Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

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May 25, 2022 12:37 PM EDT
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      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Global Core Fixed Income Fund
      S000009308
      S7AVHSYYPK5PCOCQSV77
      2022-03-31
      2022-03-31
      N
    
    
      708716664.20
      67927022.27
      640789641.93
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
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      0.00000000
      0.00000000
      0.00000000
      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
          
          
        
        
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          MYR
          
          
        
        
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          RUB
          
          
        
        
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          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
        
          
        
        1.00000000
        NC
        
        -6100.00000000
        -0.00095195046
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            131784511.18000000
            INR
            1729342.05000000
            USD
            2022-04-05
            -6100.00000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04809A SWAPTION EUR006M
        000000000
        
          
        
        -3360000.00000000
        NC
        
        -160759.84000000
        -0.02508777131
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3360000.00000000
                    OU
                    Notional Amount
                    N/A
                    -160759.84000000
                    -0.03000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3360000.00000000
                  EUR
                
              
            
            1.00000000
            0.74300000
            EUR
            2022-04-07
            XXXX
            -119307.94000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
        
        275000.00000000
        PA
        USD
        255354.00000000
        0.039849895081
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A3B75
        
          
        
        212146.12000000
        PA
        USD
        29663.95000000
        0.004629280509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          5.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LNX5
        
          
        
        352086.99000000
        PA
        USD
        37754.53000000
        0.005891875824
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -16043.14000000
        -0.00250365158
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            624169.94000000
            AUD
            451645.00000000
            USD
            2022-06-15
            -16043.14000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -961.44000000
        -0.00015003987
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            441414.32000000
            USD
            6326129327.08000000
            IDR
            2022-05-13
            -961.44000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04818A SWAPTION EUR006M
        000000000
        
          
        
        -3290000.00000000
        NC
        
        -7322.07000000
        -0.00114266360
        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
                    -7322.07000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3290000.00000000
                  EUR
                
              
            
            1.00000000
            1.05400000
            EUR
            2022-04-19
            XXXX
            29240.49000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAN0
        
          
        
        1521000.00000000
        PA
        USD
        1231249.50000000
        0.192145662075
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAW5
        
          
        
        525000.00000000
        PA
        USD
        483966.00000000
        0.075526501730
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-10-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
        
        300000.00000000
        PA
        USD
        282888.00000000
        0.044146781016
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -52.20000000
        -0.00000814619
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            235270.00000000
            USD
            179107.86000000
            GBP
            2022-06-15
            -52.20000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        27318.86000000
        0.004263311734
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1888887.09000000
            USD
            2768537.17000000
            NZD
            2022-06-15
            27318.86000000
          
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAR3
        
          
        
        200000.00000000
        PA
        USD
        179452.00000000
        0.028004822215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8058.48000000
        -0.00125758587
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            930380.68000000
            USD
            70169310.89000000
            INR
            2022-04-13
            -8058.48000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E22U8
        
          
        
        18553.37000000
        PA
        USD
        19397.41000000
        0.003027110416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAE7
        
          
        
        500000.00000000
        PA
        USD
        498385.00000000
        0.077776694157
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        430000.00000000
        PA
        USD
        380012.50000000
        0.059303783197
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217101  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217101  IRS USD P F  1.00000 2 CCPOIS
        000000000
        
          
        
        31360000.00000000
        OU
        Notional Amount
        USD
        1825340.16000000
        0.284857937856
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            1165938.79000000
            USD
            0.00000000
            USD
            31360000.00000000
            USD
            659401.37000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        529900FZRK8FGMPEOM08
        European Union
        000000000
        
          
        
        1540000.00000000
        PA
        
        1554114.53000000
        0.242531156608
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-04-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        191891.24000000
        PA
        USD
        22365.23000000
        0.003490260849
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        480914.49000000
        PA
        USD
        500992.24000000
        0.078183573394
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7UE3
        
          
        
        1146161.66000000
        PA
        USD
        1211867.90000000
        0.189121018927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -2061.44000000
        -0.00032170307
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            215084825.00000000
            KRW
            174872.82000000
            USD
            2022-06-15
            -2061.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -14176.30000000
        -0.00221231728
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2320322.26000000
            SEK
            233090.81000000
            USD
            2022-06-15
            -14176.30000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        278.89000000
        0.000043522863
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            69644.04000000
            USD
            94769.87000000
            SGD
            2022-06-15
            278.89000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2JK6
        
          
        
        49955.68000000
        PA
        USD
        53039.52000000
        0.008277212446
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEYERHAEUSER CO
        08IRJODWFYBI7QWRGS31
        Weyerhaeuser Co
        962166CB8
        
          
        
        250000.00000000
        PA
        USD
        248877.50000000
        0.038839188981
        Long
        DBT
        
        US
        N
        
        2
        
          2052-03-09
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1654.56000000
        0.000258206420
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            438460.70000000
            USD
            596509.12000000
            SGD
            2022-06-15
            1654.56000000
          
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT JUN22
        000000000
        
          
        
        91.00000000
        NC
        
        -395475.67000000
        -0.06171692613
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                Montreal Exchange 10 Year Canadian Bond Future
                CNM2 COMDTY
              
            
            2022-06-21
            12354433.91000000
            CAD
            -395475.67000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217098  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217098  IRS USD P F   .25000 2 CCPOIS
        000000000
        
          
        
        7530000.00000000
        OU
        Notional Amount
        USD
        289653.50000000
        0.045202587720
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            157101.56000000
            USD
            0.00000000
            USD
            7530000.00000000
            USD
            132551.94000000
          
        
        
          N
          N
          N
        
      
      
        OBRIGACOES DO TESOURO
        549300P6U1FJ3IMP7K42
        Portugal Obrigacoes do Tesouro OT
        000000000
        
          
        
        1200000.00000000
        PA
        
        1406246.99000000
        0.219455324802
        Long
        DBT
        NUSS
        PT
        N
        
        2
        
          2029-06-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -4215.35000000
        -0.00065783678
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            5614257.15000000
            CNY
            875357.97000000
            USD
            2022-06-15
            -4215.35000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSZA20220406160450
        000000000
        
          
        
        1785000.00000000
        OU
        Notional Amount
        USD
        1.79000000
        0.000000279342
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1.79000000
                    0.00000000
                    DFE
                    
                    US
                  
                  28640325.00000000
                  ZAR
                  1785000.00000000
                  USD
                  2022-04-06
                
              
            
            1.00000000
            16.04500000
            USD
            2022-04-06
            XXXX
            -15916.77000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF AUSTRIA
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        870000.00000000
        PA
        
        954391.31000000
        0.148939877855
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2032-02-20
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAK1
        
          
        
        1650000.00000000
        PA
        USD
        1644373.50000000
        0.256616741657
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217422  IRS ZAR R F  8.00000 2 CCPVANILLA / Short: SR217422  IRS ZAR P V 03MJIBAR 1 CCPVANILLA
        000000000
        
          
        
        13025000.00000000
        OU
        Notional Amount
        
        -2979.91000000
        -0.00046503716
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-15
            0.00000000
            ZAR
            -218635.29000000
            ZAR
            13025000.00000000
            ZAR
            11587.28000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BZ2
        
          
        
        1550000.00000000
        PA
        USD
        1412437.50000000
        0.220421400031
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-14
          Fixed
          1.45600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2N2
        
          
        
        2450000.00000000
        PA
        USD
        2365426.00000000
        0.369142358930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4150.81000000
        0.000647764840
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            610661.48000000
            USD
            555145.79000000
            EUR
            2022-05-05
            4150.81000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        2057467.02000000
        PA
        USD
        2140243.44000000
        0.334000941955
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        1640000.00000000
        PA
        USD
        1443200.00000000
        0.225222117457
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2051-11-17
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2018-B6 Mortgage Trust
        08162CAL4
        
          
        
        400000.00000000
        PA
        USD
        332527.23000000
        0.051893352863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-10
          Variable
          3.10700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        900000.00000000
        PA
        
        954694.65000000
        0.148987216323
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-11-18
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BN9
        
          
        
        1275000.00000000
        PA
        USD
        1157738.25000000
        0.180673683568
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1793.40000000
        -0.00027987343
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            438000.00000000
            USD
            530076360.00000000
            KRW
            2022-04-11
            -1793.40000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217052  IRS CHF R V 12MSARON CCPVANILLA / Short: BR217052  IRS CHF P F   .00000 CCPVANILLA
        000000000
        
          
        
        1580000.00000000
        OU
        Notional Amount
        
        64698.69000000
        0.010096712831
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            63602.57000000
            CHF
            0.00000000
            CHF
            1580000.00000000
            CHF
            -3631.77000000
          
        
        
          N
          N
          N
        
      
      
        AUST & NZ BANKING GROUP
        JHE42UYNWWTJB8YTTU19
        Australia & New Zealand Banking Group Ltd
        052528AL0
        
          
        
        750000.00000000
        PA
        USD
        723795.00000000
        0.112953604839
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-07-22
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        Galaxy Pipeline Assets Bidco Ltd
        36321PAB6
        
          
        
        200000.00000000
        PA
        USD
        179412.50000000
        0.027998657946
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2036-03-31
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBK5
        
          
        
        1000000.00000000
        PA
        USD
        1048310.00000000
        0.163596589489
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-05-30
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283HZN8
        
          
        
        1821.99000000
        PA
        USD
        1948.81000000
        0.000304126326
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-38
        12667GY98
        
          
        
        47535.68000000
        PA
        USD
        44066.55000000
        0.006876913594
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          1.64100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3367.14000000
        0.000525467295
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            458861.82000000
            USD
            9321089.58000000
            MXN
            2022-06-15
            3367.14000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03961A SWAPTION SONIO
        000000000
        
          
        
        17600000.00000000
        NC
        
        2936.27000000
        0.000458226820
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    17600000.00000000
                    OU
                    Notional Amount
                    N/A
                    2936.27000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  17600000.00000000
                  GBP
                
              
            
            1.00000000
            0.42000000
            GBP
            2022-10-10
            XXXX
            -35163.83000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040410900
        000000000
        
          
        
        4783000.00000000
        OU
        Notional Amount
        
        857.18000000
        0.000133769328
        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
                    857.18000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  5213470.00000000
                  USD
                  4783000.00000000
                  EUR
                  2022-04-04
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-04
            XXXX
            -14683.51000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKA9
        
          
        
        600000.00000000
        PA
        USD
        546576.00000000
        0.085297258918
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        261549.11000000
        0.040816688174
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            572371317.00000000
            JPY
            4969160.98000000
            USD
            2022-05-23
            261549.11000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-SCHATZ FUT JUN22
        000000000
        
          
        
        59.00000000
        NC
        
        -72499.65000000
        -0.01131411078
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Eurex 2 Year Euro SCHATZ Future
                DUM2 COMDTY
              
            
            2022-06-08
            6601261.42000000
            EUR
            -72499.65000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -4471.50000000
        -0.00069781090
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            515127.91000000
            CHF
            553464.75000000
            USD
            2022-04-25
            -4471.50000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JJ7
        
          
        
        200000.00000000
        PA
        USD
        159286.00000000
        0.024857767600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -3995.60000000
        -0.00062354316
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            33916032.41000000
            INR
            441804.84000000
            USD
            2022-04-13
            -3995.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1937.02000000
        -0.00030228640
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            353163.76000000
            EUR
            388803.28000000
            USD
            2022-04-05
            -1937.02000000
          
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AN1
        
          
        
        450000.00000000
        PA
        USD
        416893.50000000
        0.065059338154
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSMC GLOBAL LTD
        549300N2ZLI21P85T117
        TSMC Global Ltd
        872882AK1
        
          
        
        200000.00000000
        PA
        USD
        181556.00000000
        0.028333167098
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2031-04-23
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMNS0
        
          
        
        959883.97000000
        PA
        USD
        918821.86000000
        0.143389000051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -1216.63000000
        -0.00018986418
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            38708710889.62000000
            IDR
            2693853.68000000
            USD
            2022-05-13
            -1216.63000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAP4
        
          
        
        250000.00000000
        PA
        USD
        255182.50000000
        0.039823131227
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL SPA
        WOCMU6HCI0OJWNPRZS33
        Enel SpA
        000000000
        
          
        
        235000.00000000
        PA
        
        263974.81000000
        0.041195236740
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-08-24
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        1210000.00000000
        PA
        USD
        1227750.70000000
        0.191599648256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        3000000.00000000
        PA
        USD
        2935078.20000000
        0.458040830866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        4340000.00000000
        PA
        USD
        4480507.50000000
        0.699216592594
        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 CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1650.69000000
        0.000257602478
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            398984.10000000
            EUR
            409234.00000000
            CHF
            2022-06-15
            1650.69000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAB9
        
          
        
        285000.00000000
        PA
        USD
        270042.46000000
        0.042142138750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26498.23000000
        -0.00413524630
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            843134.15000000
            USD
            621682.69000000
            GBP
            2022-04-05
            -26498.23000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297BBH4
        
          
        
        850.71000000
        PA
        USD
        915.39000000
        0.000142853432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -933165.29000000
        -0.14562739921
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            13424570.48000000
            USD
            1520407784.00000000
            JPY
            2022-04-11
            -933165.29000000
          
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        950000.00000000
        PA
        
        1053648.69000000
        0.164429731858
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        13686.82000000
        0.002135930281
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            51682620.00000000
            JPY
            439097.22000000
            USD
            2022-06-15
            13686.82000000
          
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        58507LAM1
        
          
        
        400000.00000000
        PA
        
        432831.28000000
        0.067546547521
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-07-02
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1931.10000000
        -0.00030136254
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            397414.17000000
            EUR
            439017.47000000
            USD
            2022-06-15
            -1931.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        750000.00000000
        PA
        USD
        703162.50000000
        0.109733749422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217312  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217312  IRS USD P F  1.85000 2 CCPOIS
        000000000
        
          
        
        3280000.00000000
        OU
        Notional Amount
        USD
        94038.91000000
        0.014675472861
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2033-02-09
            8352.83000000
            USD
            0.00000000
            USD
            3280000.00000000
            USD
            85686.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -3938.95000000
        -0.00061470250
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            5675349.52000000
            CNY
            885205.58000000
            USD
            2022-06-15
            -3938.95000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        1850000.00000000
        PA
        USD
        1936839.00000000
        0.302258162938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217067  IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR217067  IRS SEK P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        76700000.00000000
        OU
        Notional Amount
        
        656400.72000000
        0.102436225096
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            4742924.10000000
            SEK
            0.00000000
            SEK
            76700000.00000000
            SEK
            158278.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -2940.44000000
        -0.00045887757
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            104295073.66000000
            INR
            1371085.86000000
            USD
            2022-04-04
            -2940.44000000
          
        
        
          N
          N
          N
        
      
      
        MCKESSON CORP
        549300WZWOM80UCFSF54
        McKesson Corp
        581557BG9
        
          
        
        125000.00000000
        PA
        
        139553.41000000
        0.021778349846
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-17
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSAUNZ2022040710650
        000000000
        
          
        
        -1215000.00000000
        OU
        Notional Amount
        
        -143.65000000
        -0.00002241765
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -143.65000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  -1215000.00000000
                  AUD
                  -1293975.00000000
                  NZD
                  2022-04-07
                
              
            
            1.00000000
            1.06500000
            AUD
            2022-04-07
            XXXX
            1969.06000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418ACX4
        
          
        
        30317.05000000
        PA
        USD
        32173.73000000
        0.005020950386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -3910.94000000
        -0.00061033133
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            279667.92000000
            CHF
            299749.00000000
            USD
            2022-06-15
            -3910.94000000
          
        
        
          N
          N
          N
        
      
      
        TELEDYNE TECHNOLOGIES IN
        549300VSMO9KYQWDND94
        Teledyne Technologies Inc
        879360AB1
        
          
        
        1250000.00000000
        PA
        USD
        1200637.50000000
        0.187368431297
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        23540.82000000
        0.003673720431
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            106239743.06000000
            INR
            1419981.41000000
            USD
            2022-04-13
            23540.82000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BR217655  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR217655  IRS BRL P F 12.06000 CCPNDFPREDISWAP
        000000000
        
          
        
        4250000.00000000
        OU
        Notional Amount
        
        -11347.51000000
        -0.00177086351
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-01-02
            0.00000000
            BRL
            -53261.75000000
            BRL
            4250000.00000000
            BRL
            -124.77000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CA2
        
          
        
        790000.00000000
        PA
        USD
        824463.75000000
        0.128663713651
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2027-07-18
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAR9
        
          
        
        400000.00000000
        PA
        USD
        363844.00000000
        0.056780568253
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-01-12
          Fixed
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        5180000.00000000
        PA
        
        5752722.20000000
        0.897755179480
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2030-10-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        3701.25000000
        0.000577607651
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            143209.07000000
            EUR
            162302.28000000
            USD
            2022-05-05
            3701.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        20242.08000000
        PA
        USD
        20322.20000000
        0.003171430789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BH6
        
          
        
        200000.00000000
        PA
        USD
        199622.00000000
        0.031152501060
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        96.00000000
        NC
        USD
        -420182.40000000
        -0.06557259551
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            14820182.40000000
            USD
            -420182.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -918.09000000
        -0.00014327478
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            882983.60000000
            EUR
            976041.24000000
            USD
            2022-04-06
            -918.09000000
          
        
        
          N
          N
          N
        
      
      
        KOREA TREASURY BOND
        549300O0QCVSQGPGDT58
        Korea Treasury Bond
        000000000
        
          
        
        2598070000.00000000
        PA
        
        1991729.27000000
        0.310824198718
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2029-06-10
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UXS6
        
          
        
        850782.17000000
        PA
        USD
        845731.27000000
        0.131982668673
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8482.84000000
        0.001323810412
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            550689.76000000
            USD
            503966.06000000
            EUR
            2022-06-15
            8482.84000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE TELEKOM INT FIN
        529900ERDFHS6C1M4U58
        Deutsche Telekom International Finance BV
        25156PAV5
        
          
        
        500000.00000000
        PA
        USD
        498125.00000000
        0.077736119219
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-09-19
          Fixed
          2.48500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WPC EUROBOND BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
        
        300000.00000000
        PA
        
        290025.50000000
        0.045260641093
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2030-06-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEATHROW FUNDING LTD
        7TI96JO3DYEIQWZ7Z726
        Heathrow Funding Ltd
        000000000
        
          
        
        575000.00000000
        PA
        
        577719.30000000
        0.090157403022
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2030-10-08
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        000000000
        
          
        
        100000.00000000
        PA
        
        114773.41000000
        0.017911246139
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-29
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        71596.49000000
        0.011173165937
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            7211706000.00000000
            KRW
            6006201.33000000
            USD
            2022-04-11
            71596.49000000
          
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAH7
        
          
        
        550000.00000000
        PA
        USD
        555819.00000000
        0.086739697964
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-04-24
          Fixed
          4.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        106.11000000
        0.000016559256
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            215728.98000000
            AUD
            161751.00000000
            USD
            2022-06-15
            106.11000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1640.13000000
        -0.00025595451
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3421938.74000000
            USD
            21737489.42000000
            CNY
            2022-04-01
            -1640.13000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        450000.00000000
        PA
        
        501824.76000000
        0.078313494345
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2025-07-24
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        718482.21000000
        0.112124504359
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1521307999.00000000
            JPY
            13217283.41000000
            USD
            2022-04-11
            718482.21000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AU3
        
          
        
        200000.00000000
        PA
        USD
        202350.00000000
        0.031578225795
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-08-18
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CK HUTCHISON INTL 20 LTD
        254900SSPRZHBMNJF043
        CK Hutchison International 20 Ltd
        12564HAA3
        
          
        
        200000.00000000
        PA
        USD
        185422.00000000
        0.028936485215
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-05-08
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCR0
        
          
        
        1000000.00000000
        PA
        USD
        1021780.00000000
        0.159456385237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        -40.00000000
        NC
        USD
        136963.79000000
        0.021374220342
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -4717588.79000000
            USD
            136963.79000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        22078.66000000
        PA
        USD
        22166.05000000
        0.003459177325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419CQT3
        
          
        
        4337.75000000
        PA
        USD
        4606.77000000
        0.000718920796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296USS1
        
          
        
        451.41000000
        PA
        USD
        485.73000000
        0.000075801787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2017-2
        63939RAA2
        
          
        
        4387205.33000000
        PA
        USD
        4398894.16000000
        0.686480222550
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.50700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        1247268.99000000
        PA
        USD
        1299536.30000000
        0.202802326218
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -227.60000000
        -0.00003551867
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            57399.18000000
            USD
            82529.37000000
            NZD
            2022-04-29
            -227.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -4003.47000000
        -0.00062477133
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            195323.07000000
            CAD
            152206.00000000
            USD
            2022-06-15
            -4003.47000000
          
        
        
          N
          N
          N
        
      
      
        European Investment Bank
        5493006YXS1U5GIHE750
        European Investment Bank
        000000000
        
          
        
        3400000.00000000
        PA
        
        3785095.50000000
        0.590692366468
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2028-01-14
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Simon Property Group LP
        MR92GTD0MJTTTTQDVG45
        Simon Property Group LP
        828807DD6
        
          
        
        576000.00000000
        PA
        USD
        577065.60000000
        0.090055388264
        Long
        DBT
        
        US
        N
        
        2
        
          2023-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418QJK0
        
          
        
        3127.08000000
        PA
        USD
        3320.12000000
        0.000518129473
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        265.90000000
        0.000041495676
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            264582.41000000
            USD
            2485301.95000000
            SEK
            2022-06-15
            265.90000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBJV3
        
          
        
        582664.62000000
        PA
        USD
        606644.36000000
        0.094671374239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296TGJ7
        
          
        
        313.37000000
        PA
        USD
        337.19000000
        0.000052621012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JW8
        
          
        
        625000.00000000
        PA
        USD
        582050.00000000
        0.090833241037
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04767A SWAPTION SOFRRATE
        000000000
        
          
        
        -44400000.00000000
        NC
        USD
        -26564.52000000
        -0.00414559135
        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
                    -26564.52000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  44400000.00000000
                  USD
                
              
            
            1.00000000
            1.54500000
            USD
            2022-11-16
            XXXX
            64455.48000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAEUPL2022042846400
        000000000
        
          
        
        -521000.00000000
        OU
        Notional Amount
        
        -8894.90000000
        -0.00138811544
        N/A
        DFE
        
        DE
        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
                    -8894.90000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -521000.00000000
                  EUR
                  -2417440.00000000
                  PLN
                  2022-04-28
                
              
            
            1.00000000
            4.64000000
            EUR
            2022-04-28
            XXXX
            1660.37000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417NTY7
        
          
        
        6916.02000000
        PA
        USD
        7344.93000000
        0.001146231074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -5319.49000000
        -0.00083014606
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            299551.73000000
            EUR
            327046.39000000
            USD
            2022-06-15
            -5319.49000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        28880.24000000
        0.004506976722
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            443674.35000000
            USD
            9529311.33000000
            MXN
            2022-06-15
            28880.24000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659X2D3
        
          
        
        1250000.00000000
        PA
        USD
        1246175.00000000
        0.194474897603
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217011  IRS GBP R F  1.00000 2 CCPOIS / Short: SR217011  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        970000.00000000
        OU
        Notional Amount
        
        -134561.16000000
        -0.02099927202
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-03-16
            0.00000000
            GBP
            -32938.19000000
            GBP
            970000.00000000
            GBP
            -82751.35000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002944  CDS USD R F  1.00000 2 CCPCDX / Short: SX002944  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        4175000.00000000
        OU
        Notional Amount
        USD
        57834.61000000
        0.009025521983
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S34
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            47790.01000000
            USD
            0.00000000
            USD
            4175000.00000000
            USD
            10044.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -9571.54000000
        -0.00149371016
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            297961863.00000000
            CLP
            367282.82000000
            USD
            2022-04-27
            -9571.54000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9955.53000000
        0.001553634663
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            866964.06000000
            USD
            1065628877.00000000
            KRW
            2022-04-11
            9955.53000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BBF9
        
          
        
        1835493.75000000
        PA
        USD
        272624.97000000
        0.042545158685
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        23944.40000000
        0.003736702098
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2144729768.00000000
            KRW
            1788869.88000000
            USD
            2022-04-11
            23944.40000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITEUSE2022042110384
        000000000
        
          
        
        -527000.00000000
        OU
        Notional Amount
        
        -3629.72000000
        -0.00056644486
        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
                    -3629.72000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -527000.00000000
                  EUR
                  -5472368.00000000
                  SEK
                  2022-04-21
                
              
            
            1.00000000
            10.38400000
            EUR
            2022-04-21
            XXXX
            2192.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -7520.27000000
        -0.00117359418
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            34686242.01000000
            INR
            444803.76000000
            USD
            2022-06-15
            -7520.27000000
          
        
        
          N
          N
          N
        
      
      
        EFSF
        222100OW6UHQXNHKN143
        European Financial Stability Facility
        000000000
        
          
        
        1170000.00000000
        PA
        
        1240624.15000000
        0.193608646085
        Long
        DBT
        NUSS
        LU
        
        N
        
        2
        
          2035-04-10
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292HX33
        
          
        
        2330.81000000
        PA
        USD
        2493.05000000
        0.000389059035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAG9
        
          
        
        400000.00000000
        PA
        USD
        407536.00000000
        0.063599030529
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-04-24
          Fixed
          4.89200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CY1
        
          
        
        150000.00000000
        PA
        USD
        153627.00000000
        0.023974638469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2097.01000000
        0.000327254041
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            393323.00000000
            USD
            356380.59000000
            EUR
            2022-06-15
            2097.01000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APHA9
        
          
        
        15401.99000000
        PA
        USD
        16345.24000000
        0.002550796537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1293.18000000
        -0.00020181037
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1736735.23000000
            USD
            131784511.18000000
            INR
            2022-04-05
            -1293.18000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042640
        
          
        
        1000000.00000000
        PA
        USD
        1037344.00000000
        0.161885263450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        1535733.68000000
        0.239662687957
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3667629234.00000000
            JPY
            31725908.48000000
            USD
            2022-06-16
            1535733.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417L5D3
        
          
        
        10908.21000000
        PA
        USD
        11584.71000000
        0.001807880346
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003066  CDS USD R F  1.00000 2 CCPCDX / Short: SX003066  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        128050000.00000000
        OU
        Notional Amount
        USD
        2186914.73000000
        0.341284344642
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S37
                2I65BYDZ5
              
            
            Y
            
            sell protection
            2026-12-20
            2106588.54000000
            USD
            0.00000000
            USD
            128050000.00000000
            USD
            80326.19000000
          
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        G5GSEF7VJP5I7OUK5573
        Long: SR217296  IRS CNY R F  2.25000 CCPVANILLA / Short: SR217296  IRS CNY P V 03MCNRR CCPVANILLA
        000000000
        
          
        
        16500000.00000000
        OU
        Notional Amount
        
        -891.84000000
        -0.00013917827
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Merrill Lynch International
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-15
            42518.00000000
            CNY
            0.00000000
            CNY
            16500000.00000000
            CNY
            -7575.42000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416RH63
        
          
        
        5606.19000000
        PA
        USD
        5904.27000000
        0.000921405343
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1263.14000000
        -0.00019712241
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            263361.00000000
            USD
            2308572.49000000
            NOK
            2022-06-15
            -1263.14000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AER5
        
          
        
        13542.63000000
        PA
        USD
        14372.55000000
        0.002242943558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -5355.00000000
        -0.00083568766
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2800213.83000000
            TRY
            174706.10000000
            USD
            2022-06-15
            -5355.00000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAG1
        
          
        
        875000.00000000
        PA
        USD
        953102.50000000
        0.148738749448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSCN2022042163790
        000000000
        
          
        
        1774000.00000000
        OU
        Notional Amount
        USD
        4005.69000000
        0.000625117782
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    4005.69000000
                    0.00000000
                    DFE
                    
                    US
                  
                  11316346.00000000
                  CNY
                  1774000.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            6.37900000
            USD
            2022-04-21
            XXXX
            -3824.75000000
          
        
        
          N
          N
          N
        
      
      
        ONE GAS INC
        549300HXDWI0LATTX840
        ONE Gas Inc
        68235PAL2
        
          
        
        1225000.00000000
        PA
        USD
        1178523.50000000
        0.183917376761
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-11
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2758.12000000
        0.000430425184
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            387982.18000000
            USD
            353163.76000000
            EUR
            2022-04-05
            2758.12000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1033.93000000
        0.000161352483
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            388512.78000000
            EUR
            430896.03000000
            USD
            2022-04-06
            1033.93000000
          
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        000000000
        
          
        
        1370000.00000000
        PA
        USD
        1476175.00000000
        0.230368111999
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2047-10-11
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        2074.62000000
        0.000323759914
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            198957.92000000
            GBP
            263361.00000000
            USD
            2022-06-15
            2074.62000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216949  IRS BRL R F 12.40000 CCPNDFPREDISWAP / Short: SR216949  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        6350000.00000000
        OU
        Notional Amount
        
        10903.98000000
        0.001701647356
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            0.00000000
            BRL
            -1426.89000000
            BRL
            6350000.00000000
            BRL
            11153.79000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FV84
        
          
        
        754317.86000000
        PA
        USD
        105922.37000000
        0.016529975372
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        502.00000000
        0.000078340841
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            398799.74000000
            EUR
            4156940.93000000
            SEK
            2022-06-15
            502.00000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
        
        1484000.00000000
        PA
        USD
        1497192.76000000
        0.233648090111
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        Galaxy Pipeline Assets Bidco Ltd
        000000000
        
          
        
        609218.20000000
        PA
        USD
        549819.43000000
        0.085803420346
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2040-09-30
          Fixed
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0NX3
        
          
        
        626355.41000000
        PA
        USD
        650236.34000000
        0.101474227648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-25
          Floating
          3.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
        
        3084000.00000000
        PA
        USD
        3255254.52000000
        0.508006732161
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11539.30000000
        0.001800793777
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            842534.32000000
            USD
            12520060.00000000
            ZAR
            2022-04-25
            11539.30000000
          
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        575000.00000000
        PA
        USD
        555053.25000000
        0.086620196969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        000000000
        
          
        
        195000.00000000
        PA
        
        205912.13000000
        0.032134122733
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-26
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -10628.61000000
        -0.00165867381
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            4267164.18000000
            SEK
            400259.28000000
            EUR
            2022-06-15
            -10628.61000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: IR217240  IRS MYR R F  3.27100 2 NDF / Short: IR217240  IRS MYR P V 03MKLIBO 1 NDF
        000000000
        
          
        
        1540000.00000000
        OU
        Notional Amount
        
        -14239.27000000
        -0.00222214422
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-12-21
            0.00000000
            MYR
            0.00000000
            MYR
            1540000.00000000
            MYR
            -14239.27000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04814A SWAPTION SOFRRATE
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -100600.06000000
        -0.01569938922
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -100600.06000000
                    -0.02000000
                    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
            -58610.06000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDK9
        
          
        
        1725000.00000000
        PA
        USD
        1575373.50000000
        0.245848777339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-10
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04817A SWAPTION EUR006M
        000000000
        
          
        
        -3290000.00000000
        NC
        
        -58204.24000000
        -0.00908320550
        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
                    -58204.24000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3290000.00000000
                  EUR
                
              
            
            1.00000000
            1.05400000
            EUR
            2022-04-19
            XXXX
            -21641.68000000
          
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        1639345.32000000
        PA
        USD
        1631543.84000000
        0.254614577583
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DTE ENERGY CO
        549300IX8SD6XXD71I78
        DTE Energy Co
        233331BE6
        
          
        
        498000.00000000
        PA
        USD
        498672.30000000
        0.077821529464
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3134A4AA2
        
          
        
        1160000.00000000
        PA
        USD
        1542127.20000000
        0.240660444409
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2031-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        794150000.00000000
        PA
        
        6330107.42000000
        0.987860446828
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2041-12-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006123  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006123  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        3320000.00000000
        OU
        Notional Amount
        USD
        25973.69000000
        0.004053387929
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Indonesia
                Republic of Indonesia
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            6469.91000000
            USD
            0.00000000
            USD
            3320000.00000000
            USD
            19503.78000000
          
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B13 Mortgage Trust
        08162DAR9
        
          
        
        450000.00000000
        PA
        USD
        342260.78000000
        0.053412345893
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRISH GOVERNMENT BOND
        549300KXBEJAOJ9OVF93
        Ireland Government Bond
        000000000
        
          
        
        920000.00000000
        PA
        
        946303.74000000
        0.147677752272
        Long
        DBT
        NUSS
        IE
        N
        
        2
        
          2032-10-18
          Fixed
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6915.73000000
        -0.00107925121
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            453150.05000000
            USD
            542262007.00000000
            KRW
            2022-04-11
            -6915.73000000
          
        
        
          N
          N
          N
        
      
      
        TELEFONICA EMISIONES SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        000000000
        
          
        
        500000.00000000
        PA
        
        566278.19000000
        0.088371932526
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-03-12
          Fixed
          1.78800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1673.62000000
        -0.00026118087
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1685241.60000000
            EUR
            1720572.69000000
            CHF
            2022-06-15
            -1673.62000000
          
        
        
          N
          N
          N
        
      
      
        NEWMONT CORP
        549300VSP3RIX7FGDZ51
        Newmont Corp
        651639AZ9
        
          
        
        400000.00000000
        PA
        USD
        367880.00000000
        0.057410416137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AF6
        
          
        
        1200000.00000000
        PA
        USD
        1251336.00000000
        0.195280310123
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2028-05-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2304.84000000
        -0.00035968746
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            99538.00000000
            USD
            11812745.00000000
            JPY
            2022-06-15
            -2304.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16177.92000000
        -0.00252468500
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            931395.69000000
            USD
            69628813.30000000
            INR
            2022-04-13
            -16177.92000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABYE3
        
          
        
        6958.78000000
        PA
        USD
        7384.95000000
        0.001152476494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292MA78
        
          
        
        3857.12000000
        PA
        USD
        3990.74000000
        0.000622784723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022041433300
        000000000
        
          
        
        3537000.00000000
        OU
        Notional Amount
        USD
        300.65000000
        0.000046918673
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    300.65000000
                    0.00000000
                    DFE
                    
                    US
                  
                  11778210.00000000
                  ILS
                  3537000.00000000
                  USD
                  2022-04-14
                
              
            
            1.00000000
            3.33000000
            USD
            2022-04-14
            XXXX
            -20383.73000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2644.62000000
        0.000412712663
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            535774.33000000
            USD
            8366384.00000000
            TRY
            2022-06-14
            2644.62000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4807.06000000
        0.000750177544
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            315533.00000000
            USD
            38917745.00000000
            JPY
            2022-06-15
            4807.06000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        5400000.00000000
        PA
        
        5678227.35000000
        0.886129702861
        Long
        DBT
        NUSS
        IT
        N
        
        1
        
          2026-08-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        262212.89000000
        PA
        USD
        277801.08000000
        0.043352929233
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -346.11000000
        -0.00005401304
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            69887.12000000
            USD
            62792.17000000
            EUR
            2022-05-05
            -346.11000000
          
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CY4
        
          
        
        575000.00000000
        PA
        USD
        562534.00000000
        0.087787623767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-28
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -38345.14000000
        -0.00598404491
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3317163.10000000
            NZD
            2257584.91000000
            USD
            2022-06-15
            -38345.14000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        301000.00000000
        PA
        
        314144.43000000
        0.049024579900
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-04-26
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1740.97000000
        0.000271691345
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            564832.46000000
            USD
            512087.45000000
            EUR
            2022-04-05
            1740.97000000
          
        
        
          N
          N
          N
        
      
      
        ALLIANZ SE
        529900K9B0N5BT694847
        Allianz SE
        000000000
        
          
        
        800000.00000000
        PA
        
        805314.42000000
        0.125675317967
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2030-10-30
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBE2
        
          
        
        500000.00000000
        PA
        USD
        509360.00000000
        0.079489424714
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217280  IRS BRL R V 01MBRCDI CCPNDFPREDISWAP / Short: BR217280  IRS BRL P F 10.95000 CCPNDFPREDISWAP
        000000000
        
          
        
        530000.00000000
        OU
        Notional Amount
        
        849.66000000
        0.000132595776
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-01-02
            657.69000000
            BRL
            0.00000000
            BRL
            530000.00000000
            BRL
            1442.53000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -1122.64000000
        -0.00017519634
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            376606.33000000
            SGD
            276733.29000000
            USD
            2022-04-06
            -1122.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        2539.95000000
        0.000396378130
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            538485994.00000000
            KRW
            445666.94000000
            USD
            2022-04-11
            2539.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        41771.53000000
        0.006518758616
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            88744.82000000
            USD
            11226219.73000000
            RUB
            2022-05-04
            41771.53000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E23U7
        
          
        
        53292.50000000
        PA
        USD
        56556.24000000
        0.008826022816
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        DENTSPLY SIRONA Inc
        24906PAA7
        
          
        
        775000.00000000
        PA
        USD
        746805.50000000
        0.116544564882
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AUP76
        
          
        
        52471.91000000
        PA
        USD
        55685.40000000
        0.008690121742
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217079  IRS NOK R F  2.00000 2 CCPVANILLA / Short: SR217079  IRS NOK P V 06MNIBOR 1 CCPVANILLA
        000000000
        
          
        
        58730000.00000000
        OU
        Notional Amount
        
        -429692.92000000
        -0.06705678305
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            NOK
            -1094358.85000000
            NOK
            58730000.00000000
            NOK
            -305638.19000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216774  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR216774  IRS GBP P F  1.00000 2 CCPOIS
        000000000
        
          
        
        2730000.00000000
        OU
        Notional Amount
        
        65035.81000000
        0.010149322920
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            24519.79000000
            GBP
            0.00000000
            GBP
            2730000.00000000
            GBP
            32939.22000000
          
        
        
          N
          N
          N
        
      
      
        CaixaBank SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        400000.00000000
        PA
        
        444539.83000000
        0.069373754023
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-05-17
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KPU7
        
          
        
        675000.00000000
        PA
        USD
        665780.45000000
        0.103900001878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSJ5
        
          
        
        123843.52000000
        PA
        USD
        130316.02000000
        0.020336786282
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BB8
        
          
        
        1500000.00000000
        PA
        USD
        1554555.00000000
        0.242599895235
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02X6
        
          
        
        6031.95000000
        PA
        USD
        6055.82000000
        0.000945055850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYG29
        
          
        
        3225847.72000000
        PA
        USD
        3334308.14000000
        0.520343638819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        Qatar Energy
        74730DAD5
        
          
        
        820000.00000000
        PA
        USD
        754400.00000000
        0.117729743216
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2051-07-12
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CY9
        
          
        
        1075000.00000000
        PA
        USD
        1144939.50000000
        0.178676343230
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -1010.87000000
        -0.00015775379
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            407398.36000000
            CHF
            441337.19000000
            USD
            2022-06-15
            -1010.87000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR216985  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR216985  IRS EUR P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        
        84525.65000000
        0.013190857727
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2037-03-16
            0.00000000
            EUR
            -20197.96000000
            EUR
            700000.00000000
            EUR
            107387.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTJPMEUUS2022040410865
        000000000
        
          
        
        -4818000.00000000
        OU
        Notional Amount
        
        -437.06000000
        -0.00006820647
        N/A
        DFE
        
        DE
        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
                    -437.06000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -4818000.00000000
                  EUR
                  -5234757.00000000
                  USD
                  2022-04-04
                
              
            
            1.00000000
            1.08650000
            EUR
            2022-04-04
            XXXX
            10838.83000000
          
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAB6
        
          
        
        600000.00000000
        PA
        USD
        646500.00000000
        0.100891143941
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2047-10-11
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -308772.48000000
        -0.04818624706
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            949000.00000000
            USD
            9948367.00000000
            TRY
            2022-06-14
            -308772.48000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -55401.27000000
        -0.00864578113
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2108667.29000000
            USD
            1854000.00000000
            EUR
            2022-05-05
            -55401.27000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND JUN22
        000000000
        
          
        
        13.00000000
        NC
        
        -217198.80000000
        -0.03389549171
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX 30 Year Euro BUXL Future
                UBM2 COMDTY
              
            
            2022-06-08
            2610697.94000000
            EUR
            -217198.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2150.93000000
        0.000335668659
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            413723.69000000
            CHF
            406803.95000000
            EUR
            2022-06-15
            2150.93000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-C59
        95003CAJ9
        
          
        
        1100000.00000000
        PA
        USD
        1037232.09000000
        0.161867799060
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-04-15
          Fixed
          2.62600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4947.39000000
        -0.00077207708
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            332132.00000000
            USD
            2881860.21000000
            NOK
            2022-06-15
            -4947.39000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABB0
        
          
        
        500000.00000000
        PA
        USD
        503030.00000000
        0.078501581031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTJPMEUUS2022040411010
        000000000
        
          
        
        3212000.00000000
        OU
        Notional Amount
        
        4164.43000000
        0.000649890342
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    4164.43000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  3536412.00000000
                  USD
                  3212000.00000000
                  EUR
                  2022-04-04
                
              
            
            1.00000000
            1.10100000
            EUR
            2022-04-04
            XXXX
            -15376.91000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        1200000.00000000
        PA
        USD
        1228800.00000000
        0.191763399342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIUSZA20220406149600
        000000000
        
          
        
        -1785000.00000000
        OU
        Notional Amount
        USD
        -42991.73000000
        -0.00670917992
        N/A
        DFE
        
        US
        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
                    -42991.73000000
                    -0.01000000
                    DFE
                    
                    ZA
                  
                  -1785000.00000000
                  USD
                  -26703600.00000000
                  ZAR
                  2022-04-06
                
              
            
            1.00000000
            14.96000000
            USD
            2022-04-06
            XXXX
            -30466.38000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        43465.69000000
        0.006783144913
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            560603.69000000
            USD
            2879559.92000000
            BRL
            2022-04-04
            43465.69000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        25690000.00000000
        PA
        
        4328512.65000000
        0.675496663298
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2049-07-22
          Fixed
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FWXZ8
        
          
        
        1088095.82000000
        PA
        USD
        163001.65000000
        0.025437622479
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PTBOAEUPL2022042846400
        000000000
        
          
        
        -521000.00000000
        OU
        Notional Amount
        
        -5582.59000000
        -0.00087120478
        N/A
        DFE
        
        DE
        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
                    -5582.59000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -521000.00000000
                  EUR
                  -2417440.00000000
                  PLN
                  2022-04-28
                
              
            
            1.00000000
            4.64000000
            EUR
            2022-04-28
            XXXX
            -734.93000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042606950
        000000000
        
          
        
        -2527000.00000000
        OU
        Notional Amount
        
        -21315.53000000
        -0.00332644734
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -21315.53000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -2527000.00000000
                  NZD
                  -1756265.00000000
                  USD
                  2022-04-26
                
              
            
            1.00000000
            0.69500000
            NZD
            2022-04-26
            XXXX
            301.58000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-OAT FUTURE JUN22
        000000000
        
          
        
        74.00000000
        NC
        
        -497892.17000000
        -0.07769978436
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                French Government Bond Futures
                OATM2 COMDTY
              
            
            2022-06-08
            11654412.12000000
            EUR
            -497892.17000000
          
        
        
          N
          N
          N
        
      
      
        NORINCHUKIN BANK
        5493007VSMFZCPV1NB83
        Norinchukin Bank/The
        656029AG0
        
          
        
        1050000.00000000
        PA
        USD
        964929.00000000
        0.150584362926
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-09-22
          Fixed
          1.28400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CP8
        
          
        
        225000.00000000
        PA
        USD
        201258.00000000
        0.031407811055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTCHAUSCN2022042663905
        000000000
        
          
        
        -581000.00000000
        OU
        Notional Amount
        USD
        -1241.60000000
        -0.00019376093
        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
                    -1241.60000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -581000.00000000
                  USD
                  -3712880.50000000
                  CNY
                  2022-04-26
                
              
            
            1.00000000
            6.39050000
            USD
            2022-04-26
            XXXX
            1774.95000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSCN2022042164350
        000000000
        
          
        
        -1774000.00000000
        OU
        Notional Amount
        USD
        -1287.92000000
        -0.00020098951
        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
                    -1287.92000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1774000.00000000
                  USD
                  -11415690.00000000
                  CNY
                  2022-04-21
                
              
            
            1.00000000
            6.43500000
            USD
            2022-04-21
            XXXX
            1357.11000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006092  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006092  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        2600000.00000000
        OU
        Notional Amount
        USD
        62189.66000000
        0.009705159998
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                SAUDI INTERNATIONAL BOND
                SAUDI INTERNATIONAL BOND
                
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            54132.34000000
            USD
            0.00000000
            USD
            2600000.00000000
            USD
            8057.32000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITGBUS2022042113215
        000000000
        
          
        
        -2650000.00000000
        OU
        Notional Amount
        
        -37370.38000000
        -0.00583192635
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -37370.38000000
                    -0.01000000
                    DFE
                    
                    US
                  
                  -2650000.00000000
                  GBP
                  -3501975.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            1.32150000
            GBP
            2022-04-21
            XXXX
            -7178.35000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216759  IRS CHF R F   .50000 CCPVANILLA / Short: SR216759  IRS CHF P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        7000000.00000000
        OU
        Notional Amount
        
        -266674.96000000
        -0.04161661527
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            CHF
            -116673.36000000
            CHF
            7000000.00000000
            CHF
            -140948.83000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        5390000.00000000
        PA
        
        837559.55000000
        0.130707410855
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2050-03-16
          Fixed
          3.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        466363.59000000
        PA
        USD
        483962.15000000
        0.075525900909
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RBK7
        
          
        
        100000.00000000
        PA
        USD
        100498.00000000
        0.015683462001
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04799A SWAPTION SOFRRATE
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -0.76000000
        -0.00000011860
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Federal Reserve Bank of Boston
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Federal Reserve Bank of Boston
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.76000000
                    0.00000000
                    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
            45656.24000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAD0
        
          
        
        200000.00000000
        PA
        USD
        150000.00000000
        0.023408618083
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        228.61000000
        0.000035676294
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            522581125.00000000
            KRW
            430267.28000000
            USD
            2022-04-11
            228.61000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -3726.47000000
        -0.00058154342
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1408083.76000000
            ILS
            438573.40000000
            USD
            2022-06-15
            -3726.47000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04810A SWAPTION EUR006M
        000000000
        
          
        
        -3360000.00000000
        NC
        
        -27.50000000
        -0.00000429157
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3360000.00000000
                    OU
                    Notional Amount
                    N/A
                    -27.50000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3360000.00000000
                  EUR
                
              
            
            1.00000000
            0.74300000
            EUR
            2022-04-07
            XXXX
            41424.40000000
          
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
        
        650000.00000000
        PA
        USD
        659379.50000000
        0.102901085918
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
        
        1700000.00000000
        PA
        USD
        1697960.00000000
        0.264979314410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216771  IRS SEK R F  1.00000 2 CCPVANILLA / Short: SR216771  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        21090000.00000000
        OU
        Notional Amount
        
        -95474.73000000
        -0.01489954327
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            SEK
            -521401.94000000
            SEK
            21090000.00000000
            SEK
            -41413.76000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9367.11000000
        0.001461807336
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1630395.82000000
            AUD
            1778574.34000000
            NZD
            2022-06-15
            9367.11000000
          
        
        
          N
          N
          N
        
      
      
        MACQUARIE BANK LTD
        4ZHCHI4KYZG2WVRT8631
        Macquarie Bank Ltd
        556079AD3
        
          
        
        800000.00000000
        PA
        USD
        700912.00000000
        0.109382542122
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2036-03-03
          Fixed
          3.05200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BPDJ5
        
          
        
        527024.44000000
        PA
        USD
        83130.20000000
        0.012973087353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-15
          Floating
          5.60300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -31298.75000000
        -0.00488440323
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            13270898.62000000
            NOK
            1475378.70000000
            USD
            2022-06-15
            -31298.75000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust
        465976AB4
        
          
        
        401956.41000000
        PA
        USD
        384277.76000000
        0.059969408812
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-25
          Variable
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217331  IRS KRW R F  2.50000 CCPNDF / Short: SR217331  IRS KRW P V 03MKWCDC CCPNDF
        000000000
        
          
        
        1923680000.00000000
        OU
        Notional Amount
        
        -26060.18000000
        -0.00406688533
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-15
            8700563.00000000
            KRW
            0.00000000
            KRW
            1923680000.00000000
            KRW
            -33306.32000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -454.68000000
        -0.00007095620
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            193405.63000000
            USD
            615474.74000000
            ILS
            2022-04-26
            -454.68000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042706955
        000000000
        
          
        
        -2521000.00000000
        OU
        Notional Amount
        
        -22447.76000000
        -0.00350314027
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -22447.76000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -2521000.00000000
                  NZD
                  -1753355.50000000
                  USD
                  2022-04-27
                
              
            
            1.00000000
            0.69550000
            NZD
            2022-04-27
            XXXX
            -826.10000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAD8
        
          
        
        1250000.00000000
        PA
        USD
        1356275.00000000
        0.211656823277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -1315.26000000
        -0.00020525612
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            322712.67000000
            NZD
            222046.00000000
            USD
            2022-06-15
            -1315.26000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042706835
        000000000
        
          
        
        5042000.00000000
        OU
        Notional Amount
        
        20323.19000000
        0.003171585286
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    20323.19000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  3446207.00000000
                  USD
                  5042000.00000000
                  NZD
                  2022-04-27
                
              
            
            1.00000000
            0.68350000
            NZD
            2022-04-27
            XXXX
            -1331.83000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NYHT5
        
          
        
        8952.16000000
        PA
        USD
        8987.59000000
        0.001402580412
        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 CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1417.18000000
        0.000221161502
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            184375.00000000
            USD
            232313.05000000
            CAD
            2022-06-15
            1417.18000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITUSZA2022042114483
        000000000
        
          
        
        -1757000.00000000
        OU
        Notional Amount
        USD
        -13493.76000000
        -0.00210580182
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -13493.76000000
                    0.00000000
                    DFE
                    
                    ZA
                  
                  -1757000.00000000
                  USD
                  -25446631.00000000
                  ZAR
                  2022-04-21
                
              
            
            1.00000000
            14.48300000
            USD
            2022-04-21
            XXXX
            -3584.28000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -44986.31000000
        -0.00702044899
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2168854.00000000
            EUR
            2356973.89000000
            USD
            2022-05-05
            -44986.31000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YWG5
        
          
        
        1281579.81000000
        PA
        USD
        196190.39000000
        0.030616972741
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        1500000.00000000
        PA
        USD
        1586025.00000000
        0.247511023309
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217420  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR217420  IRS PLN P F  3.75000 2 CCPVANILLA
        000000000
        
          
        
        3555553.00000000
        OU
        Notional Amount
        
        65007.02000000
        0.010144830026
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-06-15
            185975.93000000
            PLN
            0.00000000
            PLN
            3555553.00000000
            PLN
            25068.38000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DC0
        
          
        
        800000.00000000
        PA
        USD
        821848.00000000
        0.128255506366
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2033-03-29
          Fixed
          4.76200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022042132675
        000000000
        
          
        
        3529000.00000000
        OU
        Notional Amount
        USD
        4492.42000000
        0.000701075627
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    4492.42000000
                    0.00000000
                    DFE
                    
                    US
                  
                  11531007.50000000
                  ILS
                  3529000.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            3.26750000
            USD
            2022-04-21
            XXXX
            -12235.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03897A SWAPTION SONIO SEP22 0.363 CALL
        000000000
        
          
        
        -1500000.00000000
        NC
        
        -1747.42000000
        -0.00027269791
        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
                    
                      
                    
                    1500000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1747.42000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1500000.00000000
                  GBP
                
              
            
            1.00000000
            0.36300000
            GBP
            2022-09-08
            XXXX
            26020.85000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJL7
        
          
        
        100000.00000000
        PA
        USD
        107035.00000000
        0.016703609577
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -3294.14000000
        -0.00051407510
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1708042.35000000
            GBP
            2239834.50000000
            USD
            2022-06-15
            -3294.14000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296PBX9
        
          
        
        1707.93000000
        PA
        USD
        1826.82000000
        0.000285088877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        22581.10000000
        0.003523948972
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            104324625.00000000
            JPY
            881298.79000000
            USD
            2022-06-15
            22581.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABMY2
        
          
        
        9887.34000000
        PA
        USD
        10492.86000000
        0.001637489015
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        400000.00000000
        PA
        
        353999.92000000
        0.055244326193
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL SPA
        WOCMU6HCI0OJWNPRZS33
        Enel SpA
        000000000
        
          
        
        1275000.00000000
        PA
        
        1268885.62000000
        0.198019059137
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-06-08
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3686.46000000
        0.000575299561
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            867686.44000000
            USD
            1181060.07000000
            SGD
            2022-04-06
            3686.46000000
          
        
        
          N
          N
          N
        
      
      
        HELVETIA EUROPE SA
        549300KW3XYA7W477U50
        Helvetia Europe SA
        000000000
        
          
        
        550000.00000000
        PA
        
        586673.56000000
        0.091554782039
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2041-09-30
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: IR215576  IRS MYR R F  2.00000 2 NDF / Short: IR215576  IRS MYR P V 03MKLIBO 1 NDF
        000000000
        
          
        
        5630000.00000000
        OU
        Notional Amount
        
        -68481.74000000
        -0.01068708598
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.00000000
            MYR
            -26382.80000000
            MYR
            5630000.00000000
            MYR
            -61930.83000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CB9
        
          
        
        80000.00000000
        PA
        USD
        70199.20000000
        0.010955108417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED THB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        37491.48000000
        0.005850824911
        N/A
        DFE
        
        TH
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3802094.12000000
            USD
            127522236.83000000
            THB
            2022-06-15
            37491.48000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        1600000.00000000
        PA
        
        1656365.64000000
        0.258488204492
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2030-11-19
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        22535WAH0
        
          
        
        1100000.00000000
        PA
        USD
        1002331.00000000
        0.156421223817
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-26
          Fixed
          1.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1989.68000000
        0.000310504394
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            458983.44000000
            USD
            350967.83000000
            GBP
            2022-04-25
            1989.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416QBF1
        
          
        
        4030.41000000
        PA
        USD
        4238.66000000
        0.000661474487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296LK75
        
          
        
        681.35000000
        PA
        USD
        728.78000000
        0.000113731551
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3291.68000000
        0.000513691199
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            387492.05000000
            USD
            353193.44000000
            EUR
            2022-04-06
            3291.68000000
          
        
        
          N
          N
          N
        
      
      
        ONTARIO (PROVINCE OF)
        C7PVKCRGLG18EBQGZV36
        Province of Ontario Canada
        683234B98
        
          
        
        2300000.00000000
        PA
        
        2183321.20000000
        0.340723547500
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2041-06-02
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        635400EWI7RHQRLFJW85
        Higher Education Funding I
        429827AY4
        
          
        
        1364240.56000000
        PA
        USD
        1366794.55000000
        0.213298477466
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.54800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -32921.78000000
        -0.00513768916
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2932407513.28000000
            COP
            739386.66000000
            USD
            2022-05-16
            -32921.78000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042606830
        000000000
        
          
        
        5053000.00000000
        OU
        Notional Amount
        
        18784.63000000
        0.002931481530
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    18784.63000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  3451199.00000000
                  USD
                  5053000.00000000
                  NZD
                  2022-04-26
                
              
            
            1.00000000
            0.68300000
            NZD
            2022-04-26
            XXXX
            -2951.31000000
          
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        750000.00000000
        PA
        USD
        759442.50000000
        0.118516662927
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1762.51000000
        0.000275052823
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            122847.99000000
            EUR
            580211.06000000
            PLN
            2022-04-25
            1762.51000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        630000.00000000
        PA
        
        594139.09000000
        0.092719833643
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-07-16
          Fixed
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217587  IRS AUD R F  2.48000 2 CCPVANILLA / Short: SR217587  IRS AUD P V 03MBBSW 1 CCPVANILLA
        000000000
        
          
        
        8930000.00000000
        OU
        Notional Amount
        
        -42397.99000000
        -0.00661652236
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-14
            46.88000000
            AUD
            0.00000000
            AUD
            8930000.00000000
            AUD
            -42432.13000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
        
        1700000.00000000
        PA
        USD
        1685703.00000000
        0.263066518198
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382KVX8
        
          
        
        1406289.93000000
        PA
        USD
        171483.56000000
        0.026761287757
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217311  IRS USD R F  1.81000 2 CCPOIS / Short: SR217311  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        6260000.00000000
        OU
        Notional Amount
        USD
        -148972.35000000
        -0.02324824564
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-02-09
            0.00000000
            USD
            -9488.62000000
            USD
            6260000.00000000
            USD
            -139483.73000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312930J76
        
          
        
        333.94000000
        PA
        USD
        357.18000000
        0.000055740601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        19813.40000000
        0.003092028756
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            17771390.32000000
            TWD
            640433.54000000
            USD
            2022-04-15
            19813.40000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379VUJ1
        
          
        
        154622.35000000
        PA
        USD
        16991.71000000
        0.002651682999
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04856A SWAPTION EUR006M
        000000000
        
          
        
        -3230000.00000000
        NC
        
        -39465.13000000
        -0.00615882770
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3230000.00000000
                    OU
                    Notional Amount
                    N/A
                    -39465.13000000
                    -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
            -3352.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -203.23000000
        -0.00003171555
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1002702.25000000
            NOK
            113636.00000000
            USD
            2022-06-15
            -203.23000000
          
        
        
          N
          N
          N
        
      
      
        AGL CLO 3 Ltd.
        549300LS0REDUXQSHW18
        AGL CLO 3 LTD
        00119MAA7
        
          
        
        2100000.00000000
        PA
        USD
        2081515.80000000
        0.324836055984
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.54100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BZ1
        
          
        
        2150000.00000000
        PA
        USD
        2161373.50000000
        0.337298445319
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        549300Y1XB6AVMQY8652
        OZLM XIV Ltd
        67110HBW7
        
          
        
        1700000.00000000
        PA
        USD
        1690395.00000000
        0.263798739771
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          3.63100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216986  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR216986  IRS EUR P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        490000.00000000
        OU
        Notional Amount
        
        71405.60000000
        0.011143376129
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2042-03-16
            0.00000000
            EUR
            -15998.83000000
            EUR
            490000.00000000
            EUR
            89514.05000000
          
        
        
          N
          N
          N
        
      
      
        Educational Services of America Inc
        N/A
        Edsouth Indenture No 10 LLC
        28138JAA2
        
          
        
        410881.10000000
        PA
        USD
        412506.92000000
        0.064374779648
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-12-25
          Floating
          1.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CW3
        
          
        
        80000.00000000
        PA
        USD
        92319.20000000
        0.014407099297
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.80500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        862825.55000000
        0.134650358486
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            17747990.84000000
            GBP
            24176401.86000000
            USD
            2022-04-05
            862825.55000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCU8
        
          
        
        1040000.00000000
        PA
        USD
        981510.40000000
        0.153172013992
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-25
          Fixed
          2.96300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIUSCN2022042163250
        000000000
        
          
        
        -1774000.00000000
        OU
        Notional Amount
        USD
        -1784.64000000
        -0.00027850637
        N/A
        DFE
        
        US
        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
                    -1784.64000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1774000.00000000
                  USD
                  -11220550.00000000
                  CNY
                  2022-04-21
                
              
            
            1.00000000
            6.32500000
            USD
            2022-04-21
            XXXX
            933.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1222.01000000
        -0.00019070376
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            441177.76000000
            USD
            6318989056.48000000
            IDR
            2022-05-13
            -1222.01000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217234  IRS CAD R F  2.10000 2 CCPVANILLA / Short: SR217234  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        1440000.00000000
        OU
        Notional Amount
        
        -84164.47000000
        -0.01313449289
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2033-12-18
            7628.31000000
            CAD
            0.00000000
            CAD
            1440000.00000000
            CAD
            -86637.74000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FUAM6
        
          
        
        1254525.98000000
        PA
        USD
        196389.39000000
        0.030648028174
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          5.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRX0
        
          
        
        3200000.00000000
        PA
        USD
        3213984.00000000
        0.501566159889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACCAR FINANCIAL CORP
        PH3S12DWZBHHQKVYZ297
        PACCAR Financial Corp
        69371RR57
        
          
        
        725000.00000000
        PA
        USD
        692541.75000000
        0.108076302218
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-08
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416SFG1
        
          
        
        9598.40000000
        PA
        USD
        10109.97000000
        0.001577736177
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1275.13000000
        0.000198993541
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            444344.14000000
            USD
            6400332992.56000000
            IDR
            2022-05-13
            1275.13000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YR23
        
          
        
        385715.17000000
        PA
        USD
        48816.84000000
        0.007618231757
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        220000.00000000
        PA
        
        294109.60000000
        0.045897995341
        Long
        DBT
        NUSS
        GB
        N
        
        1
        
          2057-07-22
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        500000.00000000
        PA
        
        520075.67000000
        0.081161684891
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2028-05-26
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLP Trust
        N/A
        DOLP Trust 2021-NYC
        23345LAA7
        
          
        
        1500000.00000000
        PA
        USD
        1409953.82000000
        0.220033803254
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-05-10
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1813.26000000
        0.000282972738
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            847502.84000000
            USD
            5406220.62000000
            CNY
            2022-04-25
            1813.26000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216634  IRS NZD R F  1.25000 2 CCPVANILLA / Short: SR216634  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        7850000.00000000
        OU
        Notional Amount
        
        -44552.88000000
        -0.00695280901
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-12-15
            0.00000000
            NZD
            -8700.93000000
            NZD
            7850000.00000000
            NZD
            -38328.20000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1878.36000000
        -0.00029313207
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            398449.86000000
            EUR
            440219.36000000
            USD
            2022-06-15
            -1878.36000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217310  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217310  IRS USD P F  1.73000 2 CCPOIS
        000000000
        
          
        
        6030000.00000000
        OU
        Notional Amount
        USD
        64589.14000000
        0.010079616737
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-02-09
            1720.41000000
            USD
            0.00000000
            USD
            6030000.00000000
            USD
            62868.73000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBM0
        
          
        
        620000.00000000
        PA
        USD
        622300.20000000
        0.097114584768
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAJ2
        
          
        
        1000000.00000000
        PA
        USD
        1018240.00000000
        0.158903941851
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296JQB5
        
          
        
        183.03000000
        PA
        USD
        195.77000000
        0.000030551367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EW73
        
          
        
        200977.49000000
        PA
        USD
        17050.21000000
        0.002660812360
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IR212738  IRS MYR R F  3.56500 2 NDF / Short: IR212738  IRS MYR P V 03MKLIBO 1 NDF
        000000000
        
          
        
        10040000.00000000
        OU
        Notional Amount
        
        37121.79000000
        0.005793132031
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-14
            0.00000000
            MYR
            0.00000000
            MYR
            10040000.00000000
            MYR
            37121.79000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAG0
        
          
        
        950000.00000000
        PA
        USD
        928844.96000000
        0.144953179518
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.04300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN MEDICAL SYST EU
        549300AA2JE6ZQ5D2493
        American Medical Systems Europe BV
        000000000
        
          
        
        850000.00000000
        PA
        
        917453.30000000
        0.143175426062
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2031-03-08
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RAZ5
        
          
        
        1500000.00000000
        PA
        USD
        1362690.00000000
        0.212657931844
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-12-14
          Fixed
          1.48800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        104264.42000000
        PA
        USD
        117379.50000000
        0.018317945909
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BN1
        
          
        
        1100000.00000000
        PA
        USD
        1100341.00000000
        0.171716414873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KHE2
        
          
        
        230000.00000000
        PA
        USD
        226492.39000000
        0.035345825709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217664  IRS USD R F  2.13000 2 CCPOIS / Short: SR217664  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        6000000.00000000
        OU
        Notional Amount
        USD
        -15947.40000000
        -0.00248871064
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            0.00000000
            USD
            -30294.80000000
            USD
            6000000.00000000
            USD
            14347.40000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292H4H4
        
          
        
        672.07000000
        PA
        USD
        718.85000000
        0.000112181900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        504.95000000
        PA
        USD
        540.10000000
        0.000084286630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCM2
        
          
        
        250000.00000000
        PA
        USD
        250325.00000000
        0.039065082145
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Ltd.
        K9WDOH4D2PYBSLSOB484
        CTBAREUSE2022042710330
        000000000
        
          
        
        -527000.00000000
        OU
        Notional Amount
        
        -7275.76000000
        -0.00113543658
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Barclays Capital Securities Ltd.
              K9WDOH4D2PYBSLSOB484
            
            Call
            Written
            
              
                
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                  
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -7275.76000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -527000.00000000
                  EUR
                  -5443910.00000000
                  SEK
                  2022-04-27
                
              
            
            1.00000000
            10.33000000
            EUR
            2022-04-27
            XXXX
            -1432.65000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9TW3
        
          
        
        350057.48000000
        PA
        USD
        369933.85000000
        0.057730934739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        202712BK0
        
          
        
        1000000.00000000
        PA
        USD
        958070.00000000
        0.149513964850
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-09-12
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        84.54000000
        0.000013193097
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            350967.83000000
            GBP
            461057.66000000
            USD
            2022-04-25
            84.54000000
          
        
        
          N
          N
          N
        
      
      
        ERSTE GROUP BANK AG
        PQOH26KWDF7CG10L6792
        Erste Group Bank AG
        000000000
        
          
        
        600000.00000000
        PA
        
        636044.94000000
        0.099259553897
        Long
        DBT
        CORP
        AT
        N
        
        2
        
          2031-09-08
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1750000.00000000
        PA
        
        2125310.44000000
        0.331670535996
        Long
        DBT
        NUSS
        IT
        N
        
        1
        
          2038-09-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1529.56000000
        0.000238699239
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            594419.99000000
            USD
            538623.94000000
            EUR
            2022-04-06
            1529.56000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04831A SWAPTION SOFRRATE
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -55096.96000000
        -0.00859829129
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -55096.96000000
                    -0.01000000
                    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
            -17951.96000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5CH1
        
          
        
        9489.50000000
        PA
        USD
        10150.04000000
        0.001583989399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04065A SWAPTION SONIO
        000000000
        
          
        
        -1840000.00000000
        NC
        
        -7308.87000000
        -0.00114060364
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1840000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7308.87000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1840000.00000000
                  GBP
                
              
            
            1.00000000
            0.55250000
            GBP
            2022-11-15
            XXXX
            34514.14000000
          
        
        
          N
          N
          N
        
      
      
        3650R Commercial Mortgage Trust
        N/A
        3650R 2021-PF1 Commercial Mortgage Trust
        88581EAH4
        
          
        
        850000.00000000
        PA
        USD
        784090.32000000
        0.122363138960
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          2.77800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DC6
        
          
        
        300000.00000000
        PA
        USD
        318750.00000000
        0.049743313428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS02950A SWAPTION US0003M
        000000000
        
          
        
        10100000.00000000
        NC
        USD
        2069.49000000
        0.000322959340
        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
                    
                      
                    
                    10100000.00000000
                    OU
                    Notional Amount
                    N/A
                    2069.49000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10100000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2022-11-14
            XXXX
            -100157.23000000
          
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DB2
        
          
        
        27000.00000000
        PA
        USD
        27347.76000000
        0.004267821795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-16
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3448.00000000
        -0.00053808610
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            3703535.25000000
            USD
            3341000.00000000
            EUR
            2022-05-05
            -3448.00000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216597  IRS CAD R F  2.25000 2 CCPVANILLA / Short: SR216597  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        1120000.00000000
        OU
        Notional Amount
        
        -112380.22000000
        -0.01753777100
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-12-15
            0.00000000
            CAD
            -58992.26000000
            CAD
            1120000.00000000
            CAD
            -59430.84000000
          
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        000000000
        
          
        
        355000.00000000
        PA
        
        412743.39000000
        0.064411682554
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-26
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -50522.40000000
        -0.00788439710
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            362339673.41000000
            HUF
            1028881.67000000
            USD
            2022-06-15
            -50522.40000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2N3
        
          
        
        575000.00000000
        PA
        USD
        523767.50000000
        0.081737822481
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        21600.00000000
        PA
        USD
        23007.02000000
        0.003590416962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030641
        
          
        
        7000000.00000000
        PA
        USD
        6919085.60000000
        1.079774881997
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -11186.68000000
        -0.00174576479
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            399522.48000000
            EUR
            3805971.00000000
            NOK
            2022-06-15
            -11186.68000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        650000.00000000
        PA
        USD
        619385.00000000
        0.096659646078
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217019  IRS CAD R F  2.00000 2 CCPVANILLA / Short: SR217019  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        15340000.00000000
        OU
        Notional Amount
        
        -935863.32000000
        -0.14604844691
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CAD
            -736144.69000000
            CAD
            15340000.00000000
            CAD
            -355170.31000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -10657.63000000
        -0.00166320260
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            20957262419.81000000
            IDR
            1447644.67000000
            USD
            2022-05-31
            -10657.63000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1044.51000000
        0.000163003571
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            333350.02000000
            GBP
            438824.63000000
            USD
            2022-06-15
            1044.51000000
          
        
        
          N
          N
          N
        
      
      
        TECHNIP ENERGIES NV
        724500FLODI49NSCIP70
        Technip Energies NV
        000000000
        
          
        
        1025000.00000000
        PA
        
        1010468.99000000
        0.157691217816
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-05-28
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KRS54
        
          
        
        4526.52000000
        PA
        USD
        4759.05000000
        0.000742685225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        250000.00000000
        PA
        
        326412.82000000
        0.050939153606
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2066-06-22
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        N/A
        LONG GILT FUTURE JUN22
        000000000
        
          
        
        68.00000000
        NC
        
        -70681.81000000
        -0.01103042330
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              N/A
            
            Long
            
              
                Long Gilt Future
                G M2 COMDTY
              
            
            2022-06-28
            8311725.68000000
            GBP
            -70681.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1756.33000000
        0.000274088387
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            400199.60000000
            EUR
            4183286.42000000
            SEK
            2022-06-15
            1756.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        341.58000000
        0.000053306105
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            38567.33000000
            NZD
            36167.17000000
            AUD
            2022-04-11
            341.58000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B9HA6
        
          
        
        151885.74000000
        PA
        USD
        20658.30000000
        0.003223881699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          5.65300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        69270.47000000
        0.010810173178
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2584427.98000000
            USD
            3541588.25000000
            AUD
            2022-06-15
            69270.47000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217686  IRS EUR R F  1.32300 2 CCPVANILLA / Short: SR217686  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        3380000.00000000
        OU
        Notional Amount
        
        4636.52000000
        0.000723563506
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-31
            0.00000000
            EUR
            -8554.10000000
            EUR
            3380000.00000000
            EUR
            14120.88000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -33.60000000
        -0.00000524353
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            399522.48000000
            EUR
            554241.56000000
            CAD
            2022-06-15
            -33.60000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216872  IRS BRL R F 10.56500 CCPNDFPREDISWAP / Short: SR216872  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        7140000.00000000
        OU
        Notional Amount
        
        -12744.16000000
        -0.00198882116
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            0.00000000
            BRL
            0.00000000
            BRL
            7140000.00000000
            BRL
            -12744.16000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4982.37000000
        -0.00077753597
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            439637.39000000
            USD
            4078746.00000000
            SEK
            2022-06-15
            -4982.37000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2005-QO5 Trust
        761118QM3
        
          
        
        363689.06000000
        PA
        USD
        325610.38000000
        0.050813926863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-01-25
          Floating
          1.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418RGD7
        
          
        
        56965.51000000
        PA
        USD
        60482.08000000
        0.009438679410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3570.85000000
        0.000557257759
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            223205.12000000
            USD
            4519992.21000000
            MXN
            2022-04-12
            3570.85000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABF1
        
          
        
        900000.00000000
        PA
        USD
        903780.00000000
        0.141041605678
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONTARIO (PROVINCE OF)
        C7PVKCRGLG18EBQGZV36
        Province of Ontario Canada
        68323ACX0
        
          
        
        1700000.00000000
        PA
        
        1355743.71000000
        0.211573911512
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2025-06-02
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL FIXED BOND
        213800T8ZHTFZIBYPE21
        Israel Government Bond - Fixed
        000000000
        
          
        
        2430000.00000000
        PA
        
        771388.66000000
        0.120380950240
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2027-03-31
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        22460000.00000000
        PA
        
        3632389.58000000
        0.566861469398
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2028-11-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAH5
        
          
        
        1000000.00000000
        PA
        USD
        924530.00000000
        0.144279797846
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-10-06
          Fixed
          1.65200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217028  IRS AUD R F  1.25000 2 CCPVANILLA / Short: SR217028  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        24860000.00000000
        OU
        Notional Amount
        
        -1460968.36000000
        -0.22799500247
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            AUD
            -1017081.54000000
            AUD
            24860000.00000000
            AUD
            -592944.37000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BW8
        
          
        
        1000000.00000000
        PA
        USD
        1014960.00000000
        0.158392073402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        1237.50000000
        0.000193121099
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1955543.99000000
            BRL
            411468.33000000
            USD
            2022-04-04
            1237.50000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDS8
        
          
        
        550000.00000000
        PA
        USD
        656392.00000000
        0.102434864275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217043  IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR217043  IRS JPY P F   .00000 CCPVANILLA
        000000000
        
          
        
        447370000.00000000
        OU
        Notional Amount
        
        94962.31000000
        0.014819576314
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            10393038.00000000
            JPY
            0.00000000
            JPY
            447370000.00000000
            JPY
            5934.79000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        269906.93000000
        PA
        USD
        281428.34000000
        0.043918990193
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        639057AC2
        
          
        
        700000.00000000
        PA
        USD
        639919.00000000
        0.099864129837
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-06-14
          Fixed
          1.64200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MCG0
        
          
        
        330772.70000000
        PA
        USD
        51237.06000000
        0.007995925128
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AG1
        
          
        
        375000.00000000
        PA
        USD
        380906.25000000
        0.059443259546
        Long
        DBT
        
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -567.51000000
        -0.00008856416
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            180597.01000000
            USD
            218847457.00000000
            KRW
            2022-06-15
            -567.51000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2019-C53
        95002BAJ2
        
          
        
        1300000.00000000
        PA
        USD
        1269036.31000000
        0.198042575435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-10-15
          Variable
          3.51400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN DIGITAL CORP
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AQ8
        
          
        
        200000.00000000
        PA
        USD
        183350.00000000
        0.028613134171
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L5TJ2
        
          
        
        6696.78000000
        PA
        USD
        6985.88000000
        0.001090198645
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1680000.00000000
        PA
        
        2511130.31000000
        0.391880602569
        Long
        DBT
        NUSS
        IT
        N
        
        1
        
          2031-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6614.46000000
        0.001032235786
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1729569.02000000
            USD
            131784511.18000000
            INR
            2022-04-04
            6614.46000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        CTHSBUSSG2022040413620
        000000000
        
          
        
        7713827.57000000
        OU
        Notional Amount
        USD
        1272.78000000
        0.000198626806
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            Call
            Purchased
            
              
                
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                  
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1272.78000000
                    0.00000000
                    DFE
                    
                    US
                  
                  10506233.15000000
                  SGD
                  7713827.57000000
                  USD
                  2022-04-04
                
              
            
            1.00000000
            1.36200000
            USD
            2022-04-04
            XXXX
            -16584.73000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BE0
        
          
        
        1200000.00000000
        PA
        USD
        1201272.00000000
        0.187467449751
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-15
          Fixed
          3.49800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAA8
        
          
        
        500000.00000000
        PA
        USD
        512500.00000000
        0.079979445119
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2027-10-11
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        310250.36000000
        PA
        USD
        323493.89000000
        0.050483632823
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAF9
        
          
        
        2350000.00000000
        PA
        USD
        2378858.00000000
        0.371238522650
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        18179.89000000
        0.002837107345
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            380350.43000000
            USD
            8874453.30000000
            CZK
            2022-06-15
            18179.89000000
          
        
        
          N
          N
          N
        
      
      
        DP World Crescent Ltd
        21380096JRTWB8TL9236
        DP World Crescent Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        213000.00000000
        0.033240237679
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-09-26
          Fixed
          4.84800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        CTCITUSZA2022042115315
        000000000
        
          
        
        1757000.00000000
        OU
        Notional Amount
        USD
        4636.72000000
        0.000723594717
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    4636.72000000
                    0.00000000
                    DFE
                    
                    US
                  
                  26908455.00000000
                  ZAR
                  1757000.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            15.31500000
            USD
            2022-04-21
            XXXX
            -7196.67000000
          
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BB8
        
          
        
        400000.00000000
        PA
        USD
        402756.00000000
        0.062853075899
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-03-28
          Fixed
          4.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2883.38000000
        0.000449972941
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            920715.67000000
            USD
            1251797.66000000
            SGD
            2022-06-15
            2883.38000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -807.41000000
        -0.00012600234
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            137336.20000000
            EUR
            1421306.07000000
            SEK
            2022-04-25
            -807.41000000
          
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAA7
        
          
        
        240000.00000000
        PA
        USD
        246336.00000000
        0.038442568961
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEYERHAEUSER CO
        08IRJODWFYBI7QWRGS31
        Weyerhaeuser Co
        962166CA0
        
          
        
        275000.00000000
        PA
        USD
        267907.75000000
        0.041809001342
        Long
        DBT
        
        US
        N
        
        2
        
          2033-03-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1529.55000000
        -0.00023869767
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            538619.99000000
            EUR
            594415.63000000
            USD
            2022-04-06
            -1529.55000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK14
        06035RAX4
        
          
        
        350000.00000000
        PA
        USD
        279966.51000000
        0.043690860725
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        575000.00000000
        PA
        
        575009.54000000
        0.089734524776
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-05-04
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        110903.75000000
        0.017307356852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-26
          Fixed
          1.69400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORANGE SA
        969500MCOONR8990S771
        Orange SA
        000000000
        
          
        
        100000.00000000
        PA
        
        105643.53000000
        0.016486460311
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LSR85
        
          
        
        11377.93000000
        PA
        USD
        11422.96000000
        0.001782638053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        CTCITEUSE2022042110384
        000000000
        
          
        
        -527000.00000000
        OU
        Notional Amount
        
        -5045.82000000
        -0.00078743782
        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
                    -5045.82000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -527000.00000000
                  EUR
                  -5472368.00000000
                  SEK
                  2022-04-21
                
              
            
            1.00000000
            10.38400000
            EUR
            2022-04-21
            XXXX
            775.98000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1209.23000000
        0.000188709354
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            830051.50000000
            USD
            1126691.98000000
            SGD
            2022-04-06
            1209.23000000
          
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        268317AU8
        
          
        
        1450000.00000000
        PA
        USD
        1475955.00000000
        0.230333779359
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        000000000
        
          
        
        565000.00000000
        PA
        
        626524.94000000
        0.097773886936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-25
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AWKF3
        
          
        
        426165.43000000
        PA
        USD
        71511.07000000
        0.011159835509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Floating
          5.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        1608711.12000000
        PA
        USD
        1671296.58000000
        0.260818288973
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2004-10
        81744FEW3
        
          
        
        41114.11000000
        PA
        USD
        39598.17000000
        0.006179589588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-20
          Floating
          0.82600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNAC HK FINBRIDGE CO LTD
        549300US1UQ7R7WABI28
        CNAC HK Finbridge Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        196304.00000000
        0.030634702428
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2029-06-19
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13345.49000000
        0.002082663190
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            1096825.00000000
            USD
            1388148.30000000
            CAD
            2022-06-15
            13345.49000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217604  IRS MXN R F  8.40000 2 CCPVANILLA / Short: SR217604  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        17330000.00000000
        OU
        Notional Amount
        
        11354.07000000
        0.001771887255
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-02
            49435.41000000
            MXN
            0.00000000
            MXN
            17330000.00000000
            MXN
            8872.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8907.00000000
        0.001390003741
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            367848.00000000
            USD
            297883310.00000000
            CLP
            2022-04-27
            8907.00000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ABF48
        
          
        
        145951.12000000
        PA
        USD
        18732.80000000
        0.002923393072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-15
          Floating
          5.60300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        315318.57000000
        PA
        USD
        327585.76000000
        0.051122199636
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEA FINANCE LLC/WESTFIEL
        N/A
        WEA Finance LLC / Westfield UK & Europe Finance PLC
        92890HAC6
        
          
        
        400000.00000000
        PA
        USD
        399648.00000000
        0.062368049333
        Long
        DBT
        
        US
        
        N
        
        2
        
          2024-09-17
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
        
        26660000.00000000
        PA
        USD
        21869531.25000000
        3.412903364687
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
        
        2150000.00000000
        PA
        USD
        2204502.50000000
        0.344029047248
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217232  IRS CAD R F  2.07000 2 CCPVANILLA / Short: SR217232  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        6370000.00000000
        OU
        Notional Amount
        
        -87413.93000000
        -0.01364159535
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-18
            0.00000000
            CAD
            -31122.11000000
            CAD
            6370000.00000000
            CAD
            -62862.90000000
          
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
        
        250000.00000000
        PA
        USD
        254767.50000000
        0.039758367384
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300VI1BOFEK7C6D74
        Venture 39 CLO Ltd
        92332TAB8
        
          
        
        3475000.00000000
        PA
        USD
        3451894.73000000
        0.538693902667
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.52100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        995.83000000
        0.000155406694
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            148398.00000000
            USD
            215844.42000000
            NZD
            2022-06-15
            995.83000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        240000.00000000
        PA
        USD
        107400.00000000
        0.016760570548
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2034-04-28
          Fixed
          8.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        529900FZRK8FGMPEOM08
        European Union
        000000000
        
          
        
        380000.00000000
        PA
        
        374322.84000000
        0.058415869344
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2037-02-04
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04069A SWAPTION SONIO
        000000000
        
          
        
        -1670000.00000000
        NC
        
        -7497.73000000
        -0.00117007665
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    1670000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7497.73000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1670000.00000000
                  GBP
                
              
            
            1.00000000
            0.59900000
            GBP
            2022-11-16
            XXXX
            30568.55000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
      
    
    
      2022-04-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
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