB8SM0ZFG9G81
        Aviva PLC
        000000000
        
          
        
        450000.00000000
        PA
        
        652757.09000000
        0.101867609475
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2036-11-14
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8644.90000000
        -0.00134910108
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            397983.42000000
            EUR
            3813317.94000000
            NOK
            2022-06-15
            -8644.90000000
          
        
        
          N
          N
          N
        
      
      
        THAILAND GOVERNMENT BOND
        254900PHJ6MSKT6C7026
        Thailand Government Bond
        000000000
        
          
        
        76900000.00000000
        PA
        
        2376857.58000000
        0.370926342198
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2023-12-17
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780BT2
        
          
        
        200000.00000000
        PA
        USD
        206475.00000000
        0.032221962792
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-01-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -6614.34000000
        -0.00103221705
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            409705.01000000
            EUR
            447971.46000000
            USD
            2022-06-15
            -6614.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        46086.05000000
        0.007192071622
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1792398.90000000
            USD
            2298826.87000000
            CAD
            2022-06-15
            46086.05000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -15989.27000000
        -0.00249524476
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            924015.93000000
            BRL
            177849.28000000
            USD
            2022-04-04
            -15989.27000000
          
        
        
          N
          N
          N
        
      
      
        LA MONDIALE
        969500L0T16HX3R78P61
        La Mondiale SAM
        000000000
        
          
        
        600000.00000000
        PA
        
        617028.50000000
        0.096291896688
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2031-06-23
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
        
        650000.00000000
        PA
        USD
        665801.50000000
        0.103903286887
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6296.06000000
        0.000982547093
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            176401.21000000
            USD
            2695922.05000000
            ZAR
            2022-06-15
            6296.06000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216871  IRS BRL R F 11.23000 20270104 IRS REC F L / Short: SR216871  IRS BRL P V 01MCETIP 20270104 IRS PAY V S
        000000000
        
          
        
        960000.00000000
        OU
        Notional Amount
        
        1658.35000000
        0.000258797878
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            BRL
            -15294.55000000
            BRL
            960000.00000000
            BRL
            9463.16000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217613  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217613  IRS USD P F  2.50000 2 CCPOIS
        000000000
        
          
        
        6480000.00000000
        OU
        Notional Amount
        USD
        22382.57000000
        0.003492966885
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-14
            12819.71000000
            USD
            0.00000000
            USD
            6480000.00000000
            USD
            9562.86000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217648  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217648  IRS USD P F  2.00000 2 CCPOIS
        000000000
        
          
        
        9890000.00000000
        OU
        Notional Amount
        USD
        47030.91000000
        0.007339524068
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-24
            26770.03000000
            USD
            0.00000000
            USD
            9890000.00000000
            USD
            20260.88000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1129.02000000
        0.000176191986
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            388534.75000000
            USD
            528150.83000000
            SGD
            2022-04-06
            1129.02000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BS3
        
          
        
        225000.00000000
        PA
        USD
        186131.25000000
        0.029047168964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        12660.29000000
        0.001975732622
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2003727.88000000
            SGD
            1490858.97000000
            USD
            2022-04-29
            12660.29000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TYF0
        
          
        
        140625.74000000
        PA
        USD
        20813.65000000
        0.003248125225
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296UXF3
        
          
        
        447.40000000
        PA
        USD
        481.41000000
        0.000075127618
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAB0
        
          
        
        200000.00000000
        PA
        USD
        175500.00000000
        0.027388083158
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOLCIM FINANCE LUX SA
        529900XU3Z9D2HLBR716
        Holcim Finance Luxembourg SA
        000000000
        
          
        
        205000.00000000
        PA
        
        215934.26000000
        0.033698150823
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-11-29
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3477.36000000
        -0.00054266794
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            403211.36000000
            EUR
            443903.45000000
            USD
            2022-06-15
            -3477.36000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0LJ6
        
          
        
        459361.38000000
        PA
        USD
        474568.03000000
        0.074059878460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-25
          Floating
          4.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVA93
        
          
        
        1115549.28000000
        PA
        USD
        205903.29000000
        0.032132743185
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAILAND GOVERNMENT BOND
        254900PHJ6MSKT6C7026
        Thailand Government Bond
        000000000
        
          
        
        9080000.00000000
        PA
        
        232047.82000000
        0.036212791970
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2035-12-17
          Fixed
          1.58500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300AZL7IWJJ04HD37
        Venture 36 Clo Ltd
        92332LAF6
        
          
        
        900000.00000000
        PA
        USD
        900282.60000000
        0.140495810339
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-20
          Floating
          4.40400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AFG8
        
          
        
        4360.76000000
        PA
        USD
        4628.00000000
        0.000722233896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        1110000.00000000
        PA
        
        1607099.69000000
        0.250799885772
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2066-07-30
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3144.60000000
        -0.00049073826
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            437713.50000000
            USD
            12400423.46000000
            TWD
            2022-06-15
            -3144.60000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005871  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005871  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        20000.00000000
        OU
        Notional Amount
        USD
        301.45000000
        0.000047043519
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -20.20000000
            USD
            20000.00000000
            USD
            321.65000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
        
        100000.00000000
        PA
        USD
        81995.00000000
        0.012795930931
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9132.83000000
        0.001425246196
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            292732.61000000
            USD
            4454394.41000000
            ZAR
            2022-06-15
            9132.83000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1982.54000000
        0.000309390144
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            175527.98000000
            USD
            2602167.20000000
            ZAR
            2022-04-25
            1982.54000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BD2
        
          
        
        200000.00000000
        PA
        USD
        201984.00000000
        0.031521108766
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -228967.60000000
        -0.03573210067
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            7585197.71000000
            USD
            6642320.34000000
            EUR
            2022-05-05
            -228967.60000000
          
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAT7
        
          
        
        150000.00000000
        PA
        USD
        166582.50000000
        0.025996440812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        400000.00000000
        PA
        
        437176.63000000
        0.068224671778
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-03-22
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12766.89000000
        -0.00199236834
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            899761.22000000
            USD
            1077871653.00000000
            KRW
            2022-04-11
            -12766.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        368.47000000
        0.000057502490
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            188949.13000000
            NZD
            131227.63000000
            USD
            2022-05-12
            368.47000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2391.29000000
        -0.00037317862
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            400581.49000000
            EUR
            589982.43000000
            AUD
            2022-06-15
            -2391.29000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -650.56000000
        -0.00010152473
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            398799.77000000
            EUR
            3891710.69000000
            NOK
            2022-06-15
            -650.56000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03950A SWAPTION SONIO
        000000000
        
          
        
        16090000.00000000
        NC
        
        2857.67000000
        0.000445960704
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    16090000.00000000
                    OU
                    Notional Amount
                    N/A
                    2857.67000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  16090000.00000000
                  GBP
                
              
            
            1.00000000
            0.45900000
            GBP
            2022-10-10
            XXXX
            -32315.23000000
          
        
        
          N
          N
          N
        
      
      
        JAB HOLDINGS BV
        529900RRNKUM3INJGF98
        JAB Holdings BV
        000000000
        
          
        
        2700000.00000000
        PA
        
        2820296.36000000
        0.440128269162
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-12-20
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        931.90000000
        0.000145429941
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            169800.00000000
            USD
            153875.71000000
            EUR
            2022-06-15
            931.90000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        309818.10000000
        PA
        USD
        42011.83000000
        0.006556259223
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -130511.98000000
        -0.02036736730
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2594993.95000000
            USD
            299407080.00000000
            JPY
            2022-06-15
            -130511.98000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215745  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215745  IRS BRL P F  5.80000 CCPNDFPREDISWAP
        000000000
        
          
        
        16560000.00000000
        OU
        Notional Amount
        
        166323.75000000
        0.025956060946
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-01-02
            40650.50000000
            BRL
            0.00000000
            BRL
            16560000.00000000
            BRL
            159241.71000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust 2021-LTV2
        46654VAA1
        
          
        
        1272727.27000000
        PA
        USD
        1173921.38000000
        0.183199181632
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JG3
        
          
        
        250000.00000000
        PA
        USD
        215110.00000000
        0.033569518906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7145.09000000
        0.001115044553
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            795342.52000000
            USD
            5106098.98000000
            CNY
            2022-04-19
            7145.09000000
          
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CE7
        
          
        
        250000.00000000
        PA
        USD
        243302.50000000
        0.037969168675
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -20746.73000000
        -0.00323768186
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            4460458.44000000
            SEK
            409705.01000000
            EUR
            2022-06-15
            -20746.73000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FW6P0
        
          
        
        212025.35000000
        PA
        USD
        39609.11000000
        0.006181296857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAD1
        
          
        
        800000.00000000
        PA
        USD
        792624.00000000
        0.123694883333
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-06-27
          Fixed
          2.70600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        115000.00000000
        PA
        
        126043.22000000
        0.019669983993
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-05-13
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV SA/
        5493008H3828EMEXB082
        Anheuser-Busch InBev SA/NV
        000000000
        
          
        
        415000.00000000
        PA
        
        490633.38000000
        0.076566996077
        Long
        DBT
        CORP
        BE
        N
        
        2
        
          2026-03-31
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962GXZ2
        
          
        
        300000.00000000
        PA
        USD
        377964.00000000
        0.058984099502
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        310000.00000000
        PA
        
        474814.01000000
        0.074098265472
        Long
        DBT
        NUSS
        FR
        N
        
        1
        
          2045-05-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEL5
        
          
        
        550000.00000000
        PA
        USD
        515361.00000000
        0.080425925495
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-21
          Fixed
          2.94300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217085  IRS NZD R F  2.75000 2 CCPVANILLA / Short: SR217085  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        34150000.00000000
        OU
        Notional Amount
        
        -240416.12000000
        -0.03751872756
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            108968.41000000
            NZD
            0.00000000
            NZD
            34150000.00000000
            NZD
            -312996.31000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        512895.95000000
        PA
        USD
        534389.06000000
        0.083395396091
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217406  IRS ZAR R V 03MJIBAR 1 CCPVANILLA / Short: BR217406  IRS ZAR P F  6.10000 2 CCPVANILLA
        000000000
        
          
        
        86142607.00000000
        OU
        Notional Amount
        
        22304.23000000
        0.003480741344
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            402419.61000000
            ZAR
            0.00000000
            ZAR
            86142607.00000000
            ZAR
            -4595.12000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        256.29000000
        0.000039995964
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            24622.73000000
            USD
            79359.06000000
            ILS
            2022-04-26
            256.29000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK15
        06036FAJ0
        
          
        
        290000.00000000
        PA
        USD
        228055.25000000
        0.035589721661
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAJ7
        
          
        
        2100000.00000000
        PA
        USD
        2080890.00000000
        0.324738395229
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.30100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        291000000.00000000
        PA
        
        2271468.46000000
        0.354479584463
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2051-12-20
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        152.21000000
        0.000023753505
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            175671.64000000
            USD
            1649908.04000000
            SEK
            2022-06-15
            152.21000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002829  CDS USD R F  1.00000 2I65BYDN2 / Short: SX002829  CDS USD P V 03MEVENT 2I65BYDN2
        000000000
        
          
        
        22525000.00000000
        OU
        Notional Amount
        USD
        39247.56000000
        0.006124874285
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S28
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            35770.15000000
            USD
            0.00000000
            USD
            22525000.00000000
            USD
            3477.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03820A SWAPTION US0003M
        000000000
        
          
        
        9560000.00000000
        NC
        USD
        670.16000000
        0.000104583463
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    9560000.00000000
                    OU
                    Notional Amount
                    N/A
                    670.16000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9560000.00000000
                  USD
                
              
            
            1.00000000
            1.05250000
            USD
            2022-06-21
            XXXX
            -84629.10000000
          
        
        
          N
          N
          N
        
      
      
        AIG GLOBAL FUNDING
        54930057MDZ7KOVOTV71
        AIG Global Funding
        00138CAK4
        
          
        
        224000.00000000
        PA
        USD
        224510.72000000
        0.035036571334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216983  IRS EUR R F   .25000 2 CCPVANILLA / Short: SR216983  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        1820000.00000000
        OU
        Notional Amount
        
        -179647.77000000
        -0.02803537358
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            EUR
            -162957.91000000
            EUR
            1820000.00000000
            EUR
            20986.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2281.20000000
        0.000355998263
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            444803.76000000
            USD
            6429193547.04000000
            IDR
            2022-06-15
            2281.20000000
          
        
        
          N
          N
          N
        
      
      
        GMAC Mortgage Corporation Loan Trust
        N/A
        GMACM Home Equity Loan Trust 2007-HE3
        36186MAC5
        
          
        
        23397.20000000
        PA
        USD
        23413.41000000
        0.003653837151
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          6.03400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        306496.34000000
        PA
        USD
        319483.85000000
        0.049857836190
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        442753.73000000
        PA
        USD
        460705.05000000
        0.071896457098
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMS WERTMANAGEMENT
        HZFDOR6TCRSIQLKQTX32
        FMS Wertmanagement
        000000000
        
          
        
        1100000.00000000
        PA
        
        1426027.08000000
        0.222542155285
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-03-07
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288EK97
        
          
        
        1894.66000000
        PA
        USD
        2025.84000000
        0.000316147432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1558.83000000
        -0.00024326704
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2855889.67000000
            SEK
            273081.82000000
            EUR
            2022-04-25
            -1558.83000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4933.15000000
        0.000769854828
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            483492.22000000
            USD
            441454.70000000
            EUR
            2022-04-05
            4933.15000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        876007.89000000
        PA
        USD
        912512.01000000
        0.142404300926
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        321810.58000000
        PA
        USD
        333652.63000000
        0.052068979922
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        13720.38000000
        0.002141167569
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            52064780.00000000
            JPY
            442276.42000000
            USD
            2022-06-15
            13720.38000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1277.93000000
        0.000199430502
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1627222.34000000
            USD
            1978946450.00000000
            KRW
            2022-04-11
            1277.93000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -121.00000000
        NC
        USD
        469941.45000000
        0.073337866165
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -16848425.83000000
            USD
            469941.45000000
          
        
        
          N
          N
          N
        
      
      
        BRITISH COLUMBIA PROV OF
        54930058TO7MEKUHWL16
        Province of British Columbia Canada
        11070TAF5
        
          
        
        2600000.00000000
        PA
        
        2091397.03000000
        0.326378095579
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2025-06-18
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        000000000
        
          
        
        350000.00000000
        PA
        
        384240.92000000
        0.059963659656
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-07-22
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -948.15000000
        -0.00014796587
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            101115.15000000
            EUR
            111034.75000000
            USD
            2022-05-05
            -948.15000000
          
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAH3
        
          
        
        3250000.00000000
        PA
        USD
        3348800.00000000
        0.522605201593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-25
          Fixed
          4.41700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217258  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217258  IRS USD P F  1.29000 2 CCPOIS
        000000000
        
          
        
        1050000.00000000
        OU
        Notional Amount
        USD
        15435.84000000
        0.002408877889
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-01-12
            593.28000000
            USD
            0.00000000
            USD
            1050000.00000000
            USD
            14842.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS02949A SWAPTION US0003M
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -10002.20000000
        -0.00156091786
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    2000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10002.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2000000.00000000
                  USD
                
              
            
            1.00000000
            1.06000000
            USD
            2022-11-14
            XXXX
            93882.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        10129.20000000
        0.001580737161
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            327769.00000000
            USD
            2976226.10000000
            NOK
            2022-06-15
            10129.20000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217091  IRS NZD R V 03MNZDBB 1 CCPVANILLA / Short: BR217091  IRS NZD P F  2.75000 2 CCPVANILLA
        000000000
        
          
        
        2290000.00000000
        OU
        Notional Amount
        
        83644.61000000
        0.013053364868
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.00000000
            NZD
            -25040.63000000
            NZD
            2290000.00000000
            NZD
            103712.29000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217007  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR217007  IRS GBP P F   .75000 2 CCPOIS
        000000000
        
          
        
        14530000.00000000
        OU
        Notional Amount
        
        1576825.23000000
        0.246075330626
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            401262.25000000
            GBP
            0.00000000
            GBP
            14530000.00000000
            GBP
            1221107.94000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003015  CDS USD R F  3.00000 2 CMBX / Short: CX003015  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        650000.00000000
        OU
        Notional Amount
        USD
        -70890.62000000
        -0.01106300966
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -100688.96000000
            USD
            650000.00000000
            USD
            29798.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2482.90000000
        -0.00038747505
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1376509.20000000
            USD
            104295073.66000000
            INR
            2022-04-04
            -2482.90000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -11002.94000000
        -0.00171709080
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            51428349.00000000
            TWD
            1785000.00000000
            USD
            2022-04-15
            -11002.94000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        27648.68000000
        0.004314782604
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1250284.61000000
            USD
            11256107.33000000
            NOK
            2022-06-15
            27648.68000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217533  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR217533  IRS NOK P F  2.00000 2 CCPVANILLA
        000000000
        
          
        
        51630000.00000000
        OU
        Notional Amount
        
        78447.97000000
        0.012242390461
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            598927.08000000
            NOK
            0.00000000
            NOK
            51630000.00000000
            NOK
            10072.24000000
          
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        17690000.00000000
        PA
        
        2831402.94000000
        0.441861533758
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2025-07-14
          Fixed
          3.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAQ7
        
          
        
        450000.00000000
        PA
        USD
        456210.00000000
        0.071194971040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03819A SWAPTION US0003M
        000000000
        
          
        
        -5040000.00000000
        NC
        USD
        -2278.58000000
        -0.00035558939
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    5040000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2278.58000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5040000.00000000
                  USD
                
              
            
            1.00000000
            1.37800000
            USD
            2022-06-21
            XXXX
            83069.93000000
          
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BE3
        
          
        
        900000.00000000
        PA
        USD
        941364.00000000
        0.146906869025
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3602.65000000
        0.000562220386
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            442594.70000000
            USD
            557921.60000000
            CAD
            2022-06-15
            3602.65000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -175.89000000
        -0.00002744894
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            71859.22000000
            GBP
            94195.00000000
            USD
            2022-06-15
            -175.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -42069.92000000
        -0.00656532460
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            10554202.15000000
            TRY
            636592.97000000
            USD
            2022-06-15
            -42069.92000000
          
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
        
        1450000.00000000
        PA
        USD
        1303579.00000000
        0.203433219687
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        97273.54000000
        0.015180260983
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3389082.63000000
            EUR
            3850611.29000000
            USD
            2022-05-05
            97273.54000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACB9
        
          
        
        1675000.00000000
        PA
        USD
        1518957.00000000
        0.237044561991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8539.55000000
        0.001332660430
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            447000.00000000
            USD
            360174720.00000000
            CLP
            2022-04-27
            8539.55000000
          
        
        
          N
          N
          N
        
      
      
        Steele Creek CLO Ltd
        N/A
        Steele Creek CLO 2019-1 LTD
        85817BAJ8
        
          
        
        1400000.00000000
        PA
        USD
        1373267.00000000
        0.214308551533
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-15
          Floating
          4.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LA MONDIALE
        969500L0T16HX3R78P61
        La Mondiale SAM
        000000000
        
          
        
        600000.00000000
        PA
        
        634478.49000000
        0.099015097698
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-04-20
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGRICUL DEV BANK CHINA
        300300C1020311000158
        Agricultural Development Bank of China
        000000000
        
          
        
        20890000.00000000
        PA
        
        3377544.89000000
        0.527091055939
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2031-05-24
          Fixed
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        300000.00000000
        PA
        USD
        303462.00000000
        0.047357507072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        16985.01000000
        0.002650637414
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            5206321.67000000
            USD
            33196392.04000000
            CNY
            2022-04-01
            16985.01000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSSG2022040413620
        000000000
        
          
        
        -7656324.91000000
        OU
        Notional Amount
        USD
        -1263.29000000
        -0.00019714582
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1263.29000000
                    0.00000000
                    DFE
                    
                    SG
                  
                  -7656324.91000000
                  USD
                  -10427914.53000000
                  SGD
                  2022-04-04
                
              
            
            1.00000000
            1.36200000
            USD
            2022-04-04
            XXXX
            16085.94000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CB4
        
          
        
        325000.00000000
        PA
        USD
        310459.50000000
        0.048449519106
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-23
          Fixed
          1.21400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217600  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217600  IRS USD P F  1.75000 2 CCPOIS
        000000000
        
          
        
        18290000.00000000
        OU
        Notional Amount
        USD
        219362.94000000
        0.034233221894
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            56237.54000000
            USD
            0.00000000
            USD
            18290000.00000000
            USD
            163125.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3147.56000000
        0.000491200199
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            175656.67000000
            USD
            60021884.14000000
            HUF
            2022-06-15
            3147.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1999.26000000
        -0.00031199942
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            400318.98000000
            EUR
            442172.33000000
            USD
            2022-06-15
            -1999.26000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13216.60000000
        0.002062548945
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            399909.53000000
            USD
            6096182.10000000
            ZAR
            2022-06-15
            13216.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -3814.07000000
        -0.00059521405
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1230036.73000000
            NOK
            135835.00000000
            USD
            2022-06-15
            -3814.07000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AXT92
        
          
        
        17051.11000000
        PA
        USD
        18095.35000000
        0.002823914248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312930J43
        
          
        
        783.37000000
        PA
        USD
        842.93000000
        0.000131545509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217684  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR217684  IRS EUR P F  1.31100 2 CCPVANILLA
        000000000
        
          
        
        6910000.00000000
        OU
        Notional Amount
        
        -1684.01000000
        -0.00026280231
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-03-30
            14232.27000000
            EUR
            0.00000000
            EUR
            6910000.00000000
            EUR
            -17464.03000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03896A SWAPTION SONIO SEP22 0.401 CALL
        000000000
        
          
        
        -1960000.00000000
        NC
        
        -2564.19000000
        -0.00040016096
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1960000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2564.19000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1960000.00000000
                  GBP
                
              
            
            1.00000000
            0.40100000
            GBP
            2022-09-08
            XXXX
            34402.72000000
          
        
        
          N
          N
          N
        
      
      
        European Investment Bank
        5493006YXS1U5GIHE750
        European Investment Bank
        000000000
        
          
        
        770000.00000000
        PA
        
        821436.69000000
        0.128191318374
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2042-11-14
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -2077.35000000
        -0.00032418595
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            454942.82000000
            CHF
            491893.89000000
            USD
            2022-06-15
            -2077.35000000
          
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        000000000
        
          
        
        270000.00000000
        PA
        
        283078.03000000
        0.044176436614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAC4
        
          
        
        600000.00000000
        PA
        USD
        624282.00000000
        0.097423859430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -1588.35000000
        -0.00024787385
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2815486.52000000
            CNY
            439507.73000000
            USD
            2022-06-15
            -1588.35000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032641
        
          
        
        12000000.00000000
        PA
        USD
        12021562.80000000
        1.876054482371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -5224.49000000
        -0.00081532060
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1868803.35000000
            ILS
            580644.20000000
            USD
            2022-04-26
            -5224.49000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        719353.53000000
        0.112260480340
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            18314751.00000000
            TRY
            1898000.00000000
            USD
            2022-06-14
            719353.53000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKK4
        
          
        
        15000.00000000
        PA
        USD
        14069.10000000
        0.002195587924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-04
          Fixed
          2.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Logicor Financing Sarl
        254900IS16Q1A2TQFN22
        Logicor Financing Sarl
        000000000
        
          
        
        550000.00000000
        PA
        
        627670.07000000
        0.097952593008
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-11-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217104  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217104  IRS USD P F  1.50000 2 CCPOIS
        000000000
        
          
        
        22380000.00000000
        OU
        Notional Amount
        USD
        1238377.16000000
        0.193257986547
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            720516.12000000
            USD
            0.00000000
            USD
            22380000.00000000
            USD
            517861.04000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAG4
        
          
        
        800000.00000000
        PA
        USD
        703344.00000000
        0.109762073850
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-12-03
          Fixed
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        400000.00000000
        PA
        USD
        398116.00000000
        0.062128969313
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENGIE SA
        LAXUQCHT4FH58LRZDY46
        Engie SA
        000000000
        
          
        
        200000.00000000
        PA
        
        219201.18000000
        0.034207978040
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-03-13
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        253163.41000000
        PA
        USD
        271271.18000000
        0.042333889665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1183.84000000
        -0.00018474705
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            277496.65000000
            USD
            1049142686.83000000
            COP
            2022-05-16
            -1183.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -3457.33000000
        -0.00053954211
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            642432.66000000
            NZD
            441193.84000000
            USD
            2022-06-15
            -3457.33000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Ltd.
        K9WDOH4D2PYBSLSOB484
        PTBAREUSE2022042710330
        000000000
        
          
        
        -527000.00000000
        OU
        Notional Amount
        
        -2807.70000000
        -0.00043816251
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Barclays Capital Securities Ltd.
              K9WDOH4D2PYBSLSOB484
            
            Put
            Written
            
              
                
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                  
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2807.70000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -527000.00000000
                  EUR
                  -5443910.00000000
                  SEK
                  2022-04-27
                
              
            
            1.00000000
            10.33000000
            EUR
            2022-04-27
            XXXX
            1623.20000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CG2
        
          
        
        255000.00000000
        PA
        USD
        253936.65000000
        0.039628707048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD PLC
        549300M3U2DNF4QVSS04
        DP World Ltd/United Arab Emirates
        000000000
        
          
        
        390000.00000000
        PA
        USD
        423150.00000000
        0.066035711614
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2048-09-25
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        240000.00000000
        PA
        
        269781.13000000
        0.042101356255
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-07-18
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -11146.75000000
        -0.00173953342
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2900434.55000000
            TRY
            175358.80000000
            USD
            2022-06-15
            -11146.75000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04847A SWAPTION EUR006M
        000000000
        
          
        
        -3290000.00000000
        NC
        
        -14160.44000000
        -0.00220984221
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3290000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14160.44000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3290000.00000000
                  EUR
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-25
            XXXX
            17200.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1000.56000000
        -0.00015614484
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            7051285.23000000
            SEK
            676336.86000000
            EUR
            2022-06-15
            -1000.56000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        315345.40000000
        PA
        USD
        328648.37000000
        0.051288027847
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        696263.46000000
        PA
        USD
        723079.00000000
        0.112841867702
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAH1
        
          
        
        300000.00000000
        PA
        USD
        272295.00000000
        0.042493664407
        Long
        DBT
        
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2136.78000000
        -0.00033346044
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            438937.52000000
            USD
            530798364.00000000
            KRW
            2022-04-11
            -2136.78000000
          
        
        
          N
          N
          N
        
      
      
        SBB TREASURY OYJ
        5493003HHOCW6FIMH724
        SBB Treasury Oyj
        000000000
        
          
        
        950000.00000000
        PA
        
        863450.06000000
        0.134747817926
        Long
        DBT
        CORP
        FI
        
        N
        
        2
        
          2028-12-14
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217132  IRS EUR R F   .50000 2 CCPVANILLA / Short: SR217132  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        17100000.00000000
        OU
        Notional Amount
        
        -802879.29000000
        -0.12529529778
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            EUR
            -397626.83000000
            EUR
            17100000.00000000
            EUR
            -272855.35000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        970000.00000000
        PA
        USD
        1026866.25000000
        0.160250132462
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-01-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        22389485.00000000
        NS
        USD
        22389485.00000000
        3.494046023054
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        KnowledgeWorks Foundation
        549300ZCR1DGZJLXTI23
        KnowledgeWorks Foundation
        49925JAE7
        
          
        
        196868.00000000
        PA
        USD
        195403.48000000
        0.030494169570
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-02-25
          Floating
          1.44800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        29898.68000000
        PA
        USD
        31187.56000000
        0.004867051206
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        27380000.00000000
        PA
        
        4279364.68000000
        0.667826756236
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2030-06-18
          Fixed
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        840000.00000000
        PA
        
        1045346.13000000
        0.163134055483
        Long
        DBT
        NUSS
        GB
        N
        
        1
        
          2053-07-31
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AM0
        
          
        
        1550000.00000000
        PA
        USD
        1499454.50000000
        0.234001051496
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-11
          Fixed
          2.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH COLUMBIA PROV OF
        54930058TO7MEKUHWL16
        Province of British Columbia Canada
        110709FY3
        
          
        
        2000000.00000000
        PA
        
        1958884.93000000
        0.305698594643
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2040-06-18
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        M&G PLC
        254900TWUJUQ44TQJY84
        M&G PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        152074.65000000
        0.023732382680
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2063-12-19
          Fixed
          6.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216668  IRS CNY R F  2.25000 CCPVANILLA / Short: SR216668  IRS CNY P V 03MCFXS CCPVANILLA
        000000000
        
          
        
        18860000.00000000
        OU
        Notional Amount
        
        456.43000000
        0.000071229303
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            57748.66000000
            CNY
            0.00000000
            CNY
            18860000.00000000
            CNY
            -8620.00000000
          
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SC FNCE I
        549300SM0PJC1F3RPL91
        Thermo Fisher Scientific Finance I BV
        000000000
        
          
        
        675000.00000000
        PA
        
        717559.23000000
        0.111980466450
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-11-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292HXN9
        
          
        
        2297.70000000
        PA
        USD
        2457.64000000
        0.000383533040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        Bank 2019-BNK19
        06540WAJ2
        
          
        
        200000.00000000
        PA
        USD
        157743.23000000
        0.024617006842
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2037.84000000
        -0.00031802012
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            353193.44000000
            EUR
            388745.89000000
            USD
            2022-04-06
            -2037.84000000
          
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAP9
        
          
        
        145000.00000000
        PA
        USD
        138425.70000000
        0.021602362295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        
        594.91000000
        0.000092840139
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3870812.53000000
            CZK
            174423.78000000
            USD
            2022-06-15
            594.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        17916.15000000
        0.002795948752
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            335981507.95000000
            CNY
            52883132.70000000
            USD
            2022-04-01
            17916.15000000
          
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        33180000.00000000
        PA
        
        5313321.95000000
        0.829183495225
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-03-03
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        258096.51000000
        PA
        USD
        256302.82000000
        0.039997965514
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAB0
        
          
        
        1250000.00000000
        PA
        USD
        1252862.50000000
        0.195518531826
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-04-10
          Fixed
          4.26300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WVB1
        
          
        
        139513.74000000
        PA
        USD
        16203.34000000
        0.002528651984
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217004  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR217004  IRS GBP P F   .50000 2 CCPOIS
        000000000
        
          
        
        7790000.00000000
        OU
        Notional Amount
        
        667843.51000000
        0.104221957768
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            149424.86000000
            GBP
            0.00000000
            GBP
            7790000.00000000
            GBP
            580185.94000000
          
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AD9
        
          
        
        900000.00000000
        PA
        USD
        896112.00000000
        0.139844957122
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAJ2
        
          
        
        325000.00000000
        PA
        USD
        326586.00000000
        0.050966179636
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5607.97000000
        -0.00087516551
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            464275.05000000
            USD
            34894912.76000000
            INR
            2022-04-13
            -5607.97000000
          
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IV Ltd
        N/A
        Elmwood CLO IV Ltd
        29002GAB7
        
          
        
        5300000.00000000
        PA
        USD
        5277899.00000000
        0.823655479839
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.48100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR217627  IRS KRW R F  2.50000 CCPNDF / Short: SR217627  IRS KRW P V 03MKSDA CCPNDF
        000000000
        
          
        
        1794280000.00000000
        OU
        Notional Amount
        
        -19104.30000000
        -0.00298136841
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-06-15
            7205394.00000000
            KRW
            0.00000000
            KRW
            1794280000.00000000
            KRW
            -25071.50000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMM1
        
          
        
        1879000.00000000
        PA
        USD
        1671483.24000000
        0.260847418657
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1773.05000000
        -0.00027669766
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            174706.10000000
            USD
            137851848.00000000
            CLP
            2022-06-15
            -1773.05000000
          
        
        
          N
          N
          N
        
      
      
        TOTALENERGIES SE
        529900S21EQ1BO4ESM68
        TotalEnergies SE
        000000000
        
          
        
        1105000.00000000
        PA
        
        1243798.09000000
        0.194103963081
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-10-06
          Fixed
          3.36900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11505.59000000
        0.001795533080
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            444126.90000000
            USD
            608080.65000000
            AUD
            2022-06-15
            11505.59000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        12660000.00000000
        PA
        
        2052151.73000000
        0.320253573983
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-12-03
          Fixed
          3.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AH6P0
        
          
        
        191535.70000000
        PA
        USD
        30033.01000000
        0.004686875073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-25
          Floating
          6.14300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        28999.76000000
        PA
        USD
        29114.54000000
        0.004543540983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006112  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006112  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        3370000.00000000
        OU
        Notional Amount
        USD
        -551.33000000
        -0.00008603915
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                United Mexican States
                United Mexican States
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -33975.59000000
            USD
            3370000.00000000
            USD
            33424.26000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAH9
        
          
        
        75000.00000000
        PA
        USD
        85952.25000000
        0.013413489291
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        CTUBSAUNZ2022040710880
        000000000
        
          
        
        -1215000.00000000
        OU
        Notional Amount
        
        -760.99000000
        -0.00011875816
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -760.99000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  -1215000.00000000
                  AUD
                  -1321920.00000000
                  NZD
                  2022-04-07
                
              
            
            1.00000000
            1.08800000
            AUD
            2022-04-07
            XXXX
            1396.20000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        280000.00000000
        PA
        
        376590.87000000
        0.058769812331
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2117-09-20
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2172.20000000
        -0.00033898800
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            5407874.40000000
            CNY
            847573.42000000
            USD
            2022-04-22
            -2172.20000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DQ2
        
          
        
        10000.00000000
        PA
        USD
        7845.63000000
        0.001224369041
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2060-12-01
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAGEO FINANCE PLC
        BPF79TJMIH3DK8XCKI50
        Diageo Finance PLC
        000000000
        
          
        
        180000.00000000
        PA
        
        209859.78000000
        0.032750182941
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-20
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EP4
        
          
        
        475000.00000000
        PA
        USD
        414855.50000000
        0.064741293063
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2035-11-15
          Fixed
          2.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214564  IRS KRW R F  1.00000 CCPNDF / Short: SR214564  IRS KRW P V 03MLIBOR CCPNDF
        000000000
        
          
        
        2402600000.00000000
        OU
        Notional Amount
        
        -259358.89000000
        -0.04047488801
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-09-16
            0.00000000
            KRW
            -3806769.00000000
            KRW
            2402600000.00000000
            KRW
            -256234.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000