Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31
Tweet
Share
E-mailNews and research before you hear about it on CNBC and others. Claim your 1-week free trial to StreetInsider Premium here.
NPORT-P false 0000822977 XXXXXXXX S000009308 C000025415 C000025418 C000090762 C000025416 C000025414 C000161291 C000202039 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 0.00000000 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