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Form NPORT-P PRUDENTIAL INVESTMENT For: Apr 30

June 23, 2021 1:31 PM EDT

  
    NPORT-P
    false
    
      
      
        
          0001104631
          XXXXXXXX
        
      
      
      
      
        S000051243
        C000161582
        C000161581
        C000161579
        C000161580
      
      
    
  
  
    
      Prudential Investment Portfolios 3
      811-09805
      0001104631
      549300IKC66S6EOWJB51
      655 Broad Street
      17th Floor
      Newark
      
      07102-4077
      1-800-225-1852
      PGIM Global Dynamic Bond Fund
      S000051243
      549300CL0B9ZKN3KG807
      2021-10-31
      2021-04-30
      N
    
    
      73083645.91
      7926253.24
      65157392.67
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      500000.00000000
      0.00000000
      0.00000000
      1726327.12000000
      
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        -18.00000000
        NC
        USD
        -68670.00000000
        -0.10539095747
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Long
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            14300.00000000
            USD
            2021-06-18
            XXXX
            15532.71000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -33866.48000000
        -0.05197641988
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-01-23
            2503.75000000
            USD
            0.00000000
            USD
            190140000.00000000
            HUF
            -36370.23000000
          
        
        
          N
          N
          N
        
      
      
        BRIXMOR OPERATING PART
        549300CJHBL7JBUA6503
        Brixmor Operating Partnership LP
        11120VAH6
        
          
          
        
        65000.00000000
        PA
        USD
        71556.10000000
        0.109820385788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        254.65000000
        0.000390822882
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -8286043.00000000
            JPY
            76124.84000000
            USD
            2021-07-19
            254.65000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        10800000.00000000
        NC
        
        13513.50000000
        0.020739780163
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            10800000.00000000
            USD
            63.00000000
            AUD
            2022-01-26
            XXXX
            -316066.22000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -9522.97000000
        -0.01461533313
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-04-03
            0.00000000
            USD
            -987.64000000
            USD
            1535000.00000000
            CAD
            -8535.33000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1761.00000000
        -0.00270268641
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -595407.00000000
            ZAR
            39017.67000000
            USD
            2021-06-17
            -1761.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -332.55000000
        -0.00051037953
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -157152.00000000
            GBP
            216774.18000000
            USD
            2021-08-31
            -332.55000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        EUR/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        32287.26000000
        0.049552719464
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -472000.00000000
            EUR
            435174.56000000
            GBP
            2021-08-31
            32287.26000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        361.80000000
        0.000555270837
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -144786.68000000
            USD
            15780141.00000000
            JPY
            2022-05-31
            361.80000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        4000000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2021-05-07
                
              
            
            4000000.00000000
            USD
            28.00000000
            USD
            2021-05-07
            XXXX
            -1280.00000000
          
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust 20
        N/A
        Legacy Mortgage Asset Trust 2020-GS1
        52474PAA0
        
          
        
        631997.03000000
        PA
        USD
        638208.68000000
        0.979487750887
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          2.88200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 5 Year US Treasury Note
        000000000
        
          
          
        
        -21.00000000
        NC
        USD
        -1010.17000000
        -0.00155035362
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-30
            -2601677.33000000
            USD
            -1010.17000000
          
        
        
          N
          N
          N
        
      
      
        ITALY GOV'T INT BOND
        815600DE60799F5A9309
        Republic of Italy Government International Bond
        465410BG2
        
          
          
        
        215000.00000000
        PA
        USD
        263320.96000000
        0.404130597020
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2033-06-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government International Bond
        000000000
        
          
          
        
        120000.00000000
        PA
        
        204450.78000000
        0.313779866907
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2034-07-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/PLN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -332.02000000
        -0.00050956612
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -333183.00000000
            PLN
            87565.67000000
            USD
            2021-07-19
            -332.02000000
          
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GROUP LLC
        5493002K6DHWNZH8YA34
        Diamond Sports Group LLC
        25277BAB4
        
          
          
        
        40000.00000000
        PA
        USD
        28400.00000000
        0.043586765578
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-08-24
          Floating
          3.36100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PILGRIM'S PRIDE CORP
        549300ZSLGV64ZL3HD75
        Pilgrim's Pride Corp
        72147KAF5
        
          
          
        
        175000.00000000
        PA
        USD
        176833.24000000
        0.271393978110
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        8438.72000000
        0.012951285578
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Y
            
            
              
                
              
            
            2026-01-21
            1345.01000000
            USD
            0.00000000
            USD
            550000.00000000
            PLN
            7093.71000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39425.14000000
        -0.06050754700
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1442507.43000000
            USD
            153311496.00000000
            JPY
            2021-05-28
            -39425.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        10934.76000000
        0.016782071154
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                REPUBLIC OF INDONESIA
                REPUBLIC OF INDONESIA
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2025-06-20
            0.00000000
            USD
            -22898.64000000
            USD
            600000.00000000
            USD
            33833.40000000
          
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AJ6
        
          
          
        
        50000.00000000
        PA
        USD
        50249.39000000
        0.077120013464
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2030-01-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2019-MEAD
        61771LAL6
        
          
        
        650000.00000000
        PA
        USD
        622720.61000000
        0.955717508762
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-10
          Variable
          3.28300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        000000000
        
          
          
        
        400000.00000000
        PA
        
        474287.62000000
        0.727910679916
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        32304.93000000
        0.049579838413
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2023-05-24
            0.00000000
            USD
            0.00000000
            USD
            2000000.00000000
            PLN
            32304.93000000
          
        
        
          N
          N
          N
        
      
      
        MEG ENERGY CORP
        5493002WXPTG5ZC1T326
        MEG Energy Corp
        552704AE8
        
          
          
        
        45000.00000000
        PA
        USD
        48046.07000000
        0.073738478522
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-02-01
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SALLY HOLDINGS/SALLY CAP
        N/A
        Sally Holdings LLC / Sally Capital Inc
        79546VAL0
        
          
          
        
        100000.00000000
        PA
        USD
        103049.55000000
        0.158154809112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        57479.80000000
        0.088216850988
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -62753750.00000000
            JPY
            823000.00000000
            AUD
            2022-05-31
            57479.80000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -4987.28000000
        -0.00765420437
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            
              
                
              
            
            2029-10-07
            0.00000000
            USD
            0.00000000
            USD
            1000000.00000000
            ILS
            -4987.28000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        USD CALL VERSUS GBP PUT
        000000000
        
          
        
        -12000000.00000000
        NC
        
        -0.74000000
        -0.00000113571
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    USD CALL VERSUS GBP PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            -12000000.00000000
            USD
            1.14000000
            GBP
            2021-05-26
            XXXX
            201583.57000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        5800000.00000000
        NC
        USD
        1662.06000000
        0.002550838718
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-09-28
                
              
            
            5800000.00000000
            USD
            24.00000000
            USD
            2021-09-28
            XXXX
            855.86000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP CDS CDX.NA.HY.35.V1
        000000000
        
          
        
        -1000000.00000000
        OU
        Other
        USD
        -1475.37000000
        -0.00226431712
        N/A
        DCR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    CDS CDX.NA.HY.35.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    CH
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.HY.35.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2025-12-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -1000000.00000000
            USD
            99.00000000
            USD
            2021-07-21
            XXXX
            4524.63000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS NOK
        000000000
        
          
        
        1.00000000
        NC
        
        11679.34000000
        0.017924811784
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-02-07
            2854.40000000
            USD
            0.00000000
            USD
            2690000.00000000
            NOK
            8824.94000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS BRL PUT
        000000000
        
          
        
        6150000.00000000
        NC
        USD
        364231.97000000
        0.559003291989
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS BRL PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2022-09-28
                
              
            
            6150000.00000000
            USD
            6.20000000
            USD
            2022-09-28
            XXXX
            -84957.88000000
          
        
        
          N
          N
          N
        
      
      
        GRIFFON CORPORATION
        5493000C2SGNC7ZN3242
        Griffon Corp
        398433AP7
        
          
          
        
        100000.00000000
        PA
        USD
        106720.75000000
        0.163789165936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39397.77000000
        -0.06046554103
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -370000.00000000
            USD
            35477240.00000000
            JPY
            2023-10-31
            -39397.77000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -172.19000000
        -0.00026426778
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -15036.79000000
            USD
            1110583.00000000
            INR
            2021-06-16
            -172.19000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4583.69000000
        -0.00703479653
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -3025216.00000000
            ZAR
            197778.24000000
            USD
            2021-12-23
            -4583.69000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -75.50000000
        -0.00011587326
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -9511492.00000000
            JPY
            87000.00000000
            USD
            2021-06-30
            -75.50000000
          
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
          
        
        150000.00000000
        PA
        
        182140.87000000
        0.279539838130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -540.80000000
        -0.00082999024
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -58000.00000000
            USD
            1172092.94000000
            MXN
            2021-06-30
            -540.80000000
          
        
        
          N
          N
          N
        
      
      
        GENON HLDGS CLASS A
        N/A
        GENON HLDGS CLASS A
        000000000
        
          
        
        610.00000000
        NS
        USD
        79300.00000000
        0.121705299660
        Long
        EC
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8902.23000000
        -0.01366265535
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -402668.03000000
            USD
            440196695.00000000
            KRW
            2021-06-30
            -8902.23000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        3434.09000000
        0.005270453373
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            1005153.26000000
            BRL
            3434.09000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -73854.77000000
        -0.11334825869
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1058000.00000000
            USD
            105609560.00000000
            JPY
            2023-10-31
            -73854.77000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        EUR/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11647.53000000
        -0.01787599153
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -278022.75000000
            GBP
            309000.00000000
            EUR
            2021-08-31
            -11647.53000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        GBP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13140.09000000
        -0.02016669093
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -109000.00000000
            GBP
            137403.22000000
            USD
            2021-05-28
            -13140.09000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS ZAR PUT
        000000000
        
          
        
        9000000.00000000
        NC
        USD
        5.62000000
        0.000008625268
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS ZAR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2021-05-14
                
              
            
            9000000.00000000
            USD
            21.00000000
            USD
            2021-05-14
            XXXX
            -1336.95000000
          
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAA4
        
          
          
        
        80000.00000000
        PA
        USD
        90050.68000000
        0.138204854905
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2029-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FERRELLGAS ESCROW LLC 3/30/31 Equity Preferred
        N/A
        FERRELLGAS ESCROW LLC 3/30/31 Equity Preferred
        000000000
        
          
        
        300.00000000
        NS
        USD
        300000.00000000
        0.460423580052
        Long
        EP
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13.49000000
        -0.00002070371
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -221000.00000000
            USD
            717311.17000000
            ILS
            2021-06-30
            -13.49000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -28568.09000000
        -0.04384474091
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -19453469.97000000
            MXN
            844701.26000000
            USD
            2023-04-28
            -28568.09000000
          
        
        
          N
          N
          N
        
      
      
        BELLIS ACQUISITION CO PL
        259400CYE2267UB4A481
        BELLIS ACQUISITION CO PLC
        000000000
        
          
          
        
        500000.00000000
        PA
        
        692579.02000000
        1.062932372858
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-16
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extraction Oil & Gas Inc
        5493002FL3WIE1JVUP20
        Extraction Oil & Gas Inc
        30227M303
        
          
          
        
        734.00000000
        NS
        USD
        30666.52000000
        0.047065296420
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -390.45000000
        -0.00059924128
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -171500.00000000
            USD
            142140.00000000
            EUR
            2021-06-30
            -390.45000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        TRY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3717.73000000
        -0.00570576852
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -21180.61000000
            USD
            146591.00000000
            TRY
            2021-05-28
            -3717.73000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        15452.59000000
        0.023715789362
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-10-03
            0.00000000
            USD
            0.00000000
            USD
            8000000.00000000
            ZAR
            15452.59000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        EURO STOXX 50
        000000000
        
          
          
        
        14.00000000
        NC
        
        -5400.05000000
        -0.00828770117
        N/A
        DE
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Long
            
              
                DEUTSCHE BORSE AKTIENGESELLSCHAFT
                EURO STOXX 50
                
                  
                  
                  
                
              
            
            2021-06-18
            670423.12000000
            USD
            -5400.05000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        26226.52000000
        0.040251027435
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -63296699.20000000
            RUB
            861000.00000000
            USD
            2021-06-30
            26226.52000000
          
        
        
          N
          N
          N
        
      
      
        BOFA SECURITIES, INC.
        549300HN4UKV1E2R3U73
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        253431.77000000
        0.388953209474
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            -5108220.00000000
            BRL
            1180000.00000000
            USD
            2021-09-30
            253431.77000000
          
        
        
          N
          N
          N
        
      
      
        LADBROKES GROUP FIN PLC
        213800QOWHF5R9VLL274
        Ladbrokes Group Finance PLC
        000000000
        
          
          
        
        300000.00000000
        PA
        
        437098.40000000
        0.670834700543
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-08
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        05565QDU9
        
          
          
        
        250000.00000000
        PA
        USD
        265965.84000000
        0.408189814081
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          N/A
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1567.39000000
        0.002405544383
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -75000.00000000
            USD
            62160.94000000
            EUR
            2023-10-31
            1567.39000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        969.44000000
        0.001487843451
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-11-09
            0.00000000
            USD
            0.00000000
            USD
            -7635000.00000000
            USD
            969.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS KINGDOM OF SPAIN
        000000000
        
          
        
        1.00000000
        NC
        USD
        36313.89000000
        0.055732570798
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                SPAIN GOVERNMENT INTERNATIONAL BOND
                SPAIN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2030-12-20
            26267.84000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            10046.05000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1035.74000000
        -0.00158959706
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -79776.49000000
            EUR
            95000.00000000
            USD
            2021-06-30
            -1035.74000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        7109.49000000
        0.010911256127
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Y
            
            
              
                
              
            
            2028-05-17
            0.00000000
            USD
            0.00000000
            USD
            56000000.00000000
            CLP
            7109.49000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        26688.40000000
        0.040959895579
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            Y
            
            
              
                
              
            
            2028-07-16
            0.00000000
            USD
            0.00000000
            USD
            950000.00000000
            ILS
            26688.40000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        36420.84000000
        0.055896711804
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -31377260.00000000
            TWD
            1178267.37000000
            USD
            2021-09-30
            36420.84000000
          
        
        
          N
          N
          N
        
      
      
        TAYLOR MORRISON COMM
        549300O1Z08HI2MRK572
        Taylor Morrison Communities Inc
        87724RAG7
        
          
          
        
        320000.00000000
        PA
        USD
        346804.67000000
        0.532256825800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/HUF FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -170.17000000
        -0.00026116760
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -5392662.00000000
            HUF
            17817.85000000
            USD
            2021-07-19
            -170.17000000
          
        
        
          N
          N
          N
        
      
      
        INEOS QUATTRO FINANCE 2
        213800V48W4Y5MT5Q131
        INEOS Quattro Finance 2 Plc
        000000000
        
          
          
        
        100000.00000000
        PA
        
        120675.84000000
        0.185206674262
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        85172FAN9
        
          
          
        
        150000.00000000
        PA
        USD
        175214.27000000
        0.268909271565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOWARD HUGHES CORP
        549300BVHY25JZC1KI49
        Howard Hughes Corp/The
        44267DAE7
        
          
          
        
        275000.00000000
        PA
        USD
        272251.67000000
        0.417836961922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        -1275000.00000000
        NC
        
        -24603.00000000
        -0.03775933780
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            -1275000.00000000
            USD
            1.21000000
            EUR
            2021-11-18
            XXXX
            -9533.81000000
          
        
        
          N
          N
          N
        
      
      
        CNX RESOURCES CORP
        549300JK3KH8PWM3B226
        CNX Resources Corp
        12653CAC2
        
          
          
        
        50000.00000000
        PA
        USD
        53994.07000000
        0.082867143369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-14
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADTALEM GLOBAL EDUCATION
        549300Z467EZLMODV621
        Adtalem Global Education Inc
        00737WAA7
        
          
          
        
        125000.00000000
        PA
        USD
        125393.79000000
        0.192447525693
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -455591.10000000
        -0.69921628434
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -47236430.00000000
            ZAR
            2736928.16000000
            USD
            2021-09-30
            -455591.10000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -74594.68000000
        -0.11448383206
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1289620800.00000000
            KRW
            1079000.00000000
            USD
            2021-06-30
            -74594.68000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -11700000.00000000
        NC
        
        -68827.13000000
        -0.10563211199
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-05-25
                
              
            
            -11700000.00000000
            USD
            70.00000000
            AUD
            2022-05-25
            XXXX
            12994.21000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        25165.80000000
        0.038623092436
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-07-16
            0.00000000
            USD
            -30.79000000
            USD
            4500000.00000000
            ZAR
            25196.59000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-BXLP
        05607QBA5
        
          
        
        748482.82000000
        PA
        USD
        748033.58000000
        1.148040996343
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          2.61500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF PHILIPPINES
        000000000
        
          
        
        1.00000000
        NC
        USD
        2266.31000000
        0.003478208545
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF PHILIPPINES
                Philippine Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            2266.31000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2562.29000000
        0.003932462449
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -134319.37000000
            USD
            2087726.00000000
            ZAR
            2022-05-31
            2562.29000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -1122.49000000
        -0.00172273621
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-13
            0.00000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            -1122.49000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        Mortgage Insurance-Linked Notes Series 2020-1
        750493AB4
        
          
        
        500000.00000000
        PA
        USD
        493627.95000000
        0.757593159843
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-02-25
          Floating
          1.55613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        9.00000000
        NC
        USD
        5534.87000000
        0.008494615535
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            1182746.38000000
            USD
            5534.87000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2287.02000000
        0.003509993120
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -101416.60000000
            USD
            1517044.00000000
            ZAR
            2021-06-30
            2287.02000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS ZAR PUT
        000000000
        
          
        
        -11700000.00000000
        NC
        USD
        -205835.93000000
        -0.31590571931
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS ZAR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2022-05-27
                
              
            
            -11700000.00000000
            USD
            18.80000000
            USD
            2022-05-27
            XXXX
            92807.54000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        600000.00000000
        PA
        
        661311.17000000
        1.014944188066
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2030-01-27
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN AXLE & MFG INC
        RY5TAKFOBLDUGX31MS24
        American Axle & Manufacturing Inc
        02406PAY6
        
          
          
        
        125000.00000000
        PA
        USD
        128463.12000000
        0.197158165383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        000000000
        
          
          
        
        100000.00000000
        PA
        
        139877.24000000
        0.214675932028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-24
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -18012.22000000
        -0.02764416939
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1632752.50000000
            ILS
            485000.00000000
            USD
            2021-06-30
            -18012.22000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        USD CALL VERSUS KRW PUT
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -9161.22000000
        -0.01406013903
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    USD CALL VERSUS KRW PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  KRW
                  N/A
                  USD
                  2021-10-27
                
              
            
            -3000000.00000000
            USD
            1225.00000000
            USD
            2021-10-27
            XXXX
            40503.78000000
          
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAD8
        
          
          
        
        139000.00000000
        PA
        USD
        146590.47000000
        0.224979029996
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG ENERGY INC
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CR1
        
          
          
        
        150000.00000000
        PA
        USD
        146972.83000000
        0.225565855196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERI PAYMENTS INC
        5493006Q4MDLHOY1JV70
        Everi Payments Inc
        30034VAB4
        
          
          
        
        78000.00000000
        PA
        USD
        81027.36000000
        0.124356357244
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        -5250000.00000000
        NC
        USD
        -40397.43000000
        -0.06199976448
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Written
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -5250000.00000000
            USD
            26.00000000
            USD
            2022-02-23
            XXXX
            173172.57000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS ILS PUT
        000000000
        
          
        
        3000000.00000000
        NC
        USD
        419.92000000
        0.000644470232
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS ILS PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-07-26
                
              
            
            3000000.00000000
            USD
            3.80000000
            USD
            2021-07-26
            XXXX
            -255.08000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCB7
        
          
          
        
        50000.00000000
        PA
        USD
        54243.04000000
        0.083249248899
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BG7
        
          
          
        
        70000.00000000
        PA
        USD
        69619.47000000
        0.106848152062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        USD CALL VERSUS GBP PUT
        000000000
        
          
        
        12000000.00000000
        NC
        
        0.74000000
        0.000001135711
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    USD CALL VERSUS GBP PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            12000000.00000000
            USD
            1.14000000
            GBP
            2021-05-26
            XXXX
            -92102.37000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        36650.97000000
        0.056249902732
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -295360.72000000
            USD
            6968534.00000000
            MXN
            2022-02-25
            36650.97000000
          
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700AM8
        
          
          
        
        80000.00000000
        PA
        USD
        91883.82000000
        0.141018257844
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-09-15
          Fixed
          7.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHESAPEAKE ENERGY FLLO BACKSTOP
        N/A
        CHESAPEAKE ENERGY FLLO BACKSTOP
        000000000
        
          
        
        59.00000000
        NS
        USD
        2613.29000000
        0.004010734458
        Long
        EC
        CORP
        US
        Y
        
        2
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 2 Year US Treasury Note
        000000000
        
          
          
        
        -204.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-30
            -45066026.04000000
            USD
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3170.08000000
        -0.00486526527
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -2983982.50000000
            MXN
            139000.00000000
            USD
            2022-02-25
            -3170.08000000
          
        
        
          N
          N
          N
        
      
      
        CHESAPEAKE ENERGY CORP
        X2MT1W32SPAZ9WSKLE78
        Chesapeake Energy Corp
        165167DG9
        
          
          
        
        25000.00000000
        PA
        USD
        26931.24000000
        0.041332593120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        8400000.00000000
        NC
        USD
        1606.32000000
        0.002465292017
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2021-07-07
                
              
            
            8400000.00000000
            USD
            27.00000000
            USD
            2021-07-07
            XXXX
            -2341.68000000
          
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAJ0
        
          
          
        
        75000.00000000
        PA
        USD
        75273.31000000
        0.115525356241
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-12-31
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/COP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -541.52000000
        -0.00083109525
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -45438.00000000
            USD
            168906677.40000000
            COP
            2021-06-16
            -541.52000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS MALAYSIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        2252.91000000
        0.003457642959
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                TELEKOM MALAYSIA BHD
                TELEKOM MALAYSIA BHD
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            2252.91000000
          
        
        
          N
          N
          N
        
      
      
        TFS_18-3-A1
        N/A
        TFS_18-3-A1
        000000000
        
          
        
        474925.35000000
        PA
        
        513881.10000000
        0.788676585944
        Long
        ABS-MBS
        CORP
        LU
        N
        
        2
        
          2023-03-16
          Floating
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        USD CALL VERSUS ILS PUT
        000000000
        
          
        
        -3200000.00000000
        NC
        USD
        -67.33000000
        -0.00010333439
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    USD CALL VERSUS ILS PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            -3200000.00000000
            USD
            3.95000000
            USD
            2021-06-28
            XXXX
            17980.67000000
          
        
        
          N
          N
          N
        
      
      
        DANA INC
        KVWHW7YLZPFJM8QYNJ51
        Dana Inc
        235825AF3
        
          
          
        
        115000.00000000
        PA
        USD
        122395.20000000
        0.187845453884
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -201.41000000
        -0.00030911304
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -111360.03000000
            BRL
            20184.16000000
            USD
            2021-07-02
            -201.41000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        10500000.00000000
        NC
        USD
        22854.89000000
        0.035076434251
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            10500000.00000000
            USD
            31.50000000
            USD
            2022-02-23
            XXXX
            -138845.11000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CQ7
        
          
          
        
        185000.00000000
        PA
        USD
        182124.74000000
        0.279515082689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF COLOMBIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        1766.26000000
        0.002710759175
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                COLOMBIA GOVERNMENT INTERNATIONAL BOND
                COLOMBIA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            200000.00000000
            USD
            1766.26000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -6143.95000000
        -0.00942939818
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-07
            0.00000000
            USD
            0.00000000
            USD
            650000.00000000
            USD
            -6143.95000000
          
        
        
          N
          N
          N
        
      
      
        LOXAM SAS
        969500BNA2YRNE1R5K91
        Loxam SAS
        000000000
        
          
          
        
        100000.00000000
        PA
        
        114514.31000000
        0.175750295258
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        23626.15000000
        0.036260121886
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2023-11-06
            0.00000000
            USD
            0.00000000
            USD
            -5739000.00000000
            USD
            23626.15000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2201.71000000
        0.003379064001
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -146000.00000000
            USD
            123110.55000000
            EUR
            2021-06-30
            2201.71000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -59056.59000000
        -0.09063682197
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -537000.00000000
            AUD
            38673192.00000000
            JPY
            2022-01-28
            -59056.59000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS PEOPLES REPUBLIC OF CHINA
        000000000
        
          
        
        1.00000000
        NC
        USD
        7941.37000000
        0.012187980019
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                CHINA GOVERNMENT INTERNATIONAL BOND
                CHINA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            500000.00000000
            USD
            7941.37000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -29526.45000000
        -0.04531557938
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2042-09-22
            0.00000000
            USD
            -49.16000000
            USD
            7000000.00000000
            ZAR
            -29477.29000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FUZE7
        
          
        
        479279.75000000
        PA
        USD
        58628.09000000
        0.089979183631
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-25
          Variable
          1.68141000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS REPUBLIC OF SOUTH AFRICA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -1601.39000000
        -0.00245772572
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                REPUBLIC OF SOUTH AFRICA
                Republic of South Africa Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-12-20
            0.00000000
            USD
            -7088.08000000
            USD
            250000.00000000
            USD
            5486.69000000
          
        
        
          N
          N
          N
        
      
      
        TRANSOCEAN INC
        DOL4HJ22ADYSIWES4H94
        Transocean Inc
        893830BL2
        
          
          
        
        75000.00000000
        PA
        USD
        52674.64000000
        0.080842154422
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14003.50000000
        0.021491805344
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -431000.00000000
            USD
            34486465.00000000
            RUB
            2021-11-22
            14003.50000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        1965.85000000
        0.003017078982
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-09-03
            0.00000000
            USD
            -2.24000000
            USD
            1700000.00000000
            CNY
            1968.09000000
          
        
        
          N
          N
          N
        
      
      
        BEAZER HOMES USA
        549300DUPYT2T0F60I45
        Beazer Homes USA Inc
        07556QBR5
        
          
          
        
        100000.00000000
        PA
        USD
        105654.40000000
        0.162152590320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAB
        9695008EGX5O9K1MS743
        CAB SELAS
        000000000
        
          
          
        
        125000.00000000
        PA
        
        149604.99000000
        0.229605550298
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-02-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        22985.59000000
        0.035277025458
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -299019.59000000
            USD
            2086558.70000000
            CNY
            2021-05-14
            22985.59000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        11028.90000000
        0.016926552073
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-06-20
            5.71000000
            USD
            0.00000000
            USD
            8180000.00000000
            CNY
            11023.19000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -199101.77000000
        -0.30557049912
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            28422427.71000000
            BRL
            -199101.77000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        105.80000000
        0.000162376049
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -36495094.00000000
            KRW
            32751.00000000
            USD
            2021-06-16
            105.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS REPUBLIC OF ITALY
        000000000
        
          
        
        1.00000000
        NC
        USD
        -13441.87000000
        -0.02062984635
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                ITALY GOV'T INT BOND
                Republic of Italy Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2029-12-20
            0.00000000
            USD
            -34089.17000000
            USD
            1000000.00000000
            USD
            20647.30000000
          
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA VENDOR FIN
        635400SSKC2QCGEPIQ43
        Virgin Media Vendor Financing Notes III DAC
        000000000
        
          
          
        
        100000.00000000
        PA
        
        141780.31000000
        0.217596659703
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2028-07-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -26765.27000000
        -0.04107787144
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -755589.45000000
            USD
            78210815.00000000
            JPY
            2023-10-31
            -26765.27000000
          
        
        
          N
          N
          N
        
      
      
        OSAKA EXCHANGE
        3538001249AILNPRUX57
        NIKKEI 225
        000000000
        
          
          
        
        -1.00000000
        NC
        
        -2473.90000000
        -0.00379680631
        N/A
        DE
        CORP
        JP
        N
        
        1
        
          
            
              OSAKA EXCHANGE
              3538001249AILNPRUX57
            
            Short
            
              
                NIKKEI
                NIKKEI 225
                
                  
                  
                  
                
              
            
            2021-06-10
            -264499.87000000
            USD
            -2473.90000000
          
        
        
          N
          N
          N
        
      
      
        Hexion Holdings Corp
        549300LBB370MUHGLV84
        Hexion Holdings Corp
        42830K103
        
          
          
        
        1179.00000000
        NS
        USD
        18864.00000000
        0.028951434713
        Long
        EC
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1584.38000000
        0.002431619705
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -36607.81000000
            USD
            557642.00000000
            ZAR
            2021-06-17
            1584.38000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1346.25000000
        0.002066150815
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -97000.00000000
            USD
            319227.00000000
            ILS
            2021-06-30
            1346.25000000
          
        
        
          N
          N
          N
        
      
      
        HILCORP ENERGY I/HILCORP
        N/A
        Hilcorp Energy I LP / Hilcorp Finance Co
        431318AU8
        
          
          
        
        25000.00000000
        PA
        USD
        25516.45000000
        0.039161250864
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NABORS INDUSTRIES INC
        549300VFQWRKICUFNU92
        Nabors Industries Inc
        62957HAF2
        
          
          
        
        75000.00000000
        PA
        USD
        61924.70000000
        0.095038640225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED GROUP BV
        213800PC85O8BJ7DU398
        United Group BV
        000000000
        
          
          
        
        400000.00000000
        PA
        
        464669.62000000
        0.713149499939
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-02-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13796.39000000
        0.021173944251
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -73405500.00000000
            RUB
            961000.00000000
            USD
            2021-11-22
            13796.39000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS CNH PUT
        000000000
        
          
        
        2050000.00000000
        NC
        USD
        32769.96000000
        0.050293541004
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS CNH PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CNY
                  N/A
                  USD
                  2022-09-28
                
              
            
            2050000.00000000
            USD
            6.90000000
            USD
            2022-09-28
            XXXX
            -10923.33000000
          
        
        
          N
          N
          N
        
      
      
        TPC GROUP INC
        549300K276KVW5JD1583
        TPC Group Inc
        89236YAC8
        
          
        
        12321.00000000
        PA
        USD
        13084.82000000
        0.020081865562
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          10.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        79024.95000000
        0.121283167974
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-12-03
            117775.95000000
            USD
            0.00000000
            USD
            970000.00000000
            AUD
            -38751.00000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3915.73000000
        -0.00600964808
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -626444.00000000
            CNY
            91000.00000000
            USD
            2022-01-28
            -3915.73000000
          
        
        
          N
          N
          N
        
      
      
        AECOM
        0EEB8GF0W0NPCIHZX097
        AECOM
        00774CAB3
        
          
          
        
        200000.00000000
        PA
        USD
        222518.46000000
        0.341509153269
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VECTOR GROUP LTD
        549300TUIF4WWN6NDN50
        Vector Group Ltd
        92240MBL1
        
          
          
        
        125000.00000000
        PA
        USD
        126035.70000000
        0.193432694028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -676.24000000
        -0.00103785613
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -223929.48000000
            USD
            161619.00000000
            GBP
            2021-07-19
            -676.24000000
          
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300T32RO3I7BJ4V26
        Midocean Credit Clo VIII
        59801MAE8
        
          
        
        250000.00000000
        PA
        USD
        250183.60000000
        0.383968095941
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-20
          Floating
          1.83238000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BR1
        
          
          
        
        180000.00000000
        PA
        USD
        182684.91000000
        0.280374800945
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -1109.49000000
        -0.00170278452
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-14
            0.00000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            -1109.49000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2217.70000000
        0.003403604578
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -159124.92000000
            USD
            4480162.00000000
            TWD
            2021-06-30
            2217.70000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS UNITED MEXICAN STATES
        000000000
        
          
        
        1.00000000
        NC
        USD
        8118.32000000
        0.012459553194
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                MEXICO GOVERNMENT INTERNATIONAL BOND
                MEXICO GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            650000.00000000
            USD
            8118.32000000
          
        
        
          N
          N
          N
        
      
      
        HUNT COS INC
        549300ODPWDNCH5TKM49
        Hunt Cos Inc
        445587AE8
        
          
        
        200000.00000000
        PA
        USD
        191478.14000000
        0.293870169068
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        -18.00000000
        NC
        USD
        -27990.00000000
        -0.04295752001
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Put
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Short
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            12200.00000000
            USD
            2021-06-18
            XXXX
            50627.34000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        230.01000000
        0.000353006758
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -77000.00000000
            USD
            502087.74000000
            CNY
            2021-06-30
            230.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3426.46000000
        -0.00525874326
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -212000.00000000
            AUD
            160068.48000000
            USD
            2022-05-31
            -3426.46000000
          
        
        
          N
          N
          N
        
      
      
        VERTICAL HOLDCO GMBH
        2549008GCHWX9EEMIS56
        Vertical Holdco GmbH
        000000000
        
          
          
        
        300000.00000000
        PA
        
        387342.43000000
        0.594471961089
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-07-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD CALL VERSUS ILS PUT
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -10702.02000000
        -0.01642487454
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    USD CALL VERSUS ILS PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-08-27
                
              
            
            -3000000.00000000
            USD
            3.40000000
            USD
            2021-08-27
            XXXX
            17576.33000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        479.06000000
        0.000735235067
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -80500.00000000
            EUR
            97421.28000000
            USD
            2021-07-19
            479.06000000
          
        
        
          N
          N
          N
        
      
      
        ZIGGO BOND CO BV
        213800JYI4P7V5QDOG59
        Ziggo Bond Co BV
        000000000
        
          
          
        
        300000.00000000
        PA
        
        356617.41000000
        0.547316882070
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-02-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS RUB PUT
        000000000
        
          
        
        6000000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS RUB PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  RUB
                  N/A
                  USD
                  2021-05-04
                
              
            
            6000000.00000000
            USD
            115.00000000
            USD
            2021-05-04
            XXXX
            -2100.00000000
          
        
        
          N
          N
          N
        
      
      
        DANA FINANCING LUX SARL
        222100DKCE3D036DQU13
        Dana Financing Luxembourg Sarl
        235822AA1
        
          
          
        
        100000.00000000
        PA
        USD
        103685.28000000
        0.159130492721
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-06-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAA3
        
          
          
        
        75000.00000000
        PA
        USD
        77547.82000000
        0.119016149698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS USD PUT
        000000000
        
          
        
        -12000000.00000000
        NC
        USD
        -59513.61000000
        -0.09133823126
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2022-05-27
                
              
            
            -12000000.00000000
            USD
            97.50000000
            USD
            2022-05-27
            XXXX
            59814.39000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1307.18000000
        0.002006188317
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -110000.00000000
            USD
            1628273.79000000
            ZAR
            2021-06-30
            1307.18000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1139.79000000
        0.001749287307
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -79000.00000000
            USD
            437699.50000000
            BRL
            2021-06-30
            1139.79000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        18604.41000000
        0.028553030189
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -59511334.00000000
            JPY
            566000.00000000
            USD
            2022-05-31
            18604.41000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1597.14000000
        -0.00245120305
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -55947.00000000
            EUR
            65752.42000000
            USD
            2021-06-30
            -1597.14000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KCN7
        
          
        
        200000.00000000
        PA
        USD
        196245.96000000
        0.301187558246
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS RUB PUT
        000000000
        
          
        
        6000000.00000000
        NC
        USD
        210745.35000000
        0.323440428421
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS RUB PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  RUB
                  N/A
                  USD
                  2022-03-30
                
              
            
            6000000.00000000
            USD
            84.50000000
            USD
            2022-03-30
            XXXX
            -77212.65000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/TRY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3936.46000000
        -0.00604146335
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -54000.00000000
            USD
            420255.00000000
            TRY
            2021-05-28
            -3936.46000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16842.74000000
        0.025849315495
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -904935.00000000
            BRL
            183000.00000000
            USD
            2021-05-28
            16842.74000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -29228.70000000
        -0.04485860898
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2029-10-24
            0.00000000
            USD
            0.00000000
            USD
            410000000.00000000
            CLP
            -29228.70000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        184427.17000000
        0.283048726234
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            3103050.93000000
            BRL
            184427.17000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -345927.85000000
        -0.53091113045
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -1721000.00000000
            USD
            7580846.00000000
            BRL
            2021-09-30
            -345927.85000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD CALL VERSUS INR PUT
        000000000
        
          
        
        6000000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    USD CALL VERSUS INR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2021-05-04
                
              
            
            6000000.00000000
            USD
            92.00000000
            USD
            2021-05-04
            XXXX
            -2076.00000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -463.93000000
        -0.00071201437
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -362367.69000000
            USD
            2025273.00000000
            BRL
            2022-01-28
            -463.93000000
          
        
        
          N
          N
          N
        
      
      
        CO-OPERATIVE GROUP LTD
        213800TKR59ER8Z69V16
        Co-Operative Group Ltd
        000000000
        
          
          
        
        150000.00000000
        PA
        
        222484.76000000
        0.341457432354
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-17
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICE PROPERTIES TRUST
        529900IS770AG1K9QG27
        Service Properties Trust
        44106MAZ5
        
          
          
        
        150000.00000000
        PA
        USD
        149621.31000000
        0.229630597341
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITGO HOLDING INC
        549300NYHOALWZ2BSL72
        Citgo Holding Inc
        17302WAB4
        
          
          
        
        25000.00000000
        PA
        USD
        25749.50000000
        0.039518923248
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        000000000
        
          
          
        
        500000.00000000
        PA
        
        619160.11000000
        0.950253048239
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2025-03-31
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        147954.20000000
        0.227072008159
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -562000.00000000
            USD
            10613482.40000000
            ZAR
            2021-12-23
            147954.20000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -33787.30000000
        -0.05185489875
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -245918400.00000000
            CLP
            312000.00000000
            USD
            2021-10-29
            -33787.30000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -1169.02000000
        -0.00179414791
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-09
            0.00000000
            USD
            0.00000000
            USD
            90000.00000000
            USD
            -1169.02000000
          
        
        
          N
          N
          N
        
      
      
        TEMPO ACQUISITION LLC/FI
        N/A
        Tempo Acquisition LLC / Tempo Acquisition Finance Corp
        88023JAA4
        
          
          
        
        200000.00000000
        PA
        USD
        203662.65000000
        0.312570288119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OSAKA EXCHANGE
        3538001249AILNPRUX57
        TOKYO STOCK PRICE INDEX
        000000000
        
          
          
        
        -6.00000000
        NC
        
        15351.64000000
        0.023560856828
        N/A
        DE
        CORP
        JP
        N
        
        1
        
          
            
              OSAKA EXCHANGE
              3538001249AILNPRUX57
            
            Short
            
              
                TPX INDEX
                TPX INDEX
                
                  
                  
                  
                
              
            
            2021-06-10
            -1059656.96000000
            USD
            15351.64000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        32400000.00000000
        NC
        
        2.81000000
        0.000004312634
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            32400000.00000000
            USD
            62.00000000
            AUD
            2021-05-26
            XXXX
            -1483847.21000000
          
        
        
          N
          N
          N
        
      
      
        BELLIS FINCO PLC
        259400ELWH6Z4ICFTD70
        BELLIS FINCO PLC
        000000000
        
          
          
        
        200000.00000000
        PA
        
        277082.77000000
        0.425251469780
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-02-16
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJT7
        
          
          
        
        225000.00000000
        PA
        USD
        227471.75000000
        0.349111191652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        33507.42000000
        0.051425354249
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Y
            
            
              
                
              
            
            2027-03-15
            0.00000000
            USD
            0.00000000
            USD
            1340000.00000000
            ILS
            33507.42000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        76492.60000000
        0.117396655798
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            1587122.06000000
            BRL
            76492.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        USD CALL VERSUS INR PUT
        000000000
        
          
        
        -4000000.00000000
        NC
        USD
        -24020.58000000
        -0.03686547146
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    USD CALL VERSUS INR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2022-02-23
                
              
            
            -4000000.00000000
            USD
            84.00000000
            USD
            2022-02-23
            XXXX
            14303.22000000
          
        
        
          N
          N
          N
        
      
      
        LOXAM SAS
        969500BNA2YRNE1R5K91
        Loxam SAS
        000000000
        
          
          
        
        280000.00000000
        PA
        
        335788.42000000
        0.515349688255
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5833.67000000
        -0.00895319742
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-01-12
            0.00000000
            USD
            0.00000000
            USD
            200000.00000000
            USD
            -5833.67000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        932.96000000
        0.001431855944
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -907478.36000000
            ZAR
            63085.00000000
            USD
            2021-06-17
            932.96000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        10425.17000000
        0.015999980313
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2038-12-03
            4993.03000000
            USD
            0.00000000
            USD
            24660000.00000000
            JPY
            5432.14000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        MINI DOW JONES INDUSTRIAL AVERAGE
        000000000
        
          
          
        
        -2.00000000
        NC
        USD
        -173.68000000
        -0.00026655455
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                DOW JONES
                DOW JONES INDUSTRIAL AVERAGE
                
                  
                  
                  
                
              
            
            2021-06-18
            -337496.32000000
            USD
            -173.68000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/COP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5313.44000000
        -0.00815477689
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -100585.00000000
            USD
            358424589.00000000
            COP
            2021-06-16
            -5313.44000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        52.90000000
        0.000081188024
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -119000.00000000
            AUD
            10022180.00000000
            JPY
            2021-06-30
            52.90000000
          
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700AT3
        
          
          
        
        100000.00000000
        PA
        USD
        114226.03000000
        0.175307858892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          7.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAW4
        
          
          
        
        315000.00000000
        PA
        USD
        350713.38000000
        0.538255699972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-31
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        5250000.00000000
        NC
        USD
        40397.43000000
        0.061999764485
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            5250000.00000000
            USD
            26.00000000
            USD
            2022-02-23
            XXXX
            -343220.07000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        717.18000000
        0.001100688610
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -4885820.00000000
            INR
            66111.43000000
            USD
            2021-06-16
            717.18000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAG2
        
          
          
        
        65000.00000000
        PA
        USD
        67439.37000000
        0.103502253906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6197.91000000
        0.009512213036
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -163000.00000000
            USD
            924108.20000000
            BRL
            2021-06-30
            6197.91000000
          
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        HOME RE 2021-1 LTD
        437307AC5
        
          
        
        185000.00000000
        PA
        USD
        178370.40000000
        0.273753127144
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2033-07-25
          Floating
          2.40613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6745.26000000
        -0.01035225585
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -566625.50000000
            BRL
            97000.00000000
            USD
            2021-06-30
            -6745.26000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        8231.22000000
        0.012632825935
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            1707345.91000000
            BRL
            8231.22000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        -10500000.00000000
        NC
        USD
        -22854.89000000
        -0.03507643425
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -10500000.00000000
            USD
            31.50000000
            USD
            2022-02-23
            XXXX
            348154.11000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA3
        35565MAH7
        
          
        
        135559.88000000
        PA
        USD
        137173.08000000
        0.210525735268
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-25
          Floating
          3.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        56545.90000000
        0.086783552384
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2028-07-27
            44425.03000000
            USD
            0.00000000
            USD
            3204860000.00000000
            COP
            12120.87000000
          
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        Ascent Resources Utica Holdings LLC / ARU Finance Corp
        04364VAR4
        
          
          
        
        50000.00000000
        PA
        USD
        53692.05000000
        0.082403619604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-31
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        CDS REPUBLIC OF UKRAINE
        000000000
        
          
        
        1.00000000
        NC
        USD
        6504.25000000
        0.009982366901
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-12-20
            7540.31000000
            USD
            0.00000000
            USD
            200000.00000000
            USD
            -1036.06000000
          
        
        
          N
          N
          N
        
      
      
        CO-OP GRP HLDS
        213800TAO69X5H284Q39
        Co-operative Group Holdings 2011 Ltd
        000000000
        
          
          
        
        150000.00000000
        PA
        
        250231.08000000
        0.384040965646
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-07-08
          Variable
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -14503.45000000
        -0.02225910124
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1983516.00000000
            MXN
            80000.00000000
            USD
            2022-02-25
            -14503.45000000
          
        
        
          N
          N
          N
        
      
      
        HILCORP ENERGY I/HILCORP
        N/A
        Hilcorp Energy I LP / Hilcorp Finance Co
        431318AV6
        
          
          
        
        25000.00000000
        PA
        USD
        25921.73000000
        0.039783252425
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS INR PUT
        000000000
        
          
        
        3800000.00000000
        NC
        USD
        2243.98000000
        0.003443937683
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS INR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  CNY
                  2021-09-28
                
              
            
            3800000.00000000
            USD
            88.00000000
            USD
            2021-09-28
            XXXX
            -17301.36000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1367.48000000
        -0.00209873345
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -225212.00000000
            ILS
            68000.02000000
            USD
            2021-06-16
            -1367.48000000
          
        
        
          N
          N
          N
        
      
      
        REGION OF LAZIO
        81560007498E8B065B77
        Region of Lazio Italy
        000000000
        
          
          
        
        136260.82000000
        PA
        
        185584.31000000
        0.284824641372
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2043-03-31
          Fixed
          3.08800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS HUF
        000000000
        
          
        
        1.00000000
        NC
        
        41830.17000000
        0.064198655418
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            
              
                
              
            
            2032-05-11
            0.00000000
            USD
            0.00000000
            USD
            257045000.00000000
            HUF
            41830.17000000
          
        
        
          N
          N
          N
        
      
      
        TRANSOCEAN INC
        DOL4HJ22ADYSIWES4H94
        Transocean Inc
        893830BK4
        
          
          
        
        150000.00000000
        PA
        USD
        114004.06000000
        0.174967191485
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-11-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        -18.00000000
        NC
        USD
        -118710.00000000
        -0.18218961062
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Long
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            14000.00000000
            USD
            2021-06-18
            XXXX
            -42342.66000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -20033.58000000
        -0.03074644208
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-10-07
            0.00000000
            USD
            0.00000000
            USD
            4000000.00000000
            SEK
            -20033.58000000
          
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCU2
        
          
          
        
        350000.00000000
        PA
        USD
        354378.65000000
        0.543880955757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        USD CALL VERSUS BRL PUT
        000000000
        
          
        
        9000000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    USD CALL VERSUS BRL PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2021-05-04
                
              
            
            9000000.00000000
            USD
            8.00000000
            USD
            2021-05-04
            XXXX
            -1487.13000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        25692.51000000
        0.039431458115
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -562000.00000000
            USD
            3288824.00000000
            BRL
            2022-01-28
            25692.51000000
          
        
        
          N
          N
          N
        
      
      
        CONTOURGLOBAL POWER HLDG
        549300O5AGIFK0PQ1516
        ContourGlobal Power Holdings SA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        122967.16000000
        0.188723266786
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-08-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -21587.25000000
        -0.03313092976
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-12-09
            0.00000000
            USD
            0.00000000
            USD
            70365000.00000000
            HUF
            -21587.25000000
          
        
        
          N
          N
          N
        
      
      
        ALTA MESA HLDGS/FINANC S
        N/A
        Alta Mesa Holdings LP / Alta Mesa Finance Services Corp
        021332AF8
        
          
          
        
        400000.00000000
        PA
        USD
        264.00000000
        0.000405172750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          7.87500000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTERO RESOURCES CORP
        APVBKPOULHUX7YZLKU17
        Antero Resources Corp
        03674XAJ5
        
          
          
        
        100000.00000000
        PA
        USD
        101480.89000000
        0.155747315602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN INTL FIN NV
        5299004PWNHKYTR23649
        Volkswagen International Finance NV
        000000000
        
          
          
        
        100000.00000000
        PA
        
        124012.10000000
        0.190326983506
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          N/A
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -642.26000000
        -0.00098570549
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -2994603.27000000
            INR
            39439.00000000
            USD
            2021-06-16
            -642.26000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        18.00000000
        NC
        USD
        65160.00000000
        0.100004001587
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Put
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Short
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            13000.00000000
            USD
            2021-06-18
            XXXX
            -87612.66000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -37778.47000000
        -0.05798032802
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-01-16
            0.00000000
            USD
            -9.90000000
            USD
            7220000.00000000
            MXN
            -37768.57000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        Codere Finance 2 Luxembourg SA
        000000000
        
          
          
        
        114000.00000000
        PA
        
        145631.77000000
        0.223507669709
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2023-09-30
          Variable
          10.75000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        -475.85000000
        -0.00073030853
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-02-04
            0.00000000
            USD
            0.00000000
            USD
            1200000.00000000
            CNY
            -475.85000000
          
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BT7
        
          
          
        
        355000.00000000
        PA
        USD
        354210.57000000
        0.543622995772
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-04-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16368.61000000
        0.025121646722
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -192328.88000000
            USD
            4649069.97000000
            MXN
            2023-04-28
            16368.61000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16085.01000000
        -0.02468639296
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -4348131.00000000
            ZAR
            269000.00000000
            USD
            2022-05-31
            -16085.01000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        USD CALL VERSUS ILS PUT
        000000000
        
          
        
        3200000.00000000
        NC
        USD
        610.02000000
        0.000936225307
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    USD CALL VERSUS ILS PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            3200000.00000000
            USD
            3.60000000
            USD
            2021-06-28
            XXXX
            -58493.98000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS USD PUT
        000000000
        
          
        
        6000000.00000000
        NC
        USD
        66593.43000000
        0.102203951495
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2022-05-27
                
              
            
            6000000.00000000
            USD
            103.00000000
            USD
            2022-05-27
            XXXX
            -65568.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61772BAC7
        
          
          
        
        15000.00000000
        PA
        USD
        15208.56000000
        0.023341265475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-04-22
          Fixed
          3.21700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONTREAL EXCHANGE
        N/A
        Montreal Exchange 10 Year Canadian Bond
        000000000
        
          
          
        
        2.00000000
        NC
        
        -6316.12000000
        -0.00969363527
        N/A
        DIR
        CORP
        CA
        N
        
        1
        
          
            
              MONTREAL EXCHANGE
              N/A
            
            Long
            
              
                CANADIAN GOVERNMENT
                Canadian Government Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            227205.54000000
            USD
            -6316.12000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CSWAP EUR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -60525.27000000
        -0.09289087165
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            -500000.00000000
            EUR
            536850.00000000
            USD
            2022-05-17
            -60525.27000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -53067.50000000
        -0.08144509444
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -972481.60000000
            USD
            100462212.00000000
            JPY
            2021-05-28
            -53067.50000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        4100000.00000000
        NC
        USD
        17326.36000000
        0.026591549001
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            4100000.00000000
            USD
            25.80000000
            USD
            2021-12-21
            XXXX
            -44472.63000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -128714.40000000
        -0.19754381617
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-05-31
            0.00000000
            USD
            0.00000000
            USD
            -2956000.00000000
            USD
            -128714.40000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
          
        
        500000.00000000
        PA
        
        607863.61000000
        0.932915798332
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-02-21
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        18.00000000
        NC
        USD
        5580.00000000
        0.008563878588
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Long
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            15500.00000000
            USD
            2021-06-18
            XXXX
            -7780.68000000
          
        
        
          N
          N
          N
        
      
      
        One New York Plaza Trust 2020-
        N/A
        One New York Plaza Trust 2020-1NYP
        68249DAJ8
        
          
        
        125000.00000000
        PA
        USD
        126401.88000000
        0.193994687049
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-01-15
          Floating
          2.86500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF PERU
        000000000
        
          
        
        1.00000000
        NC
        USD
        1800.48000000
        0.002763278158
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF PERU
                Peruvian Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            1800.48000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -308.36000000
        -0.00047325405
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -23183.63000000
            USD
            1730888.00000000
            RUB
            2021-06-16
            -308.36000000
          
        
        
          N
          N
          N
        
      
      
        Real Estate Asset Liquidity Tr
        N/A
        Real Estate Asset Liquidity Trust
        75585RRT4
        
          
        
        71302.06000000
        PA
        
        59616.10000000
        0.091495527302
        Long
        ABS-MBS
        CORP
        CA
        N
        
        2
        
          2055-02-12
          Variable
          2.38100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES UTICA
        549300EGLQ2M2CL7JZ89
        Ascent Resources Utica Holdings LLC
        000000000
        
          
        
        178000.00000000
        PA
        USD
        196578.75000000
        0.301698306124
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-11-01
          Floating
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7448.43000000
        0.011431442687
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -531470.74000000
            USD
            10993250.45000000
            MXN
            2021-06-30
            7448.43000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        610.48000000
        0.000936931290
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -70571.00000000
            USD
            386799.65000000
            BRL
            2021-05-04
            610.48000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        220.64000000
        0.000338626195
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -150475.56000000
            USD
            109000.00000000
            GBP
            2022-01-28
            220.64000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        GBP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8193.96000000
        -0.01257564132
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -109000.00000000
            GBP
            142502.24000000
            USD
            2022-01-28
            -8193.96000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        17120.94000000
        0.026276281628
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-11-01
            0.00000000
            USD
            -32.19000000
            USD
            5000000.00000000
            ZAR
            17153.13000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        8018.51000000
        0.012306370269
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2047-03-22
            23.67000000
            USD
            0.00000000
            USD
            -1000000.00000000
            ZAR
            7994.84000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -31345.32000000
        -0.04810708150
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -744855000.00000000
            KRW
            635000.00000000
            USD
            2021-07-30
            -31345.32000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        USD CALL VERSUS ILS PUT
        000000000
        
          
        
        -3200000.00000000
        NC
        USD
        -610.02000000
        -0.00093622530
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    USD CALL VERSUS ILS PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            -3200000.00000000
            USD
            3.60000000
            USD
            2021-06-28
            XXXX
            26325.66000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS CNH PUT
        000000000
        
          
        
        -6150000.00000000
        NC
        USD
        -25414.51000000
        -0.03900479893
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS CNH PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CNY
                  N/A
                  USD
                  2022-09-28
                
              
            
            -6150000.00000000
            USD
            7.60000000
            USD
            2022-09-28
            XXXX
            18246.80000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/TRY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8473.58000000
        0.013004786798
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -566846.00000000
            TRY
            76000.00000000
            USD
            2021-05-28
            8473.58000000
          
        
        
          N
          N
          N
        
      
      
        PENNYMAC FIN SVCS INC
        549300W1D516HBDEU871
        PennyMac Financial Services Inc
        70932MAB3
        
          
          
        
        100000.00000000
        PA
        USD
        95763.37000000
        0.146972378844
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        BRL CALL VERSUS USD PUT
        000000000
        
          
        
        -500000.00000000
        NC
        USD
        -29.96000000
        -0.00004598096
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    BRL CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  BRL
                  2021-09-28
                
              
            
            -500000.00000000
            USD
            3.85000000
            USD
            2021-09-28
            XXXX
            9152.54000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        210229.86000000
        0.322649282583
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -5092794.00000000
            BRL
            1134000.00000000
            USD
            2021-09-30
            210229.86000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -3829.11000000
        -0.00587670844
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-01-24
            0.00000000
            USD
            0.00000000
            USD
            3800000.00000000
            SEK
            -3829.11000000
          
        
        
          N
          N
          N
        
      
      
        BANFF MERGER SUB INC
        549300DSDR5SWIGOZV63
        Banff Merger Sub Inc
        05988LAA6
        
          
          
        
        250000.00000000
        PA
        USD
        265500.95000000
        0.407476326354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4981.21000000
        -0.00764488847
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -2448075.00000000
            ILS
            750000.00000000
            USD
            2021-08-31
            -4981.21000000
          
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        000000000
        
          
          
        
        100000.00000000
        PA
        
        130325.79000000
        0.200016889349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          3.32500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trinitas CLO Ltd
        549300095MXHZZMH2053
        Trinitas CLO Ltd
        89641QAG5
        
          
        
        250000.00000000
        PA
        USD
        251217.68000000
        0.385555145326
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-25
          Floating
          3.17575000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2468.04000000
        -0.00378781270
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -708819.00000000
            ZAR
            46078.07000000
            USD
            2021-06-17
            -2468.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -10411.25000000
        -0.01597861665
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2026-02-27
            0.00000000
            USD
            0.00000000
            USD
            53000000.00000000
            RUB
            -10411.25000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
          
        
        600000.00000000
        PA
        
        787988.99000000
        1.209362372725
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2027-10-31
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        143508.49000000
        0.220248975779
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-07-11
            172128.63000000
            USD
            0.00000000
            USD
            5135000.00000000
            PLN
            -28620.14000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        10155.65000000
        0.015586335769
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -8139060.00000000
            TWD
            309000.00000000
            USD
            2021-12-23
            10155.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        000000000
        
          
          
        
        150000.00000000
        PA
        
        180480.78000000
        0.276992022860
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-29
          Fixed
          0.40600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chesapeake Energy Corp
        X2MT1W32SPAZ9WSKLE78
        Chesapeake Energy Corp
        165167735
        
          
          
        
        10317.00000000
        NS
        USD
        470145.69000000
        0.721553872453
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -3728.07000000
        -0.00572163778
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-13
            0.00000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            -3728.07000000
          
        
        
          N
          N
          N
        
      
      
        CHEMOURS CO
        549300M1BOLNXL8DOV14
        Chemours Co/The
        163851AE8
        
          
          
        
        125000.00000000
        PA
        USD
        133921.46000000
        0.205535326863
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS USA LUX/JBS USA FIN
        N/A
        JBS USA LUX SA / JBS USA Finance Inc
        472141AA8
        
          
          
        
        400000.00000000
        PA
        USD
        441026.95000000
        0.676864024061
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2028-02-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAJ5
        
          
          
        
        275000.00000000
        PA
        USD
        275407.88000000
        0.422680940280
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          2.26500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -53420.61000000
        -0.08198702834
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-10-07
            4884.86000000
            USD
            0.00000000
            USD
            1825000.00000000
            NZD
            -58305.47000000
          
        
        
          N
          N
          N
        
      
      
        TH MSR ISSUER TRUST
        N/A
        TH MSR issuer Trust
        87271AAA4
        
          
        
        820000.00000000
        PA
        USD
        813152.34000000
        1.247981705035
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-06-25
          Floating
          2.90613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        35175.39000000
        0.053985263311
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -648000.00000000
            USD
            763668000.00000000
            KRW
            2021-07-30
            35175.39000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1204.00000000
        -0.00184783330
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -6030228.06000000
            RUB
            78491.00000000
            USD
            2021-06-16
            -1204.00000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        722.67000000
        0.001109114361
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -58767.69000000
            USD
            1211513.27000000
            MXN
            2021-06-16
            722.67000000
          
        
        
          N
          N
          N
        
      
      
        DIVERSIFIED HEALTHCARE T
        N/A
        Diversified Healthcare Trust
        81721MAM1
        
          
          
        
        225000.00000000
        PA
        USD
        226353.79000000
        0.347395407834
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGIZER GAMMA ACQ BV
        5493002SUYZDHEQ3JN34
        Energizer Gamma Acquisition BV
        000000000
        
          
          
        
        300000.00000000
        PA
        
        370310.47000000
        0.568332241094
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-07-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        6366.34000000
        0.009770710182
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2028-01-23
            0.00000000
            USD
            0.00000000
            USD
            405000000.00000000
            COP
            6366.34000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        229.51000000
        0.000352239386
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -94686.22000000
            USD
            626444.00000000
            CNY
            2022-01-28
            229.51000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        E-MINI RUSSELL 2000 INDEX
        000000000
        
          
          
        
        10.00000000
        NC
        USD
        -16328.42000000
        -0.02505996530
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                FINANCIAL TIMES STOCK EXCHANGE
                RUSSELL 2000 INDEX
                
                  
                  
                  
                
              
            
            2021-06-18
            1147078.42000000
            USD
            -16328.42000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5707.17000000
        0.008759052144
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -200175.08000000
            USD
            1118762.67000000
            BRL
            2021-05-04
            5707.17000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        4081.29000000
        0.006263740510
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -2406.02000000
            USD
            350000.00000000
            USD
            6487.31000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -49279.11000000
        -0.07563088082
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2031-05-11
            0.00000000
            USD
            -47170.12000000
            USD
            -490000.00000000
            EUR
            -2108.99000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        41272.84000000
        0.063343295839
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2047-09-22
            42.02000000
            USD
            0.00000000
            USD
            -6575000.00000000
            ZAR
            41230.82000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        3800000.00000000
        NC
        USD
        3964.53000000
        0.006084543652
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            3800000.00000000
            USD
            36.00000000
            USD
            2022-02-23
            XXXX
            -83158.07000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2663.26000000
        0.004087425679
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -557000.00000000
            USD
            43372260.00000000
            RUB
            2021-11-22
            2663.26000000
          
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        N/A
        Level 3 Financing Inc
        527298BN2
        
          
          
        
        175000.00000000
        PA
        USD
        180388.46000000
        0.276850335177
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        -8400000.00000000
        NC
        USD
        -102802.68000000
        -0.15777592654
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-05-26
                
              
            
            -8400000.00000000
            USD
            26.00000000
            USD
            2022-05-26
            XXXX
            24549.72000000
          
        
        
          N
          N
          N
        
      
      
        Ferrellgas Partners LP
        529900YP52A6C5K57L34
        Ferrellgas Partners LP
        315293308
        
          
          
        
        728.00000000
        NS
        USD
        147056.00000000
        0.225693499960
        Long
        EC
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        7714.15000000
        0.011839255200
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-11-01
            0.00000000
            USD
            -6.44000000
            USD
            2910000.00000000
            CNY
            7720.59000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2019-2 AA PTT
        N/A
        United Airlines 2019-2 Class AA Pass Through Trust
        90932JAA0
        
          
          
        
        68966.20000000
        PA
        USD
        67274.63000000
        0.103249419970
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RANGE RESOURCES CORP
        H3Y3WLYCX0BTO1TRW162
        Range Resources Corp
        75281ABG3
        
          
          
        
        275000.00000000
        PA
        USD
        301823.15000000
        0.463221650885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        106237.20000000
        0.163047039862
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -71987535.00000000
            JPY
            993000.00000000
            AUD
            2021-05-28
            106237.20000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS ZAR PUT
        000000000
        
          
        
        5850000.00000000
        NC
        USD
        257584.16000000
        0.395326070373
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS ZAR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2022-05-27
                
              
            
            5850000.00000000
            USD
            16.20000000
            USD
            2022-05-27
            XXXX
            -86670.79000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -11617.58000000
        -0.01783002591
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2021-09-12
            0.00000000
            USD
            0.00000000
            USD
            -6400000.00000000
            USD
            -11617.58000000
          
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HLDG
        8XJ8KF85PBKK1TLMFN29
        Intelsat Jackson Holdings SA
        45824TAP0
        
          
          
        
        440000.00000000
        PA
        USD
        269860.44000000
        0.414167032997
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2023-08-01
          Fixed
          5.50000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        000000000
        
          
          
        
        100000.00000000
        PA
        
        118422.11000000
        0.181747772811
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2031-11-05
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        -8700000.00000000
        NC
        USD
        -68278.32000000
        -0.10478982844
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2022-03-29
                
              
            
            -8700000.00000000
            USD
            25.75000000
            USD
            2022-03-29
            XXXX
            -22594.62000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF UKRAINE
        000000000
        
          
        
        1.00000000
        NC
        USD
        7301.32000000
        0.011205666311
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2025-12-20
            0.00000000
            USD
            -4255.68000000
            USD
            220000.00000000
            USD
            11557.00000000
          
        
        
          N
          N
          N
        
      
      
        TPC GROUP INC
        549300K276KVW5JD1583
        TPC Group Inc
        89236YAB0
        
          
          
        
        50000.00000000
        PA
        USD
        46729.20000000
        0.071717418523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11737.63000000
        -0.01801427208
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -156000.00000000
            GBP
            203718.84000000
            USD
            2021-05-28
            -11737.63000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        USD CALL VERSUS GBP PUT
        000000000
        
          
        
        -6000000.00000000
        NC
        
        -10.44000000
        -0.00001602274
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    USD CALL VERSUS GBP PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            -6000000.00000000
            USD
            1.22000000
            GBP
            2021-05-26
            XXXX
            108120.80000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/NOK FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1266.78000000
        0.001944184609
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -98533.94000000
            USD
            830651.00000000
            NOK
            2021-07-19
            1266.78000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & COMPANY LLC
        9R7GPTSO7KV3UQJZQ078
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        12675.59000000
        0.019453801756
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & COMPANY LLC
              9R7GPTSO7KV3UQJZQ078
            
            Y
            
            
              
                
              
            
            2023-05-15
            0.00000000
            USD
            0.00000000
            USD
            600000.00000000
            EUR
            12675.59000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF TURKEY
        000000000
        
          
        
        1.00000000
        NC
        USD
        -33653.49000000
        -0.05164953449
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                TURKEY GOVERNMENT INTERNATIONAL BOND
                TURKEY GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            750000.00000000
            USD
            -33653.49000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4147.56000000
        0.006365448078
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -361004.00000000
            BRL
            68656.74000000
            USD
            2022-01-28
            4147.56000000
          
        
        
          N
          N
          N
        
      
      
        VISTRA CORP
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAF9
        
          
          
        
        180000.00000000
        PA
        USD
        186457.08000000
        0.286164120999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-31
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        16500.55000000
        0.025324141012
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2027-12-20
            0.00000000
            USD
            0.00000000
            USD
            140000000.00000000
            CLP
            16500.55000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        14712.89000000
        0.022580538289
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2029-04-05
            20227.83000000
            USD
            0.00000000
            USD
            250000000.00000000
            CLP
            -5514.94000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        COP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2248.98000000
        0.003451611410
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -284628254.65000000
            COP
            77905.00000000
            USD
            2021-06-16
            2248.98000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1476.03000000
        0.002265330056
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5700895.00000000
            JPY
            54601.04000000
            USD
            2023-10-31
            1476.03000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        3825000.00000000
        NC
        
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-05-07
                
              
            
            3825000.00000000
            USD
            1.35000000
            EUR
            2021-05-07
            XXXX
            -786.64000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CDS REPUBLIC OF ITALY
        000000000
        
          
        
        1.00000000
        NC
        USD
        8813.55000000
        0.013526554146
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            
              
                ITALY GOV'T INT BOND
                Republic of Italy Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2025-12-20
            0.00000000
            USD
            -13240.06000000
            USD
            750000.00000000
            USD
            22053.61000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        19596.81000000
        0.030076111392
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2039-12-03
            25121.32000000
            USD
            0.00000000
            USD
            40000000.00000000
            JPY
            -5524.51000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        11365.49000000
        0.017443131982
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2028-01-26
            0.00000000
            USD
            0.00000000
            USD
            101000000.00000000
            CLP
            11365.49000000
          
        
        
          N
          N
          N
        
      
      
        GOLDEN ENTERTAINMENT INC
        549300P8YYCKQVJ0Y638
        Golden Entertainment Inc
        381013AA9
        
          
          
        
        200000.00000000
        PA
        USD
        213900.16000000
        0.328282258136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        24291.91000000
        0.037281893895
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2027-02-09
            0.00000000
            USD
            0.00000000
            USD
            220000000.00000000
            CLP
            24291.91000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        442.20000000
        0.000678664356
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -79286.00000000
            USD
            5956757.18000000
            INR
            2021-06-16
            442.20000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE ASSRNCES
        969500K2MUPSI57XK083
        Credit Agricole Assurances SA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        134217.53000000
        0.205989718894
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          N/A
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7519.90000000
        0.011541130932
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -69190560.00000000
            JPY
            640740.84000000
            USD
            2021-05-28
            7519.90000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -376.79000000
        -0.00057827666
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -8575140.00000000
            MXN
            420000.00000000
            USD
            2021-06-30
            -376.79000000
          
        
        
          N
          N
          N
        
      
      
        ANTERO RESOURCES CORP
        APVBKPOULHUX7YZLKU17
        Antero Resources Corp
        03674XAF3
        
          
          
        
        125000.00000000
        PA
        USD
        125412.50000000
        0.192476240777
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIDDA BONDCO GMBH
        391200JPUEK6AMI9PQ76
        Nidda BondCo GmbH
        000000000
        
          
          
        
        100000.00000000
        PA
        
        121427.25000000
        0.186359897203
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-09-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        000000000
        
          
          
        
        155000.00000000
        PA
        
        225670.50000000
        0.346346731740
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-05
          Fixed
          3.69200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        20810.81000000
        0.031939292146
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            244009.55000000
            BRL
            20810.81000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        USD CALL VERSUS GBP PUT
        000000000
        
          
        
        6000000.00000000
        NC
        
        10.44000000
        0.000016022740
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    USD CALL VERSUS GBP PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            6000000.00000000
            USD
            1.22000000
            GBP
            2021-05-26
            XXXX
            -204460.99000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS REPUBLIC OF PORTUGAL
        000000000
        
          
        
        1.00000000
        NC
        USD
        42509.57000000
        0.065241361352
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                PORTUGAL OBRIGACOES DO TESOURO OT
                PORTUGAL OBRIGACOES DO TESOURO OT
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2030-12-20
            33145.50000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            9364.07000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2086.93000000
        -0.00320290593
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -188495.28000000
            USD
            14134413.00000000
            RUB
            2021-06-30
            -2086.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10835.74000000
        -0.01663010067
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1031280.00000000
            ZAR
            60000.00000000
            USD
            2021-05-28
            -10835.74000000
          
        
        
          N
          N
          N
        
      
      
        RANGE RESOURCES CORP
        H3Y3WLYCX0BTO1TRW162
        Range Resources Corp
        75281ABH1
        
          
          
        
        25000.00000000
        PA
        USD
        27123.35000000
        0.041627433033
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        3185.63000000
        0.004889130564
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-13
            0.00000000
            USD
            0.00000000
            USD
            2030000.00000000
            CNY
            3185.63000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1388.06000000
        0.002130318515
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -277000.00000000
            USD
            20846255.00000000
            INR
            2021-06-30
            1388.06000000
          
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN SECURITIES EXCHANGE TRADE24
        N/A
        10 YEAR AUSTRALIAN BOND
        000000000
        
          
          
        
        2.00000000
        NC
        
        2235.08000000
        0.003430278451
        N/A
        DIR
        CORP
        AU
        N
        
        1
        
          
            
              AUSTRALIAN SECURITIES EXCHANGE TRADE24
              N/A
            
            Long
            
              
                AUSTRALIAN GOVERNMENT
                Australia Government Bond
                
                  
                  
                  
                
              
            
            2021-06-15
            212316.56000000
            USD
            2235.08000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2370.34000000
        0.003637868095
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -194096.41000000
            USD
            163000.00000000
            EUR
            2021-08-31
            2370.34000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        E-MINI NASDAQ 100 INDEX
        000000000
        
          
          
        
        19.00000000
        NC
        USD
        -8917.57000000
        -0.01368619834
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NASDAQ
                NASDAQ 100 INDEX
                
                  
                  
                  
                
              
            
            2021-06-18
            5271917.57000000
            USD
            -8917.57000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAL0
        
          
        
        1250000.00000000
        PA
        USD
        1249248.13000000
        1.917277654627
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          2.76500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAH4
        
          
          
        
        150000.00000000
        PA
        USD
        163693.68000000
        0.251228100591
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR COMPANY
        20S05OYHG0MQM4VUIC57
        Ford Motor Co
        345370CQ1
        
          
          
        
        550000.00000000
        PA
        USD
        555707.70000000
        0.852869762322
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        78150.03000000
        0.119940388646
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -38930100.00000000
            JPY
            564000.00000000
            AUD
            2021-07-30
            78150.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS BRL PUT
        000000000
        
          
        
        -12300000.00000000
        NC
        USD
        -262445.72000000
        -0.40278732657
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS BRL PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2022-09-28
                
              
            
            -12300000.00000000
            USD
            7.50000000
            USD
            2022-09-28
            XXXX
            131252.68000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        AUD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        15217.05000000
        0.023354295462
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -136790.89000000
            USD
            197000.00000000
            AUD
            2023-10-31
            15217.05000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6100.47000000
        -0.00936266745
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -112252776.00000000
            CLP
            151795.51000000
            USD
            2021-06-16
            -6100.47000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        25396.63000000
        0.038977357686
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -979002.58000000
            USD
            1122832945.00000000
            KRW
            2021-06-30
            25396.63000000
          
        
        
          N
          N
          N
        
      
      
        PGIM Core Ultra Short Bond Fund
        1VRLPVAWKZCB406TIT84
        PGIM Core Ultra Short Bond Fund
        000000000
        
          
        
        1054231.39000000
        NS
        USD
        1054231.39000000
        1.617976635957
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900KXN235YISGF415
        Bellemeade Re 2019-4 Ltd
        07876LAA7
        
          
        
        123986.33000000
        PA
        USD
        123986.34000000
        0.190287448467
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-10-25
          Floating
          1.50613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505FQ2
        
          
          
        
        405000.00000000
        PA
        USD
        416173.94000000
        0.638720984597
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        59382.73000000
        0.091137363799
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2040-12-03
            76332.86000000
            USD
            0.00000000
            USD
            125000000.00000000
            JPY
            -16950.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS RUB PUT
        000000000
        
          
        
        -12000000.00000000
        NC
        USD
        -185885.57000000
        -0.28528699873
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS RUB PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  RUB
                  N/A
                  USD
                  2022-03-30
                
              
            
            -12000000.00000000
            USD
            96.00000000
            USD
            2022-03-30
            XXXX
            72870.43000000
          
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDD8
        
          
          
        
        400000.00000000
        PA
        USD
        425697.66000000
        0.653337468790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -18477.67000000
        -0.02835851657
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2023-05-15
            0.00000000
            USD
            0.00000000
            USD
            -600000.00000000
            EUR
            -18477.67000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        69610.24000000
        0.106833986363
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1504000.00000000
            USD
            119318996.10000000
            RUB
            2021-06-30
            69610.24000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CSWAP EUR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -146559.99000000
        -0.22493225096
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            -1000000.00000000
            EUR
            1094500.00000000
            USD
            2024-11-05
            -146559.99000000
          
        
        
          N
          N
          N
        
      
      
        NRG ENERGY INC
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CH3
        
          
          
        
        150000.00000000
        PA
        USD
        160677.39000000
        0.246598863790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        5100000.00000000
        NC
        
        7583.37000000
        0.011638541214
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            5100000.00000000
            USD
            1.31000000
            EUR
            2021-11-18
            XXXX
            1261.43000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3098.91000000
        -0.00475603745
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -15020850.00000000
            RUB
            195000.00000000
            USD
            2021-06-30
            -3098.91000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        143059.98000000
        0.219560627179
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -272885310.00000000
            JPY
            2686000.00000000
            USD
            2023-10-31
            143059.98000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14422.10000000
        0.022134249712
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -675584.46000000
            USD
            894802.00000000
            AUD
            2022-01-28
            14422.10000000
          
        
        
          N
          N
          N
        
      
      
        LAUREATE EDUCATION INC
        5JL7TMOH5TY3IUYSUP91
        Laureate Education Inc
        518613AJ3
        
          
          
        
        155000.00000000
        PA
        USD
        161625.70000000
        0.248054278074
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        3 MONTH SOFR
        000000000
        
          
          
        
        -1.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                THE SECURED OVERNIGHT FINANCING RATE
                THE SECURED OVERNIGHT FINANCING RATE
                
                  
                  
                
              
            
            2022-09-20
            -250023.17000000
            USD
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CN4
        
          
          
        
        75000.00000000
        PA
        USD
        76220.57000000
        0.116979159043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13985.23000000
        -0.02146376554
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -545000.00000000
            USD
            2892042.50000000
            BRL
            2021-05-28
            -13985.23000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABS3
        
          
          
        
        125000.00000000
        PA
        USD
        121768.03000000
        0.186882907695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -715.18000000
        -0.00109761911
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -105000.00000000
            USD
            1525546.07000000
            ZAR
            2021-06-30
            -715.18000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MV0
        
          
          
        
        380000.00000000
        PA
        USD
        381976.10000000
        0.586236011521
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2381.44000000
        -0.00365490376
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2029-06-20
            0.00000000
            USD
            -28712.74000000
            USD
            250000.00000000
            USD
            26331.30000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4287.06000000
        -0.00657954504
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1125506.20000000
            ZAR
            71000.00000000
            USD
            2021-12-23
            -4287.06000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -6725.56000000
        -0.01032202137
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-19
            0.00000000
            USD
            0.00000000
            USD
            1540000.00000000
            NOK
            -6725.56000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        176.27000000
        0.000270529548
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-05-05
            0.00000000
            USD
            -47.07000000
            USD
            25000.00000000
            ZAR
            223.34000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MY4
        
          
          
        
        75000.00000000
        PA
        USD
        74935.20000000
        0.115006443519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-01
          Fixed
          2.56100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5586.36000000
        -0.00857363956
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -29858779.50000000
            INR
            381000.00000000
            USD
            2022-02-25
            -5586.36000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CSWAP EUR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -16920.06000000
        -0.02596798199
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            -100000.00000000
            EUR
            107380.00000000
            USD
            2025-05-17
            -16920.06000000
          
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CF6
        
          
          
        
        150000.00000000
        PA
        USD
        163787.52000000
        0.251372121087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILCORP ENERGY I/HILCORP
        N/A
        Hilcorp Energy I LP / Hilcorp Finance Co
        431318AS3
        
          
          
        
        150000.00000000
        PA
        USD
        155966.70000000
        0.239369154609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        2129.39000000
        0.003268071223
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2029-12-16
            0.00000000
            USD
            0.00000000
            USD
            860000000.00000000
            COP
            2129.39000000
          
        
        
          N
          N
          N
        
      
      
        BROOKFIELD RESID PROPERT
        N/A
        Brookfield Residential Properties Inc / Brookfield Residential US Corp
        11283YAD2
        
          
          
        
        85000.00000000
        PA
        USD
        85018.31000000
        0.130481448867
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-02-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1853.80000000
        0.002845110775
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -68981.94000000
            USD
            1031280.00000000
            ZAR
            2021-05-28
            1853.80000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS CDX.EM.28.V2
        000000000
        
          
        
        1.00000000
        NC
        USD
        -3944.20000000
        -0.00605334228
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                IHS MARKIT LTD
                CDX.EM.28.V2
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2022-12-20
            0.00000000
            USD
            -726.89000000
            USD
            -4700000.00000000
            USD
            -3217.31000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -78259.33000000
        -0.12010813630
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -448000.00000000
            USD
            2038400.00000000
            BRL
            2021-09-30
            -78259.33000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        15149.16000000
        0.023250101606
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-05-29
            8092.57000000
            USD
            0.00000000
            USD
            -9800000.00000000
            USD
            7056.59000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13150.88000000
        -0.02018325083
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -246000.00000000
            USD
            1303062.00000000
            BRL
            2022-01-28
            -13150.88000000
          
        
        
          N
          N
          N
        
      
      
        DIG HOLD BM/DIG INTL FIN
        N/A
        Digicel International Finance Ltd/Digicel international Holdings ltd
        25381VAA5
        
          
          
        
        200000.00000000
        PA
        USD
        208820.15000000
        0.320485736833
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2024-05-25
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -65996.69000000
        -0.10128810760
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -611000.00000000
            AUD
            44053100.00000000
            JPY
            2022-05-31
            -65996.69000000
          
        
        
          N
          N
          N
        
      
      
        GCAT
        N/A
        GCAT 2019-4 LLC
        36167WAA0
        
          
        
        443978.63000000
        PA
        USD
        445195.13000000
        0.683261118588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-26
          Variable
          3.22800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4646.87000000
        -0.00713176173
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -849410.89000000
            ILS
            256980.00000000
            USD
            2021-06-16
            -4646.87000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        30084.14000000
        0.046171491471
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -75713283.00000000
            JPY
            723000.00000000
            USD
            2021-05-28
            30084.14000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        Eurex 5 Year Euro BOBL
        000000000
        
          
          
        
        -90.00000000
        NC
        
        19670.73000000
        0.030189559762
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                Bundesrepublik Deutschland Bundesanleihe
                
                  
                  
                  
                
              
            
            2021-06-08
            -14655957.13000000
            USD
            19670.73000000
          
        
        
          N
          N
          N
        
      
      
        MATTERHORN TELECOM SA
        549300MTB0YI26SMUT22
        Matterhorn Telecom SA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        120068.51000000
        0.184274577419
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2026-09-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT1
        69354WAC0
        
          
        
        100000.00000000
        PA
        USD
        99885.49000000
        0.153298783003
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Floating
          2.95613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        961.04000000
        0.001474951591
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -97065.00000000
            USD
            109586385.00000000
            KRW
            2021-06-16
            961.04000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        689.74000000
        0.001058575200
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -88000.00000000
            USD
            73674.20000000
            EUR
            2021-06-30
            689.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        40571.86000000
        0.062267470101
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -624000.00000000
            USD
            14804400.00000000
            MXN
            2023-04-28
            40571.86000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1323.53000000
        -0.00203128140
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -3062912.58000000
            BRL
            546000.00000000
            USD
            2022-01-28
            -1323.53000000
          
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        123531.19000000
        0.189588909159
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-02-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        E-MINI STANDARD & POORS'S 500
        000000000
        
          
          
        
        16.00000000
        NC
        USD
        6939.28000000
        0.010650027135
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            2021-06-18
            3332580.72000000
            USD
            6939.28000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD CALL VERSUS CNH PUT
        000000000
        
          
        
        4100000.00000000
        NC
        USD
        82.36000000
        0.000126401620
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    USD CALL VERSUS CNH PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  CNY
                  N/A
                  CNY
                  2021-07-13
                
              
            
            4100000.00000000
            USD
            7.60000000
            USD
            2021-07-13
            XXXX
            -549.04000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
          
        
        100000.00000000
        PA
        
        120225.00000000
        0.184514749705
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-04-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEG ENERGY CORP
        5493002WXPTG5ZC1T326
        MEG Energy Corp
        552704AD0
        
          
          
        
        150000.00000000
        PA
        USD
        155123.30000000
        0.238074750451
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CSWAP EUR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -46529.27000000
        -0.07141057690
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            -350000.00000000
            EUR
            375900.00000000
            USD
            2022-11-17
            -46529.27000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        740.85000000
        0.001137016030
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -92000.00000000
            USD
            6944620.00000000
            INR
            2021-06-30
            740.85000000
          
        
        
          N
          N
          N
        
      
      
        BEAZER HOMES USA
        549300DUPYT2T0F60I45
        Beazer Homes USA Inc
        07556QBT1
        
          
          
        
        75000.00000000
        PA
        USD
        83670.61000000
        0.128413072671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        USD CALL VERSUS INR PUT
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -2243.98000000
        -0.00344393768
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    USD CALL VERSUS INR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2021-09-28
                
              
            
            -3800000.00000000
            USD
            88.00000000
            USD
            2021-09-28
            XXXX
            37732.02000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -56441.68000000
        -0.08662360123
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -416000.00000000
            AUD
            28853760.00000000
            JPY
            2021-05-28
            -56441.68000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2047.50000000
        0.003142390933
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -112000.00000000
            USD
            370192.48000000
            ILS
            2021-06-30
            2047.50000000
          
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CH2
        
          
          
        
        150000.00000000
        PA
        USD
        158351.57000000
        0.243029322554
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2536.33000000
        -0.00389262046
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -342565.64000000
            ILS
            103000.00000000
            USD
            2021-06-30
            -2536.33000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -58247.82000000
        -0.08939556604
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -431000.00000000
            AUD
            29437300.00000000
            JPY
            2023-10-31
            -58247.82000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        300000.00000000
        PA
        
        422508.23000000
        0.648442506193
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2039-03-11
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        GBP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13719.38000000
        0.021055753518
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -352280.40000000
            USD
            265000.00000000
            GBP
            2021-05-28
            13719.38000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2058.87000000
        -0.00315984098
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-13
            0.00000000
            USD
            0.00000000
            USD
            175000.00000000
            USD
            -2058.87000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        -12300000.00000000
        NC
        USD
        -14086.29000000
        -0.02161886690
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            -12300000.00000000
            USD
            24.30000000
            USD
            2021-12-21
            XXXX
            37627.86000000
          
        
        
          N
          N
          N
        
      
      
        Deco
        549300BXZQDWLENUZL17
        Deco 2019-RAM DAC
        000000000
        
          
        
        1765575.00000000
        PA
        
        2342010.20000000
        3.594389069343
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2030-08-07
          Floating
          1.94750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/SGD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -15.12000000
        -0.00002320534
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -57608.00000000
            SGD
            43267.60000000
            USD
            2021-06-16
            -15.12000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        189421.42000000
        PA
        USD
        190647.34000000
        0.292595102700
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.15613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS GENERALITAT DE CATALUNA
        000000000
        
          
        
        1.00000000
        NC
        USD
        973.77000000
        0.001494488898
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                GENERALITAT DE CATALUNYA
                Autonomous Community of Catalonia
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            -10789.07000000
            USD
            230000.00000000
            USD
            11762.84000000
          
        
        
          N
          N
          N
        
      
      
        REGIONALCARE/LIFEPOINT
        N/A
        RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc
        53219LAR0
        
          
          
        
        125000.00000000
        PA
        USD
        135351.75000000
        0.207730457671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF SOUTH AFRICA
        000000000
        
          
        
        1.00000000
        NC
        USD
        1293.62000000
        0.001985377172
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
                REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            450000.00000000
            USD
            1293.62000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -47696.27000000
        -0.07320162462
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -518000.00000000
            USD
            50468740.00000000
            JPY
            2023-10-31
            -47696.27000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16029.99000000
        -0.02460195128
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -587604.67000000
            USD
            3198626.00000000
            BRL
            2022-01-28
            -16029.99000000
          
        
        
          N
          N
          N
        
      
      
        ASSICURAZIONI GENERALI
        549300X5UKJVE386ZB61
        Assicurazioni Generali SpA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        147571.94000000
        0.226485336433
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2047-10-27
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        USD
        26143.95000000
        0.040124303519
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                HELLENIC REPUBLIC
                HELLENIC REPUBLIC GOVERNMENT BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -63399.75000000
            USD
            1650000.00000000
            USD
            89543.70000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        Codere Finance 2 Luxembourg SA
        000000000
        
          
          
        
        150000.00000000
        PA
        
        125300.50000000
        0.192304349307
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2023-11-01
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERNATIONAL GAME TECH
        549300UQ6KHRCZDRGZ76
        International Game Technology PLC
        460599AF0
        
          
          
        
        200000.00000000
        PA
        USD
        206084.98000000
        0.316287947622
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        17443.06000000
        0.026770653774
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2023-10-30
            0.00000000
            USD
            0.00000000
            USD
            -4670000.00000000
            USD
            17443.06000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        29257.42000000
        0.044902686864
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -27640500.00000000
            JPY
            286831.32000000
            USD
            2023-10-31
            29257.42000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS USD PUT
        000000000
        
          
        
        6000000.00000000
        NC
        USD
        0.08000000
        0.000000122779
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2021-05-14
                
              
            
            6000000.00000000
            USD
            94.00000000
            USD
            2021-05-14
            XXXX
            -911.92000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        Eurex 2 Year Euro SCHATZ
        000000000
        
          
          
        
        -141.00000000
        NC
        
        2305.72000000
        0.003538692856
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESSCHATZANWEISUNGEN
                Bundesschatzanweisungen
                
                  
                  
                  
                
              
            
            2021-06-08
            -19060694.47000000
            USD
            2305.72000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -11523.89000000
        -0.01768623563
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-03-10
            0.00000000
            USD
            0.00000000
            USD
            -4665000.00000000
            USD
            -11523.89000000
          
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2016-85T Mortgage Trust
        23307CAL9
        
          
        
        250000.00000000
        PA
        USD
        243442.03000000
        0.373621503292
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Variable
          3.93503700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAZAKHSTAN TEMIR ZHOLY
        213800X9NVS4IWFKLS77
        Kazakhstan Temir Zholy National Co JSC
        000000000
        
          
          
        
        50000.00000000
        PA
        
        58474.79000000
        0.089743907182
        Long
        DBT
        CORP
        KZ
        N
        
        2
        
          2023-12-05
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAV8
        
          
          
        
        75000.00000000
        PA
        USD
        80131.68000000
        0.122981716604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XJ70
        
          
        
        73107.46000000
        PA
        USD
        73929.40000000
        0.113462796730
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          2.25613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        BRL CALL VERSUS USD PUT
        000000000
        
          
        
        500000.00000000
        NC
        USD
        29.96000000
        0.000045980968
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    BRL CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  BRL
                  2021-09-28
                
              
            
            500000.00000000
            USD
            3.85000000
            USD
            2021-09-28
            XXXX
            -6821.54000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Corp
        46649XAN7
        
          
        
        400000.00000000
        PA
        USD
        414838.48000000
        0.636671393683
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-07-05
          Variable
          4.76697300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -1823.57000000
        -0.00279871542
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-06-20
            0.00000000
            USD
            0.00000000
            USD
            3000000.00000000
            SEK
            -1823.57000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3801.82000000
        0.005834825250
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -43000.00000000
            USD
            304268.00000000
            CNY
            2021-06-30
            3801.82000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        -3800000.00000000
        NC
        USD
        -3964.53000000
        -0.00608454365
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -3800000.00000000
            USD
            36.00000000
            USD
            2022-02-23
            XXXX
            169216.33000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        2900000.00000000
        NC
        USD
        69177.40000000
        0.106169687222
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2022-03-29
                
              
            
            2900000.00000000
            USD
            27.00000000
            USD
            2022-03-29
            XXXX
            25045.20000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        1300000.00000000
        PA
        
        1670906.57000000
        2.564415949641
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2026-06-20
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        26068.31000000
        0.040008215387
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2027-06-02
            0.00000000
            USD
            0.00000000
            USD
            1600000000.00000000
            COP
            26068.31000000
          
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2019-GS2
        52475BAA0
        
          
        
        135542.66000000
        PA
        USD
        135647.11000000
        0.208183760033
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-01-25
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
          
        
        200000.00000000
        PA
        
        240224.56000000
        0.368683506439
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-11-24
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -33599.36000000
        -0.05156645872
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -5827974.00000000
            EUR
            6984745.25000000
            USD
            2021-07-19
            -33599.36000000
          
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AL1
        
          
          
        
        25000.00000000
        PA
        USD
        25033.38000000
        0.038419861468
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2031-02-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT / FINCO
        N/A
        Caesars Resort Collection LLC / CRC Finco Inc
        12652AAA1
        
          
          
        
        375000.00000000
        PA
        USD
        378247.57000000
        0.580513667751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCIENTIFIC GAMES INTERNA
        RLTHESQ0RNFQJWPBJN60
        Scientific Games International Inc
        80874YBG4
        
          
          
        
        525000.00000000
        PA
        USD
        574443.60000000
        0.881624596167
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          8.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT LUXEMBOURG SA
        54930027UF5LR7S2XC75
        Intelsat Luxembourg SA
        458204AQ7
        
          
          
        
        150000.00000000
        PA
        USD
        4713.30000000
        0.007233714866
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2023-06-01
          Fixed
          8.12500000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        881325.32000000
        1.352609863417
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -303158050.00000000
            JPY
            4745000.00000000
            AUD
            2021-05-28
            881325.32000000
          
        
        
          N
          N
          N
        
      
      
        ROCKIES EXPRESS PIPELINE
        W2ZGZGZKY5GGNY6F3V51
        Rockies Express Pipeline LLC
        77340RAM9
        
          
          
        
        75000.00000000
        PA
        USD
        80801.03000000
        0.124008998348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        -18.00000000
        NC
        USD
        -53100.00000000
        -0.08149497366
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Put
            Written
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Short
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            12800.00000000
            USD
            2021-06-18
            XXXX
            36751.22000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP CDS CDX.NA.IG.35.V1
        000000000
        
          
        
        1000000.00000000
        OU
        Other
        USD
        1470.21000000
        0.002256397838
        N/A
        DCR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    CDS CDX.NA.IG.35.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    CH
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.35.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2025-12-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            1000000.00000000
            USD
            50.00000000
            USD
            2021-07-21
            XXXX
            -3649.79000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS STATE OF ILLINOIS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2200.11000000
        -0.00337660840
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                ILLINOIS ST
                State of Illinois
                
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -7219.24000000
            USD
            200000.00000000
            USD
            5019.13000000
          
        
        
          N
          N
          N
        
      
      
        AETHON UN/AETHIN UN FIN
        N/A
        Aethon United BR LP / Aethon United Finance Corp
        00810GAC8
        
          
          
        
        75000.00000000
        PA
        USD
        79519.37000000
        0.122041976729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        443.74000000
        0.000681027864
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -107505.00000000
            USD
            89639.72000000
            EUR
            2021-07-19
            443.74000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        -5100000.00000000
        NC
        
        -7583.37000000
        -0.01163854121
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            -5100000.00000000
            USD
            1.31000000
            EUR
            2021-11-18
            XXXX
            18847.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3860.18000000
        -0.00592439298
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -109385.73000000
            USD
            581768.00000000
            BRL
            2021-09-30
            -3860.18000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD CALL VERSUS KRW PUT
        000000000
        
          
        
        4500000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    USD CALL VERSUS KRW PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  KRW
                  N/A
                  USD
                  2021-05-06
                
              
            
            4500000.00000000
            USD
            1350.00000000
            USD
            2021-05-06
            XXXX
            -1462.44000000
          
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAC0
        
          
          
        
        510000.00000000
        PA
        USD
        275413.52000000
        0.422689596244
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -20114.15000000
        -0.03087009650
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1141298400.00000000
            KRW
            1001000.00000000
            USD
            2021-10-29
            -20114.15000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/CHF FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2893.27000000
        -0.00444043243
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -282364.00000000
            CHF
            306955.19000000
            USD
            2021-07-19
            -2893.27000000
          
        
        
          N
          N
          N
        
      
      
        KB HOME
        549300LGUCWQURMWLG09
        KB Home
        48666KAY5
        
          
          
        
        75000.00000000
        PA
        USD
        81134.73000000
        0.124521142843
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        FEDERAL FUNDS 30 DAY
        000000000
        
          
          
        
        -4.00000000
        NC
        USD
        3193.84000000
        0.004901730823
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-07-29
            -1600953.84000000
            USD
            3193.84000000
          
        
        
          N
          N
          N
        
      
      
        NATIONSTAR MTG HLD INC
        N/A
        Nationstar Mortgage Holdings Inc
        63861CAC3
        
          
          
        
        120000.00000000
        PA
        USD
        121335.38000000
        0.186218900155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        23111.25000000
        0.035469881548
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            4843681.58000000
            BRL
            23111.25000000
          
        
        
          N
          N
          N
        
      
      
        AMC ENTERTAINMENT HLDGS
        549300ZO77UNR6NRBR11
        AMC Entertainment Holdings Inc
        00165CAP9
        
          
          
        
        172425.00000000
        PA
        USD
        147801.75000000
        0.226838036243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          12.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        763.63000000
        0.001171977528
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -797617.88000000
            MXN
            39930.00000000
            USD
            2021-06-16
            763.63000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        3 MONTH SOFR
        000000000
        
          
          
        
        -20.00000000
        NC
        USD
        4213.40000000
        0.006466495707
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                THE SECURED OVERNIGHT FINANCING RATE
                THE SECURED OVERNIGHT FINANCING RATE
                
                  
                  
                
              
            
            2022-06-14
            -5000463.40000000
            USD
            4213.40000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        750.45000000
        0.001151749585
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -111876.00000000
            EUR
            135477.26000000
            USD
            2021-07-19
            750.45000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        COP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4429.98000000
        0.006798890837
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -673617099.00000000
            COP
            183481.73000000
            USD
            2021-06-16
            4429.98000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS KRW PUT
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -4580.61000000
        -0.00703006951
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS KRW PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  KRW
                  N/A
                  USD
                  2021-10-27
                
              
            
            -1500000.00000000
            USD
            1225.00000000
            USD
            2021-10-27
            XXXX
            5559.39000000
          
        
        
          N
          N
          N
        
      
      
        EG GLOBAL FINANCE PLC
        549300TL8Q5207VYET27
        eG Global Finance PLC
        000000000
        
          
          
        
        100000.00000000
        PA
        
        116618.25000000
        0.178979307214
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2025-02-07
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -25863.74000000
        -0.03969425254
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -234000.00000000
            USD
            22335300.00000000
            JPY
            2023-10-31
            -25863.74000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        3900000.00000000
        NC
        
        75801.09000000
        0.116335364098
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-05-25
                
              
            
            3900000.00000000
            USD
            80.00000000
            AUD
            2022-05-25
            XXXX
            -9078.67000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIAN RAIL(RZD CAP)
        635400VKMH1VQDFMW392
        Russian Railways Via RZD Capital PLC
        000000000
        
          
          
        
        50000.00000000
        PA
        
        54045.84000000
        0.082946597132
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2028-04-03
          Fixed
          1.19500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        Viatris Inc
        91533BAE0
        
          
          
        
        20000.00000000
        PA
        USD
        20392.80000000
        0.031297753277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-06-22
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XAY1
        
          
          
        
        425000.00000000
        PA
        USD
        489935.41000000
        0.751926051555
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS BRL PUT
        000000000
        
          
        
        6150000.00000000
        NC
        USD
        120.09000000
        0.000184307559
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS BRL PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2021-06-11
                
              
            
            6150000.00000000
            USD
            7.80000000
            USD
            2021-06-11
            XXXX
            -1109.91000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5303.83000000
        0.008140027988
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -218096.50000000
            USD
            185000.00000000
            EUR
            2021-11-22
            5303.83000000
          
        
        
          N
          N
          N
        
      
      
        BRINKER INTERNATIONAL IN
        52990067JY6PBGJNTG76
        Brinker International Inc
        109641AH3
        
          
          
        
        100000.00000000
        PA
        USD
        104724.04000000
        0.160724724714
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME Ultra Long Term US Treasury Bond
        000000000
        
          
          
        
        12.00000000
        NC
        USD
        21292.79000000
        0.032679008670
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            2209582.21000000
            USD
            21292.79000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        146895.60000000
        0.225447326819
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-04-06
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        Ascent Resources Utica Holdings LLC / ARU Finance Corp
        04364VAK9
        
          
        
        93000.00000000
        PA
        USD
        120900.72000000
        0.185551807777
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCD3
        
          
          
        
        119000.00000000
        PA
        USD
        124168.54000000
        0.190567079055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
          
        
        415000.00000000
        PA
        
        620585.80000000
        0.952441119218
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-10-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1270.90000000
        0.001950507759
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -145000.00000000
            USD
            950936.40000000
            CNY
            2021-06-30
            1270.90000000
          
        
        
          N
          N
          N
        
      
      
        ANTERO RESOURCES CORP
        APVBKPOULHUX7YZLKU17
        Antero Resources Corp
        03674XAN6
        
          
          
        
        50000.00000000
        PA
        USD
        56135.24000000
        0.086153293892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          8.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        SEK/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -128.51000000
        -0.00019723011
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -563937.00000000
            SEK
            66537.23000000
            USD
            2021-07-19
            -128.51000000
          
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN INTL FIN NV
        5299004PWNHKYTR23649
        Volkswagen International Finance NV
        000000000
        
          
          
        
        200000.00000000
        PA
        
        272605.76000000
        0.418380399873
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          N/A
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        2607.84000000
        0.004002370096
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-09-19
            0.00000000
            USD
            -1.31000000
            USD
            1700000.00000000
            CNY
            2609.15000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        4108.98000000
        0.006306237606
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-04-01
            0.00000000
            USD
            0.00000000
            USD
            2900000.00000000
            CNY
            4108.98000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        AUD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -193777.93000000
        -0.29739976088
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1404000.00000000
            AUD
            887932.11000000
            USD
            2021-05-28
            -193777.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1327.54000000
        0.002037435731
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -97964.28000000
            USD
            645516.00000000
            CNY
            2021-06-30
            1327.54000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        16048.30000000
        0.024630052465
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-06-21
            0.00000000
            USD
            -22.95000000
            USD
            5700000.00000000
            ZAR
            16071.25000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -22500.58000000
        -0.03453265865
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2086558.70000000
            CNY
            299504.60000000
            USD
            2021-05-14
            -22500.58000000
          
        
        
          N
          N
          N
        
      
      
        TK ELEVATOR MIDCO GMBH
        254900K869UN2ZWVB351
        TK Elevator Midco GmbH
        000000000
        
          
          
        
        100000.00000000
        PA
        
        126354.52000000
        0.193922001513
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-07-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FV5Q1
        
          
        
        1609941.09000000
        PA
        USD
        175481.32000000
        0.269319125289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-25
          Variable
          1.49022100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        Ascent Resources Utica Holdings LLC / ARU Finance Corp
        04364VAG8
        
          
          
        
        50000.00000000
        PA
        USD
        50606.55000000
        0.077668163083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12153.47000000
        -0.01865248055
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1154000.00000000
            USD
            31377260.00000000
            TWD
            2021-09-30
            -12153.47000000
          
        
        
          N
          N
          N
        
      
      
        ARD FINANCE SA
        6354006P6QPGGPVJW880
        ARD Finance SA
        000000000
        
          
          
        
        300000.00000000
        PA
        
        368884.77000000
        0.566144154767
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-06-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD PLC
        549300M3U2DNF4QVSS04
        DP World PLC
        000000000
        
          
          
        
        100000.00000000
        PA
        
        127799.81000000
        0.196140153500
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2026-09-25
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        000000000
        
          
        
        100000.00000000
        PA
        
        122629.50000000
        0.188205044700
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD PLC
        549300M3U2DNF4QVSS04
        DP World PLC
        000000000
        
          
          
        
        100000.00000000
        PA
        
        156443.24000000
        0.240100522119
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2030-09-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        21600000.00000000
        NC
        
        10010.27000000
        0.015363214502
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            21600000.00000000
            USD
            55.00000000
            AUD
            2022-01-26
            XXXX
            -139449.41000000
          
        
        
          N
          N
          N
        
      
      
        Laurel Road Prime Student Loan
        N/A
        Laurel Road Prime Student Loan Trust 2019-A
        51889RAD1
        
          
        
        1372160.74900000
        PA
        USD
        177008.74000000
        0.271663325904
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-10-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -21600000.00000000
        NC
        
        -10010.27000000
        -0.01536321450
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            -21600000.00000000
            USD
            55.00000000
            AUD
            2022-01-26
            XXXX
            331464.19000000
          
        
        
          N
          N
          N
        
      
      
        AMERIGAS PART/FIN CORP
        N/A
        AmeriGas Partners LP / AmeriGas Finance Corp
        030981AJ3
        
          
          
        
        500000.00000000
        PA
        USD
        559298.49000000
        0.858380710278
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-20
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        2500000.00000000
        NC
        
        0.10000000
        0.000000153474
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-17
                
              
            
            2500000.00000000
            USD
            65.00000000
            AUD
            2021-05-17
            XXXX
            -95.48000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16177.27000000
        -0.02482798856
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -133000.00000000
            AUD
            9276750.00000000
            JPY
            2023-10-31
            -16177.27000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -5970.17000000
        -0.00916269014
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            Y
            
            
              
                
              
            
            2042-03-22
            0.00000000
            USD
            -24.63000000
            USD
            1060000.00000000
            ZAR
            -5945.54000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        1275000.00000000
        NC
        
        24603.00000000
        0.037759337800
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            1275000.00000000
            USD
            1.21000000
            EUR
            2021-11-18
            XXXX
            -4318.14000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        10305.76000000
        0.015816716381
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Y
            
            
              
                
              
            
            2029-07-12
            0.00000000
            USD
            -222.32000000
            USD
            960000.00000000
            ILS
            10528.08000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -9842.20000000
        -0.01510526986
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-28
            0.00000000
            USD
            0.00000000
            USD
            270000000.00000000
            CLP
            -9842.20000000
          
        
        
          N
          N
          N
        
      
      
        CHESAPEAKE ENERGY CORP
        X2MT1W32SPAZ9WSKLE78
        Chesapeake Energy Corp
        165167DF1
        
          
          
        
        50000.00000000
        PA
        USD
        52790.98000000
        0.081020706686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        35935.58000000
        0.055151961316
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-03-13
            0.00000000
            USD
            0.00000000
            USD
            7500000.00000000
            ZAR
            35935.58000000
          
        
        
          N
          N
          N
        
      
      
        TAYLOR MORRISON COMM
        549300O1Z08HI2MRK572
        Taylor Morrison Communities Inc
        87724RAB8
        
          
          
        
        150000.00000000
        PA
        USD
        169247.19000000
        0.259751323778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTPC LTD
        335800Q4TRGJXNLVMB81
        NTPC Ltd
        000000000
        
          
          
        
        300000.00000000
        PA
        
        382842.49000000
        0.587565699473
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2027-02-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        70875.69000000
        0.108776129761
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2029-02-27
            3403.49000000
            USD
            0.00000000
            USD
            13380000.00000000
            MXN
            67472.20000000
          
        
        
          N
          N
          N
        
      
      
        Zais CLO 8, Limited
        549300XI7G6FVIEXZ367
        Zais CLO 8 Ltd
        98885GAA6
        
          
        
        241763.30000000
        PA
        USD
        241061.27000000
        0.369967643151
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          1.13375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        18.00000000
        NC
        USD
        123300.00000000
        0.189234091401
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Put
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Short
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            13650.00000000
            USD
            2021-06-18
            XXXX
            -57001.91000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CSWAP EUR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -44046.47000000
        -0.06760011135
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            -400000.00000000
            EUR
            437600.00000000
            USD
            2021-11-06
            -44046.47000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3579.00000000
        0.005492853310
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -267211.00000000
            USD
            879160.36000000
            ILS
            2021-06-16
            3579.00000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        AUD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -256323.63000000
        -0.39339147792
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -2130460.00000000
            AUD
            1385086.61000000
            USD
            2021-05-28
            -256323.63000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF PANAMA
        000000000
        
          
        
        1.00000000
        NC
        USD
        1999.66000000
        0.003068968720
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF PANAMA
                Panama Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            1999.66000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -21593.08000000
        -0.03313987732
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-07-10
            0.00000000
            USD
            -3.09000000
            USD
            5400000.00000000
            MXN
            -21589.99000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -912.15000000
        -0.00139991789
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -114917.41000000
            USD
            94669.00000000
            EUR
            2021-07-19
            -912.15000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        54044.45000000
        0.082944463836
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -24589000.00000000
            JPY
            367000.00000000
            AUD
            2023-10-31
            54044.45000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        40082.54000000
        0.061516488547
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -334790.09000000
            USD
            486564.00000000
            AUD
            2021-05-28
            40082.54000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12332.89000000
        -0.01892784455
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -45445540.00000000
            INR
            587000.00000000
            USD
            2021-09-30
            -12332.89000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        000000000
        
          
          
        
        300000.00000000
        PA
        
        347386.06000000
        0.533149111351
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2030-01-17
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/CLP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        33541.03000000
        0.051476937037
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -297000.00000000
            USD
            235075500.00000000
            CLP
            2021-10-29
            33541.03000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        693.82000000
        0.001064836961
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -165850.00000000
            AUD
            128501.41000000
            USD
            2021-07-20
            693.82000000
          
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        000000000
        
          
          
        
        400000.00000000
        PA
        
        514897.87000000
        0.790237068889
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2025-10-25
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        805.41000000
        0.001236099185
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -59410300.00000000
            INR
            770000.00000000
            USD
            2022-02-25
            805.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1660.40000000
        -0.00254829104
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6293906.00000000
            TWD
            225000.00000000
            USD
            2021-06-30
            -1660.40000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        COP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1992.70000000
        -0.00305828689
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -89315.30000000
            USD
            328519536.46000000
            COP
            2021-06-16
            -1992.70000000
          
        
        
          N
          N
          N
        
      
      
        TK ELEVATOR MIDCO GMBH
        254900K869UN2ZWVB351
        TK Elevator Midco GmbH
        000000000
        
          
          
        
        100000.00000000
        PA
        
        126354.52000000
        0.193922001513
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-07-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        100000.00000000
        PA
        
        136305.09000000
        0.209193591723
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2034-04-03
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2379.80000000
        -0.00365238678
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -162362.00000000
            EUR
            193683.58000000
            USD
            2021-11-22
            -2379.80000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6689.04000000
        -0.01026597247
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -1043000.00000000
            USD
            112664860.00000000
            JPY
            2022-05-31
            -6689.04000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAM2
        
          
          
        
        200000.00000000
        PA
        USD
        203428.19000000
        0.312210451744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16176.97000000
        0.024827528139
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -36454470.00000000
            TWD
            1329000.00000000
            USD
            2021-06-30
            16176.97000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -45095.30000000
        -0.06920979823
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-08
            0.00000000
            USD
            -6219.04000000
            USD
            8405000.00000000
            NOK
            -38876.26000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
          
        
        405000.00000000
        PA
        
        534322.01000000
        0.820048175816
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2029-04-30
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        94865.65000000
        0.145594607323
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -285276083.00000000
            JPY
            2713840.59000000
            USD
            2022-01-28
            94865.65000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
          
        
        100000.00000000
        PA
        
        155948.51000000
        0.239341237593
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2034-01-16
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        6278.13000000
        0.009635330302
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Y
            
            
              
                
              
            
            2026-09-19
            0.00000000
            USD
            0.00000000
            USD
            350000.00000000
            ILS
            6278.13000000
          
        
        
          N
          N
          N
        
      
      
        KONDOR FINANCE PLC (NAK)
        213800PUC1T9GI6EIO63
        NAK Naftogaz Ukraine via Kondor Finance PLC
        000000000
        
          
          
        
        100000.00000000
        PA
        
        121470.90000000
        0.186426888833
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2024-07-19
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KBS7
        
          
        
        400000.00000000
        PA
        USD
        403009.12000000
        0.618516339413
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS STATE OF ILLINOIS
        000000000
        
          
        
        1.00000000
        NC
        USD
        -144.43000000
        -0.00022166325
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                STATE OF ILLINOIS
                STATE OF ILLINOIS
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            -2724.67000000
            USD
            210000.00000000
            USD
            2580.24000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        583.04000000
        0.000894817880
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -410.09000000
            USD
            50000.00000000
            USD
            993.13000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -16200000.00000000
        NC
        
        -34.49000000
        -0.00005293336
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  CNY
                  2021-05-26
                
              
            
            -16200000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            1306361.50000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        7568.02000000
        0.011614982874
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2028-01-26
            0.00000000
            USD
            0.00000000
            USD
            509000000.00000000
            COP
            7568.02000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        Eurex 10 Year Euro BUND
        000000000
        
          
          
        
        14.00000000
        NC
        
        -25332.17000000
        -0.03887842800
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Long
            
              
                BUNDESREPUB. DEUTSCHLAND
                BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE
                
                  
                  
                  
                
              
            
            2021-06-08
            2847266.09000000
            USD
            -25332.17000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4167.64000000
        0.006396265763
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2554983.00000000
            BRL
            474352.84000000
            USD
            2021-05-04
            4167.64000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        4402.60000000
        0.006756869511
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2023-08-15
            0.00000000
            USD
            -16.74000000
            USD
            2000000.00000000
            CNY
            4419.34000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        -5000000.00000000
        NC
        
        -45179.48000000
        -0.06933899308
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2022-03-29
                
              
            
            -5000000.00000000
            USD
            1.27000000
            EUR
            2022-03-29
            XXXX
            -11932.02000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        Codere Finance 2 Luxembourg SA
        000000000
        
          
          
        
        20000.00000000
        PA
        
        25547.81000000
        0.039209380475
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2023-09-30
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US Long Bond
        000000000
        
          
          
        
        34.00000000
        NC
        USD
        28571.73000000
        0.043850327382
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            5317928.27000000
            USD
            28571.73000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        13182.96000000
        0.020232485462
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            Y
            
            
              
                
              
            
            2029-03-13
            0.00000000
            USD
            0.00000000
            USD
            700000.00000000
            ILS
            13182.96000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCP5
        
          
          
        
        40000.00000000
        PA
        USD
        40709.65000000
        0.062478942652
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-01-23
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAZIL MINAS SPE
        N/A
        BRAZIL MINAS SPE VIA STATE OF MINAS GERAIS
        000000000
        
          
          
        
        2485000.00000000
        PA
        USD
        2691945.83000000
        4.131451121185
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-15
          Fixed
          5.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        2204.20000000
        0.003382885517
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-06-03
            0.00000000
            USD
            0.00000000
            USD
            1250000.00000000
            CNY
            2204.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -400000.00000000
        NC
        
        -0.03000000
        -0.00000004604
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            -400000.00000000
            USD
            62.00000000
            AUD
            2021-05-26
            XXXX
            2339.27000000
          
        
        
          N
          N
          N
        
      
      
        CEC BRANDS LLC WTS 28DEC25
        N/A
        CEC BRANDS LLC WTS 28DEC25
        12515M112
        
          
        
        3090.00000000
        NS
        USD
        5098.50000000
        0.007824898742
        Long
        EC
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF CHILE
        000000000
        
          
        
        1.00000000
        NC
        USD
        2277.52000000
        0.003495413040
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF CHILE
                Chile Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            2277.52000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAG
        N/A
        WELLS FARGO COMMERCIAL MORTGAGE TRUST
        95003EAJ5
        
          
        
        500000.00000000
        PA
        USD
        500000.00000000
        0.767372633420
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-15
          Floating
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI
        000000000
        
          
          
        
        18.00000000
        NC
        USD
        5580.00000000
        0.008563878588
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    CHICAGO MERCANTILE EXCHANGE INC.
                    SNZ2OJLFK8MNNCLQOF39
                    E-MINI NASDAQ 100 INDEX
                    000000000
                    
                      
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DE
                    CORP
                    US
                  
                  Long
                  
                    
                      NASDAQ
                      NASDAQ 100 INDEX
                      
                        
                        
                        
                      
                    
                  
                  2021-06-18
                  0.00000000
                  USD
                
              
            
            20.00000000
            15500.00000000
            USD
            2021-06-18
            XXXX
            -7872.66000000
          
        
        
          N
          N
          N
        
      
      
        SUBURBAN PROPANE PARTNRS
        N/A
        Suburban Propane Partners LP/Suburban Energy Finance Corp
        864486AK1
        
          
          
        
        200000.00000000
        PA
        USD
        208694.55000000
        0.320292972828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAB5
        
          
        
        450000.00000000
        PA
        USD
        450551.57000000
        0.691481889525
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-07-25
          Floating
          1.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        31812.60000000
        0.048824237275
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-01-17
            0.00000000
            USD
            -18.70000000
            USD
            6760000.00000000
            ZAR
            31831.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/NZD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -440.30000000
        -0.00067574834
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -109027.00000000
            NZD
            77554.94000000
            USD
            2021-07-20
            -440.30000000
          
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742AW5
        
          
          
        
        150000.00000000
        PA
        USD
        190692.09000000
        0.292663782551
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2041-07-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2072.21000000
        -0.00318031448
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-15
            0.00000000
            USD
            0.00000000
            USD
            220000.00000000
            USD
            -2072.21000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        AUD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        17150.52000000
        0.026321679393
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -104611.80000000
            USD
            158000.00000000
            AUD
            2021-07-30
            17150.52000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -134997.63000000
        -0.20718697367
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-03-13
            0.00000000
            USD
            0.00000000
            USD
            -25240000.00000000
            ZAR
            -134997.63000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        CLP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        766.85000000
        0.001176919407
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -113546.00000000
            USD
            81268279.00000000
            CLP
            2021-06-16
            766.85000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9278.48000000
        0.014240103263
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -407000.00000000
            USD
            11337392.00000000
            TWD
            2021-12-23
            9278.48000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8922.54000000
        0.013693826033
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -50469360.00000000
            RUB
            674525.71000000
            USD
            2021-06-30
            8922.54000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        16000000.00000000
        NC
        
        34.07000000
        0.000052288771
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            16000000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            -490226.41000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-XL
        056054AL3
        
          
        
        601927.18000000
        PA
        USD
        601926.40000000
        0.923803693386
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.76500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        EUR CALL VERSUS USD PUT
        000000000
        
          
        
        10000000.00000000
        NC
        
        2544.99000000
        0.003905911356
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    EUR CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-09-29
                
              
            
            10000000.00000000
            USD
            1.35000000
            EUR
            2021-09-29
            XXXX
            211.22000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -7712.59000000
        -0.01183686099
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            
              
                
              
            
            2027-07-13
            0.00000000
            USD
            0.00000000
            USD
            1090000.00000000
            ILS
            -7712.59000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CSWAP EUR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -18383.05000000
        -0.02821329897
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            -100000.00000000
            EUR
            107000.00000000
            USD
            2025-11-12
            -18383.05000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5333.50000000
        -0.00818556388
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -575300.00000000
            BRL
            100000.00000000
            USD
            2021-06-30
            -5333.50000000
          
        
        
          N
          N
          N
        
      
      
        PARK INTERMED HOLDINGS
        N/A
        Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer
        70052LAB9
        
          
          
        
        175000.00000000
        PA
        USD
        185670.51000000
        0.284956936414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
          
        
        200000.00000000
        PA
        
        312229.06000000
        0.479192072005
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-12-14
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS DKK
        000000000
        
          
        
        1.00000000
        NC
        
        22891.76000000
        0.035133020309
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2027-03-15
            0.00000000
            USD
            0.00000000
            USD
            2300000.00000000
            DKK
            22891.76000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        -4100000.00000000
        NC
        USD
        -17326.36000000
        -0.02659154900
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            -4100000.00000000
            USD
            25.80000000
            USD
            2021-12-21
            XXXX
            -4932.06000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4601.68000000
        0.007062406599
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -105000.00000000
            USD
            714157.50000000
            CNY
            2021-07-30
            4601.68000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KAH1
        
          
        
        320000.00000000
        PA
        USD
        323009.82000000
        0.495737792388
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Floating
          1.95613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -15235.06000000
        -0.02338193622
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-07-15
            0.00000000
            USD
            0.00000000
            USD
            101100000.00000000
            HUF
            -15235.06000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -37149.55000000
        -0.05701509602
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -6929450.00000000
            MXN
            293000.00000000
            USD
            2022-02-25
            -37149.55000000
          
        
        
          N
          N
          N
        
      
      
        Cold Storage Trust
        N/A
        Cold Storage Trust 2020-ICE5
        193051AQ2
        
          
        
        98299.05000000
        PA
        USD
        98606.96000000
        0.151336565137
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Floating
          2.88023000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PHILIPPINES
        529900RAHBALMYIJ3T08
        Philippine Government International Bond
        000000000
        
          
          
        
        165000.00000000
        PA
        
        194469.66000000
        0.298461390229
        Long
        DBT
        NUSS
        PH
        N
        
        2
        
          2041-04-28
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        480.14000000
        0.000736892592
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-03-19
            0.00000000
            USD
            -15.16000000
            USD
            6585000.00000000
            MXN
            495.30000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        30629.36000000
        0.047008265286
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2027-11-07
            0.00000000
            USD
            -64.92000000
            USD
            4100000.00000000
            ZAR
            30694.28000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CP9
        
          
          
        
        50000.00000000
        PA
        USD
        49322.47000000
        0.075697427381
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-1 Ltd
        07876TAB8
        
          
        
        93114.71000000
        PA
        USD
        93510.94000000
        0.143515472562
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2030-06-25
          Floating
          3.50613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8393.54000000
        -0.01288194578
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -861682.05000000
            BRL
            150179.00000000
            USD
            2021-05-04
            -8393.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -28856.65000000
        -0.04428760700
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -4896634.00000000
            GBP
            6735133.99000000
            USD
            2021-07-19
            -28856.65000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        USD/ZAR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -83682.91000000
        -0.12843195003
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -6462760.00000000
            ZAR
            348622.29000000
            USD
            2021-12-23
            -83682.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
          
        
        420000.00000000
        PA
        USD
        432778.97000000
        0.664205475795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASHTON WOODS USA/FINANCE
        N/A
        Ashton Woods USA LLC / Ashton Woods Finance Co
        045086AH8
        
          
          
        
        325000.00000000
        PA
        USD
        369583.92000000
        0.567217171920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          9.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -21519.66000000
        -0.03302719632
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-10
            0.00000000
            USD
            0.00000000
            USD
            400000000.00000000
            CLP
            -21519.66000000
          
        
        
          N
          N
          N
        
      
      
        AVANTOR FUNDING INC
        5493003VM0XB4U8YD238
        Avantor Funding Inc
        000000000
        
          
          
        
        300000.00000000
        PA
        
        380863.90000000
        0.584529067835
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BG8
        
          
          
        
        120000.00000000
        PA
        USD
        127008.69000000
        0.194925985825
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        4421.42000000
        0.006785753417
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            450000.00000000
            USD
            4421.42000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1604.71000000
        0.002462821077
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -121634.23000000
            USD
            803017.00000000
            CNY
            2021-07-30
            1604.71000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF PORTUGAL
        000000000
        
          
        
        1.00000000
        NC
        USD
        -1509.72000000
        -0.00231703562
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                RUSSIAN FOREIGN BOND - EUROBOND
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            0.00000000
            USD
            -19389.93000000
            USD
            350000.00000000
            USD
            17880.21000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1325.85000000
        -0.00203484201
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -283172.00000000
            ILS
            85912.71000000
            USD
            2021-06-30
            -1325.85000000
          
        
        
          N
          N
          N
        
      
      
        AVANTOR FUNDING INC
        5493003VM0XB4U8YD238
        Avantor Funding Inc
        000000000
        
          
          
        
        100000.00000000
        PA
        
        123287.37000000
        0.189214707568
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE
        549300UF4R84F48NCH34
        Long Gilt
        000000000
        
          
          
        
        4.00000000
        NC
        
        -2103.39000000
        -0.00322816784
        N/A
        DIR
        CORP
        GB
        N
        
        1
        
          
            
              ICE FUTURES EUROPE
              549300UF4R84F48NCH34
            
            Long
            
              
                UK TSY 4 3/4% 2030
                United Kingdom Gilt
                
                  
                  
                  
                
              
            
            2021-06-28
            709990.24000000
            USD
            -2103.39000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WAH5
        
          
        
        118420.61000000
        PA
        USD
        119615.70000000
        0.183579629414
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-25
          Floating
          3.10613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government International Bond
        000000000
        
          
          
        
        200000.00000000
        PA
        
        322273.62000000
        0.494607912922
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2028-04-14
          Fixed
          6.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -110814.20000000
        -0.17007156894
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-02-08
            0.00000000
            USD
            0.00000000
            USD
            7500000000.00000000
            COP
            -110814.20000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -67.16000000
        -0.00010307349
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -105000.00000000
            USD
            117306000.00000000
            KRW
            2021-06-30
            -67.16000000
          
        
        
          N
          N
          N
        
      
      
        COMISION FEDERAL DE ELEC
        4469000001BFPONMPF32
        Comision Federal de Electricidad
        000000000
        
          
          
        
        166400.00000000
        PA
        USD
        172175.32000000
        0.264245257436
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2036-09-29
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP 0.5 LTD
        N/A
        Digicel Group Holdings Ltd
        25381YAD3
        
          
          
        
        110278.00000000
        PA
        USD
        107796.75000000
        0.165440551843
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-04-01
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY GOV'T INT BOND
        815600DE60799F5A9309
        Republic of Italy Government International Bond
        000000000
        
          
          
        
        100000.00000000
        PA
        
        199176.80000000
        0.305685651064
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2048-01-27
          Fixed
          5.34500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -33856.89000000
        -0.05196170167
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -1053000.00000000
            USD
            111011812.00000000
            JPY
            2022-01-28
            -33856.89000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        268.47000000
        0.000412033061
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -116373.00000000
            USD
            130397159.00000000
            KRW
            2021-06-16
            268.47000000
          
        
        
          N
          N
          N
        
      
      
        DIGICEL LTD
        N/A
        Digicel Ltd
        25380QAH2
        
          
          
        
        200000.00000000
        PA
        USD
        188740.99000000
        0.289669341061
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-03-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2020-2R
        69355XAA1
        
          
        
        123585.52000000
        PA
        USD
        124234.23000000
        0.190667896472
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-12-25
          Floating
          3.92113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS MXN PUT
        000000000
        
          
        
        2800000.00000000
        NC
        USD
        111498.87000000
        0.171122362990
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS MXN PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-05-26
                
              
            
            2800000.00000000
            USD
            22.00000000
            USD
            2022-05-26
            XXXX
            -18031.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2905.90000000
        -0.00445981627
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -7196240.00000000
            RUB
            92000.00000000
            USD
            2021-06-30
            -2905.90000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        247953.67000000
        0.380545721428
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -6391868.32000000
            BRL
            1390141.00000000
            USD
            2022-01-28
            247953.67000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1704.84000000
        0.002616495120
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -13270500.00000000
            JPY
            123227.00000000
            USD
            2021-07-30
            1704.84000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS FEDERATIVE REPUBLIC OF BRAZIL
        000000000
        
          
        
        1.00000000
        NC
        USD
        2164.49000000
        0.003321940782
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                BRAZILIAN GOVERNMENT INTERNATIONAL BOND
                BRAZILIAN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            750000.00000000
            USD
            2164.49000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS THB
        000000000
        
          
        
        1.00000000
        NC
        
        -10870.55000000
        -0.01668352516
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-07-03
            0.00000000
            USD
            0.00000000
            USD
            8400000.00000000
            THB
            -10870.55000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -78390.20000000
        -0.12030898841
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -722000.00000000
            AUD
            52200600.00000000
            JPY
            2021-07-30
            -78390.20000000
          
        
        
          N
          N
          N
        
      
      
        ARD FINANCE SA
        6354006P6QPGGPVJW880
        ARD Finance SA
        000000000
        
          
          
        
        400000.00000000
        PA
        
        491846.36000000
        0.754858873023
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-06-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R07
        20753WAF3
        
          
        
        113809.76000000
        PA
        USD
        114468.78000000
        0.175680418306
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-10-25
          Floating
          2.20613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUBURBAN PROPANE PARTNRS
        N/A
        Suburban Propane Partners LP/Suburban Energy Finance Corp
        864486AJ4
        
          
          
        
        75000.00000000
        PA
        USD
        76543.24000000
        0.117474375298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        BBCMS 2018-CHRS Mortgage Trust
        05491VAJ5
        
          
        
        300000.00000000
        PA
        USD
        291365.64000000
        0.447172036910
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-08-05
          Variable
          4.40871700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        50168.43000000
        0.076995760487
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-07-19
            163.61000000
            USD
            0.00000000
            USD
            470000.00000000
            AUD
            50004.82000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS KRW
        000000000
        
          
        
        1.00000000
        NC
        
        1425.64000000
        0.002187994242
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-09-10
            1971.90000000
            USD
            0.00000000
            USD
            50000000.00000000
            KRW
            -546.26000000
          
        
        
          N
          N
          N
        
      
      
        ESKOM HOLDINGS SOC LTD
        3789001900ED06F65111
        Eskom Holdings SOC Ltd
        000000000
        
          
          
        
        400000.00000000
        PA
        USD
        435075.66000000
        0.667730309902
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2028-08-10
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU ENHANCED PASS-THRU
        549300O4IWRO77V4HJ21
        Peru Enhanced Pass-Through Finance Ltd
        000000000
        
          
          
        
        140446.98000000
        PA
        USD
        133587.88000000
        0.205023366537
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-06-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        TWD CALL VERSUS USD PUT
        000000000
        
          
        
        12300000.00000000
        NC
        USD
        14086.29000000
        0.021618866904
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    TWD CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            12300000.00000000
            USD
            24.30000000
            USD
            2021-12-21
            XXXX
            5328.69000000
          
        
        
          N
          N
          N
        
      
      
        OCI NV
        549300NCMRGIBJYUOE57
        OCI NV
        000000000
        
          
          
        
        500000.00000000
        PA
        
        615508.85000000
        0.944649294236
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-11-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -32000000.00000000
        NC
        
        -2.77000000
        -0.00000425124
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            -32000000.00000000
            USD
            62.00000000
            AUD
            2021-05-26
            XXXX
            447290.21000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        75478.85000000
        0.115840807784
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-11-28
            40560.37000000
            USD
            0.00000000
            USD
            910000.00000000
            NZD
            34918.48000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -42416.09000000
        -0.06509789336
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-12-01
            18262.09000000
            USD
            0.00000000
            USD
            16450000.00000000
            ZAR
            -60678.18000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -661.34000000
        -0.00101498843
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -142704.42000000
            EUR
            171127.67000000
            USD
            2021-06-30
            -661.34000000
          
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        Oportun Funding XIII LLC
        68377FAC2
        
          
        
        100000.00000000
        PA
        USD
        102461.79000000
        0.157252747234
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-08
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIG HOLD BM/DIG INTL FIN
        N/A
        Digicel International Finance Ltd/Digicel international Holdings ltd
        25381XAB9
        
          
          
        
        250000.00000000
        PA
        USD
        252741.28000000
        0.387893483215
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-12-31
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -22106.63000000
        -0.03392804575
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -4396540.90000000
            EUR
            5272432.97000000
            USD
            2021-07-19
            -22106.63000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        85744.12000000
        0.131595382329
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -522059.82000000
            USD
            788896.00000000
            AUD
            2021-05-28
            85744.12000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        2101.39000000
        0.003225098356
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-10-10
            0.00000000
            USD
            -1.03000000
            USD
            2000000.00000000
            CNY
            2102.42000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        5300000.00000000
        NC
        
        0.22000000
        0.000000337643
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-17
                
              
            
            5300000.00000000
            USD
            65.00000000
            AUD
            2021-05-17
            XXXX
            -408.28000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -0.79000000
        -0.00000121244
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -639000.00000000
            USD
            530814.01000000
            EUR
            2021-06-30
            -0.79000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900KXN235YISGF415
        Bellemeade Re 2019-4 Ltd
        07876LAB5
        
          
        
        500000.00000000
        PA
        USD
        499999.85000000
        0.767372403208
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-10-25
          Floating
          2.10613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        43172.94000000
        0.066259465320
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -664000.00000000
            USD
            2295448.00000000
            ILS
            2021-06-30
            43172.94000000
          
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT2
        69354WAD8
        
          
        
        100000.00000000
        PA
        USD
        99519.21000000
        0.152736636507
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          2.75613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1312.95000000
        0.002015043798
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -96500.17000000
            USD
            81000.00000000
            EUR
            2021-11-22
            1312.95000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2165.30000000
        0.003323183926
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -144713.00000000
            USD
            798135.61000000
            BRL
            2021-05-04
            2165.30000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF KAZAKHSTAN
        000000000
        
          
        
        1.00000000
        NC
        USD
        3906.82000000
        0.005995973503
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF KAZAKHSTAN
                Kazakhstan Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            0.00000000
            USD
            230000.00000000
            USD
            3906.82000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -338.42000000
        -0.00051938849
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -50868.07000000
            USD
            3775237.00000000
            INR
            2021-06-16
            -338.42000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        AUD CALL VERSUS JPY PUT
        000000000
        
          
        
        8250000.00000000
        NC
        
        1073053.56000000
        1.646863872277
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    AUD CALL VERSUS JPY PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  JPY
                  N/A
                  AUD
                  2021-05-26
                
              
            
            8250000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            855876.49000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8167.05000000
        0.012534341331
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -133510.00000000
            USD
            769872.06000000
            BRL
            2021-05-04
            8167.05000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        USD
        375.19000000
        0.000575821076
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2027-12-20
            1266.67000000
            USD
            0.00000000
            USD
            290000.00000000
            USD
            -891.48000000
          
        
        
          N
          N
          N
        
      
      
        Retiro Mortgage Securities
        635400CU9HBU644YSL41
        RTIRO 1A A1
        000000000
        
          
        
        180000.00000000
        PA
        
        214784.56000000
        0.329639586850
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2075-07-30
          Floating
          1.46400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        AUD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -46.55000000
        -0.00007144239
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -74000.00000000
            USD
            95972.40000000
            AUD
            2021-06-30
            -46.55000000
          
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2019-GS1
        52473VAA8
        
          
        
        58513.52000000
        PA
        USD
        58633.54000000
        0.089987547993
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-01-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIAN RAIL(RZD CAP)
        635400VKMH1VQDFMW392
        Russian Railways Via RZD Capital PLC
        000000000
        
          
          
        
        100000.00000000
        PA
        
        109132.54000000
        0.167490649223
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2025-10-03
          Fixed
          0.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14481.51000000
        0.022225428929
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -851638.63000000
            USD
            715000.00000000
            EUR
            2022-03-31
            14481.51000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13848.28000000
        0.021253582183
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -242896.57000000
            USD
            19468160.00000000
            INR
            2021-09-30
            13848.28000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        -10800000.00000000
        NC
        
        -13513.50000000
        -0.02073978016
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            -10800000.00000000
            USD
            63.00000000
            AUD
            2022-01-26
            XXXX
            141096.90000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        696.85000000
        0.001069487239
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -150000.00000000
            USD
            4184550.00000000
            TWD
            2021-06-30
            696.85000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/CAD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -659.52000000
        -0.00101219519
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -42353.00000000
            CAD
            33803.03000000
            USD
            2021-07-20
            -659.52000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/TWD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        20346.51000000
        0.031226709919
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -671000.00000000
            USD
            19197310.00000000
            TWD
            2021-06-30
            20346.51000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        319519.23000000
        0.490380625907
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2873000.00000000
            USD
            47236429.50000000
            ZAR
            2021-09-30
            319519.23000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -485708.14000000
        -0.74543826893
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3341000.00000000
            AUD
            228190300.00000000
            JPY
            2021-05-28
            -485708.14000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        174.90000000
        0.000268426947
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -12432.56000000
            USD
            40932.00000000
            ILS
            2021-06-16
            174.90000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE INTERNATIONAL
        E58DKGMJYYYJLN8C3868
        CDS KINGDOM OF SPAIN
        000000000
        
          
        
        1.00000000
        NC
        USD
        29127.20000000
        0.044702832336
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            
              
                SPAIN GOVERNMENT INTERNATIONAL BOND
                SPAIN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2030-06-20
            0.00000000
            USD
            -2739.71000000
            USD
            800000.00000000
            USD
            31866.91000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY CALL VERSUS AUD PUT
        000000000
        
          
        
        200000.00000000
        NC
        
        0.43000000
        0.000000659940
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    JPY CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            200000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            -3804.77000000
          
        
        
          N
          N
          N
        
      
      
        BEAZER HOMES USA
        549300DUPYT2T0F60I45
        Beazer Homes USA Inc
        07556QBM6
        
          
          
        
        125000.00000000
        PA
        USD
        129337.01000000
        0.198499363924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAZIL LOAN TRUST 1
        N/A
        Brazil Loan Trust 1
        000000000
        
          
          
        
        338708.06000000
        PA
        USD
        352718.26000000
        0.541332680063
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-24
          Fixed
          5.47700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1562.04000000
        0.002397333496
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -65730.00000000
            USD
            5091741.59000000
            RUB
            2021-06-16
            1562.04000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9362.87000000
        -0.01436962041
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -428552.19000000
            USD
            468527534.00000000
            KRW
            2021-10-29
            -9362.87000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS IFS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2095.15000000
        -0.00321552154
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-09
            0.00000000
            USD
            0.00000000
            USD
            180000.00000000
            USD
            -2095.15000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        2654.21000000
        0.004073536234
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF INDONESIA
                Indonesia Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            200000.00000000
            USD
            2654.21000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        AUD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        865.82000000
        0.001328813146
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -85000.00000000
            USD
            111431.57000000
            AUD
            2021-06-30
            865.82000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1588.03000000
        0.002437221526
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -341000.00000000
            USD
            25977380.00000000
            INR
            2021-09-30
            1588.03000000
          
        
        
          N
          N
          N
        
      
      
        CENOVUS ENERGY INC
        549300EIRQ0Z2B9C1W06
        Cenovus Energy Inc
        15135UAP4
        
          
          
        
        110000.00000000
        PA
        USD
        122301.43000000
        0.187701540820
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2037-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8364.12000000
        -0.01283679358
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1868211.60000000
            CNY
            279000.00000000
            USD
            2021-06-30
            -8364.12000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        24537.00000000
        0.037658044612
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -50233017.00000000
            JPY
            486589.02000000
            USD
            2022-05-31
            24537.00000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        706.67000000
        0.001084558437
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -62432.00000000
            USD
            343095.06000000
            BRL
            2021-05-04
            706.67000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        398.95000000
        0.000612286624
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -56565.71000000
            USD
            4310307.10000000
            RUB
            2021-06-16
            398.95000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        872.39000000
        0.001338896423
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -91000.00000000
            USD
            298213.19000000
            ILS
            2021-06-30
            872.39000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828Z52
        
          
          
        
        275000.00000000
        PA
        USD
        283529.30000000
        0.435145251185
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-31
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2221.20000000
        -0.00340897618
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -204118230.00000000
            KRW
            180367.13000000
            USD
            2021-06-30
            -2221.20000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        124636.34000000
        0.191285032891
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-03-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA, NATIONAL ASSOCIATION
        1IE8VN30JCEQV1H4R804
        CDS REPUBLIC OF UKRAINE
        000000000
        
          
        
        1.00000000
        NC
        USD
        13477.94000000
        0.020685204621
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            23061.49000000
            USD
            0.00000000
            USD
            400000.00000000
            USD
            -9583.55000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        INR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2742.39000000
        -0.00420887007
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -11961830.00000000
            INR
            157000.00000000
            USD
            2021-06-30
            -2742.39000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -1410.11000000
        -0.00216415964
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2029-07-12
            0.00000000
            USD
            0.00000000
            USD
            768900000.00000000
            COP
            -1410.11000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/DKK FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -513.19000000
        -0.00078761592
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -438417.00000000
            DKK
            70467.62000000
            USD
            2021-07-19
            -513.19000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        24252.30000000
        0.037221102635
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -139226.76000000
            USD
            212000.00000000
            AUD
            2022-01-28
            24252.30000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        USD CALL VERSUS ILS PUT
        000000000
        
          
        
        3200000.00000000
        NC
        USD
        67.33000000
        0.000103334398
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    USD CALL VERSUS ILS PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            3200000.00000000
            USD
            3.95000000
            USD
            2021-06-28
            XXXX
            -7011.65000000
          
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AN1
        
          
          
        
        300000.00000000
        PA
        USD
        296072.64000000
        0.454396082881
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDC3
        
          
          
        
        100000.00000000
        PA
        USD
        102590.17000000
        0.157449777831
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-23
          Fixed
          6.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1868.77000000
        0.002868085912
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -220851.57000000
            USD
            1216431.70000000
            BRL
            2021-06-30
            1868.77000000
          
        
        
          N
          N
          N
        
      
      
        MKT 2020-525M Mortgage Trust
        N/A
        MKT 2020-525M Mortgage Trust
        55316PAN7
        
          
        
        550000.00000000
        PA
        USD
        495152.24000000
        0.759932556705
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-02-12
          Variable
          3.03862000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        CNH/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -18840.60000000
        -0.02891552167
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1517174.40000000
            CNY
            214000.00000000
            USD
            2021-07-30
            -18840.60000000
          
        
        
          N
          N
          N
        
      
      
        EG GLOBAL FINANCE PLC
        549300TL8Q5207VYET27
        eG Global Finance PLC
        000000000
        
          
          
        
        450000.00000000
        PA
        
        524782.12000000
        0.805406874792
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2025-02-07
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -30562.49000000
        -0.04690563687
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -587000.00000000
            AUD
            45976775.00000000
            JPY
            2022-01-28
            -30562.49000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        ILS/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7252.83000000
        -0.01113124651
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -662696.00000000
            ILS
            196908.05000000
            USD
            2021-06-30
            -7252.83000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007222WHFWMBOC78
        Freddie Mac STACR Trust 2019-DNA1
        35563KAH3
        
          
          
        
        35467.76000000
        PA
        USD
        36202.41000000
        0.055561477395
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-01-25
          Floating
          2.75613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        CSWAP EUR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -15873.79000000
        -0.02436222406
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            -220000.00000000
            EUR
            247170.00000000
            USD
            2021-08-22
            -15873.79000000
          
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BL7
        
          
          
        
        35000.00000000
        PA
        USD
        38266.00000000
        0.058728562380
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -12030.11000000
        -0.01846315438
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-07-13
            0.00000000
            USD
            -1866.25000000
            USD
            2635000.00000000
            SEK
            -10163.86000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1215.56000000
        0.001865574956
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -21276830.00000000
            JPY
            196000.00000000
            USD
            2021-06-30
            1215.56000000
          
        
        
          N
          N
          N
        
      
      
        ESKOM HOLDINGS SOC LTD
        3789001900ED06F65111
        Eskom Holdings SOC Ltd
        29646AAC0
        
          
          
        
        200000.00000000
        PA
        USD
        217537.83000000
        0.333865154951
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2028-08-10
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        41507.39000000
        0.063703270341
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2023-08-24
            0.00000000
            USD
            0.00000000
            USD
            2890000.00000000
            PLN
            41507.39000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAH0
        
          
          
        
        15000.00000000
        PA
        USD
        15579.28000000
        0.023910226240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        TWD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -15962.19000000
        -0.02449789555
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -875295.24000000
            USD
            23861960.00000000
            TWD
            2021-06-30
            -15962.19000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCK7
        
          
          
        
        300000.00000000
        PA
        USD
        300039.80000000
        0.460484662913
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        C&S GROUP ENTERPRISES LL
        N/A
        C&S Group Enterprises LLC
        12467AAF5
        
          
          
        
        100000.00000000
        PA
        USD
        99311.59000000
        0.152417992694
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD CALL VERSUS INR PUT
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -12010.29000000
        -0.01843273573
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    USD CALL VERSUS INR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2022-02-23
                
              
            
            -2000000.00000000
            USD
            84.00000000
            USD
            2022-02-23
            XXXX
            989.71000000
          
        
        
          N
          N
          N
        
      
      
        ADEVINTA ASA
        529900W8V3YLHRSZH763
        Adevinta ASA
        000000000
        
          
          
        
        100000.00000000
        PA
        
        124132.31000000
        0.190511475234
        Long
        DBT
        CORP
        NO
        
        N
        
        2
        
          2027-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4384.49000000
        -0.00672907527
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1987108.00000000
            BRL
            360473.11000000
            USD
            2021-05-28
            -4384.49000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -862.21000000
        -0.00132327271
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -271000.00000000
            USD
            29517320.00000000
            JPY
            2021-05-28
            -862.21000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD CALL VERSUS RUB PUT
        000000000
        
          
        
        6000000.00000000
        NC
        USD
        736.89000000
        0.001130938439
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    USD CALL VERSUS RUB PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  RUB
                  N/A
                  USD
                  2021-06-15
                
              
            
            6000000.00000000
            USD
            105.00000000
            USD
            2021-06-15
            XXXX
            -1735.11000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        AUD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        28533.63000000
        0.043791853588
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -20285660.00000000
            JPY
            278000.00000000
            AUD
            2021-05-28
            28533.63000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -52091.84000000
        -0.07994770488
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -872064.12000000
            USD
            89316807.00000000
            JPY
            2022-01-28
            -52091.84000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        7185.48000000
        0.011027881419
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2028-01-23
            0.00000000
            USD
            0.00000000
            USD
            62800000.00000000
            CLP
            7185.48000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -15013.11000000
        -0.02304129951
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2026-01-12
            0.00000000
            USD
            0.00000000
            USD
            50000000.00000000
            RUB
            -15013.11000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        AUD CALL VERSUS JPY PUT
        000000000
        
          
        
        -8250000.00000000
        NC
        
        -1073053.56000000
        -1.64686387227
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    AUD CALL VERSUS JPY PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  JPY
                  N/A
                  AUD
                  2021-05-26
                
              
            
            -8250000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            -869769.20000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -891.72000000
        -0.00136856304
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2029-11-22
            0.00000000
            USD
            0.00000000
            USD
            91000000.00000000
            CLP
            -891.72000000
          
        
        
          N
          N
          N
        
      
      
        BRINKER INTERNATIONAL IN
        52990067JY6PBGJNTG76
        Brinker International Inc
        109641AG5
        
          
          
        
        125000.00000000
        PA
        USD
        127849.85000000
        0.196216952153
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -6477.39000000
        -0.00994114364
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            
              
                
              
            
            2030-04-24
            0.00000000
            USD
            -4.66000000
            USD
            490000.00000000
            ILS
            -6472.73000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        KRW/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -874.36000000
        -0.00134191987
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -168928103.00000000
            KRW
            150233.40000000
            USD
            2021-06-16
            -874.36000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-06-22
      Prudential Investment Portfolios 3
      Christian J. Kelly
      Christian J. Kelly
      Treasurer and Principal Financial and Accounting Officer
    
  





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